# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-26-041711
**Filing Date:** 2026-4
**Character Count:** 9584
**Document Hash:** 0082f30b71d3e1378ef8f422a896fa64
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-041711.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0001410368-26-041711

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO TRUST
- **CENTRAL INDEX KEY:** 0000772129

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 26911170

**BUSINESS ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6173467646

**MAIL ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GMO CORE TRUST
- **DATE OF NAME CHANGE:** 19900927

## Series and Classes Contracts Data

### GMO MAC Implementation Fund (Series ID: S000089452)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000256009 | GMO MAC Implementation Fund | GMIHX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** GMO TRUST

- **b. Investment Company Act file number:** 811-04347

- **c. CIK number of Registrant:** 0000772129

- **d. LEI of Registrant:** 549300Y2Q6TQD4HU5C66

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 53 State Street, 33rd Floor

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-346-7646

**Item A.2. Information about the Series.**

- **a. Name of Series:** GMO MAC Implementation Fund

- **b. EDGAR series identifier (if any):** S000089452

- **c. LEI of Series:** 254900KE2CPRURIE5P51

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $29908027.10

**Total Liabilities:** $6483755.14

**Net Assets:** $23424271.96

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -5.19000000 | **1-Year:** -2.57000000 | **5-Year:** 2953.46000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000256009 | 0.07%                | 0.09%                | 3.02%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $22181.22                | $38260.67                                  |
| Month 2  | $48270.22                | $-50174.73                                 |
| Month 3  | $-29910.81               | $74494.09                                  |

### Schedule of Portfolio Investments

| Name                            | Title                                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Chicago Board of Trade          | US 5YR NOTE (CBT) JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       129 | NC      | $80978.08     | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury          | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16447000 | PA      | $16466769.62  | 70.30%            | 2027-07-31      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| United States Treasury          | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    405000 | PA      | $405482.21    | 1.73%             | 2027-04-30      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| UMBS, TBA                       | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $4307890.73   | 18.39%            | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade          | US 2YR NOTE (CBT) JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        66 | NC      | $27254.83     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                     | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $627.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade          | US 10YR NOTE (CBT)JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        67 | NC      | $33487.87     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc. | SWAP/CDSWAP/ICE: (ITRAXX.XO.44.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   4122000 | OU      | $537769.93    | 2.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade          | US ULTRA BOND CBT JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -2 | NC      | $-2252.94     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade          | US 10YR ULTRA FUT JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        71 | NC      | $47209.32     | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc. | SWAP/CDSWAP/ICE: (CDX.NA.HY.45.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   2223540 | OU      | $171533.52    | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury          | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CPG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6203000 | PA      | $6213087.94   | 26.52%            | 2027-10-31      | Floating      | 3.81%                 | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $5748.90      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc. | SWAP/CDSWAP/ICE: (CDX.EM.44.V1)                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  14338000 | OU      | $186284.08    | 0.80%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Global Advisors    | State Street Institutional Treasury Money Market Fund | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |    192030 | NS      | $192030.21    | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                       | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1732584.04   | 7.40%             | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-26

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer