GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Cyclical Focus Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
Additional information on each restricted security is as follows:
| Issuer Description | Acquisition Date | Cost | Value as a Percentage of Fund’s Net Assets | Value as of May 31, 2021 | ||||||||
| Laxmi Organic Industries Ltd | 03/02/21 | $ | 1,924,110 | 0.34% | $ | 3,315,775 | ||||||
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GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Swap Contracts
OTC Total Return Swaps
| Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
| Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%) | Appreciation on Total Return on CSI 500 Index | GS | USD | 40,746,513 | 12/07/2021 | At Maturity | $ | — | $ | 2,098,934 | $ | 2,098,934 | ||||||||||||||||
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As of May 31, 2021, 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.
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
As of May 31, 2021, 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.
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
As of May 31, 2021, 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.
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
As of May 31, 2021, 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.
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
As of May 31, 2021, 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.
Organization
Each of Climate Change Fund, Cyclical Focus Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, International Equity Fund, Japan Value Creation 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.
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. 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.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
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 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 period ended May 31, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.
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 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 May 31, 2021:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Argentina | $ | 4,420,114 | $ | — | $ | — | $ | 4,420,114 | ||||||||
| Australia | — | 6,862,618 | — | 6,862,618 | ||||||||||||
| Brazil | — | 5,478,675 | — | 5,478,675 | ||||||||||||
| Canada | 42,501,736 | — | — | 42,501,736 | ||||||||||||
| China | 2,019,600 | 21,044,238 | — | 23,063,838 | ||||||||||||
| Denmark | — | 3,586,639 | — | 3,586,639 | ||||||||||||
| Finland | — | 3,742,091 | — | 3,742,091 | ||||||||||||
| France | — | 11,930,650 | — | 11,930,650 | ||||||||||||
| Germany | — | 3,870,200 | — | 3,870,200 | ||||||||||||
| Italy | — | 4,737,126 | — | 4,737,126 | ||||||||||||
| Japan | — | 17,078,116 | — | 17,078,116 | ||||||||||||
| Mexico | 11,014,469 | — | — | 11,014,469 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) | ||||||||||||||||
| Netherlands | $ | — | $ | 3,900,400 | $ | — | $ | 3,900,400 | ||||||||
| Norway | — | 6,676,454 | — | 6,676,454 | ||||||||||||
| Pakistan | — | 821,013 | — | 821,013 | ||||||||||||
| Philippines | — | 507,804 | — | 507,804 | ||||||||||||
| Portugal | — | 2,260,349 | — | 2,260,349 | ||||||||||||
| Russia | — | 12,747,279 | — | 12,747,279 | ||||||||||||
| South Korea | — | 2,162,358 | — | 2,162,358 | ||||||||||||
| Spain | — | 9,251,355 | — | 9,251,355 | ||||||||||||
| Switzerland | — | 3,004,469 | — | 3,004,469 | ||||||||||||
| Thailand | — | 765,326 | — | 765,326 | ||||||||||||
| Ukraine | — | 2,833,859 | — | 2,833,859 | ||||||||||||
| United Kingdom | — | 8,900,663 | — | 8,900,663 | ||||||||||||
| United States | 229,759,993 | — | — | 229,759,993 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 289,715,912 | 132,161,682 | — | 421,877,594 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Chile | 4,390,692 | — | — | 4,390,692 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | 4,390,692 | — | — | 4,390,692 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 27,889,178 | — | — | 27,889,178 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 27,889,178 | — | — | 27,889,178 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 5,565,584 | — | — | 5,565,584 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 327,561,366 | 132,161,682 | — | 459,723,048 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 327,561,366 | $ | 132,161,682 | $ | — | $ | 459,723,048 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Cyclical Focus Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Canada | $ | 7,366,262 | $ | — | $ | — | $ | 7,366,262 | ||||||||
| Finland | — | 4,192,412 | — | 4,192,412 | ||||||||||||
| France | — | 12,986,008 | — | 12,986,008 | ||||||||||||
| Germany | — | 3,076,132 | — | 3,076,132 | ||||||||||||
| Ireland | — | 3,887,171 | — | 3,887,171 | ||||||||||||
| Mexico | 8,643,950 | — | — | 8,643,950 | ||||||||||||
| Russia | — | 6,500,046 | — | 6,500,046 | ||||||||||||
| Spain | — | 7,214,193 | — | 7,214,193 | ||||||||||||
| United Kingdom | — | 17,376,857 | — | 17,376,857 | ||||||||||||
| United States | 71,511,629 | — | — | 71,511,629 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 87,521,841 | 55,232,819 | — | 142,754,660 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Brazil | — | 4,780,109 | — | 4,780,109 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | 4,780,109 | — | 4,780,109 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 28,000 | — | — | 28,000 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 28,000 | — | — | 28,000 | ||||||||||||
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|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 858,506 | — | — | 858,506 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 88,408,347 | 60,012,928 | — | 148,421,275 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 88,408,347 | $ | 60,012,928 | $ | — | $ | 148,421,275 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Emerging Domestic Opportunities Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Belgium | $ | 2,318,562 | $ | — | $ | — | $ | 2,318,562 | ||||||||
| Brazil | 3,643,866 | 37,821,417 | — | 41,465,283 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) | ||||||||||||||||
| China | $ | 70,957,711 | $ | 241,205,268 | $ | — | $ | 312,162,979 | ||||||||
| Greece | — | 3,684,583 | — | 3,684,583 | ||||||||||||
| Hong Kong | — | 12,420,074 | — | 12,420,074 | ||||||||||||
| Hungary | — | 4,078,172 | — | 4,078,172 | ||||||||||||
| India | — | 116,639,923 | 3,315,775 | 119,955,698 | ||||||||||||
| Indonesia | — | 393,204 | — | 393,204 | ||||||||||||
| Mexico | 19,783,519 | — | — | 19,783,519 | ||||||||||||
| Peru | 481,145 | — | — | 481,145 | ||||||||||||
| Philippines | — | 3,664,076 | — | 3,664,076 | ||||||||||||
| Poland | — | 6,829,134 | — | 6,829,134 | ||||||||||||
| Russia | 8,138,570 | 18,402,284 | 2,043,849 | 28,584,703 | ||||||||||||
| Saudi Arabia | — | 1,664,904 | — | 1,664,904 | ||||||||||||
| Singapore | 734,396 | — | — | 734,396 | ||||||||||||
| South Africa | — | 13,594,029 | — | 13,594,029 | ||||||||||||
| South Korea | — | 110,379,463 | — | 110,379,463 | ||||||||||||
| Switzerland | — | 2,365,002 | — | 2,365,002 | ||||||||||||
| Taiwan | — | 136,822,296 | — | 136,822,296 | ||||||||||||
| Thailand | — | 5,302,908 | — | 5,302,908 | ||||||||||||
| United Arab Emirates | — | 4,871,579 | — | 4,871,579 | ||||||||||||
| United States | 22,634,913 | — | — | 22,634,913 | ||||||||||||
| Vietnam | — | 7,715,353 | — | 7,715,353 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 128,692,682 | 727,853,669 | 5,359,624 | 861,905,975 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Brazil | — | 10,784,417 | — | 10,784,417 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | 10,784,417 | — | 10,784,417 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Investment Funds | ||||||||||||||||
| China | 22,195,200 | 11,613,347 | — | 33,808,547 | ||||||||||||
| Russia | 33,795,382 | — | — | 33,795,382 | ||||||||||||
| Saudi Arabia | 10,991,608 | — | — | 10,991,608 | ||||||||||||
| South Africa | 11,987,722 | — | — | 11,987,722 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL INVESTMENT FUNDS | 78,969,912 | 11,613,347 | — | 90,583,259 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Debt Obligations | ||||||||||||||||
| India | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | — | — | 0 | § | 0 | § | ||||||||||
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|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 19,503,232 | — | — | 19,503,232 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 19,503,232 | — | — | 19,503,232 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 4,513,868 | — | — | 4,513,868 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 231,679,694 | 750,251,433 | 5,359,624 | 987,290,751 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 231,679,694 | $ | 750,251,433 | $ | 5,359,624 | $ | 987,290,751 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Emerging Markets Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Argentina | $ | 6,884,083 | $ | — | $ | — | $ | 6,884,083 | ||||||||
| Brazil | — | 24,264,781 | — | 24,264,781 | ||||||||||||
| Chile | — | 232,690 | — | 232,690 | ||||||||||||
| China | 149,327,798 | 802,164,210 | 0 | § | 951,492,008 | |||||||||||
| Czech Republic | — | 7,455,781 | — | 7,455,781 | ||||||||||||
| Egypt | — | 1,280,806 | — | 1,280,806 | ||||||||||||
| India | 15,408,178 | 128,211,698 | — | 143,619,876 | ||||||||||||
| Indonesia | — | 66,787,122 | — | 66,787,122 | ||||||||||||
| Kuwait | — | 63,570,541 | — | 63,570,541 | ||||||||||||
| Malaysia | — | 675,172 | — | 675,172 | ||||||||||||
| Mexico | 118,039,564 | — | — | 118,039,564 | ||||||||||||
| Pakistan | — | 14,986,721 | — | 14,986,721 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) | ||||||||||||||||
| Philippines | $ | — | $ | 9,833,711 | $ | — | $ | 9,833,711 | ||||||||
| Poland | — | 13,128,232 | — | 13,128,232 | ||||||||||||
| Qatar | — | 18,477,885 | — | 18,477,885 | ||||||||||||
| Russia | 5,594,075 | 413,033,187 | 5,975,441 | 424,602,703 | ||||||||||||
| Saudi Arabia | — | 1,850,855 | — | 1,850,855 | ||||||||||||
| South Africa | — | 23,377,116 | — | 23,377,116 | ||||||||||||
| South Korea | — | 134,289,035 | — | 134,289,035 | ||||||||||||
| Sri Lanka | — | 627,881 | — | 627,881 | ||||||||||||
| Taiwan | 10,399,270 | 694,989,026 | — | 705,388,296 | ||||||||||||
| Thailand | — | 16,201,988 | — | 16,201,988 | ||||||||||||
| Turkey | — | 38,526,517 | — | 38,526,517 | ||||||||||||
| United Arab Emirates | — | 8,766,419 | — | 8,766,419 | ||||||||||||
| United Kingdom | — | 23,176,197 | — | 23,176,197 | ||||||||||||
| Vietnam | — | 15,442,644 | — | 15,442,644 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 305,652,968 | 2,521,350,215 | 5,975,441 | 2,832,978,624 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Brazil | — | 79,378 | — | 79,378 | ||||||||||||
| Chile | — | 2,236,333 | — | 2,236,333 | ||||||||||||
| Colombia | 1,538,169 | — | — | 1,538,169 | ||||||||||||
| Russia | — | 63,143,765 | — | 63,143,765 | ||||||||||||
| South Korea | — | 38,595,619 | — | 38,595,619 | ||||||||||||
| Taiwan | — | 2,406,288 | — | 2,406,288 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | 1,538,169 | 106,461,383 | — | 107,999,552 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Investment Funds | ||||||||||||||||
| United States | 41,152,976 | — | — | 41,152,976 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL INVESTMENT FUNDS | 41,152,976 | — | — | 41,152,976 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Debt Obligations | ||||||||||||||||
| United States | 15,515,133 | — | — | 15,515,133 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 15,515,133 | — | — | 15,515,133 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 17,860,168 | — | — | 17,860,168 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 381,719,414 | 2,627,811,598 | 5,975,441 | 3,015,506,453 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 5,673,469 | — | — | 5,673,469 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | 2,098,934 | — | 2,098,934 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 387,392,883 | $ | 2,629,910,532 | $ | 5,975,441 | $ | 3,023,278,856 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | $ | — | $ | (537,759 | ) | $ | — | $ | (537,759 | ) | ||||||
|
|
|
|
|
|
|
|
| |||||||||
| International Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | 105,847,365 | $ | — | $ | 105,847,365 | ||||||||
| Belgium | — | 23,242,341 | — | 23,242,341 | ||||||||||||
| Denmark | — | 1,191,897 | — | 1,191,897 | ||||||||||||
| Finland | — | 9,432,342 | — | 9,432,342 | ||||||||||||
| France | — | 204,133,581 | — | 204,133,581 | ||||||||||||
| Germany | — | 158,379,364 | — | 158,379,364 | ||||||||||||
| Hong Kong | — | 58,506,960 | — | 58,506,960 | ||||||||||||
| Ireland | 15,514,361 | 10,481,891 | — | 25,996,252 | ||||||||||||
| Italy | — | 77,547,434 | — | 77,547,434 | ||||||||||||
| Japan | — | 469,501,037 | — | 469,501,037 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| International Equity Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) | ||||||||||||||||
| Malta | $ | — | $ | — | $ | 0 | § | $ | 0 | § | ||||||
| Netherlands | — | 191,308,522 | — | 191,308,522 | ||||||||||||
| Norway | — | 45,192,127 | — | 45,192,127 | ||||||||||||
| Portugal | — | 67,674,677 | — | 67,674,677 | ||||||||||||
| Singapore | — | 93,997,151 | — | 93,997,151 | ||||||||||||
| Spain | — | 130,136,050 | — | 130,136,050 | ||||||||||||
| Sweden | — | 12,967,103 | — | 12,967,103 | ||||||||||||
| Switzerland | — | 123,843,512 | — | 123,843,512 | ||||||||||||
| United Kingdom | 24,744,292 | 372,982,806 | — | 397,727,098 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 40,258,653 | 2,156,366,160 | 0 | § | 2,196,624,813 | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Germany | — | 34,564,236 | — | 34,564,236 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | 34,564,236 | — | 34,564,236 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 83,707,602 | — | — | 83,707,602 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 123,966,255 | 2,190,930,396 | 0 | § | 2,314,896,651 | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 412,634 | — | — | 412,634 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 124,378,889 | $ | 2,190,930,396 | $ | 0 | § | $ | 2,315,309,285 | |||||||
|
|
|
|
|
|
|
|
| |||||||||
| Japan Value Creation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | $ | — | $ | 160,515,355 | $ | — | $ | 160,515,355 | ||||||||
| Short-Term Investments | 4,026,539 | — | — | 4,026,539 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 4,026,539 | 160,515,355 | — | 164,541,894 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 4,026,539 | $ | 160,515,355 | $ | — | $ | 164,541,894 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Quality Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| France | $ | — | $ | 291,711,226 | $ | — | $ | 291,711,226 | ||||||||
| Germany | — | 252,255,564 | — | 252,255,564 | ||||||||||||
| Switzerland | — | 265,862,480 | — | 265,862,480 | ||||||||||||
| Taiwan | — | 281,512,926 | — | 281,512,926 | ||||||||||||
| United Kingdom | — | 365,260,490 | — | 365,260,490 | ||||||||||||
| United States | 6,691,613,115 | — | — | 6,691,613,115 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 6,691,613,115 | 1,456,602,686 | — | 8,148,215,801 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 9,830,961 | — | — | 9,830,961 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 9,830,961 | — | — | 9,830,961 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 174,297,590 | — | — | 174,297,590 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 6,875,741,666 | 1,456,602,686 | — | 8,332,344,352 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 6,875,741,666 | $ | 1,456,602,686 | $ | — | $ | 8,332,344,352 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Resources Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Argentina | $ | 13,617,605 | $ | — | $ | — | $ | 13,617,605 | ||||||||
| Australia | — | 63,420,408 | — | 63,420,408 | ||||||||||||
| Austria | — | 13,769,686 | — | 13,769,686 | ||||||||||||
| Brazil | — | 44,345,769 | — | 44,345,769 | ||||||||||||
| Canada | 91,253,844 | — | — | 91,253,844 | ||||||||||||
| China | — | 44,269,952 | — | 44,269,952 | ||||||||||||
| Denmark | — | 5,799,679 | — | 5,799,679 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Resources Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) | ||||||||||||||||
| Finland | $ | — | $ | 7,464,986 | $ | — | $ | 7,464,986 | ||||||||
| France | — | 23,410,049 | — | 23,410,049 | ||||||||||||
| Hungary | — | 10,374,069 | — | 10,374,069 | ||||||||||||
| India | — | 39,830,998 | — | 39,830,998 | ||||||||||||
| Israel | — | 7,341,955 | — | 7,341,955 | ||||||||||||
| Italy | — | 1,673,297 | — | 1,673,297 | ||||||||||||
| Japan | — | 20,749,761 | — | 20,749,761 | ||||||||||||
| Mexico | 33,269,645 | — | — | 33,269,645 | ||||||||||||
| Norway | — | 31,152,583 | — | 31,152,583 | ||||||||||||
| Pakistan | — | 6,000,009 | — | 6,000,009 | ||||||||||||
| Poland | — | 10,758,742 | — | 10,758,742 | ||||||||||||
| Russia | — | 94,773,419 | — | 94,773,419 | ||||||||||||
| Singapore | — | — | 0 | § | 0 | § | ||||||||||
| South Africa | — | 9,357,708 | — | 9,357,708 | ||||||||||||
| South Korea | — | 5,417,840 | — | 5,417,840 | ||||||||||||
| Spain | — | 10,947,179 | — | 10,947,179 | ||||||||||||
| Switzerland | — | 5,618,678 | — | 5,618,678 | ||||||||||||
| Turkey | — | 3,381,704 | — | 3,381,704 | ||||||||||||
| Ukraine | — | 6,319,883 | — | 6,319,883 | ||||||||||||
| United Kingdom | — | 167,425,142 | — | 167,425,142 | ||||||||||||
| United States | 378,622,851 | — | — | 378,622,851 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 516,763,945 | 633,603,496 | 0 | § | 1,150,367,441 | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Brazil | — | 76,043,480 | — | 76,043,480 | ||||||||||||
| Chile | 13,179,926 | — | — | 13,179,926 | ||||||||||||
| Russia | — | 23,435,204 | — | 23,435,204 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | 13,179,926 | 99,478,684 | — | 112,658,610 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| Singapore | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 53,315,394 | — | — | 53,315,394 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 583,259,265 | 733,082,180 | 0 | § | 1,316,341,445 | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 583,259,265 | $ | 733,082,180 | $ | 0 | § | $ | 1,316,341,445 | |||||||
|
|
|
|
|
|
|
|
| |||||||||
| Tax-Managed International Equities Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | 1,892,000 | $ | — | $ | 1,892,000 | ||||||||
| Belgium | — | 387,775 | — | 387,775 | ||||||||||||
| Brazil | — | 124,130 | — | 124,130 | ||||||||||||
| China | — | 1,008,712 | — | 1,008,712 | ||||||||||||
| Denmark | — | 51,646 | — | 51,646 | ||||||||||||
| Finland | — | 149,814 | — | 149,814 | ||||||||||||
| France | — | 3,344,049 | — | 3,344,049 | ||||||||||||
| Germany | — | 2,474,644 | — | 2,474,644 | ||||||||||||
| Hong Kong | — | 683,305 | — | 683,305 | ||||||||||||
| Hungary | — | 75,734 | — | 75,734 | ||||||||||||
| India | — | 222,092 | — | 222,092 | ||||||||||||
| Ireland | 107,264 | 375,585 | — | 482,849 | ||||||||||||
| Italy | — | 1,134,768 | — | 1,134,768 | ||||||||||||
| Japan | — | 8,661,036 | — | 8,661,036 | ||||||||||||
| Malta | — | — | 0 | § | 0 | § | ||||||||||
| Mexico | 54,648 | — | — | 54,648 | ||||||||||||
| Netherlands | — | 3,289,984 | — | 3,289,984 | ||||||||||||
| Norway | — | 603,299 | — | 603,299 | ||||||||||||
| Poland | — | 60,461 | — | 60,461 | ||||||||||||
| Portugal | — | 1,136,711 | — | 1,136,711 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Tax-Managed International Equities Fund (continued) |
| |||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) | ||||||||||||||||
| Russia | $ | — | $ | 628,094 | $ | — | $ | 628,094 | ||||||||
| Singapore | — | 1,661,169 | — | 1,661,169 | ||||||||||||
| South Africa | — | 43,852 | — | 43,852 | ||||||||||||
| South Korea | — | 980,767 | — | 980,767 | ||||||||||||
| Spain | — | 2,197,563 | — | 2,197,563 | ||||||||||||
| Sweden | — | 275,410 | — | 275,410 | ||||||||||||
| Switzerland | — | 2,233,244 | — | 2,233,244 | ||||||||||||
| Taiwan | — | 385,509 | — | 385,509 | ||||||||||||
| Thailand | — | 25,642 | — | 25,642 | ||||||||||||
| Turkey | — | 298,378 | — | 298,378 | ||||||||||||
| United Kingdom | 1,512,900 | 5,041,339 | — | 6,554,239 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 1,674,812 | 39,446,712 | 0 | § | 41,121,524 | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Germany | — | 808,844 | — | 808,844 | ||||||||||||
| Russia | — | 27,260 | — | 27,260 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | 836,104 | — | 836,104 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 875,165 | — | — | 875,165 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 875,165 | — | — | 875,165 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 341,186 | — | — | 341,186 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 2,891,163 | 40,282,816 | 0 | § | 43,173,979 | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 21,562 | — | — | 21,562 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 2,912,725 | $ | 40,282,816 | $ | 0 | § | $ | 43,195,541 | |||||||
|
|
|
|
|
|
|
|
| |||||||||
| U.S. Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | $ | 341,746,145 | $ | — | $ | — | $ | 341,746,145 | ||||||||
| Mutual Funds | 2,750,296 | — | — | 2,750,296 | ||||||||||||
| Short-Term Investments | 296,099 | — | — | 296,099 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 344,792,540 | — | — | 344,792,540 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 73,952 | — | — | 73,952 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 344,866,492 | $ | — | $ | — | $ | 344,866,492 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| U.S. Small Cap Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | $ | 325,203,146 | $ | — | $ | — | $ | 325,203,146 | ||||||||
| Mutual Funds | 5,501,097 | — | — | 5,501,097 | ||||||||||||
| Rights/Warrants | — | — | 36,350 | 36,350 | ||||||||||||
| Short-Term Investments | 1,875,813 | — | — | 1,875,813 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 332,580,056 | — | 36,350 | 332,616,406 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 34,537 | — | — | 34,537 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 332,614,593 | $ | — | $ | 36,350 | $ | 332,650,943 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| ^ | 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 May 31, 2021. |
The underlying funds held at period 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’s Level 3 holdings includes 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. Emerging Domestic Opportunities Fund and Emerging Markets Fund holdings also include a common stock of 144A shares that is thinly traded and is being priced off the Reg S shares of the same security. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2021.
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 May 31, 2021 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021 | |||||||||||||||||||||||||||||||
| Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
| India | $ | 265,151 | $ | 1,924,110 | $ | — | $ | — | $ | — | $ | 2,313,422 | $ | — | $ | (1,186,908 | )‡ | $ | 3,315,775 | $ | 1,391,665 | |||||||||||||||||||
| Russia | — | 2,445,095 | — | — | — | (401,246 | ) | — | — | 2,043,849 | (401,246 | ) | ||||||||||||||||||||||||||||
| Debt Obligations |
| |||||||||||||||||||||||||||||||||||||||
| India | — | 10,175 | — | — | — | (10,175 | ) | — | — | 0 | § | — | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||
| Total Investments | $ | 265,151 | $ | 4,379,380 | $ | — | $ | — | $ | — | $ | 1,902,001 | $ | — | $ | (1,186,908 | ) | $ | 5,359,624 | $ | 990,419 | |||||||||||||||||||
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| |||||||||||||||||||||
| Emerging Markets Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
| Russia | $ | — | $ | 7,148,534 | $ | — | $ | — | $ | — | $ | (1,173,093) | $ | — | $ | — | $ | 5,975,441 | $ | (1,173,093 | ) | |||||||||||||||||||
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| |||||||||||||||||||||
| Total Investments | $ | — | $ | 7,148,534 | $ | — | $ | — | $ | — | $ | (1,173,093 | ) | $ | — | $ | — | $ | 5,975,441 | $ | (1,173,093 | ) | ||||||||||||||||||
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| |||||||||||||||||||||
| ‡ | 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 May 31, 2021. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2021 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 | 2,043,849 | Fair Value | Price of comparable equity | (N/A) | ||||||
| Emerging Markets Fund | ||||||||||
| Common Stock | — | 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 May 31, 2021, the value of these securities and/or derivatives for Emerging Domestic Opportunities Fund and Emerging Markets Fund was $3,315,775 and $5,975,441, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
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 period ended May 31, 2021 is set forth below:
| Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | 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 | $ | 88,764,993 | $ | 79,439,546 | $ | 1,491 | ** | $ | — | $ | — | $ | 27,889,178 | |||||||||||||
|
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| |||||||||||||||
| Cyclical Focus Fund |
| |||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 528,000 | $ | — | $ | 500,000 | $ | 6 | $ | — | $ | — | $ | 28,000 | ||||||||||||||
|
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| |||||||||||||||
| Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | — | $ | 45,503,232 | $ | 26,000,000 | $ | 3,056 | $ | — | $ | — | $ | 19,503,232 | ||||||||||||||
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| |||||||||||||||
| Emerging Markets Fund |
| |||||||||||||||||||||||||||
| Anilana Hotels & Properties Ltd | $ | 678,007 | $ | — | $ | — | $ | — | $ | — | $ | (50,126 | ) | $ | 627,881 | |||||||||||||
| Gayatri Projects Ltd | 6,296,399 | — | — | — | — | (873,836 | ) | 5,422,563 | ||||||||||||||||||||
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|
| |||||||||||||||
| Totals | $ | 6,974,406 | $ | — | $ | — | $ | — | $ | — | $ | (923,962 | ) | $ | 6,050,444 | |||||||||||||
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| |||||||||||||||
| Quality Fund |
| |||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 9,830,961 | $ | — | $ | — | $ | 1,561 | $ | — | $ | — | $ | 9,830,961 | ||||||||||||||
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| |||||||||||||||
| Resources Fund |
| |||||||||||||||||||||||||||
| Kosmos Energy Ltd. | $ | — | # | $ | 14,593,376 | $ | — | $ | — | $ | — | $ | 28,943,138 | $ | 70,735,284 | |||||||||||||
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| |||||||||||||||
| Tax-Managed International Equities Fund |
| |||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 5,165 | $ | 1,000,000 | $ | 130,000 | $ | 123 | $ | — | $ | — | $ | 875,165 | ||||||||||||||
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| |||||||||||||||
| U.S. Equity Fund |
| |||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 2,850,296 | $ | 9,000,000 | $ | 9,100,000 | $ | 567 | $ | — | $ | — | $ | 2,750,296 | ||||||||||||||
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| U.S. Small Cap Value Fund |
| |||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 101,097 | $ | 9,600,000 | $ | 4,200,000 | $ | 460 | $ | — | $ | — | $ | 5,501,097 | ||||||||||||||
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| |||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through May 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022. |
| ** | 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 $62,725 in Climate Change Fund during the period. |
| # | Security was not an affiliate at the beginning of the period. |
Subsequent events
Effective June 30, 2021, the name of GMO Cyclical Focus Fund was changed to GMO Quality Cyclicals Fund.
* * *
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 is as follows:
Forward Currency Contracts
| Settlement Date | Counterparty | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
| 07/28/2021 | MSCI | COP | 30,583,000,000 | USD | 8,342,790 | 120,770 | ||||||||||||||||
| 06/21/2021 | BOA | EUR | 9,496,000 | USD | 11,413,805 | (202,620 | ) | |||||||||||||||
| 06/21/2021 | MSCI | EUR | 74,703,300 | USD | 89,565,522 | (1,818,769 | ) | |||||||||||||||
| 06/21/2021 | SSB | EUR | 8,800,000 | USD | 10,585,313 | (179,697 | ) | |||||||||||||||
| 06/21/2021 | MSCI | GBP | 66,311,000 | USD | 91,359,118 | (2,851,045 | ) | |||||||||||||||
| 08/19/2021 | CITI | JPY | 8,000,000,000 | USD | 73,307,952 | 199,218 | ||||||||||||||||
| 07/30/2021 | JPM | ZAR | 230,000,000 | USD | 15,896,056 | (706,702 | ) | |||||||||||||||
|
|
| |||||||||||||||||||||
| $ | (5,438,845 | ) | ||||||||||||||||||||
|
|
| |||||||||||||||||||||
Reverse Repurchase Agreements(j)
| Face Value | Description | Value ($) | ||||||||
| USD | 6,178,901 | J.P. Morgan Securities plc, (0.50)%, dated 04/05/21 (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (6,178,901 | ) | ||||||
| USD | 6,490,784 | Nomura Securities International, Inc, (0.55)%, dated 05/20/21 (collateral: U.S. Treasury Note, 1.63%, due 05/15/31), to be repurchased on demand at face value plus accrued interest. | (6,490,784 | ) | ||||||
|
|
| |||||||||
| $ | (12,669,685 | ) | ||||||||
|
|
| |||||||||
| Average balance outstanding | $ | (9,685,732 | ) | |||||||
| Average interest rate (net) | 0.75 | % | ||||||||
| 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) | (99,017 | ) | 67,745 | |||||||||||
| 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) | (1,132,791 | ) | 345,952 | |||||||||||
| 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) | (3,825,555 | ) | 294,121 | |||||||||||
|
|
|
|
| |||||||||||||||
| $ | (5,057,363 | ) | $ | 707,818 | ||||||||||||||
|
|
|
|
| |||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
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 | % | 1.02 | % | N/A | 06/20/2024 | Quarterly | 4,376,875 | 91,179 | (4,285,696 | ) | |||||||||||||||||||||||||||
| CDX-EMS.35.V1-5Y | USD | 105,000,000 | 1.00 | % | 1.60 | % | N/A | 06/20/2026 | Quarterly | 3,345,000 | 3,026,940 | (318,060 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
| $ | 7,721,875 | $ | 3,118,119 | $ | (4,603,756 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity | Counterparty | Notional | 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% | 6.40% | N/A | 06/20/2022 | Quarterly | 2,109,320 | 1,084,354 | (1,024,966 | ) | ||||||||||||||||||||||||||||
| Republic of Ghana | JPM | USD | 3,700,000 | 5.00% | 3.81% | N/A | 06/20/2023 | Quarterly | (112,514 | ) | (87,615 | ) | 24,899 | |||||||||||||||||||||||||||
| Republic of Ghana | JPM | USD | 3,700,000 | 1.00% | 3.81% | N/A | 06/20/2023 | Quarterly | (112,260 | ) | (87,615 | ) | 24,645 | |||||||||||||||||||||||||||
| Republic of South Africa | CITI | USD | 35,900,000 | 1.00% | 0.88% | N/A | 06/20/2023 | Quarterly | 120,140 | (91,093 | ) | (211,233 | ) | |||||||||||||||||||||||||||
| Petrobras Global Finance BV | CITI | USD | 37,000,000 | 1.00% | 1.31% | N/A | 06/20/2024 | Quarterly | 1,923,458 | 348,835 | (1,574,623 | ) | ||||||||||||||||||||||||||||
| Petrobras Global Finance BV | CITI | USD | 13,000,000 | 1.00% | 1.31% | N/A | 06/20/2024 | Quarterly | 371,175 | 122,564 | (248,611 | ) | ||||||||||||||||||||||||||||
| Commonwealth of Bahamas | DB | EUR | 37,970,815 | 1.00% | 3.80% | N/A | 06/20/2025 | Quarterly | 5,153,296 | 2,964,119 | (2,189,177 | ) | ||||||||||||||||||||||||||||
| Republic of South Africa | GS | USD | 41,800,000 | 1.00% | 1.90% | N/A | 06/20/2026 | Quarterly | 2,604,622 | 1,815,301 | (789,321 | ) | ||||||||||||||||||||||||||||
| Republic of Turkey | MORD | USD | 15,000,000 | 1.00% | 4.08% | N/A | 06/20/2026 | Quarterly | 2,501,284 | 2,054,421 | (446,863 | ) | ||||||||||||||||||||||||||||
| Republic of Turkey | GS | USD | 17,000,000 | 1.00% | 4.08% | N/A | 06/20/2026 | Quarterly | 2,834,788 | 2,328,344 | (506,444 | ) | ||||||||||||||||||||||||||||
| United States of Mexico | GS | USD | 20,000,000 | 1.00% | 1.41% | N/A | 06/20/2029 | Quarterly | 1,589,641 | 611,461 | (978,180 | ) | ||||||||||||||||||||||||||||
| United States of Mexico | GS | USD | 20,000,000 | 1.00% | 1.59% | N/A | 09/20/2031 | Quarterly | 2,640,655 | 1,069,699 | (1,570,956 | ) | ||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| Commonwealth of Bahamas | DB | USD | 6,975,000 | 1.00% | 3.35% | 6,975,000 USD | 06/20/2023 | Quarterly | (1,263,915 | ) | (371,548 | ) | 892,367 | |||||||||||||||||||||||||||
| Commonwealth of Bahamas | DB | USD | 3,487,000 | 1.00% | 3.35% | 3,487,000 USD | 06/20/2023 | Quarterly | (641,463 | ) | (185,747 | ) | 455,716 | |||||||||||||||||||||||||||
| Commonwealth of Bahamas | DB | USD | 50,827,085 | 1.00% | 3.80% | 50,827,085 USD | 06/20/2025 | Quarterly | (5,838,385 | ) | (3,211,052 | ) | 2,627,333 | |||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
| $ | 13,879,842 | $ | 8,364,428 | $ | (5,515,414 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
| ^ | 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. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
| (1) | As of May 31, 2021, 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) ($) | |||||||||||||||||||||||||||
| 0.33% | 6 Month EURIBOR | EUR | 35,300,000 | 03/04/2051 | Semi-Annually | 907,886 | 2,297,551 | 1,389,665 | ||||||||||||||||||||||||||
| 0.82% | GBP - SONIA - COMPOUND | GBP | 24,600,000 | 02/18/2051 | Annually | 168,969 | 960,316 | 791,347 | ||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
| $ | 1,076,855 | $ | 3,257,867 | $ | 2,181,012 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
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 J.P. Morgan EMBI Global Core IG Index Short Swap | 3 Month USD LIBOR minus a spread of 0.45% | JPM | USD | 18,330,000 | 07/13/2021 | At Maturity | $ | — | $ | (171,359 | ) | $ | (171,359 | ) | ||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||
As of May 31, 2021, 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.
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Counterparty Abbreviations:
BOA - Bank of America, N.A.
CITI - Citibank N.A.
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:
BRL - Brazilian Real
CHF - Swiss Franc
COP - Colombian Peso
DOP - Dominican Peso
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
TRY - Turkish Lira
USD - United States Dollar
ZAR - South African Rand
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 is as follows:
Forward Currency Contracts
| Settlement Date | Counterparty | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
| 07/19/2021 | DB | JPY | 1,000,000,000 | USD | 9,114,690 | $ | (21,838 | ) | ||||||||||||||
|
|
| |||||||||||||||||||||
Futures Contracts
| Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
| Buys | ||||||||||||
| 83 | U.S. Treasury Note 10 Yr. (CBT) | September 2021 | 10,950,813 | 13,400 | ||||||||
| 19 | U.S. Treasury Note 2 Yr. (CBT) | September 2021 | 4,193,953 | 1,039 | ||||||||
| 21 | U.S. Treasury Note 5 Yr. (CBT) | September 2021 | 2,600,883 | 2,452 | ||||||||
|
|
|
|
| |||||||||
| $ | 17,745,649 | $ | 16,891 | |||||||||
|
|
|
|
| |||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Futures Contracts — continued
| Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
| Sales | ||||||||||||
| 3 | U.S. Long Bond (CBT) | September 2021 | 469,594 | (655 | ) | |||||||
| 46 | U.S. Treasury Note 5 Yr. (CBT) | September 2021 | 5,697,172 | (7,752 | ) | |||||||
| 6 | U.S. Ultra Bond (CBT) | September 2021 | 1,111,500 | (4,331 | ) | |||||||
|
|
|
|
| |||||||||
| $ | 7,278,266 | $ | (12,738 | ) | ||||||||
|
|
|
|
| |||||||||
| + | Buys - Fund is long the futures contract. |
| Sales- Fund is short the futures contract. |
Written Options
| Description | Counterparty | Exercise Rate | Expiration Date | Principal/Notional | Floating Rate Index | Pay/Receive | Value ($) | |||||||||||||||||
| Written Options on Credit Default Swaps – Puts |
| |||||||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | BOA | 108.00 | % | 07/21/21 | USD | (28,930,000 | ) | Fixed Spread | Pay | $(145,492) | ||||||||||||||
|
| ||||||||||||||||||||||||
| | TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $226,233) | |||||||||||||||||||||||
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity | Notional | Annual Premium | Implied Credit Spread(1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | USD | 11,836,000 | 5.00% | 2.88% | N/A | 06/20/2026 | Quarterly | (1,146,023 | ) | (1,147,441 | ) | (1,418 | ) | |||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | USD | 26,096,000 | 5.00% | 2.88% | 26,096,000 USD | 06/20/2026 | Quarterly | 2,239,298 | 2,529,877 | 290,579 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
| $ | 1,093,275 | $ | 1,382,436 | $ | 289,161 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
| ^ | 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 May 31, 2021, 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. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
OTC Total Return Swaps
| Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
| 1 Month USD LIBOR minus a spread of 1.40% | Total Return on iShares iBoxx High Yield Corporate Bond ETF | CITI | USD | 722,183 | 06/02/2021 | At Maturity | — | 1,981 | 1,981 | |||||||||||||||||||
| 1 Month USD LIBOR minus a spread of 1.40% | Total Return on iShares iBoxx High Yield Corporate Bond ETF | CITI | USD | 28,153,909 | 06/02/2021 | At Maturity | — | 23,253 | 23,253 | |||||||||||||||||||
| 1 Month USD LIBOR minus a spread of 0.95% | Total Return on iShares iBoxx High Yield Corporate Bond ETF | CITI | USD | 977,724 | 06/25/2021 | At Maturity | — | (784 | ) | (784 | ) | |||||||||||||||||
| 3 Month USD LIBOR | Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 1,640,001 | 06/20/2021 | Quarterly | (187 | ) | 12,043 | 12,230 | ||||||||||||||||||
| 3 Month USD LIBOR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 240,002 | 06/20/2021 | Quarterly | (29 | ) | 1,555 | 1,584 | ||||||||||||||||||
| 3 Month USD LIBOR | Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 400,002 | 09/20/2021 | Quarterly | (141 | ) | (738 | ) | (597 | ) | ||||||||||||||||
| 3 Month USD LIBOR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 920,002 | 09/20/2021 | Quarterly | (319 | ) | (928 | ) | (609 | ) | ||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
| $ | (676 | ) | $ | 36,382 | $ | 37,058 | ||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
As of May 31, 2021, 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.
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 is as follows:
Forward Currency Contracts
| Settlement Date | Counterparty | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
| 08/10/2021 | MSCI | AUD | 12,291,000 | USD | 9,524,173 | 9,360 | ||||||||||||||||
| 06/02/2021 | MSCI | BRL | 9,793,200 | USD | 1,796,439 | (72,599 | ) | |||||||||||||||
| 07/13/2021 | BOA | CHF | 710,749 | USD | 780,000 | (11,563 | ) | |||||||||||||||
| 07/13/2021 | MSCI | CHF | 12,518,319 | USD | 13,528,857 | (412,837 | ) | |||||||||||||||
| 08/19/2021 | MSCI | CLP | 134,077,000 | USD | 187,222 | 1,747 | ||||||||||||||||
| 07/28/2021 | JPM | COP | 639,880,000 | USD | 170,000 | (2,027 | ) | |||||||||||||||
| 07/28/2021 | MSCI | COP | 998,790,000 | USD | 260,000 | (8,518 | ) | |||||||||||||||
| 08/17/2021 | CITI | CZK | 3,972,524 | USD | 190,000 | (997 | ) | |||||||||||||||
| 06/30/2021 | BCLY | EUR | 960,000 | USD | 1,155,412 | (19,160 | ) | |||||||||||||||
| 06/30/2021 | BOA | EUR | 480,000 | USD | 578,459 | (8,827 | ) | |||||||||||||||
| 06/30/2021 | DB | EUR | 210,000 | USD | 247,243 | (9,694 | ) | |||||||||||||||
| 06/30/2021 | JPM | EUR | 2,040,000 | USD | 2,457,892 | (38,072 | ) | |||||||||||||||
| 07/13/2021 | BOA | GBP | 370,000 | USD | 512,333 | (13,351 | ) | |||||||||||||||
| 06/14/2021 | CITI | HUF | 289,224,558 | USD | 959,548 | (59,309 | ) | |||||||||||||||
| 08/11/2021 | CITI | IDR | 2,906,440,000 | USD | 200,000 | (2,467 | ) | |||||||||||||||
| 07/30/2021 | BOA | ILS | 487,985 | USD | 150,229 | (86 | ) | |||||||||||||||
| 07/16/2021 | BCLY | INR | 46,361,900 | USD | 610,000 | (25,009 | ) | |||||||||||||||
| 07/16/2021 | MSCI | INR | 18,096,000 | USD | 240,000 | (7,857 | ) | |||||||||||||||
| 06/09/2021 | BOA | JPY | 280,982,936 | USD | 2,570,000 | 3,593 | ||||||||||||||||
| 06/09/2021 | MSCI | JPY | 73,197,239 | USD | 670,000 | 1,440 | ||||||||||||||||
| 06/09/2021 | SSB | JPY | 30,917,757 | USD | 280,000 | (2,393 | ) | |||||||||||||||
| 07/06/2021 | CITI | JPY | 2,725,000,000 | USD | 24,635,349 | (259,345 | ) | |||||||||||||||
| 08/13/2021 | CITI | KRW | 225,226,000 | USD | 200,000 | (3,193 | ) | |||||||||||||||
| 08/13/2021 | JPM | KRW | 192,349,900 | USD | 170,000 | (3,533 | ) | |||||||||||||||
| 07/21/2021 | BOA | MXN | 6,226,328 | USD | 310,000 | (775 | ) | |||||||||||||||
| 06/14/2021 | DB | NOK | 1,194,878 | USD | 140,000 | (3,695 | ) | |||||||||||||||
| 06/14/2021 | JPM | NOK | 12,519,561 | USD | 1,500,000 | (5,591 | ) | |||||||||||||||
| 08/05/2021 | JPM | NZD | 3,530,000 | USD | 2,528,331 | (40,525 | ) | |||||||||||||||
| 08/05/2021 | MSCI | NZD | 10,490,000 | USD | 7,527,257 | (106,542 | ) | |||||||||||||||
| 08/19/2021 | JPM | PEN | 792,330 | USD | 210,000 | 2,468 | ||||||||||||||||
| 07/21/2021 | MSCI | PHP | 22,389,520 | USD | 458,990 | (8,935 | ) | |||||||||||||||
| 08/31/2021 | JPM | RON | 2,926,620 | USD | 724,501 | (944 | ) | |||||||||||||||
| 07/15/2021 | GS | SGD | 332,983 | USD | 250,000 | (1,980 | ) | |||||||||||||||
| 07/16/2021 | BCLY | THB | 10,360,350 | USD | 330,000 | (1,642 | ) | |||||||||||||||
| 07/16/2021 | BOA | THB | 14,095,680 | USD | 446,468 | (4,744 | ) | |||||||||||||||
| 07/16/2021 | DB | THB | 5,979,053 | USD | 190,000 | (1,394 | ) | |||||||||||||||
| 08/10/2021 | JPM | USD | 1,210,618 | AUD | 1,560,000 | (2,977 | ) | |||||||||||||||
| 06/02/2021 | CITI | USD | 140,000 | BRL | 770,770 | 7,102 | ||||||||||||||||
| 06/02/2021 | JPM | USD | 590,000 | BRL | 3,223,056 | 25,122 | ||||||||||||||||
| 06/02/2021 | MSCI | USD | 1,070,000 | BRL | 5,799,374 | 36,814 | ||||||||||||||||
| 09/02/2021 | MSCI | USD | 1,113,602 | BRL | 5,954,541 | 12,393 | ||||||||||||||||
| 08/03/2021 | GS | USD | 1,975,901 | CAD | 2,431,391 | 38,340 | ||||||||||||||||
| 08/03/2021 | JPM | USD | 10,421,996 | CAD | 12,793,000 | 176,132 | ||||||||||||||||
| 07/13/2021 | BOA | USD | 1,230,000 | CHF | 1,119,712 | 17,027 | ||||||||||||||||
| 07/13/2021 | JPM | USD | 1,580,000 | CHF | 1,454,401 | 39,771 | ||||||||||||||||
| 08/19/2021 | MSCI | USD | 220,000 | CLP | 158,620,000 | (574 | ) | |||||||||||||||
| 08/17/2021 | JPM | USD | 375,919 | CZK | 7,945,895 | 6,115 | ||||||||||||||||
| 06/30/2021 | BCLY | USD | 3,353,414 | EUR | 2,830,000 | 109,124 | ||||||||||||||||
| 06/30/2021 | DB | USD | 5,961,439 | EUR | 5,049,000 | 216,073 | ||||||||||||||||
| 07/13/2021 | BOA | USD | 1,467,230 | GBP | 1,060,000 | 38,784 | ||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Forward Currency Contracts — continued
| Settlement Date | Counterparty | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
| 07/13/2021 | JPM | USD | 2,135,371 | GBP | 1,530,000 | 38,404 | ||||||||||||||||
| 07/13/2021 | MSCI | USD | 2,379,346 | GBP | 1,731,000 | 80,003 | ||||||||||||||||
| 06/14/2021 | CITI | USD | 370,000 | HUF | 110,502,526 | 19,270 | ||||||||||||||||
| 06/14/2021 | DB | USD | 250,000 | HUF | 71,152,975 | 652 | ||||||||||||||||
| 08/11/2021 | JPM | USD | 925,324 | IDR | 13,543,039,000 | 18,106 | ||||||||||||||||
| 07/16/2021 | GS | USD | 280,000 | INR | 20,645,520 | 2,777 | ||||||||||||||||
| 07/16/2021 | MSCI | USD | 503,228 | INR | 38,255,384 | 20,748 | ||||||||||||||||
| 06/09/2021 | BCLY | USD | 760,000 | JPY | 82,561,080 | (5,914 | ) | |||||||||||||||
| 06/09/2021 | BOA | USD | 950,000 | JPY | 103,658,804 | (3,214 | ) | |||||||||||||||
| 06/09/2021 | JPM | USD | 1,090,000 | JPY | 117,786,817 | (14,173 | ) | |||||||||||||||
| 06/09/2021 | MSCI | USD | 8,744,352 | JPY | 946,342,602 | (100,766 | ) | |||||||||||||||
| 08/13/2021 | MSCI | USD | 868,235 | KRW | 972,414,317 | 9,053 | ||||||||||||||||
| 07/21/2021 | MSCI | USD | 1,243,477 | MXN | 24,896,155 | (836 | ) | |||||||||||||||
| 06/14/2021 | BCLY | USD | 830,000 | NOK | 6,999,266 | 11,725 | ||||||||||||||||
| 06/14/2021 | JPM | USD | 1,160,000 | NOK | 9,887,870 | 29,106 | ||||||||||||||||
| 06/14/2021 | MSCI | USD | 2,750,000 | NOK | 23,288,023 | 50,597 | ||||||||||||||||
| 08/19/2021 | JPM | USD | 712,164 | PEN | 2,632,516 | (22,638 | ) | |||||||||||||||
| 07/21/2021 | BCLY | USD | 210,000 | PHP | 10,144,260 | 2,008 | ||||||||||||||||
| 08/17/2021 | MSCI | USD | 45,412 | PLN | 170,286 | 1,081 | ||||||||||||||||
| 08/12/2021 | BCLY | USD | 1,244,381 | RUB | 93,928,520 | 22,160 | ||||||||||||||||
| 08/05/2021 | JPM | USD | 1,920,000 | SEK | 16,221,080 | 37,782 | ||||||||||||||||
| 08/05/2021 | MSCI | USD | 8,803,753 | SEK | 74,313,363 | 165,401 | ||||||||||||||||
| 07/15/2021 | MSCI | USD | 338,975 | SGD | 454,887 | 5,254 | ||||||||||||||||
| 07/28/2021 | JPM | USD | 245,386 | TWD | 6,789,521 | 2,909 | ||||||||||||||||
| 07/30/2021 | CITI | USD | 50,000 | ZAR | 720,331 | 1,998 | ||||||||||||||||
| 07/30/2021 | MSCI | USD | 1,058,160 | ZAR | 15,342,789 | 49,373 | ||||||||||||||||
|
|
| |||||||||||||||||||||
| $ | 21,116 | |||||||||||||||||||||
|
|
| |||||||||||||||||||||
Futures Contracts
| Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||||
| Buys | |||||||||||||||||||||
| 22 | U.S. Long Bond (CBT) | September 2021 | 3,443,688 | 4,552 | |||||||||||||||||
| 54 | U.S. Treasury Note 10 Yr. (CBT) | September 2021 | 7,124,625 | 8,683 | |||||||||||||||||
| 125 | U.S. Treasury Note 2 Yr. (CBT) | September 2021 | 27,591,797 | 5,090 | |||||||||||||||||
| 217 | U.S. Treasury Note 5 Yr. (CBT) | September 2021 | 26,875,789 | 25,343 | |||||||||||||||||
| 57 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2021 | 8,262,328 | 17,482 | |||||||||||||||||
| 75 | U.S. Ultra Bond (CBT) | September 2021 | 13,893,750 | 62,044 | |||||||||||||||||
|
|
|
|
| ||||||||||||||||||
| $ | 87,191,977 | $ | 123,194 | ||||||||||||||||||
|
|
|
|
| ||||||||||||||||||
| Sales | |||||||||||||||||||||
| 8 | U.S. Treasury Note 2 Yr. (CBT) | September 2021 | 1,765,875 | (581 | ) | ||||||||||||||||
| 13 | U.S. Ultra Bond (CBT) | September 2021 | 2,408,250 | (9,383 | ) | ||||||||||||||||
|
|
|
|
| ||||||||||||||||||
| $ | 4,174,125 | $ | (9,964 | ) | |||||||||||||||||
|
|
|
|
| ||||||||||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
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) ($) | |||||||||||||||||||
| 0.25% | 3 Month AUD BBSW | AUD | 17,500,000 | 06/16/2023 | Quarterly | (11,449 | ) | (15,177 | ) | (3,728 | ) | |||||||||||||||
| 3 Month AUD BBSW | 0.20% | AUD | 8,080,000 | 06/16/2023 | Quarterly | — | 411 | 411 | ||||||||||||||||||
| 0.16% | 3 Month AUD BBSW | AUD | 4,660,000 | 06/16/2023 | Quarterly | — | 2,419 | 2,419 | ||||||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 45,410,000 | 06/16/2023 | Annually | (1,671 | ) | (41,680 | ) | (40,009 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 13,630,000 | 06/16/2023 | Annually | (1,822 | ) | (10,580 | ) | (8,758 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.14% | GBP | 5,140,000 | 06/16/2023 | Annually | 213 | (1,514 | ) | (1,727 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND | 0.15% | GBP | 4,870,000 | 06/16/2023 | Annually | — | 359 | 359 | ||||||||||||||||||
| 0.65% | 3 Month NZD Bank Bill Rate | NZD | 36,130,000 | 06/16/2023 | Quarterly | — | (17,932 | ) | (17,932 | ) | ||||||||||||||||
| 0.64% | 3 Month NZD Bank Bill Rate | NZD | 2,780,000 | 06/16/2023 | Quarterly | (1,046 | ) | (879 | ) | 167 | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.48% | NZD | 10,050,000 | 06/16/2023 | Quarterly | (617 | ) | (19,782 | ) | (19,165 | ) | |||||||||||||||
| 0.50% | 3 Month NZD Bank Bill Rate | NZD | 7,980,000 | 06/16/2023 | Quarterly | — | 13,867 | 13,867 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.55% | NZD | 5,780,000 | 06/16/2023 | Quarterly | — | (5,545 | ) | (5,545 | ) | ||||||||||||||||
| 0.02% | 3 Month SEK STIBOR | SEK | 52,300,000 | 06/16/2023 | Quarterly | — | 2,406 | 2,406 | ||||||||||||||||||
| 0.71% | 3 Month CAD LIBOR | CAD | 59,360,000 | 06/19/2023 | Semi-Annually | (2,999 | ) | (18,634 | ) | (15,635 | ) | |||||||||||||||
| 3 Month CAD LIBOR | 0.68% | CAD | 15,450,000 | 06/19/2023 | Semi-Annually | 624 | (2,073 | ) | (2,697 | ) | ||||||||||||||||
| 3 Month CAD LIBOR | 0.69% | CAD | 5,050,000 | 06/19/2023 | Semi-Annually | — | (343 | ) | (343 | ) | ||||||||||||||||
| 6 Month EURIBOR | (0.45)% | EUR | 13,110,000 | 06/21/2023 | Semi-Annually | 4,230 | 4,658 | 428 | ||||||||||||||||||
| (0.50)% | 6 Month EURIBOR | EUR | 6,700,000 | 06/21/2023 | Semi-Annually | — | 5,589 | 5,589 | ||||||||||||||||||
| 0.30% | 3 Month USD LIBOR | USD | 21,030,000 | 06/21/2023 | Quarterly | (9,820 | ) | (29,313 | ) | (19,493 | ) | |||||||||||||||
| 1.82% | 6 Month AUD BBSW | AUD | 1,760,000 | 06/16/2031 | Semi-Annually | — | (13,624 | ) | (13,624 | ) | ||||||||||||||||
| 6 Month AUD BBSW | 1.90% | AUD | 8,180,000 | 06/16/2031 | Semi-Annually | 3,939 | 110,541 | 106,602 | ||||||||||||||||||
| 6 Month AUD BBSW | 1.89% | AUD | 3,790,000 | 06/16/2031 | Semi-Annually | 4,128 | 48,447 | 44,319 | ||||||||||||||||||
| 6 Month AUD BBSW | 1.78% | AUD | 8,250,000 | 06/16/2031 | Semi-Annually | (9,868 | ) | 39,751 | 49,619 | |||||||||||||||||
| 6 Month AUD BBSW | 1.70% | AUD | 1,010,000 | 06/16/2031 | Semi-Annually | — | (1,111 | ) | (1,111 | ) | ||||||||||||||||
| 3 Month CAD LIBOR | 1.98% | CAD | 33,800,000 | 06/16/2031 | Semi-Annually | 432 | 161,546 | 161,114 | ||||||||||||||||||
| 3 Month CAD LIBOR | 1.97% | CAD | 8,560,000 | 06/16/2031 | Semi-Annually | 2,657 | 34,280 | 31,623 | ||||||||||||||||||
| 3 Month CAD LIBOR | 2.04% | CAD | 15,820,000 | 06/16/2031 | Semi-Annually | 5 | 150,995 | 150,990 | ||||||||||||||||||
| 1.97% | 3 Month CAD LIBOR | CAD | 950,000 | 06/16/2031 | Semi-Annually | — | (4,136 | ) | (4,136 | ) | ||||||||||||||||
| 2.00% | 3 Month CAD LIBOR | CAD | 940,000 | 06/16/2031 | Semi-Annually | — | (6,168 | ) | (6,168 | ) | ||||||||||||||||
| 2.00% | 3 Month CAD LIBOR | CAD | 3,040,000 | 06/16/2031 | Semi-Annually | — | (20,771 | ) | (20,771 | ) | ||||||||||||||||
| 1.95% | 3 Month CAD LIBOR | CAD | 2,890,000 | 06/16/2031 | Semi-Annually | (445 | ) | (6,535 | ) | (6,090 | ) | |||||||||||||||
| 6 Month CHF LIBOR | 0.03% | CHF | 4,650,000 | 06/16/2031 | Semi-Annually | (5,129 | ) | (5,056 | ) | 73 | ||||||||||||||||
| 6 Month CHF LIBOR | 0.04% | CHF | 1,040,000 | 06/16/2031 | Semi-Annually | — | (779 | ) | (779 | ) | ||||||||||||||||
| 6 Month CHF LIBOR | 0.10% | CHF | 1,150,000 | 06/16/2031 | Semi-Annually | — | 6,995 | 6,995 | ||||||||||||||||||
| 0.73% | GBP - SONIA - COMPOUND | GBP | 14,450,000 | 06/16/2031 | Annually | 4,779 | 102,399 | 97,620 | ||||||||||||||||||
| 0.77% | GBP - SONIA - COMPOUND | GBP | 13,430,000 | 06/16/2031 | Annually | 29,038 | 18,349 | (10,689 | ) | |||||||||||||||||
| 0.80% | GBP - SONIA - COMPOUND | GBP | 11,890,000 | 06/16/2031 | Annually | (6,432 | ) | (32,803 | ) | (26,371 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.82% | GBP | 1,980,000 | 06/16/2031 | Annually | — | 11,452 | 11,452 | ||||||||||||||||||
| 0.78% | GBP - SONIA - COMPOUND | GBP | 1,020,000 | 06/16/2031 | Annually | — | (710 | ) | (710 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND | 0.81% | GBP | 940,000 | 06/16/2031 | Annually | — | 4,791 | 4,791 | ||||||||||||||||||
| 1.90% | 3 Month NZD Bank Bill Rate | NZD | 2,180,000 | 06/16/2031 | Quarterly | (1,258 | ) | 18,434 | 19,692 | |||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.12% | NZD | 4,650,000 | 06/16/2031 | Quarterly | — | 29,657 | 29,657 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.10% | NZD | 3,740,000 | 06/16/2031 | Quarterly | — | 19,702 | 19,702 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.05% | NZD | 1,580,000 | 06/16/2031 | Quarterly | 9,800 | 2,796 | (7,004 | ) | |||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.00% | NZD | 8,400,000 | 06/16/2031 | Quarterly | 5,212 | (12,824 | ) | (18,036 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.94% | NZD | 1,100,000 | 06/16/2031 | Quarterly | — | (6,711 | ) | (6,711 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.89% | NZD | 640,000 | 06/16/2031 | Quarterly | — | (6,058 | ) | (6,058 | ) | ||||||||||||||||
| 1.93% | 3 Month NZD Bank Bill Rate | NZD | 1,260,000 | 06/16/2031 | Quarterly | — | 8,366 | 8,366 | ||||||||||||||||||
| 3 Month SEK STIBOR | 0.80% | SEK | 10,800,000 | 06/16/2031 | Quarterly | — | (3,455 | ) | (3,455 | ) | ||||||||||||||||
| 6 Month EURIBOR | 0.06% | EUR | 2,040,000 | 06/18/2031 | Semi-Annually | (3,094 | ) | (16,155 | ) | (13,061 | ) | |||||||||||||||
| 0.03% | 6 Month EURIBOR | EUR | 7,290,000 | 06/18/2031 | Semi-Annually | 15,690 | 88,172 | 72,482 | ||||||||||||||||||
| 0.02% | 6 Month EURIBOR | EUR | 3,290,000 | 06/18/2031 | Semi-Annually | 14,789 | 43,354 | 28,565 | ||||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 12,380,000 | 06/18/2031 | Semi-Annually | (17,333 | ) | 114,887 | 132,220 | |||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 1,930,000 | 06/18/2031 | Semi-Annually | 4,323 | 18,340 | 14,017 | ||||||||||||||||||
| 6 Month EURIBOR | 0.15% | EUR | 840,000 | 06/18/2031 | Semi-Annually | — | 2,910 | 2,910 | ||||||||||||||||||
| 6 Month EURIBOR | 0.16% | EUR | 840,000 | 06/18/2031 | Semi-Annually | — | 2,962 | 2,962 | ||||||||||||||||||
| 3 Month USD LIBOR | 1.69% | USD | 3,820,000 | 06/18/2031 | Quarterly | 1,621 | 47,415 | 45,794 | ||||||||||||||||||
| 1.65% | 3 Month USD LIBOR | USD | 29,980,000 | 06/18/2031 | Quarterly | (97,782 | ) | (257,831 | ) | (160,049 | ) | |||||||||||||||
| 1.58% | 3 Month USD LIBOR | USD | 330,000 | 06/18/2031 | Quarterly | (476 | ) | (636 | ) | (160 | ) | |||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
| 1.62% | 3 Month USD LIBOR | USD | 200,000 | 06/18/2031 | Quarterly | — | (1,139 | ) | (1,139 | ) | ||||||||||||||||
| 3 Month USD LIBOR | 1.53% | USD | 1,140,000 | 06/18/2031 | Quarterly | 214 | (3,234 | ) | (3,448 | ) | ||||||||||||||||
| 3 Month USD LIBOR | 1.59% | USD | 1,160,000 | 06/18/2031 | Quarterly | — | 3,066 | 3,066 | ||||||||||||||||||
| 3 Month USD LIBOR | 1.59% | USD | 1,160,000 | 06/18/2031 | Quarterly | — | 2,789 | 2,789 | ||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||
| $ | (69,547 | ) | $ | 558,917 | $ | 628,464 | ||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
| Total Return on iShares Core S&P 500 ETF | 1 Month USD LIBOR plus a spread of 0.17% | GS | USD | 21,912,516 | 06/02/2021 | At Maturity | — | (93,732 | ) | (93,732 | ) | |||||||||||||||||
| Total Return on iShares Core S&P 500 ETF | 1 Month USD LIBOR plus a spread of 0.16% | GS | USD | 24,706,354 | 06/18/2021 | At Maturity | — | (549,249 | ) | (549,249 | ) | |||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
| $ | — | $ | (642,981 | ) | $ | (642,981 | ) | |||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
As of May 31, 2021, 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.
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 is as follows:
Forward Currency Contracts
| Settlement Date | Counterparty | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
| 06/21/2021 | BOA | EUR | 22,211 | USD | 26,620 | (550 | ) | |||||||||||||||
| 06/21/2021 | MSCI | EUR | 2,641,070 | USD | 3,166,511 | (64,301 | ) | |||||||||||||||
| 06/21/2021 | MSCI | USD | 2,878,113 | EUR | 2,400,528 | 58,444 | ||||||||||||||||
|
|
| |||||||||||||||||||||
| $ | (6,407 | ) | ||||||||||||||||||||
|
|
| |||||||||||||||||||||
Futures Contracts
| Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
| Buys | ||||||||||||||
| 405 | U.S. Treasury Note 5 Yr. (CBT) | September 2021 | 50,159,883 | 47,299 | ||||||||||
| 270 | U.S. Treasury Note 10 Yr. (CBT) | September 2021 | 35,623,125 | 43,414 | ||||||||||
| 312 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2021 | 45,225,375 | 95,690 | ||||||||||
| 1 | U.S. Ultra Bond (CBT) | September 2021 | 185,250 | 846 | ||||||||||
|
|
|
|
| |||||||||||
| $ | 131,193,633 | $ | 187,249 | |||||||||||
|
|
|
|
| |||||||||||
| Sales | ||||||||||||||
| 40 | U.S. Treasury Note 2 Yr. (CBT) | September 2021 | $ | 8,829,375 | $ | (2,903 | ) | |||||||
|
|
|
|
| |||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Written Options
| Description | Counterparty | Exercise Rate | Expiration Date | Principal/Notional | Floating Rate Index | Pay/ | Value ($) | |||||||||||||||||
| Written Options on Credit Default Swaps – Puts |
| |||||||||||||||||||||||
| CDX.NA.IGS.36.V1-5Y | BCLY | 62.50 | % | 07/21/21 | USD | (64,810,000 | ) | Fixed Spread | Pay | (43,763) | ||||||||||||||
| CDX.NA.HYS.36.V1-5Y | GS | 106.00 | % | 07/21/21 | USD | (15,902,400 | ) | Fixed Spread | Pay | (42,952) | ||||||||||||||
| CDX.NA.IGS.36.V1-5Y | GS | 67.50 | % | 08/18/21 | USD | (66,260,000 | ) | Fixed Spread | Pay | (60,724) | ||||||||||||||
|
| ||||||||||||||||||||||||
| TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS – PUTS (Premiums $281,600) | $(147,439) | |||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity | Notional Amount | Annual Premium | Implied Credit Spread(1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract(2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||
| ITRAXX.XOVERS.30.V3-5Y | EUR | 21,745,573 | 5.00% | 1.49% | N/A | 12/20/2023 | Quarterly | (2,273,176 | ) | (2,357,312 | ) | (84,136 | ) | |||||||||||||||||||||||
| CDX.NA.IGS.33.V1-5Y | USD | 49,070,000 | 1.00% | 0.46% | N/A | 12/20/2024 | Quarterly | (417,804 | ) | (944,499 | ) | (526,695 | ) | |||||||||||||||||||||||
| ITRAXX.EUROPES.32.V1-5Y | EUR | 29,470,000 | 1.00% | 0.37% | N/A | 12/20/2024 | Quarterly | (859,948 | ) | (810,923 | ) | 49,025 | ||||||||||||||||||||||||
| ITRAXX.EUROPES.34.V1-5Y | EUR | 20,633,760 | 1.00% | 0.42% | N/A | 12/20/2025 | Quarterly | (648,690 | ) | (668,323 | ) | (19,633 | ) | |||||||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | USD | 15,902,400 | 5.00% | 2.88% | N/A | 06/20/2026 | Quarterly | (1,439,962 | ) | (1,541,658 | ) | (101,696 | ) | |||||||||||||||||||||||
| CDX.NA.IGS.36.V1-5Y | USD | 131,070,000 | 1.00% | 0.51% | N/A | 06/20/2026 | Quarterly | (3,095,309 | ) | (3,203,351 | ) | (108,042 | ) | |||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||
| CDX.NA.IGS.28.V1-5Y | USD | 17,200,000 | 1.00% | 0.25% | 17,200,000 USD | 06/20/2022 | Quarterly | 300,982 | 139,097 | (161,885 | ) | |||||||||||||||||||||||||
| CDX.NA.HYS.33.V3-5Y | USD | 2,300,650 | 5.00% | 2.13% | 2,300,650 USD | 12/20/2024 | Quarterly | 78,900 | 224,640 | 145,740 | ||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
| $ | (8,355,007 | ) | $ | (9,162,329 | ) | $ | (807,322 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity | Counter- | Notional | 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.27.V2-5Y | JPM | USD | 4,300,000 | 5.00% | 0.25% | N/A | 12/20/2021 | Quarterly | (11,825 | ) | (116,747 | ) | (104,922 | ) | ||||||||||||||||||||||||
| CDX.NA.HYS.27.V2-5Y | GS | USD | 4,458,000 | 5.00% | 0.25% | N/A | 12/20/2021 | Quarterly | 11,145 | (121,036 | ) | (132,181 | ) | |||||||||||||||||||||||||
| D.R. Horton, Inc. | BCLY | USD | 17,200,000 | 1.00% | 0.11% | N/A | 06/20/2022 | Quarterly | (165,250 | ) | (163,768 | ) | 1,482 | |||||||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y | JPM | USD | 6,425,250 | 5.00% | 1.79% | N/A | 12/20/2022 | Quarterly | (282,711 | ) | (324,396 | ) | (41,685 | ) | ||||||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y | MORD | USD | 3,450,800 | 5.00% | 1.79% | N/A | 12/20/2022 | Quarterly | (188,414 | ) | (174,223 | ) | 14,191 | |||||||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y | JPM | USD | 870,000 | 5.00% | 1.79% | N/A | 12/20/2022 | Quarterly | (51,765 | ) | (43,924 | ) | 7,841 | |||||||||||||||||||||||||
| Navient Corp. | GS | USD | 2,700,000 | 5.00% | 1.59% | N/A | 12/20/2022 | Quarterly | (277,471 | ) | (143,426 | ) | 134,045 | |||||||||||||||||||||||||
| Navient Corp. | BCLY | USD | 2,082,800 | 5.00% | 1.59% | N/A | 12/20/2022 | Quarterly | (160,628 | ) | (110,641 | ) | 49,987 | |||||||||||||||||||||||||
| Navient Corp. | BCLY | USD | 3,435,200 | 5.00% | 1.59% | N/A | 12/20/2022 | Quarterly | (264,646 | ) | (182,481 | ) | 82,165 | |||||||||||||||||||||||||
| Navient Corp. | GS | USD | 4,050,000 | 5.00% | 1.59% | N/A | 12/20/2022 | Quarterly | (421,122 | ) | (215,140 | ) | 205,982 | |||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y | CITI | USD | 3,941,000 | 5.00% | 3.70% | N/A | 12/20/2023 | Quarterly | (15,370 | ) | (129,507 | ) | (114,137 | ) | ||||||||||||||||||||||||
| ITRAXX.EUROPES.32.V1-5Y | BOA | EUR | 10,000,000 | 1.00% | 1.29% | N/A | 12/20/2024 | Quarterly | 748,704 | 125,211 | (623,493 | ) | ||||||||||||||||||||||||||
| ITRAXX.EUROPES.32.V1-5Y | GS | EUR | 2,000,000 | 1.00% | 1.29% | N/A | 12/20/2024 | Quarterly | 28,257 | 25,042 | (3,215 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.7 | CGMI | USD | 1,420,000 | 2.00% | 4.83% | N/A | 01/17/2047 | Monthly | 89,177 | 90,725 | 1,548 | |||||||||||||||||||||||||||
| CMBX.NA.AA.7 | GS | USD | 5,000,000 | 1.50% | 2.13% | N/A | 01/17/2047 | Monthly | 7,975 | 73,184 | 65,209 | |||||||||||||||||||||||||||
| CMBX.NA.AS.7 | DB | USD | 7,608,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | (119,899 | ) | (33,927 | ) | 85,972 | |||||||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
OTC Credit Default Swaps — continued
| Reference Entity | Counter- | Notional | 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.AS.7 | MORD | USD | 13,270,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 205,782 | (59,176 | ) | (264,958 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AS.7 | BOA | USD | 4,505,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 47,352 | (20,089 | ) | (67,441 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AS.7 | DB | USD | 16,677,794 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 197,704 | (74,373 | ) | (272,077 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AS.7 | GS | USD | 4,400,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 112,812 | (19,621 | ) | (132,433 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AA.11 | CGMI | USD | 4,626,000 | 1.50% | 1.27% | N/A | 11/18/2054 | Monthly | (63,740 | ) | (64,777 | ) | (1,037 | ) | ||||||||||||||||||||||||||
| CMBX.NA.AA.11 | MORD | USD | 4,624,500 | 1.50% | 1.27% | N/A | 11/18/2054 | Monthly | (61,371 | ) | (64,756 | ) | (3,385 | ) | ||||||||||||||||||||||||||
| CMBX.NA.AA.11 | MORD | USD | 4,624,500 | 1.50% | 1.27% | N/A | 11/18/2054 | Monthly | (67,279 | ) | (64,756 | ) | 2,523 | |||||||||||||||||||||||||||
| CMBX.NA.AA.8 | CSI | USD | 8,892,000 | 1.50% | 1.36% | N/A | 10/17/2057 | Monthly | 247,717 | (40,214 | ) | (287,931 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AS.8 | MORD | USD | 3,384,000 | 1.00% | 0.79% | N/A | 10/17/2057 | Monthly | 140,432 | (23,646 | ) | (164,078 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AS.8 | CGMI | USD | 8,892,000 | 1.00% | 0.79% | N/A | 10/17/2057 | Monthly | 73,095 | (62,134 | ) | (135,229 | ) | |||||||||||||||||||||||||||
| CMBX.NA.BBB-.8 | GS | USD | 6,889,000 | 3.00% | 8.20% | N/A | 10/17/2057 | Monthly | 1,034,610 | 1,051,142 | 16,532 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.8 | GS | USD | 4,224,000 | 3.00% | 8.20% | N/A | 10/17/2057 | Monthly | 400,908 | 644,509 | 243,601 | |||||||||||||||||||||||||||||
| CMBX.NA.AAA.9 | GS | USD | 10,000,000 | 0.50% | 0.27% | N/A | 09/17/2058 | Quarterly | (102,116 | ) | (100,029 | ) | 2,087 | |||||||||||||||||||||||||||
| CMBX.NA.AAA.9 | MORD | USD | 630,300 | 0.50% | 0.27% | N/A | 09/17/2058 | Monthly | (6,437 | ) | (6,305 | ) | 132 | |||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | CGMI | USD | 2,500,000 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 290,109 | 246,973 | (43,136 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | CGMI | USD | 1,500,000 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 175,119 | 148,184 | (26,935 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | MORD | USD | 2,585,000 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 63,490 | 255,371 | 191,881 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | MORD | USD | 5,116,800 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 584,727 | 505,485 | (79,242 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | DB | USD | 4,263,000 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 517,160 | 421,139 | (96,021 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | CGMI | USD | 3,425,200 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 955,105 | 338,373 | (616,732 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.A.6 | CGMI | USD | 2,840,000 | 2.00% | 9.51% | N/A | 05/11/2063 | Monthly | 340,957 | 250,796 | (90,161 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.AA.6 | GS | USD | 5,000,000 | 1.50% | 2.36% | N/A | 05/11/2063 | Monthly | 35,145 | 52,459 | 17,314 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.6 | CGMI | USD | 4,274,000 | 3.00% | 29.52% | N/A | 05/11/2063 | Monthly | 1,357,351 | 1,202,440 | (154,911 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BB.13 | GS | USD | 4,960,000 | 5.00% | 6.66% | N/A | 12/16/2072 | Monthly | 489,036 | 512,758 | 23,722 | |||||||||||||||||||||||||||||
| CMBX.NA.BB.13 | GS | USD | 5,000,000 | 5.00% | 6.66% | N/A | 12/16/2072 | Monthly | 491,910 | 516,893 | 24,983 | |||||||||||||||||||||||||||||
| CMBX.NA.BB.13 | GS | USD | 3,000,000 | 5.00% | 6.66% | N/A | 12/16/2072 | Monthly | 295,146 | 310,136 | 14,990 | |||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.27.V2-5Y | JPM | USD | 8,600,000 | 5.00% | 0.07% | 8,600,000 USD | 12/20/2021 | Quarterly | 1,143,800 | 242,221 | (901,579 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.27.V2-5Y | GS | USD | 2,084,000 | 5.00% | 0.07% | 2,084,000 USD | 12/20/2021 | Quarterly | 268,315 | 58,696 | (209,619 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.27.V3-5Y | BOA | USD | 8,545,000 | 5.00% | 0.07% | 8,545,000 USD | 12/20/2021 | Quarterly | 1,369,764 | 240,672 | (1,129,092 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.27.V3-5Y | JPM | USD | 7,735,000 | 5.00% | 0.07% | 7,735,000 USD | 12/20/2021 | Quarterly | 1,096,050 | 217,858 | (878,192 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y | MORD | USD | 4,264,000 | 5.00% | 0.33% | 4,264,000 USD | 12/20/2022 | Quarterly | 644,716 | 315,028 | (329,688 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y | BOA | USD | 5,115,600 | 5.00% | 0.33% | 5,115,600 USD | 12/20/2022 | Quarterly | 742,274 | 377,946 | (364,328 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.29.V6-5Y | CITI | USD | 5,994,100 | 5.00% | 0.33% | 5,994,100 USD | 12/20/2022 | Quarterly | 229,274 | 442,850 | 213,576 | |||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V1-5Y | JPM | USD | 18,156,815 | 5.00% | 0.14% | 18,156,815 USD | 12/20/2023 | Quarterly | 3,615,022 | 2,261,325 | (1,353,697 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y | CITI | USD | 2,866,000 | 5.00% | 0.77% | 2,866,000 USD | 12/20/2023 | Quarterly | 293,765 | 312,275 | 18,510 | |||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y | CITI | USD | 4,657,000 | 5.00% | 0.77% | 4,657,000 USD | 12/20/2023 | Quarterly | 492,478 | 507,420 | 14,942 | |||||||||||||||||||||||||||||
| ITRAXX.XOVERS.30.V3-5Y | JPM | EUR | 655,580 | 5.00% | 28.82% | 655,580 EUR | 12/20/2023 | Quarterly | (487,842 | ) | (360,900 | ) | 126,942 | |||||||||||||||||||||||||||
| ITRAXX.XOVERS.30.V4-5Y | JPM | EUR | 158,684 | 5.00% | 28.82% | 158,684 EUR | 12/20/2023 | Quarterly | (110,801 | ) | (87,356 | ) | 23,445 | |||||||||||||||||||||||||||
| CDX.NA.HYS.33.V1-5Y | GS | USD | 25,938,066 | 5.00% | 0.29% | 25,938,066 USD | 12/20/2024 | Quarterly | 5,736,852 | 4,303,126 | (1,433,726 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.33.V12-5Y | CITI | USD | 10,746,000 | 5.00% | 0.29% | 10,746,000 USD | 12/20/2024 | Quarterly | 1,826,954 | 1,782,762 | (44,192 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.33.V12-5Y | MORD | USD | 2,840,000 | 5.00% | 0.29% | 2,840,000 USD | 12/20/2024 | Quarterly | 481,871 | 471,156 | (10,715 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.33.V3-5Y | CITI | USD | 4,185,325 | 5.00% | 0.29% | 4,185,325 USD | 12/20/2024 | Quarterly | 442,877 | 694,346 | 251,469 | |||||||||||||||||||||||||||||
| CDX.NA.HYS.33.V3-5Y | GS | USD | 9,506,516 | 5.00% | 0.29% | 9,506,516 USD | 12/20/2024 | Quarterly | 1,343,307 | 1,577,132 | 233,825 | |||||||||||||||||||||||||||||
| CDX.NA.HYS.33.V8-5Y | GS | USD | 6,508,491 | 5.00% | 0.29% | 6,508,491 USD | 12/20/2024 | Quarterly | 1,066,328 | 1,079,758 | 13,430 | |||||||||||||||||||||||||||||
| CDX.NA.IGS.33.V1-5Y | CITI | USD | 1,472,000 | 1.00% | 9.99% | 1,472,000 USD | 12/20/2024 | Quarterly | (820,052 | ) | (411,199 | ) | 408,853 | |||||||||||||||||||||||||||
| ITRAXX.EUROPES.32.V1-5Y | BOA | EUR | 25,000,000 | 1.00% | 0.59% | 25,000,000 EUR | 12/20/2024 | Quarterly | 114,434 | 456,658 | 342,224 | |||||||||||||||||||||||||||||
| ITRAXX.EUROPES.32.V1-5Y | GS | EUR | 58,940,000 | 1.00% | 0.13% | 58,940,000 EUR | 12/20/2024 | Quarterly | 2,667,690 | 2,281,622 | (386,068 | ) | ||||||||||||||||||||||||||||
| ITRAXX.EUROPES.34.V1-5Y | BOA | EUR | 36,846,000 | 1.00% | 0.17% | 36,846,000 USD | 12/20/2025 | Quarterly | 1,774,799 | 1,733,788 | (41,011 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.A.9 | CGMI | USD | 2,500,000 | 2.00% | 2.31% | 2,500,000 USD | 09/17/2058 | Monthly | (74,373 | ) | (32,155 | ) | 42,218 | |||||||||||||||||||||||||||
| CMBX.NA.A.9 | CGMI | USD | 4,000,000 | 2.00% | 2.31% | 4,000,000 USD | 09/17/2058 | Monthly | (100,229 | ) | (51,448 | ) | 48,781 | |||||||||||||||||||||||||||
| CMBX.NA.A.9 | GS | USD | 6,822,400 | 2.00% | 2.31% | 6,822,400 USD | 09/17/2058 | Monthly | 89,487 | (87,751 | ) | (177,238 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AAA.13 | MORD | USD | 7,399,200 | 0.50% | 0.42% | 7,399,200 USD | 12/16/2072 | Monthly | 30,438 | 44,790 | 14,352 | |||||||||||||||||||||||||||||
| CMBX.NA.AAA.13 | MORD | USD | 7,399,200 | 0.50% | 0.42% | 7,399,200 USD | 12/16/2072 | Monthly | 30,438 | 44,790 | 14,352 | |||||||||||||||||||||||||||||
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| $ | 30,588,517 | $ | 22,827,138 | $ | (7,761,379 | ) | ||||||||||||||||||||||||||||||||||
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GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
| ^ | 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 May 31, 2021, 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 | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
| 0.25% | 3 Month USD LIBOR | USD | 9,700,000 | 11/10/2022 | Quarterly | $ | (4,539 | ) | $ | (11,734 | ) | $ | (7,195 | ) | ||||||||||||||
| 0.30% | 3 Month USD LIBOR | USD | 9,750,000 | 08/17/2024 | Quarterly | — | 54,291 | 54,291 | ||||||||||||||||||||
| 0.33% | 3 Month USD LIBOR | USD | 6,880,000 | 10/20/2024 | Quarterly | 3,044 | 42,676 | 39,632 | ||||||||||||||||||||
| 0.35% | 3 Month USD LIBOR | USD | 10,840,000 | 04/19/2025 | Quarterly | 10 | 116,847 | 116,837 | ||||||||||||||||||||
| 0.40% | 3 Month USD LIBOR | USD | 26,300,000 | 10/08/2025 | Quarterly | (3,685 | ) | 377,314 | 380,999 | |||||||||||||||||||
| 0.82% | 3 Month USD LIBOR | USD | 5,480,000 | 01/12/2028 | Quarterly | — | 125,589 | 125,589 | ||||||||||||||||||||
| 1.14% | 3 Month USD LIBOR | USD | 16,400,000 | 03/04/2028 | Quarterly | 29,413 | 54,454 | 25,041 | ||||||||||||||||||||
| 0.88% | 3 Month USD LIBOR | USD | 8,345,000 | 03/06/2028 | Quarterly | 22,934 | 171,177 | 148,243 | ||||||||||||||||||||
| 0.65% | 3 Month USD LIBOR | USD | 5,770,000 | 06/04/2028 | Quarterly | (29,478 | ) | 228,408 | 257,886 | |||||||||||||||||||
| 0.65% | 3 Month USD LIBOR | USD | 5,790,000 | 07/30/2028 | Quarterly | (25,114 | ) | 243,003 | 268,117 | |||||||||||||||||||
| 1.30% | 3 Month USD LIBOR | USD | 10,027,000 | 12/19/2029 | Quarterly | — | 94,098 | 94,098 | ||||||||||||||||||||
| 0.75% | 3 Month USD LIBOR | USD | 5,100,000 | 02/11/2030 | Quarterly | (22,015 | ) | 290,998 | 313,013 | |||||||||||||||||||
| 0.95% | 3 Month USD LIBOR | USD | 2,560,000 | 12/11/2030 | Quarterly | — | 129,931 | 129,931 | ||||||||||||||||||||
| 1.02% | 3 Month USD LIBOR | USD | 7,200,000 | 01/08/2031 | Quarterly | 24,435 | 326,496 | 302,061 | ||||||||||||||||||||
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| $ | (4,995 | ) | $ | 2,243,548 | $ | 2,248,543 | ||||||||||||||||||||||
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OTC Total Return Swaps
| Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
| Total Return on Markit iBoxx USD Liquid Leveraged Loans Index | 3 Month USD LIBOR | JPM | USD | 11,999,999 | 06/20/2021 | Quarterly | $ | — | $ | (20,309 | ) | $ | (20,309 | ) | ||||||||||||||
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As of May 31, 2021, 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.
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
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
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
GMO U.S. Treasury Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | The rate shown represents yield-to-maturity. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2021. |
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.
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. 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.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
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 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 period ended May 31, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.
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 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; 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 May 31, 2021:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Asset Allocation Bond Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations | ||||||||||||||||
| U.S. Government | $ | 74,540,062 | $ | — | $ | — | $ | 74,540,062 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 74,540,062 | — | — | 74,540,062 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | 1,651,202 | — | — | 1,651,202 | ||||||||||||
| Short-Term Investments | 401,706 | — | — | 401,706 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 76,592,970 | — | — | 76,592,970 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 76,592,970 | $ | — | $ | — | $ | 76,592,970 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Emerging Country Debt Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 22,960,907 | $ | — | $ | 22,960,907 | ||||||||
| Corporate Debt | — | 160,048,959 | 25,458,640 | 185,507,599 | ||||||||||||
| Foreign Government Agency | — | 1,038,261,380 | 91,604,290 | 1,129,865,670 | ||||||||||||
| Foreign Government Obligations | — | 2,327,355,727 | 142,996,168 | 2,470,351,895 | ||||||||||||
| U.S. Government | 281,051,473 | — | — | 281,051,473 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 281,051,473 | 3,548,626,973 | 260,059,098 | 4,089,737,544 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Loan Assignments | — | — | 23,792,724 | 23,792,724 | ||||||||||||
| Loan Participations | — | — | 39,542,770 | 39,542,770 | ||||||||||||
| Mutual Funds | 74,784,247 | — | — | 74,784,247 | ||||||||||||
| Rights/Warrants | — | 19,248,082 | 33,187 | 19,281,269 | ||||||||||||
| Short-Term Investments | 49,728,573 | 6,491,690 | — | 56,220,263 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 405,564,293 | 3,574,366,745 | 323,427,779 | 4,303,358,817 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | 319,988 | — | 319,988 | ||||||||||||
| Options | ||||||||||||||||
| Credit Risk | — | — | 707,818 | 707,818 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | 15,517,217 | — | 15,517,217 | ||||||||||||
| Interest Rate Risk | — | 3,257,867 | — | 3,257,867 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 405,564,293 | $ | 3,593,461,817 | $ | 324,135,597 | $ | 4,323,161,707 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | $ | — | $ | (5,758,833 | ) | $ | — | $ | (5,758,833 | ) | ||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | (4,034,670 | ) | — | (4,034,670 | ) | ||||||||||
| Interest Rate Risk | — | (171,359 | ) | — | (171,359 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | — | $ | (9,964,862 | ) | $ | — | $ | (9,964,862 | ) | ||||||
|
|
|
|
|
|
|
|
| |||||||||
| High Yield Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations | ||||||||||||||||
| Corporate Debt | $ | — | $ | 33,679,881 | $ | — | $ | 33,679,881 | ||||||||
| U.S. Government | 150,146 | — | — | 150,146 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 150,146 | 33,679,881 | — | 33,830,027 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 51,759,451 | 9,105,837 | — | 60,865,288 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 51,909,597 | 42,785,718 | — | 94,695,315 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| High Yield Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Derivatives^ | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| Interest Rate Risk | $ | 16,891 | $ | — | $ | — | $ | 16,891 | ||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | 2,529,877 | — | 2,529,877 | ||||||||||||
| Equity Risk | — | 38,832 | — | 38,832 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 51,926,488 | $ | 45,354,427 | $ | — | $ | 97,280,915 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | $ | — | $ | (21,838 | ) | $ | — | $ | (21,838 | ) | ||||||
| Futures Contracts | ||||||||||||||||
| Interest Rate Risk | (12,738 | ) | — | — | (12,738 | ) | ||||||||||
| Written Options | ||||||||||||||||
| Credit Risk | — | (145,492 | ) | — | (145,492 | ) | ||||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | (1,147,441 | ) | — | (1,147,441 | ) | ||||||||||
| Equity Risk | — | (2,450 | ) | — | (2,450 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (12,738 | ) | $ | (1,317,221 | ) | $ | — | $ | (1,329,959 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
| Multi-Sector Fixed Income Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations | ||||||||||||||||
| Corporate Debt | $ | — | $ | 56,509,990 | $ | — | $ | 56,509,990 | ||||||||
| U.S. Government Agency | — | 26,311,096 | — | 26,311,096 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | — | 82,821,086 | — | 82,821,086 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Investment Funds | 47,266,965 | — | — | 47,266,965 | ||||||||||||
| Mutual Funds | 47,825,447 | — | — | 47,825,447 | ||||||||||||
| Short-Term Investments | 9,297,080 | 24,812,417 | — | 34,109,497 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 104,389,492 | 107,633,503 | — | 212,022,995 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | 1,309,812 | — | 1,309,812 | ||||||||||||
| Futures Contracts | ||||||||||||||||
| Interest Rate Risk | 123,194 | — | — | 123,194 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Interest Rate Risk | — | 1,122,105 | — | 1,122,105 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 104,512,686 | $ | 110,065,420 | $ | — | $ | 214,578,106 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | $ | — | $ | (1,288,696 | ) | $ | — | $ | (1,288,696 | ) | ||||||
| Futures Contracts | ||||||||||||||||
| Interest Rate Risk | (9,964 | ) | — | — | (9,964 | ) | ||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | (642,981 | ) | — | (642,981 | ) | ||||||||||
| Interest Rate Risk | — | (563,188 | ) | — | (563,188 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (9,964 | ) | $ | (2,494,865 | ) | $ | — | $ | (2,504,829 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Opportunistic Income Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 599,708,390 | $ | 41,939,933 | $ | 641,648,323 | ||||||||
| Corporate Debt | — | 8,740,311 | — | 8,740,311 | ||||||||||||
| U.S. Government | 90,026,977 | — | — | 90,026,977 | ||||||||||||
| U.S. Government Agency | — | 15,901,503 | 9,597,672 | 25,499,175 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 90,026,977 | 624,350,204 | 51,537,605 | 765,914,786 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | 11,003,541 | — | — | 11,003,541 | ||||||||||||
| Short-Term Investments | 187,737,133 | — | — | 187,737,133 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 288,767,651 | 624,350,204 | 51,537,605 | 964,655,460 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | 58,444 | — | 58,444 | ||||||||||||
| Futures Contracts | ||||||||||||||||
| Interest Rate Risk | 187,249 | — | — | 187,249 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | 26,580,776 | — | 26,580,776 | ||||||||||||
| Interest Rate Risk | — | 2,255,282 | — | 2,255,282 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 288,954,900 | $ | 653,244,706 | $ | 51,537,605 | $ | 993,737,211 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Debt Obligations | ||||||||||||||||
| U.S. Government Agency | $ | — | $ | (60,605,872 | ) | $ | — | $ | (60,605,872 | ) | ||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | (64,851 | ) | — | (64,851 | ) | ||||||||||
| Futures Contracts | ||||||||||||||||
| Interest Rate Risk | (2,903 | ) | — | — | (2,903 | ) | ||||||||||
| Written Options | ||||||||||||||||
| Credit Risk | — | (147,439 | ) | — | (147,439 | ) | ||||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | (12,915,967 | ) | — | (12,915,967 | ) | ||||||||||
| Interest Rate Risk | — | (32,043 | ) | — | (32,043 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (2,903 | ) | $ | (73,766,172 | ) | $ | — | $ | (73,769,075 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
| U.S. Treasury Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Short-Term Investments | $ | 327,499,749 | $ | — | $ | — | $ | 327,499,749 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 327,499,749 | — | — | 327,499,749 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 327,499,749 | $ | — | $ | — | $ | 327,499,749 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| ^ | 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. |
The underlying funds held at period 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, 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 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 ten asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt or valued based on a comparable bond. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2021.
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 | 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 May 31, | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021 | |||||||||||||||||||||||||||||||
| Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||
| Debt Obligations |
| |||||||||||||||||||||||||||||||||||||||
| Corporate Debt | $ | 27,230,315 | $ | — | $ | — | $ | (431 | ) $ | — | $ | (1,771,244 | ) | $ | — | $ | — | $ | 25,458,640 | $ | (1,771,244 | ) | ||||||||||||||||||
| Foreign Government Agency | 91,338,775 | — | — | 4,444,226 | — | (4,178,711 | ) | — | — | 91,604,290 | (4,178,711 | ) | ||||||||||||||||||||||||||||
| Foreign Government Obligations | 141,279,144 | 17,664 | — | 5,403,606 | — | (3,704,246 | ) | — | — | 142,996,168 | (3,704,246 | ) | ||||||||||||||||||||||||||||
| Loan Assignments | 23,371,890 | — | (1,035,659 | ) | 321,364 | — | 1,135,129 | — | — | 23,792,724 | 1,135,129 | |||||||||||||||||||||||||||||
| Loan Participations | 39,866,840 | — | (7,182,521 | ) | 698,796 | — | 6,159,655 | — | — | 39,542,770 | 6,159,655 | |||||||||||||||||||||||||||||
| Rights/Warrants | 34,800 | — | — | — | — | (1,613 | ) | — | — | 33,187 | (1,613 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
| Total Investments | 323,121,764 | 17,664 | (8,218,180 | ) | 10,867,561 | — | (2,361,030 | ) | — | — | 323,427,779 | (2,361,030 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
| Derivatives | ||||||||||||||||||||||||||||||||||||||||
| Options | 390,519 | — | — | — | 793,216 | (475,917 | ) | — | — | 707,818 | (406,947 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
| Total | $ | 323,512,283 | $ | 17,664 | $ | 8,218,180 | # | $ | 10,867,561 | $ | 793,216 | $ | (2,836,947 | ) | $ | — | $ | — | $ | 324,135,597 | $ | (2,767,977 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
| Opportunistic Income Fund | ||||||||||||||||||||||||||||||||||||||||
| Debt Obligations |
| |||||||||||||||||||||||||||||||||||||||
| Asset-Backed Securities | $ | 42,612,548 | $ | — | $ | (1,663,394 | ) | $ | 67,779 | $ | — | $ | 923,000 | $ | — | $ | — | $ | 41,939,933 | $ | 923,000 | |||||||||||||||||||
| U.S. Government Agency | 9,938,002 | — | (375,000 | ) | — | 878 | 33,792 | — | — | 9,597,672 | 33,792 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
| Total | $ | 52,550,550 | $ | — | $ | (2,038,394 | )# # | $ | 67,779 | $ | 878 | $ | 956,792 | $ | — | $ | — | $ | 51,537,605 | $ | 956,792 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
| # | Includes $2,569,204 of proceeds received from partial calls and/or principal paydowns as applicable. |
| ## | Includes $2,038,395 of proceeds received from partial calls and/or principal paydowns as applicable. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2021 for Funds with material Level 3 investments.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||
| Emerging Country Debt Fund | ||||||||||
| Foreign Government Obligations | 45,630,216 | Fair Value | Discount for lack of liquidity/marketability | 1.40% (N/A) | ||||||
| Corporate Debt | 25,458,640 | Fair Value | Discount for lack of liquidity/marketability | 2.00% (N/A) | ||||||
| Loan Assignments and Participations | 5,176,986 | Fair Value | Discount for lack of liquidity/marketability | 5.00%-6.00% (5.02%) | ||||||
| Options | 707,818 | Fair Value | Probability of CDS threshold event | <5% (N/A) | ||||||
| Opportunistic Income Fund | ||||||||||
| Asset-Backed Securities | 3,825,677 | Fair Value | Probability and timing of cash flow receipt | 30-70% (N/A) | ||||||
| Asset-Backed Securities | 34,506,828 | Fair Value | Broker mark of comparable bond | N/A | ||||||
| Government Agency | 9,597,672 | 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 May 31, 2021, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $247,161,937 and $3,607,428, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
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 period ended May 31, 2021 is set forth below:
| Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | 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 | $ | 367 | $ | 3,350,000 | $ | 353 | $ | — | $ | — | $ | 1,651,202 | ||||||||||||||
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| Emerging Country Debt Fund | ||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 74,784,247 | $ | — | $ | — | $ | 11,875 | $ | — | $ | — | $ | 74,784,247 | ||||||||||||||
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| Multi-Sector Fixed Income Fund | ||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV | $ | 8,584,702 | $ | 2,000,000 | $ | — | $ | — | $ | — | $ | 299,324 | $ | 10,884,026 | ||||||||||||||
| GMO Opportunistic Income Fund, Class VI | 27,641,535 | 4,100,000 | — | — | — | 124,433 | 31,865,968 | |||||||||||||||||||||
| GMO U.S. Treasury Fund | 14,825,453 | 8,500,000 | 18,250,000 | 1,334 | — | — | 5,075,453 | |||||||||||||||||||||
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| Totals | $ | 51,051,690 | $ | 14,600,000 | $ | 18,250,000 | $ | 1,334 | $ | — | $ | 423,757 | $ | 47,825,447 | ||||||||||||||
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| Opportunistic Income Fund | ||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 11,003,541 | $ | — | $ | — | $ | 1,747 | $ | — | $ | — | $ | 11,003,541 | ||||||||||||||
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| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through May 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022. |
* * *
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
PURCHASED OPTIONS — 0.0%
| Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||
| Equity Options – Puts — 0.0% | ||||||||||||||||||||
| Canadian National Railway Co (g) | 105.00 | 07/16/21 | 216 | USD | 2,431,512 | 31,320 | ||||||||||||||
| Canadian National Railway Co (g) | 110.00 | 07/16/21 | 110 | USD | 1,238,270 | 31,900 | ||||||||||||||
| Canadian Pacific Railway Ltd. | 78.00 | 06/18/21 | 155 | USD | 1,259,530 | 11,625 | ||||||||||||||
| Canadian Pacific Railway Ltd. | 80.00 | 09/17/21 | 226 | USD | 1,836,476 | 85,880 | ||||||||||||||
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| Total Equity Options – Puts | 160,725 | |||||||||||||||||||
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| | TOTAL PURCHASED OPTIONS (COST $217,969) | 160,725 | ||||||||||||||||||
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| ||||||||||||||||||||
| | TOTAL INVESTMENTS — 101.2% (Cost $343,592,002) | 363,219,668 | ||||||||||||||||||
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GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 is as follows:
Forward Currency Contracts
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Forward Currency Contracts (continued)
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Futures Contracts
Written Options
Equity Options
| Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||
| Index Options – Puts |
| |||||||||||||||||||||
| FTSE 100 Index | 7,000.00 | 06/18/21 | (9 | ) | GBP | (632,035 | ) | (10,490 | ) | |||||||||||||
| S&P 500 Index | 4,175.00 | 06/04/21 | (15 | ) | USD | (6,306,165 | ) | (16,275 | ) | |||||||||||||
| S&P 500 Index | 4,155.00 | 06/11/21 | (12 | ) | USD | (5,044,932 | ) | (23,640 | ) | |||||||||||||
| S&P 500 Index | 4,205.00 | 06/18/21 | (14 | ) | USD | (5,885,754 | ) | (68,166 | ) | |||||||||||||
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| |||||||||||||||||||||
| Total Index Options – Puts | (118,571 | ) | ||||||||||||||||||||
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| Description | Counterparty | Exercise | Expiration Date | Principal / Notional Amount | Floating Rate Index | Pay/Receive | Value ($) | |||||||||||||||||||||
| Written Options on Credit Default Swaps – Puts | ||||||||||||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | BOA | 108.00% | 07/21/21 | USD | 10,000,000 | Fixed Spread | Pay | (50,291 | ) | |||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | GS | 106.00% | 07/21/21 | USD | 7,115,000 | Fixed Spread | Pay | (19,218 | ) | |||||||||||||||||||
| CDX.NA.IGS.36.V1-5Y | BCLY | 62.50% | 07/21/21 | USD | 22,250,000 | Fixed Spread | Pay | (15,024 | ) | |||||||||||||||||||
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| Total Written Options on Credit Default Swaps – Puts | (84,533 | ) | ||||||||||||||||||||||||||
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| | TOTAL WRITTEN OPTIONS |
| $ | (203,104 | ) | |||||||||||||||||||||||
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GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity | Notional | 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.EUROPES.34.V1-5Y | EUR | 9,968,000 | 1.00% | 0.42% | N/A | 12/20/2025 | Quarterly | (313,377 | ) | (322,862 | ) | (9,485 | ) | |||||||||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | USD | 4,091,000 | 5.00% | 2.88% | N/A | 06/20/2026 | Quarterly | (393,594 | ) | (396,602 | ) | (3,008 | ) | |||||||||||||||||||||||||
| CDX.NA.HYS.36.V1-5Y | USD | 7,115,000 | 5.00% | 2.88% | N/A | 06/20/2026 | Quarterly | (644,263 | ) | (689,763 | ) | (45,500 | ) | |||||||||||||||||||||||||
| CDX.NA.IGS.36.V1-5Y | USD | 22,250,000 | 1.00% | 0.51% | N/A | 06/20/2026 | Quarterly | (519,823 | ) | (543,790 | ) | (23,967 | ) | |||||||||||||||||||||||||
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| $ | (1,871,057 | ) | $ | (1,953,017 | ) | $ | (81,960 | ) | ||||||||||||||||||||||||||||||
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OTC Credit Default Swaps
| Reference Entity | Counterparty | Notional | 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% | 3.70% | N/A | 12/20/2023 | Quarterly | (6,361 | ) | (53,597 | ) | (47,236 | ) | ||||||||||||||||||||||||||
| ITRAXX.EUROPES.32.V1-5Y | JPM | EUR | 9,600,000 | 1.00% | 1.29% | N/A | 12/20/2024 | Quarterly | 572,808 | 120,203 | (452,605 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | CGMI | USD | 1,110,000 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 128,809 | 109,656 | (19,153 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 | CGMI | USD | 666,000 | 3.00% | 5.56% | N/A | 09/17/2058 | Monthly | 77,753 | 65,794 | (11,959 | ) | ||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y | CITI | USD | 1,928,000 | 5.00% | 0.77% | 1,928,000 USD | 12/20/2023 | Quarterly | 203,886 | 210,072 | 6,186 | |||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y | CITI | USD | 1,187,000 | 5.00% | 0.77% | 1,187,000 USD | 12/20/2023 | Quarterly | 121,668 | 129,334 | 7,666 | |||||||||||||||||||||||||||||
| CDX.NA.HYS.33.V12-5Y | CITI | USD | 4,450,000 | 5.00% | 0.29% | 4,450,000 USD | 12/20/2024 | Quarterly | 756,555 | 738,255 | (18,300 | ) | ||||||||||||||||||||||||||||
| ITRAXX.EUROPES.32.V1-5Y | JPM | EUR | 20,000,000 | 1.00% | 0.59% | 20,000,000 EUR | 12/20/2024 | Quarterly | 116,938 | 365,327 | 248,389 | |||||||||||||||||||||||||||||
| ITRAXX.EUROPES.34.V1-5Y | BOA | EUR | 17,800,000 | 1.00% | 0.17% | 17,800,000 EUR | 12/20/2025 | Quarterly | 857,391 | 837,579 | (19,812 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.A.9 | CGMI | USD | 1,780,000 | 2.00% | 2.31% | 1,780,000 USD | 09/17/2058 | Monthly | (44,602 | ) | (22,895 | ) | 21,707 | |||||||||||||||||||||||||||
| CMBX.NA.A.9 | CGMI | USD | 1,112,500 | 2.00% | 2.31% | 1,112,500 USD | 09/17/2058 | Monthly | (33,096 | ) | (14,309 | ) | 18,787 | |||||||||||||||||||||||||||
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| $ | 2,751,749 | $ | 2,485,419 | $ | (266,330 | ) | ||||||||||||||||||||||||||||||||||
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| ^ | 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 May 31, 2021, 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. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps
| Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
| 0.25% | 3 Month AUD BBSW | AUD | 78,150,000 | 06/16/2023 | Quarterly | (51,130 | ) | (67,778 | ) | (16,648 | ) | |||||||||||||||
| 0.16% | 3 Month AUD BBSW | AUD | 5,160,000 | 06/16/2023 | Quarterly | — | 2,678 | 2,678 | ||||||||||||||||||
| 3 Month AUD BBSW | 0.20% | AUD | 36,660,000 | 06/16/2023 | Quarterly | — | 1,866 | 1,866 | ||||||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 184,790,000 | 06/16/2023 | Annually | (8,071 | ) | (169,608 | ) | (161,537 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 12,880,000 | 06/16/2023 | Annually | (4,220 | ) | (9,997 | ) | (5,777 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.14% | GBP | 9,460,000 | 06/16/2023 | Annually | 882 | (2,786 | ) | (3,668 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND | 0.15% | GBP | 18,570,000 | 06/16/2023 | Annually | — | 1,369 | 1,369 | ||||||||||||||||||
| 0.65% | 3 Month NZD Bank Bill Rate | NZD | 145,530,000 | 06/16/2023 | Quarterly | — | (72,229 | ) | (72,229 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.48% | NZD | 54,800,000 | 06/16/2023 | Quarterly | (4,290 | ) | (107,865 | ) | (103,575 | ) | |||||||||||||||
| 0.50% | 3 Month NZD Bank Bill Rate | NZD | 27,050,000 | 06/16/2023 | Quarterly | — | 47,006 | 47,006 | ||||||||||||||||||
| 0.64% | 3 Month NZD Bank Bill Rate | NZD | 3,560,000 | 06/16/2023 | Quarterly | (1,782 | ) | (1,126 | ) | 656 | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.55% | NZD | 17,710,000 | 06/16/2023 | Quarterly | — | (16,991 | ) | (16,991 | ) | ||||||||||||||||
| 0.02% | 3 Month SEK STIBOR | SEK | 198,100,000 | 06/16/2023 | Quarterly | — | 9,112 | 9,112 | ||||||||||||||||||
| 0.71% | 3 Month CAD LIBOR | CAD | 199,840,000 | 06/19/2023 | Semi-Annually | (16,752 | ) | (62,732 | ) | (45,980 | ) | |||||||||||||||
| 3 Month CAD LIBOR | 0.68% | CAD | 52,680,000 | 06/19/2023 | Semi-Annually | 1,933 | (7,070 | ) | (9,003 | ) | ||||||||||||||||
| 3 Month CAD LIBOR | 0.69% | CAD | 20,640,000 | 06/19/2023 | Semi-Annually | — | (1,400 | ) | (1,400 | ) | ||||||||||||||||
| 6 Month EURIBOR | (0.45)% | EUR | 62,660,000 | 06/21/2023 | Semi-Annually | 20,215 | 22,259 | 2,044 | ||||||||||||||||||
| (0.50)% | 6 Month EURIBOR | EUR | 35,410,000 | 06/21/2023 | Semi-Annually | — | 29,536 | 29,536 | ||||||||||||||||||
| 0.30% | 3 Month USD LIBOR | USD | 70,030,000 | 06/21/2023 | Quarterly | (37,214 | ) | (97,614 | ) | (60,400 | ) | |||||||||||||||
| 1.82% | 6 Month AUD BBSW | AUD | 7,990,000 | 06/16/2031 | Semi-Annually | — | (61,851 | ) | (61,851 | ) | ||||||||||||||||
| 6 Month AUD BBSW | 1.78% | AUD | 6,830,000 | 06/16/2031 | Semi-Annually | (8,868 | ) | 32,909 | 41,777 | |||||||||||||||||
| 6 Month AUD BBSW | 1.90% | AUD | 46,430,000 | 06/16/2031 | Semi-Annually | 18,989 | 627,436 | 608,447 | ||||||||||||||||||
| 6 Month AUD BBSW | 1.89% | AUD | 16,930,000 | 06/16/2031 | Semi-Annually | 18,440 | 216,414 | 197,974 | ||||||||||||||||||
| 6 Month AUD BBSW | 1.70% | AUD | 1,090,000 | 06/16/2031 | Semi-Annually | — | (1,199 | ) | (1,199 | ) | ||||||||||||||||
| 3 Month CAD LIBOR | 1.98% | CAD | 136,750,000 | 06/16/2031 | Semi-Annually | 2,062 | 653,595 | 651,533 | ||||||||||||||||||
| 3 Month CAD LIBOR | 1.97% | CAD | 27,840,000 | 06/16/2031 | Semi-Annually | 11,350 | 111,490 | 100,140 | ||||||||||||||||||
| 3 Month CAD LIBOR | 2.04% | CAD | 25,900,000 | 06/16/2031 | Semi-Annually | 381 | 247,204 | 246,823 | ||||||||||||||||||
| 1.97% | 3 Month CAD LIBOR | CAD | 3,780,000 | 06/16/2031 | Semi-Annually | — | (16,456 | ) | (16,456 | ) | ||||||||||||||||
| 2.00% | 3 Month CAD LIBOR | CAD | 3,780,000 | 06/16/2031 | Semi-Annually | — | (24,803 | ) | (24,803 | ) | ||||||||||||||||
| 2.01% | 3 Month CAD LIBOR | CAD | 7,540,000 | 06/16/2031 | Semi-Annually | — | (51,519 | ) | (51,519 | ) | ||||||||||||||||
| 1.95% | 3 Month CAD LIBOR | CAD | 9,730,000 | 06/16/2031 | Semi-Annually | (1,504 | ) | (22,003 | ) | (20,499 | ) | |||||||||||||||
| 6 Month CHF LIBOR | 0.03% | CHF | 17,290,000 | 06/16/2031 | Semi-Annually | (17,019 | ) | (18,799 | ) | (1,780 | ) | |||||||||||||||
| 6 Month CHF LIBOR | 0.04% | CHF | 1,010,000 | 06/16/2031 | Semi-Annually | — | (756 | ) | (756 | ) | ||||||||||||||||
| 6 Month CHF LIBOR | 0.10% | CHF | 4,350,000 | 06/16/2031 | Semi-Annually | — | 26,459 | 26,459 | ||||||||||||||||||
| GBP - SONIA - COMPOUND | 0.82% | GBP | 26,070,000 | 06/16/2031 | Annually | (21,077 | ) | 150,788 | 171,865 | |||||||||||||||||
| GBP - SONIA - COMPOUND | 0.81% | GBP | 4,220,000 | 06/16/2031 | Annually | — | 21,507 | 21,507 | ||||||||||||||||||
| 0.73% | 6 Month GBP LIBOR | GBP | 54,490,000 | 06/16/2031 | Annually | 24,228 | 386,140 | 361,912 | ||||||||||||||||||
| 0.77% | 6 Month GBP LIBOR | GBP | 43,270,000 | 06/16/2031 | Annually | 123,745 | 59,118 | (64,627 | ) | |||||||||||||||||
| 0.80% | 6 Month GBP LIBOR | GBP | 53,460,000 | 06/16/2031 | Annually | (43,305 | ) | (147,491 | ) | (104,186 | ) | |||||||||||||||
| 0.78% | 6 Month GBP LIBOR | GBP | 3,890,000 | 06/16/2031 | Annually | — | (2,709 | ) | (2,709 | ) | ||||||||||||||||
| 1.90% | 3 Month NZD Bank Bill Rate | NZD | 11,880,000 | 06/16/2031 | Quarterly | (8,754 | ) | 100,455 | 109,209 | |||||||||||||||||
| 1.93% | 3 Month NZD Bank Bill Rate | NZD | 3,860,000 | 06/16/2031 | Quarterly | — | 25,628 | 25,628 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.12% | NZD | 26,320,000 | 06/16/2031 | Quarterly | — | 167,866 | 167,866 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.10% | NZD | 4,020,000 | 06/16/2031 | Quarterly | — | 21,177 | 21,177 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.00% | NZD | 32,070,000 | 06/16/2031 | Quarterly | 24,989 | (48,960 | ) | (73,949 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.94% | NZD | 5,810,000 | 06/16/2031 | Quarterly | — | (35,448 | ) | (35,448 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.89% | NZD | 90,000 | 06/16/2031 | Quarterly | — | (852 | ) | (852 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.05% | NZD | 1,780,000 | 06/16/2031 | Quarterly | 11,040 | 3,150 | (7,890 | ) | |||||||||||||||||
| 3 Month SEK STIBOR | 0.80% | SEK | 40,900,000 | 06/16/2031 | Quarterly | — | (13,082 | ) | (13,082 | ) | ||||||||||||||||
| 6 Month EURIBOR | 0.06% | EUR | 10,500,000 | 06/18/2031 | Semi-Annually | (15,112 | ) | (83,149 | ) | (68,037 | ) | |||||||||||||||
| 6 Month EURIBOR | 0.15% | EUR | 2,070,000 | 06/18/2031 | Semi-Annually | — | 7,172 | 7,172 | ||||||||||||||||||
| 6 Month EURIBOR | 0.16% | EUR | 2,070,000 | 06/18/2031 | Semi-Annually | — | 7,300 | 7,300 | ||||||||||||||||||
| 0.03% | 6 Month EURIBOR | EUR | 31,100,000 | 06/18/2031 | Semi-Annually | 74,908 | 376,154 | 301,246 | ||||||||||||||||||
| 0.02% | 6 Month EURIBOR | EUR | 15,740,000 | 06/18/2031 | Semi-Annually | 70,755 | 207,416 | 136,661 | ||||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 25,180,000 | 06/18/2031 | Semi-Annually | (36,407 | ) | 233,671 | 270,078 | |||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 13,940,000 | 06/18/2031 | Semi-Annually | 31,224 | 132,468 | 101,244 | ||||||||||||||||||
| 3 Month USD LIBOR | 1.59% | USD | 3,870,000 | 06/18/2031 | Quarterly | — | 10,230 | 10,230 | ||||||||||||||||||
| 3 Month USD LIBOR | 1.59% | USD | 3,870,000 | 06/18/2031 | Quarterly | — | 9,308 | 9,308 | ||||||||||||||||||
| 1.65% | 3 Month USD LIBOR | USD | 96,530,000 | 06/18/2031 | Quarterly | (307,422 | ) | (830,168 | ) | (522,746 | ) | |||||||||||||||
| 1.58% | 3 Month USD LIBOR | USD | 2,890,000 | 06/18/2031 | Quarterly | (4,175 | ) | (5,574 | ) | (1,399 | ) | |||||||||||||||
| 1.62% | 3 Month USD LIBOR | USD | 3,010,000 | 06/18/2031 | Quarterly | — | (17,137 | ) | (17,137 | ) | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps (continued)
| Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
| 3 Month USD LIBOR | 1.53% | USD | 3,490,000 | 06/18/2031 | Quarterly | 656 | (9,900 | ) | (10,556 | ) | ||||||||||||||||
| 3 Month USD LIBOR | 1.69% | USD | 14,890,000 | 06/18/2031 | Quarterly | 6,319 | 184,820 | 178,501 | ||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||
| $ | (144,986 | ) | $ | 2,124,649 | $ | 2,269,635 | ||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
| Total Return on Bloomberg Commodity Index (f) | (0.15)% | MSCI | USD | 4,839,325 | 03/09/2022 | Monthly | — | 16,785 | 16,785 | |||||||||||||||||||
| 1 Month JPY LIBOR minus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | JPY | 310,409,948 | 04/25/2022 | Monthly | — | 33,188 | 33,188 | |||||||||||||||||||
| 1 Month JPY LIBOR minus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | JPY | 308,625,443 | 04/25/2022 | Monthly | — | 32,998 | 32,998 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.10% | Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 3,314,411 | 05/06/2022 | Monthly | — | 52,778 | 52,778 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus (0.02)% | GS | USD | 3,318,247 | 05/06/2022 | Monthly | — | (98,406 | ) | (98,406 | ) | |||||||||||||||||
| Bank of Japan Unsecured Overnight Call Rate minus 0.18% | Total Return on MSCI Japan Value Net Total Return Local Index | UBSA | JPY | 324,441,629 | 05/11/2022 | Monthly | — | 59,819 | 59,819 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.09% | Total Return on MSCI World Daily Total Return Net Growth Index | UBSA | USD | 3,851,191 | 05/12/2022 | Monthly | — | 71,509 | 71,509 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 3,851,179 | 05/12/2022 | Monthly | — | (193,060 | ) | (193,060 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate Plus 0.05% | Total Return on MSCI World Daily Total Return Net Growth Index | UBSA | USD | 2,662,352 | 05/20/2022 | Monthly | — | 22,394 | 22,394 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.50% | UBSA | USD | 2,662,317 | 05/20/2022 | Monthly | — | (60,865 | ) | (60,865 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate plus 0.60% | Total Return on Equity Basket(h) | GS | USD | 143,309 | 05/24/2022 | Monthly | — | 3,152 | 3,152 | |||||||||||||||||||
| Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 397,947 | 05/24/2022 | Monthly | — | 51 | 51 | |||||||||||||||||||
| Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.75% | MORD | USD | 685,112 | 05/24/2022 | Monthly | — | (2,394 | ) | (2,394 | ) | |||||||||||||||||
| Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 126,302 | 05/24/2022 | Monthly | — | (1,373 | ) | (1,373 | ) | |||||||||||||||||
| Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 3,280 | 05/24/2022 | Monthly | — | (97 | ) | (97 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate plus 0.95% | Total Return on Equity Basket(h) | MORD | USD | 103,494 | 10/18/2022 | Monthly | — | 4,415 | 4,415 | |||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 4,649,488 | 10/18/2022 | Monthly | — | (29,197 | ) | (29,197 | ) | |||||||||||||||||
| Total Return on Equity Basket (h) | 1 Month Federal Funds Rate plus 1.00% | MORD | USD | 79,431 | 12/19/2022 | Monthly | — | (6,046 | ) | (6,046 | ) | |||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
OTC Total Return Swaps (continued)
| Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
| Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.50% | MORD | USD | 4,629 | 02/21/2023 | Monthly | — | (81 | ) | (81 | ) | |||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
| $ | — | $ | (94,430 | ) | $ | (94,430 | ) | |||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
As of May 31, 2021, 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.
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 is as follows:
Forward Currency Contracts
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Swap Contracts
Centrally Cleared Interest Rate Swaps
| Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
| 0.16% | 3 Month AUD BBSW | AUD | 13,050,000 | 06/16/2023 | Quarterly | — | 6,773 | 6,773 | ||||||||||||||||||
| 3 Month AUD BBSW | 0.20% | AUD | 11,880,000 | 06/16/2023 | Quarterly | — | 605 | 605 | ||||||||||||||||||
| 0.25% | 3 Month AUD BBSW | AUD | 30,420,000 | 06/16/2023 | Quarterly | (19,902 | ) | (26,383 | ) | (6,481 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.15% | GBP | 11,220,000 | 06/16/2023 | Annually | — | 827 | 827 | ||||||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 86,660,000 | 06/16/2023 | Annually | (3,161 | ) | (79,540 | ) | (76,379 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 40,880,000 | 06/16/2023 | Annually | (3,912 | ) | (31,731 | ) | (27,819 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.14% | GBP | 13,820,000 | 06/16/2023 | Annually | 444 | (4,071 | ) | (4,515 | ) | ||||||||||||||||
| 0.64% | 3 Month NZD Bank Bill Rate | NZD | 5,610,000 | 06/16/2023 | Quarterly | (1,977 | ) | (1,774 | ) | 203 | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.55% | NZD | 11,430,000 | 06/16/2023 | Quarterly | — | (10,966 | ) | (10,966 | ) | ||||||||||||||||
| 0.50% | 3 Month NZD Bank Bill Rate | NZD | 18,450,000 | 06/16/2023 | Quarterly | — | 32,061 | 32,061 | ||||||||||||||||||
| 0.65% | 3 Month NZD Bank Bill Rate | NZD | 68,740,000 | 06/16/2023 | Quarterly | — | (34,117 | ) | (34,117 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.48% | NZD | 11,280,000 | 06/16/2023 | Quarterly | — | (22,203 | ) | (22,203 | ) | ||||||||||||||||
| 0.02% | 3 Month SEK STIBOR | SEK | 115,700,000 | 06/16/2023 | Quarterly | — | 5,322 | 5,322 | ||||||||||||||||||
| 3 Month CAD LIBOR | 0.68% | CAD | 32,040,000 | 06/19/2023 | Semi-Annually | 1,211 | (4,300 | ) | (5,511 | ) | ||||||||||||||||
| 3 Month CAD LIBOR | 0.69% | CAD | 12,050,000 | 06/19/2023 | Semi-Annually | — | (817 | ) | (817 | ) | ||||||||||||||||
| 0.71% | 3 Month CAD LIBOR | CAD | 131,250,000 | 06/19/2023 | Semi-Annually | (8,003 | ) | (41,200 | ) | (33,197 | ) | |||||||||||||||
| 6 Month EURIBOR | (0.45)% | EUR | 24,900,000 | 06/21/2023 | Semi-Annually | 8,033 | 8,845 | 812 | ||||||||||||||||||
| (0.50)% | 6 Month EURIBOR | EUR | 12,070,000 | 06/21/2023 | Semi-Annually | — | 10,068 | 10,068 | ||||||||||||||||||
| 0.30% | 3 Month USD LIBOR | USD | 47,190,000 | 06/21/2023 | Quarterly | (22,769 | ) | (65,777 | ) | (43,008 | ) | |||||||||||||||
| 6 Month AUD BBSW | 1.70% | AUD | 2,830,000 | 06/16/2031 | Semi-Annually | — | (3,114 | ) | (3,114 | ) | ||||||||||||||||
| 6 Month AUD BBSW | 1.78% | AUD | 18,770,000 | 06/16/2031 | Semi-Annually | (22,397 | ) | 90,439 | 112,836 | |||||||||||||||||
| 6 Month AUD BBSW | 1.90% | AUD | 17,520,000 | 06/16/2031 | Semi-Annually | 7,516 | 236,758 | 229,242 | ||||||||||||||||||
| 6 Month AUD BBSW | 1.89% | AUD | 6,590,000 | 06/16/2031 | Semi-Annually | 7,178 | 84,239 | 77,061 | ||||||||||||||||||
| 1.82% | 6 Month AUD BBSW | AUD | 2,590,000 | 06/16/2031 | Semi-Annually | — | (20,049 | ) | (20,049 | ) | ||||||||||||||||
| 1.97% | 3 Month CAD LIBOR | CAD | 2,220,000 | 06/16/2031 | Semi-Annually | — | (9,664 | ) | (9,664 | ) | ||||||||||||||||
| 2.00% | 3 Month CAD LIBOR | CAD | 2,220,000 | 06/16/2031 | Semi-Annually | — | (14,567 | ) | (14,567 | ) | ||||||||||||||||
| 2.01% | 3 Month CAD LIBOR | CAD | 4,700,000 | 06/16/2031 | Semi-Annually | — | (32,114 | ) | (32,114 | ) | ||||||||||||||||
| 1.95% | 3 Month CAD LIBOR | CAD | 6,760,000 | 06/16/2031 | Semi-Annually | (1,046 | ) | (15,287 | ) | (14,241 | ) | |||||||||||||||
| 3 Month CAD LIBOR | 1.98% | CAD | 75,600,000 | 06/16/2031 | Semi-Annually | 1,506 | 361,329 | 359,823 | ||||||||||||||||||
| 3 Month CAD LIBOR | 1.97% | CAD | 19,180,000 | 06/16/2031 | Semi-Annually | 6,035 | 76,810 | 70,775 | ||||||||||||||||||
| 3 Month CAD LIBOR | 2.04% | CAD | 33,940,000 | 06/16/2031 | Semi-Annually | 153 | 323,942 | 323,789 | ||||||||||||||||||
| 6 Month CHF LIBOR | 0.03% | CHF | 9,200,000 | 06/16/2031 | Semi-Annually | (10,003 | ) | (10,003 | ) | — | ||||||||||||||||
| 6 Month CHF LIBOR | 0.10% | CHF | 2,820,000 | 06/16/2031 | Semi-Annually | — | 17,152 | 17,152 | ||||||||||||||||||
| 6 Month CHF LIBOR | 0.04% | CHF | 3,350,000 | 06/16/2031 | Semi-Annually | — | (2,508 | ) | (2,508 | ) | ||||||||||||||||
| 0.77% | GBP - SONIA- COMPOUND | GBP | 29,600,000 | 06/16/2031 | Annually | 57,786 | 40,441 | (17,345 | ) | |||||||||||||||||
| 0.80% | GBP - SONIA- COMPOUND | GBP | 27,240,000 | 06/16/2031 | Annually | (20,185 | ) | (75,152 | ) | (54,967 | ) | |||||||||||||||
| 0.78% | GBP - SONIA- COMPOUND | GBP | 2,350,000 | 06/16/2031 | Annually | — | (1,636 | ) | (1,636 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND | 0.81% | GBP | 2,390,000 | 06/16/2031 | Annually | — | 12,181 | 12,181 | ||||||||||||||||||
| 0.72% | GBP - SONIA- COMPOUND | GBP | 27,900,000 | 06/16/2031 | Annually | 8,774 | 197,711 | 188,937 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.05% | NZD | 4,850,000 | 06/16/2031 | Quarterly | 30,081 | 8,583 | (21,498 | ) | |||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.00% | NZD | 16,050,000 | 06/16/2031 | Quarterly | 9,897 | (24,503 | ) | (34,400 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.94% | NZD | 2,640,000 | 06/16/2031 | Quarterly | — | (16,107 | ) | (16,107 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.89% | NZD | 1,380,000 | 06/16/2031 | Quarterly | — | (13,062 | ) | (13,062 | ) | ||||||||||||||||
| 1.90% | 3 Month NZD Bank Bill Rate | NZD | 2,450,000 | 06/16/2031 | Quarterly | — | 20,717 | 20,717 | ||||||||||||||||||
| 1.93% | 3 Month NZD Bank Bill Rate | NZD | 2,490,000 | 06/16/2031 | Quarterly | — | 16,532 | 16,532 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.12% | NZD | 9,290,000 | 06/16/2031 | Quarterly | — | 59,251 | 59,251 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.10% | NZD | 7,870,000 | 06/16/2031 | Quarterly | — | 41,458 | 41,458 | ||||||||||||||||||
| 3 Month SEK STIBOR | 0.80% | SEK | 23,900,000 | 06/16/2031 | Quarterly | — | (7,645 | ) | (7,645 | ) | ||||||||||||||||
| 6 Month EURIBOR | 0.15% | EUR | 1,300,000 | 06/18/2031 | Semi-Annually | — | 4,504 | 4,504 | ||||||||||||||||||
| 6 Month EURIBOR | 0.16% | EUR | 1,310,000 | 06/18/2031 | Semi-Annually | — | 4,620 | 4,620 | ||||||||||||||||||
| 0.03% | 6 Month EURIBOR | EUR | 17,080,000 | 06/18/2031 | Semi-Annually | 29,896 | 206,581 | 176,685 | ||||||||||||||||||
| 0.02% | 6 Month EURIBOR | EUR | 6,270,000 | 06/18/2031 | Semi-Annually | 28,185 | 82,624 | 54,439 | ||||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 23,580,000 | 06/18/2031 | Semi-Annually | (33,015 | ) | 218,823 | 251,838 | |||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 6,850,000 | 06/18/2031 | Semi-Annually | 15,342 | 65,094 | 49,752 | ||||||||||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Swap Contracts (continued)
Centrally Cleared Interest Rate Swaps (continued)
| Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
| 6 Month EURIBOR | 0.06% | EUR | 3,760,000 | 06/18/2031 | Semi-Annually | (5,964 | ) | (29,775 | ) | (23,811 | ) | |||||||||||||||||
| 1.65% | 3 Month USD LIBOR | USD | 65,700,000 | 06/18/2031 | Quarterly | (215,814 | ) | (565,027 | ) | (349,213 | ) | |||||||||||||||||
| 1.58% | 3 Month USD LIBOR | USD | 50,000 | 06/18/2031 | Quarterly | (72 | ) | (96 | ) | (24 | ) | |||||||||||||||||
| 1.62% | 3 Month USD LIBOR | USD | 2,020,000 | 06/18/2031 | Quarterly | — | (11,500 | ) | (11,500 | ) | ||||||||||||||||||
| 3 Month USD LIBOR | 1.53% | USD | 2,720,000 | 06/18/2031 | Quarterly | 512 | (7,715 | ) | (8,227 | ) | ||||||||||||||||||
| 3 Month USD LIBOR | 1.59% | USD | 2,660,000 | 06/18/2031 | Quarterly | — | 7,032 | 7,032 | ||||||||||||||||||||
| 3 Month USD LIBOR | 1.59% | USD | 2,650,000 | 06/18/2031 | Quarterly | — | 6,374 | 6,374 | ||||||||||||||||||||
| 3 Month USD LIBOR | 1.69% | USD | 7,700,000 | 06/18/2031 | Quarterly | 3,267 | 95,574 | 92,307 | ||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
| $ | (152,404 | ) | $ | 1,160,867 | $ | 1,313,271 | ||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||
| Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%) | Appreciation of Total Return on CSI 500 Index | GS | USD | 2,326,962 | 12/07/2021 | Monthly | — | 119,866 | 119,866 | |||||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 851,711 | 05/24/2022 | Monthly | — | (6,757 | ) | (6,757 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 3,450,248 | 05/24/2022 | Monthly | — | 17,260 | 17,260 | |||||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 2,647,453 | 05/24/2022 | Monthly | — | 2,319 | 2,319 | |||||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 2 | 06/20/2022 | Monthly | — | — | — | |||||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 1,364,866 | 10/18/2022 | Monthly | — | (104,081 | ) | (104,081 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.50% | MORD | USD | 114,306 | 10/18/2022 | Monthly | — | (2,940 | ) | (2,940 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (j) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 25,867,725 | 10/18/2022 | Monthly | — | (160,496 | ) | (160,496 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 16,550 | 10/18/2022 | Monthly | — | (335 | ) | (335 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 2.50% | MORD | USD | 2,601,258 | 05/18/2023 | Monthly | — | (101,311 | ) | (101,311 | ) | |||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||
| $ | — | $ | (236,475 | ) | $ | (236,475 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
As of May 31, 2021, 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.
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
PURCHASED OPTIONS — 0.0%
| Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||||
| Equity Options – Puts — 0.0% |
| |||||||||||||||||||||||
| Canadian National Railway Co. (h) | 110.00 | 07/16/21 | 325 | USD | 3,658,525 | 94,250 | ||||||||||||||||||
| Canadian National Railway Co. (h) | 105.00 | 07/16/21 | 670 | USD | 7,542,190 | 97,150 | ||||||||||||||||||
| Canadian Pacific Railway Ltd. | 78.00 | 06/18/21 | 460 | USD | 3,737,960 | 34,500 | ||||||||||||||||||
| Canadian Pacific Railway Ltd. | 80.00 | 09/17/21 | 756 | USD | 6,143,256 | 287,280 | ||||||||||||||||||
|
| ||||||||||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $686,016) |
| 513,180 | ||||||||||||||||||||||
|
| ||||||||||||||||||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $5,453,089,780) |
| 6,036,546,480 | ||||||||||||||||||||||
|
| ||||||||||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 is as follows:
Forward Currency Contracts
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Forward Currency Contracts (continued)
Futures Contracts
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Written Options
Equity Options
| Description | Exercise | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||
| Equity Options – Puts | ||||||||||||||||||||||
| Royal Caribbean Cruises Ltd.(h) | 90.00 | 01/21/22 | (78 | ) | USD | (727,506 | ) | (92,040 | ) | |||||||||||||
| Royal Caribbean Cruises Ltd.(h) | 85.00 | 01/21/22 | (81 | ) | USD | (755,487 | ) | (73,305 | ) | |||||||||||||
|
|
| |||||||||||||||||||||
| | TOTAL WRITTEN OPTIONS (Premiums $305,291) | $(165,345) | ||||||||||||||||||||
|
|
| |||||||||||||||||||||
Swap Contracts
OTC Credit Default Swaps
| Reference Entity | Counterparty | Notional | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||
| Buy Protection^: | ||||||||||||||||||||||||||||||||||||||||
| Halliburton Co. | BOA | USD | 1,140,000 | 1.00% | 0.66% | N/A | 12/20/2024 | Quarterly | 96,637 | (13,531 | ) | (110,168 | ) | |||||||||||||||||||||||||||
| HCA, Inc. | BCLY | USD | 1,140,000 | 5.00% | 0.78% | N/A | 12/20/2024 | Quarterly | (139,584 | ) | (169,811 | ) | (30,227 | ) | ||||||||||||||||||||||||||
| Tenet Healthcare Corp. | JPM | USD | 570,000 | 5.00% | 2.26% | N/A | 12/20/2024 | Quarterly | 14,841 | (53,445 | ) | (68,286 | ) | |||||||||||||||||||||||||||
| Tenet Healthcare Corp. | JPM | USD | 1,140,000 | 5.00% | 2.26% | N/A | 12/20/2024 | Quarterly | 142,500 | (106,891 | ) | (249,391 | ) | |||||||||||||||||||||||||||
| United Rentals North America, Inc. | CSI | USD | 1,140,000 | 5.00% | 0.80% | N/A | 12/20/2024 | Quarterly | (96,605 | ) | (169,440 | ) | (72,835 | ) | ||||||||||||||||||||||||||
| United Rentals North America, Inc. | JPM | USD | 1,140,000 | 5.00% | 0.80% | N/A | 12/20/2024 | Quarterly | (51,323 | ) | (169,440 | ) | (118,117 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
| $ | (33,534 | ) | $ | (682,558 | ) | $ | (649,024 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
| ^ | 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 May 31, 2021, 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. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps
| Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
| 3 Month AUD BBSW | 0.20% | AUD | 76,340,000 | 06/16/2023 | Quarterly | — | 3,886 | 3,886 | ||||||||||||||||||
| 0.25% | 3 Month AUD BBSW | AUD | 189,130,000 | 06/16/2023 | Quarterly | (123,738 | ) | (164,028 | ) | (40,290 | ) | |||||||||||||||
| 0.16% | 3 Month AUD BBSW | AUD | 79,850,000 | 06/16/2023 | Quarterly | — | 41,444 | 41,444 | ||||||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 530,090,000 | 06/16/2023 | Annually | (19,507 | ) | (486,538 | ) | (467,031 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.12% | GBP | 247,170,000 | 06/16/2023 | Annually | (23,938 | ) | (191,850 | ) | (167,912 | ) | |||||||||||||||
| GBP - SONIA - COMPOUND | 0.14% | GBP | 84,210,000 | 06/16/2023 | Annually | 2,734 | (24,805 | ) | (27,539 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND | 0.15% | GBP | 68,490,000 | 06/16/2023 | Annually | — | 5,051 | 5,051 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.48% | NZD | 68,630,000 | 06/16/2023 | Quarterly | — | (135,087 | ) | (135,087 | ) | ||||||||||||||||
| 0.65% | 3 Month NZD Bank Bill Rate | NZD | 417,550,000 | 06/16/2023 | Quarterly | — | (207,237 | ) | (207,237 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 0.55% | NZD | 69,760,000 | 06/16/2023 | Quartely | — | (66,929 | ) | (66,929 | ) | ||||||||||||||||
| 0.50% | 3 Month NZD Bank Bill Rate | NZD | 112,310,000 | 06/16/2023 | Quarterly | — | 195,165 | 195,165 | ||||||||||||||||||
| 0.64% | 3 Month NZD Bank Bill Rate | NZD | 35,600,000 | 06/16/2023 | Quarterly | (12,256 | ) | (11,255 | ) | 1,001 | ||||||||||||||||
| 0.02% | 3 Month SEK STIBOR | SEK | 703,600,000 | 06/16/2023 | Quarterly | — | 32,362 | 32,362 | ||||||||||||||||||
| 0.71% | 3 Month CAD LIBOR | CAD | 800,060,000 | 06/19/2023 | Semi-Annually | (46,191 | ) | (251,145 | ) | (204,954 | ) | |||||||||||||||
| 3 Month CAD LIBOR | 0.68% | CAD | 195,080,000 | 06/19/2023 | Semi-Annually | 7,353 | (26,182 | ) | (33,535 | ) | ||||||||||||||||
| 3 Month CAD LIBOR | 0.69% | CAD | 73,570,000 | 06/19/2023 | Semi-Annually | — | (4,990 | ) | (4,990 | ) | ||||||||||||||||
| 6 Month EURIBOR | (0.45)% | EUR | 152,410,000 | 06/21/2023 | Semi-Annually | 49,170 | 54,141 | 4,971 | ||||||||||||||||||
| (0.50)% | 6 Month EURIBOR | EUR | 73,390,000 | 06/21/2023 | Semi-Annually | — | 61,216 | 61,216 | ||||||||||||||||||
| 0.30% | 3 Month USD LIBOR | USD | 287,590,000 | 06/21/2023 | Quarterly | (138,694 | ) | (400,867 | ) | (262,173 | ) | |||||||||||||||
| 1.82% | 6 Month AUD BBSW | AUD | 16,640,000 | 06/16/2031 | Semi-Annually | — | (128,812 | ) | (128,812 | ) | ||||||||||||||||
| 6 Month AUD BBSW | 1.70% | AUD | 17,310,000 | 06/16/2031 | Semi-Annually | — | (19,046 | ) | (19,046 | ) | ||||||||||||||||
| 6 Month AUD BBSW | 1.90% | AUD | 106,860,000 | 06/16/2031 | Semi-Annually | 45,947 | 1,444,062 | 1,398,115 | ||||||||||||||||||
| 6 Month AUD BBSW | 1.89% | AUD | 40,970,000 | 06/16/2031 | Semi-Annually | 44,626 | 523,715 | 479,089 | ||||||||||||||||||
| 6 Month AUD BBSW | 1.78% | AUD | 114,290,000 | 06/16/2031 | Semi-Annually | (136,327 | ) | 550,685 | 687,012 | |||||||||||||||||
| 1.97% | 3 Month CAD LIBOR | CAD | 13,530,000 | 06/16/2031 | Semi-Annually | — | (58,901 | ) | (58,901 | ) | ||||||||||||||||
| 2.00% | 3 Month CAD LIBOR | CAD | 13,530,000 | 06/16/2031 | Semi-Annually | — | (88,778 | ) | (88,778 | ) | ||||||||||||||||
| 2.01% | 3 Month CAD LIBOR | CAD | 28,630,000 | 06/16/2031 | Semi-Annually | — | (195,621 | ) | (195,621 | ) | ||||||||||||||||
| 1.95% | 3 Month CAD LIBOR | CAD | 41,220,000 | 06/16/2031 | Semi-Annually | (6,380 | ) | (93,214 | ) | (86,834 | ) | |||||||||||||||
| 3 Month CAD LIBOR | 2.04% | CAD | 208,030,000 | 06/16/2031 | Semi-Annually | 1,014 | 1,985,551 | 1,984,537 | ||||||||||||||||||
| 3 Month CAD LIBOR | 1.98% | CAD | 459,510,000 | 06/16/2031 | Semi-Annually | 9,176 | 2,196,223 | 2,187,047 | ||||||||||||||||||
| 3 Month CAD LIBOR | 1.97% | CAD | 116,890,000 | 06/16/2031 | Semi-Annually | 33,552 | 468,107 | 434,555 | ||||||||||||||||||
| 6 Month CHF LIBOR | 0.04% | CHF | 20,430,000 | 06/16/2031 | Semi-Annually | — | (15,293 | ) | (15,293 | ) | ||||||||||||||||
| 6 Month CHF LIBOR | 0.03% | CHF | 56,060,000 | 06/16/2031 | Semi-Annually | (62,670 | ) | (60,953 | ) | 1,717 | ||||||||||||||||
| 6 Month CHF LIBOR | 0.10% | CHF | 17,140,000 | 06/16/2031 | Semi-Annually | — | 104,253 | 104,253 | ||||||||||||||||||
| 0.77% | GBP - SONIA - COMPOUND | GBP | 180,380,000 | 06/16/2031 | Annually | 351,287 | 246,444 | (104,843 | ) | |||||||||||||||||
| 0.80% | GBP - SONIA - COMPOUND | GBP | 166,460,000 | 06/16/2031 | Annually | (123,136 | ) | (459,245 | ) | (336,109 | ) | |||||||||||||||
| 0.78% | GBP - SONIA - COMPOUND | GBP | 14,350,000 | 06/16/2031 | Annually | — | (9,992 | ) | (9,992 | ) | ||||||||||||||||
| 0.73% | GBP - SONIA - COMPOUND | GBP | 169,590,000 | 06/16/2031 | Annually | 53,362 | 1,201,789 | 1,148,427 | ||||||||||||||||||
| GBP - SONIA - COMPOUND | 0.81% | GBP | 14,570,000 | 06/16/2031 | Annually | — | 74,256 | 74,256 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.05% | NZD | 29,490,000 | 06/16/2031 | Quarterly | 182,906 | 52,188 | (130,718 | ) | |||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.00% | NZD | 97,820,000 | 06/16/2031 | Quarterly | 60,503 | (149,339 | ) | (209,842 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.94% | NZD | 16,080,000 | 06/16/2031 | Quarterly | — | (98,108 | ) | (98,108 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 1.89% | NZD | 8,390,000 | 06/16/2031 | Quarterly | — | (79,410 | ) | (79,410 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.12% | NZD | 56,570,000 | 06/16/2031 | Quarterly | — | 360,796 | 360,796 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate | 2.10% | NZD | 48,060,000 | 06/16/2031 | Quarterly | — | 253,174 | 253,174 | ||||||||||||||||||
| 1.93% | 3 Month NZD Bank Bill Rate | NZD | 15,200,000 | 06/16/2031 | Quarterly | — | 100,919 | 100,919 | ||||||||||||||||||
| 1.90% | 3 Month NZD Bank Bill Rate | NZD | 14,910,000 | 06/16/2031 | Quarterly | — | 126,075 | 126,075 | ||||||||||||||||||
| 3 Month SEK STIBOR | 0.80% | SEK | 145,700,000 | 06/16/2031 | Quarterly | — | (46,604 | ) | (46,604 | ) | ||||||||||||||||
| 6 Month EURIBOR | 0.06% | EUR | 22,860,000 | 06/18/2031 | Semi-Annually | (36,233 | ) | (181,027 | ) | (144,794 | ) | |||||||||||||||
| 0.03% | 6 Month EURIBOR | EUR | 103,440,000 | 06/18/2031 | Semi-Annually | 181,770 | 1,251,105 | 1,069,335 | ||||||||||||||||||
| 0.02% | 6 Month EURIBOR | EUR | 38,190,000 | 06/18/2031 | Semi-Annually | 171,673 | 503,255 | 331,582 | ||||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 143,320,000 | 06/18/2031 | Semi-Annually | (200,665 | ) | 1,330,015 | 1,530,680 | |||||||||||||||||
| 0.05% | 6 Month EURIBOR | EUR | 42,750,000 | 06/18/2031 | Semi-Annually | 95,755 | 406,243 | 310,488 | ||||||||||||||||||
| 6 Month EURIBOR | 0.15% | EUR | 7,930,000 | 06/18/2031 | Semi-Annually | — | 27,474 | 27,474 | ||||||||||||||||||
| 6 Month EURIBOR | 0.16% | EUR | 7,940,000 | 06/18/2031 | Semi-Annually | — | 28,000 | 28,000 | ||||||||||||||||||
| 1.65% | 3 Month USD LIBOR | USD | 400,380,000 | 06/18/2031 | Quarterly | (1,307,093 | ) | (3,443,308 | ) | (2,136,215 | ) | |||||||||||||||
| 1.58% | 3 Month USD LIBOR | USD | 290,000 | 06/18/2031 | Quarterly | (419 | ) | (559 | ) | (140 | ) | |||||||||||||||
| 1.62% | 3 Month USD LIBOR | USD | 12,310,000 | 06/18/2031 | Quarterly | — | (70,084 | ) | (70,084 | ) | ||||||||||||||||
| 3 Month USD LIBOR | 1.53% | USD | 16,540,000 | 06/18/2031 | Quarterly | 3,112 | (46,917 | ) | (50,029 | ) | ||||||||||||||||
| 3 Month USD LIBOR | 1.69% | USD | 46,940,000 | 06/18/2031 | Quarterly | 19,917 | 582,635 | 562,718 | ||||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
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 USD LIBOR | 1.59% | USD | 16,190,000 | 06/18/2031 | Quarterly | — | 42,798 | 42,798 | ||||||||||||||||||||
| 3 Month USD LIBOR | 1.59% | USD | 16,180,000 | 06/18/2031 | Quarterly | — | 38,917 | 38,917 | ||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
| $ | (923,390 | ) | $ | 7,075,820 | $ | 7,999,210 | ||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||
| Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%) | Appreciation of Total Return on CSI 500 Index | GS | USD | 11,515,880 | 12/07/2021 | Monthly | — | 593,206 | 593,206 | |||||||||||||||||||||
| 1 Month JPY LIBOR minus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | JPY | 842,541,288 | 04/25/2022 | Monthly | — | 90,083 | 90,083 | |||||||||||||||||||||
| 1 Month JPY LIBOR minus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | JPY | 837,697,631 | 04/25/2022 | Monthly | — | 89,565 | 89,565 | |||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.10% | Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 10,493,902 | 05/06/2022 | Monthly | — | 167,103 | 167,103 | |||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.02% | GS | USD | 10,501,332 | 05/06/2022 | Monthly | — | (311,428 | ) | (311,428 | ) | |||||||||||||||||||
| Bank of Japan Unsecured Overnight Call Rate minus 0.18% | Total Return on MSCI Japan Value Net Total Return Local Index | UBSA | JPY | 1,306,681,851 | 05/11/2022 | Monthly | — | 240,918 | 240,918 | |||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.09% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 12,203,452 | 05/12/2022 | Monthly | — | 226,594 | 226,594 | |||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 12,203,511 | 05/12/2022 | Monthly | — | (611,763 | ) | (611,763 | ) | |||||||||||||||||||
| 1 Month Federal Funds Rate Plus 0.05% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 11,514,596 | 05/20/2022 | Monthly | — | 96,855 | 96,855 | |||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.05% | UBSA | USD | 11,514,585 | 05/20/2022 | Monthly | — | (263,243 | ) | (263,243 | ) | |||||||||||||||||||
| Total Return on Equity Basket (m) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 2,282,166 | 05/24/2022 | Monthly | — | (18,199 | ) | (18,199 | ) | |||||||||||||||||||
| Total Return on Equity Basket (m) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 9,215,314 | 05/24/2022 | Monthly | — | 43,342 | 43,342 | |||||||||||||||||||||
| Total Return on Equity Basket (m) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 6,655,371 | 05/24/2022 | Monthly | — | 9,493 | 9,493 | |||||||||||||||||||||
| Total Return on Equity Basket (m) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 3,869,734 | 10/18/2022 | Monthly | — | (295,642 | ) | (295,642 | ) | |||||||||||||||||||
| Total Return on Equity Basket (m) | 1 Month Federal Funds Rate minus 0.50% | MORD | USD | 555,540 | 10/18/2022 | Monthly | — | (15,615 | ) | (15,615 | ) | |||||||||||||||||||
| Total Return on Equity Basket (n) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 79,229,509 | 10/18/2022 | Monthly | — | (513,180 | ) | (513,180 | ) | |||||||||||||||||||
| Total Return on Equity Basket (m) | 1 Month Federal Funds Rate minus 2.66% | MORD | USD | 6,201,096 | 05/18/2023 | Monthly | — | (255,495 | ) | (255,495 | ) | |||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||
| $ | — | $ | (727,406 | ) | $ | (727,406 | ) | |||||||||||||||||||||||
|
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|
|
|
|
| |||||||||||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
As of May 31, 2021, 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.
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
Futures Contracts
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 JPY LIBOR minus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | JPY | 709,508,453 | 04/25/2022 | Monthly | — | 75,860 | 75,860 | |||||||||||||||||||||||
| 1 Month JPY LIBOR minus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | JPY | 705,429,584 | 04/25/2022 | Monthly | — | 75,423 | 75,423 | |||||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.10% | Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 8,883,452 | 05/06/2022 | Monthly | — | 141,459 | 141,459 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.02% | GS | USD | 8,880,905 | 05/06/2022 | Monthly | — | (263,373 | ) | (263,373 | ) | |||||||||||||||||||||
| Bank of Japan Unsecured Overnight Call Rate minus 0.18% | Total Return on MSCI Japan Value Net Total Return Local Index | UBSA | JPY | 1,114,915,688 | 05/11/2022 | Monthly | — | 205,561 | 205,561 | |||||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.09% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 10,326,046 | 05/12/2022 | Monthly | — | 191,735 | 191,735 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 10,326,011 | 05/12/2022 | Monthly | — | (517,644 | ) | (517,644 | ) | |||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.05% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 9,828,394 | 05/20/2022 | Monthly | — | 82,671 | 82,671 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.05% | UBSA | USD | 9,828,409 | 05/20/2022 | Monthly | — | (224,694 | ) | (224,694 | ) | |||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||
| $ | — | $ | (233,002 | ) | $ | (233,002 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2021 (Unaudited)
As of May 31, 2021, 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.
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
A summary of outstanding financial instruments at May 31, 2021 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(f) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 531,585 | 05/24/2022 | Monthly | — | 5,473 | 5,473 | |||||||||||||||||||||||
| Total Return on Equity Basket(f) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 445,440 | 05/24/2022 | Monthly | — | 483 | 483 | |||||||||||||||||||||||
| Total Return on Equity Basket(f) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 157,131 | 05/24/2022 | Monthly | — | (1,338 | ) | (1,338 | ) | |||||||||||||||||||||
| Total Return on Equity Basket(f) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 3,310 | 10/18/2022 | Monthly | — | (67 | ) | (67 | ) | |||||||||||||||||||||
| Total Return on Equity Basket(g) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 4,842,570 | 10/18/2022 | Monthly | — | (23,519 | ) | (23,519 | ) | |||||||||||||||||||||
| Total Return on Equity Basket(f) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 329,639 | 10/18/2022 | Monthly | — | (25,184 | ) | (25,184 | ) | |||||||||||||||||||||
| Total Return on Equity Basket(f) | 1 Month Federal Funds Rate minus 0.50% | MORD | USD | 27,704 | 10/18/2022 | Monthly | — | (946 | ) | (946 | ) | |||||||||||||||||||||
| Total Return on Equity Basket(f) | 1 Month Federal Funds Rate minus 2.50% | MORD | USD | 406,297 | 05/18/2023 | Monthly | — | (16,144 | ) | (16,144 | ) | |||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||
| $ | — | $ | (61,242 | ) | $ | (61,242 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||||||
As of May 31, 2021, 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. |
| (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. |
| (c) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (d) | Investment valued using significant unobservable inputs. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2021. |
| (f) | 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. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2021 (Unaudited)
| (g) | The following table represents the individual short positions within the custom equity basket swap as of May 31, 2021: |
| Shares | Description | % of Equity Basket | Value ($) | |||||||||||
| 3,080,000 | Alibaba Pictures Group Ltd | 8.5 | % | 412,639 | ||||||||||
| 792,000 | China Molybdenum Co Ltd – Class H | 10.9 | % | 530,655 | ||||||||||
| 42,000 | China Resources Beer Holdings Co Ltd | 7.7 | % | 372,606 | ||||||||||
| 200,000 | China Youzan Ltd | 0.9 | % | 41,196 | ||||||||||
| 138,000 | China Yuhua Education Corp Ltd | 2.9 | % | 138,390 | ||||||||||
| 284,000 | Greentown Service Group Co Ltd | 9.0 | % | 439,046 | ||||||||||
| 3,000 | Haidilao International Holding Ltd | 0.3 | % | 16,979 | ||||||||||
| 9,400 | Hong Kong Exchanges and Clearing Ltd | 11.9 | % | 578,500 | ||||||||||
| 136,000 | Kingdee International Software Group Co Ltd | 10.6 | % | 516,800 | ||||||||||
| 3,000 | Kuaishou Technology | 1.6 | % | 77,557 | ||||||||||
| 14,000 | New World Development Co Ltd | 1.6 | % | 76,098 | ||||||||||
| 89,600 | Sands China Ltd | 8.4 | % | 409,463 | ||||||||||
| 31,000 | SJM Holdings Ltd | 0.7 | % | 35,426 | ||||||||||
| 150,000 | Wynn Macau Ltd | 5.3 | % | 259,778 | ||||||||||
| 39,000 | Yihai International Holding Ltd. | 6.3 | % | 308,174 | ||||||||||
| 420,000 | Zijin Mining Group Co Ltd – Class H | 13.4 | % | 649,994 | ||||||||||
|
|
| |||||||||||||
| TOTAL COMMON STOCKS | $ | 4,863,301 | ||||||||||||
|
|
| |||||||||||||
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.
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. 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.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
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 schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.
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 period ended May 31, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.
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.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2021:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | 3,100,826 | $ | — | $ | 3,100,826 | ||||||||
| Belgium | — | 861,550 | — | 861,550 | ||||||||||||
| Canada | 1,596,879 | — | — | 1,596,879 | ||||||||||||
| China | 322,690 | 3,395,237 | 441,258 | 4,159,185 | ||||||||||||
| Denmark | — | 1,239,806 | — | 1,239,806 | ||||||||||||
| Finland | — | 412,103 | — | 412,103 | ||||||||||||
| France | — | 2,061,772 | — | 2,061,772 | ||||||||||||
| Germany | — | 7,699,686 | — | 7,699,686 | ||||||||||||
| Hong Kong | — | 1,212,822 | — | 1,212,822 | ||||||||||||
| Israel | 634,634 | — | — | 634,634 | ||||||||||||
| Italy | — | 1,484,776 | — | 1,484,776 | ||||||||||||
| Japan | — | 8,935,336 | — | 8,935,336 | ||||||||||||
| Netherlands | 531,000 | 1,718,165 | — | 2,249,165 | ||||||||||||
| New Zealand | — | 352,626 | — | 352,626 | ||||||||||||
| South Africa | — | 455,264 | — | 455,264 | ||||||||||||
| South Korea | — | 103,414 | — | 103,414 | ||||||||||||
| Spain | — | 1,287,648 | — | 1,287,648 | ||||||||||||
| Sweden | — | 309,316 | — | 309,316 | ||||||||||||
| Switzerland | — | 655,635 | — | 655,635 | ||||||||||||
| Taiwan | — | 103,743 | — | 103,743 | ||||||||||||
| United Kingdom | 6,538,072 | 3,763,225 | — | 10,301,297 | ||||||||||||
| United States | 217,165,221 | — | — | 217,165,221 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 226,788,496 | 39,152,950 | 441,258 | 266,382,704 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Germany | — | 313,335 | — | 313,335 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | 313,335 | — | 313,335 | ||||||||||||
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|
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|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| United States | — | — | 263,451 | 263,451 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | — | — | 263,451 | 263,451 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Investment Funds | ||||||||||||||||
| United States | — | — | 14,230,387 | 14,230,387 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL INVESTMENT FUNDS | — | — | 14,230,387 | 14,230,387 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Debt Obligations | ||||||||||||||||
| United States | 24,507,450 | 32,322,489 | — | 56,829,939 | ||||||||||||
| United States Virgin Islands | — | 2,376,246 | — | 2,376,246 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 24,507,450 | 34,698,735 | — | 59,206,185 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 15,488,890 | — | — | 15,488,890 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 15,488,890 | — | — | 15,488,890 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 6,962,873 | 211,118 | — | 7,173,991 | ||||||||||||
| Purchased Options | 160,725 | — | — | 160,725 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 273,908,434 | 74,376,138 | 14,935,096 | 363,219,668 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | 6,457,763 | — | 6,457,763 | ||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 977,645 | 1,159,723 | — | 2,137,368 | ||||||||||||
| Interest Rate Risk | 203,289 | — | — | 203,289 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | 2,576,220 | — | 2,576,220 | ||||||||||||
| Equity Risk | — | 280,304 | — | 280,304 | ||||||||||||
| Interest Rate Risk | — | 4,133,701 | — | 4,133,701 | ||||||||||||
| Physical Commodity Contract Risk | — | 16,785 | — | 16,785 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 275,089,368 | $ | 89,000,634 | $ | 14,935,096 | $ | 379,025,098 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | (2,054,582 | ) | $ | — | $ | (2,054,582 | ) | ||||||
| Austria | — | (539,852 | ) | — | (539,852 | ) | ||||||||||
| Belgium | — | (83,494 | ) | — | (83,494 | ) | ||||||||||
| Canada | (2,085,472 | ) | — | — | (2,085,472 | ) | ||||||||||
| Denmark | — | (216,458 | ) | — | (216,458 | ) | ||||||||||
| France | — | (2,751,219 | ) | — | (2,751,219 | ) | ||||||||||
| Germany | — | (3,736,866 | ) | — | (3,736,866 | ) | ||||||||||
| Ireland | (5,287,673 | ) | — | — | (5,287,673 | ) | ||||||||||
| Israel | (541,638 | ) | — | — | (541,638 | ) | ||||||||||
| Italy | — | (1,605,423 | ) | — | (1,605,423 | ) | ||||||||||
| Japan | — | (8,696,061 | ) | — | (8,696,061 | ) | ||||||||||
| Netherlands | — | (3,712,190 | ) | — | (3,712,190 | ) | ||||||||||
| Norway | — | (105,148 | ) | — | (105,148 | ) | ||||||||||
| Singapore | — | (580,863 | ) | — | (580,863 | ) | ||||||||||
| Spain | — | (2,253,341 | ) | — | (2,253,341 | ) | ||||||||||
| Sweden | — | (624,211 | ) | — | (624,211 | ) | ||||||||||
| Switzerland | — | (1,199,098 | ) | — | (1,199,098 | ) | ||||||||||
| United Kingdom | (10,798,105 | ) | (5,293,204 | ) | — | (16,091,309 | ) | |||||||||
| United States | (136,562,732 | ) | — | — | (136,562,732 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | (155,275,620 | ) | (33,452,010 | ) | — | (188,727,630 | ) | |||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Germany | — | (409,479 | ) | — | (409,479 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | (409,479 | ) | — | (409,479 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| Spain | (4,830 | ) | — | — | (4,830 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | (4,830 | ) | — | — | (4,830 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | (5,568,286 | ) | — | (5,568,286 | ) | ||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | (458,828 | ) | (382,758 | ) | — | (841,586 | ) | |||||||||
| Interest Rate Risk | (7,628 | ) | — | — | (7,628 | ) | ||||||||||
| Written Options | ||||||||||||||||
| Credit Risk | — | (84,533 | ) | — | (84,533 | ) | ||||||||||
| Equity Risk | (108,081 | ) | (10,490 | ) | — | (118,571 | ) | |||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | (2,043,818 | ) | — | (2,043,818 | ) | ||||||||||
| Equity Risk | — | (391,519 | ) | — | (391,519 | ) | ||||||||||
| Interest Rate Risk | — | (2,009,052 | ) | — | (2,009,052 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (155,854,987 | ) | $ | (44,351,945 | ) | $ | — | $ | (200,206,932 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
| Benchmark-Free Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds | $ | 6,608,222,906 | $ | — | $ | — | $ | 6,608,222,906 | ||||||||
| Short-Term Investments | 5,529,815 | — | — | 5,529,815 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 6,613,752,721 | — | — | 6,613,752,721 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 6,613,752,721 | $ | — | $ | — | $ | 6,613,752,721 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Benchmark-Free Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Argentina | $ | 611,414 | $ | — | $ | — | $ | 611,414 | ||||||||
| Australia | — | 32,317,165 | — | 32,317,165 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Austria | $ | — | $ | 158,830 | $ | — | $ | 158,830 | ||||||||
| Belgium | — | 10,480,653 | — | 10,480,653 | ||||||||||||
| Brazil | 7,722,269 | 17,652,941 | — | 25,375,210 | ||||||||||||
| Canada | 28,480,239 | — | — | 28,480,239 | ||||||||||||
| Chile | — | 259,716 | — | 259,716 | ||||||||||||
| China | 30,597,043 | 224,340,692 | 2,232,633 | 257,170,368 | ||||||||||||
| Czech Republic | — | 784,189 | — | 784,189 | ||||||||||||
| Denmark | — | 7,906,530 | — | 7,906,530 | ||||||||||||
| Egypt | — | 122,371 | — | 122,371 | ||||||||||||
| Finland | — | 6,136,949 | — | 6,136,949 | ||||||||||||
| France | — | 39,133,920 | — | 39,133,920 | ||||||||||||
| Germany | — | 31,708,679 | — | 31,708,679 | ||||||||||||
| Greece | — | — | 0 | § | 0 | § | ||||||||||
| Hong Kong | — | 17,032,159 | — | 17,032,159 | ||||||||||||
| Hungary | — | 585,316 | — | 585,316 | ||||||||||||
| India | 2,680,154 | 43,533,304 | 124,886 | 46,338,344 | ||||||||||||
| Indonesia | — | 7,058,901 | — | 7,058,901 | ||||||||||||
| Ireland | 954,964 | 8,234,515 | — | 9,189,479 | ||||||||||||
| Israel | 3,881,120 | 481,435 | — | 4,362,555 | ||||||||||||
| Italy | — | 23,324,291 | — | 23,324,291 | ||||||||||||
| Japan | — | 279,130,558 | — | 279,130,558 | ||||||||||||
| Kuwait | — | 4,870,730 | — | 4,870,730 | ||||||||||||
| Luxembourg | 69,559 | — | — | 69,559 | ||||||||||||
| Malaysia | — | 777,211 | — | 777,211 | ||||||||||||
| Mexico | 24,702,632 | — | — | 24,702,632 | ||||||||||||
| Netherlands | 3,250,900 | 32,083,479 | — | 35,334,379 | ||||||||||||
| New Zealand | — | 2,152,681 | — | 2,152,681 | ||||||||||||
| Norway | — | 10,419,101 | — | 10,419,101 | ||||||||||||
| Pakistan | — | 1,101,604 | — | 1,101,604 | ||||||||||||
| Philippines | — | 693,003 | — | 693,003 | ||||||||||||
| Poland | — | 9,593,725 | — | 9,593,725 | ||||||||||||
| Portugal | — | 10,157,513 | — | 10,157,513 | ||||||||||||
| Qatar | — | 1,404,542 | — | 1,404,542 | ||||||||||||
| Russia | 515,431 | 73,430,525 | 557,419 | 74,503,375 | ||||||||||||
| Saudi Arabia | — | 187,028 | — | 187,028 | ||||||||||||
| Singapore | — | 13,690,732 | — | 13,690,732 | ||||||||||||
| South Africa | — | 31,523,019 | — | 31,523,019 | ||||||||||||
| South Korea | 2,136,600 | 67,172,673 | — | 69,309,273 | ||||||||||||
| Spain | — | 28,549,665 | — | 28,549,665 | ||||||||||||
| Sweden | — | 2,908,242 | — | 2,908,242 | ||||||||||||
| Switzerland | — | 10,663,123 | — | 10,663,123 | ||||||||||||
| Taiwan | 784,552 | 109,135,117 | — | 109,919,669 | ||||||||||||
| Thailand | — | 4,038,540 | — | 4,038,540 | ||||||||||||
| Turkey | — | 13,706,631 | — | 13,706,631 | ||||||||||||
| United Arab Emirates | — | 2,305,383 | — | 2,305,383 | ||||||||||||
| United Kingdom | 3,743,951 | 86,601,887 | — | 90,345,838 | ||||||||||||
| United States | 285,747,552 | — | — | 285,747,552 | ||||||||||||
| Vietnam | — | 1,489,949 | — | 1,489,949 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 395,878,380 | 1,269,039,217 | 2,914,938 | 1,667,832,535 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Brazil | 2,628,965 | 7,153,333 | — | 9,782,298 | ||||||||||||
| Chile | — | 225,986 | — | 225,986 | ||||||||||||
| Colombia | 117,820 | — | — | 117,820 | ||||||||||||
| Germany | — | 4,705,525 | — | 4,705,525 | ||||||||||||
| Russia | — | 5,657,626 | — | 5,657,626 | ||||||||||||
| South Korea | — | 7,472,626 | — | 7,472,626 | ||||||||||||
| Taiwan | — | 95,115 | — | 95,115 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | 2,746,785 | 25,310,211 | — | 28,056,996 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| Singapore | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Investment Funds | ||||||||||||||||
| United States | $ | 2,844,755 | $ | — | $ | — | $ | 2,844,755 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL INVESTMENT FUNDS | 2,844,755 | — | — | 2,844,755 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Debt Obligations | ||||||||||||||||
| United States | 174,028,438 | 843,726 | — | 174,872,164 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 174,028,438 | 843,726 | — | 174,872,164 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 341,432,869 | — | — | 341,432,869 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 341,432,869 | — | — | 341,432,869 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 3,782,697 | — | — | 3,782,697 | ||||||||||||
| Total Investments | 920,713,924 | 1,295,193,154 | 2,914,938 | 2,218,822,016 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | 3,135,611 | — | 3,135,611 | ||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 537,943 | — | — | 537,943 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | 139,445 | — | 139,445 | ||||||||||||
| Interest Rate Risk | — | 2,343,270 | — | 2,343,270 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 921,251,867 | $ | 1,300,811,480 | $ | 2,914,938 | $ | 2,224,978,285 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | (13,128,643 | ) | $ | — | $ | (13,128,643 | ) | ||||||
| Austria | — | (3,079,027 | ) | — | (3,079,027 | ) | ||||||||||
| Belgium | — | (478,829 | ) | — | (478,829 | ) | ||||||||||
| Denmark | — | (1,407,532 | ) | — | (1,407,532 | ) | ||||||||||
| France | — | (17,517,024 | ) | — | (17,517,024 | ) | ||||||||||
| Germany | — | (21,014,714 | ) | — | (21,014,714 | ) | ||||||||||
| Israel | (3,355,128 | ) | — | — | (3,355,128 | ) | ||||||||||
| Italy | — | (9,889,692 | ) | — | (9,889,692 | ) | ||||||||||
| Japan | — | (52,797,015 | ) | — | (52,797,015 | ) | ||||||||||
| Netherlands | — | (6,753,811 | ) | — | (6,753,811 | ) | ||||||||||
| Norway | — | (724,912 | ) | — | (724,912 | ) | ||||||||||
| Russia | — | (386,969 | ) | — | (386,969 | ) | ||||||||||
| Singapore | — | (3,449,069 | ) | — | (3,449,069 | ) | ||||||||||
| Spain | — | (10,516,370 | ) | — | (10,516,370 | ) | ||||||||||
| Sweden | — | (3,836,891 | ) | — | (3,836,891 | ) | ||||||||||
| Switzerland | — | (7,086,080 | ) | — | (7,086,080 | ) | ||||||||||
| United Kingdom | — | (32,597,903 | ) | — | (32,597,903 | ) | ||||||||||
| United States | (254,948,857 | ) | — | — | (254,948,857 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | (258,303,985 | ) | (184,664,481 | ) | — | (442,968,466 | ) | |||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Germany | — | (2,696,606 | ) | — | (2,696,606 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | (2,696,606 | ) | — | (2,696,606 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| Spain | (29,469 | ) | — | — | (29,469 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | (29,469 | ) | — | — | (29,469 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | (5,993,996 | ) | — | (5,993,996 | ) | ||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | (12,442,935 | ) | (15,513,094 | ) | — | (27,956,029 | ) | |||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | (375,920 | ) | — | (375,920 | ) | ||||||||||
| Interest Rate Risk | — | (1,182,403 | ) | — | (1,182,403 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (270,776,389 | ) | $ | (210,426,500 | ) | $ | — | $ | (481,202,889 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Global Asset Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds | $ | 659,726,686 | $ | — | $ | — | $ | 659,726,686 | ||||||||
| Debt Obligations | ||||||||||||||||
| Asset-Backed Securities | — | 21,670 | — | 21,670 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | — | 21,670 | — | 21,670 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 45,361 | — | — | 45,361 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 659,772,047 | 21,670 | — | 659,793,717 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 659,772,047 | $ | 21,670 | $ | — | $ | 659,793,717 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds | $ | 98,599,980 | $ | — | $ | — | $ | 98,599,980 | ||||||||
| Short-Term Investments | 56,272 | — | — | 56,272 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 98,656,252 | — | — | 98,656,252 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 98,656,252 | $ | — | $ | — | $ | 98,656,252 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Global Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds | $ | 1,760,018,513 | $ | — | $ | — | $ | 1,760,018,513 | ||||||||
| Short-Term Investments | 718,954 | — | — | 718,954 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 1,760,737,467 | — | — | 1,760,737,467 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 1,760,737,467 | $ | — | $ | — | $ | 1,760,737,467 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Consolidated Implementation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Argentina | $ | 1,865,804 | $ | — | $ | — | $ | 1,865,804 | ||||||||
| Australia | — | 85,667,542 | — | 85,667,542 | ||||||||||||
| Austria | — | 249,791 | — | 249,791 | ||||||||||||
| Belgium | — | 27,217,517 | — | 27,217,517 | ||||||||||||
| Brazil | 18,010,108 | 46,723,850 | — | 64,733,958 | ||||||||||||
| Canada | 76,024,683 | — | — | 76,024,683 | ||||||||||||
| Chile | — | 580,356 | — | 580,356 | ||||||||||||
| China | 75,942,612 | 589,230,033 | 6,778,855 | 671,951,500 | ||||||||||||
| Colombia | 11,266 | — | — | 11,266 | ||||||||||||
| Czech Republic | — | 1,855,707 | — | 1,855,707 | ||||||||||||
| Denmark | — | 23,486,963 | — | 23,486,963 | ||||||||||||
| Egypt | — | 414,243 | — | 414,243 | ||||||||||||
| Finland | — | 16,730,282 | — | 16,730,282 | ||||||||||||
| France | — | 101,499,241 | — | 101,499,241 | ||||||||||||
| Germany | — | 98,991,096 | — | 98,991,096 | ||||||||||||
| Hong Kong | — | 45,345,737 | — | 45,345,737 | ||||||||||||
| Hungary | — | 1,096,987 | — | 1,096,987 | ||||||||||||
| India | 8,249,723 | 130,473,553 | 299,676 | 139,022,952 | ||||||||||||
| Indonesia | — | 23,567,399 | — | 23,567,399 | ||||||||||||
| Ireland | 2,395,220 | 21,157,738 | — | 23,552,958 | ||||||||||||
| Israel | 11,099,738 | 602,380 | — | 11,702,118 | ||||||||||||
| Italy | — | 59,287,966 | — | 59,287,966 | ||||||||||||
| Japan | — | 720,389,250 | — | 720,389,250 | ||||||||||||
| Kuwait | — | 14,628,156 | — | 14,628,156 | ||||||||||||
| Luxembourg | 135,457 | — | — | 135,457 | ||||||||||||
| Malaysia | — | 1,702,695 | — | 1,702,695 | ||||||||||||
| Mexico | 66,592,338 | — | — | 66,592,338 | ||||||||||||
| Netherlands | 9,392,800 | 81,088,172 | 201 | 90,481,173 | ||||||||||||
| New Zealand | — | 6,215,611 | — | 6,215,611 | ||||||||||||
| Norway | — | 21,518,186 | — | 21,518,186 | ||||||||||||
| Pakistan | — | 5,039,209 | — | 5,039,209 | ||||||||||||
| Philippines | — | 3,783,257 | — | 3,783,257 | ||||||||||||
| Poland | — | 28,127,141 | — | 28,127,141 | ||||||||||||
| Portugal | — | 23,960,534 | — | 23,960,534 | ||||||||||||
| Qatar | — | 8,472,993 | — | 8,472,993 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Russia | $ | 1,619,838 | $ | 198,369,205 | $ | 1,749,626 | $ | 201,738,669 | ||||||||
| Saudi Arabia | — | 557,832 | — | 557,832 | ||||||||||||
| Singapore | — | 31,881,023 | — | 31,881,023 | ||||||||||||
| South Africa | — | 80,460,878 | — | 80,460,878 | ||||||||||||
| South Korea | 4,852,170 | 158,681,690 | — | 163,533,860 | ||||||||||||
| Spain | — | 72,890,676 | — | 72,890,676 | ||||||||||||
| Sweden | — | 6,993,103 | — | 6,993,103 | ||||||||||||
| Switzerland | — | 26,311,750 | — | 26,311,750 | ||||||||||||
| Taiwan | 19,194,228 | 281,115,914 | — | 300,310,142 | ||||||||||||
| Thailand | — | 8,124,748 | — | 8,124,748 | ||||||||||||
| Turkey | — | 34,195,037 | — | 34,195,037 | ||||||||||||
| United Arab Emirates | — | 5,209,884 | — | 5,209,884 | ||||||||||||
| United Kingdom | 31,801,793 | 218,406,650 | — | 250,208,443 | ||||||||||||
| United States | 1,369,207,278 | — | 14,201,098 | 1,383,408,376 | ||||||||||||
| Vietnam | — | 4,325,235 | — | 4,325,235 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 1,696,395,056 | 3,316,627,210 | 23,029,456 | 5,036,051,722 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Brazil | 6,375,615 | 14,256,747 | — | 20,632,362 | ||||||||||||
| Chile | — | 674,007 | — | 674,007 | ||||||||||||
| Colombia | 452,872 | — | — | 452,872 | ||||||||||||
| Germany | — | 11,636,150 | — | 11,636,150 | ||||||||||||
| Russia | — | 19,744,697 | — | 19,744,697 | ||||||||||||
| South Korea | — | 28,828,142 | — | 28,828,142 | ||||||||||||
| Taiwan | — | 841,958 | — | 841,958 | ||||||||||||
| United States | — | — | 1,160,080 | 1,160,080 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | 6,828,487 | 75,981,701 | 1,160,080 | 83,970,268 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| United States | — | — | 983,025 | 983,025 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | — | — | 983,025 | 983,025 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Investment Funds | ||||||||||||||||
| United States | 6,266,566 | — | 33,626,240 | 39,892,806 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL INVESTMENT FUNDS | 6,266,566 | — | 33,626,240 | 39,892,806 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Debt Obligations | ||||||||||||||||
| Brazil | — | 7,290,097 | — | 7,290,097 | ||||||||||||
| Canada | — | 1,906,741 | — | 1,906,741 | ||||||||||||
| Israel | — | 5,888,621 | — | 5,888,621 | ||||||||||||
| Jamaica | — | 2,376,342 | 6,449,553 | 8,825,895 | ||||||||||||
| Luxembourg | — | — | 2,480,985 | 2,480,985 | ||||||||||||
| Netherlands | — | — | 119,060 | 119,060 | ||||||||||||
| Puerto Rico | — | 6,324,677 | — | 6,324,677 | ||||||||||||
| United States | 466,074,102 | 160,012,113 | 26,309,066 | 652,395,281 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 466,074,102 | 183,798,591 | 35,358,664 | 685,231,357 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 34,430,016 | — | — | 34,430,016 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 34,430,016 | — | — | 34,430,016 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 117,970,505 | 37,503,601 | — | 155,474,106 | ||||||||||||
| Purchased Options | 513,180 | — | — | 513,180 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 2,328,477,912 | 3,613,911,103 | 94,157,465 | 6,036,546,480 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | 19,464,375 | — | 19,464,375 | ||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 5,263,193 | 4,043,413 | — | 9,306,606 | ||||||||||||
| Interest Rate Risk | 719,069 | — | — | 719,069 | ||||||||||||
| Physical Commodity Contract Risk | 1,688,086 | — | — | 1,688,086 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | 1,557,159 | — | 1,557,159 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Interest Rate Risk | $ | — | $ | 14,291,944 | $ | — | $ | 14,291,944 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 2,336,148,260 | $ | 3,653,267,994 | $ | 94,157,465 | $ | 6,083,573,719 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | (35,293,173 | ) | $ | — | $ | (35,293,173 | ) | ||||||
| Austria | — | (9,232,731 | ) | — | (9,232,731 | ) | ||||||||||
| Belgium | — | (1,227,294 | ) | — | (1,227,294 | ) | ||||||||||
| Canada | (8,039,862 | ) | — | — | (8,039,862 | ) | ||||||||||
| Denmark | — | (3,724,029 | ) | — | (3,724,029 | ) | ||||||||||
| France | — | (48,532,449 | ) | — | (48,532,449 | ) | ||||||||||
| Germany | — | (63,518,537 | ) | — | (63,518,537 | ) | ||||||||||
| Ireland | (17,439,183 | ) | — | — | (17,439,183 | ) | ||||||||||
| Israel | (8,878,842 | ) | — | — | (8,878,842 | ) | ||||||||||
| Italy | — | (27,467,491 | ) | — | (27,467,491 | ) | ||||||||||
| Japan | — | (147,465,848 | ) | — | (147,465,848 | ) | ||||||||||
| Netherlands | — | (27,686,228 | ) | — | (27,686,228 | ) | ||||||||||
| Norway | — | (1,910,232 | ) | — | (1,910,232 | ) | ||||||||||
| Russia | — | (1,056,856 | ) | — | (1,056,856 | ) | ||||||||||
| Singapore | — | (10,386,455 | ) | — | (10,386,455 | ) | ||||||||||
| Spain | — | (39,581,587 | ) | — | (39,581,587 | ) | ||||||||||
| Sweden | — | (10,789,239 | ) | — | (10,789,239 | ) | ||||||||||
| Switzerland | — | (20,779,793 | ) | — | (20,779,793 | ) | ||||||||||
| United Kingdom | (35,699,162 | ) | (92,221,466 | ) | — | (127,920,628 | ) | |||||||||
| United States | (977,230,568 | ) | — | — | (977,230,568 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | (1,047,287,617 | ) | (540,873,408 | ) | — | (1,588,161,025 | ) | |||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Germany | — | (7,156,206 | ) | — | (7,156,206 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | (7,156,206 | ) | — | (7,156,206 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| Spain | (87,949 | ) | — | — | (87,949 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | (87,949 | ) | — | — | (87,949 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Investment Funds | ||||||||||||||||
| United States | (782,925 | ) | — | — | (782,925 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL INVESTMENT FUNDS | (782,925 | ) | — | — | (782,925 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | (23,349,905 | ) | — | (23,349,905 | ) | ||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | (25,837,447 | ) | (36,528,168 | ) | — | (62,365,615 | ) | |||||||||
| Interest Rate Risk | (51,775 | ) | — | — | (51,775 | ) | ||||||||||
| Physical Commodity Contract Risk | (4,685,289 | ) | — | — | (4,685,289 | ) | ||||||||||
| Written Options | ||||||||||||||||
| Equity Risk | (165,345 | ) | — | — | (165,345 | ) | ||||||||||
| Swap Contracts | ||||||||||||||||
| Credit Risk | — | (682,558 | ) | — | (682,558 | ) | ||||||||||
| Equity Risk | — | (2,284,565 | ) | — | (2,284,565 | ) | ||||||||||
| Interest Rate Risk | — | (7,216,124 | ) | — | (7,216,124 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (1,078,898,347 | ) | $ | (618,090,934 | ) | $ | — | $ | (1,696,989,281 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
| International Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds | $ | 253,861,162 | $ | — | $ | — | $ | 253,861,162 | ||||||||
| Short-Term Investments | 94,922 | — | — | 94,922 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 253,956,084 | — | — | 253,956,084 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 253,956,084 | $ | — | $ | — | $ | 253,956,084 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| International Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds | $ | 867,734,753 | $ | — | $ | — | $ | 867,734,753 | ||||||||
| Short-Term Investments | 356,832 | — | — | 356,832 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 868,091,585 | — | — | 868,091,585 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 868,091,585 | $ | — | $ | — | $ | 868,091,585 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Consolidated SGM Major Markets Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations | ||||||||||||||||
| U.S. Government | $ | 280,665,121 | $ | — | $ | — | $ | 280,665,121 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL DEBT OBLIGATIONS | 280,665,121 | — | — | 280,665,121 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 114,824,495 | 8,483 | — | 114,832,978 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 395,489,616 | 8,483 | — | 395,498,099 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | — | 1,601,455 | — | 1,601,455 | ||||||||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | 3,836,107 | 3,542,448 | — | 7,378,555 | ||||||||||||
| Interest Rate Risk | 608,622 | — | — | 608,622 | ||||||||||||
| Physical Commodity Contract Risk | 1,494,449 | — | — | 1,494,449 | ||||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | 772,709 | — | 772,709 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 401,428,794 | $ | 5,925,095 | $ | — | $ | 407,353,889 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts | ||||||||||||||||
| Foreign Currency Risk | $ | — | $ | (930,398 | ) | $ | — | $ | (930,398 | ) | ||||||
| Futures Contracts | ||||||||||||||||
| Equity Risk | (768,315 | ) | (1,133,942 | ) | — | (1,902,257 | ) | |||||||||
| Interest Rate Risk | (21,924 | ) | — | — | (21,924 | ) | ||||||||||
| Physical Commodity Contract Risk | (3,992,931 | ) | — | — | (3,992,931 | ) | ||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | (1,005,711 | ) | — | (1,005,711 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (4,783,170 | ) | $ | (3,070,051 | ) | $ | — | $ | (7,853,221 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | 4,777,836 | $ | — | $ | 4,777,836 | ||||||||
| Belgium | — | 1,809,408 | — | 1,809,408 | ||||||||||||
| Canada | 3,892,429 | — | — | 3,892,429 | ||||||||||||
| China | 319,884 | 3,650,163 | 461,823 | 4,431,870 | ||||||||||||
| Denmark | — | 1,413,215 | — | 1,413,215 | ||||||||||||
| Finland | — | 1,016,392 | — | 1,016,392 | ||||||||||||
| France | — | 5,430,352 | — | 5,430,352 | ||||||||||||
| Germany | — | 4,356,589 | — | 4,356,589 | ||||||||||||
| Hong Kong | — | 2,669,368 | — | 2,669,368 | ||||||||||||
| India | — | 1,516,101 | — | 1,516,101 | ||||||||||||
| Ireland | — | 1,719,657 | — | 1,719,657 | ||||||||||||
| Israel | 695,728 | 48,029 | — | 743,757 | ||||||||||||
| Italy | — | 3,784,431 | — | 3,784,431 | ||||||||||||
| Japan | — | 39,511,280 | — | 39,511,280 | ||||||||||||
| Malta | — | — | 0 | § | 0 | § | ||||||||||
| Mexico | 937,281 | — | — | 937,281 | ||||||||||||
| Netherlands | 560,500 | 4,402,268 | — | 4,962,768 | ||||||||||||
| New Zealand | — | 370,324 | — | 370,324 | ||||||||||||
| Norway | — | 1,748,536 | — | 1,748,536 | ||||||||||||
| Portugal | — | 1,330,211 | — | 1,330,211 | ||||||||||||
| Russia | — | 712,159 | — | 712,159 | ||||||||||||
| Singapore | — | 1,771,340 | — | 1,771,340 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| South Africa | $ | — | $ | 500,593 | $ | — | $ | 500,593 | ||||||||
| South Korea | — | 110,002 | — | 110,002 | ||||||||||||
| Spain | — | 4,277,875 | — | 4,277,875 | ||||||||||||
| Sweden | — | 446,289 | — | 446,289 | ||||||||||||
| Switzerland | — | 874,559 | — | 874,559 | ||||||||||||
| Taiwan | — | 362,646 | — | 362,646 | ||||||||||||
| United Kingdom | — | 13,964,044 | — | 13,964,044 | ||||||||||||
| United States | 51,315,296 | — | — | 51,315,296 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | 57,721,118 | 102,573,667 | 461,823 | 160,756,608 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Brazil | — | 518,286 | — | 518,286 | ||||||||||||
| Germany | — | 523,585 | — | 523,585 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | 1,041,871 | — | 1,041,871 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| Singapore | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Mutual Funds | ||||||||||||||||
| United States | 241,657,971 | — | — | 241,657,971 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL MUTUAL FUNDS | 241,657,971 | — | — | 241,657,971 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Short-Term Investments | 541,818 | — | — | 541,818 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total Investments | 299,920,907 | 103,615,538 | 461,823 | 403,998,268 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | 5,956 | — | 5,956 | ||||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | 299,920,907 | $ | 103,621,494 | $ | 461,823 | $ | 404,004,224 | ||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Australia | $ | — | $ | (2,175,921 | ) | $ | — | $ | (2,175,921 | ) | ||||||
| Austria | — | (545,497 | ) | — | (545,497 | ) | ||||||||||
| Belgium | — | (83,951 | ) | — | (83,951 | ) | ||||||||||
| Denmark | — | (247,490 | ) | — | (247,490 | ) | ||||||||||
| France | — | (3,002,230 | ) | — | (3,002,230 | ) | ||||||||||
| Germany | — | (3,781,731 | ) | — | (3,781,731 | ) | ||||||||||
| Israel | (593,610 | ) | — | — | (593,610 | ) | ||||||||||
| Italy | — | (1,680,112 | ) | — | (1,680,112 | ) | ||||||||||
| Japan | — | (9,111,940 | ) | — | (9,111,940 | ) | ||||||||||
| Netherlands | — | (1,122,389 | ) | — | (1,122,389 | ) | ||||||||||
| Norway | — | (124,744 | ) | — | (124,744 | ) | ||||||||||
| Russia | — | (70,501 | ) | — | (70,501 | ) | ||||||||||
| Singapore | — | (593,422 | ) | — | (593,422 | ) | ||||||||||
| Spain | — | (2,316,453 | ) | — | (2,316,453 | ) | ||||||||||
| Sweden | — | (588,942 | ) | — | (588,942 | ) | ||||||||||
| Switzerland | — | (1,276,936 | ) | — | (1,276,936 | ) | ||||||||||
| United Kingdom | — | (5,654,967 | ) | — | (5,654,967 | ) | ||||||||||
| United States | (45,205,306 | ) | — | — | (45,205,306 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL COMMON STOCKS | (45,798,916 | ) | (32,377,226 | ) | — | (78,176,142 | ) | |||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Preferred Stocks | ||||||||||||||||
| Germany | — | (412,457 | ) | — | (412,457 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL PREFERRED STOCKS | — | (412,457 | ) | — | (412,457 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Rights/Warrants | ||||||||||||||||
| Spain | (5,196 | ) | — | — | (5,196 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| TOTAL RIGHTS/WARRANTS | (5,196 | ) | — | — | (5,196 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Derivatives^ | ||||||||||||||||
| Swap Contracts | ||||||||||||||||
| Equity Risk | — | (67,198 | ) | — | (67,198 | ) | ||||||||||
|
|
|
|
|
|
|
|
| |||||||||
| Total | $ | (45,804,112 | ) | $ | (32,856,881 | ) | $ | — | $ | (78,660,993 | ) | |||||
|
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| ^ | 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 May 31, 2021. |
The underlying funds held at period 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). Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Fund each hold a common stock that is priced with a 2,000 basis point liquidity discount to the most relevant price prior to suspension of trading. Additionally Implementation Fund’s Level 3 holdings also include a common stock of 144A shares that is thinly traded and is being priced off the Reg S shares of the same security, two common stocks which are priced at the average of broker bids 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 May 31, 2021.
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 2021 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized | Change in Unrealized | Transfer into Level 3 | Transfer out of Level 3 | Balances 2021 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021 | |||||||||||||||||||||||||||||||||||
| Consolidated Alternative Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
| |||||||||||||||||||||||||||||||||||||||||||
| China | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 441,258 | ‡ | $ | — | $ | 441,258 | $ | — | |||||||||||||||||||||||
| Investment Funds |
| |||||||||||||||||||||||||||||||||||||||||||
| United States | 10,681,155 | 3,593,356 | — | — | — | (44,124 | ) | — | — | 14,230,387 | (44,124 | ) | ||||||||||||||||||||||||||||||||
| Rights/Warrants |
| |||||||||||||||||||||||||||||||||||||||||||
| United States | 146,362 | 13,649 | — | — | — | 103,440 | — | — | 263,451 | 103,440 | ||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
| Total Investments | $ | 10,827,517 | $ | 3,607,005 | $ | — | $ | — | $ | — | $ | 59,316 | $ | 441,258 | $ | — | $ | 14,935,096 | $ | 59,316 | ||||||||||||||||||||||||
|
|
|
|
|
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|
|
|
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|
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|
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|
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|
|
| |||||||||||||||||||||||||
| Benchmark-Free Fund |
| |||||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
| |||||||||||||||||||||||||||||||||||||||||||
| China | $ | 11,049 | $ | — | $ | — | $ | — | $ | — | $ | (11,049 | ) | $ | 2,232,633 | ‡ | $ | — | $ | 2,232,633 | $ | — | ||||||||||||||||||||||
| India | — | 120,062 | — | — | — | 4,824 | — | — | 124,886 | 4,824 | ||||||||||||||||||||||||||||||||||
| Russia | — | 666,851 | — | — | — | (109,432 | ) | — | — | 557,419 | (109,432 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
| Total Investments | $ | 11,049 | $ | 786,913 | $ | — | $ | — | $ | — | $ | (115,657 | ) | $ | 2,232,633 | $ | — | $ | 2,914,938 | $ | (104,608 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
| Consolidated Implementation Fund |
| |||||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
| |||||||||||||||||||||||||||||||||||||||||||
| China | $ | 38,211 | $ | — | $ | — | $ | — | $ | — | $ | (38,211 | ) | $ | 6,778,855 | ‡ | $ | — | $ | 6,778,855 | $ | (38,211 | ) | |||||||||||||||||||||
| India | — | 287,900 | — | — | — | 11,776 | — | — | 299,676 | 11,776 | ||||||||||||||||||||||||||||||||||
| Netherlands | 199 | — | — | — | — | 2 | — | — | 201 | 2 | ||||||||||||||||||||||||||||||||||
| Russia | — | 2,093,111 | — | — | — | (343,485 | ) | — | — | 1,749,626 | (343,485 | ) | ||||||||||||||||||||||||||||||||
| United States | 13,767,769 | 57,228 | — | — | — | 376,101 | — | — | 14,201,098 | 376,101 | ||||||||||||||||||||||||||||||||||
| Preferred Stocks |
| |||||||||||||||||||||||||||||||||||||||||||
| United States | 881,040 | 38,000 | — | — | — | 241,040 | — | — | 1,160,080 | 241,040 | ||||||||||||||||||||||||||||||||||
| Rights/Warrants |
| |||||||||||||||||||||||||||||||||||||||||||
| United States | 737,648 | 28,603 | — | — | — | 216,774 | — | — | 983,025 | 216,774 | ||||||||||||||||||||||||||||||||||
| Investment Funds |
| |||||||||||||||||||||||||||||||||||||||||||
| United States | 22,494,300 | 11,232,431 | — | — | — | (100,491 | ) | — | — | 33,626,240 | (100,491 | ) | ||||||||||||||||||||||||||||||||
| Debt Obligations |
| |||||||||||||||||||||||||||||||||||||||||||
| Bank Loans | ||||||||||||||||||||||||||||||||||||||||||||
| Jamaica | 6,415,674 | — | (17,073 | ) | 37,432 | — | 13,520 | — | — | 6,449,553 | 13,520 | |||||||||||||||||||||||||||||||||
| Luxembourg | 2,478,466 | — | (6,186 | ) | 393 | — | 8,312 | — | — | 2,480,985 | 8,312 | |||||||||||||||||||||||||||||||||
| United States | 32,146,412 | 3,602,857 | (6,240,070 | ) | 874,113 | (35,137 | ) | (4,088,109 | ) | — | — | 26,260,066 | (3,431,875 | ) | ||||||||||||||||||||||||||||||
| Corporate Debt | ||||||||||||||||||||||||||||||||||||||||||||
| Netherlands | 304,846 | 14,663 | (189,715 | ) | 32,404 | 44,788 | (87,926 | ) | — | — | 119,060 | (87,926 | ) | |||||||||||||||||||||||||||||||
| United States | — | 42,000 | — | 109 | — | 6,891 | — | — | 49,000 | 6,891 | ||||||||||||||||||||||||||||||||||
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
| Total Investments | $ | 79,264,565 | $ | 17,396,793 | $ | (6,453,044 | )#$ | 944,451 | $ | 9,651 | $ | (3,783,806 | ) | $ | 6,778,855 | $ | — | $ | 94,157,465 | $ | (3,127,572 | ) | ||||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||
| Balances as of 2021 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized | Change in Unrealized | Transfer into Level 3 | Transfer out of Level 3 | Balances 2021 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021 | |||||||||||||||||||||||||||||||||||
| Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||
| Common Stocks | ||||||||||||||||||||||||||||||||||||||||||||
| China | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 461,823 | ‡ | $ | — | $ | 461,823 | $ | — | |||||||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||
| Total Investments | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 461,823 | $ | — | $ | 461,823 | $ | — | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
| ‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
| # | Includes $3,640,115 of proceeds received from partial calls and/or principal paydowns as applicable. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2021 for Funds with material Level 3 investments.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||
| Common Stock | 441,258 | Fair Value | Discount rate | 20% (N/A) | ||||||||||||
| Benchmark-Free Fund | ||||||||||||||||
| Common Stock | 2,232,633 | Fair Value | Discount rate | 20% (N/A) | ||||||||||||
| Common Stock | 557,419 | Fair Value | Price of comparable equity | (N/A) | ||||||||||||
| Common Stock | — | Fair Value | | Discount for lack of liquidity/marketability | | 0% (N/A) | ||||||||||
| Consolidated Implementation Fund | ||||||||||||||||
| Common Stock | 8,353,609 | Fair Value | Discount rate | 20-30% (21.99%) | ||||||||||||
| Common Stock | 5,592,935 | Fair Value | Most relevant broker quote | 1.000-9.583(9.35) | ||||||||||||
| Common Stock | 1,749,626 | Fair Value | Price of comparable equity | (N/A) | ||||||||||||
| Common Stock | — | Fair Value | | Discount for lack of liquidity/marketability | | 0% (N/A) | ||||||||||
| Debt Obligation | 119,060 | Fair Value | Expected payment | (N/A) | ||||||||||||
| Debt Obligation | 1,313,896 | Fair Value | Potential recovery | (N/A) | ||||||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||
| Common Stock | 461,823 | Fair Value | Discount Rate | 20% (N/A) | ||||||||||||
| Common Stock | — | 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 May 31, 2021, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund, Benchmark-Free Fund and Consolidated Implementation Fund was $14,493,838, $124,886 and $77,028,339, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
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 period ended May 31, 2021 is set forth below:
| Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | 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 | $ | — | $ | 14,740,000 | $ | — | $ | 1,970,341 | $ | (934,155 | ) | $ | 15,488,890 | |||||||||||||
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|
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|
| |||||||||||||||
| Benchmark-Free Allocation Fund | ||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV | $ | 161,366,088 | $ | — | $ | 2,400,000 | $ | — | $ | (136,976 | ) | $ | 5,103,778 | $ | 163,932,890 | |||||||||||||
| GMO Implementation Fund | 5,968,168,051 | 29,421,213 | 314,665,124 | — | (584,858 | ) | 359,531,179 | 6,041,870,461 | ||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI | 237,695,110 | — | 11,500,000 | — | 215,757 | 661,746 | 227,072,613 | |||||||||||||||||||||
| GMO SGM Major Markets Fund, Class VI | 176,393,296 | — | — | — | — | (1,046,354 | ) | 175,346,942 | ||||||||||||||||||||
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|
|
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|
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|
|
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|
|
| |||||||||||||||
| Totals | $ | 6,543,622,545 | $ | 29,421,213 | $ | 328,565,124 | $ | — | $ | (506,077 | ) | $ | 364,250,349 | $ | 6,608,222,906 | |||||||||||||
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|
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|
|
| |||||||||||||||
| Benchmark-Free Fund | ||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV | $ | 68,079,210 | $ | — | $ | — | $ | — | $ | — | $ | 2,109,120 | $ | 70,188,330 | ||||||||||||||
| GMO Emerging Markets Fund, Class VI | 73,462,563 | — | — | — | — | 3,651,943 | 77,114,506 | |||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI | 95,150,641 | 11,200,000 | — | — | — | 401,176 | 106,751,817 | |||||||||||||||||||||
| GMO SGM Major Markets Fund, Class VI | 53,275,871 | 20,000,000 | — | — | — | (359,903 | ) | 72,915,968 | ||||||||||||||||||||
| GMO U.S. Treasury Fund | 15,629,132 | 45,527,939 | 46,694,823 | — | ** | — | — | 14,462,248 | ||||||||||||||||||||
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|
| |||||||||||||||
| Totals | $ | 305,597,417 | $ | 76,727,939 | $ | 46,694,823 | $ | — | $ | — | $ | 5,802,336 | $ | 341,432,869 | ||||||||||||||
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| |||||||||||||||
| Global Asset Allocation Fund | ||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI | $ | 178,571,877 | $ | — | $ | 53,786,020 | $ | — | $ | (1,747,470 | ) | $ | 7,351,785 | $ | 130,390,172 | |||||||||||||
| GMO Asset Allocation Bond Fund, Class VI | 58,588,962 | 15,117,924 | 35,050,450 | — | 2,126,232 | (1,560,416 | ) | 39,222,252 | ||||||||||||||||||||
| GMO Cyclical Focus Fund Class IV | 26,821,332 | — | 9,200,000 | — | 3,366,139 | (281,787 | ) | 20,705,684 | ||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV | 26,636,433 | — | 7,000,000 | — | (428,932 | ) | 1,042,545 | 20,250,046 | ||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI | 175,044,536 | 3,233,370 | 52,200,000 | — | 6,154,708 | 1,037,969 | 133,270,583 | |||||||||||||||||||||
| GMO International Equity Fund, Class IV | 143,733,654 | — | 53,606,134 | — | 5,518,298 | 9,533,617 | 105,179,435 | |||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI | 35,718,441 | 614,162 | 11,300,000 | — | 2,101,790 | (368,189 | ) | 26,766,204 | ||||||||||||||||||||
| GMO Multi-Sector Fixed Income Fund, Class IV | 49,437,917 | 30,278,972 | 21,470,000 | — | (57,605 | ) | 667,905 | 58,857,189 | ||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI | 26,706,075 | — | 7,200,000 | — | (63,325 | ) | 145,907 | 19,588,657 | ||||||||||||||||||||
| GMO Quality Fund, Class VI | 18,091,344 | 114,165 | 7,200,000 | — | 1,725,921 | 336,948 | 13,068,378 | |||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI | 73,489,034 | — | 29,560,963 | — | 2,070,930 | 6,502,305 | 52,501,306 | |||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI | 58,149,527 | 276,372 | 25,762,526 | — | 7,020,313 | 42,039 | 39,725,725 | |||||||||||||||||||||
| GMO U.S. Treasury Fund | 24,707,179 | 22,501,055 | 47,007,179 | 1,938 | — | — | 201,055 | |||||||||||||||||||||
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| |||||||||||||||
| Totals | $ | 895,696,311 | $ | 72,136,020 | $ | 360,343,272 | $ | 1,938 | $ | 27,786,999 | $ | 24,450,628 | $ | 659,726,686 | ||||||||||||||
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| |||||||||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||||||||||||||
| GMO Cyclical Focus Fund, Class IV | $ | 4,589,809 | $ | — | $ | — | $ | — | $ | — | $ | 590,705 | $ | 5,180,514 | ||||||||||||||
| GMO Emerging Markets Fund, Class VI | 8,499,013 | 560,000 | — | — | — | 437,390 | 9,496,403 | |||||||||||||||||||||
| GMO International Equity Fund, Class IV | 37,111,417 | 600,000 | — | — | — | 4,732,034 | 42,443,451 | |||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI | 3,494,510 | — | — | — | — | 168,249 | 3,662,759 | |||||||||||||||||||||
| GMO Quality Fund, Class VI | 10,925,424 | — | — | — | — | 1,417,194 | 12,342,618 | |||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI | 14,166,705 | — | — | — | — | 1,878,953 | 16,045,658 | |||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI | 9,343,101 | — | 1,160,000 | — | 338,488 | 906,988 | 9,428,577 | |||||||||||||||||||||
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| Totals | $ | 88,129,979 | $ | 1,160,000 | $ | 1,160,000 | $ | — | $ | 338,488 | $ | 10,131,513 | $ | 98,599,980 | ||||||||||||||
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| Global Equity Allocation Fund | ||||||||||||||||||||||||||||
| GMO Cyclical Focus Fund, Class VI | $ | 81,133,477 | $ | — | $ | — | $ | — | $ | — | $ | 10,441,817 | $ | 91,575,294 | ||||||||||||||
| GMO Emerging Markets Fund, Class VI | 451,468,804 | 7,000,000 | 804,295 | — | 265,044 | 22,339,837 | 480,269,390 | |||||||||||||||||||||
| GMO International Equity Fund, Class IV | 546,831,021 | 10,129,760 | 29,390,592 | — | 3,604,850 | 64,661,970 | 595,837,009 | |||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI | 65,011,818 | — | — | — | — | 3,130,096 | 68,141,914 | |||||||||||||||||||||
| GMO Quality Fund, Class VI | 220,601,446 | 8,500,000 | 18,443,480 | — | 4,779,386 | 24,038,280 | 239,475,632 | |||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI | 104,407,865 | 127,829 | 8,834,639 | — | 1,605,780 | 11,924,622 | 109,231,457 | |||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI | 177,879,688 | 129,782 | 26,146,368 | — | 7,581,177 | 16,043,538 | 175,487,817 | |||||||||||||||||||||
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| Totals | $ | 1,647,334,119 | $ | 25,887,371 | $ | 83,619,374 | $ | — | $ | 17,836,237 | $ | 152,580,160 | $ | 1,760,018,513 | ||||||||||||||
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| Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | |||||||||||||||||||||
| Consolidated Implementation Fund | ||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund | $ | 35,272,723 | $ | 109,548,816 | $ | 110,391,523 | $ | — | ** | $ | — | $ | — | $ | 34,430,016 | |||||||||||||
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| International Developed Equity Allocation Fund | ||||||||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI | $ | 22,008,788 | $ | 2,561,768 | $ | 259,434 | $ | — | $ | 18,452 | $ | 1,163,126 | $ | 25,492,700 | ||||||||||||||
| GMO International Equity Fund, Class IV | 194,337,465 | 611,871 | 1,029,686 | — | 70,290 | 24,462,810 | 218,452,750 | |||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI | 8,953,179 | 529,788 | — | — | — | 432,745 | 9,915,712 | |||||||||||||||||||||
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| Totals | $ | 225,299,432 | $ | 3,703,427 | $ | 1,289,120 | $ | — | $ | 88,742 | $ | 26,058,681 | $ | 253,861,162 | ||||||||||||||
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| International Equity Allocation Fund | ||||||||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI | $ | 354,876,079 | $ | 8,135,587 | $ | 27,761,528 | $ | — | $ | 5,589,885 | $ | 11,452,959 | $ | 352,292,982 | ||||||||||||||
| GMO International Equity Fund, Class IV | 470,885,277 | 4,852,634 | 50,948,663 | — | (1,468,223 | ) | 57,806,492 | 481,127,517 | ||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI | 35,577,814 | 9,058 | 3,000,000 | — | 572,815 | 1,154,567 | 34,314,254 | |||||||||||||||||||||
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| Totals | $ | 861,339,170 | $ | 12,997,279 | $ | 81,710,191 | $ | — | $ | 4,694,477 | $ | 70,414,018 | $ | 867,734,753 | ||||||||||||||
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| Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV | $ | 19,111,645 | $ | — | $ | 6,500,000 | $ | — | $ | (739,751 | ) | $ | 1,082,559 | $ | 12,954,453 | |||||||||||||
| GMO Emerging Markets Fund, Class VI | 132,412,873 | — | 44,200,000 | — | 4,991,785 | (61,018 | ) | 93,143,640 | ||||||||||||||||||||
| GMO International Equity Fund, Class IV | 68,841,799 | — | 26,500,000 | — | 2,416,731 | 4,409,767 | 49,168,297 | |||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI | 16,234,952 | — | 5,665,000 | — | 197,112 | (156,468 | ) | 10,610,596 | ||||||||||||||||||||
| GMO Quality Fund, Class VI | 31,416,895 | — | 13,400,000 | — | 2,220,283 | 1,102,306 | 21,339,484 | |||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI | 29,319,352 | — | 11,300,000 | — | 493,729 | 2,885,496 | 21,398,577 | |||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI | 41,144,715 | — | 18,600,001 | — | 4,825,863 | (228,217 | ) | 27,142,360 | ||||||||||||||||||||
| GMO U.S. Treasury Fund | 2,500,173 | 41,000,564 | 37,600,173 | 1,103 | — | — | 5,900,564 | |||||||||||||||||||||
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| Totals | $ | 340,982,404 | $ | 41,000,564 | $ | 163,765,174 | $ | 1,103 | $ | 14,405,752 | $ | 9,034,425 | $ | 241,657,971 | ||||||||||||||
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| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through May 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022. |
| ** | 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 $57,012 and $116,580 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period. |
* * *
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.