# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-26-008976
**Filing Date:** 2026-1
**Character Count:** 1389393
**Document Hash:** 2a61bd3ee69a1fca92ab7cf8eaefffe0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-008976.hdr.sgml**: 20260129

**ACCESSION NUMBER**: 0001410368-26-008976

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260129

**DATE AS OF CHANGE**: 20260129

**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:** 26574783

**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 Alternative Allocation Fund (Series ID: S000065268)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000211299 | Class VI     | GAAVX           |
| C000213405 | Class R6     | GAAKX           |
| C000213406 | Class I      | GAAGX           |

## Nport-Ex

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 95.1%** |  |
| | **Australia — 1.1%** | |
| 320055 | Clean TeQ Water Ltd. <sup>\* (a)</sup> | 83816 |
| 383834 | IGO Ltd. <sup>\*</sup> | 1705769 |
| 263009 | Paladin Energy Ltd. <sup>\*</sup> | 1405960 |
| 532199 | Sunrise Energy Metals Ltd. <sup>\*</sup> | 2319287 |
|  | Total Australia | 5514832 |
|  | **Brazil — 1.6%** |  |
| 1548500 | Klabin SA | 5146340 |
| 298000 | Suzano SA | 2656283 |
|  | Total Brazil | 7802623 |
|  | **Canada — 5.4%** |  |
| 476293 | Anaergia, Inc. <sup>\*</sup> | 729376 |
| 462600 | Capstone Copper Corp. <sup>\*</sup> | 4108101 |
| 191238 | First Quantum Minerals Ltd. <sup>\*</sup> | 4357235 |
| 1925700 | Greenlane Renewables, Inc. <sup>\*</sup> | 323832 |
| 624329 | Ivanhoe Mines Ltd. – Class A<sup>\*</sup> <sup>(a)</sup> | 6531676 |
| 1008392 | Largo, Inc. <sup>\*</sup> | 995800 |
| 958900 | NexGen Energy Ltd. <sup>\*</sup> <sup>(a)</sup> | 8522336 |
| 125600 | Northland Power, Inc. <sup>(a)</sup> | 1562978 |
|  | Total Canada | 27131334 |
|  | **China — 2.0%** |  |
| 188400 | BYD Co. Ltd. – Class H | 2367782 |
| 3328560 | CECEP Solar Energy Co. Ltd. – Class A | 2118540 |
| 735000 | CMOC Group Ltd. – Class H | 1534124 |
| 1594000 | Goldwind Science & Technology Co. Ltd. – Class H | 2506731 |
| 289976 | Yutong Bus Co. Ltd. – Class A | 1275767 |
|  | Total China | 9802944 |
|  | **Denmark — 3.5%** |  |
| 271183 | Cadeler AS <sup>\*</sup> | 1190667 |
| 54502 | Rockwool AS – B Shares | 1842424 |
| 599590 | Vestas Wind Systems AS | 14253452 |
|  | Total Denmark | 17286543 |
|  | **Finland — 2.9%** |  |
| 141085 | Kemira OYJ | 3153050 |
| 587285 | Neste OYJ | 11354386 |
|  | Total Finland | 14507436 |
|  | **France — 8.8%** |  |
| 96178 | Alstom SA <sup>\*</sup> | 2524390 |
| 78625 | Nexans SA | 11404897 |
| 19350 | Schneider Electric SE | 5207191 |
| 92401 | STMicroelectronics NV <sup>(a)</sup> | 2129930 |
| 913387 | Valeo SE | 11576560 |
| 236141 | Veolia Environnement SA | 8036444 |
| 114522 | Waga Energy SA <sup>\*</sup> | 2945470 |
|  | Total France | 43824882 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Germany — 3.2%** | |
| 107206 | E.ON SE | 1909579 |
| 202104 | Infineon Technologies AG | 8531887 |
| 51190 | Knorr-Bremse AG | 5430070 |
|  | Total Germany | 15871536 |
|  | **Ireland — 0.4%** |  |
| 24617 | Kingspan Group PLC | 2113235 |
|  | **Italy — 0.7%** |  |
| 95091 | ERG SpA | 2420417 |
| 12881 | Prysmian SpA | 1292757 |
|  | Total Italy | 3713174 |
|  | **Japan — 2.9%** |  |
| 22100 | Daikin Industries Ltd. | 2869957 |
| 106900 | GS Yuasa Corp. | 2848170 |
| 152300 | Kansai Electric Power Co., Inc. | 2603786 |
| 292300 | Renesas Electronics Corp. | 3446966 |
| 81500 | Yokogawa Electric Corp. | 2606716 |
|  | Total Japan | 14375595 |
|  | **Mexico — 0.4%** |  |
| 2049126 | Orbia Advance Corp. SAB de CV <sup>(a)</sup> | 1898977 |
|  | **Netherlands — 0.3%** |  |
| 31567 | Arcadis NV | 1397299 |
|  | **Norway — 2.4%** |  |
| 414264 | Austevoll Seafood ASA | 3615588 |
| 118816 | Bakkafrost P/F | 5456754 |
| 135256 | Mowi ASA | 3072397 |
|  | Total Norway | 12144739 |
|  | **Portugal — 0.4%** |  |
| 486021 | EDP SA | 2169780 |
|  | **Russia — 0.0%** |  |
| 7221500 | GMK Norilskiy Nickel PAO <sup>\*</sup> <sup>(b) (c)</sup> |  |
| 120856 | PhosAgro PJSC <sup>\* (b) (c)</sup> |  |
| 2335 | PhosAgro PJSC GDR <sup>\* (b) (c)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 6.8%** |  |
| 38389 | CS Wind Corp. | 1084504 |
| 92963 | LG Chem Ltd. | 23689727 |
| 44050 | Samsung SDI Co. Ltd. | 9001446 |
|  | Total South Korea | 33775677 |
|  | **Spain — 1.8%** |  |
| 10855 | Acciona SA | 2182106 |
| 67572 | Endesa SA | 2450498 |
| 125340 | Iberdrola SA | 2645660 |
| 106071 | Redeia Corp. SA | 1894037 |
|  | Total Spain | 9172301 |

---

------

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Switzerland — 1.1%** | |
| 82419 | Landis & Gyr Group AG | 5351226 |
|  | **Thailand — 0.3%** |  |
| 18771420 | Energy Absolute PCL NVDR <sup>\*</sup> | 1579234 |
|  | **Ukraine — 0.2%** |  |
| 219994 | Kernel Holding SA <sup>\*</sup> | 1270014 |
|  | **United Kingdom — 0.8%** |  |
| 460000 | Lifezone Metals Ltd. <sup>\*</sup> | 1798600 |
| 131566 | National Grid PLC | 1999019 |
|  | Total United Kingdom | 3797619 |
|  | **United States — 48.1%** |  |
| 46786 | Advanced Drainage Systems, Inc. | 7129251 |
| 146062 | Aemetis, Inc. <sup>\*</sup> <sup>(a)</sup> | 252687 |
| 48061 | AGCO Corp. | 5092544 |
| 125483 | Albemarle Corp. | 16311535 |
| 40800 | Alcoa Corp. | 1702992 |
| 526763 | Ameresco, Inc. – Class A<sup>\*</sup> | 18283944 |
| 1766860 | Array Technologies, Inc. <sup>\*</sup> | 13269119 |
| 63400 | Axcelis Technologies, Inc. <sup>\*</sup> | 5247618 |
| 82584 | BorgWarner, Inc. | 3556067 |
| 87800 | Carrier Global Corp. | 4818464 |
| 2952305 | Clean Energy Fuels Corp. <sup>\*</sup> | 6436025 |
| 176700 | CNH Industrial NV | 1666281 |
| 19100 | Consolidated Edison, Inc. | 1916876 |
| 60539 | Corteva, Inc. | 4084566 |
| 673757 | Darling Ingredients, Inc. <sup>\*</sup> | 24666244 |
| 4300 | Deere & Co. | 1997307 |
| 27567 | Edison International | 1623421 |
| 28503 | EnerSys | 4079064 |
| 42839 | Exelon Corp. | 2018574 |
| 47896 | First Solar, Inc. <sup>\*</sup> | 13071776 |
| 97256 | Freeport-McMoRan, Inc. | 4180063 |
| 609495 | Gevo, Inc. <sup>\*</sup> <sup>(a)</sup> | 1304319 |
| 94 | GrafTech International Ltd. <sup>\*</sup> | 1356 |
| 775349 | Green Plains, Inc. <sup>\*</sup> | 8009355 |
| 13180 | Hubbell, Inc. | 5686247 |
| 79200 | Itron, Inc. <sup>\*</sup> | 7843968 |
| 53000 | Nextpower, Inc. – Class A<sup>\*</sup> | 4855860 |
| 62948 | ON Semiconductor Corp. <sup>\*</sup> | 3162508 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 49600 | Ormat Technologies, Inc. | 5600336 |
| 11609 | Owens Corning | 1314603 |
| 10472 | Pentair PLC | 1102073 |
| 38200 | PotlatchDeltic Corp. – (REIT) | 1537168 |
| 532276 | SolarEdge Technologies, Inc. <sup>\*</sup> | 19444042 |
| 1304948 | Sunrun, Inc. <sup>\*</sup> | 26425197 |
| 17295 | TE Connectivity PLC | 3911264 |
| 5100 | Trane Technologies PLC | 2149548 |
| 9300 | Valmont Industries, Inc. | 3840621 |
| 117000 | Weyerhaeuser Co. – (REIT) | 2598570 |
|  | Total United States | 240191453 |
|  | TOTAL COMMON STOCKS<br>(COST $529,104,648) | 474692453 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 3.2%** | **PREFERRED STOCKS <sup>(d)</sup> — 3.2%** |
|  | **Chile — 3.2%** | **Chile — 3.2%** |
| 249078 | Sociedad Quimica y Minera de Chile SA Sponsored ADR <sup>\*</sup> | 16020697 |
|  | TOTAL PREFERRED STOCKS<br>(COST $10,334,719) | 16020697 |
|  | **INVESTMENT FUNDS — 1.7%** |  |
|  | **United States — 1.7%** | **United States — 1.7%** |
| 1693275 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 8483308 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $8,483,308) | 8483308 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 325904 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(f)</sup> | 325904 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $325,904) | 325904 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $548,248,579) | **499522362** |
|  | Other Assets and Liabilities (net) — (0.0)% | (248676) |
|  | **TOTAL NET ASSETS — 100.0%** | **$499273686** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| GMK Norilskiy Nickel PAO | 04/11/18 | $21636323 | 0.0% | $— |
| PhosAgro PJSC | 08/09/19 | 5614147 | 0.0% |  |
| PhosAgro PJSC GDR | 08/09/19 | 36037 | 0.0% |  |
|  |  |  |  | $— |

---

------

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

(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) The security is restricted as to resale.

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

(e) Affiliated company.

(f) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 94.0%** |  |
| | **Brazil — 3.6%** | |
| 167700 | Banco Bradesco SA | 525923 |
| 52787 | Cia de Saneamento de Minas Gerais Copasa MG | 411687 |
| 51062 | Cia De Sanena Do Parana | 357482 |
| 163500 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1094421 |
| 22100 | Neoenergia SA | 133689 |
| 3400 | Pagseguro Digital Ltd. – Class A | 35632 |
| 49271 | Vibra Energia SA | 229653 |
| 13100 | Vivara Participacoes SA | 86191 |
|  | Total Brazil | 2874678 |
|  | **Colombia — 0.1%** |  |
| 9100 | Ecopetrol SA Sponsored ADR <sup>(a)</sup> | 89362 |
|  | **Czech Republic — 0.2%** |  |
| 235 | Philip Morris CR AS | 209307 |
|  | **Egypt — 0.4%** |  |
| 85563 | Eastern Co. SAE <sup>\*</sup> | 82780 |
| 35621 | ElSewedy Electric Co. | 57211 |
| 17950 | Orascom Construction PLC | 181052 |
|  | Total Egypt | 321043 |
|  | **Greece — 0.0%** |  |
| 11901 | Eurobank Ergasias Services & Holdings SA | 47137 |
|  | **Hungary — 4.9%** |  |
| 48351 | Magyar Telekom Telecommunications PLC | 258785 |
| 57009 | MOL Hungarian Oil & Gas PLC | 505024 |
| 6280 | Opus Global Nyrt | 10303 |
| 24298 | OTP Bank Nyrt | 2529233 |
| 20883 | Richter Gedeon Nyrt | 618468 |
|  | Total Hungary | 3921813 |
|  | **India — 14.4%** |  |
| 53642 | Ashapura Minechem Ltd. | 413384 |
| 5418 | Ashoka Buildcon Ltd. <sup>\*</sup> | 10804 |
| 16009 | Aurobindo Pharma Ltd. | 218720 |
| 5311 | Bajaj Finance Ltd. | 61859 |
| 232535 | Bharat Petroleum Corp. Ltd. | 936855 |
| 78754 | Brightcom Group Ltd. <sup>\*</sup> | 11484 |
| 23828 | Chambal Fertilisers & Chemicals Ltd. | 117847 |
| 62543 | Cipla Ltd. | 1071432 |
| 70887 | Dr. Reddy's Laboratories Ltd. | 999238 |
| 98667 | GAIL India Ltd. | 195201 |
| 12255 | GHCL Ltd. | 78996 |
| 24968 | Glenmark Pharmaceuticals Ltd. | 544953 |
| 2496 | Godawari Power & Ispat Ltd. | 6600 |
| 21986 | Gujarat State Fertilizers & Chemicals Ltd. | 45752 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **India — continued** | |
| 4027 | Gujarat State Petronet Ltd. | 12978 |
| 5303 | Hero MotoCorp Ltd. | 368451 |
| 164252 | Hindalco Industries Ltd. | 1493094 |
| 23391 | Hindustan Petroleum Corp. Ltd. | 120092 |
| 102113 | Indian Oil Corp. Ltd. | 185337 |
| 51894 | JM Financial Ltd. | 84502 |
| 1075 | Kaveri Seed Co. Ltd. | 11987 |
| 3037 | KNR Constructions Ltd. | 5445 |
| 1459 | KRBL Ltd. | 6688 |
| 1218 | Mahanagar Gas Ltd. | 16374 |
| 322042 | Manappuram Finance Ltd. | 1028302 |
| 20713 | Muthoot Finance Ltd. | 867625 |
| 505051 | NMDC Ltd. | 418710 |
| 451976 | Oil & Natural Gas Corp. Ltd. | 1231589 |
| 1862 | Pokarna Ltd. | 19775 |
| 13729 | Rajesh Exports Ltd. \* | 28815 |
| 5473 | Redington Ltd. | 17293 |
| 2643 | Sharda Cropchem Ltd. | 25621 |
| 48718 | Shriram Finance Ltd. | 467964 |
| 18094 | Siyaram Silk Mills Ltd. | 146365 |
| 1069 | Strides Pharma Science Ltd. | 10559 |
| 17564 | Transrail Lighting Ltd. | 126345 |
| 1169 | Vadilal Industries Ltd. | 70730 |
| 1873 | West Coast Paper Mills Ltd. | 9048 |
|  | Total India | 11486814 |
|  | **Indonesia — 8.9%** |  |
| 80600 | AKR Corporindo Tbk. PT | 6001 |
| 4553500 | Aneka Tambang Tbk. PT | 795793 |
| 6519300 | Astra International Tbk. PT | 2567954 |
| 193400 | Bank BTPN Syariah Tbk. PT | 15285 |
| 3177000 | Dharma Satya Nusantara Tbk. PT | 323542 |
| 2641000 | Erajaya Swasembada Tbk. PT | 65703 |
| 30100 | Indah Kiat Pulp & Paper Tbk. PT | 15874 |
| 2149700 | Indofood Sukses Makmur Tbk. PT | 949277 |
| 2422600 | Japfa Comfeed Indonesia Tbk. PT | 355326 |
| 6200 | Nanshan Aluminium International Holdings Ltd. | 32349 |
| 3435600 | Panin Financial Tbk. PT <sup>\*</sup> | 56584 |
| 5063200 | Perusahaan Gas Negara Tbk. PT | 549183 |
| 2164300 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 177446 |
| 918100 | Salim Ivomas Pratama Tbk. PT | 34191 |
| 777300 | Saratoga Investama Sedaya Tbk. PT | 74280 |
| 298600 | Sumber Tani Agung Resources Tbk. PT | 24565 |
| 7125800 | Surya Citra Media Tbk. PT | 165453 |
| 3800 | Telkom Indonesia Persero Tbk. PT ADR <sup>(a)</sup> | 81890 |
| 2118000 | Telkom Indonesia Persero Tbk. PT | 450231 |
| 3455400 | Triputra Agro Persada PT | 350685 |
| 113200 | Unilever Indonesia Tbk. PT | 17695 |
|  | Total Indonesia | 7109307 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Kuwait — 0.5%** | |
| 96079 | A'ayan Leasing & Investment Co. KSCP | 66050 |
| 14807 | Agility Public Warehousing Co. KSCC | 6902 |
| 17207 | Combined Group Contracting Co. SAK | 55611 |
| 212959 | Noor Financial Investment Co. KSC | 284696 |
|  | Total Kuwait | 413259 |
|  | **Mexico — 3.4%** |  |
| 7283 | Bolsa Mexicana de Valores SAB de CV | 14927 |
| 89010 | Cemex SAB de CV Sponsored ADR | 960418 |
| 25700 | El Puerto de Liverpool SAB de CV – Class C1 <sup>(a)</sup> | 141412 |
| 19700 | Genomma Lab Internacional SAB de CV – Class B <sup>(a)</sup> | 20173 |
| 282235 | Gentera SAB de CV | 658667 |
| 95411 | Grupo Financiero Banorte SAB de CV – Class O | 909744 |
|  | Total Mexico | 2705341 |
|  | **Qatar — 0.1%** |  |
| 19939 | Qatar National Bank QPSC | 99104 |
|  | **Russia — 0.0%** |  |
| 4036000 | Alrosa PJSC <sup>\* (b) (c)</sup> |  |
| 131280 | Evraz PLC <sup>\* (b) (c)</sup> |  |
| 236860000 | Federal Grid Co-Rosseti PJSC <sup>\* (b) (c)</sup> |  |
| 102255 | Gazprom Neft PJSC <sup>\* (b) (c)</sup> |  |
| 897812 | Gazprom PJSC <sup>\* (b) (c)</sup> |  |
| 783200 | GMK Norilskiy Nickel PAO <sup>\* (b) (c)</sup> |  |
| 6151400 | Inter RAO UES PJSC <sup>\* (b) (c)</sup> |  |
| 122088 | LUKOIL PJSC <sup>\* (b) (c)</sup> |  |
| 4327340 | Magnitogorsk Iron & Steel Works PJSC <sup>\* (b) (c)</sup> |  |
| 88090 | Moscow Exchange MICEX-RTS PJSC <sup>\* (b) (c)</sup> |  |
| 93370 | Novatek PJSC <sup>\* (b) (c)</sup> |  |
| 1403510 | Novolipetsk Steel PJSC <sup>\* (b) (c)</sup> |  |
| 4917 | PhosAgro PJSC <sup>\* (b) (c)</sup> |  |
| 95 | PhosAgro PJSC GDR <sup>\* (b) (c)</sup> |  |
| 119020 | Polyus PJSC <sup>\* (b) (c)</sup> |  |
| 1 | Polyus PJSC GDR <sup>\* (b) (c)</sup> |  |
| 50074400 | RusHydro PJSC <sup>\* (b) (c)</sup> |  |
| 3446432 | Sberbank of Russia PJSC <sup>\* (b) (c)</sup> |  |
| 140607 | Severstal PAO GDR (Registered) <sup>\* (b) (c)</sup> |  |
| 2387800 | Surgutneftegas PAO <sup>\* (b) (c)</sup> |  |
| 657084 | Tatneft PJSC <sup>\* (b) (c)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 1.7%** |  |
| 31272 | Arab National Bank | 184944 |
| 23712 | Riyad Bank | 163103 |
| 954 | SABIC Agri-Nutrients Co. | 29658 |
| 4870 | Saudi Awwal Bank | 39792 |
| 64145 | Saudi National Bank | 631339 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Saudi Arabia — continued** | |
| 24988 | Saudi Telecom Co. | 284382 |
|  | Total Saudi Arabia | 1333218 |
|  | **South Africa — 0.4%** |  |
| 56222 | Ninety One Ltd. | 153256 |
| 120448 | Old Mutual Ltd. | 98156 |
| 10910 | Omnia Holdings Ltd. | 48853 |
|  | Total South Africa | 300265 |
|  | **South Korea — 15.5%** |  |
| 753 | Coway Co. Ltd. | 44157 |
| 4388 | Doosan Bobcat, Inc. | 165248 |
| 11624 | Hana Financial Group, Inc. | 739576 |
| 9993 | Hyundai Glovis Co. Ltd. | 1119475 |
| 11919 | Hyundai Mobis Co. Ltd. | 2513286 |
| 16285 | Kia Corp. | 1265336 |
| 8113 | KT&G Corp. | 803729 |
| 5572 | LX Holdings Corp. | 30250 |
| 1644 | ROKIT Healthcare, Inc. <sup>\*</sup> | 88538 |
| 20991 | Samsung E&A Co. Ltd. | 365823 |
| 51585 | Samsung Electronics Co. Ltd. | 3543005 |
| 4278 | Shinhan Financial Group Co. Ltd. | 228668 |
| 343 | SK Hynix, Inc. | 124241 |
| 70349 | Woori Financial Group, Inc. | 1274421 |
| 834 | Youngone Corp. | 49739 |
|  | Total South Korea | 12355492 |
|  | **Taiwan — 30.8%** |  |
| 54000 | Asustek Computer, Inc. | 1036304 |
| 13000 | Bizlink Holding, Inc. | 669620 |
| 25000 | Delta Electronics, Inc. | 745262 |
| 333600 | Evergreen Marine Corp. Taiwan Ltd. | 1910871 |
| 3000 | Global Brands Manufacture Ltd. | 12613 |
| 74000 | Hannstar Board Corp. | 255488 |
| 185000 | Hon Hai Precision Industry Co. Ltd. | 1333098 |
| 30000 | Kung Long Batteries Industrial Co. Ltd. | 119577 |
| 12000 | MediaTek, Inc. | 534755 |
| 77528 | Nantex Industry Co. Ltd. | 58219 |
| 36000 | Phison Electronics Corp. | 1293784 |
| 1363000 | Pou Chen Corp. | 1331450 |
| 32000 | Radiant Opto-Electronics Corp. | 123041 |
| 66000 | Realtek Semiconductor Corp. | 1098316 |
| 8000 | Simplo Technology Co. Ltd. | 87527 |
| 13000 | Sinon Corp. | 17757 |
| 2000 | T3EX Global Holdings Corp. | 4273 |
| 262000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 12079872 |
| 53000 | Tripod Technology Corp. | 518311 |
| 53000 | United Microelectronics Corp. | 77817 |
| 7000 | Wan Hai Lines Ltd. | 18005 |
| 331000 | Yang Ming Marine Transport Corp. | 549431 |
| 63000 | YungShin Global Holding Corp. | 114243 |
| 131000 | Zhen Ding Technology Holding Ltd. | 608935 |
|  | Total Taiwan | 24598569 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Thailand — 5.7%** | |
| 147700 | 3BB Internet Infrastructure Fund – Class F | 28261 |
| 177800 | Kasikornbank PCL NVDR | 1031044 |
| 1615800 | Krung Thai Bank PCL NVDR | 1382199 |
| 228400 | PTT Exploration & Production PCL NVDR | 756245 |
| 440800 | PTT PCL NVDR | 421398 |
| 9300 | Regional Container Lines PCL NVDR | 7442 |
| 226700 | SCB X PCL NVDR | 916420 |
| 103200 | Sri Trang Gloves Thailand PCL NVDR | 23908 |
|  | Total Thailand | 4566917 |
|  | **United Arab Emirates — 3.1%** |  |
| 181750 | Abu Dhabi Commercial Bank PJSC | 697973 |
| 22158 | Emaar Development PJSC | 88714 |
| 232467 | Emaar Properties PJSC | 842259 |
| 93852 | Emirates NBD Bank PJSC | 623667 |
| 55868 | First Abu Dhabi Bank PJSC | 240966 |
|  | Total United Arab Emirates | 2493579 |
|  | **United Kingdom — 0.1%** |  |
| 1500 | Global Ship Lease, Inc. – Class A | 52665 |
|  | **Vietnam — 0.2%** |  |
| 72600 | An Binh CJSB <sup>\*</sup> | 39662 |
| 6200 | Binh Minh Plastics JSC | 37166 |
| 33700 | Quang Ngai Sugar JSC | 56127 |
|  | Total Vietnam | 132955 |
|  | TOTAL COMMON STOCKS<br>(COST $130,346,592) | 75110825 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 3.7%** | **PREFERRED STOCKS <sup>(d)</sup> — 3.7%** |
|  | **Brazil — 2.9%** |  |
| 289900 | Banco Bradesco SA ADR | 1072630 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Brazil — continued** | |
| 577666 | Cia Energetica de Minas Gerais | 1244538 |
| 5600 | Itausa SA | 12936 |
|  | Total Brazil | 2330104 |
|  | **Colombia — 0.8%** |  |
| 9493 | Grupo Cibest SA ADR | 598633 |
|  | **Russia — 0.0%** |  |
| 3948700 | Surgutneftegas PAO <sup>\* (b) (c)</sup> |  |
| 31500 | Transneft PJSC <sup>\* (b) (c)</sup> |  |
|  | Total Russia |  |
|  | TOTAL PREFERRED STOCKS<br>(COST $5,408,340) | 2928737 |
|  | **INVESTMENT FUNDS — 0.4%** |  |
|  | **United States — 0.4%** |  |
| 60862 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 304921 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $304,921) | 304921 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** |  |
| 363024 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(f)</sup> | 363024 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $363,024) | 363024 |
|  | **TOTAL INVESTMENTS — 98.5%**<br> (Cost $136,422,877) | **78707507** |
|  | Other Assets and Liabilities (net) — 1.5% | 1168357 |
|  | **TOTAL NET ASSETS — 100.0%** | **$79875864** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| Alrosa PJSC | 10/18/2021 | $7054956 | 0.0% | $— |
| Evraz PLC | 10/18/2021 | 1123522 | 0.0% |  |
| Federal Grid Co-Rosseti PJSC | 10/18/2021 | 599930 | 0.0% |  |
| Gazprom Neft PJSC | 10/18/2021 | 736459 | 0.0% |  |
| Gazprom PJSC | 10/18/2021 | 4325759 | 0.0% |  |
| GMK Norilskiy Nickel PAO | 10/18/2021 | 2530663 | 0.0% |  |
| Inter RAO UES PJSC | 10/18/2021 | 435323 | 0.0% |  |
| LUKOIL PJSC | 10/18/2021 | 11826036 | 0.0% |  |
| Magnitogorsk Iron & Steel Works PJSC | 10/18/2021 | 4011995 | 0.0% |  |
| Moscow Exchange MICEX-RTS PJSC | 10/18/2021 | 226996 | 0.0% |  |
| Novatek PJSC | 10/18/2021 | 2410423 | 0.0% |  |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description — (Continued)** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| Novolipetsk Steel PJSC | 10/18/2021 | $4328348 | 0.0% | $— |
| PhosAgro PJSC | 10/18/2021 | 383565 | 0.0% |  |
| PhosAgro PJSC GDR | 10/18/2021 | 2465 | 0.0% |  |
| Polyus PJSC | 10/18/2021 | 2285367 | 0.0% |  |
| Polyus PJSC GDR | 12/14/2022 | 4 | 0.0% |  |
| RusHydro PJSC | 10/18/2021 | 555352 | 0.0% |  |
| Sberbank of Russia PJSC | 10/18/2021 | 16614391 | 0.0% |  |
| Severstal PAO GDR (Registered) | 10/18/2021 | 3190235 | 0.0% |  |
| Surgutneftegas PAO | 10/18/2021 | 1213218 | 0.0% |  |
| Surgutneftegas PAO | 10/18/2021 | 2172137 | 0.0% |  |
| Tatneft PJSC | 10/18/2021 | 4839124 | 0.0% |  |
| Transneft PJSC | 10/18/2021 | 645776 | 0.0% |  |
|  |  |  |  | $— |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

(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) The security is restricted as to resale.

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

(e) Affiliated company.

(f) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 93.5%** |  |
| | **Brazil — 1.9%** | |
| 151200 | Banco Bradesco SA | 474177 |
| 783400 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 5243849 |
| 92500 | Pagseguro Digital Ltd. – Class A | 969400 |
| 354000 | Vibra Energia SA | 1650010 |
| 85500 | Vivara Participacoes SA | 562541 |
|  | Total Brazil | 8899977 |
|  | **China — 24.9%** |  |
| 1678000 | 361 Degrees International Ltd. | 1295967 |
| 24000 | 3SBio, Inc. | 96732 |
| 4685 | Alibaba Group Holding Ltd. Sponsored ADR | 736950 |
| 79300 | Alibaba Group Holding Ltd. | 1560211 |
| 70500 | BAIC Motor Corp. Ltd. – Class H <sup>\*</sup> | 19605 |
| 2086000 | Bosideng International Holdings Ltd. | 1331512 |
| 8473878 | China Communications Services Corp. Ltd. – Class H | 5308878 |
| 135500 | China Conch Venture Holdings Ltd. | 177949 |
| 1803500 | China Hongqiao Group Ltd. | 7188641 |
| 1959000 | China Lesso Group Holdings Ltd. | 1119860 |
| 563000 | China Medical System Holdings Ltd. | 964187 |
| 6000 | China National Building Material Co. Ltd. – Class H | 4040 |
| 195500 | China Overseas Land & Investment Ltd. | 335186 |
| 4026000 | China Reinsurance Group Corp. – Class H | 829576 |
| 1325200 | China Taiping Insurance Holdings Co. Ltd. | 2969093 |
| 2198000 | Consun Pharmaceutical Group Ltd. | 4195244 |
| 9170000 | CSPC Pharmaceutical Group Ltd. | 9358673 |
| 691400 | ENN Energy Holdings Ltd. | 6320570 |
| 672000 | Fufeng Group Ltd. | 693739 |
| 1644000 | Geely Automobile Holdings Ltd. | 3593401 |
| 10248000 | Hua Han Health Industry Holdings Ltd. <sup>\* (a)</sup> | 25 |
| 1344000 | Kunlun Energy Co. Ltd. | 1283718 |
| 844000 | Legend Holdings Corp. – Class H <sup>\*</sup> | 1034807 |
| 614000 | Lenovo Group Ltd. | 768913 |
| 743000 | Lonking Holdings Ltd. | 281199 |
| 900000 | Minth Group Ltd. | 3947472 |
| 13400 | NetEase, Inc. | 370684 |
| 4100 | NetEase, Inc. ADR | 566005 |
| 546500 | Orient Overseas International Ltd. | 8881032 |
| 1644000 | PICC Property & Casualty Co. Ltd. – Class H | 3739240 |
| 14000 | Sany Heavy Equipment International Holdings Co. Ltd. | 13097 |
| 221200 | Shandong Weigao Group Medical Polymer Co. Ltd. – Class H | 157833 |
| 24000 | Shanghai Industrial Holdings Ltd. | 47190 |
| 3698000 | Sino Biopharmaceutical Ltd. | 3361700 |
| 2594500 | Sinopec Engineering Group Co. Ltd. – Class H | 2452221 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **China — continued** | |
| 344400 | Sinopharm Group Co. Ltd. – Class H | 888378 |
| 916000 | Skyworth Group Ltd. <sup>\*</sup> | 471508 |
| 110000 | TCL Electronics Holdings Ltd. | 144782 |
| 3457 | Tencent Holdings Ltd. ADR | 273241 |
| 265700 | Tencent Holdings Ltd. | 20993365 |
| 554615 | Vipshop Holdings Ltd. ADR | 10892639 |
| 459301 | Weibo Corp. Sponsored ADR <sup>(b)</sup> | 4565452 |
| 56300 | ZCZL Industrial Technology Group Co. Ltd. – Class A | 181426 |
| 522500 | Zhongsheng Group Holdings Ltd. | 788856 |
|  | Total China | 114204797 |
|  | **Colombia — 0.0%** |  |
| 2220 | Corp. Financiera Colombiana SA <sup>\*</sup> | 10993 |
|  | **Czech Republic — 0.0%** |  |
| 50 | Philip Morris CR AS | 44533 |
|  | **Egypt — 0.2%** |  |
| 94139 | Orascom Construction PLC | 949530 |
|  | **Greece — 0.2%** |  |
| 149368 | Eurobank Ergasias Services & Holdings SA | 591615 |
| 13931 | National Bank of Greece SA | 218296 |
|  | Total Greece | 809911 |
|  | **Hungary — 3.9%** |  |
| 282912 | Magyar Telekom Telecommunications PLC | 1514207 |
| 213433 | MOL Hungarian Oil & Gas PLC | 1890732 |
| 125809 | OTP Bank Nyrt | 13095739 |
| 55781 | Richter Gedeon Nyrt | 1652002 |
|  | Total Hungary | 18152680 |
|  | **India — 8.1%** |  |
| 89110 | Ashapura Minechem Ltd. | 686712 |
| 42137 | Aurobindo Pharma Ltd. | 575689 |
| 42462 | Bajaj Finance Ltd. | 494572 |
| 998642 | Bharat Petroleum Corp. Ltd. | 4023408 |
| 214902 | Brightcom Group Ltd. <sup>\*</sup> | 31337 |
| 245223 | Cipla Ltd. | 4200946 |
| 196455 | Dr. Reddy's Laboratories Ltd. | 2769270 |
| 236766 | GAIL India Ltd. | 468413 |
| 71553 | GHCL Ltd. | 461230 |
| 46936 | Glenmark Pharmaceuticals Ltd. | 1024428 |
| 10817 | Hero MotoCorp Ltd. | 751563 |
| 617976 | Hindalco Industries Ltd. | 5617566 |
| 45112 | Hindustan Petroleum Corp. Ltd. | 231609 |
| 21172 | Indian Oil Corp. Ltd. | 38428 |
| 1308319 | Manappuram Finance Ltd. | 4177552 |
| 78118 | Muthoot Finance Ltd. | 3272201 |
| 712519 | NMDC Ltd. | 590710 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **India — continued** | |
| 1503603 | Oil & Natural Gas Corp. Ltd. | 4097167 |
| 302377 | Shriram Finance Ltd. | 2904503 |
| 70386 | Siyaram Silk Mills Ltd. | 569362 |
|  | Total India | 36986666 |
|  | **Indonesia — 7.7%** |  |
| 30830100 | Aneka Tambang Tbk. PT | 5388026 |
| 256300 | Astra Agro Lestari Tbk. PT | 116625 |
| 36474600 | Astra International Tbk. PT | 14367352 |
| 954800 | Astra Otoparts Tbk. PT | 145690 |
| 690200 | Bank OCBC Nisp Tbk. PT | 56571 |
| 6454200 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 211174 |
| 11200400 | Dharma Satya Nusantara Tbk. PT | 1140634 |
| 16814900 | Erajaya Swasembada Tbk. PT | 418325 |
| 115400 | Gudang Garam Tbk. PT | 103276 |
| 10420900 | Indofood Sukses Makmur Tbk. PT | 4601720 |
| 6710200 | Japfa Comfeed Indonesia Tbk. PT | 984195 |
| 40000 | Nanshan Aluminium International Holdings Ltd. | 208705 |
| 71300 | Pabrik Kertas Tjiwi Kimia Tbk. PT | 32442 |
| 18015900 | Perusahaan Gas Negara Tbk. PT | 1954105 |
| 12386200 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 1015514 |
| 5672300 | Salim Ivomas Pratama Tbk. PT | 211245 |
| 1158000 | Sumber Tani Agung Resources Tbk. PT | 95266 |
| 4966900 | Surya Citra Media Tbk. PT | 115326 |
| 21500 | Telkom Indonesia Persero Tbk. PT ADR (b) | 463325 |
| 10027500 | Telkom Indonesia Persero Tbk. PT | 2131582 |
| 1474300 | Tempo Scan Pacific Tbk. PT | 247131 |
| 14882300 | Triputra Agro Persada PT | 1510391 |
|  | Total Indonesia | 35518620 |
|  | **Kuwait — 0.3%** |  |
| 114264 | A'ayan Leasing & Investment Co. KSCP | 78552 |
| 46358 | Combined Group Contracting Co. SAK | 149823 |
| 725022 | Noor Financial Investment Co. KSC | 969250 |
|  | Total Kuwait | 1197625 |
|  | **Mexico — 2.2%** |  |
| 225200 | Cemex SAB de CV Sponsored ADR | 2429907 |
| 1196963 | Gentera SAB de CV <sup>(b)</sup> | 2793415 |
| 517717 | Grupo Financiero Banorte SAB de CV – Class O | 4936431 |
|  | Total Mexico | 10159753 |
|  | **Philippines — 0.1%** |  |
| 1058000 | LT Group, Inc. | 271675 |
| 2022800 | Megaworld Corp. | 70059 |
| 22700 | Robinsons Retail Holdings, Inc. | 12766 |
|  | Total Philippines | 354500 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Russia — 0.0%** | |
| 31701260 | Alrosa PJSC <sup>\* (a) (c)</sup> |  |
| 39977 | Evraz PLC <sup>\* (a) (c)</sup> |  |
| 1432600000 | Federal Grid Co-Rosseti PJSC <sup>\* (a) (c)</sup> |  |
| 219070 | Gazprom Neft PJSC <sup>\* (a) (c)</sup> |  |
| 1250860 | Gazprom PJSC <sup>\* (a) (c)</sup> |  |
| 3721200 | GMK Norilskiy Nickel PAO <sup>\* (a) (c)</sup> |  |
| 78536400 | Inter RAO UES PJSC <sup>\* (a) (c)</sup> |  |
| 239440 | LSR Group PJSC <sup>\* (a) (c)</sup> |  |
| 3 | LSR Group PJSC GDR <sup>\* (a) (c)</sup> |  |
| 285469 | LUKOIL PJSC <sup>\* (a) (c)</sup> |  |
| 17490987 | Magnitogorsk Iron & Steel Works PJSC <sup>\* (a) (c)</sup> |  |
| 474800 | Mechel PJSC <sup>\* (a) (c)</sup> |  |
| 4133417 | Moscow Exchange MICEX-RTS PJSC <sup>\* (a) (c)</sup> |  |
| 10015560 | Novolipetsk Steel PJSC <sup>\* (a) (c)</sup> |  |
| 11924 | PhosAgro PJSC <sup>\* (a) (c)</sup> |  |
| 230 | PhosAgro PJSC GDR <sup>\* (a) (c)</sup> |  |
| 800940 | Polyus PJSC <sup>\* (a) (c)</sup> |  |
| 24938000 | RusHydro PJSC <sup>\* (a) (c)</sup> |  |
| 13125612 | Sberbank of Russia PJSC <sup>\* (a) (c)</sup> |  |
| 706464 | Severstal PAO GDR (Registered) <sup>\* (a) (c)</sup> |  |
| 68353 | SFI PJSC <sup>\* (a) (c)</sup> |  |
| 63500900 | Surgutneftegas PAO <sup>\* (a) (c)</sup> |  |
| 2860038 | Tatneft PJSC <sup>\* (a) (c)</sup> |  |
| 8118000 | Unipro PAO <sup>\* (a) (c)</sup> |  |
| 556430 | United Co. RUSAL International PJSC <sup>\* (a) (c)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 1.0%** |  |
| 96831 | Riyad Bank | 666053 |
| 7933 | SABIC Agri-Nutrients Co. | 246625 |
| 257051 | Saudi National Bank | 2529990 |
| 104824 | Saudi Telecom Co. | 1192976 |
|  | Total Saudi Arabia | 4635644 |
|  | **South Africa — 0.1%** |  |
| 12676 | Aspen Pharmacare Holdings Ltd. | 70414 |
| 469264 | Old Mutual Ltd. | 382413 |
|  | Total South Africa | 452827 |
|  | **South Korea — 11.7%** |  |
| 1329 | Doosan Bobcat, Inc. | 50049 |
| 64178 | Hana Financial Group, Inc. | 4083321 |
| 40374 | Hyundai Glovis Co. Ltd. | 4522932 |
| 62128 | Hyundai Mobis Co. Ltd. | 13100550 |
| 1500 | KB Financial Group, Inc. ADR | 127635 |
| 2648 | KB Financial Group, Inc. | 225887 |
| 68435 | Kia Corp. | 5317365 |
| 43200 | KT&G Corp. | 4279687 |
| 11407 | LG Electronics, Inc. | 665694 |
| 195 | LX Holdings Corp. | 1059 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **South Korea — continued** | |
| 9610 | ROKIT Healthcare, Inc. <sup>\*</sup> | 517546 |
| 89150 | Samsung E&A Co. Ltd. | 1553672 |
| 175142 | Samsung Electronics Co. Ltd. | 12029251 |
| 22243 | Shinhan Financial Group Co. Ltd. | 1188932 |
| 699 | SK Hynix, Inc. | 253191 |
| 314755 | Woori Financial Group, Inc. | 5702003 |
|  | Total South Korea | 53618774 |
|  | **Sri Lanka — 0.1%** |  |
| 103983101 | Anilana Hotels & Properties Ltd. <sup>\* (d) (e)</sup> | 303674 |
|  | **Taiwan — 23.2%** |  |
| 298000 | Asustek Computer, Inc. | 5718861 |
| 155000 | Delta Electronics, Inc. | 4620621 |
| 1598200 | Evergreen Marine Corp. Taiwan Ltd. | 9154540 |
| 919000 | Hon Hai Precision Industry Co. Ltd. | 6622253 |
| 18000 | Lite-On Technology Corp. | 91457 |
| 33000 | MediaTek, Inc. | 1470577 |
| 188000 | Phison Electronics Corp. | 6756430 |
| 6777000 | Pou Chen Corp. | 6620128 |
| 262936 | Radiant Opto-Electronics Corp. | 1010999 |
| 346000 | Realtek Semiconductor Corp. | 5757840 |
| 1085000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 50025424 |
| 261000 | Tripod Technology Corp. | 2552437 |
| 769000 | United Microelectronics Corp. | 1129087 |
| 1225000 | Yang Ming Marine Transport Corp. | 2033391 |
| 62000 | YungShin Global Holding Corp. | 112429 |
| 663000 | Zhen Ding Technology Holding Ltd. | 3081863 |
|  | Total Taiwan | 106758337 |
|  | **Thailand — 5.5%** |  |
| 302700 | 3BB Internet Infrastructure Fund – Class F | 57918 |
| 1157600 | Kasikornbank PCL | 6712802 |
| 9381200 | Krung Thai Bank PCL | 8024934 |
| 31500 | Mega Lifesciences PCL | 30817 |
| 272600 | Pruksa Holding PCL (Foreign Registered) | 32009 |
| 743800 | PTT Exploration & Production PCL | 2462764 |
| 3443000 | PTT PCL | 3291451 |
| 1123900 | SCB X PCL | 4543295 |
|  | Total Thailand | 25155990 |
|  | **United Arab Emirates — 2.2%** |  |
| 808794 | Abu Dhabi Commercial Bank PJSC | 3106003 |
| 118806 | Emaar Development PJSC | 475663 |
| 985875 | Emaar Properties PJSC | 3571959 |
| 254127 | Emirates NBD Bank PJSC | 1688731 |
| 351622 | First Abu Dhabi Bank PJSC | 1516589 |
|  | Total United Arab Emirates | 10358945 |
|  | **Vietnam — 0.2%** |  |
| 253700 | An Binh CJSB <sup>\*</sup> | 138599 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Vietnam — continued** | |
| 251400 | Quang Ngai Sugar JSC | 418706 |
| 145300 | Vietnam Engine & Agricultural Machinery Corp. | 195141 |
|  | Total Vietnam | 752446 |
|  | TOTAL COMMON STOCKS<br>(COST $668,123,312) | 429326222 |
|  | **PREFERRED STOCKS <sup>(f)</sup> —4.4%** |  |
|  | **Brazil — 3.3%** |  |
| 2218200 | Banco Bradesco SA ADR | 8207340 |
| 40300 | Bradespar SA | 146694 |
| 2977180 | Cia Energetica de Minas Gerais | 6414112 |
| 124900 | Itausa SA | 288509 |
|  | Total Brazil | 15056655 |
|  | **Colombia — 0.7%** |  |
| 51021 | Grupo Cibest SA ADR | 3217385 |
|  | **Russia — 0.0%** |  |
| 194570 | Nizhnekamskneftekhim PJSC <sup>\* (a) (c)</sup> |  |
| 79676700 | Surgutneftegas PAO <sup>\* (a) (c)</sup> |  |
| 86900 | Transneft PJSC <sup>\* (a) (c)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 0.4%** |  |
| 38953 | Samsung Electronics Co. Ltd. | 1992175 |
|  | TOTAL PREFERRED STOCKS<br>(COST $66,705,280) | 20266215 |
|  | **INVESTMENT FUNDS — 0.9%** |  |
|  | **United States — 0.9%** |  |
| 766851 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 3841925 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $3,841,925) | 3841925 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 624023 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(g)</sup> | 624023 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $624,023) | 624023 |
|  | **TOTAL INVESTMENTS — 98.9%**<br> (Cost $739,294,540) | **454058385** |
|  | Other Assets and Liabilities (net) — 1.1% | 5019242 |
|  | **TOTAL NET ASSETS — 100.0%** | **$459077627** |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| Alrosa PJSC | 09/14/17 | $46779239 | 0.0% | $— |
| Evraz PLC | 10/20/21 | 325882 | 0.0% |  |
| Federal Grid Co-Rosseti PJSC | 01/16/20 | 3566461 | 0.0% |  |
| Gazprom Neft PJSC | 02/11/22 | 1504524 | 0.0% |  |
| Gazprom PJSC | 02/15/22 | 5498440 | 0.0% |  |
| GMK Norilskiy Nickel PAO | 12/09/19 | 10928119 | 0.0% |  |
| Inter RAO UES PJSC | 04/04/18 | 5427962 | 0.0% |  |
| LSR Group PJSC | 03/01/19 | 2449446 | 0.0% |  |
| LSR Group PJSC GDR | 05/06/21 | 7 | 0.0% |  |
| LUKOIL PJSC | 08/31/21 | 26859350 | 0.0% |  |
| Magnitogorsk Iron & Steel Works PJSC | 02/13/18 | 14388116 | 0.0% |  |
| Mechel PJSC | 11/12/21 | 883911 | 0.0% |  |
| Moscow Exchange MICEX-RTS PJSC | 10/23/17 | 8713968 | 0.0% |  |
| Nizhnekamskneftekhim PJSC | 03/24/20 | 204612 | 0.0% |  |
| Novolipetsk Steel PJSC | 10/11/17 | 26618404 | 0.0% |  |
| PhosAgro PJSC | 02/09/22 | 802829 | 0.0% |  |
| PhosAgro PJSC GDR | 02/09/22 | 5151 | 0.0% |  |
| Polyus PJSC | 07/23/20 | 17665998 | 0.0% |  |
| RusHydro PJSC | 02/09/22 | 256737 | 0.0% |  |
| Sberbank of Russia PJSC | 11/10/17 | 51393929 | 0.0% |  |
| Severstal PAO GDR (Registered) | 10/12/17 | 13249420 | 0.0% |  |
| SFI PJSC | 09/11/18 | 747895 | 0.0% |  |
| Surgutneftegas PAO | 09/17/15 | 36354554 | 0.0% |  |
| Surgutneftegas PAO | 11/01/18 | 47551568 | 0.0% |  |
| Tatneft PJSC | 11/02/18 | 25364999 | 0.0% |  |
| Transneft PJSC | 05/29/20 | 1711599 | 0.0% |  |
| Unipro PAO | 03/29/18 | 400147 | 0.0% |  |
| United Co. RUSAL International PJSC | 11/12/21 | 569611 | 0.0% |  |
|  |  |  |  | $— |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 105 | MSCI Emerging Market | December 2025 | $7232400 | $267934 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2025, 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 Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

(c) The security is restricted as to resale.

(d) Investment valued using significant unobservable inputs.

(e) Affiliated company.

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

(g) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

PJSC - Private Joint-Stock Company

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 94.4%** |  |
| | **Australia — 4.0%** | **Australia — 4.0%** |
| 292501 | BHP Group Ltd. | 8003697 |
| 591555 | Brambles Ltd. | 9322548 |
| 970390 | Fortescue Ltd. | 13638421 |
| 173489 | GrainCorp Ltd. – Class A | 918723 |
| 73929 | JB Hi-Fi Ltd. | 4758346 |
| 29210 | Rio Tinto Ltd. | 2533871 |
| 135546 | Super Retail Group Ltd. | 1442588 |
|  | Total Australia | 40618194 |
|  | **Belgium — 1.2%** | **Belgium — 1.2%** |
| 117855 | Ageas SA | 8052201 |
| 25386 | Bekaert SA | 1088230 |
| 14560 | KBC Group NV | 1792369 |
| 18036 | Melexis NV | 1110950 |
| 29381 | Proximus SADP | 253013 |
|  | Total Belgium | 12296763 |
|  | **Denmark — 0.0%** | **Denmark — 0.0%** |
| 279 | AP Moller - Maersk AS – Class B | 558291 |
|  | **Finland — 2.3%** | **Finland — 2.3%** |
| 3873741 | Nokia OYJ | 23591551 |
|  | **France — 9.2%** | **France — 9.2%** |
| 103218 | ArcelorMittal SA | 4473330 |
| 315507 | AXA SA | 14253893 |
| 63600 | BNP Paribas SA | 5436448 |
| 165390 | Cie de Saint-Gobain SA | 16507068 |
| 59886 | Cie Generale des Etablissements Michelin SCA | 1960178 |
| 101591 | Coface SA | 1790287 |
| 94864 | Derichebourg SA | 708427 |
| 42854 | Eiffage SA | 5921469 |
| 25959 | IPSOS SA | 967628 |
| 15185 | Legrand SA | 2303769 |
| 34139 | Metropole Television SA | 496357 |
| 9951 | Rubis SCA | 380224 |
| 235834 | Sanofi SA | 23521470 |
| 12341 | Schneider Electric SE | 3321031 |
| 14681 | Societe BIC SA | 839592 |
| 63687 | Societe Generale SA | 4434554 |
| 117711 | STMicroelectronics NV | 2713349 |
| 102096 | STMicroelectronics NV - NY Shares | 2347187 |
| 104657 | Television Francaise 1 SA | 1011213 |
| 35326 | Valeo SE | 447733 |
|  | Total France | 93835207 |
|  | **Germany — 5.1%** | **Germany — 5.1%** |
| 10333 | Bayerische Motoren Werke AG | 1056167 |
| 719652 | Deutsche Bank AG (Registered) | 25515862 |
| 9301 | DWS Group GmbH & Co. KGaA | 577267 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | **Germany — continued** |
| 2953 | Hornbach Holding AG & Co. KGaA | 303694 |
| 5326 | Indus Holding AG | 164150 |
| 40876 | Kloeckner & Co. SE | 287250 |
| 24046 | RTL Group SA | 949553 |
| 13478 | Salzgitter AG | 557498 |
| 86358 | Siemens AG (Registered) | 22902446 |
|  | Total Germany | 52313887 |
|  | **Hong Kong — 5.1%** | **Hong Kong — 5.1%** |
| 1989500 | BOC Hong Kong Holdings Ltd. | 9604934 |
| 447000 | CK Asset Holdings Ltd. | 2298341 |
| 2335500 | CK Hutchison Holdings Ltd. | 16475382 |
| 202800 | Dah Sing Banking Group Ltd. | 286199 |
| 26869 | Dah Sing Financial Holdings Ltd. | 124992 |
| 1045585 | IGG, Inc. | 515213 |
| 122901 | Johnson Electric Holdings Ltd. | 475050 |
| 197640 | KLN Logistics Group Ltd. | 178841 |
| 144326 | Luk Fook Holdings International Ltd. | 452873 |
| 730331 | Pacific Textiles Holdings Ltd. | 118313 |
| 369000 | SITC International Holdings Co. Ltd. | 1268742 |
| 205500 | Sun Hung Kai Properties Ltd. | 2609920 |
| 287500 | Swire Pacific Ltd. – Class A | 2468322 |
| 220000 | Techtronic Industries Co. Ltd. | 2587447 |
| 1180000 | United Laboratories International Holdings Ltd. (a) | 1939352 |
| 730000 | VSTECS Holdings Ltd. | 781852 |
| 72700 | VTech Holdings Ltd. | 588400 |
| 8594515 | WH Group Ltd. | 9000451 |
|  | Total Hong Kong | 51774624 |
|  | **Israel — 0.8%** | **Israel — 0.8%** |
| 358276 | Bank Hapoalim BM | 7755247 |
|  | **Italy — 4.6%** | **Italy — 4.6%** |
| 89405 | Anima Holding SpA | 631259 |
| 55598 | Banca IFIS SpA <sup>(a)</sup> | 1600410 |
| 363816 | Banco BPM SpA <sup>(a)</sup> | 5243713 |
| 66604 | Esprinet SpA | 451949 |
| 1853747 | Intesa Sanpaolo SpA | 12025240 |
| 114525 | Leonardo SpA | 6277064 |
| 253051 | MFE-MediaForEurope NV – Class A | 913350 |
| 25905 | UniCredit SpA | 1928438 |
| 797446 | Unipol Assicurazioni SpA | 18314502 |
|  | Total Italy | 47385925 |
|  | **Japan — 25.0%** | **Japan — 25.0%** |
| 38420 | AOKI Holdings, Inc. | 425706 |
| 403600 | Bandai Namco Holdings, Inc. | 11843305 |
| 168796 | Brother Industries Ltd. | 3378976 |
| 13800 | Canon Marketing Japan, Inc. <sup>(a)</sup> | 604561 |
| 17100 | Canon, Inc. | 503116 |
| 92300 | Credit Saison Co. Ltd. | 2323985 |
| 102000 | Daido Steel Co. Ltd. | 1033170 |

---

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | **Japan — continued** |
| 66290 | Daiwabo Holdings Co. Ltd. | 1291512 |
| 155700 | Denso Corp. | 2050109 |
| 26800 | Ebara Corp. | 702941 |
| 22000 | Fujitsu Ltd. | 583687 |
| 29118 | Fuyo General Lease Co. Ltd. | 779904 |
| 30906 | Gunze Ltd. | 819868 |
| 56800 | Honda Motor Co. Ltd. | 572772 |
| 27800 | Horiba Ltd. | 2577046 |
| 112154 | ITOCHU Corp. | 6726894 |
| 41000 | Kaga Electronics Co. Ltd. | 986230 |
| 112300 | Kajima Corp. | 4186478 |
| 62044 | Kanematsu Corp. | 1372061 |
| 946992 | KDDI Corp. | 16292182 |
| 401700 | Komatsu Ltd. | 13195590 |
| 26293 | Komeri Co. Ltd. | 588493 |
| 83400 | Konami Group Corp. | 12746209 |
| 39000 | Kyocera Corp. | 533872 |
| 326000 | LY Corp. | 875526 |
| 299600 | Marubeni Corp. | 7908237 |
| 49157 | MCJ Co. Ltd. | 486773 |
| 173900 | Mitsubishi Electric Corp. | 4701897 |
| 9384 | Modec, Inc. | 944289 |
| 69200 | Murata Manufacturing Co. Ltd. | 1424543 |
| 702400 | NEC Corp. | 26538510 |
| 49426 | Nichias Corp. | 1969003 |
| 152400 | Nippon Yusen KK | 4826830 |
| 40600 | Niterra Co. Ltd. | 1755647 |
| 8800 | Nitto Denko Corp. | 217759 |
| 4454100 | NTT, Inc. | 4438971 |
| 1731300 | Panasonic Holdings Corp. | 21665892 |
| 82324 | Press Kogyo Co. Ltd. | 417644 |
| 86500 | Recruit Holdings Co. Ltd. | 4424150 |
| 159600 | Renesas Electronics Corp. | 1882093 |
| 11966 | San-A Co. Ltd. | 220170 |
| 85400 | Sanwa Holdings Corp. | 2202439 |
| 28000 | SBI Holdings, Inc. | 590432 |
| 16500 | SCREEN Holdings Co. Ltd. | 1360851 |
| 72100 | Seiko Epson Corp. | 898324 |
| 37695 | Seiko Group Corp. | 1770642 |
| 514312 | Sekisui Chemical Co. Ltd. | 8764847 |
| 277000 | Sekisui House Ltd. | 6211462 |
| 82000 | Shionogi & Co. Ltd. | 1406394 |
| 34800 | Subaru Corp. | 777227 |
| 30800 | Sumitomo Corp. | 967483 |
| 516200 | Sumitomo Electric Industries Ltd. | 20340622 |
| 796600 | Sumitomo Forestry Co. Ltd. | 8503459 |
| 347500 | Suzuki Motor Corp. | 5434323 |
| 64100 | TDK Corp. | 1052142 |
| 14900 | Tokyo Gas Co. Ltd. | 603907 |
| 101975 | Tokyu Construction Co. Ltd. | 832090 |
| 12428 | Towa Pharmaceutical Co. Ltd. | 259729 |
| 60600 | Toyo Tire Corp. | 1667259 |
| 458465 | Toyota Tsusho Corp. | 14860061 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | **Japan — continued** |
| 33938 | TPR Co. Ltd. | 279639 |
| 24369 | Valor Holdings Co. Ltd. | 503308 |
| 20256 | Warabeya Nichiyo Holdings Co. Ltd. | 435989 |
| 681600 | Yamaha Motor Co. Ltd. | 4939425 |
|  | Total Japan | 255478655 |
|  | **Netherlands — 7.8%** | **Netherlands — 7.8%** |
| 196676 | ABN AMRO Bank NV | 6663784 |
| 18898 | ASML Holding NV - NY Shares | 20031880 |
| 103715 | EXOR NV | 8737648 |
| 252239 | NN Group NV | 18304820 |
| 367486 | Prosus NV | 23167767 |
| 104169 | Signify NV | 2467122 |
|  | Total Netherlands | 79373021 |
|  | **Norway — 1.0%** | **Norway — 1.0%** |
| 411726 | Elkem ASA | 1124147 |
| 35331 | Europris ASA | 316937 |
| 330122 | Hoegh Autoliners ASA | 2914430 |
| 551848 | Orkla ASA | 5907659 |
| 38577 | Wallenius Wilhelmsen ASA | 348408 |
|  | Total Norway | 10611581 |
|  | **Portugal — 0.3%** | **Portugal — 0.3%** |
| 253973 | Navigator Co. SA <sup>(a)</sup> | 896421 |
| 156820 | REN - Redes Energeticas Nacionais SGPS SA | 603360 |
| 757857 | Sonae SGPS SA | 1305480 |
|  | Total Portugal | 2805261 |
|  | **Singapore — 2.2%** | **Singapore — 2.2%** |
| 730000 | ComfortDelGro Corp. Ltd. | 811731 |
| 3400 | DBS Group Holdings Ltd. | 142421 |
| 381100 | First Resources Ltd. | 609116 |
| 568200 | Oversea-Chinese Banking Corp. Ltd. | 8117440 |
| 377000 | Sheng Siong Group Ltd. | 791599 |
| 10100 | Singapore Exchange Ltd. | 131700 |
| 87700 | Venture Corp. Ltd. | 1012323 |
| 882722 | Yangzijiang Financial Holding Ltd. | 320814 |
| 882722 | Yangzijiang Maritime Development Pte. Ltd. <sup>\*</sup> | 463210 |
| 3799622 | Yangzijiang Shipbuilding Holdings Ltd. | 9843110 |
|  | Total Singapore | 22243464 |
|  | **Spain — 7.2%** | **Spain — 7.2%** |
| 1389043 | Banco Bilbao Vizcaya Argentaria SA | 30022262 |
| 1469361 | Banco Santander SA | 15761680 |
| 432441 | CaixaBank SA | 4828806 |
| 293337 | Indra Sistemas SA <sup>(a)</sup> | 15685977 |
| 1543322 | Mapfre SA <sup>(a)</sup> | 7146941 |
|  | Total Spain | 73445666 |

---

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Sweden — 0.0%** | **Sweden — 0.0%** |
| 37090 | Betsson AB – Class B | 569172 |
|  | **Switzerland — 5.8%** | **Switzerland — 5.8%** |
| 345629 | ABB Ltd. (Registered) | 24872770 |
| 50204 | Logitech International SA (Registered) | 5664908 |
| 55050 | Novartis AG (Registered) | 7181824 |
| 43654 | Roche Holding AG | 16723988 |
| 57953 | Sandoz Group AG ADR <sup>(a)</sup> | 4111186 |
| 3995 | Zehnder Group AG – Class RG | 345736 |
|  | Total Switzerland | 58900412 |
|  | **United Kingdom — 12.8%** | **United Kingdom — 12.8%** |
| 441517 | 3i Group PLC | 18462032 |
| 267031 | British American Tobacco PLC Sponsored ADR | 15664038 |
| 7543326 | BT Group PLC | 18089482 |
| 83864 | Crest Nicholson Holdings PLC | 159760 |
| 488845 | Ferrexpo PLC <sup>\*</sup> | 482461 |
| 49060 | Galliford Try Holdings PLC | 328178 |
| 243568 | GSK PLC | 5795955 |
| 207339 | GSK PLC Sponsored ADR (a) | 9923245 |
| 103137 | Halfords Group PLC | 190951 |
| 230225 | HSBC Holdings PLC | 3262515 |
| 323508 | IG Group Holdings PLC | 4853258 |
| 441582 | Imperial Brands PLC | 18758711 |
| 36276 | Kingfisher PLC | 146902 |
| 5393 | Next PLC | 1008645 |
| 149726 | Rio Tinto PLC Sponsored ADR | 10772786 |
| 109244 | Vesuvius PLC | 553234 |
| 436418 | Vodafone Group PLC | 543489 |
| 1728343 | Vodafone Group PLC Sponsored ADR | 21552437 |
|  | Total United Kingdom | 130548079 |
|  | TOTAL COMMON STOCKS<br>(COST $799,820,152) | 964105000 |
|  | **PREFERRED STOCKS <sup>(b)</sup> —0.6%** | **PREFERRED STOCKS <sup>(b)</sup> —0.6%** |
|  | **Germany — 0.6%** | **Germany — 0.6%** |
| 3755 | Draegerwerk AG & Co. KGaA | 307074 |
| 54322 | Volkswagen AG | 6209890 |
|  | Total Germany | 6516964 |
|  | TOTAL PREFERRED STOCKS<br>(COST $6,260,464) | 6516964 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 6.1%** | **INVESTMENT FUNDS — 6.1%** |
| | **United States — 6.1%** | **United States — 6.1%** |
| 12378953 | GMO U.S. Treasury Fund, Class VI (c) | 62018555 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $62,018,555) | 62018555 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 624845 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(d)</sup> | 624845 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $624,845) | 624845 |
|  | **TOTAL INVESTMENTS — 101.1%**<br> (Cost $868,724,016) | **1033265364** |
|  | Other Assets and Liabilities (net) — (1.1)% | (11712820) |
|  | **TOTAL NET ASSETS — 100.0%** | **$1021552544** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

(c) Affiliated company.

(d) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

------

**GMO International Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.4%** |  |
| | **Australia — 5.2%** | |
| 150794 | Aurizon Holdings Ltd. | 353643 |
| 354021 | BHP Group Ltd. | 9687067 |
| 19538 | BlueScope Steel Ltd. | 311227 |
| 293466 | Fortescue Ltd. | 4124540 |
| 5580 | Rio Tinto Ltd. | 484047 |
| 71899 | Woodside Energy Group Ltd. | 1175961 |
|  | Total Australia | 16136485 |
|  | **Austria — 1.1%** |  |
| 37911 | OMV AG | 2097661 |
| 32603 | Raiffeisen Bank International AG | 1324871 |
|  | Total Austria | 3422532 |
|  | **Belgium — 0.3%** |  |
| 13720 | Ageas SA | 937391 |
| 6183 | Proximus SADP | 53244 |
|  | Total Belgium | 990635 |
|  | **Canada — 14.3%** |  |
| 25200 | Bank of Montreal | 3190191 |
| 56765 | Bank of Nova Scotia <sup>(a)</sup> | 3933247 |
| 90100 | Bank of Nova Scotia <sup>(a)</sup> | 6250166 |
| 14500 | Canadian Imperial Bank of Commerce | 1253737 |
| 11400 | Empire Co. Ltd. – Class A | 419714 |
| 200 | Fairfax Financial Holdings Ltd. | 344389 |
| 10700 | IGM Financial, Inc. | 436821 |
| 2800 | Imperial Oil Ltd. <sup>(b)</sup> | 279910 |
| 11049 | Magna International, Inc. <sup>(a)</sup> | 539633 |
| 18800 | Magna International, Inc. <sup>(a)</sup> | 920056 |
| 60874 | Manulife Financial Corp. <sup>(a)</sup> | 2143373 |
| 129000 | Manulife Financial Corp. <sup>(a)</sup> | 4566625 |
| 43200 | Parex Resources, Inc. | 571899 |
| 49600 | Power Corp. of Canada | 2525342 |
| 7300 | Russel Metals, Inc. <sup>(b)</sup> | 213131 |
| 37630 | Sun Life Financial, Inc. <sup>(a) (b)</sup> | 2224685 |
| 56100 | Sun Life Financial, Inc. <sup>(a) (b)</sup> | 3325173 |
| 5000 | Suncor Energy, Inc. <sup>(b)</sup> | 224838 |
| 126600 | Toronto-Dominion Bank | 10658335 |
|  | Total Canada | 44021265 |
|  | **Denmark — 0.8%** |  |
| 327 | AP Moller - Maersk AS – Class A | 655949 |
| 836 | AP Moller - Maersk AS – Class B | 1672873 |
| 38768 | H Lundbeck AS | 267820 |
|  | Total Denmark | 2596642 |
|  | **Finland — 0.3%** |  |
| 27383 | Valmet OYJ | 895557 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **France — 10.1%** | |
| 5627 | Aperam SA | 216931 |
| 6599 | ArcelorMittal SA | 285992 |
| 3700 | Arkema SA | 225539 |
| 19474 | AXA SA | 879791 |
| 90127 | BNP Paribas SA | 7703942 |
| 1831 | Capgemini SE | 286886 |
| 52277 | Carrefour SA | 804989 |
| 21865 | Credit Agricole SA | 419139 |
| 6770 | Orange SA | 111597 |
| 67928 | Sanofi SA | 6774962 |
| 17288 | Societe Generale SA | 1203771 |
| 6792 | Teleperformance SE | 467776 |
| 159366 | TotalEnergies SE | 10484169 |
| 89457 | Valeo SE | 1133807 |
|  | Total France | 30999291 |
|  | **Germany — 6.6%** |  |
| 34614 | Bayerische Motoren Werke AG | 3538000 |
| 41853 | Daimler Truck Holding AG | 1771637 |
| 66453 | Deutsche Bank AG (Registered) | 2356147 |
| 80413 | Deutsche Post AG | 4185042 |
| 77187 | Deutsche Telekom AG (Registered) | 2489109 |
| 6512 | DWS Group GmbH & Co. KGaA | 404168 |
| 11395 | Evonik Industries AG | 175376 |
| 16546 | Fresenius Medical Care AG | 790871 |
| 9488 | Henkel AG & Co. KGaA | 712263 |
| 55445 | Mercedes-Benz Group AG | 3744194 |
|  | Total Germany | 20166807 |
|  | **Hong Kong — 2.3%** |  |
| 212000 | CK Asset Holdings Ltd. | 1090041 |
| 330000 | CK Hutchison Holdings Ltd. | 2327928 |
| 49500 | Kerry Properties Ltd. | 134019 |
| 179000 | Sun Hung Kai Properties Ltd. | 2273361 |
| 1800 | VTech Holdings Ltd. | 14568 |
| 1288500 | WH Group Ltd. | 1349359 |
|  | Total Hong Kong | 7189276 |
|  | **Ireland — 0.3%** |  |
| 65640 | AIB Group PLC | 675397 |
| 20833 | Bank of Ireland Group PLC | 385864 |
|  | Total Ireland | 1061261 |
|  | **Israel — 1.4%** |  |
| 66810 | Bank Hapoalim BM | 1446170 |
| 38890 | Bank Leumi Le-Israel BM | 815573 |
| 24371 | ICL Group Ltd. | 135082 |
| 89787 | Israel Discount Bank Ltd. – Class A | 940291 |
| 6091 | Mizrahi Tefahot Bank Ltd. | 426676 |
| 20354 | ZIM Integrated Shipping Services Ltd. <sup>(b)</sup> | 415425 |
|  | Total Israel | 4179217 |

---

------

**GMO International Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Italy — 2.0%** | |
| 29052 | Banco BPM SpA <sup>(b)</sup> | 418729 |
| 58285 | BPER Banca SpA | 702378 |
| 3256 | Buzzi SpA | 200830 |
| 61549 | Intesa Sanpaolo SpA | 399268 |
| 212996 | Stellantis NV | 2279910 |
| 418689 | Telecom Italia SpA <sup>\*</sup> | 236053 |
| 24548 | Tenaris SA | 493852 |
| 16361 | Tenaris SA ADR | 658039 |
| 35527 | Unipol Assicurazioni SpA | 815929 |
|  | Total Italy | 6204988 |
|  | **Japan — 21.1%** |  |
| 78900 | Asahi Group Holdings Ltd. | 915180 |
| 53200 | Asahi Kasei Corp. | 444345 |
| 46400 | Brother Industries Ltd. | 928840 |
| 4300 | Credit Saison Co. Ltd. | 108268 |
| 15600 | Dai Nippon Printing Co. Ltd. | 263837 |
| 25000 | Daito Trust Construction Co. Ltd. | 478241 |
| 81900 | Daiwa House Industry Co. Ltd. | 2795342 |
| 53100 | Denso Corp. | 699170 |
| 18300 | Hitachi Construction Machinery Co. Ltd. | 532871 |
| 218500 | Honda Motor Co. Ltd. | 2203358 |
| 113494 | Honda Motor Co. Ltd. Sponsored ADR (b) | 3433194 |
| 227100 | Inpex Corp. | 4844058 |
| 71500 | Isuzu Motors Ltd. | 1095686 |
| 155800 | Japan Post Holdings Co. Ltd. | 1530411 |
| 15600 | Kawasaki Kisen Kaisha Ltd. | 207702 |
| 97700 | Kirin Holdings Co. Ltd. | 1534482 |
| 98600 | Komatsu Ltd. | 3238947 |
| 137400 | Kubota Corp. | 1983116 |
| 28900 | Mazda Motor Corp. | 209088 |
| 206400 | Mitsui & Co. Ltd. | 5483325 |
| 27000 | Mitsui OSK Lines Ltd. | 766642 |
| 87500 | Nippon Yusen KK | 2771310 |
| 17300 | Niterra Co. Ltd. | 748096 |
| 23300 | Nitto Denko Corp. | 576567 |
| 5017600 | NTT, Inc. | 5000557 |
| 80100 | Ono Pharmaceutical Co. Ltd. | 1128034 |
| 96700 | ORIX Corp. | 2643265 |
| 4700 | Otsuka Holdings Co. Ltd. | 266186 |
| 309900 | Panasonic Holdings Corp. | 3878161 |
| 30500 | Renesas Electronics Corp. | 359673 |
| 13900 | Seiko Epson Corp. | 173186 |
| 51200 | Sekisui Chemical Co. Ltd. | 872545 |
| 42600 | Sekisui House Ltd. | 955265 |
| 77400 | Shionogi & Co. Ltd. | 1327499 |
| 22400 | Sojitz Corp. | 654961 |
| 32600 | Subaru Corp. | 728092 |
| 71800 | Sumitomo Corp. | 2255367 |
| 48900 | Sumitomo Forestry Co. Ltd. <sup>(b)</sup> | 521992 |
| 15700 | Suntory Beverage & Food Ltd. | 496779 |
| 46100 | Suzuki Motor Corp. | 720927 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 31300 | Tosoh Corp. | 472272 |
| 23800 | Toyo Tire Corp. | 654798 |
| 80400 | Toyota Tsusho Corp. | 2605976 |
| 162300 | Yamaha Motor Co. Ltd. | 1176157 |
| 3900 | Yokohama Rubber Co. Ltd. | 154821 |
|  | Total Japan | 64838589 |
|  | **Netherlands — 2.8%** |  |
| 45339 | ABN AMRO Bank NV | 1536178 |
| 11232 | EXOR NV | 946259 |
| 132857 | ING Groep NV | 3444845 |
| 10910 | JDE Peet's NV | 400749 |
| 16541 | Koninklijke Ahold Delhaize NV | 684771 |
| 4891 | NN Group NV | 354937 |
| 47871 | Signify NV | 1133769 |
|  | Total Netherlands | 8501508 |
|  | **Norway — 2.3%** |  |
| 269338 | Equinor ASA | 6193645 |
| 71169 | Orkla ASA | 761881 |
|  | Total Norway | 6955526 |
|  | **Portugal — 0.0%** |  |
| 4483 | Sonae SGPS SA | 7722 |
|  | **Russia — 0.0%** |  |
| 9800 | Surgutneftegas PAO <sup>\* (c) (d)</sup> |  |
|  | **Singapore — 1.1%** |  |
| 125900 | Oversea-Chinese Banking Corp. Ltd. | 1798637 |
| 61700 | United Overseas Bank Ltd. | 1619526 |
|  | Total Singapore | 3418163 |
|  | **Spain — 5.4%** |  |
| 36611 | Acerinox SA | 517706 |
| 461777 | Banco Bilbao Vizcaya Argentaria SA | 9980677 |
| 278708 | Banco Santander SA | 2989671 |
| 176525 | Repsol SA | 3270895 |
|  | Total Spain | 16758949 |
|  | **Sweden — 3.1%** |  |
| 20126 | Essity AB – Class B | 557081 |
| 37264 | Husqvarna AB – Class B | 178378 |
| 102219 | SSAB AB – B Shares | 717935 |
| 50261 | Swedbank AB – A Shares | 1599515 |
| 286233 | Telefonaktiebolaget LM Ericsson – B Shares | 2762023 |
| 122658 | Volvo AB – B Shares | 3679198 |
|  | Total Sweden | 9494130 |
|  | **Switzerland — 7.2%** |  |
| 34890 | Adecco Group AG (Registered) | 975327 |
| 40695 | Nestle SA (Registered) | 4047540 |

---

------

**GMO International Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Switzerland — continued** | |
| 27741 | Novartis AG (Registered) | 3619091 |
| 32153 | Novartis AG Sponsored ADR | 4192751 |
| 1909 | Roche Holding AG <sup>(a)</sup> | 760086 |
| 19097 | Roche Holding AG <sup>(a)</sup> | 7316122 |
| 12024 | Sandoz Group AG ADR | 852983 |
| 616 | Swisscom AG (Registered) | 442741 |
|  | Total Switzerland | 22206641 |
|  | **United Kingdom — 9.7%** |  |
| 16498 | 3i Group PLC | 689864 |
| 168270 | Aberdeen Group PLC | 461001 |
| 27290 | Associated British Foods PLC | 772156 |
| 7759 | Berkeley Group Holdings PLC | 385992 |
| 773477 | BT Group PLC | 1854858 |
| 10174 | Coca-Cola HBC AG | 510421 |
| 14450 | DCC PLC (b) | 956149 |
| 27814 | Drax Group PLC | 273686 |
| 67060 | GSK PLC | 1595763 |
| 152855 | GSK PLC Sponsored ADR <sup>(b)</sup> | 7315640 |
| 97882 | HSBC Holdings PLC | 1387084 |
| 23276 | HSBC Holdings PLC Sponsored ADR | 1656320 |
| 31206 | IG Group Holdings PLC | 468152 |
| 567693 | ITV PLC | 619046 |
| 120595 | J Sainsbury PLC | 514342 |
| 417086 | Kingfisher PLC | 1689014 |
| 110391 | Rio Tinto PLC Sponsored ADR | 7942632 |
| 154344 | Schroders PLC | 793294 |
|  | Total United Kingdom | 29885414 |
|  | TOTAL COMMON STOCKS<br>(COST $238,928,772) | 299930598 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(e)</sup> —1.5%** | **PREFERRED STOCKS <sup>(e)</sup> —1.5%** |
| | **Germany — 1.5%** | **Germany — 1.5%** |
| 3509 | Bayerische Motoren Werke AG | 331134 |
| 22839 | Henkel AG & Co. KGaA | 1842139 |
| 20785 | Volkswagen AG | 2376064 |
|  | Total Germany | 4549337 |
|  | TOTAL PREFERRED STOCKS<br>(COST $4,146,775) | 4549337 |
|  | **INVESTMENT FUNDS — 0.5%** | **INVESTMENT FUNDS — 0.5%** |
|  | **United States — 0.5%** | **United States — 0.5%** |
| 313829 | GMO U.S. Treasury Fund, Class VI <sup>(f)</sup> | 1572286 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $1,572,241) | 1572286 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 48200 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(g)</sup> | 48200 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $48,200) | 48200 |
|  | **TOTAL INVESTMENTS — 99.4%**<br> (Cost $244,695,988) | **306100421** |
|  | Other Assets and Liabilities (net) — 0.6% | 1937436 |
|  | **TOTAL NET ASSETS — 100.0%** | **$308037857** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| Surgutneftegas PAO | 05/12/20 | $4974 | 0.0% | $— |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

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

(d) The security is restricted as to resale.

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

(f) Affiliated company.

(g) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

------

**GMO-Usonian Japan Value Creation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 95.6%** |  |
| | **Automobiles & Components — 4.9%** | **Automobiles & Components — 4.9%** |
| 431900 | Isuzu Motors Ltd. | 6618557 |
| 178000 | Stanley Electric Co. Ltd. | 3484854 |
|  | Total Automobiles & Components | 10103411 |
|  | **Banks — 8.2%** |  |
| 290800 | Sumitomo Mitsui Financial Group, Inc. | 8799166 |
| 281200 | Sumitomo Mitsui Trust Group, Inc. | 8169299 |
|  | Total Banks | 16968465 |
|  | **Capital Goods — 27.1%** |  |
| 194300 | AGC, Inc. | 6723312 |
| 168400 | EXEO Group, Inc. | 2649100 |
| 280600 | Fuji Corp. | 6150733 |
| 350400 | Kanematsu Corp. | 7748859 |
| 79500 | Kraftia Corp. | 4034051 |
| 332000 | Mitsubishi Electric Corp. | 8976594 |
| 719300 | Penta-Ocean Construction Co. Ltd. | 7946617 |
| 175600 | THK Co. Ltd. | 4500993 |
| 281000 | TOTO Ltd. | 7356251 |
|  | Total Capital Goods | 56086510 |
|  | **Consumer Durables & Apparel — 8.5%** | **Consumer Durables & Apparel — 8.5%** |
| 300200 | Mizuno Corp. | 5850740 |
| 429200 | Sega Sammy Holdings, Inc. | 7375568 |
| 617900 | Yamaha Corp. | 4279591 |
|  | Total Consumer Durables & Apparel | 17505899 |
|  | **Financial Services — 5.6%** |  |
| 272600 | Credit Saison Co. Ltd. | 6863688 |
| 230200 | Zenkoku Hosho Co. Ltd. | 4672115 |
|  | Total Financial Services | 11535803 |
|  | **Food, Beverage & Tobacco — 7.6%** |  |
| 237700 | Kirin Holdings Co. Ltd. | 3733330 |
| 226100 | Morinaga & Co. Ltd. | 3866124 |
| 185600 | NH Foods Ltd. | 8204889 |
|  | Total Food, Beverage & Tobacco | 15804343 |
|  | **Health Care Equipment & Services — 6.3%** | **Health Care Equipment & Services — 6.3%** |
| 555700 | H.U. Group Holdings, Inc. | 12985917 |
|  | **Insurance — 3.1%** |  |
| 298100 | T&D Holdings, Inc. | 6476066 |
|  | **Materials — 6.4%** |  |
| 252800 | Denka Co. Ltd. | 4430739 |
| 456800 | Maruichi Steel Tube Ltd. | 4220535 |
| 699800 | Tokai Carbon Co. Ltd. | 4611654 |
|  | Total Materials | 13262928 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Real Estate Management & Development — 1.4%** | **Real Estate Management & Development — 1.4%** |
| 270600 | Tosei Corp. | 2870191 |
|  | **Semiconductors & Semiconductor<br>Equipment — 2.5%** | **Semiconductors & Semiconductor<br>Equipment — 2.5%** |
| 378200 | SUMCO Corp. | 2992682 |
| 152600 | Towa Corp. | 2099610 |
|  | Total Semiconductors & Semiconductor Equipment | 5092292 |
|  | **Software & Services — 2.1%** |  |
| 116500 | NEC Corp. | 4401675 |
|  | **Technology Hardware & Equipment — 8.9%** | **Technology Hardware & Equipment — 8.9%** |
| 138000 | Amano Corp. | 3718127 |
| 254600 | Daiwabo Holdings Co. Ltd. | 4960312 |
| 213000 | FUJIFILM Holdings Corp. | 4573099 |
| 134500 | Macnica Holdings, Inc. | 1999455 |
| 223000 | Maxell Ltd. | 3179709 |
|  | Total Technology Hardware & Equipment | 18430702 |
|  | **Transportation — 3.0%** |  |
| 114900 | Sankyu, Inc. | 6211631 |
|  | TOTAL COMMON STOCKS<br>(COST $161,047,737) | 197735833 |
|  | **INVESTMENT FUNDS — 2.7%** | **INVESTMENT FUNDS — 2.7%** |
|  | **United States — 2.7%** |  |
| 1087736 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 5449560 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $5,449,560) | 5449560 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 873465 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 873465 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $873,465) | 873465 |
|  | **TOTAL INVESTMENTS — 98.7%**<br> (Cost $167,370,762) | **204058858** |
|  | Other Assets and Liabilities (net) — 1.3% | 2714993 |
|  | **TOTAL NET ASSETS — 100.0%** | **$206773851** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

------

**GMO Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.5%** |  |
| | **Banks — 3.6%** | |
| 5586373 | U.S. Bancorp | 274011596 |
| 1895677 | Wells Fargo & Co. | 162743870 |
|  | Total Banks | 436755466 |
|  | **Capital Goods — 2.3%** | **Capital Goods — 2.3%** |
| 449203 | Knorr-Bremse AG | 47650003 |
| 695850 | Safran SA | 233918142 |
|  | Total Capital Goods | 281568145 |
|  | **Consumer Discretionary Distribution &<br>Retail — 4.6%** | **Consumer Discretionary Distribution &<br>Retail — 4.6%** |
| 1612643 | Amazon.com, Inc. <sup>\*</sup> | 376100600 |
| 1199780 | TJX Cos., Inc. | 182270578 |
|  | Total Consumer Discretionary Distribution & Retail | 558371178 |
|  | **Consumer Durables & Apparel — 1.6%** | **Consumer Durables & Apparel — 1.6%** |
| 268413 | LVMH Moet Hennessy Louis Vuitton SE | 198390347 |
|  | **Consumer Services — 4.2%** | **Consumer Services — 4.2%** |
| 1022954 | Amadeus IT Group SA | 75282845 |
| 7361645 | Compass Group PLC | 231466017 |
| 709827 | Hilton Worldwide Holdings, Inc. | 202321990 |
|  | Total Consumer Services | 509070852 |
|  | **Financial Services — 3.0%** | **Financial Services — 3.0%** |
| 781093 | Tradeweb Markets, Inc. – Class A | 85029784 |
| 855637 | Visa, Inc. – Class A | 286159238 |
|  | Total Financial Services | 371189022 |
|  | **Food, Beverage & Tobacco — 5.5%** | **Food, Beverage & Tobacco — 5.5%** |
| 2836472 | Coca-Cola Co. | 207402833 |
| 1218419 | Constellation Brands, Inc. – Class A | 166167983 |
| 5618012 | Diageo PLC | 129130615 |
| 1748138 | Nestle SA (Registered) | 173870445 |
|  | Total Food, Beverage & Tobacco | 676571876 |
|  | **Health Care Equipment & Services — 11.1%** | **Health Care Equipment & Services — 11.1%** |
| 2645175 | Abbott Laboratories | 340963058 |
| 569182 | Cigna Group | 157822785 |
| 769599 | Elevance Health, Inc. | 260324558 |
| 375988 | Intuitive Surgical, Inc. <sup>\*</sup> | 215621598 |
| 574709 | Quest Diagnostics, Inc. | 108723449 |
| 849359 | UnitedHealth Group, Inc. | 280093117 |
|  | Total Health Care Equipment & Services | 1363548565 |
|  | **Household & Personal Products — 1.9%** | **Household & Personal Products — 1.9%** |
| 3826416 | Unilever PLC | 230227145 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Media & Entertainment — 10.4%** | **Media & Entertainment — 10.4%** |
| 2164496 | Alphabet, Inc. – Class A | 693028328 |
| 885519 | Meta Platforms, Inc. – Class A | 573772036 |
|  | Total Media & Entertainment | 1266800364 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 13.5%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 13.5%** |
| 222444 | Eli Lilly & Co. | 239231849 |
| 43419978 | Haleon PLC | 213534541 |
| 2141118 | Johnson & Johnson | 443040137 |
| 1945599 | Merck & Co., Inc. | 203957143 |
| 1850762 | Novo Nordisk AS – Class B | 91655053 |
| 769821 | Thermo Fisher Scientific, Inc. | 454833341 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 1646252064 |
|  | **Semiconductors & Semiconductor<br>Equipment — 15.8%** | **Semiconductors & Semiconductor<br>Equipment — 15.8%** |
| 165141 | ASML Holding NV | 174661795 |
| 926175 | Broadcom, Inc. | 373211478 |
| 137344 | KLA Corp. | 161443752 |
| 2856407 | Lam Research Corp. | 445599492 |
| 11440200 | Taiwan Semiconductor Manufacturing Co. Ltd. | 527466232 |
| 1505063 | Texas Instruments, Inc. | 253256951 |
|  | Total Semiconductors & Semiconductor Equipment | 1935639700 |
|  | **Software & Services — 14.0%** | **Software & Services — 14.0%** |
| 1100440 | Accenture PLC – Class A | 275110000 |
| 3722393 | Dassault Systemes SE | 104260893 |
| 1636263 | Microsoft Corp. | 805057759 |
| 1248612 | Salesforce, Inc. | 287855010 |
| 1016082 | SAP SE | 245292309 |
|  | Total Software & Services | 1717575971 |
|  | **Technology Hardware & Equipment — 4.7%** | **Technology Hardware & Equipment — 4.7%** |
| 2048349 | Apple, Inc. | 571182119 |
|  | **Transportation — 1.3%** | **Transportation — 1.3%** |
| 1867232 | Uber Technologies, Inc. <sup>\*</sup> | 163457489 |
|  | TOTAL COMMON STOCKS<br>(COST $6,553,542,520) | 11926600303 |
|  | **INVESTMENT FUNDS — 2.4%** | **INVESTMENT FUNDS — 2.4%** |
|  | **United States — 2.4%** | **United States — 2.4%** |
| 58421113 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 292689777 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $292,685,766) | 292689777 |

---

------

**GMO Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
| | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 1513615 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 1513615 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,513,615) | 1513615 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $6,847,741,901) | **12220803695** |
|  | Other Assets and Liabilities (net) — 0.1% | 14804945 |
|  | **TOTAL NET ASSETS — 100.0%** | **$12235608640** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

------

**GMO Resource Transition Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 89.8%** |  |
| | **Australia — 0.9%** | |
| 300375 | Sunrise Energy Metals Ltd. <sup>\*</sup> | 1309014 |
|  | **Brazil — 4.9%** |  |
| 584900 | Klabin SA | 1943878 |
| 322800 | Sao Martinho SA | 843609 |
| 128400 | Suzano SA | 1144519 |
| 243200 | Vale SA | 3070839 |
|  | Total Brazil | 7002845 |
|  | **Canada — 10.7%** |  |
| 273200 | Anaergia, Inc. <sup>\*</sup> | 418368 |
| 312000 | Capstone Copper Corp. <sup>\*</sup> | 2770704 |
| 40600 | Enerflex Ltd. | 564498 |
| 127000 | First Quantum Minerals Ltd. <sup>\*</sup> | 2893613 |
| 290754 | Greenlane Renewables, Inc. <sup>\*</sup> | 48894 |
| 294200 | Ivanhoe Mines Ltd. – Class A <sup>\* (a)</sup> | 3077895 |
| 531300 | Largo, Inc. <sup>\*</sup> | 524666 |
| 522300 | NexGen Energy Ltd. <sup>\* (a)</sup> | 4642002 |
| 8400 | Precision Drilling Corp. <sup>\*</sup> | 523554 |
|  | Total Canada | 15464194 |
|  | **China — 1.4%** |  |
| 313000 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 1088353 |
| 286169 | Western Mining Co. Ltd. – Class A | 934037 |
|  | Total China | 2022390 |
|  | **Denmark — 2.7%** |  |
| 161179 | Vestas Wind Systems AS | 3831547 |
|  | **Finland — 3.6%** |  |
| 41546 | Kemira OYJ | 928494 |
| 219884 | Neste OYJ | 4251169 |
|  | Total Finland | 5179663 |
|  | **France — 2.0%** |  |
| 12970 | Technip Energies NV | 506565 |
| 8989 | Vallourec SACA | 163769 |
| 65487 | Veolia Environnement SA | 2228679 |
|  | Total France | 2899013 |
|  | **Italy — 1.2%** |  |
| 217036 | Saipem SpA <sup>(a)</sup> | 591603 |
| 57367 | Tenaris SA | 1154098 |
|  | Total Italy | 1745701 |
|  | **Japan — 1.0%** |  |
| 24900 | Mitsubishi Materials Corp. | 499699 |
| 9700 | Modec, Inc. | 976088 |
|  | Total Japan | 1475787 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Netherlands — 0.5%** | |
| 24050 | SBM Offshore NV | 686006 |
|  | **Norway — 3.0%** |  |
| 125522 | Austevoll Seafood ASA | 1095523 |
| 46265 | Bakkafrost P/F | 2124770 |
| 66482 | DOF Group ASA | 618537 |
| 54160 | TGS ASA | 465806 |
|  | Total Norway | 4304636 |
|  | **South Africa — 0.6%** |  |
| 11996 | Valterra Platinum Ltd. | 833070 |
|  | **United Kingdom — 17.2%** |  |
| 165884 | Anglo American PLC | 6269630 |
| 1758142 | Glencore PLC <sup>\*</sup> | 8404193 |
| 140170 | Rio Tinto PLC | 10064531 |
|  | Total United Kingdom | 24738354 |
|  | **United States — 40.1%** |  |
| 11100 | Advanced Drainage Systems, Inc. | 1691418 |
| 78519 | Aemetis, Inc. <sup>\* (a)</sup> | 135838 |
| 22900 | AGCO Corp. | 2426484 |
| 63400 | Albemarle Corp. | 8241366 |
| 122290 | Ameresco, Inc. – Class A <sup>\*</sup> | 4244686 |
| 413545 | Array Technologies, Inc. <sup>\*</sup> | 3105723 |
| 548520 | Clean Energy Fuels Corp. <sup>\*</sup> | 1195774 |
| 56947 | CNH Industrial NV | 537010 |
| 33400 | Corteva, Inc. | 2253498 |
| 267700 | Darling Ingredients, Inc. <sup>\*</sup> | 9800497 |
| 1160 | Deere & Co. | 538808 |
| 9200 | First Solar, Inc. <sup>\*</sup> | 2510864 |
| 66800 | Freeport-McMoRan, Inc. | 2871064 |
| 275100 | Green Plains, Inc. <sup>\*</sup> | 2841783 |
| 29900 | Helmerich & Payne, Inc. | 834210 |
| 30200 | Liberty Energy, Inc. | 536956 |
| 20200 | Nextpower, Inc. – Class A <sup>\*</sup> | 1850724 |
| 10500 | PotlatchDeltic Corp. – (REIT) | 422520 |
| 120800 | SolarEdge Technologies, Inc. <sup>\* (a)</sup> | 4412824 |
| 270715 | Sunrun, Inc. <sup>\*</sup> | 5481979 |
| 1960 | Valmont Industries, Inc. | 809421 |
| 41400 | Weyerhaeuser Co. – (REIT) | 919494 |
|  | Total United States | 57662941 |
|  | TOTAL COMMON STOCKS<br>(COST $158,527,841) | 129155161 |
|  | **PREFERRED STOCKS <sup>(b)</sup> —8.5%** | **PREFERRED STOCKS <sup>(b)</sup> —8.5%** |
|  | **Brazil — 4.6%** | **Brazil — 4.6%** |
| 1839165 | Bradespar SA | 6694638 |
|  | **Chile — 3.9%** |  |
| 86200 | Sociedad Quimica y Minera de Chile SA Sponsored ADR <sup>\*</sup> | 5544384 |
|  | TOTAL PREFERRED STOCKS<br>(COST $17,219,100) | 12239022 |

---

------

**GMO Resource Transition Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 2.7%** | **INVESTMENT FUNDS — 2.7%** |
| | **United States — 2.7%** | |
| 781618 | GMO U.S. Treasury Fund, Class VI <sup>(c) (d)</sup> | 3915906 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $3,915,906) | 3915906 |
|  | **SHORT-TERM INVESTMENTS — 0.5%** | **SHORT-TERM INVESTMENTS — 0.5%** |
|  | **Money Market Funds — 0.5%** | **Money Market Funds — 0.5%** |
| 754512 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(e)</sup> | 754512 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $754,512) | 754512 |
|  | **TOTAL INVESTMENTS — 101.5%**<br> (Cost $180,417,359) | **146064601** |
|  | Other Assets and Liabilities (net) — (1.5)% | (2126490) |
|  | **TOTAL NET ASSETS — 100.0%** | **$143938111** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

(c) Affiliated company.

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 88.8%** |  |
| | **Argentina — 5.8%** | |
| 673008 | Vista Energy SAB de CV ADR <sup>\* (a)</sup> | 33085073 |
| 886167 | YPF SA Sponsored ADR <sup>\* (a)</sup> | 32628669 |
|  | Total Argentina | 65713742 |
|  | **Australia — 0.6%** | **Australia — 0.6%** |
| 735000 | Clean TeQ Water Ltd. <sup>\* (a)</sup> | 192481 |
| 519793 | Santos Ltd. | 2193858 |
| 1016387 | Sunrise Energy Metals Ltd. <sup>\*</sup> | 4429346 |
|  | Total Australia | 6815685 |
|  | **Brazil — 3.8%** | **Brazil — 3.8%** |
| 2969603 | Klabin SA | 9869284 |
| 1036900 | Petroreconcavo SA | 2078521 |
| 721370 | PRIO SA <sup>\*</sup> | 5028650 |
| 1739582 | Sao Martinho SA | 4546244 |
| 658952 | Suzano SA | 5873701 |
| 1210380 | Vale SA | 15283234 |
|  | Total Brazil | 42679634 |
|  | **Canada — 8.2%** | **Canada — 8.2%** |
| 654900 | Anaergia, Inc. <sup>\*</sup> | 1002888 |
| 189779 | ARC Resources Ltd. | 3396453 |
| 1614600 | Capstone Copper Corp. <sup>\*</sup> | 14338392 |
| 213500 | Enerflex Ltd. | 2968482 |
| 657377 | First Quantum Minerals Ltd. <sup>\*</sup> | 14977912 |
| 696749 | Greenlane Renewables, Inc. <sup>\*</sup> | 117168 |
| 1459982 | Ivanhoe Mines Ltd. – Class A <sup>\* (a)</sup> | 15274204 |
| 1273509 | Largo, Inc. <sup>\*</sup> | 1257607 |
| 2604139 | NexGen Energy Ltd. <sup>\* (a)</sup> | 23144589 |
| 45300 | Precision Drilling Corp. <sup>\* (a)</sup> | 2823450 |
| 1169700 | Tamarack Valley Energy Ltd. <sup>(a)</sup> | 6537162 |
| 826645 | Whitecap Resources, Inc. <sup>(a)</sup> | 6915081 |
|  | Total Canada | 92753388 |
|  | **China — 0.9%** | **China — 0.9%** |
| 1604400 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 5578765 |
| 1542045 | Western Mining Co. Ltd. – Class A | 5033133 |
|  | Total China | 10611898 |
|  | **Denmark — 1.7%** | **Denmark — 1.7%** |
| 803662 | Vestas Wind Systems AS | 19104651 |
|  | **Finland — 2.3%** | **Finland — 2.3%** |
| 232967 | Kemira OYJ | 5206483 |
| 1094432 | Neste OYJ | 21159409 |
|  | Total Finland | 26365892 |
|  | **France — 1.3%** | **France — 1.3%** |
| 74719 | Technip Energies NV | 2918272 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **France — continued** | **France — continued** |
| 51647 | Vallourec SACA | 940948 |
| 327515 | Veolia Environnement SA | 11146120 |
|  | Total France | 15005340 |
|  | **Hong Kong — 0.2%** | **Hong Kong — 0.2%** |
| 40806000 | United Energy Group Ltd. <sup>(a)</sup> | 2594039 |
|  | **Italy — 0.8%** |  |
| 1112989 | Saipem SpA <sup>(a)</sup> | 3033819 |
| 300194 | Tenaris SA | 6039241 |
|  | Total Italy | 9073060 |
|  | **Japan — 1.0%** | **Japan — 1.0%** |
| 363600 | Japan Petroleum Exploration Co. Ltd. | 3320195 |
| 138400 | Mitsubishi Materials Corp. | 2777445 |
| 50400 | Modec, Inc. | 5071631 |
|  | Total Japan | 11169271 |
|  | **Netherlands — 0.3%** | **Netherlands — 0.3%** |
| 133152 | SBM Offshore NV <sup>(a)</sup> | 3798046 |
|  | **Norway — 2.6%** |  |
| 204685 | Aker BP ASA | 4987151 |
| 621675 | Austevoll Seafood ASA | 5425817 |
| 231626 | Bakkafrost P/F | 10637675 |
| 358251 | DOF Group ASA | 3333103 |
| 291851 | TGS ASA | 2510082 |
| 624228 | Var Energi ASA | 1952094 |
|  | Total Norway | 28845922 |
|  | **Pakistan — 0.3%** | **Pakistan — 0.3%** |
| 2955862 | Oil & Gas Development Co. Ltd. | 2791548 |
|  | **Russia — 0.0%** |  |
| 3574704 | Gazprom Neft PJSC <sup>\* (b) (c)</sup> |  |
| 14145410 | Gazprom PJSC <sup>\* (b) (c)</sup> |  |
| 23291700 | GMK Norilskiy Nickel PAO <sup>\* (b) (c)</sup> |  |
| 248399 | LUKOIL PJSC <sup>\* (b) (c)</sup> |  |
| 338098 | PhosAgro PJSC <sup>\* (b) (c)</sup> |  |
| 6533 | PhosAgro PJSC GDR <sup>\* (b) (c)</sup> |  |
| 3476399 | Tatneft PJSC <sup>\* (b) (c)</sup> |  |
|  | Total Russia |  |
|  | **Singapore — 0.0%** | **Singapore — 0.0%** |
| 2725600 | Ezra Holdings Ltd. <sup>\* (a) (b)</sup> | 2 |
|  | **South Africa — 0.4%** |  |
| 66571 | Valterra Platinum Ltd. | 4623068 |
|  | **Ukraine — 0.3%** |  |
| 501341 | Kernel Holding SA <sup>\*</sup> | 2894215 |

---

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **United Kingdom — 19.7%** | |
| 833173 | Anglo American PLC | 31489995 |
| 8527557 | BP PLC | 51213474 |
| 8828118 | Glencore PLC <sup>\*</sup> | 42199780 |
| 3750887 | Harbour Energy PLC | 10338595 |
| 1221000 | Lifezone Metals Ltd. <sup>\*</sup> | 4774110 |
| 703830 | Rio Tinto PLC | 50536629 |
| 855777 | Shell PLC | 31450585 |
|  | Total United Kingdom | 222003168 |
|  | **United States — 38.6%** |  |
| 55287 | Advanced Drainage Systems, Inc. | 8424633 |
| 454920 | Aemetis, Inc. <sup>\*</sup> | 787012 |
| 114796 | AGCO Corp. | 12163784 |
| 318698 | Albemarle Corp. | 41427553 |
| 612085 | Ameresco, Inc. – Class A <sup>\*</sup> | 21245470 |
| 2062040 | Array Technologies, Inc. <sup>\*</sup> | 15485921 |
| 759260 | California Resources Corp. | 36277443 |
| 377600 | Civitas Resources, Inc. | 11090112 |
| 2667188 | Clean Energy Fuels Corp. <sup>\*</sup> | 5814470 |
| 273940 | CNH Industrial NV | 2583254 |
| 342991 | ConocoPhillips | 30419872 |
| 167907 | Corteva, Inc. | 11328685 |
| 434233 | Crescent Energy Co. – Class A | 4094817 |
| 1344733 | Darling Ingredients, Inc. <sup>\*</sup> | 49230675 |
| 5560 | Deere & Co. | 2582565 |
| 149000 | Expand Energy Corp. | 18167570 |
| 45700 | First Solar, Inc. <sup>\*</sup> | 12472444 |
| 336408 | Freeport-McMoRan, Inc. | 14458816 |
| 1367085 | Green Plains, Inc. <sup>\*</sup> | 14121988 |
| 58650 | Gulfport Energy Corp. <sup>\*</sup> | 13049039 |
| 160900 | Helmerich & Payne, Inc. | 4489110 |
| 25724966 | Kosmos Energy Ltd. <sup>\* (d)</sup> | 28811962 |
| 156603 | Liberty Energy, Inc. | 2784401 |
| 100365 | Nextpower, Inc. – Class A <sup>\*</sup> | 9195441 |
| 56600 | PotlatchDeltic Corp. – (REIT) | 2277584 |
| 244005 | SM Energy Co. | 4648295 |
| 605459 | SolarEdge Technologies, Inc. <sup>\*</sup> | 22117417 |
| 1359888 | Sunrun, Inc. \* | 27537732 |
| 10560 | Valmont Industries, Inc. | 4360963 |
| 231300 | Weyerhaeuser Co. – (REIT) | 5137173 |
|  | Total United States | 436586201 |
|  | TOTAL COMMON STOCKS<br>(COST $1,180,049,358) | 1003428770 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(e)</sup> — 8.5%** | **PREFERRED STOCKS <sup>(e)</sup> — 8.5%** |
| | **Brazil — 6.1%** | **Brazil — 6.1%** |
| 9235172 | Bradespar SA | 33616417 |
| 5927948 | Petroleo Brasileiro SA - Petrobras | 35304377 |
|  | Total Brazil | 68920794 |
|  | **Chile — 2.4%** |  |
| 423662 | Sociedad Quimica y Minera de Chile SA |  |
|  | Sponsored ADR <sup>\*</sup> | 27249940 |
|  | **Russia — 0.0%** |  |
| 20237584 | Surgutneftegas PAO <sup>\* (b) (c)</sup> |  |
| 7494797 | Tatneft PJSC <sup>\* (b) (c)</sup> |  |
|  | Total Russia |  |
|  | TOTAL PREFERRED STOCKS<br>(COST $147,199,084) | 96170734 |
|  | **INVESTMENT FUNDS — 2.4%** | **INVESTMENT FUNDS — 2.4%** |
|  | **United States — 2.4%** | **United States — 2.4%** |
| 5302016 | GMO U.S. Treasury Fund, Class VI <sup>(d)</sup> | 26563102 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $26,563,102) | 26563102 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 1338344 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(f)</sup> | 1338344 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,338,344) | 1338344 |
|  | **TOTAL INVESTMENTS — 99.8%<br>(Cost $1,355,149,888)** | **1127500950** |
|  | Other Assets and Liabilities (net) — 0.2% | 2542819 |
|  | **TOTAL NET ASSETS — 100.0%** | **$1130043769** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| Gazprom Neft PJSC | 09/18/15 | $17308985 | 0.0% | $— |
| Gazprom PJSC | 09/21/21 | 65108289 | 0.0% |  |
| GMK Norilskiy Nickel PAO | 04/11/18 | 66379494 | 0.0% |  |
| LUKOIL PJSC | 10/15/14 | 14600074 | 0.0% |  |

---

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description — (Continued)** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| PhosAgro PJSC | 08/26/16 | $14566965 | 0.0% | $— |
| PhosAgro PJSC GDR | 08/26/16 | 93496 | 0.0% |  |
| Surgutneftegas PAO | 08/11/16 | 10546926 | 0.0% |  |
| Tatneft PJSC | 08/12/20 | 24585036 | 0.0% |  |
| Tatneft PJSC | 09/28/15 | 47831491 | 0.0% |  |
|  |  |  |  | $— |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

(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) The security is restricted as to resale.

(d) Affiliated company.

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

------

**GMO Small Cap Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.4%** |  |
| | **Automobiles & Components — 1.0%** | **Automobiles & Components — 1.0%** |
| 138773 | XPEL, Inc. \* | 6450169 |
|  | **Capital Goods — 18.3%** |  |
| 244311 | AAON, Inc. | 22838192 |
| 129422 | Allegion PLC | 21487935 |
| 37760 | Kadant, Inc. | 10501811 |
| 26532 | Preformed Line Products Co. | 5445693 |
| 48212 | RBC Bearings, Inc. \* | 21452894 |
| 394188 | Trex Co., Inc. \* | 13788696 |
| 57741 | Woodward, Inc. | 17324032 |
|  | Total Capital Goods | 112839253 |
|  | **Commercial & Professional Services — 8.1%** | **Commercial & Professional Services — 8.1%** |
| 277959 | ACV Auctions, Inc. – Class A \* | 2181978 |
| 177874 | Booz Allen Hamilton Holding Corp. | 14845364 |
| 58797 | Clean Harbors, Inc. \* | 13379846 |
| 121222 | FTI Consulting, Inc. \* | 19777369 |
|  | Total Commercial & Professional Services | 50184557 |
|  | **Consumer Discretionary Distribution &<br>Retail — 3.5%** | **Consumer Discretionary Distribution &<br>Retail — 3.5%** |
| 172647 | Ollie's Bargain Outlet Holdings, Inc. \* | 21254572 |
|  | **Consumer Durables & Apparel — 3.7%** | **Consumer Durables & Apparel — 3.7%** |
| 132735 | Acushnet Holdings Corp. | 11163014 |
| 23145 | Installed Building Products, Inc. | 6203323 |
| 200559 | Malibu Boats, Inc. – Class A \* | 5693870 |
|  | Total Consumer Durables & Apparel | 23060207 |
|  | **Consumer Services — 3.5%** |  |
| 586431 | Aramark | 21797640 |
|  | **Consumer Staples Distribution & Retail — 4.1%** | **Consumer Staples Distribution & Retail — 4.1%** |
| 204394 | PriceSmart, Inc. | 25160901 |
|  | **Energy — 1.6%** |  |
| 230077 | Cactus, Inc. – Class A | 9874905 |
|  | **Financial Services — 10.2%** |  |
| 177609 | Cohen & Steers, Inc. | 11233769 |
| 70605 | Houlihan Lokey, Inc. | 12384117 |
| 133158 | Jack Henry & Associates, Inc. | 23233408 |
| 251606 | StepStone Group, Inc. – Class A | 15891435 |
|  | Total Financial Services | 62742729 |
|  | **Food, Beverage & Tobacco — 5.1%** |  |
| 109263 | Brown-Forman Corp. – Class B | 3166442 |
| 48379 | Coca-Cola Consolidated, Inc. | 7883358 |
| 122267 | Marzetti Co. | 20411253 |
|  | Total Food, Beverage & Tobacco | 31461053 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Health Care Equipment & Services — 6.8%** | **Health Care Equipment & Services — 6.8%** |
| 298938 | Globus Medical, Inc. – Class A \* | 27215316 |
| 101473 | Masimo Corp. \* | 14452799 |
|  | Total Health Care Equipment & Services | 41668115 |
|  | **Materials — 7.1%** |  |
| 163636 | AptarGroup, Inc. | 20413591 |
| 149287 | Balchem Corp. | 23320122 |
|  | Total Materials | 43733713 |
|  | **Media & Entertainment — 4.4%** |  |
| 422962 | New York Times Co. – Class A | 27281049 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences —1.6%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences —1.6%** |
| 197305 | Bruker Corp. | 9630457 |
|  | **Semiconductors & Semiconductor<br>Equipment — 8.7%** | **Semiconductors & Semiconductor<br>Equipment — 8.7%** |
| 104445 | Axcelis Technologies, Inc. \* | 8644913 |
| 151210 | Cirrus Logic, Inc. \* | 18196611 |
| 180497 | Entegris, Inc. | 13923539 |
| 106294 | Universal Display Corp. | 12641545 |
|  | Total Semiconductors & Semiconductor Equipment | 53406608 |
|  | **Software & Services — 4.1%** |  |
| 282784 | Dolby Laboratories, Inc. – Class A | 19073781 |
| 32345 | EPAM Systems, Inc. \* | 6048515 |
|  | Total Software & Services | 25122296 |
|  | **Technology Hardware & Equipment — 5.6%** | **Technology Hardware & Equipment — 5.6%** |
| 75076 | Badger Meter, Inc. | 13404069 |
| 45717 | Fabrinet \* | 21002847 |
|  | Total Technology Hardware & Equipment | 34406916 |
|  | TOTAL COMMON STOCKS<br>(COST $564,728,763) | 600075140 |
|  | **INVESTMENT FUNDS — 2.5%** | **INVESTMENT FUNDS — 2.5%** |
|  | **United States — 2.5%** | **United States — 2.5%** |
| 3023219 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 15146329 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $15,146,329) | 15146329 |

---

------

**GMO Small Cap Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
| | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 798892 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 798892 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $798,892) | 798892 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $580,673,984) | **616020361** |
|  | Other Assets and Liabilities (net) — (0.0)% | (249850) |
|  | **TOTAL NET ASSETS — 100.0%** | **$615770511** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.4%** | **COMMON STOCKS — 98.4%** |
| | **Automobiles & Components — 5.1%** | **Automobiles & Components — 5.1%** |
| 1923 | Aptiv PLC \* | 149129 |
| 46279 | BorgWarner, Inc. | 1992774 |
| 269031 | Ford Motor Co. | 3572732 |
| 8509 | Garrett Motion, Inc. | 140654 |
| 49970 | General Motors Co. | 3673794 |
| 18653 | Gentex Corp. | 425848 |
| 18167 | Goodyear Tire & Rubber Co. \* | 157326 |
| 3077 | Lear Corp. | 330347 |
| 2059 | Phinia, Inc. | 111371 |
|  | Total Automobiles & Components | 10553975 |
|  | **Banks — 3.8%** | **Banks — 3.8%** |
| 30540 | Bank of America Corp. | 1638471 |
| 1900 | Capital City Bank Group, Inc. | 79648 |
| 29881 | Citigroup, Inc. | 3095672 |
| 5400 | Farmers National Banc Corp. | 73386 |
| 1500 | First Financial Corp. | 87555 |
| 1634 | Independent Bank Corp. | 53350 |
| 8849 | JPMorgan Chase & Co. | 2770445 |
|  | Total Banks | 7798527 |
|  | **Capital Goods — 6.2%** | **Capital Goods — 6.2%** |
| 6196 | Allison Transmission Holdings, Inc. | 549337 |
| 9829 | Cummins, Inc. | 4894645 |
| 492 | EMCOR Group, Inc. | 302614 |
| 873 | Emerson Electric Co. | 116441 |
| 1112 | EnerSys | 159138 |
| 2622 | Ferguson Enterprises, Inc. | 659879 |
| 12581 | Gates Industrial Corp. PLC \* | 286344 |
| 10356 | Honeywell International, Inc. | 1990320 |
| 5388 | Kennametal, Inc. | 149140 |
| 621 | L3Harris Technologies, Inc. | 173066 |
| 11456 | Mueller Industries, Inc. | 1258671 |
| 5103 | Mueller Water Products, Inc. – Class A | 123697 |
| 2273 | Northrop Grumman Corp. | 1300724 |
| 756 | Oshkosh Corp. | 96904 |
| 1376 | PACCAR, Inc. | 145058 |
| 929 | Primoris Services Corp. | 117574 |
| 6476 | Resideo Technologies, Inc. \* | 213643 |
| 1982 | Worthington Enterprises, Inc. | 108733 |
| 313 | WW Grainger, Inc. | 296921 |
|  | Total Capital Goods | 12942849 |
|  | **Commercial & Professional Services — 2.0%** | **Commercial & Professional Services — 2.0%** |
| 5249 | Amentum Holdings, Inc. \* | 150279 |
| 1311 | CACI International, Inc. – Class A \* | 809018 |
| 1470 | Cimpress PLC \* | 101210 |
| 12400 | Deluxe Corp. | 251968 |
| 1266 | Heidrick & Struggles International, Inc. | 74529 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Commercial & Professional Services — continued** | **Commercial & Professional Services — continued** |
| 4481 | IBEX Holdings Ltd. \* | 157686 |
| 1799 | ICF International, Inc. | 140394 |
| 7911 | Leidos Holdings, Inc. | 1511792 |
| 42682 | Resources Connection, Inc. | 206368 |
| 17717 | Steelcase, Inc. – Class A | 288610 |
| 3000 | TrueBlue, Inc. \* | 14700 |
| 25161 | Upwork, Inc. \* | 496678 |
|  | Total Commercial & Professional Services | 4203232 |
|  | **Consumer Discretionary Distribution &<br>Retail — 5.0%** | **Consumer Discretionary Distribution &<br>Retail — 5.0%** |
| 26449 | Amazon.com, Inc. \* | 6168436 |
| 47543 | eBay, Inc. | 3936085 |
| 2865 | Urban Outfitters, Inc. \* | 212210 |
|  | Total Consumer Discretionary Distribution & Retail | 10316731 |
|  | **Consumer Durables & Apparel — 2.6%** | **Consumer Durables & Apparel — 2.6%** |
| 3033 | Carter's, Inc. | 96783 |
| 5531 | DR Horton, Inc. | 879484 |
| 4998 | Ethan Allen Interiors, Inc. | 118153 |
| 6696 | Garmin Ltd. | 1307863 |
| 11129 | Lennar Corp. – Class A | 1461238 |
| 1084 | M/I Homes, Inc. \* | 149147 |
| 23151 | Mattel, Inc. \* | 488949 |
| 1755 | Meritage Homes Corp. | 128255 |
| 1191 | PulteGroup, Inc. | 151483 |
| 4087 | SharkNinja, Inc. \* | 398769 |
| 349 | Taylor Morrison Home Corp. \* | 21879 |
| 3581 | Tri Pointe Homes, Inc. \* | 122184 |
|  | Total Consumer Durables & Apparel | 5324187 |
|  | **Consumer Services — 1.7%** | **Consumer Services — 1.7%** |
| 5681 | Adtalem Global Education, Inc. \* | 525833 |
| 250 | Booking Holdings, Inc. | 1228673 |
| 7039 | Frontdoor, Inc. \* | 379613 |
| 222 | Graham Holdings Co. – Class B | 245643 |
| 3559 | H&R Block, Inc. | 149905 |
| 26271 | Perdoceo Education Corp. | 734537 |
| 3898 | Stride, Inc. \* | 247640 |
|  | Total Consumer Services | 3511844 |
|  | **Consumer Staples Distribution & Retail — 0.3%** | **Consumer Staples Distribution & Retail — 0.3%** |
| 4043 | Kroger Co. | 272013 |
| 4016 | Maplebear, Inc. \* | 168712 |
| 1896 | Target Corp. | 171816 |
|  | Total Consumer Staples Distribution & Retail | 612541 |
|  | **Financial Services — 8.6%** | **Financial Services — 8.6%** |
| 3097 | American Express Co. | 1131241 |

---

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Financial Services — continued** | **Financial Services — continued** |
| 13183 | Bank of New York Mellon Corp. | 1477814 |
| 1850 | Bread Financial Holdings, Inc. | 125301 |
| 9260 | Capital One Financial Corp. | 2028588 |
| 3680 | Enact Holdings, Inc. | 142453 |
| 5890 | Enova International, Inc. \* | 772120 |
| 2301 | Federated Hermes, Inc. | 115441 |
| 2816 | Figure Technology Solutions, Inc. – Class A \* | 102052 |
| 2268 | Goldman Sachs Group, Inc. | 1873459 |
| 5106 | Invesco Ltd. | 124842 |
| 54949 | MGIC Investment Corp. | 1557804 |
| 1471 | Morgan Stanley | 249570 |
| 7870 | NMI Holdings, Inc. \* | 300241 |
| 2444 | OneMain Holdings, Inc. | 151601 |
| 5867 | PROG Holdings, Inc. | 168852 |
| 30405 | Radian Group, Inc. | 1080898 |
| 24233 | SLM Corp. | 710027 |
| 17714 | State Street Corp. | 2108320 |
| 44629 | Synchrony Financial | 3452499 |
| 4129 | Virtu Financial, Inc. – Class A | 147653 |
|  | Total Financial Services | 17820776 |
|  | **Food, Beverage & Tobacco — 1.6%** | **Food, Beverage & Tobacco — 1.6%** |
| 43176 | Altria Group, Inc. | 2547816 |
| 1254 | Cal-Maine Foods, Inc. | 104483 |
| 11868 | General Mills, Inc. | 561950 |
| 3307 | Universal Corp. | 174477 |
|  | Total Food, Beverage & Tobacco | 3388726 |
|  | **Health Care Equipment & Services — 1.4%** | **Health Care Equipment & Services — 1.4%** |
| 302 | Cardinal Health, Inc. | 64102 |
| 32942 | CVS Health Corp. | 2647219 |
| 368 | Elevance Health, Inc. | 124480 |
|  | Total Health Care Equipment & Services | 2835801 |
|  | **Insurance — 0.6%** | **Insurance — 0.6%** |
| 1577 | Allstate Corp. | 335869 |
| 934 | Globe Life, Inc. | 125838 |
| 5051 | Hartford Insurance Group, Inc. | 692139 |
| 5454 | Heritage Insurance Holdings, Inc. \* | 158439 |
|  | Total Insurance | 1312285 |
|  | **Materials — 0.5%** | **Materials — 0.5%** |
| 694 | NewMarket Corp. | 529890 |
| 2177 | Nucor Corp. | 347210 |
| 6506 | Ryerson Holding Corp. | 149183 |
| 1689 | Solstice Advanced Materials, Inc. \* | 80531 |
|  | Total Materials | 1106814 |
|  | **Media & Entertainment — 11.8%** | **Media & Entertainment — 11.8%** |
| 28822 | Alphabet, Inc. – Class A | 9228228 |
| 20043 | Alphabet, Inc. – Class C | 6416165 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Media & Entertainment — continued** | **Media & Entertainment — continued** |
| 13527 | Meta Platforms, Inc. – Class A | 8764820 |
| 3317 | Yelp, Inc. \* | 95894 |
|  | Total Media & Entertainment | 24505107 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 6.9%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 6.9%** |
| 33399 | Altimmune, Inc. \* | 175679 |
| 24916 | Exelixis, Inc. \* | 1100540 |
| 18106 | Johnson & Johnson | 3746493 |
| 52415 | Merck & Co., Inc. | 5494664 |
| 117335 | Pfizer, Inc. | 3020203 |
| 1136 | Regeneron Pharmaceuticals, Inc. | 886296 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 14423875 |
|  | **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** |
| 11965 | Newmark Group, Inc. – Class A | 207952 |
|  | **Semiconductors & Semiconductor<br>Equipment — 16.2%** | **Semiconductors & Semiconductor<br>Equipment — 16.2%** |
| 5019 | ACM Research, Inc. – Class A \* | 167685 |
| 12311 | Applied Materials, Inc. | 3105450 |
| 3202 | Axcelis Technologies, Inc. \* | 265029 |
| 7662 | Broadcom, Inc. | 3087479 |
| 3851 | Cirrus Logic, Inc. \* | 463429 |
| 42080 | Intel Corp. \* | 1706765 |
| 1702 | KLA Corp. | 2000650 |
| 33914 | Lam Research Corp. | 5290584 |
| 7536 | Micron Technology, Inc. | 1782113 |
| 57956 | NVIDIA Corp. | 10258212 |
| 2602 | NXP Semiconductors NV | 507234 |
| 23197 | QUALCOMM, Inc. | 3899184 |
| 14845 | Skyworks Solutions, Inc. | 979028 |
|  | Total Semiconductors & Semiconductor Equipment | 33512842 |
|  | **Software & Services — 8.9%** | **Software & Services — 8.9%** |
| 1987 | Adobe, Inc. \* | 636098 |
| 20379 | Cognizant Technology Solutions Corp. – Class A | 1583652 |
| 10669 | International Business Machines Corp. | 3292240 |
| 24656 | Microsoft Corp. | 12130999 |
| 5179 | Progress Software Corp. \* | 214463 |
| 6469 | Zoom Communications, Inc. \* | 549606 |
|  | Total Software & Services | 18407058 |
|  | **Technology Hardware & Equipment — 11.0%** | **Technology Hardware & Equipment — 11.0%** |
| 46046 | Apple, Inc. | 12839927 |
| 67325 | Cisco Systems, Inc. | 5179985 |
| 873 | Dell Technologies, Inc. – Class C | 116415 |
| 50608 | Hewlett Packard Enterprise Co. | 1106797 |
| 7078 | HP, Inc. | 172845 |

---

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br>Shares /**<br> **Par Value†** | **Description** | **Value ($)** |
| | **Technology Hardware & Equipment — continued** | **Technology Hardware & Equipment — continued** |
| 2082 | Sandisk Corp. \* | 464869 |
| 11974 | TE Connectivity PLC | 2707920 |
| 1750 | TTM Technologies, Inc. \* | 122815 |
| 5468 | Vontier Corp. | 198379 |
|  | Total Technology Hardware & Equipment | 22909952 |
|  | **Telecommunication Services — 1.7%** | **Telecommunication Services — 1.7%** |
| 83531 | Verizon Communications, Inc. | 3433959 |
|  | **Transportation — 1.4%** | **Transportation — 1.4%** |
| 1494 | Matson, Inc. | 162816 |
| 29482 | United Parcel Service, Inc. – Class B | 2824081 |
|  | Total Transportation | 2986897 |
|  | **Utilities — 1.0%** | **Utilities — 1.0%** |
| 25972 | Exelon Corp. | 1223800 |
| 20054 | UGI Corp. | 793136 |
|  | Total Utilities | 2016936 |
|  | TOTAL COMMON STOCKS<br>(COST $167,150,274) | 204132866 |
|  | **DEBT OBLIGATIONS — 0.0%** | **DEBT OBLIGATIONS — 0.0%** |
|  | **U.S. Government — 0.0%** | **U.S. Government — 0.0%** |
| 56000 | U.S. Treasury Floating Rate Notes, Variable Rate,<br>3 mo. Treasury money market yield + 0.16%,<br>3.94%, due 04/30/27 <sup>(a)</sup> | 55985 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $56,018) | 55985 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 0.5%** | **INVESTMENT FUNDS — 0.5%** |
| | **United States — 0.5%** | **United States — 0.5%** |
| 189737 | GMO U.S. Treasury Fund, Class VI <sup>(b)</sup> | 950583 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $950,583) | 950583 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 123274 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(c)</sup> | 123274 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $123,274) | 123274 |
|  | **TOTAL INVESTMENTS — 99.0%**<br> (Cost $168,280,149) | **205262708** |
|  | Other Assets and Liabilities (net) — 1.0% | 2124216 |
|  | **TOTAL NET ASSETS — 100.0%** | **$207386924** |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 4 | S&P 500 E-Mini | December 2025 | $1371900 | $13163 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2025, 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 OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(b) Affiliated company.

(c) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

------

**GMO U.S. Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.4%** |  |
| | **Automobiles & Components — 2.6%** | **Automobiles & Components — 2.6%** |
| 6834 | Aptiv PLC \* | 529977 |
| 13448 | BorgWarner, Inc. | 579071 |
| 159409 | Ford Motor Co. | 2116951 |
| 51743 | General Motors Co. | 3804145 |
| 14419 | Lear Corp. | 1548024 |
|  | Total Automobiles & Components | 8578168 |
|  | **Banks — 9.3%** | **Banks — 9.3%** |
| 119587 | Bank of America Corp. | 6415843 |
| 43180 | Citigroup, Inc. | 4473448 |
| 11406 | Fifth Third Bancorp | 495705 |
| 38025 | Huntington Bancshares, Inc. | 619808 |
| 21043 | JPMorgan Chase & Co. | 6588142 |
| 6969 | M&T Bank Corp. | 1325643 |
| 16578 | PNC Financial Services Group, Inc. | 3161756 |
| 16624 | Regions Financial Corp. | 423081 |
| 29385 | Truist Financial Corp. | 1366402 |
| 78032 | U.S. Bancorp | 3827470 |
| 19211 | Wells Fargo & Co. | 1649264 |
|  | Total Banks | 30346562 |
|  | **Capital Goods — 3.5%** | **Capital Goods — 3.5%** |
| 7233 | A.O. Smith Corp. | 477233 |
| 9255 | Carrier Global Corp. | 507914 |
| 5488 | Cummins, Inc. | 2732914 |
| 2553 | EnerSys | 365360 |
| 5130 | Honeywell International, Inc. | 985935 |
| 3906 | Mueller Industries, Inc. | 429152 |
| 3890 | Northrop Grumman Corp. | 2226053 |
| 10205 | Oshkosh Corp. | 1308077 |
| 2220 | Owens Corning | 251393 |
| 13135 | PACCAR, Inc. | 1384692 |
| 3896 | Textron, Inc. | 323991 |
| 3828 | Timken Co. | 311561 |
|  | Total Capital Goods | 11304275 |
|  | **Commercial & Professional Services — 0.3%** | **Commercial & Professional Services — 0.3%** |
| 8994 | Concentrix Corp. | 325673 |
| 11109 | Genpact Ltd. | 489462 |
| 1572 | Leidos Holdings, Inc. | 300409 |
|  | Total Commercial & Professional Services | 1115544 |
|  | **Consumer Discretionary Distribution &<br>Retail — 2.8%** | **Consumer Discretionary Distribution &<br>Retail — 2.8%** |
| 19262 | Academy Sports & Outdoors, Inc. | 929391 |
| 6475 | AutoNation, Inc. \* | 1368103 |
| 16758 | Bath & Body Works, Inc. | 291757 |
| 5200 | Best Buy Co., Inc. | 412256 |
| 28603 | eBay, Inc. | 2368042 |
| 3049 | Group 1 Automotive, Inc. | 1222771 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Consumer Discretionary Distribution &<br>Retail — continued** | **Consumer Discretionary Distribution &<br>Retail — continued** |
| 15048 | LKQ Corp. | 446775 |
| 54007 | Macy's, Inc. | 1207597 |
| 7609 | Signet Jewelers Ltd. | 762117 |
|  | Total Consumer Discretionary Distribution & Retail | 9008809 |
|  | **Consumer Durables & Apparel — 3.5%** | **Consumer Durables & Apparel — 3.5%** |
| 17753 | Crocs, Inc. \* | 1508650 |
| 12472 | DR Horton, Inc. | 1983173 |
| 22276 | KB Home | 1433015 |
| 10946 | Lennar Corp. – Class A | 1437210 |
| 1714 | M/I Homes, Inc. \* | 235829 |
| 13712 | Mattel, Inc. \* | 289597 |
| 11729 | Meritage Homes Corp. | 857155 |
| 2069 | Mohawk Industries, Inc. \* | 239797 |
| 9022 | PulteGroup, Inc. | 1147508 |
| 11888 | PVH Corp. | 1007627 |
| 8651 | Steven Madden Ltd. | 361439 |
| 14880 | Tri Pointe Homes, Inc. \* | 507706 |
| 9856 | YETI Holdings, Inc. \* | 408827 |
|  | Total Consumer Durables & Apparel | 11417533 |
|  | **Consumer Services — 0.9%** | **Consumer Services — 0.9%** |
| 60927 | H&R Block, Inc. | 2566245 |
| 15461 | Perdoceo Education Corp. | 432290 |
|  | Total Consumer Services | 2998535 |
|  | **Consumer Staples Distribution & Retail — 2.3%** | **Consumer Staples Distribution & Retail — 2.3%** |
| 28050 | Albertsons Cos., Inc. – Class A | 514157 |
| 7215 | Dollar General Corp. | 789970 |
| 42311 | Kroger Co. | 2846684 |
| 35310 | Target Corp. | 3199792 |
|  | Total Consumer Staples Distribution & Retail | 7350603 |
|  | **Energy — 8.6%** | **Energy — 8.6%** |
| 46302 | Chevron Corp. | 6997621 |
| 28211 | ConocoPhillips | 2502034 |
| 15209 | Coterra Energy, Inc. | 408210 |
| 40713 | EOG Resources, Inc. | 4390897 |
| 99018 | Exxon Mobil Corp. | 11478166 |
| 51738 | Kinder Morgan, Inc. | 1413482 |
| 1600 | Marathon Petroleum Corp. | 309968 |
| 8599 | Ovintiv, Inc. | 352215 |
|  | Total Energy | 27852593 |
|  | **Equity Real Estate Investment Trusts<br>(REITs) — 0.5%** | **Equity Real Estate Investment Trusts<br>(REITs) — 0.5%** |
| 61292 | VICI Properties, Inc. – (REIT) | 1766435 |
|  | **Financial Services — 9.7%** |  |
| 3007 | Affiliated Managers Group, Inc. | 808372 |

---

------

**GMO U.S. Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Financial Services — continued** | |
| 6748 | American Express Co. | 2464842 |
| 7132 | Bank of New York Mellon Corp. | 799497 |
| 21546 | Blue Owl Capital Corp. | 283761 |
| 13833 | Bread Financial Holdings, Inc. | 936909 |
| 18841 | Capital One Financial Corp. | 4127498 |
| 7243 | Enova International, Inc. \* | 949485 |
| 8855 | Federated Hermes, Inc. | 444255 |
| 22004 | Franklin Resources, Inc. | 497070 |
| 3757 | Goldman Sachs Group, Inc. | 3103432 |
| 37743 | Invesco Ltd. | 922816 |
| 20393 | Janus Henderson Group PLC | 891378 |
| 70842 | MGIC Investment Corp. | 2008371 |
| 7471 | Morgan Stanley | 1267530 |
| 52764 | PayPal Holdings, Inc. | 3307775 |
| 57661 | Radian Group, Inc. | 2049849 |
| 16825 | Sixth Street Specialty Lending, Inc. | 367122 |
| 35031 | SLM Corp. | 1026408 |
| 18733 | State Street Corp. | 2229602 |
| 16077 | Synchrony Financial | 1243717 |
| 9674 | T. Rowe Price Group, Inc. | 990424 |
| 80171 | Western Union Co. | 704703 |
|  | Total Financial Services | 31424816 |
|  | **Food, Beverage & Tobacco — 3.4%** | **Food, Beverage & Tobacco — 3.4%** |
| 16104 | Altria Group, Inc. | 950297 |
| 15765 | Archer-Daniels-Midland Co. | 957566 |
| 4877 | Bunge Global SA | 468534 |
| 5214 | Coca-Cola Co. | 381248 |
| 37737 | General Mills, Inc. | 1786847 |
| 33182 | Keurig Dr. Pepper, Inc. | 925778 |
| 30762 | Mondelez International, Inc. – Class A | 1770968 |
| 22100 | PepsiCo, Inc. | 3287154 |
| 10067 | Tyson Foods, Inc. – Class A | 584389 |
|  | Total Food, Beverage & Tobacco | 11112781 |
|  | **Health Care Equipment & Services — 5.4%** | **Health Care Equipment & Services — 5.4%** |
| 11873 | Centene Corp. \* | 467084 |
| 17059 | Cigna Group | 4730119 |
| 57620 | CVS Health Corp. | 4630343 |
| 11052 | Edwards Lifesciences Corp. \* | 957877 |
| 9820 | Elevance Health, Inc. | 3321713 |
| 4130 | GE HealthCare Technologies, Inc. | 330359 |
| 9444 | Humana, Inc. | 2321052 |
| 8364 | Medtronic PLC | 880980 |
|  | Total Health Care Equipment & Services | 17639527 |
|  | **Household & Personal Products — 1.5%** | **Household & Personal Products — 1.5%** |
| 5313 | Colgate-Palmolive Co. | 427112 |
| 78778 | Kenvue, Inc. | 1366798 |
| 13045 | Kimberly-Clark Corp. | 1423471 |
| 11019 | Procter & Gamble Co. | 1632575 |
|  | Total Household & Personal Products | 4849956 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Insurance — 6.7%** | **Insurance — 6.7%** |
| 23123 | Aflac, Inc. | 2550698 |
| 11976 | Allstate Corp. | 2550648 |
| 6674 | American International Group, Inc. | 508292 |
| 19605 | Arch Capital Group Ltd. \* | 1841302 |
| 11201 | Chubb Ltd. | 3317512 |
| 22836 | Hartford Insurance Group, Inc. | 3129217 |
| 15510 | MetLife, Inc. | 1187446 |
| 7072 | Old Republic International Corp. | 326019 |
| 17605 | Progressive Corp. | 4027848 |
| 7578 | Travelers Cos., Inc. | 2219293 |
|  | Total Insurance | 21658275 |
|  | **Materials — 1.9%** | **Materials — 1.9%** |
| 2677 | CF Industries Holdings, Inc. | 210680 |
| 10174 | Commercial Metals Co. | 648898 |
| 3510 | CRH PLC | 421060 |
| 17960 | Mosaic Co. | 439840 |
| 443 | NewMarket Corp. | 338244 |
| 13570 | Nucor Corp. | 2164279 |
| 5765 | PPG Industries, Inc. | 576731 |
| 24631 | Sealed Air Corp. | 1057901 |
| 2200 | Steel Dynamics, Inc. | 369226 |
|  | Total Materials | 6226859 |
|  | **Media & Entertainment — 8.6%** | **Media & Entertainment — 8.6%** |
| 23205 | Alphabet, Inc. – Class A | 7429777 |
| 7539 | Alphabet, Inc. – Class C | 2413385 |
| 224186 | Comcast Corp. – Class A | 5983524 |
| 2057 | Electronic Arts, Inc. | 415576 |
| 14485 | Fox Corp. – Class A | 948767 |
| 18112 | Fox Corp. – Class B | 1055205 |
| 42586 | Match Group, Inc. | 1418540 |
| 12219 | Meta Platforms, Inc. – Class A | 7917301 |
| 5704 | Omnicom Group, Inc. | 408520 |
|  | Total Media & Entertainment | 27990595 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences —13.0%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences —13.0%** |
| 120512 | Bristol-Myers Squibb Co. | 5929190 |
| 25117 | Gilead Sciences, Inc. | 3160723 |
| 55695 | Johnson & Johnson | 11524410 |
| 90941 | Merck & Co., Inc. | 9533345 |
| 122624 | Organon & Co. | 945431 |
| 289558 | Pfizer, Inc. | 7453223 |
| 4940 | Regeneron Pharmaceuticals, Inc. | 3854139 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 42400461 |
|  | **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** |
| 1807 | CBRE Group, Inc. – Class A \* | 292427 |

---

------

**GMO U.S. Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Semiconductors & Semiconductor<br>Equipment — 3.2%** | **Semiconductors & Semiconductor<br>Equipment — 3.2%** |
| 8302 | Applied Materials, Inc. | 2094180 |
| 3884 | NXP Semiconductors NV | 757147 |
| 45478 | QUALCOMM, Inc. | 7644397 |
|  | Total Semiconductors & Semiconductor Equipment | 10495724 |
|  | **Software & Services — 1.4%** | **Software & Services — 1.4%** |
| 3381 | Akamai Technologies, Inc. \* | 302667 |
| 42624 | Cognizant Technology Solutions Corp. – Class A | 3312311 |
| 11536 | Zoom Communications, Inc. \* | 980099 |
|  | Total Software & Services | 4595077 |
|  | **Technology Hardware & Equipment — 4.7%** | **Technology Hardware & Equipment — 4.7%** |
| 10520 | Arrow Electronics, Inc. \* | 1136265 |
| 34379 | Avnet, Inc. | 1633346 |
| 121341 | Cisco Systems, Inc. | 9335977 |
| 73043 | Hewlett Packard Enterprise Co. | 1597450 |
| 53342 | HP, Inc. | 1302612 |
| 7413 | Vontier Corp. | 268944 |
|  | Total Technology Hardware & Equipment | 15274594 |
|  | **Telecommunication Services — 3.5%** | **Telecommunication Services — 3.5%** |
| 140125 | AT&T, Inc. | 3646053 |
| 190322 | Verizon Communications, Inc. | 7824137 |
|  | Total Telecommunication Services | 11470190 |
|  | **Transportation — 1.9%** | **Transportation — 1.9%** |
| 8545 | CSX Corp. | 302151 |
| 16358 | Delta Air Lines, Inc. | 1048548 |
| 8176 | FedEx Corp. | 2253960 |
| 27341 | United Parcel Service, Inc. – Class B | 2618994 |
|  | Total Transportation | 6223653 |
|  | **Utilities — 0.1%** | **Utilities — 0.1%** |
| 7615 | Exelon Corp. | 358819 |
|  | TOTAL COMMON STOCKS<br>(COST $292,300,957) | 323752811 |
|  | **INVESTMENT FUNDS — 0.0%** | **INVESTMENT FUNDS — 0.0%** |
|  | **United States — 0.0%** | **United States — 0.0%** |
| 3229 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 16178 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $16,178) | 16178 |
|  | **TOTAL INVESTMENTS — 99.4%**<br> (Cost $292,317,135) | **323768989** |
|  | Other Assets and Liabilities (net) — 0.6% | 1931322 |
|  | **TOTAL NET ASSETS — 100.0%** | **$325700311** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Affiliated company.

**Portfolio Abbreviations:** 

REIT - Real Estate Investment Trust

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Description** | **Value ($)** |
|  |  | **COMMON STOCKS — 96.1%** |  |
|  | | **Automobiles & Components — 6.4%** | **Automobiles & Components — 6.4%** |
|  | 1626 | Adient PLC\* | 31642 |
|  | 21108 | American Axle & Manufacturing Holdings, |  |
|  |  | Inc.\* | 138680 |
|  | 28442 | BorgWarner, Inc. | 1224713 |
|  | 9617 | Dana, Inc. | 215517 |
|  | 18846 | Garrett Motion, Inc. | 311524 |
|  | 4799 | Gentex Corp. | 109561 |
|  | 3655 | Lear Corp. | 392401 |
|  | 3226 | Phinia, Inc. | 174494 |
|  | 279 | Strattec Security Corp.\* | 20925 |
|  |  | Total Automobiles & Components | 2619457 |
|  |  | **Banks — 6.7%** |  |
|  | 4458 | Amalgamated Financial Corp. | 130842 |
|  | 1366 | Arrow Financial Corp. | 41185 |
|  | 15540 | Associated Banc-Corp. | 408547 |
|  | 1559 | Bank OZK | 71745 |
|  | 5734 | BankUnited, Inc. | 247766 |
|  | 600 | Capital City Bank Group, Inc. | 25152 |
|  | 3623 | Central Pacific Financial Corp. | 107748 |
|  | 2069 | Community Trust Bancorp, Inc. | 114830 |
|  | 900 | Community West Bancshares | 20385 |
|  | 2420 | Customers Bancorp, Inc.\* | 166738 |
|  | 1205 | Eagle Bancorp, Inc. | 22859 |
|  | 217 | East West Bancorp, Inc. | 23154 |
|  | 84 | Enterprise Financial Services Corp. | 4587 |
|  | 6204 | First BanCorp | 122653 |
|  | 1441 | First Community Bankshares, Inc. | 48158 |
|  | 2252 | First Financial Corp. | 131449 |
|  | 6562 | Hanmi Financial Corp. | 181243 |
|  | 1090 | Horizon Bancorp, Inc. | 18683 |
|  | 3074 | Independent Bank Corp. | 100366 |
|  | 884 | Northrim BanCorp, Inc. | 21711 |
|  | 2032 | OceanFirst Financial Corp. | 38303 |
|  | 3069 | OFG Bancorp | 121931 |
|  | 2317 | Popular, Inc. | 265783 |
|  | 290 | Republic Bancorp, Inc. – Class A | 20013 |
|  | 1715 | Simmons First National Corp. – Class A | 31813 |
|  | 955 | Trustmark Corp. | 37150 |
|  | 18256 | Valley National Bancorp | 206658 |
|  |  | Total Banks | 2731452 |
|  |  | **Capital Goods — 12.0%** |  |
|  | 115 | AGCO Corp. | 12185 |
|  | 3735 | Apogee Enterprises, Inc. | 135991 |
|  | 6522 | Atkore, Inc. | 436648 |
|  | 20833 | Babcock & Wilcox Enterprises, Inc.\* | 130206 |
|  | 511 | BlueLinx Holdings, Inc.\* | 31881 |
|  | 2705 | DNOW, Inc.\* | 37762 |
|  | 301 | DXP Enterprises, Inc.\* | 28291 |
|  | 2499 | EnerSys | 357632 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Description** | **Value ($)** |
|  | | **Capital Goods — continued** | **Capital Goods — continued** |
|  | 18271 | Gates Industrial Corp. PLC\* | 415848 |
|  | 7080 | Hudson Technologies, Inc.\* | 48144 |
|  | 1159 | Hyster-Yale, Inc. | 33704 |
|  | 20148 | Kennametal, Inc. | 557697 |
|  | 7354 | Masterbrand, Inc.\* | 81556 |
|  | 3478 | Matrix Service Co.\* | 40658 |
|  | 1340 | Miller Industries, Inc. | 51912 |
|  | 4043 | Oshkosh Corp. | 518232 |
|  | 1152 | Park-Ohio Holdings Corp. | 24664 |
|  | 718 | Preformed Line Products Co. | 147369 |
|  | 1665 | Primoris Services Corp. | 210722 |
|  | 17682 | Resideo Technologies, Inc.\* | 583329 |
|  | 1578 | REV Group, Inc. | 84060 |
|  | 300 | Rush Enterprises, Inc. – Class B | 16011 |
|  | 1820 | Tennant Co. | 133097 |
|  | 11979 | Terex Corp. | 553550 |
|  | 3632 | Terrestrial Energy, Inc.\* | 34286 |
|  | 3811 | Worthington Enterprises, Inc. | 209071 |
|  |  | Total Capital Goods | 4914506 |
|  |  | **Commercial & Professional Services — 5.4%** | **Commercial & Professional Services — 5.4%** |
|  | 859 | ABM Industries, Inc. | 36937 |
|  | 15216 | ACCO Brands Corp. | 52343 |
|  | 2161 | Brady Corp. – Class A | 169077 |
|  | 2398 | Cimpress PLC\* | 165102 |
|  | 1366 | Concentrix Corp. | 49463 |
|  | 2613 | CSG Systems International, Inc. | 205826 |
|  | 10995 | Deluxe Corp. | 223418 |
|  | 1378 | Healthcare Services Group, Inc.\* | 25879 |
|  | 4380 | Heidrick & Struggles International, Inc. | 257851 |
|  | 397 | HNI Corp. | 16483 |
|  | 1914 | IBEX Holdings Ltd.\* | 67354 |
|  | 7222 | Interface, Inc. | 201566 |
|  | 1955 | ManpowerGroup, Inc. | 56226 |
|  | 21003 | Pitney Bowes, Inc. | 207090 |
|  | 10690 | Resources Connection, Inc. | 51686 |
|  | 16536 | Steelcase, Inc. – Class A | 269371 |
|  | 5005 | TrueBlue, Inc.\* | 24525 |
|  | 6553 | Upwork, Inc.\* | 129356 |
|  |  | Total Commercial & Professional Services | 2209553 |
|  |  | **Consumer Discretionary Distribution &<br>Retail — 3.7%** |  |
|  | 1790 | Buckle, Inc. | 101099 |
|  | 2190 | Cato Corp. – Class A\* | 7665 |
|  | 1027 | Genesco, Inc.\* | 36818 |
|  | 1398 | Guess?, Inc. | 23850 |
|  | 15839 | Kohl's Corp. | 389481 |
|  | 22908 | Macy's, Inc. | 512223 |
|  | 12292 | Sally Beauty Holdings, Inc.\* | 194951 |
|  | 1831 | Shoe Carnival, Inc. | 30248 |
|  | 3182 | Upbound Group, Inc. | 57022 |
|  | 1888 | Urban Outfitters, Inc.\* | 139844 |

---

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Description** | **Value ($)** |
|  | | **Consumer Discretionary Distribution &<br>Retail — continued** | **Consumer Discretionary Distribution &<br>Retail — continued** |
|  | 494 | Weyco Group, Inc. | 14800 |
|  |  | Total Consumer Discretionary Distribution & Retail | 1508001 |
|  |  | **Consumer Durables & Apparel — 7.0%** | **Consumer Durables & Apparel — 7.0%** |
|  | 1982 | Beazer Homes USA, Inc.\* | 45328 |
|  | 4503 | Carter's, Inc. | 143691 |
|  | 5239 | Century Communities, Inc. | 342054 |
|  | 2272 | Dream Finders Homes, Inc. – Class A\* | 44917 |
|  | 5911 | Ethan Allen Interiors, Inc. | 139736 |
|  | 7622 | G-III Apparel Group Ltd.\* | 222181 |
|  | 926 | Helen of Troy Ltd.\* | 17548 |
|  | 1368 | Hooker Furnishings Corp. | 14679 |
|  | 634 | Johnson Outdoors, Inc. – Class A | 25988 |
|  | 1787 | KB Home | 114958 |
|  | 660 | La-Z-Boy, Inc. | 25687 |
|  | 1928 | M/I Homes, Inc.\* | 265273 |
|  | 16355 | Mattel, Inc.\* | 345418 |
|  | 4232 | Meritage Homes Corp. | 309275 |
|  | 874 | Movado Group, Inc. | 18302 |
|  | 1002 | Oxford Industries, Inc. | 38236 |
|  | 4327 | Polaris, Inc. | 287140 |
|  | 6933 | Sonos, Inc.\* | 128676 |
|  | 209 | Steven Madden Ltd. | 8732 |
|  | 10129 | Tri Pointe Homes, Inc.\* | 345601 |
|  | 1681 | Universal Electronics, Inc.\* | 5564 |
|  |  | Total Consumer Durables & Apparel | 2888984 |
|  |  | **Consumer Services — 2.2%** | **Consumer Services — 2.2%** |
|  | 1364 | Adtalem Global Education, Inc.\* | 126252 |
|  | 263 | Graham Holdings Co. – Class B | 291009 |
|  | 261 | Nathan's Famous, Inc. | 24080 |
|  | 16861 | Perdoceo Education Corp. | 471434 |
|  |  | Total Consumer Services | 912775 |
|  |  | **Consumer Staples Distribution & Retail — 0.9%** | **Consumer Staples Distribution & Retail — 0.9%** |
|  | 1294 | Ingles Markets, Inc. – Class A | 99535 |
|  | 6244 | United Natural Foods, Inc.\* | 232964 |
|  | 1140 | Village Super Market, Inc. – Class A | 39398 |
|  |  | Total Consumer Staples Distribution & Retail | 371897 |
|  |  | **Energy — 0.2%** | **Energy — 0.2%** |
|  | 874 | Excelerate Energy, Inc. – Class A | 24542 |
|  | 9097 | FutureFuel Corp. | 30020 |
|  | 486 | Valaris Ltd.\* | 27415 |
|  | 466 | World Kinect Corp. | 10802 |
|  |  | Total Energy | 92779 |
|  |  | **Equity Real Estate Investment Trusts (REITs) — 4.0%** | **Equity Real Estate Investment Trusts (REITs) — 4.0%** |
|  | 4094 | American Assets Trust, Inc. – (REIT) | 79833 |
|  | 10334 | Apple Hospitality REIT, Inc. | 122871 |
|  | 4537 | Broadstone Net Lease, Inc. – (REIT) | 79715 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Description** | **Value ($)** |
|  | | **Equity Real Estate Investment Trusts<br>(REITs) — continued** | **Equity Real Estate Investment Trusts<br>(REITs) — continued** |
|  | 10204 | Empire State Realty Trust, Inc. – Class A, (REIT) | 71734 |
|  | 1487 | EPR Properties – (REIT) | 77726 |
|  | 3678 | Host Hotels & Resorts, Inc. – (REIT) | 64843 |
|  | 13716 | Industrial Logistics Properties Trust – (REIT) | 75987 |
|  | 1338 | Innovative Industrial Properties, Inc. – (REIT) | 66164 |
|  | 3848 | LTC Properties, Inc. – (REIT) | 140414 |
|  | 19698 | Outfront Media, Inc. – (REIT) | 463494 |
|  | 7468 | Paramount Group, Inc. – (REIT)\* | 49214 |
|  | 6783 | Park Hotels & Resorts, Inc. – (REIT) | 73392 |
|  | 14816 | Piedmont Realty Trust, Inc. – (REIT) | 129492 |
|  | 2584 | Postal Realty Trust, Inc. – Class A, (REIT) | 40155 |
|  | 4648 | Sunstone Hotel Investors, Inc. – (REIT) | 43505 |
|  | 2995 | Whitestone – (REIT) | 39804 |
|  | 2028 | Xenia Hotels & Resorts, Inc. – (REIT) | 28351 |
|  |  | Total Equity Real Estate Investment Trusts (REITs) | 1646694 |
|  |  | **Financial Services — 11.5%** | **Financial Services — 11.5%** |
|  | 6343 | Bread Financial Holdings, Inc. | 429611 |
|  | 1081 | Enact Holdings, Inc. | 41845 |
|  | 6074 | Enova International, Inc.\* | 796241 |
|  | 759 | Essent Group Ltd. | 47635 |
|  | 8165 | EZCORP, Inc. – Class A\* | 157421 |
|  | 9 | Federated Hermes, Inc. | 452 |
|  | 1702 | Franklin Resources, Inc. | 38448 |
|  | 11868 | Invesco Ltd. | 290173 |
|  | 1123 | Jackson Financial, Inc. – Class A | 110065 |
|  | 25877 | MGIC Investment Corp. | 733613 |
|  | 8832 | Navient Corp. | 109517 |
|  | 6146 | NMI Holdings, Inc.\* | 234470 |
|  | 2656 | OneMain Holdings, Inc. | 164752 |
|  | 6415 | Oportun Financial Corp.\* | 33166 |
|  | 277 | Oppenheimer Holdings, Inc. – Class A | 18844 |
|  | 6962 | PROG Holdings, Inc. | 200366 |
|  | 21307 | Radian Group, Inc. | 757464 |
|  | 1499 | Regional Management Corp. | 57022 |
|  | 15772 | SLM Corp. | 462120 |
|  | 36 | Virtu Financial, Inc. – Class A | 1287 |
|  | 2039 | Waterstone Financial, Inc. | 31931 |
|  | 294 | Westwood Holdings Group, Inc. | 4980 |
|  |  | Total Financial Services | 4721423 |
|  |  | **Food, Beverage & Tobacco — 3.3%** | **Food, Beverage & Tobacco — 3.3%** |
|  | 5846 | Cal-Maine Foods, Inc. | 487089 |
|  | 12331 | Conagra Brands, Inc. | 220108 |
|  | 5796 | Fresh Del Monte Produce, Inc. | 209468 |
|  | 378 | Ingredion, Inc. | 40650 |
|  | 953 | Seneca Foods Corp. – Class A\* | 115265 |
|  | 5353 | Universal Corp. | 282424 |
|  |  | Total Food, Beverage & Tobacco | 1355004 |
|  |  | **Health Care Equipment & Services — 0.5%** | **Health Care Equipment & Services — 0.5%** |
|  | 2824 | Ardent Health, Inc.\* | 24794 |

---

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Description** | **Value ($)** |
|  | | **Health Care Equipment & Services — continued** | **Health Care Equipment & Services — continued** |
|  | 2249 | Fulgent Genetics, Inc.\* | 66525 |
|  | 12331 | OraSure Technologies, Inc.\* | 29348 |
|  | 2864 | Pediatrix Medical Group, Inc.\* | 68994 |
|  | 2882 | Varex Imaging Corp.\* | 33345 |
|  |  | Total Health Care Equipment & Services | 223006 |
|  |  | **Household & Personal Products — 0.6%** | **Household & Personal Products — 0.6%** |
|  | 4255 | Edgewell Personal Care Co. | 75994 |
|  | 8391 | Herbalife Ltd.\* | 106817 |
|  | 6813 | Nu Skin Enterprises, Inc. – Class A | 67381 |
|  |  | Total Household & Personal Products | 250192 |
|  |  | **Insurance — 1.7%** | **Insurance — 1.7%** |
|  | 310 | Heritage Insurance Holdings, Inc.\* | 9006 |
|  | 14275 | Lincoln National Corp. | 587273 |
|  | 2723 | Universal Insurance Holdings, Inc. | 90213 |
|  |  | Total Insurance | 686492 |
|  |  | **Materials — 4.1%** | **Materials — 4.1%** |
|  | 1514 | AdvanSix, Inc. | 23300 |
|  | 457 | Alpha Metallurgical Resources, Inc.\* | 72759 |
|  | 4591 | Commercial Metals Co. | 292814 |
|  | 14249 | Dakota Gold Corp.\* | 66543 |
|  | 2450 | Eastman Chemical Co. | 152096 |
|  | 5393 | Idaho Strategic Resources, Inc.\* | 214048 |
|  | 3519 | Koppers Holdings, Inc. | 104409 |
|  | 8292 | Mosaic Co. | 203071 |
|  | 189 | NewMarket Corp. | 144307 |
|  | 1808 | Ryerson Holding Corp. | 41457 |
|  | 1959 | Sealed Air Corp. | 84139 |
|  | 8952 | SunCoke Energy, Inc. | 58367 |
|  | 1818 | Sylvamo Corp. | 86119 |
|  | 1764 | Warrior Met Coal, Inc. | 138104 |
|  |  | Total Materials | 1681533 |
|  |  | **Media & Entertainment — 3.8%** | **Media & Entertainment — 3.8%** |
|  | 10143 | Angi, Inc.\* | 115833 |
|  | 5346 | Cars.com, Inc.\* | 62014 |
|  | 14785 | Eventbrite, Inc. – Class A\* | 36815 |
|  | 2501 | EverQuote, Inc. – Class A\* | 66001 |
|  | 6121 | Gray Media, Inc. | 30115 |
|  | 17573 | Match Group, Inc. | 585357 |
|  | 5832 | Shutterstock, Inc. | 121422 |
|  | 11928 | Yelp, Inc.\* | 344839 |
|  | 5576 | Ziff Davis, Inc.\* | 183004 |
|  |  | Total Media & Entertainment | 1545400 |
|  |  | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 1.5%** |  |
|  | 10078 | Altimmune, Inc.\* | 53010 |
|  | 1837 | Amneal Pharmaceuticals, Inc.\* | 22999 |
|  | 1359 | Avalo Therapeutics, Inc.\* | 25821 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Description** | **Value ($)** |
|  | | **Pharmaceuticals, Biotechnology & Life<br>Sciences — continued** | **Pharmaceuticals, Biotechnology & Life<br>Sciences — continued** |
|  | 7832 | CytomX Therapeutics, Inc.\* | 33521 |
|  | 2034 | Exagen, Inc.\* | 16069 |
|  | 1599 | Exelixis, Inc.\* | 70628 |
|  | 664 | MBX Biosciences, Inc.\* | 22901 |
|  | 700 | Phibro Animal Health Corp. – Class A | 29316 |
|  | 2541 | SIGA Technologies, Inc. | 15398 |
|  | 4241 | Supernus Pharmaceuticals, Inc.\* | 193347 |
|  | 2705 | Terns Pharmaceuticals, Inc.\* | 76038 |
|  | 8641 | Vanda Pharmaceuticals, Inc.\* | 46316 |
|  |  | Total Pharmaceuticals, Biotechnology & Life Sciences | 605364 |
|  |  | **Real Estate Management & Development — 1.1%** | **Real Estate Management & Development — 1.1%** |
|  | 12743 | Douglas Elliman, Inc.\* | 33769 |
|  | 23236 | Newmark Group, Inc. – Class A | 403842 |
|  | 1889 | RE/MAX Holdings, Inc. – Class A\* | 15527 |
|  |  | Total Real Estate Management & Development | 453138 |
|  |  | **Semiconductors & Semiconductor<br>Equipment — 7.2%** | **Semiconductors & Semiconductor<br>Equipment — 7.2%** |
|  | 8988 | ACM Research, Inc. – Class A\* | 300289 |
|  | 4262 | Amkor Technology, Inc. | 155094 |
|  | 7822 | Axcelis Technologies, Inc.\* | 647427 |
|  | 5041 | Cirrus Logic, Inc.\* | 606634 |
|  | 2514 | Diodes, Inc.\* | 116172 |
|  | 792 | Kulicke & Soffa Industries, Inc. | 35727 |
|  | 12572 | Photronics, Inc.\* | 288025 |
|  | 1668 | Qorvo, Inc.\* | 143265 |
|  | 8031 | Skyworks Solutions, Inc. | 529644 |
|  | 295 | Synaptics, Inc.\* | 20210 |
|  | 3591 | Veeco Instruments, Inc.\* | 104965 |
|  |  | Total Semiconductors & Semiconductor Equipment | 2947452 |
|  |  | **Software & Services — 0.1%** | **Software & Services — 0.1%** |
|  | 3239 | Backblaze, Inc. – Class A\* | 15353 |
|  | 2360 | Viant Technology, Inc. – Class A\* | 25039 |
|  |  | Total Software & Services | 40392 |
|  |  | **Technology Hardware & Equipment — 9.0%** | **Technology Hardware & Equipment — 9.0%** |
|  | 9075 | Avnet, Inc. | 431153 |
|  | 558 | Benchmark Electronics, Inc. | 25071 |
|  | 2139 | Kimball Electronics, Inc.\* | 61817 |
|  | 6720 | Methode Electronics, Inc. | 50938 |
|  | 1463 | NetScout Systems, Inc.\* | 39325 |
|  | 6502 | Sandisk Corp.\* | 1451766 |
|  | 3053 | Sanmina Corp.\* | 476772 |
|  | 10727 | TTM Technologies, Inc.\* | 752821 |
|  | 2695 | Turtle Beach Corp.\* | 37407 |

---

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Description** | **Value ($)** |
|  | | **Technology Hardware & Equipment — continued** | **Technology Hardware & Equipment — continued** |
|  | 8183 | Vishay Intertechnology, Inc. | 111862 |
|  | 6523 | Vontier Corp. | 236654 |
|  |  | Total Technology Hardware & Equipment | 3675586 |
|  |  | **Telecommunication Services — 0.2%** | **Telecommunication Services — 0.2%** |
|  | 5621 | Spok Holdings, Inc. | 74647 |
|  |  | **Transportation — 1.2%** | **Transportation — 1.2%** |
|  | 3658 | ArcBest Corp. | 234734 |
|  | 1506 | Genco Shipping & Trading Ltd. | 28493 |
|  | 1791 | Matson, Inc. | 195183 |
|  | 1691 | Sun Country Airlines Holdings, Inc.\* | 23167 |
|  |  | Total Transportation | 481577 |
|  |  | **Utilities — 1.8%** |  |
|  | 18489 | UGI Corp. | 731240 |
|  |  | TOTAL COMMON STOCKS<br>(COST $33,757,717) | 39368544 |
|  |  | **INVESTMENT FUNDS — 0.0%** | **INVESTMENT FUNDS — 0.0%** |
|  |  | **United States — 0.0%** |  |
|  | 279 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 1397 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $1,397) | 1397 |
|  |  | **SHORT-TERM INVESTMENTS — 1.4%** | **SHORT-TERM INVESTMENTS — 1.4%** |
|  |  | **Money Market Funds — 1.4%** |  |
|  | 595444 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 595444 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $595,444) | 595444 |
|  |  | **TOTAL INVESTMENTS — 97.5%**<br> (Cost $34,354,558) | **39965385** |
|  |  | Other Assets and Liabilities (net) — 2.5% | 1014682 |
|  |  | **TOTAL NET ASSETS — 100.0%** | **$40980067** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

REIT - Real Estate Investment Trust

------

**Organization** 

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, International Equity Fund, International Opportunistic Value Fund, Japan Value Creation Fund, Quality Fund, Resource Transition Fund, Resources Fund, Small Cap Quality Fund, U.S. Equity Fund, U.S. Opportunistic Value 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 management 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 closing 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 valued at the price generally determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

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 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, prices 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 changes in valuation 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 November 30, 2025, 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 that are valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain equity securities valued off the last traded price with a discount for liquidity; 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 November 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $5514832 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $5514832 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 7802623 |  | 7802623 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27131334 |  |  | 27131334 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 9802944 |  | 9802944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 17286543 |  | 17286543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 14507436 |  | 14507436 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 43824882 |  | 43824882 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 15871536 |  | 15871536 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 2113235 |  | 2113235 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 3713174 |  | 3713174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 14375595 |  | 14375595 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund (continued)** | &nbsp;&nbsp;&nbsp;**Climate Change Fund (continued)** | &nbsp;&nbsp;&nbsp;**Climate Change Fund (continued)** | &nbsp;&nbsp;&nbsp;**Climate Change Fund (continued)** | &nbsp;&nbsp;&nbsp;**Climate Change Fund (continued)** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | $1898977 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $1898977 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 1397299 |  | 1397299 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 12144739 |  | 12144739 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 2169780 |  | 2169780 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 33775677 |  | 33775677 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 9172301 |  | 9172301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 5351226 |  | 5351226 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 1579234 |  | 1579234 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 1270014 |  | 1270014 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 1798600 | 1999019 |  | 3797619 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 240191453 |  |  | 240191453 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 271020364 | 203672089 | 0§ | 474692453 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 16020697 |  |  | 16020697 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 16020697 |  |  | 16020697 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 8483308 |  |  | 8483308 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 8483308 |  |  | 8483308 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 325904 |  |  | 325904 |
| &nbsp;&nbsp;&nbsp; Total Investments | 295850273 | 203672089 | 0§ | 499522362 |
| &nbsp;&nbsp;&nbsp; Total | $295850273 | $203672089 | $0§ | $499522362 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $35632 | $2839046 | $— | $2874678 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 89362 |  |  | 89362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 209307 |  | 209307 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 321043 |  | 321043 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 47137 |  | 47137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 3921813 |  | 3921813 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 11486814 |  | 11486814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia | 81890 | 7027417 |  | 7109307 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 413259 |  | 413259 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 2705341 |  |  | 2705341 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 99104 |  | 99104 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 1333218 |  | 1333218 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 300265 |  | 300265 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 12355492 |  | 12355492 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 24598569 |  | 24598569 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 4566917 |  | 4566917 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 2493579 |  | 2493579 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 52665 |  |  | 52665 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 132955 |  | 132955 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 2964890 | 72145935 | 0§ | 75110825 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 1072630 | 1257474 |  | 2330104 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 598633 |  |  | 598633 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 1671263 | 1257474 | 0§ | 2928737 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $304921 | $— | $— | $304921 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 304921 |  |  | 304921 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 363024 |  |  | 363024 |
| &nbsp;&nbsp;&nbsp; Total Investments | 5304098 | 73403409 | 0§ | 78707507 |
| &nbsp;&nbsp;&nbsp; Total | $5304098 | $73403409 | $0§ | $78707507 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $969400 | $7930577 | $— | $8899977 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 17034287 | 97170485 | 25 | 114204797 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 10993 |  |  | 10993 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 44533 |  | 44533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 949530 |  | 949530 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 809911 |  | 809911 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 18152680 |  | 18152680 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 36986666 |  | 36986666 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia | 463325 | 35055295 |  | 35518620 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 1197625 |  | 1197625 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 10159753 |  |  | 10159753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 354500 |  | 354500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 4635644 |  | 4635644 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 452827 |  | 452827 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 127635 | 53491139 |  | 53618774 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sri Lanka |  |  | 303674 | 303674 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 106758337 |  | 106758337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 25155990 |  | 25155990 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 10358945 |  | 10358945 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 752446 |  | 752446 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 28765393 | 400257130 | 303699 | 429326222 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 8207340 | 6849315 |  | 15056655 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 3217385 |  |  | 3217385 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 1992175 |  | 1992175 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 11424725 | 8841490 | 0§ | 20266215 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 3841925 |  |  | 3841925 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 3841925 |  |  | 3841925 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 624023 |  |  | 624023 |
| &nbsp;&nbsp;&nbsp; Total Investments | 44656066 | 409098620 | 303699 | 454058385 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 267934 |  |  | 267934 |
| &nbsp;&nbsp;&nbsp; Total | $44924000 | $409098620 | $303699 | $454326319 |
| &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $40618194 | $— | $40618194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 12296763 |  | 12296763 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 558291 |  | 558291 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 23591551 |  | 23591551 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 2347187 | 91488020 |  | 93835207 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 52313887 |  | 52313887 |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**International Equity Fund (continued)** | &nbsp;&nbsp;&nbsp;**International Equity Fund (continued)** | &nbsp;&nbsp;&nbsp;**International Equity Fund (continued)** | &nbsp;&nbsp;&nbsp;**International Equity Fund (continued)** | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong | $— | $51774624 | $— | $51774624 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel |  | 7755247 |  | 7755247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 47385925 |  | 47385925 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 255478655 |  | 255478655 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 20031880 | 59341141 |  | 79373021 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 10611581 |  | 10611581 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 2805261 |  | 2805261 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 22243464 |  | 22243464 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 73445666 |  | 73445666 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 569172 |  | 569172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 4111186 | 54789226 |  | 58900412 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 57912506 | 72635573 |  | 130548079 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 84402759 | 879702241 |  | 964105000 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 6516964 |  | 6516964 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 6516964 |  | 6516964 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 62018555 |  |  | 62018555 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 62018555 |  |  | 62018555 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 624845 |  |  | 624845 |
| &nbsp;&nbsp;&nbsp; Total Investments | 147046159 | 886219205 |  | 1033265364 |
| &nbsp;&nbsp;&nbsp; Total | $147046159 | $886219205 | $— | $1033265364 |
| &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $16136485 | $— | $16136485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 3422532 |  | 3422532 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 990635 |  | 990635 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 44021265 |  |  | 44021265 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 2596642 |  | 2596642 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 895557 |  | 895557 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 30999291 |  | 30999291 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 20166807 |  | 20166807 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 7189276 |  | 7189276 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 1061261 |  | 1061261 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 415425 | 3763792 |  | 4179217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 658039 | 5546949 |  | 6204988 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 3433194 | 61405395 |  | 64838589 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 8501508 |  | 8501508 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 6955526 |  | 6955526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 7722 |  | 7722 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 3418163 |  | 3418163 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 16758949 |  | 16758949 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 9494130 |  | 9494130 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 5045734 | 17160907 |  | 22206641 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 16914592 | 12970822 |  | 29885414 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 70488249 | 229442349 | 0§ | 299930598 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 4549337 |  | 4549337 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 4549337 |  | 4549337 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 1572286 |  |  | 1572286 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 1572286 |  |  | 1572286 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 48200 |  |  | 48200 |
| &nbsp;&nbsp;&nbsp; Total Investments | 72108735 | 233991686 | 0§ | 306100421 |
| &nbsp;&nbsp;&nbsp; Total | $72108735 | $233991686 | $0§ | $306100421 |
| &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $— | $197735833 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $197735833 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 5449560 |  |  | 5449560 |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund (continued)** | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | $873465 | $— | $— | $873465 |
| &nbsp;&nbsp;&nbsp; Total Investments | 6323025 | 197735833 |  | 204058858 |
| &nbsp;&nbsp;&nbsp; Total | $6323025 | $197735833 | $— | $204058858 |
| &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark | $— | $91655053 | $— | $91655053 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 536569382 |  | 536569382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 292942312 |  | 292942312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 174661795 |  | 174661795 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 75282845 |  | 75282845 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 173870445 |  | 173870445 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 527466232 |  | 527466232 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 804358318 |  | 804358318 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 9249793921 |  |  | 9249793921 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 9249793921 | 2676806382 |  | 11926600303 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 292689777 |  |  | 292689777 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 292689777 |  |  | 292689777 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1513615 |  |  | 1513615 |
| &nbsp;&nbsp;&nbsp; Total Investments | 9543997313 | 2676806382 |  | 12220803695 |
| &nbsp;&nbsp;&nbsp; Total | $9543997313 | $2676806382 | $— | $12220803695 |
| &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $1309014 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $1309014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 7002845 |  | 7002845 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 15464194 |  |  | 15464194 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 2022390 |  | 2022390 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 3831547 |  | 3831547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 5179663 |  | 5179663 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 2899013 |  | 2899013 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 1745701 |  | 1745701 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 1475787 |  | 1475787 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 686006 |  | 686006 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 4304636 |  | 4304636 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 833070 |  | 833070 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 24738354 |  | 24738354 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 57662941 |  |  | 57662941 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 73127135 | 56028026 |  | 129155161 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 6694638 |  | 6694638 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 5544384 |  |  | 5544384 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 5544384 | 6694638 |  | 12239022 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 3915906 |  |  | 3915906 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 3915906 |  |  | 3915906 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 754512 |  |  | 754512 |
| &nbsp;&nbsp;&nbsp; Total Investments | 83341937 | 62722664 |  | 146064601 |
| &nbsp;&nbsp;&nbsp; Total | $83341937 | $62722664 | $— | $146064601 |
| &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $65713742 | $— | $— | $65713742 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 6815685 |  | 6815685 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 42679634 |  | 42679634 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 92753388 |  |  | 92753388 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 10611898 |  | 10611898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 19104651 |  | 19104651 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Resources Fund (continued)** | &nbsp;&nbsp;&nbsp;**Resources Fund (continued)** | &nbsp;&nbsp;&nbsp;**Resources Fund (continued)** | &nbsp;&nbsp;&nbsp;**Resources Fund (continued)** | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland | $— | $26365892 | $— | $26365892 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 15005340 |  | 15005340 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 2594039 |  | 2594039 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 9073060 |  | 9073060 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 11169271 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 11169271 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 3798046 |  | 3798046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 28845922 |  | 28845922 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 2791548 |  | 2791548 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  |  | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 4623068 |  | 4623068 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 2894215 |  | 2894215 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 4774110 | 217229058 |  | 222003168 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 436586201 |  |  | 436586201 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 599827441 | 403601327 | 2 | 1003428770 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 68920794 |  | 68920794 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 27249940 |  |  | 27249940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 27249940 | 68920794 | 0§ | 96170734 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 26563102 |  |  | 26563102 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 26563102 |  |  | 26563102 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1338344 |  |  | 1338344 |
| &nbsp;&nbsp;&nbsp; Total Investments | 654978827 | 472522121 | 2 | 1127500950 |
| &nbsp;&nbsp;&nbsp; Total | $654978827 | $472522121 | $2 | $1127500950 |
| &nbsp;&nbsp;&nbsp; **Small Cap Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $600075140 | $— | $— | $600075140 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 15146329 |  |  | 15146329 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 798892 |  |  | 798892 |
| &nbsp;&nbsp;&nbsp; Total Investments | 616020361 |  |  | 616020361 |
| &nbsp;&nbsp;&nbsp; Total | $616020361 | $— | $— | $616020361 |
| &nbsp;&nbsp;&nbsp; **U.S. Equity Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $204132866 | $— | $— | $204132866 |
| &nbsp;&nbsp;&nbsp; Debt Obligations | 55985 |  |  | 55985 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 950583 |  |  | 950583 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 123274 |  |  | 123274 |
| &nbsp;&nbsp;&nbsp; Total Investments | 205262708 |  |  | 205262708 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 13163 |  |  | 13163 |
| &nbsp;&nbsp;&nbsp; Total | $205275871 | $— | $— | $205275871 |
| &nbsp;&nbsp;&nbsp; **U.S. Opportunistic Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $323752811 | $— | $— | $323752811 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 16178 |  |  | 16178 |
| &nbsp;&nbsp;&nbsp; Total Investments | 323768989 |  |  | 323768989 |
| &nbsp;&nbsp;&nbsp; Total | $323768989 | $— | $— | $323768989 |
| &nbsp;&nbsp;&nbsp; **U.S. Small Cap Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $39368544 | $— | $— | $39368544 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 1397 |  |  | 1397 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 595444 |  |  | 595444 |
| &nbsp;&nbsp;&nbsp; Total Investments | 39965385 |  |  | 39965385 |
| &nbsp;&nbsp;&nbsp; Total | $39965385 | $— | $— | $39965385 |

---

------

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2025.

---

| | |
|:---|:---|
| ^ | 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' financial statements which are available on the SEC's website at www.sec.gov or on GMO's website at www.gmo.com.

**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 November 30, 2025 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales Proceeds** | **Dividend<br>Income\*** | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end<br>of period** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $11565483 | $99634699 | $102726700 | $235472 | $— | $9910 | $(84) | $8483308 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $344450 | $3509471 | $3550000 | $9613 | $— | $1000 | $— | $304921 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Anilana Hotels & Properties Ltd. | $316968 | $— | $— | $— | $— | $— | $(13294) | $303674 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | 12532067 | 51016158 | 59707500 | 115737 |  | 1200 |  | 3841925 |
| &nbsp;&nbsp;&nbsp; Totals | $12849035 | $51016158 | $59707500 | $115737 | $— | $1200 | $(13294) | $4145599 |
| &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $51870555 | $283000000 | $272850000 | $1956777 | $— | $71395 | $(73395) | $62018555 |
| &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**International Opportunistic Value Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $2486 | $59800000 | $58226000 | $125382 | $— | $(4245) | $45 | $1572286 |
| &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $5739519 | $23759241 | $24050000 | $160184 | $— | $8586 | $(7786) | $5449560 |
| &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $51968777 | $1242600000 | $1001875000 | $5307290 | $— | $(7000) | $3000 | $292689777 |

---

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales Proceeds** | **Dividend<br>Income\*** | | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end<br>of period** |
| &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | &nbsp;&nbsp;&nbsp;**Resource Transition Fund** | |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $1187313 | $19249588 | $16520995 | $67890 | \*\* | $— | $150 | $(150) | $3915906 |
| &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $26840502 | $439500000 | $439773000 | $852477 |  | $— | $27455 | $(31855) | $26563102 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kosmos Energy Ltd. | 76344437 | 18455091 | 19379136 |  |  |  | (1261526) | (45346904) | 28811962 |
| &nbsp;&nbsp;&nbsp; Totals | $103184939 | $457955091 | $459152136 | $852477 |  | $— | $(1234071) | $(45378759) | $55375064 |
| &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $9943792 | $65151136 | $59950000 | $476148 |  | $— | $7738 | $(6337) | $15146329 |
| &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $460172 | $8304511 | $7814500 | $36726 |  | $— | $400 | $— | $950583 |
| &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $2208334 | $11915044 | $14107000 | $66059 |  | $— | $(200) | $— | $16178 |
| &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | $84397 | $600000 | $683000 | $3186 |  | $— | $169 | $(169) | $1397 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2025 through November 30, 2025. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2026. 

\*\* 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 $669 in Resource Transition Fund during the period. 

<sup>\*\*\*</sup>

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)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS —18.6%** | **DEBT OBLIGATIONS —18.6%** |
| | **U.S. Government — 18.6%** | **U.S. Government — 18.6%** |
| 4425000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 <sup>(a)</sup> | 4423788 |
| 4855000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 <sup>(a)</sup> | 4853517 |
|  | Total U.S. Government | 9277305 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $9,281,782) | 9277305 |
|  | **SHORT-TERM INVESTMENTS — 78.7%** | **SHORT-TERM INVESTMENTS — 78.7%** |
|  | **Money Market Funds — 2.6%** | **Money Market Funds — 2.6%** |
| 1313999 | State Street Institutional Treasury Money<br> Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 1313999 |
|  | **Repurchase Agreements — 76.1%** | **Repurchase Agreements — 76.1%** |
| 37999193 | Nomura Securities International, Inc.<br>Repurchase Agreement, dated 11/28/25 maturing on 12/01/25 with a maturity value of $38,011,986 and an effective yield of 4.04%, collateralized by a U.S. Treasury Note with maturity date 03/31/27 and a market value of $38,795,950. | 37999193 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $39,313,192) | 39313192 |
|  | **TOTAL INVESTMENTS — 97.3%**<br> (Cost $48,594,974) | **48590497** |
|  | Other Assets and Liabilities (net) — 2.7% | 1360258 |
|  | **TOTAL NET ASSETS —100.0%** | **$49950755** |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 120 | U.S. Long Bond (CBT) | March 2026 | 14092500 | 95458 |
| 121 | U.S. Treasury Note 10 Yr. (CBT) | March 2026 | 13714594 | 50887 |
| 56 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 11696125 | 4310 |
| 254 | U.S. Treasury Note 5 Yr. (CBT) | March 2026 | 27880469 | 63203 |
| 257 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2026 | 29864203 | 180364 |
| 87 | U.S. Ultra Bond (CBT) | March 2026 | 10521562 | 84153 |
|  |  |  | $107769453 | $478375 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2025, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap
contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  |  | **DEBT OBLIGATIONS — 95.1%** | **DEBT OBLIGATIONS — 95.1%** |
|  | | **Albania — 1.0%** | **Albania — 1.0%** |
|  | | **Corporate Debt — 0.9%** | **Corporate Debt — 0.9%** |
|  EUR | 17500000 | Delphos Securities SARL - Compartment Bernina, 7.63%, due 04/08/35 | 19926661 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  EUR | 2610000 | Albania Government International Bonds,<br>Reg S, 4.75%, due 02/14/35 | 3098563 |
|  |  | Total Albania | &nbsp;&nbsp;&nbsp;&nbsp;23025224 |
|  |  | **Angola — 0.5%** | **Angola — 0.5%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  | 6500000 | Angola Government International Bonds,<br>Reg S, 9.38%, due 05/08/48 | 5655000 |
|  | 7200000 | Angola Government International Bonds,<br>Reg S, 9.13%, due 11/26/49 | 6111000 |
|  |  | Total Angola | 11766000 |
|  |  | **Argentina — 3.4%** | **Argentina — 3.4%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.4%** | **Sovereign and Sovereign Agency Issuers — 3.4%** |
|  EUR | 2802546 | Argentina Government International Bonds, Step Up, 4.00%, due 07/09/46 | 2110505 |
|  | 404274 | Argentina Republic Government International Bonds, 1.00%, due 07/09/29 | 334484 |
|  | 13890794 | Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30 | 11487687 |
|  JPY | 255250796 | Argentina Republic Government International Bonds, 4.33%, due 12/31/33 <sup>(a)</sup> | 302304 |
|  EUR | 7800000 | Argentina Republic Government International Bonds, Step Up, 3.88%, due 07/09/35 | 6145445 |
|  EUR | 12360000 | Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38 | 10146912 |
|  JPY | 246273000 | Argentina Republic Government International Bonds, 0.67%, due 12/31/38 <sup>(a)</sup> | 275905 |
|  EUR | 11268000 | Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41 <sup>(b)</sup> | 8394036 |
|  | 722000 | Argentina Republic Government International Bonds, Step Up, 3.50%, due 07/09/41 | 481213 |
|  | 57422591 | Argentina Republic Government International Bonds, Step Up, 4.13%, due 07/09/46 | 39564165 |
|  |  | Total Argentina | 79242656 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Armenia — 0.5%** | **Armenia — 0.5%** |
| | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
| 4800000 | Republic of Armenia International Bonds, Reg S, 3.60%, due 02/02/31 | 4356000 |
| 7200000 | Republic of Armenia International Bonds, Reg S, 6.75%, due 03/12/35 | 7457400 |
|  | Total Armenia | 11813400 |
|  | **Bahamas — 0.5%** | **Bahamas — 0.5%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
| 10170000 | Bahamas Government International Bonds, 144A, 8.25%, due 06/24/36 | 11019195 |
|  | **Bahrain — 2.4%** | **Bahrain — 2.4%** |
|  | **Sovereign and Sovereign Agency Issuers — 2.4%** | **Sovereign and Sovereign Agency Issuers — 2.4%** |
| 4870000 | Bahrain Government International Bonds, 144A, 6.63%, due 10/06/37 | 4885341 |
| 37296000 | Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44 <sup>(b)</sup> | 33892740 |
| 17350000 | Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51 <sup>(b)</sup> | 15869871 |
|  | Total Bahrain | &nbsp;&nbsp;&nbsp;&nbsp;54647952 |
|  | **Barbados — 0.7%** | **Barbados — 0.7%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.7%** | **Sovereign and Sovereign Agency Issuers — 0.7%** |
| 14900000 | Barbados Government International Bonds, 144A, 8.00%, due 06/26/35 | 15615200 |
|  | **Belarus — 0.8%** | **Belarus — 0.8%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
| 7504000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 <sup>(c)</sup> | 4277280 |
| 18400000 | Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 <sup>(a)(c)</sup> | 14168000 |
|  | Total Belarus | 18445280 |
|  | **Bolivia — 0.3%** | **Bolivia — 0.3%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
| 7600000 | Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 <sup>(b)</sup> | 6979650 |
|  | **Brazil — 2.3%** | **Brazil — 2.3%** |
|  | **Corporate Debt — 1.2%** | **Corporate Debt — 1.2%** |
| 1657000 | Braskem America Finance Co., Reg S, 7.13%, due 07/22/41 | 578144 |
| 3540000 | Braskem Netherlands Finance BV, Reg S, 4.50%, due 01/31/30 | 1256700 |
| 11010000 | Braskem Netherlands Finance BV, Reg S, 8.50%, due 01/12/31 <sup>(b)</sup> | 4023054 |
| 30372000 | Braskem Netherlands Finance BV, Reg S, 8.00%, due 10/15/34 | 10888970 |
| 3000000 | Yinson Bergenia Production BV, 144A, 8.50%, due 01/31/45 | 3139500 |
| 6357463 | Yinson Boronia Production BV, Reg S, 8.95%, due 07/31/42 | 6910435 |
|  |  | 26796803 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Brazil — continued** | **Brazil — continued** |
|  | | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
|  | 4140000 | Brazil Government International Bonds, 4.75%, due 01/14/50 | 3061530 |
|  | 1808000 | Brazil Government International Bonds, 7.25%, due 01/12/56 | 1804384 |
|  | 13375000 | Kinetics LNG Holdings Ltd., Reg S, 9.88%, due 11/13/29 | 13439767 |
|  BRL | 41418104 | Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 <sup>(d)</sup> | 7267898 |
|  |  |  | 25573579 |
|  |  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;52370382 |
|  |  | **Bulgaria — 0.1%** | **Bulgaria — 0.1%** |
|  |  | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
|  EUR | 2500000 | Eastern European Electric Co. BV, 144A, 6.50%, due 05/15/30 | 3038666 |
|  |  | **Cameroon — 0.8%** | **Cameroon — 0.8%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  EUR | 20550000 | Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32 | 19461252 |
|  |  | **Chile — 1.6%** | **Chile — 1.6%** |
|  |  | **Corporate Debt — 1.0%** | **Corporate Debt — 1.0%** |
|  | 15951000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 <sup>(e)</sup> | 15483636 |
|  | 5765000 | EnfraGen Energia Sur SA/EnfraGen Spain SA/Prime Energia SpA, Reg S, 5.38%, due 12/30/30 | 5354244 |
|  | 2800000 | EnfraGen Energia Sur SAU/EnfraGen Chile SpA/EnfraGen Spain SAU, 144A, 8.50%, due 06/30/32 | 2893828 |
|  |  |  | 23731708 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  | 2400000 | Chile Government International Bonds, 3.10%, due 05/07/41 | 1863000 |
|  | 4985275 | Chile Electricity Lux MPC II SARL, Reg S, 5.58%, due 10/20/35 | 5122495 |
|  | 8650000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 7231054 |
|  |  |  | 14216549 |
|  |  | Total Chile | 37948257 |
|  |  | **China — 0.0%** | **China — 0.0%** |
|  |  | **Corporate Debt — 0.0%** | **Corporate Debt — 0.0%** |
|  | 10200000 | China Evergrande Group, Reg S, 11.50%, due 01/22/23 <sup>(c)</sup> | 147900 |
|  | 13000000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 <sup>(c)</sup> | 143000 |
|  | 6800000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 <sup>(c)</sup> | 74800 |
|  | 5500000 | Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 <sup>(c)</sup> | 61875 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **China — continued** | **China — continued** |
|  | | **Corporate Debt — continued** | **Corporate Debt — continued** |
|  | 1900000 | Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 <sup>(c)</sup> | 21375 |
|  | 3300000 | Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 <sup>(c)</sup> | 37125 |
|  | 3700000 | Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 <sup>(c)</sup> | 41625 |
|  |  | Total China | 527700 |
|  |  | **Colombia — 4.7%** | **Colombia — 4.7%** |
|  |  | **Corporate Debt — 0.3%** | **Corporate Debt — 0.3%** |
|  COP | 27666301432 | PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36 | 6279191 |
|  |  | **Sovereign and Sovereign Agency Issuers — 4.4%** | **Sovereign and Sovereign Agency Issuers — 4.4%** |
|  | 992000 | Colombia Government International Bonds, 8.38%, due 02/15/27 <sup>(e)</sup> | 1019692 |
|  | 2800000 | Colombia Government International Bonds, 11.85%, due 03/09/28 <sup>(e)</sup> | 3140733 |
|  | 60600000 | Colombia Government International Bonds, 5.63%, due 02/26/44 | 49328400 |
|  | 21970000 | Colombia Government International Bonds, 5.00%, due 06/15/45 | 16323710 |
|  | 8000000 | Colombia Government International Bonds, 5.20%, due 05/15/49 | 5940000 |
|  | 29940000 | Ecopetrol SA, 5.88%, due 05/28/45 | 22624161 |
|  COP | 18236000000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 4434057 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;102810753 |
|  |  | Total Colombia | 109089944 |
|  |  | **Congo Republic (Brazzaville) — 1.0%** | **Congo Republic (Brazzaville) — 1.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
|  | 25202512 | Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 <sup>(a) (b)</sup> | 23272000 |
|  |  | **Costa Rica — 1.1%** | **Costa Rica — 1.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
|  | 5260000 | Costa Rica Government International Bonds, Reg S, 7.00%, due 04/04/44 | 5680800 |
|  | 18931000 | Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45 | 20639523 |
|  |  | Total Costa Rica | 26320323 |
|  |  | **Cote D'Ivoire — 0.6%** | **Cote D'Ivoire — 0.6%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  EUR | 14450000 | Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48 | 14805311 |
|  |  | **Czech Republic — 0.2%** | **Czech Republic — 0.2%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 4058000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | 3816184 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Dominican Republic — 2.0%** | **Dominican Republic — 2.0%** |
|  | | **Corporate Debt — 0.2%** | **Corporate Debt — 0.2%** |
|  | 3375000 | Polaris Renewable Energy, Inc., 9.50%, due 12/03/29 | 3477937 |
|  |  | **Sovereign and Sovereign Agency Issuers —1.8%** | **Sovereign and Sovereign Agency Issuers —1.8%** |
|  DOP | 273000000 | Dominican Republic Central Bank Notes, 144A, 13.00%, due 01/30/26 | 4374105 |
|  DOP | 60500000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 1159752 |
|  | 3810000 | Dominican Republic International Bonds, 144A, 5.88%, due 10/28/35 | 3802380 |
|  DOP | 230000000 | Dominican Republic International Bonds, Reg S, 10.75%, due 06/01/36 | 3968078 |
|  | 1000000 | Dominican Republic International Bonds, Reg S, 5.30%, due 01/21/41 | 896875 |
|  | 32254000 | Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60 | 28738314 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;42939504 |
|  |  | Total Dominican Republic | 46417441 |
|  |  | **Ecuador — 3.0%** | **Ecuador — 3.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.0%** | **Sovereign and Sovereign Agency Issuers — 3.0%** |
|  | 3546892 | Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30 | 3004217 |
|  | 21956250 | Ecuador Government International Bonds, Reg S, Step Up, 6.90%, due 07/31/30 | 21352453 |
|  | 34135988 | Ecuador Government International Bonds, Reg S, Step Up, 6.90%, due 07/31/35 | 29152134 |
|  | 20281750 | Ecuador Government International Bonds, Reg S, Step Up, 5.00%, due 07/31/40 | 15312721 |
|  | 2048958 | Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35 | 1459432 |
|  |  | Total Ecuador | 70280957 |
|  |  | **Egypt — 2.6%** | **Egypt — 2.6%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.6%** | **Sovereign and Sovereign Agency Issuers — 2.6%** |
|  | 18970000 | Egypt Government International Bonds, Reg S, 8.50%, due 01/31/47 | 17713238 |
|  | 19230000 | Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49 | 18208502 |
|  | 26564000 | Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59 | 23409525 |
|  |  | Total Egypt | 59331265 |
|  |  | **El Salvador — 0.6%** | **El Salvador — 0.6%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  | 16340000 | El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50 | 14681490 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Ethiopia — 0.1%** | **Ethiopia — 0.1%** |
| | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 2690000 | Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24 <sup>(c)</sup> | 2891750 |
|  | **Gabon — 0.6%** | **Gabon — 0.6%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
| 1900000 | Gabon Blue Bond Master Trust, Reg S, 6.10%, due 08/01/38 | 1937031 |
| 5800000 | Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31 | 4364500 |
| 9600000 | Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31 | 7178400 |
|  | Total Gabon | &nbsp;&nbsp;&nbsp;&nbsp;13479931 |
|  | **Ghana — 1.9%** | **Ghana — 1.9%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.9%** | **Sovereign and Sovereign Agency Issuers — 1.9%** |
| 1264000 | Ghana Government International Bonds, Reg S, Zero Coupon, due 07/03/26 | 1232400 |
| 10418000 | Ghana Government International Bonds, Step Up, Reg S, 5.00%, due 07/03/29 | 10183595 |
| 4069108 | Ghana Government International Bonds, Reg S, Zero Coupon, due 01/03/30 | 3540124 |
| 27492000 | Ghana Government International Bonds,<br> Step Up, Reg S, 5.00%, due 07/03/35 | 24313328 |
| 6469919 | Saderea DAC, Reg S, 12.50%, due 11/30/26 <sup>(c)</sup> | 4984232 |
|  | Total Ghana | 44253679 |
|  | **Grenada — 0.1%** | **Grenada — 0.1%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 3274814 | Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30 | 3153875 |
|  | **Guatemala —1.6%** | **Guatemala —1.6%** |
|  | **Corporate Debt — 0.3%** | **Corporate Debt — 0.3%** |
| 8210000 | Threelands Energy Ltd. SARL, 144A, 7.45%, due 10/20/35 | 8223176 |
|  | **Sovereign and Sovereign Agency Issuers — 1.3%** | **Sovereign and Sovereign Agency Issuers — 1.3%** |
| 3315000 | Guatemala Government Bonds, Reg S, 8.13%, due 10/06/34 | 3792360 |
| 4860000 | Guatemala Government Bonds, Reg S, 6.60%, due 06/13/36 | 5196555 |
| 830000 | Guatemala Government Bonds, 144A, 6.25%, due 08/15/36 | 863407 |
| 20810000 | Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50 | 20194024 |
|  |  | 30046346 |
|  | Total Guatemala | 38269522 |
|  | **Honduras — 0.1%** | **Honduras — 0.1%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 1531000 | Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30 | 1496553 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Hungary — 2.2%** | **Hungary — 2.2%** |
| | **Sovereign and Sovereign Agency Issuers — 2.2%** | **Sovereign and Sovereign Agency Issuers — 2.2%** |
| 34230000 | Hungary Government International Bonds, Reg S, 5.50%, due 03/26/36 | 34238557 |
| 18900000 | Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51 | 11708550 |
| 4250000 | Hungary Government International Bonds, 144A, 6.75%, due 09/23/55 | 4479500 |
|  | Total Hungary | 50426607 |
|  | **India — 1.0%** | **India — 1.0%** |
|  | **Corporate Debt — 1.0%** | **Corporate Debt — 1.0%** |
| 16057116 | Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.70%, due 03/12/42 <sup>(b)</sup> | 15545295 |
| 8705250 | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharashtra, Reg S, 4.63%, due 10/15/39 | 7416873 |
|  | Total India | 22962168 |
|  | **Indonesia — 0.1%** | **Indonesia — 0.1%** |
|  | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
| 2809200 | LLPL Capital Pte. Ltd., Reg S, 6.88%, due 02/04/39 | 2926835 |
|  | **Iraq — 0.4%** | **Iraq — 0.4%** |
|  | **Corporate Debt — 0.4%** | **Corporate Debt — 0.4%** |
| 9350000 | Pearl Petroleum Co. Ltd., Reg S, 13.00%, due 05/15/28 | 10125302 |
|  | **Israel — 1.0%** | **Israel — 1.0%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
| 13983000 | Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96 | 18609835 |
| 8050000 | State of Israel, Reg S, 3.80%, due 05/13/60 | 5503946 |
|  | Total Israel | 24113781 |
|  | **Jamaica — 0.9%** | **Jamaica — 0.9%** |
|  | **Corporate Debt — 0.9%** | **Corporate Debt — 0.9%** |
| 21100000 | NCB Financial Group Ltd., Reg S, 11.00%, due 07/31/30 | 21300239 |
|  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
| 505000 | Jamaica Government International Bonds, 7.88%, due 07/28/45 | 606088 |
|  | Total Jamaica | 21906327 |
|  | **Jordan — 1.1%** | **Jordan — 1.1%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 3000000 | Jordan Government International Bonds, 144A, 5.75%, due 11/12/32 | 2951250 |
| 21455000 | Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47 | 21417454 |
|  | Total Jordan | 24368704 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Kazakhstan — 0.8%** | **Kazakhstan — 0.8%** |
|  | | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  KZT | 1919000000 | Development Bank of Kazakhstan JSC, 144A, 18.40%, due 10/16/28 | 3753335 |
|  | 5000000 | Kazakhstan Government International Bonds, 144A, 5.50%, due 07/01/37 | 5120100 |
|  | 9080000 | KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48 | 9194136 |
|  |  | Total Kazakhstan | 18067571 |
|  |  | **Kenya — 1.3%** | **Kenya — 1.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.3%** | **Sovereign and Sovereign Agency Issuers — 1.3%** |
|  | 4700000 | Republic of Kenya Government International Bonds, Reg S, 9.50%, due 03/05/36 | 4756400 |
|  | 27074000 | Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48 <sup>(b)</sup> | 24813321 |
|  |  | Total Kenya | 29569721 |
|  |  | **Kyrgyzstan — 0.2%** | **Kyrgyzstan — 0.2%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 3860000 | Kyrgyz Republic International Bonds, 144A, 7.75%, due 06/03/30 | 3890156 |
|  |  | **Lao Peoples Democratic Republic — 0.31%** | **Lao Peoples Democratic Republic — 0.31%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 5800000 | Laos Government International Bonds, 144A, 11.25%, due 11/12/30 | 5848212 |
|  |  | **Latvia — 0.3%** | **Latvia — 0.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 6850000 | Latvia Government International Bonds, Reg S, 5.13%, due 07/30/34 | 7073515 |
|  |  | **Lebanon — 1.2%** | **Lebanon — 1.2%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.2%** | **Sovereign and Sovereign Agency Issuers — 1.2%** |
|  | 5047000 | Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 <sup>(c)</sup> | 1110340 |
|  | 55005000 | Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 <sup>(c)</sup> | 12073597 |
|  | 13300000 | Lebanon Government International Bonds, Reg S, 8.20%, due 05/17/33 <sup>(c)</sup> | 2919350 |
|  | 51714000 | Lebanon Government International Bonds, Reg S, 8.25%, due 05/17/34 <sup>(c)</sup> | 11351223 |
|  |  | Total Lebanon | 27454510 |
|  |  | **Mexico — 6.3%** | **Mexico — 6.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 6.3%** | **Sovereign and Sovereign Agency Issuers — 6.3%** |
|  | 4800000 | Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49 | 4111896 |
|  GBP | 50806000 | Mexico Government International Bonds, 5.63%, due 03/19/2114 | 51187117 |
|  | 4700000 | Petroleos Mexicanos, Reg S, 6.63% <sup>(f)</sup> | 3513250 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Mexico — continued** | **Mexico — continued** |
| | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
| 99700000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 88902490 |
|  | Total Mexico | 147714753 |
|  | **Mongolia — 0.4%** | **Mongolia — 0.4%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
| 8290000 | Development Bank of Mongolia LLC, Reg S, 8.50%, due 07/03/28 | 8432422 |
|  | **Montenegro — 0.1%** | **Montenegro — 0.1%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 1200000 | Montenegro Government International Bonds, Reg S, 7.25%, due 03/12/31 | 1286316 |
|  | **Morocco — 0.2%** | **Morocco — 0.2%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
| 5700000 | Morocco Government International Bonds, Reg S, 4.00%, due 12/15/50 | 4152094 |
|  | **Mozambique — 0.3%** | **Mozambique — 0.3%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
| 9076000 | Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31 | 7701531 |
|  | **Nigeria — 1.1%** | **Nigeria — 1.1%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 4400000 | Nigeria Government International Bonds, 144A, 9.13%, due 01/13/46 | 4666200 |
| 22150000 | Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51 | 21419050 |
|  | Total Nigeria | 26085250 |
|  | **Oman — 1.0%** | **Oman — 1.0%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
| 21790000 | Oman Government International Bonds, Reg S, 6.75%, due 01/17/48 | 24200628 |
|  | **Pakistan — 0.5%** | **Pakistan — 0.5%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
| 6240000 | Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36 | 5967000 |
| 2900000 | Pakistan Government International Bonds, Reg S, 8.88%, due 04/08/51 | 2776750 |
| 1946000 | Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31 | 1838362 |
|  | Total Pakistan | 10582112 |
|  | **Panama — 1.2%** | **Panama — 1.2%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.2%** | **Sovereign and Sovereign Agency Issuers — 1.2%** |
| 8937000 | Panama Government International Bonds, 8.13%, due 04/28/34 | 10232865 |
| 4600000 | Panama Government International Bonds, 4.50%, due 04/16/50 | 3497150 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Panama — continued** | **Panama — continued** |
|  | | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
|  | 19420000 | Panama Government International Bonds, 4.50%, due 04/01/56 | 14487320 |
|  |  | Total Panama | 28217335 |
|  |  | **Peru — 2.4%** | **Peru — 2.4%** |
|  |  | **Corporate Debt — 0.4%** | **Corporate Debt — 0.4%** |
|  | 9421256 | Peru LNG SRL, Reg S, 5.38%, due 03/22/30 | 9088592 |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.0%** | **Sovereign and Sovereign Agency Issuers — 2.0%** |
|  | 4800000 | Peru Government International Bonds, 3.60%, due 01/15/72 | 3099600 |
|  | 63145000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 44546903 |
|  |  |  | 47646503 |
|  |  | Total Peru | 56735095 |
|  |  | **Philippines — 0.5%** | **Philippines — 0.5%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  | 3500000 | Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 <sup>(e)</sup> | 5035610 |
|  | 9400000 | Philippines Government International Bonds, 3.20%, due 07/06/46 | 6815000 |
|  |  | Total Philippines | 11850610 |
|  |  | **Poland — 3.3%** | **Poland — 3.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.3%** | **Sovereign and Sovereign Agency Issuers — 3.3%** |
|  | 33900000 | Republic of Poland Government International Bonds, 5.13%, due 09/18/34 | 34857675 |
|  | 30000000 | Republic of Poland Government International Bonds, 5.38%, due 02/12/35 | 31236300 |
|  | 11700000 | Republic of Poland Government International Bonds, 5.50%, due 03/18/54 | 11398725 |
|  |  | Total Poland | 77492700 |
|  |  | **Romania — 3.7%** | **Romania — 3.7%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.7%** | **Sovereign and Sovereign Agency Issuers — 3.7%** |
|  | 7548000 | Romania Government International Bonds, Reg S, 6.38%, due 01/30/34 | 7785762 |
|  | 34450000 | Romania Government International Bonds, Reg S, 5.75%, due 03/24/35 | 33695200 |
|  | 9710000 | Romania Government International Bonds, Reg S, 6.63%, due 05/16/36 | 10025575 |
|  EUR | 4500000 | Romania Government International Bonds, Reg S, 2.88%, due 04/13/42 | 3480493 |
|  EUR | 18200000 | Romania Government International Bonds, 144A, 6.50%, due 10/07/45 | 21000106 |
|  EUR | 2000000 | Romania Government International Bonds, Reg S, 3.38%, due 01/28/50 | 1486176 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Romania — continued** | **Romania — continued** |
|  | | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
|  | 12460000 | Romania Government International Bonds, Reg S, 4.00%, due 02/14/51 | 8530490 |
|  |  | Total Romania | 86003802 |
|  |  | **Russia — 0.0%** | **Russia — 0.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  | 6870000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 <sup>(c)(e)(g)</sup> | 3435 |
|  | 5200000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 <sup>(c)(e)(g)</sup> | 2600 |
|  | 6800000 | GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 <sup>(c)(e)(g)</sup> | 3400 |
|  | 20000000 | Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 <sup>(c) (e) (g)</sup> | 10000 |
|  | 6400000 | Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 <sup>(c) (e) (g)</sup> | 3200 |
|  |  | Total Russia | 22635 |
|  |  | **Rwanda** — **0.2%** | **Rwanda** — **0.2%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 4350000 | Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31 | 3978901 |
|  |  | **Saudi Arabia** — **2.0%** | **Saudi Arabia** — **2.0%** |
|  |  | **Corporate Debt** — **0.2%** | **Corporate Debt** — **0.2%** |
|  | 3401255 | Acwa Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39 | 3485232 |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.8%** | **Sovereign and Sovereign Agency Issuers — 1.8%** |
|  | 8900000 | Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47 | 7842502 |
|  | 8400000 | Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53 | 7678860 |
|  | 11440000 | Saudi Government International Bonds, Reg S, 3.75%, due 01/21/55 | 8345480 |
|  | 28600000 | Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61 | 18929768 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;42796610 |
|  |  | Total Saudi Arabia | 46281842 |
|  |  | **Senegal — 0.5%** | **Senegal — 0.5%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  EUR | 3500000 | Senegal Government International Bonds, Reg S, 4.75%, due 03/13/28 | 2985000 |
|  | 15050000 | Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48 | 8442147 |
|  |  | Total Senegal | 11427147 |
|  |  | **Serbia — 0.8%** | **Serbia — 0.8%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 18500000 | Serbia International Bonds, Reg S, 6.00%, due 06/12/34 | 19221515 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **South Africa — 1.9%** | **South Africa — 1.9%** |
|  | | **Sovereign and Sovereign Agency Issuers — 1.9%** | **Sovereign and Sovereign Agency Issuers — 1.9%** |
|  ZAR | 150350000 | Eskom Holdings, Zero Coupon, due 12/31/32 | 3301835 |
|  | 46120000 | Republic of South Africa Government<br> International Bonds, 5.75%, due 09/30/49 | 38948340 |
|  ZAR | 20200000 | Transnet, Reg S, 13.50%, due 04/18/28 | 1266097 |
|  |  | Total South Africa | 43516272 |
|  |  | **Sri Lanka —1.5%** | **Sri Lanka —1.5%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.5%** | **Sovereign and Sovereign Agency Issuers — 1.5%** |
|  | 4621404 | Sri Lanka Government International Bonds, Reg S, 4.00%, due 04/15/28 <sup>(b)</sup> | 4422684 |
|  | 1822885 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.10%, due 01/15/30 | 1715791 |
|  | 11631276 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.35%, due 03/15/33 | 10084316 |
|  | 8235292 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 06/15/35 | 6249557 |
|  | 2715484 | Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36 <sup>(b)</sup> | 2468375 |
|  | 11435771 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 02/15/38 | 10475166 |
|  |  | Total Sri Lanka | &nbsp;&nbsp;&nbsp;&nbsp;35415889 |
|  |  | **SupraNational — 0.3%** | **SupraNational — 0.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  NGN | 1891000000 | Asian Development Bank, 20.00%, due 03/27/26 | 1317634 |
|  NGN | 3450000000 | European Bank for Reconstruction & Development, 21.00%, due 07/21/26 | 2388518 |
|  NGN | 4325000000 | European Bank for Reconstruction & Development, 22.50%, due 07/31/26 | 3045723 |
|  |  | Total SupraNational | 6751875 |
|  |  | **Suriname — 0.4%** | **Suriname — 0.4%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 8195000 | Suriname Government International Bonds, Reg S, Variable Rate, 9.00%, due 12/31/50 | 9784830 |
|  |  | **Tajikistan — 0.1%** | **Tajikistan — 0.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  | 1916000 | Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27 | 1904025 |
|  |  | **Trinidad And Tobago — 1.1%** | **Trinidad And Tobago — 1.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
|  | 20329000 | Port of Spain Waterfront Development, Reg S, 7.88%, due 02/19/40 | 20298710 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Trinidad And Tobago — continued** | **Trinidad And Tobago — continued** |
|  | | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
|  | 5822000 | Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29 | 5919518 |
|  |  | Total Trinidad And Tobago | 26218228 |
|  |  | **Tunisia —1.5%** | **Tunisia —1.5%** |
|  |  | **Sovereign and Sovereign Agency Issuers —1.5%** | **Sovereign and Sovereign Agency Issuers —1.5%** |
|  JPY | 5411700000 | Tunisian Republic, 4.30%, due 08/02/30 <sup>(a)</sup> | 30877230 |
|  JPY | 190000000 | Tunisian Republic, 4.20%, due 03/17/31 <sup>(a)</sup> | 1070388 |
|  JPY | 730000000 | Tunisian Republic, 3.50%, due 02/03/33 | 3861352 |
|  |  | Total Tunisia | 35808970 |
|  |  | **Turkey — 4.6%** | **Turkey — 4.6%** |
|  |  | **Corporate Debt —1.6%** | **Corporate Debt —1.6%** |
|  | 42350000 | Zorlu Enerji Elektrik Uretim AS, Reg S, 11.00%, due 04/23/30 | &nbsp;&nbsp;&nbsp;&nbsp;36105916 |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.0%** | **Sovereign and Sovereign Agency Issuers — 3.0%** |
|  | 6200000 | Turkiye Government International Bonds, 6.80%, due 11/04/36 | 6231214 |
|  | 28600000 | Turkiye Government International Bonds, 4.88%, due 04/16/43 | 22014850 |
|  | 50713000 | Turkiye Government International Bonds, 5.75%, due 05/11/47 | 41700286 |
|  |  | Total Turkey | 69946350 |
|  |  |  | 106052266 |
|  |  | **Ukraine — 1.7%** | **Ukraine — 1.7%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.7%** | **Sovereign and Sovereign Agency Issuers — 1.7%** |
|  | 5000000 | NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 <sup>(c)</sup> | 4150000 |
|  | 2211014 | Ukraine Government International Bonds, Step Up, Reg S, Zero Coupon, due 02/01/30 | 1226007 |
|  | 18426157 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/34 | 8420754 |
|  | 4022412 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/34 | 2353111 |
|  | 7982158 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/35 | 4493955 |
|  | 13555124 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/35 | 7807752 |
|  | 5818464 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/36 | 3264158 |
|  | 14953917 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/36 | 8486348 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Ukraine — continued** | **Ukraine — continued** |
| | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
| 211141 | Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 <sup>(c)</sup> | 142520 |
|  | Total Ukraine | 40344605 |
|  | **United Arab Emirates — 1.0%** | **United Arab Emirates — 1.0%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
| 10700000 | Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49 | 7808325 |
| 8300000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 5804854 |
| 12500000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 9188625 |
|  | Total United Arab Emirates | &nbsp;&nbsp;&nbsp;&nbsp;22801804 |
|  | **United States — 2.8%** | **United States — 2.8%** |
|  | **Asset-Backed Securities — 0.2%** | **Asset-Backed Securities — 0.2%** |
| 334982 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 4.31%, due 12/15/35 | 326328 |
| 9788 | CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 4.31%, due 12/15/35 | 9790 |
| 308237 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 4.27%, due 05/15/36 | 299135 |
| 5572250 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 4.22%, due 11/25/36 | 1790331 |
| 5622450 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 4.29%, due 11/25/36 | 1806485 |
| 2852654 | WaMu Asset-Backed Certificates WaMu Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.83%, 4.79%, due 04/25/37 | 1037639 |
|  |  | 5269708 |
|  | **U.S. Government — 2.6%** | **U.S. Government — 2.6%** |
| 15000000 | U.S. Treasury Bonds, 4.25%, due 08/15/54 <sup>(h)</sup> | 13969336 |
| 38000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 | 37988395 |
| 8300000 | U.S. Treasury Notes, 3.88%, due 11/30/27 | 8358359 |
|  |  | 60316090 |
|  | Total United States | 65585798 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Uruguay — 0.4%** | **Uruguay — 0.4%** |
|  | | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 1900000 | Oriental Republic of Uruguay, 5.25%, due 09/10/60 | 1808800 |
|  UYU | 85300000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 2387812 |
|  UYU | 146000000 | Uruguay Government International Bonds, 8.00%, due 10/29/35 | 3734606 |
|  | 1718000 | Uruguay Government International Bonds, 5.10%, due 06/18/50 | 1644126 |
|  |  | Total Uruguay | 9575344 |
|  |  | **Uzbekistan —1.3%** | **Uzbekistan —1.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.3%** | **Sovereign and Sovereign Agency Issuers — 1.3%** |
|  | 3300000 | Jscb Agrobank, Reg S, 9.25%, due 10/02/29 | 3562977 |
|  | 5200000 | Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30 | 4790110 |
|  | 600000 | Republic of Uzbekistan International Bonds, Reg S, 6.95%, due 05/25/32 | 644400 |
|  | 5100000 | Uzbek Industrial & Construction Bank ATB, Reg S, 8.95%, due 07/24/29 | 5432010 |
|  | 5900000 | Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28 | 5586563 |
|  | 10590000 | Uzbekneftegaz JSC, Reg S, 8.75%, due 05/07/30 | 11212162 |
|  |  | Total Uzbekistan | 31228222 |
|  |  | **Venezuela — 5.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 5.4%** | **Sovereign and Sovereign Agency Issuers — 5.4%** |
|  | 101165000 | C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 <sup>(a)(c)</sup> | 16114573 |
|  | 9800000 | Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21 <sup>(c)</sup> | 2450000 |
|  | 10497000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 <sup>(c)</sup> | 2550771 |
|  | 64470000 | Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 <sup>(c)</sup> | 17342430 |
|  | 94620000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/49 <sup>(c)</sup> | 22992660 |
|  | 29650000 | Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 <sup>(c)</sup> | 9117375 |
|  | 136793000 | Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 <sup>(c)</sup> | 37276092 |
|  | 59200000 | Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 <sup>(c)</sup> | 18292800 |
|  |  | Total Venezuela | 126136701 |
|  |  | **Vietnam — 0.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 7318000 | Vietnam Government International Bonds, Variable Rate, 6 mo. USD LIBOR + 0.81%, 5.49%, due 03/13/28 <sup>(a)</sup> | 7391180 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Zambia — 0.4%** | **Zambia — 0.4%** |
|  | | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 4540219 | Zambia Government International Bonds, Reg S, Step Up, 5.75%, due 06/30/33 | 4360313 |
|  | 6477950 | Zambia Government International Bonds, Reg S, 0.50%, due 12/31/53 | 4451582 |
|  |  | Total Zambia | 8811895 |
|  |  | TOTAL DEBT OBLIGATIONS<br> (COST $2,380,927,710) | 2214909040 |
|  |  | **LOAN ASSIGNMENTS — 1.0%** | **LOAN ASSIGNMENTS — 1.0%** |
|  |  | **Serbia — 0.6%** | **Serbia — 0.6%** |
|  | 12400000 | Telekom Srbija AD Beograd, Variable Rate, 8.42%, due 06/13/29 <sup>(a)</sup> | 14244456 |
|  |  | **Turkey —0.4%** |  |
|  | 8132142 | Meridiam Eastern Europe Investment S.à.r.l Loan Agreement, 8.85%, due 06/23/28 <sup>(e)</sup> | 9247408 |
|  |  | TOTAL LOAN ASSIGNMENTS<br> (COST $23,113,895) | 23491864 |
|  |  | **LOAN PARTICIPATIONS — 0.1%** | **LOAN PARTICIPATIONS — 0.1%** |
|  |  | **Angola — 0.1%** | **Angola — 0.1%** |
|  | 2635715 | Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 <sup>(a)</sup> | 2599473 |
|  |  | **Iraq — 0.0%** |  |
|  EUR | 280326 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 <sup>(e)</sup> | 307132 |
|  |  | **Russia — 0.0%** |  |
|  EUR | 76893500 | Russian Foreign Trade Obligations, (Participation with GML International Ltd.) <sup>(a)</sup> <sup>(c) (g)</sup> | 3 |
|  |  | **Sudan — 0.0%** |  |
|  CHF | 11833578 | Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) <sup>(a) (c)</sup> | 368372 |
|  CHF | 5155077 | Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) <sup>(a) (c)</sup> | 144427 |
|  |  | Total Sudan | 512799 |
|  |  | TOTAL LOAN PARTICIPATIONS<br> (COST $23,363,931) | 3419407 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
|  | | **INVESTMENT FUNDS — 0.7%** | |
|  | | **Colombia — 0.7%** | |
|  | 9300000 | Bona Fide Investment Holdings II LLC <sup>(e) (i) (j)</sup> | 15318960 |
|  |  | TOTAL INVESTMENT FUNDS<br> (COST $9,300,000) | 15318960 |
|  |  | **RIGHTS/WARRANTS —1.4%** | **RIGHTS/WARRANTS —1.4%** |
|  |  | **Argentina —1.0%** | **Argentina —1.0%** |
|  EUR | 239989676 | Argentina Republic GDP Linked Warrants, Variable Rate, Expires 12/15/35 <sup>(k)</sup> | 22015996 |
|  JPY | 1723445000 | Argentina Republic GDP Linked Warrants, Variable Rate, Expires 12/15/35 <sup>(e) (k)</sup> | 154465 |
|  |  | Total Argentina | 22170461 |
|  |  | **Ukraine — 0.4%** |  |
|  | 10646000 | Ukraine GDP Linked Warrants, Variable Rate, Reg S, Expires 05/31/41<sup>(c)(k)</sup> | 9900780 |
|  |  | TOTAL RIGHTS/WARRANTS<br> (COST $40,863,566) | 32071241 |
|  |  | **SHORT-TERM INVESTMENTS —1.1%** | **SHORT-TERM INVESTMENTS —1.1%** |
|  |  | **Money Market Funds — 0.1%** |  |
|  | 2624114 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(l)</sup> | 2624114 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Repurchase Agreements —1.0%** | **Repurchase Agreements —1.0%** |
| 18999596 | Nomura Securities International, Inc.<br> Repurchase Agreement, dated 11/28/25, maturing on 12/01/25 with a maturity value of $19,005,993 and an effective yield of 4.04%, collateralized by a U.S. Treasury Note with maturity date 03/31/27 and a market value of $19,397,975. | 18999596 |
| 3214363 | Nomura Securities International, Inc.<br> Repurchase Agreement, dated 10/10/25, to be returned on demand at face value plus an effective yield of 3.55%, collateralized by a Suzano Austria GmbH, 3.75%, due 01/15/31 and a market value of $3,254,656. <sup>(m)</sup> | 3214363 |
|  | Total Repurchase Agreements | 22213959 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $24,838,073) | 24838073 |
|  | **TOTAL INVESTMENTS — 99.4%**<br> (Cost $2,502,407,175) | **2314048585** |
|  | **SECURITIES SOLD SHORT — (0.1)%** | **SECURITIES SOLD SHORT — (0.1)%** |
|  | **Corporate Debt — (0.1)%** | **Corporate Debt — (0.1)%** |
|  | **Brazil — (0.1)%** |  |
| (3400000) | Suzano Austria GmbH, 3.75%, due 01/15/31 | (3211266) |
|  | TOTAL CORPORATE DEBT<br> (PROCEEDS $3,162,000) | (3211266) |
|  | **TOTAL SECURITIES SOLD <br>SHORT — (0.1)%**<br> (PROCEEDS $3,162,000) | **(3211266)** |
|  | Other Assets and Liabilities (net) — 0.7% | 18089484 |
|  | **TOTAL NET ASSETS — 100.0%** | **$2328926803** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value as a**<br>**Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30,<br>2025** |
| Bona Fide Investment Holdings II LLC | 06/07/23 | $9300000 | 0.7% | $15318960 |
| GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 04/30/20 | 6718628 | 0.0% | 3435 |
| GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 03/12/21 | 5262098 | 0.0% | 2600 |
| GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 | 01/26/22 | 5890814 | 0.0% | 3400 |
| Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 | 03/21/19 | 20000000 | 0.0% | 10000 |
| Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 | 10/11/19 | 6765011 | 0.0% | 3200 |
| Russian Foreign Trade Obligations, (Participation with GML International Ltd.) | 07/12/07 | 17524215 | 0.0% | 3 |
|  |  |  |  | $15341598 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-**<br>**party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)**<br>**($)** |
| 01/14/2026 | BCLY | EUR | 127070000 | USD | 148344060 | 555887 |
| 01/14/2026 | JPM | EUR | 9100000 | USD | 10615124 | 31411 |
| 01/14/2026 | MSCI | EUR | 2800000 | USD | 3274885 | 18358 |
| 01/15/2026 | BCLY | GBP | 37800000 | USD | 50178290 | 142428 |
| 01/14/2026 | MSCI | JPY | 3983320000 | USD | 26309637 | 698204 |
| 12/02/2025 | MSCI | USD | 4646599 | BRL | 25100000 | 55669 |
| 12/03/2025 | SSB | USD | 1147717 | EUR | 990000 | 1092 |
| 01/15/2026 | MSCI | USD | 3170394 | GBP | 2400000 | 6486 |
| 02/02/2026 | JPM | USD | 4883795 | PEN | 17000000 | 163337 |
| 02/02/2026 | BCLY | USD | 12304845 | TRY | 565100000 | 356205 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-**<br>**party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)**<br>**($)** |
| 01/29/2026 | MSCI | USD | 1707767 | ZAR | 30000000 | 37837 |
| 03/03/2026 | CITI | BRL | 7000000 | USD | 1270740 | (14015) |
| 12/02/2025 | MSCI | BRL | 25100000 | USD | 4622212 | (80055) |
| 03/03/2026 | MSCI | BRL | 25100000 | USD | 4550976 | (55791) |
| 02/13/2026 | JPM | COP | 98825000000 | USD | 25871773 | (193169) |
| 01/14/2026 | SSB | EUR | 6300000 | USD | 7302202 | (24984) |
| 01/15/2026 | SSB | GBP | 5000000 | USD | 6557848 | (60652) |
| 01/20/2026 | JPM | USD | 11686768 | KRW | 16482200000 | (428125) |
|  |  |  |  |  |  | $1210123 |

---

**Reverse Repurchase Agreements<sup>(n)</sup>** 

---

| | | | |
|:---|:---|:---|:---|
| **Face Value** | **Face Value** | **Description** | **Value ($)** |
| USD | (916906) | Morgan Stanley & Co. International PLC, 3.85%, dated 11/13/24, (Collateral: Bolivia Government International<br> Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (916906) |
| USD | (1189412) | Morgan Stanley & Co. International PLC, 3.60%, dated 02/12/25, (Collateral: Bolivia Government International<br> Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (1189412) |
| USD | (1804975) | Morgan Stanley & Co. International PLC, 3.60%, dated 02/19/25, (Collateral: Bolivia Government International<br> Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (1804975) |
| USD | (5923035) | Morgan Stanley & Co. International PLC, 3.90%, dated 03/12/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (5923035) |
| USD | (305271) | Morgan Stanley & Co. International PLC, 3.50%, dated 03/25/25, (Collateral: Bolivia Government International<br> Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (305271) |
| USD | (5752812) | Morgan Stanley & Co. International PLC, 3.90%, dated 05/02/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (5752812) |
| USD | (364522) | Morgan Stanley & Co. International PLC, 3.75%, dated 06/25/25, (Collateral: Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36), to be repurchased on demand at face value plus accrued interest. | (364522) |
| USD | (351993) | Morgan Stanley & Co. International PLC, 3.25%, dated 08/11/25, (Collateral: Bolivia Government International<br> Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (351993) |
| USD | (3052597) | Morgan Stanley & Co. International PLC, 3.60%, dated 10/06/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44), to be repurchased on demand at face value plus accrued interest. | (3052597) |
| USD | (254168) | Morgan Stanley & Co. International PLC, 3.60%, dated 10/17/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (254168) |
| USD | (2941394) | Morgan Stanley & Co. International PLC, 3.35%, dated 11/06/25, (Collateral: Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.70%, due 03/12/42), to be repurchased on demand at face value plus accrued interest. | (2941394) |
| USD | (4829939) | Morgan Stanley & Co. International PLC, 3.40%, dated 11/10/25, (Collateral: Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48), to be repurchased on demand at face value plus accrued interest. | (4829939) |
| USD | (1264241) | Morgan Stanley & Co. International PLC, 3.40%, dated 11/14/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (1264241) |
| USD | (129809) | Morgan Stanley & Co. International PLC, 3.00%, dated 11/17/25, (Collateral: Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29), to be repurchased on demand at face value plus accrued interest. | (129809) |
| USD | (4192148) | Morgan Stanley & Co. International PLC, 3.40%, dated 11/20/25, (Collateral: Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48), to be repurchased on demand at face value plus accrued interest. | (4192148) |
| EUR | (1148457) | Nomura International PLC, 1.50%, dated 11/18/25, (Collateral: Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41), to be repurchased on demand at face value plus accrued interest. | (1148457) |
| USD | (439142) | Nomura International PLC, 3.45%, dated 11/18/25, (Collateral: Braskem Netherlands Finance BV, Reg S, 8.50%, due 01/12/31), to be repurchased on demand at face value plus accrued interest. | (439142) |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Reverse Repurchase Agreements<sup>(n)</sup> — continued** 

---

| | | | |
|:---|:---|:---|:---|
| **Face Value** | **Face Value** | **Description** | **Value ($)** |
| USD | (1459000) | Nomura International, PLC, 3.45%, dated 11/18/25, (Collateral: Sri Lanka Government International Bonds, Reg S, 4.00%, due 04/15/28), to be repurchased on demand at face value plus accrued interest. | (1459000) |
|  |  |  | $(36319821) |
|  |  | Average balance outstanding | $(58128217) |
|  |  | Average interest rate (net) | (3.77)% |
|  |  | Maximum balance outstanding | $(79192918) |

---

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

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  CDX.EM.S43 | USD | 138200000 | 1.00% | 1.24% | N/A | 06/20/2030 | Quarterly | $3552920 | $1338191 | $(2214729) |

---

**OTC Credit Default Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by the<br>Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  Republic of Brazil | MORD | USD | 12700000 | 1.00% | 0.54% | N/A | 12/20/2026 | Quarterly | (63507) | (60850) | 2657 |
|  Republic of Colombia | MSCI | USD | 45300000 | 1.00% | 0.86% | N/A | 12/20/2026 | Quarterly | (125808) | (65045) | 60763 |
|  Republic of South Africa Government International Bonds | JPM | USD | 34300000 | 1.00% | 0.33% | N/A | 12/20/2026 | Quarterly | (234413) | (240269) | (5856) |
|  Republic of Egypt | CITI | USD | 2300000 | 1.00% | 2.04% | N/A | 12/20/2027 | Quarterly | 655500 | 46706 | (608794) |
|  Republic of Egypt | JPM | USD | 2500000 | 1.00% | 2.04% | N/A | 12/20/2027 | Quarterly | 690000 | 50767 | (639233) |
|  Republic of Egypt | JPM | USD | 2500000 | 1.00% | 2.04% | N/A | 12/20/2027 | Quarterly | 725000 | 50767 | (674233) |
|  Kingdom of Bahrain | MORD | USD | 5400000 | 1.00% | 1.24% | N/A | 06/20/2028 | Quarterly | 401901 | 32252 | (369649) |
|  Panama Government International Bonds | CITI | USD | 118200000 | 1.00% | 0.83% | N/A | 06/20/2028 | Quarterly | 672244 | (484798) | (1157042) |
|  Republic of Turkey | MORD | USD | 1600000 | 1.00% | 1.49% | N/A | 06/20/2028 | Quarterly | 350661 | 18989 | (331672) |
|  Israel Government International Bonds | BOA | USD | 9500000 | 1.00% | 0.61% | N/A | 12/20/2029 | Quarterly | 211213 | (141547) | (352760) |
|  Israel Government International Bonds | JPM | USD | 3800000 | 1.00% | 0.61% | N/A | 12/20/2029 | Quarterly | 76240 | (56618) | (132858) |
|  United States of Mexico | MORD | USD | 29400000 | 1.00% | 0.78% | N/A | 12/20/2029 | Quarterly | 273879 | (246266) | (520145) |
|  Republic of South Africa Government International Bonds | MSCI | USD | 21500000 | 1.00% | 1.44% | N/A | 12/20/2030 | Quarterly | 912525 | 429301 | (483224) |
|  United States of Mexico | GS | USD | 14700000 | 1.00% | 1.14% | N/A | 09/20/2031 | Quarterly | 1940881 | 108236 | (1832645) |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**OTC Credit Default Swaps — continued** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by the<br>Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** |
|  Panama Government International Bonds | CITI | USD | 118200000 | 1.00% | 0.83% | 118,200,000 USD | 06/20/2028 | Quarterly | (2251395) | (954367) | 1297028 |
|  |  |  |  |  |  |  |  |  | $4234921 | $(1512742) | $(5747663) |

---

---

| | |
|:---|:---|
| <sup>^</sup> | 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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. 

<sup>(2)</sup> 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**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  USD-SOFR-OIS COMPOUND | 4.01% | USD | 162500000 | 12/21/2027 | Annually | 155081 | 2300770 | 2145689 |
|  BRL-CDI | 15.00% | BRL | 360784572 | 01/02/2029 | At Maturity | 125820 | 5510772 | 5384952 |
|  2.70% | EURIBOR | EUR | 6700000 | 03/20/2034 | Semi-Annually | (20134) | (32818) | (12684) |
|  1.10% | JPY-TONA-OIS-COMPOUND | JPY | 7694000000 | 09/18/2034 | Annually | (96110) | 1814683 | 1910793 |
|  USD-SOFR-OIS COMPOUND | 4.00% | USD | 39000000 | 09/17/2035 | Annually | 1325871 | 1302998 | (22873) |
|  1.40% | THB-THOR | THB | 835000000 | 12/17/2035 | Quarterly | 173060 | 661797 | 488737 |
|  4.60% | GBP-SONIA-COMPOUND | GBP | 25800000 | 09/17/2055 | Annually | (103591) | (1009340) | (905749) |
|  2.80% | EURIBOR | EUR | 32300000 | 12/17/2055 | Semi-Annually | 583056 | 2099346 | 1516290 |
|  |  |  |  |  |  | $2143053 | $12648208 | $10505155 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  JPMorgan EMBIGD ex CCC | USD-SOFR-OIS COMPOUND | JPM | USD | 40500000 | 01/06/2026 | At Maturity | $– $| (435435) | $(435435) |

---

As of November 30, 2025, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

(a) Investment valued using significant unobservable inputs.

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

(c) Security is in default.

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

(e) 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.

(f) Perpetual security with no stated maturity date.

(g) The security is restricted as to resale.

(h) 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, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(i) Affiliated company.

(j) Private placement security; restricted as to resale. Represents investment in a pool of constitutional
obligations of the Colombian government owed to individuals. Share amount represents the Fund's invested capital.

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

(1) The rate disclosed is the 7 day net yield as of November 30, 2025.

(m) The repurchase agreement has an open maturity date and can be closed by either party on demand.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.

CDI - Certificado de Deposito Interbancario

EURIBOR - Euro Interbank Offered Rate

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OIS - Overnight Indexed Swaps

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at August 31, 2025.

THOR - Thai Overnight Repurchase Rate

TONA - Tokyo Overnight Average Rate

USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.

XLCA - Insured as to the payment of principal and interest by XL Capital Assurance.

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N. A.

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 Republic Peso

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

KRW - South Korean Won

KZT - Kazakhstan Tenge

NGN - Nigerian Naira

PEN - Peruvian Sol

THB - Thai Baht

TRY - Turkish Lira

USD - United States Dollar

UYU - Uruguay Peso

ZAR - South African Rand

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 77.2%** | **DEBT OBLIGATIONS — 77.2%** |
| | **Corporate Debt — 24.4%** | |
|  | **Australia — 0.6%** |  |
| 395000 | Fortescue Treasury Pty. Ltd., 144A, 4.50%, due 09/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;393770 |
| 365000 | Mineral Resources Ltd., 144A, 8.00%, due 11/01/27 | 373138 |
|  | Total Australia | 766908 |
|  | **Canada — 2.1%** |  |
| 385000 | Baytex Energy Corp., 144A, 8.50%, due 04/30/30 | 406072 |
| 365000 | Champion Iron Canada, Inc., 144A, 7.88%, due 07/15/32 | 384393 |
| 395000 | goeasy Ltd., 144A, 7.38%, due 10/01/30 | 382296 |
| 415000 | Open Text Holdings, Inc., 144A, 4.13%, due 02/15/30 | 395649 |
| 385000 | RB Global Holdings, Inc., 144A, 6.75%, due 03/15/28 | 394169 |
| 350000 | Sagicor Financial Co. Ltd., 144A, 5.30%, due 05/13/28 | 347818 |
| 400000 | Superior Plus LP/Superior General Partner, Inc., 144A, 4.50%, due 03/15/29 | 386882 |
|  | Total Canada | 2697279 |
|  | **Finland — 0.3%** |  |
| 370000 | Amer Sports Co., 144A, 6.75%, due 02/16/31 | 385726 |
|  | **France — 0.2%** |  |
| 225000 | Forvia SE, 144A, 8.00%, due 06/15/30 | 239700 |
|  | **Hong Kong — 0.1%** |  |
| 200000 | Melco Resorts Finance Ltd., 144A, 5.38%, due 12/04/29 | 193098 |
|  | **Italy — 0.3%** |  |
| 355000 | Telecom Italia Capital SA, 7.20%, due 07/18/36 | 386036 |
|  | **Japan — 0.8%** |  |
| 370000 | Kioxia Holdings Corp., 144A, 6.25%, due 07/24/30 | 380734 |
| 225000 | Nissan Motor Co. Ltd., 144A, 8.13%, due 07/17/35 | 237824 |
| 300000 | Rakuten Group, Inc., 144A, 9.75%, due 04/15/29 | 333357 |
|  | Total Japan | 951915 |
|  | **Macau — 0.3%** |  |
| 350000 | Wynn Macau Ltd., 144A, 5.13%, due 12/15/29 | 342471 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Corporate Debt — continued** | |
| | **Norway — 0.2%** | |
| 225000 | Seadrill Finance Ltd., 144A, 8.38%, due 08/01/30 | 232549 |
|  | **United Kingdom — 0.2%** |  |
| 269000 | Zegona Finance PLC, 144A, 8.63%, due 07/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284975 |
|  | **United States — 19.3%** |  |
| 385000 | Adient Global Holdings Ltd., 144A, 7.00%, due 04/15/28 | 395026 |
| 425000 | Advance Auto Parts, Inc., 3.90%, due 04/15/30 | 390553 |
| 375000 | Allegiant Travel Co., 144A, 7.25%, due 08/15/27 | 379727 |
| 360000 | Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 144A, 8.63%, due 06/15/29 | 379723 |
| 265000 | Arbor Realty SR, Inc., 144A, 7.88%, due 07/15/30 | 266099 |
| 410000 | Boyd Gaming Corp., 144A, 4.75%, due 06/15/31 | 399442 |
| 360000 | Brandywine Operating Partnership LP, 8.88%, due 04/12/29 | 389909 |
| 350000 | BWX Technologies, Inc., 144A, 4.13%, due 06/30/28 | 343373 |
| 380000 | Carnival Corp., 144A, 5.75%, due 08/01/32 | 389543 |
| 410000 | Charles River Laboratories International, Inc., 144A, 3.75%, due 03/15/29 | 395572 |
| 415000 | Clearway Energy Operating LLC, 144A, 3.75%, due 02/15/31 | 386681 |
| 315000 | Cleveland-Cliff's, Inc., 144A, 7.63%, due 01/15/34 | 326852 |
| 390000 | CNX Resources Corp., 144A, 6.00%, due 01/15/29 | 391464 |
| 435000 | Coinbase Global, Inc., 144A, 3.63%, due 10/01/31 | 386717 |
| 395000 | Credit Acceptance Corp., 144A, 6.63%, due 03/15/30 | 392128 |
| 410000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29 | 392722 |
| 350000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 144A, 8.63%, due 03/15/29 | 366855 |
| 320000 | Deluxe Corp., 144A, 8.13%, due 09/15/29 | 337074 |
| 94000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 144A, 5.88%, due 08/15/27 | 94028 |
| 285000 | Elanco Animal Health, Inc., 6.65%, due 08/28/28 | 298718 |
| 275000 | Encore Capital Group, Inc., 144A, 6.63%, due 04/15/31 | 274916 |
| 75000 | Fair Isaac Corp., 144A, 4.00%, due 06/15/28 | 73929 |
| 385000 | FT Al Aviation Investors LLC, 144A, 5.50%, due 05/01/28 | 386495 |
| 250000 | Genting New York LLC/GENNY Capital, Inc., 144A, 7.25%, due 10/01/29 | 258465 |

---

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Corporate Debt — continued** | |
|  | **United States — continued** |  |
| 400000 | GFL Environmental, Inc., 144A, 4.00%, due 08/01/28 | 392169 |
| 300000 | Global Net Lease, Inc., 144A, 4.50%, due 09/30/28 | 292440 |
| 385000 | Gulfport Energy Operating Corp., 144A, 6.75%, due 09/01/29 | 397433 |
| 400000 | Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29 | 388085 |
| 400000 | Howard Hughes Corp., 144A, 4.13%, due 02/01/29 | 388306 |
| 400000 | Ingevity Corp., 144A, 3.88%, due 11/01/28 | 387710 |
| 350000 | Iron Mountain, Inc., 144A, 4.50%, due 02/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;334756 |
| 275000 | Jazz Securities DAC, 144A, 4.38%, due 01/15/29 | 271479 |
| 340000 | Kohl's Corp., 144A, 10.00%, due 06/01/30 | 372013 |
| 360000 | Macy's Retail Holdings LLC, 144A, 7.38%, due 08/01/33 | 378784 |
| 375000 | Match Group Holdings II LLC, 144A, 3.63%, due 10/01/31 | 343182 |
| 395000 | Moog, Inc., 144A, 4.25%, due 12/15/27 | 392737 |
| 300000 | Mueller Water Products, Inc., 144A, 4.00%, due 06/15/29 | 291377 |
| 400000 | Novelis Corp., 144A, 4.75%, due 01/30/30 | 384841 |
| 415000 | NRG Energy, Inc., 144A, 3.63%, due 02/15/31 | 388377 |
| 165000 | OneMain Finance Corp., 6.50%, due 03/15/33 | 165799 |
| 370000 | Patrick Industries, Inc., 144A, 6.38%, due 11/01/32 | 378950 |
| 390000 | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, due 02/15/28 | 385793 |
| 395000 | PTC, Inc., 144A, 4.00%, due 02/15/28 | 389900 |
| 375000 | Resideo Funding, Inc., 144A, 6.50%, due 07/15/32 | 383908 |
| 400000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., Reg S, 4.63%, due 04/16/29 | 352290 |
| 400000 | ROBLOX Corp., 144A, 3.88%, due 05/01/30 | 382451 |
| 350000 | Seagate Data Storage Technology Pte. Ltd., 144A, 5.75%, due 12/01/34 | 359793 |
| 355000 | Sealed Air Corp., 144A, 6.88%, due 07/15/33 | 373744 |
| 425000 | Sensata Technologies, Inc., 144A, 3.75%, due 02/15/31 | 397440 |
| 300000 | Somnigroup International, Inc., 144A, 4.00%, due 04/15/29 | 292110 |
| 300000 | Steelcase, Inc., 5.13%, due 01/18/29 | 293913 |
| 450000 | Sunoco LP, 144A, 4.50%, due 10/01/29 | 438449 |
| 360000 | Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30 | 381650 |
| 390000 | TerraForm Power Operating LLC, 144A, 5.00%, due 01/31/28 | 389318 |
| 365000 | Tidewater, Inc., 144A, 9.13%, due 07/15/30 | 390224 |
| 410000 | TopBuild Corp., 144A, 4.13%, due 02/15/32 | 390924 |

---

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
| | **Corporate Debt — continued** | |
|  | **United States — continued** |  |
| 385000 | TransDigm, Inc., 144A, 6.00%, due 01/15/33 | 393664 |
| 385000 | Travel & Leisure Co., 6.00%, due 04/01/27 | 390976 |
| 410000 | TTM Technologies, Inc., 144A, 4.00%, due 03/01/29 | 397109 |
| 410000 | Twilio, Inc., 3.63%, due 03/15/29 | 396782 |
| 380000 | U.S. Foods, Inc., 144A, 4.63%, due 06/01/30 | 375005 |
| 410000 | United Rentals North America, Inc., 3.88%, due 02/15/31 | 391947 |
| 390000 | Vertiv Group Corp., 144A, 4.13%, due 11/15/28 | 386621 |
| 445000 | VF Corp., 2.95%, due 04/23/30 | 399409 |
| 395000 | Viasat, Inc., 144A, 5.63%, due 04/15/27 | 395401 |
| 370000 | Vistra Operations Co. LLC, 144A, 7.75%, due 10/15/31 | 393011 |
| 375000 | Wayfair LLC, 144A, 7.25%, due 10/31/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390093 |
| 385000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 144A, 5.25%, due 05/15/27 | 386459 |
|  | Total United States | 24342833 |
|  | Total Corporate Debt | 30823490 |
|  | **U.S. Government — 52.8%** | **U.S. Government — 52.8%** |
| 1355000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.88%, due 01/31/27 <sup>(a)</sup> | 1353809 |
| 60278000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 <sup>(a)</sup> | 60261484 |
| 4575000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 <sup>(a)</sup> | 4573603 |
| 450000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.97%, due 10/31/27 | 449989 |
|  | Total U.S. Government | 66638885 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $97,042,103) | 97462375 |
|  | **SHORT-TERM INVESTMENTS — 21.6%** | **SHORT-TERM INVESTMENTS — 21.6%** |
|  | **Money Market Funds — 3.3%** | **Money Market Funds — 3.3%** |
| 4151948 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 4151948 |
|  | **Repurchase Agreements — 4.8%** | **Repurchase Agreements — 4.8%** |
| 5999423 | Nomura Securities International, Inc. Repurchase Agreement, dated 11/28/25, maturing on 12/01/25 with a maturity value of $6,001,443 and an effective yield of 4.04%, collateralized by a U.S. Treasury Note with maturity date 03/31/27 and a market value of $6,124,507. | 5999423 |

---

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | | **Sovereign and Sovereign Agency Issuers — 13.5%** | **Sovereign and Sovereign Agency Issuers — 13.5%** |
|  JPY | 2672000000 | Japan Treasury Discount Bills, Zero Coupon, due 01/07/26 | 17097639 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $28,016,053) | 27249010 |
|  |  | **TOTAL INVESTMENTS — 98.8%**<br> (Cost $125,058,156) | **124711385** |
|  |  | Other Assets and Liabilities (net) — 1.2% | 1476369 |
|  |  | **TOTAL NET ASSETS — 100.0%** | **$126187754** |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Forward Currency Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 01/07/2026 DB | JPY | 2672000000 | USD | 18027790 | 858557 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration**<br>**Date** | **Notional**<br>**Amount ($)** | **Value/Net**<br>**Unrealized**<br>**Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 15 | U.S. Treasury Note 10 Yr. (CBT) | March 2026 | 1700156 | 1621 |
| 21 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 4386047 | (1665) |
| 34 | U.S. Treasury Note 5 Yr. (CBT) | March 2026 | 3732031 | (571) |
|  |  |  | $9818234 | $(615) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied**<br>**Credit**<br>**Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/**<br>**(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** |
|  CDX.NA.HY.45 | USD | 17280000 | 5.00% | 3.23% | 17,280,000 USD | 12/20/2030 | Quarterly | $1228105 | $1286807 | $58702 |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. 

<sup>(2)</sup> 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)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/**<br>**(Depreciation) ($)** |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | GS | USD | 35795000 | 12/20/2025 | Quarterly | 146 | 290143 | 289997 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 2805000 | 12/20/2025 | Quarterly | (3) | 21280 | 21283 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | GS | USD | 627000 | 12/20/2025 | Quarterly |  | 4269 | 4269 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 1320000 | 12/20/2025 | Quarterly |  | 12313 | 12313 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | GS | USD | 1106000 | 12/20/2025 | Quarterly | (2) | 9396 | 9398 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | GS | USD | 1161000 | 12/20/2025 | Quarterly | (1) | 8206 | 8207 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 1046000 | 12/20/2025 | Quarterly | (1) | 6850 | 6851 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 791000 | 12/20/2025 | Quarterly |  | 13356 | 13356 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | BCLY | USD | 1560000 | 12/20/2025 | Quarterly | (4) | 21818 | 21822 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 8417000 | 12/20/2025 | Quarterly | 36 | 74791 | 74755 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 1030000 | 12/20/2025 | Quarterly | 2 | 10494 | 10492 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 19200000 | 03/20/2026 | Quarterly | 78 | 152521 | 152443 |
|  |  |  |  |  |  |  | $251 | $625437 | $625186 |

---

As of November 30, 2025, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap
contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

SOFR - Secured Overnight Financing Rate

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

**Currency Abbreviations:** 

JPY - Japanese Yen

USD - United States Dollar

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 58.8%** | **DEBT OBLIGATIONS — 58.8%** |
| | **Belgium — 0.2%** | |
| | **Corporate Debt — 0.2%** | **Corporate Debt — 0.2%** |
| 150000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46 | &nbsp;&nbsp;&nbsp;&nbsp;141273 |
|  | **Canada — 0.9%** |  |
|  | **Corporate Debt — 0.9%** | **Corporate Debt — 0.9%** |
| 150000 | Brookfield Finance, Inc., 6.35%, due 01/05/34 | 163094 |
| 120000 | Brookfield Finance, Inc., 5.97%, due 03/04/54 | 122035 |
| 100000 | Emera U.S. Finance LP, 4.75%, due 06/15/46 | 86406 |
| 165000 | Rogers Communications, Inc., 5.30%, due 02/15/34 | 167288 |
| 150000 | Toronto-Dominion Bank, 4.78%, due 12/17/29 | 153733 |
| 150000 | TransCanada PipeLines Ltd., 4.25%, due 05/15/28 | 150404 |
|  | Total Canada | 842960 |
|  | **Germany — 0.5%** |  |
|  | **Corporate Debt — 0.5%** | **Corporate Debt — 0.5%** |
| 150000 | Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31 | 142939 |
| 200000 | Deutsche Bank AG, Variable Rate, 3.04%, due 05/28/32 | 184076 |
| 150000 | Deutsche Bank AG, Variable Rate, 5.40%, due 09/11/35 | 153698 |
|  | Total Germany | 480713 |
|  | **United Kingdom — 0.9%** |  |
|  | **Corporate Debt — 0.9%** | **Corporate Debt — 0.9%** |
| 100000 | BAT Capital Corp., 7.08%, due 08/02/43 | 113237 |
| 100000 | BAT Capital Corp., 4.54%, due 08/15/47 | 84366 |
| 150000 | BAT Capital Corp., 7.08%, due 08/02/53 | 171596 |
| 135000 | nVent Finance SARL, 5.65%, due 05/15/33 | 141471 |
| 120000 | Smith & Nephew PLC, 2.03%, due 10/14/30 | 107877 |
| 165000 | Smith & Nephew PLC, 5.40%, due 03/20/34 | 172203 |
|  | Total United Kingdom | 790750 |
|  | **United States — 56.3%** |  |
|  | **Corporate Debt —18.2%** | **Corporate Debt —18.2%** |
| 150000 | 3M Co., 2.25%, due 09/19/26 | 147919 |
| 150000 | 3M Co., 2.88%, due 10/15/27 | 147217 |
| 150000 | 3M Co., 2.38%, due 08/26/29 | 141347 |
| 165000 | Albemarle Corp., 5.05%, due 06/01/32 | 165586 |
| 100000 | Altria Group, Inc., 6.88%, due 11/01/33 | 113623 |
| 100000 | Altria Group, Inc., 5.80%, due 02/14/39 | 104088 |
| 200000 | Altria Group, Inc., 3.40%, due 02/04/41 | 155883 |
| 150000 | Apple, Inc., 4.38%, due 05/13/45 | 136342 |
| 120000 | AppLovin Corp., 5.13%, due 12/01/29 | 122750 |
| 150000 | AppLovin Corp., 5.38%, due 12/01/31 | 156056 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 120000 | AppLovin Corp., 5.50%, due 12/01/34 | 124208 |
| 200000 | Aptiv Swiss Holdings Ltd., 4.15%, due 05/01/52 | 156259 |
| 150000 | Bank of New York Mellon Corp., Variable Rate, 3.44%, due 02/07/28 | &nbsp;&nbsp;&nbsp;&nbsp;149063 |
| 150000 | Bank of New York Mellon Corp., Variable Rate, 5.83%, due 10/25/33 | 162429 |
| 150000 | Bank of New York Mellon Corp., Variable Rate, 6.47%, due 10/25/34 | 168324 |
| 150000 | Boeing Co., 3.90%, due 05/01/49 | 113457 |
| 150000 | Boeing Co., 5.93%, due 05/01/60 | 148916 |
| 150000 | Boeing Co., 7.01%, due 05/01/64 | 171767 |
| 135000 | BorgWarner, Inc., 4.95%, due 08/15/29 | 138144 |
| 165000 | BorgWarner, Inc., 5.40%, due 08/15/34 | 171106 |
| 150000 | Boston Properties LP, REIT, 5.75%, due 01/15/35 | 154446 |
| 150000 | Capital One Financial Corp., Variable Rate, 5.82%, due 02/01/34 | 157916 |
| 150000 | Capital One Financial Corp., Variable Rate, 6.38%, due 06/08/34 | 163017 |
| 100000 | Capital One Financial Corp., Variable Rate, 7.96%, due 11/02/34 | 118378 |
| 100000 | Cencora, Inc., 3.45%, due 12/15/27 | 98870 |
| 150000 | CenterPoint Energy Houston Electric LLC, 4.80%, due 03/15/30 | 153941 |
| 150000 | CenterPoint Energy Houston Electric LLC, 4.95%, due 04/01/33 | 153687 |
| 150000 | CenterPoint Energy Houston Electric LLC, 5.05%, due 03/01/35 | 153016 |
| 100000 | Citizens Financial Group, Inc., Variable Rate, 5.84%, due 01/23/30 | 104194 |
| 150000 | Citizens Financial Group, Inc., Variable Rate, 5.72%, due 07/23/32 | 157325 |
| 150000 | Citizens Financial Group, Inc., Variable Rate, 6.65%, due 04/25/35 | 165199 |
| 150000 | Coca-Cola Co., 5.40%, due 05/13/64 | 149796 |
| 150000 | Coming, Inc., 5.35%, due 11/15/48 | 147630 |
| 200000 | Coming, Inc., 4.38%, due 11/15/57 | 164710 |
| 200000 | Crown Castle, Inc., 2.25%, due 01/15/31 | 179001 |
| 200000 | Crown Castle, Inc., 2.10%, due 04/01/31 | 176316 |
| 150000 | Crown Castle, Inc., 5.20%, due 09/01/34 | 152100 |
| 150000 | Enbridge Energy Partners LP, 7.38%, due 10/15/45 | 177354 |
| 100000 | Entergy Louisiana LLC, 5.35%, due 03/15/34 | 104497 |
| 100000 | Entergy Louisiana LLC, 5.15%, due 09/15/34 | 102900 |
| 150000 | Estee Lauder Cos., Inc., 4.38%, due 05/15/28 | 151560 |
| 125000 | Estee Lauder Cos., Inc., 2.60%, due 04/15/30 | 117272 |
| 100000 | Fox Corp., 5.48%, due 01/25/39 | 101279 |
| 250000 | GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35 | 247067 |
| 150000 | General Motors Co., 6.75%, due 04/01/46 | 162675 |
| 180000 | General Motors Co., 5.40%, due 04/01/48 | 165417 |
| 150000 | General Motors Co., 5.95%, due 04/01/49 | 147196 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 150000 | Gilead Sciences, Inc., 2.95%, due 03/01/27 | 148439 |
| 100000 | Goldman Sachs Group, Inc., Variable Rate, 3.62%, due 03/15/28 | 99339 |
| 150000 | Goldman Sachs Group, Inc., Variable Rate, 4.22%, due 05/01/29 | 150309 |
| 150000 | Hasbro, Inc., 3.90%, due 11/19/29 | 147322 |
| 150000 | Hasbro, Inc., 6.05%, due 05/14/34 | 159080 |
| 150000 | HCA, Inc., 6.10%, due 04/01/64 | 152553 |
| 150000 | Howmet Aerospace, Inc., 3.00%, due 01/15/29 | 145600 |
| 195000 | Intel Corp., 4.10%, due 05/11/47 | 150958 |
| 180000 | Intel Corp., 4.90%, due 08/05/52 | 153497 |
| 165000 | Intel Corp., 5.90%, due 02/10/63 | 159418 |
| 150000 | Jacobs Engineering Group, Inc., 6.35%, due 08/18/28 | &nbsp;&nbsp;&nbsp;&nbsp;158284 |
| 125000 | Jacobs Engineering Group, Inc., 5.90%, due 03/01/33 | 132144 |
| 150000 | JPMorgan Chase & Co., Variable Rate, 4.91%, due 07/25/33 | 154015 |
| 100000 | Kroger Co., 5.65%, due 09/15/64 | 97475 |
| 150000 | Las Vegas Sands Corp., 6.00%, due 08/15/29 | 156888 |
| 150000 | Las Vegas Sands Corp., 6.00%, due 06/14/30 | 157365 |
| 125000 | Las Vegas Sands Corp., 6.20%, due 08/15/34 | 131719 |
| 150000 | Lowe's Cos., Inc., 5.85%, due 04/01/63 | 150494 |
| 100000 | M&T Bank Corp., Variable Rate, 5.05%, due 01/27/34 | 100906 |
| 150000 | Marathon Petroleum Corp., 5.70%, due 03/01/35 | 155783 |
| 150000 | MasTec, Inc., 5.90%, due 06/15/29 | 156851 |
| 150000 | Micron Technology, Inc., 5.65%, due 11/01/32 | 157879 |
| 135000 | Micron Technology, Inc., 5.88%, due 02/09/33 | 143788 |
| 150000 | Micron Technology, Inc., 6.05%, due 11/01/35 | 160980 |
| 150000 | Morgan Stanley, Variable Rate, 3.77%, due 01/24/29 | 149008 |
| 150000 | Morgan Stanley, Variable Rate, 4.43%, due 01/23/30 | 151124 |
| 150000 | Mylan, Inc., 5.20%, due 04/15/48 | 122560 |
| 100000 | National Fuel Gas Co., 5.95%, due 03/15/35 | &nbsp;&nbsp;&nbsp;&nbsp;105266 |
| 150000 | Newmont Corp./Newcrest Finance Pty. Ltd., 5.35%, due 03/15/34 | 157353 |
| 200000 | Omega Healthcare Investors, Inc., 3.38%, due 02/01/31 | 186719 |
| 150000 | Omega Healthcare Investors, Inc., 3.25%, due 04/15/33 | 133742 |
| 175000 | Oracle Corp., 4.00%, due 07/15/46 | 127776 |
| 150000 | Oracle Corp., 6.90%, due 11/09/52 | 155798 |
| 175000 | Oracle Corp., 5.50%, due 09/27/64 | 147332 |
| 165000 | Paramount Global, 4.95%, due 01/15/31 | 162810 |
| 125000 | Paramount Global, 4.20%, due 05/19/32 | 116414 |
| 200000 | Paramount Global, 4.95%, due 05/19/50 | 155728 |
| 150000 | Philip Morris International, Inc., 0.88%, due 05/01/26 | 148050 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 120000 | Polaris, Inc., 6.95%, due 03/15/29 | 127582 |
| 165000 | Qorvo, Inc., 4.38%, due 10/15/29 | 162771 |
| 150000 | RTX Corp., 3.50%, due 03/15/27 | 149133 |
| 150000 | RTX Corp., 4.45%, due 11/16/38 | 142572 |
| 150000 | RTX Corp., 4.88%, due 10/15/40 | 147174 |
| 250000 | Sabra Health Care LP, 3.20%, due 12/01/31 | 228695 |
| 150000 | Santander Holdings USA, Inc., Variable Rate, 6.17%, due 01/09/30 | 156615 |
| 150000 | Santander Holdings USA, Inc., Variable Rate, 5.74%, due 03/20/31 | 155409 |
| 150000 | Santander Holdings USA, Inc., Variable Rate, 6.34%, due 05/31/35 | 161193 |
| 50000 | Simon Property Group LP, 5.85%, due 03/08/53 | 51709 |
| 120000 | Synchrony Financial, Variable Rate, 5.45%, due 03/06/31 | 122760 |
| 165000 | Synchrony Financial, Variable Rate, 6.00%, due 07/29/36 | &nbsp;&nbsp;&nbsp;&nbsp;169628 |
| 150000 | Synovus Financial Corp., Variable Rate, 6.17%, due 11/01/30 | 155523 |
| 150000 | Take-Two Interactive Software, Inc.,<br>4.95%, due 03/28/28 | 152749 |
| 150000 | Tapestry, Inc., 5.10%, due 03/11/30 | 153977 |
| 150000 | Tapestry, Inc., 5.50%, due 03/11/35 | 153770 |
| 150000 | Targa Resources Corp., 6.50%, due 02/15/53 | 158345 |
| 100000 | TC PipeLines LP, 3.90%, due 05/25/27 | 99621 |
| 195000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 161508 |
| 150000 | Ventas Realty LP, 4.40%, due 01/15/29 | 150791 |
| 100000 | Ventas Realty LP, 3.00%, due 01/15/30 | 95234 |
| 100000 | Ventas Realty LP, 5.63%, due 07/01/34 | 104846 |
| 100000 | VeriSign, Inc., 2.70%, due 06/15/31 | 90771 |
| 150000 | VeriSign, Inc., 5.25%, due 06/01/32 | 154212 |
| 195000 | Viatris, Inc., 4.00%, due 06/22/50 | 130754 |
| 100000 | VMware LLC, 1.40%, due 08/15/26 | 98240 |
| 150000 | VMware LLC, 3.90%, due 08/21/27 | 149746 |
| 150000 | VMware LLC, 1.80%, due 08/15/28 | 141557 |
| 150000 | Walmart, Inc., 4.05%, due 06/29/48 | 127607 |
| 150000 | Westinghouse Air Brake Technologies Corp., 5.61%, due 03/11/34 | 159211 |
| 150000 | Williams Cos., Inc., 5.15%, due 03/15/34 | 153106 |
|  |  | 16788818 |
|  | **U.S. Government — 19.5%** | **U.S. Government — 19.5%** |
| 424000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.03%, due 01/31/26 | 424031 |
| 16451000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27<sup>(a)</sup> | 16446493 |
| 1080000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27<sup>(a)</sup> | 1079670 |
|  |  | 17950194 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **U.S. Government Agency — 18.6%** | **U.S. Government Agency — 18.6%** |
| 10100000 | Uniform Mortgage-Backed Security, TBA, 3.00%, due 12/01/55 | 8968952 |
| 4800000 | Government National Mortgage Association, TBA, 3.50%, due 12/20/55 | 4399688 |
| 1875000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/54 | 1898636 |
| 1875000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54 | 1919717 |
|  |  | 17186993 |
|  | Total United States | 51926005 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $53,708,309) | 54181701 |
|  | **INVESTMENT FUNDS — 21.0%** |  |
|  | **United States — 21.0%** |  |
| 196141 | GMO Emerging Country Debt Fund, Class VI<sup>(b)</sup> | 4581848 |
| 602517 | GMO Opportunistic Income Fund, Class VI<sup>(b)</sup> | 14779736 |
|  | Total United States | 19361584 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $21,061,149) | 19361584 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
|  | | **SHORT-TERM INVESTMENTS — 34.9%** | **SHORT-TERM INVESTMENTS — 34.9%** |
|  | | **Repurchase Agreements — 28.2%** | |
|  | 25999760 | Nomura Securities International, Inc. Repurchase Agreement, dated 11/28/25 , maturing on 12/01/25 with a maturity value of $26,008,514 and an effective yield of 4.04%, collateralized by a U.S. Treasury Note with maturity date 03/31/27 and a market value of $26,544,917. | 25999760 |
|  | | **Money Market Funds — 1.4%** | |
|  | 1264633 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88%<sup>(c)</sup> | 1264633 |
|  | | **Sovereign and Sovereign Agency Issuers — 5.3%** | **Sovereign and Sovereign Agency Issuers — 5.3%** |
|  JPY | 770000000 | Japan Treasury Discount Bills, Zero Coupon, due 02/16/26 | 4924295 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $32,243,194) | 32188688 |
|  |  | **TOTAL INVESTMENTS — 114.7%**<br>(Cost $107,012,652) | **105731973** |
|  |  | Other Assets and Liabilities (net) — (14.7%) | (13586932) |
|  |  | **TOTAL NET ASSETS — 100.0%** | **$92145041** |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-**<br>**party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 12/2/2025 | CITI | BRL | 250000 | USD | 46871 | 36 |
| 12/2/2025 | MSCI | BRL | 1763667 | USD | 330659 | 251 |
| 12/11/2025 | BOA | CAD | 560000 | USD | 406717 | 5775 |
| 12/11/2025 | CITI | CAD | 540000 | USD | 389775 | 3152 |
| 12/11/2025 | DB | CAD | 410000 | USD | 297948 | 4401 |
| 12/11/2025 | MSCI | CAD | 380000 | USD | 273878 | 1810 |
| 1/15/2026 | SSB | CHF | 1573976 | USD | 1973885 | 3788 |
| 1/15/2026 | CITI | CZK | 800000 | USD | 38440 | 9 |
| 2/17/2026 | DB | EUR | 180000 | USD | 209794 | 93 |
| 2/18/2026 | CITI | INR | 35000000 | USD | 392398 | 2438 |
| 1/14/2026 | GS | JPY | 32000000 | USD | 206246 | 497 |
| 2/17/2026 | MSCI | JPY | 770000000 | USD | 5033594 | 67694 |
| 1/14/2026 | MSCI | JPY | 18000000 | USD | 115932 | 198 |
| 1/15/2026 | MSCI | NOK | 1100000 | USD | 109973 | 1273 |
| 1/12/2026 | SSB | PHP | 1500000 | USD | 25665 | 103 |
| 1/21/2026 | SSB | SGD | 490000 | USD | 380766 | 1229 |
| 1/22/2026 | CITI | THB | 600000 | USD | 18983 | 275 |
| 1/22/2026 | MSCI | THB | 3022300 | USD | 95540 | 1303 |
| 2/12/2026 | SSB | USD | 181729 | AUD | 280000 | 1787 |
| 12/2/2025 | CITI | USD | 44947 | BRL | 250000 | 1888 |
| 12/2/2025 | MSCI | USD | 324783 | BRL | 1763667 | 5625 |
| 3/3/2026 | MSCI | USD | 365106 | BRL | 2013667 | 4476 |
| 12/11/2025 | CITI | USD | 150278 | CAD | 210000 | 76 |
| 12/11/2025 | JPM | USD | 100130 | CAD | 140000 | 106 |
| 12/11/2025 | MSCI | USD | 435666 | CAD | 610000 | 1075 |
| 2/13/2026 | JPM | USD | 418870 | COP | 1600000000 | 3127 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-**<br>**party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 2/17/2026 | MSCI | USD | 174672 | EUR | 150000 | 78 |
| 1/15/2026 | MSCI | USD | 287373 | GBP | 220000 | 3841 |
| 2/19/2026 | GS | USD | 224240 | HUF | 74769900 | 2102 |
| 1/15/2026 | CITI | USD | 43342 | MXN | 800000 | 173 |
| 1/15/2026 | SSB | USD | 193722 | MXN | 3619101 | 3133 |
| 2/17/2026 | SSB | USD | 39835 | NZD | 70000 | 469 |
| 2/2/2026 | JPM | USD | 356230 | PEN | 1240000 | 11914 |
| 2/2/2026 | MSCI | USD | 34799 | PEN | 120000 | 827 |
| 1/21/2026 | BOA | USD | 46379 | SGD | 60000 | 95 |
| 1/21/2026 | CITI | USD | 69410 | SGD | 90000 | 301 |
| 1/21/2026 | DB | USD | 38545 | SGD | 50000 | 183 |
| 1/21/2026 | MSCI | USD | 38641 | SGD | 50000 | 88 |
| 1/21/2026 | SSB | USD | 38493 | SGD | 50000 | 235 |
| 1/22/2026 | CITI | USD | 260298 | THB | 8400000 | 1617 |
| 1/29/2026 | BCLY | USD | 34526 | ZAR | 600000 | 386 |
| 1/29/2026 | CITI | USD | 34039 | ZAR | 600000 | 873 |
| 1/29/2026 | MSCI | USD | 352938 | ZAR | 6200000 | 7820 |
| 1/29/2026 | SSB | USD | 11387 | ZAR | 200000 | 250 |
| 1/29/2026 | SSB | ZAR | 200000 | USD | 11696 | 59 |
| 2/12/2026 | MSCI | AUD | 190000 | USD | 124203 | (326) |
| 12/2/2025 | MSCI | BRL | 2013667 | USD | 372777 | (4466) |
| 12/11/2025 | BCLY | CAD | 410000 | USD | 291102 | (2444) |
| 12/11/2025 | JPM | CAD | 250000 | USD | 178506 | (486) |
| 12/11/2025 | MSCI | CAD | 190000 | USD | 135777 | (257) |
| 2/13/2026 | MSCI | CLP | 89728500 | USD | 95697 | (1036) |
| 1/15/2026 | CITI | CZK | 1200000 | USD | 56948 | (698) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Forward Currency Contracts — continued** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-**<br>**party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 1/15/2026 | MSCI | CZK | 2400000 | USD | 114611 | (682) |
| 2/17/2026 | MSCI | EUR | 140000 | USD | 162670 | (430) |
| 1/15/2026 | DB | GBP | 130000 | USD | 170459 | (1622) |
| 1/15/2026 | GS | GBP | 200000 | USD | 263667 | (1073) |
| 1/15/2026 | MSCI | GBP | 70000 | USD | 92202 | (457) |
| 2/10/2026 | BCLY | IDR | 600000000 | USD | 35814 | (184) |
| 2/10/2026 | GS | IDR | 800000000 | USD | 47918 | (79) |
| 2/12/2026 | CITI | ILS | 536203 | USD | 164447 | (356) |
| 2/12/2026 | GS | ILS | 100000 | USD | 30587 | (148) |
| 1/15/2026 | GS | MXN | 400000 | USD | 21458 | (300) |
| 1/15/2026 | CITI | NOK | 2000000 | USD | 196042 | (1596) |
| 2/17/2026 | MSCI | NZD | 2440000 | USD | 1386938 | (17942) |
| 1/12/2026 | CITI | PHP | 3000000 | USD | 50805 | (320) |
| 1/12/2026 | SSB | PHP | 3500000 | USD | 59452 | (193) |
| 2/20/2026 | CITI | PLN | 100000 | USD | 27266 | (118) |
| 2/20/2026 | MSCI | PLN | 400000 | USD | 109196 | (339) |
| 2/24/2026 | GS | RON | 1181041 | USD | 266425 | (1561) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-**<br>**party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 12/2/2025 | MSCI | USD | 377530 | BRL | 2013667 | (286) |
| 12/11/2025 | BOA | USD | 215602 | CAD | 300000 | (812) |
| 12/11/2025 | SSB | USD | 856047 | CAD | 1180000 | (11205) |
| 1/15/2026 | BCLY | USD | 398240 | GBP | 300000 | (1130) |
| 1/15/2026 | CITI | USD | 147498 | GBP | 110000 | (1891) |
| 1/15/2026 | MSCI | USD | 66427 | GBP | 50000 | (242) |
| 2/10/2026 | MSCI | USD | 53640 | IDR | 894041000 | (1) |
| 1/14/2026 | MSCI | USD | 2476210 | JPY | 374902084 | (65714) |
| 1/20/2026 | SSB | USD | 141944 | KRW | 205778325 | (1382) |
| 1/15/2026 | CITI | USD | 118948 | NOK | 1200000 | (366) |
| 1/15/2026 | SSB | USD | 1698764 | NOK | 17185429 | (526) |
| 1/12/2026 | SSB | USD | 42858 | PHP | 2500000 | (253) |
| 1/14/2026 | GS | USD | 499800 | SEK | 4700000 | (687) |
| 1/21/2026 | GS | USD | 46654 | SGD | 60000 | (180) |
| 12/8/2025 | SSB | USD | 37391 | TWD | 1154400 | (664) |
|  |  |  |  |  |  | $24477 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 36 | U.S. Long Bond (CBT) | March 2026 | 4227750 | 17326 |
| 33 | U.S. Treasury Note 10 Yr. (CBT) | March 2026 | 3740344 | 3566 |
| 48 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 10025250 | (3806) |
| 120 | U.S. Treasury Note 5 Yr. (CBT) | March 2026 | 13171875 | (1875) |
| 3 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2026 | 348609 | 746 |
| 34 | U.S. Ultra Bond (CBT) | March 2026 | 4111875 | 23375 |
|  |  |  | $35625703 | $39332 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  CDX.EM.S44 | USD | 4260000 | 1.00% | 1.35% | N/A | 12/20/2030 | Quarterly | 95637 | 67108 | (28529) |
|  CDX.NA.IG.S45 | USD | 8320000 | 1.00% | 0.51% | N/A | 12/20/2030 | Quarterly | (190909) | (187150) | 3759 |
|  |  |  |  |  |  |  |  | $(95272) | $(120042) | $(24770) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Credit Default Swaps — continued** 

---

| | |
|:---|:---|
| <sup>^</sup> | 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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. 

<sup>(2)</sup> 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** | **Notional Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.25% | 3 Month AUD BBSW | AUD | 5500000 | 12/17/2027 | Quarterly | 1581 | 38161 | 36580 |
|  3.48% | 3 Month AUD BBSW | AUD | 900000 | 12/17/2027 | Quarterly |  | 3612 | 3612 |
|  3.54% | 3 Month AUD BBSW | AUD | 1100000 | 12/17/2027 | Quarterly | (111) | 3655 | 3766 |
|  3 Month AUD BBSW | 3.28% | AUD | 1500000 | 12/17/2027 | Quarterly |  | (9842) | (9842) |
|  CAD-CORRA-OIS-COMPOUND  | 2.22% | CAD | 1000000 | 12/17/2027 | Annually |  | (1043) | (1043) |
|  CAD-CORRA-OIS-COMPOUND  | 2.31% | CAD | 1500000 | 12/17/2027 | Annually |  | 302 | 302 |
|  CAD-CORRA-OIS-COMPOUND  | 2.35% | CAD | 1500000 | 12/17/2027 | Annually |  | 1220 | 1220 |
|  CAD-CORRA-OIS-COMPOUND  | 2.40% | CAD | 7600000 | 12/17/2027 | Annually | 1343 | 10616 | 9273 |
|  2.33% | CAD-CORRA-OIS-COMPOUND | CAD | 2000000 | 12/17/2027 | Annually |  | (1084) | (1084) |
|  2.33% | CAD-CORRA-OIS-COMPOUND | CAD | 1000000 | 12/17/2027 | Annually | (486) | (465) | 21 |
|  CHF-SARON-OIS-COMPOUND  | (0.10)% | CHF | 11200000 | 12/17/2027 | Annually | (1827) | (9596) | (7769) |
|  (0.06)% | CHF-SARON-OIS-COMPOUND | CHF | 1000000 | 12/17/2027 | Annually |  | (192) | (192) |
|  (0.11)% | CHF-SARON-OIS-COMPOUND | CHF | 500000 | 12/17/2027 | Annually |  | 567 | 567 |
|  (0.07)% | CHF-SARON-OIS-COMPOUND | CHF | 500000 | 12/17/2027 | Annually |  | 43 | 43 |
|  EUR-EuroSTR-COMPOUND | 1.83% | EUR | 1800000 | 12/17/2027 | Annually | (374) | (4077) | (3703) |
|  EUR-EuroSTR-COMPOUND | 1.93% | EUR | 1000000 | 12/17/2027 | Annually |  | 42 | 42 |
|  1.85% | EUR-EuroSTR-COMPOUND | EUR | 1000000 | 12/17/2027 | Annually |  | 1717 | 1717 |
|  1.92% | EUR-EuroSTR-COMPOUND | EUR | 500000 | 12/17/2027 | Annually |  | 59 | 59 |
|  1.84% | EUR-EuroSTR-COMPOUND | EUR | 900000 | 12/17/2027 | Annually |  | 1792 | 1792 |
|  1.82% | EUR-EuroSTR-COMPOUND | EUR | 700000 | 12/17/2027 | Annually |  | 1697 | 1697 |
|  1.90% | EUR-EuroSTR-COMPOUND | EUR | 1000000 | 12/17/2027 | Annually |  | 689 | 689 |
|  1.91% | EUR-EuroSTR-COMPOUND | EUR | 900000 | 12/17/2027 | Annually |  | 425 | 425 |
|  3.63% | GBP-SONIA-COMPOUND | GBP | 5600000 | 12/17/2027 | Annually | 437 | (18646) | (19083) |
|  3.75% | GBP-SONIA-COMPOUND | GBP | 500000 | 12/17/2027 | Annually |  | (3,H4) | (3,H4) |
|  3.74% | GBP-SONIA-COMPOUND | GBP | 1000000 | 12/17/2027 | Annually |  | (6139) | (6139) |
|  3 Month NZD Bank Bill Rate | 2.51% | NZD | 1300000 | 12/17/2027 | Quarterly |  | (5444) | (5444) |
|  3 Month NZD Bank Bill Rate | 2.57% | NZD | 1700000 | 12/17/2027 | Quarterly |  | (5985) | (5985) |
|  3 Month NZD Bank Bill Rate | 2.88% | NZD | 1700000 | 12/17/2027 | Quarterly |  | (61) | (61) |
|  3 Month NZD Bank Bill Rate | 2.92% | NZD | 2000000 | 12/17/2027 | Quarterly | 488 | 728 | 240 |
|  2.92% | 3 Month NZD Bank Bill Rate | NZD | 2000000 | 12/17/2027 | Quarterly |  | (773) | (773) |
|  3 Month SEK STIBOR | 2.08% | SEK | 16300000 | 12/17/2027 | Quarterly |  | (3779) | (3779) |
|  3 Month SEK STIBOR | 2.08% | SEK | 10000000 | 12/17/2027 | Quarterly |  | (2267) | (2267) |
|  3 Month SEK STIBOR | 2.10% | SEK | 8653000 | 12/17/2027 | Quarterly |  | (1588) | (1588) |
|  3 Month SEK STIBOR | 2.12% | SEK | 10000000 | 12/17/2027 | Quarterly |  | (1414) | (1414) |
|  3 Month SEK STIBOR | 2.18% | SEK | 9000000 | 12/17/2027 | Quarterly |  | (107) | (107) |
|  1.93% | 3 Month SEK STIBOR | SEK | 10100000 | 12/17/2027 | Quarterly | 20 | 5372 | 5352 |
|  2.02% | 3 Month SEK STIBOR | SEK | 10000000 | 12/17/2027 | Quarterly |  | 3407 | 3407 |
|  2.04% | 3 Month SEK STIBOR | SEK | 5000000 | 12/17/2027 | Quarterly |  | 1570 | 1570 |
|  BRL-CDI | 14.00% | BRL | 3218663 | 01/02/2029 | At Maturity | 6412 | 25872 | 19460 |
|  MXN-TIIE ON-OIS COMPOUND | 7.29% | MXN | 17800000 | 12/11/2030 | Monthly | (868) | (2714) | (1846) |
|  1.68% | CNY-CNREPOFIX=CFXS-Reuters | CNY | 4800000 | 12/17/2030 | Quarterly | (1191) | (2951) | (1760) |
|  COP-IBR-OIS-COMPOUND  | 8.54% | COP | 3722000000 | 12/17/2030 | Quarterly | 417 | (50316) | (50733) |
|  CZK-PRIBOR-PRBO | 3.75% | CZK | 18900000 | 12/17/2030 | Semi-Annually | (406) | (8960) | (8554) |
|  HKD-HIBOR-HKAB | 2.83% | HKD | 1300000 | 12/17/2030 | Quarterly | 86 | 376 | 290 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional Amount** | **Notional Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.79% | ILS-SHIR-OIS COMPOUND | ILS | 2250000 | 12/17/2030 | Annually | (3995) | (5389) | (1394) |
|  5.72% | INR-FBIL-MIBOR-OIS-COMPOUND | INR | 90000000 | 12/17/2030 | Semi-Annually | (670) | 1026 | 1696 |
|  KRW-CD-KSDA-Bloomberg | 2.80% | KRW | 587300000 | 12/17/2030 | Quarterly | (1794) | (5507) | (3713) |
|  MYR-KLIBOR-BNM | 3.11% | MYR | 3600000 | 12/17/2030 | Quarterly | (3021) | (8897) | (5876) |
|  4.06% | PLN-WIBOR-WIBO | PLN | 2300000 | 12/17/2030 | Semi-Annually | 158 | (6852) | (7010) |
|  1.42% | SGD-SORA-COMPOUND | SGD | 1200000 | 12/17/2030 | Semi-Annually | (822) | 15215 | 16037 |
|  1.09% | THB-THOR | THB | 25100000 | 12/17/2030 | Quarterly | (238) | 8677 | 8915 |
|  TWD-Reuters-6165 | 1.73% | TWD | 2200000 | 12/17/2030 | Quarterly | 40 | (461) | (501) |
|  ZAR-JIBAR-SAFEX | 7.00% | ZAR | 1600000 | 12/17/2030 | Quarterly | 16 | 1306 | 1290 |
|  6 Month AUD BBSW | 4.14% | AUD | 200000 | 12/17/2035 | Semi-Annually |  | (4924) | (4924) |
|  6 Month AUD BBSW | 4.16% | AUD | 200000 | 12/17/2035 | Semi-Annually |  | (4700) | (4700) |
|  6 Month AUD BBSW | 4.17% | AUD | 400000 | 12/17/2035 | Semi-Annually |  | (9027) | (9027) |
|  6 Month AUD BBSW | 4.19% | AUD | 400000 | 12/17/2035 | Semi-Annually | (259) | (8696) | (8437) |
|  6 Month AUD BBSW | 4.19% | AUD | 1200000 | 12/17/2035 | Semi-Annually | (1039) | (26344) | (25305) |
|  6 Month AUD BBSW | 4.19% | AUD | 200000 | 12/17/2035 | Semi-Annually |  | (4343) | (4343) |
|  6 Month AUD BBSW | 4.24% | AUD | 300000 | 12/17/2035 | Semi-Annually |  | (5778) | (5778) |
|  6 Month AUD BBSW | 4.31% | AUD | 200000 | 12/17/2035 | Semi-Annually |  | (3042) | (3042) |
|  6 Month AUD BBSW | 4.36% | AUD | 300000 | 12/17/2035 | Semi-Annually | 234 | (3850) | (4084) |
|  4.21% | 6 Month AUD BBSW | AUD | 300000 | 12/17/2035 | Semi-Annually |  | 6250 | 6250 |
|  4.30% | 6 Month AUD BBSW | AUD | 300000 | 12/17/2035 | Semi-Annually |  | 4810 | 4810 |
|  4.35% | 6 Month AUD BBSW | AUD | 300000 | 12/17/2035 | Semi-Annually | (91) | 3930 | 4021 |
|  4.36% | 6 Month AUD BBSW | AUD | 300000 | 12/17/2035 | Semi-Annually |  | 3754 | 3754 |
|  4.35% | 6 Month AUD BBSW | AUD | 200000 | 12/17/2035 | Semi-Annually |  | 2636 | 2636 |
|  CAD-CORRA-OIS-COMPOUND  | 2.84% | CAD | 250000 | 12/17/2035 | Annually |  | (1196) | (1196) |
|  CAD-CORRA-OIS-COMPOUND  | 2.87% | CAD | 200000 | 12/17/2035 | Annually |  | (595) | (595) |
|  CAD-CORRA-OIS-COMPOUND  | 2.89% | CAD | 400000 | 12/17/2035 | Annually |  | (704) | (704) |
|  CAD-CORRA-OIS-COMPOUND  | 2.90% | CAD | 300000 | 12/17/2035 | Annually | 440 | (388) | (828) |
|  2.95% | CAD-CORRA-OIS-COMPOUND | CAD | 1700000 | 12/17/2035 | Annually | 687 | (2890) | (3577) |
|  2.90% | CAD-CORRA-OIS-COMPOUND | CAD | 200000 | 12/17/2035 | Annually | (541) | 171 | 712 |
|  2.90% | CAD-CORRA-OIS-COMPOUND | CAD | 300000 | 12/17/2035 | Annually |  | 406 | 406 |
|  2.83% | CAD-CORRA-OIS-COMPOUND | CAD | 250000 | 12/17/2035 | Annually |  | 1375 | 1375 |
|  2.94% | CAD-CORRA-OIS-COMPOUND | CAD | 200000 | 12/17/2035 | Annually |  | (278) | (278) |
|  3.00% | CAD-CORRA-OIS-COMPOUND | CAD | 350000 | 12/17/2035 | Annually |  | (1849) | (1849) |
|  CHF-SARON-OIS-COMPOUND  | 0.42% | CHF | 100000 | 12/17/2035 | Annually |  | (906) | (906) |
|  CHF-SARON-OIS-COMPOUND  | 0.43% | CHF | 100000 | 12/17/2035 | Annually |  | (875) | (875) |
|  CHF-SARON-OIS-COMPOUND  | 0.49% | CHF | 100000 | 12/17/2035 | Annually |  | (98) | (98) |
|  CHF-SARON-OIS-COMPOUND  | 0.50% | CHF | 200000 | 12/17/2035 | Annually |  | 188 | 188 |
|  0.44% | CHF-SARON-OIS-COMPOUND | CHF | 1600000 | 12/17/2035 | Annually | 2221 | 10718 | 8497 |
|  0.45% | CHF-SARON-OIS-COMPOUND | CHF | 2300000 | 12/17/2035 | Annually | 1163 | 13407 | 12244 |
|  0.48% | CHF-SARON-OIS-COMPOUND | CHF | 200000 | 12/17/2035 | Annually |  | 333 | 333 |
|  EUR-EuroSTR-COMPOUND | 2.40% | EUR | 100000 | 12/17/2035 | Annually |  | (1333) | (1333) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 200000 | 12/17/2035 | Annually |  | (2531) | (2531) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 170000 | 12/17/2035 | Annually |  | (2151) | (2151) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 100000 | 12/17/2035 | Annually |  | (1234) | (1234) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 100000 | 12/17/2035 | Annually |  | (1245) | (1245) |
|  EUR-EuroSTR-COMPOUND | 2.44% | EUR | 200000 | 12/17/2035 | Annually |  | (1908) | (1908) |
|  EUR-EuroSTR-COMPOUND | 2.47% | EUR | 200000 | 12/17/2035 | Annually |  | (1390) | (1390) |
|  EUR-EuroSTR-COMPOUND | 2.48% | EUR | 200000 | 12/17/2035 | Annually |  | (1100) | (1100) |
|  EUR-EuroSTR-COMPOUND | 2.50% | EUR | 200000 | 12/17/2035 | Annually |  | (716) | (716) |
|  EUR-EuroSTR-COMPOUND | 2.50% | EUR | 200000 | 12/17/2035 | Annually |  | (623) | (623) |
|  EUR-EuroSTR-COMPOUND | 2.51% | EUR | 100000 | 12/17/2035 | Annually |  | (239) | (239) |
|  EUR-EuroSTR-COMPOUND | 2.52% | EUR | 175000 | 12/17/2035 | Annually |  | (164) | (164) |
|  2.46% | EUR-EuroSTR-COMPOUND | EUR | 100000 | 12/17/2035 | Annually | 157 | 778 | 621 |
|  2.46% | EUR-EuroSTR-COMPOUND | EUR | 400000 | 12/17/2035 | Annually | 546 | 3030 | 2484 |
|  2.54% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 12/17/2035 | Annually |  | (113) | (113) |
|  2.54% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 12/17/2035 | Annually |  | (206) | (206) |
|  2.54% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 12/17/2035 | Annually |  | (61) | (61) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional Amount** | **Notional Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  2.48% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 12/17/2035 | Annually |  | 1089 | 1089 |
|  2.49% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 12/17/2035 | Annually |  | 996 | 996 |
|  2.55% | EUR-EuroSTR-COMPOUND | EUR | 100000 | 12/17/2035 | Annually |  | (155) | (155) |
|  GBP-SONIA-COMPOUND | 4.02% | GBP | 200000 | 12/17/2035 | Annually |  | 1486 | 1486 |
|  GBP-SONIA-COMPOUND | 4.10% | GBP | 1700000 | 12/17/2035 | Annually | (1035) | 27472 | 28507 |
|  GBP-SONIA-COMPOUND | 4.10% | GBP | 1300000 | 12/17/2035 | Annually | (1360) | 20444 | 21804 |
|  GBP-SONIA-COMPOUND | 4.19% | GBP | 145000 | 12/17/2035 | Annually |  | 3640 | 3640 |
|  GBP-SONIA-COMPOUND | 4.20% | GBP | 200000 | 12/17/2035 | Annually |  | 5411 | 5411 |
|  4.19% | GBP-SONIA-COMPOUND | GBP | 100000 | 12/17/2035 | Annually |  | (2505) | (2505) |
|  3.94% | GBP-SONIA-COMPOUND | GBP | 200000 | 12/17/2035 | Annually |  | 400 | 400 |
|  3.94% | GBP-SONIA-COMPOUND | GBP | 130000 | 12/17/2035 | Annually |  | 183 | 183 |
|  3.90% | GBP-SONIA-COMPOUND | GBP | 200000 | 12/17/2035 | Annually |  | 1213 | 1213 |
|  3.91% | 3 Month NZD Bank Bill Rate | NZD | 400000 | 12/17/2035 | Quarterly | (504) | 335 | 839 |
|  3.78% | 3 Month NZD Bank Bill Rate | NZD | 600000 | 12/17/2035 | Quarterly |  | 4340 | 4340 |
|  3.74% | 3 Month NZD Bank Bill Rate | NZD | 300000 | 12/17/2035 | Quarterly |  | 2735 | 2735 |
|  3.67% | 3 Month NZD Bank Bill Rate | NZD | 400000 | 12/17/2035 | Quarterly |  | 5055 | 5055 |
|  3.61% | 3 Month NZD Bank Bill Rate | NZD | 300000 | 12/17/2035 | Quarterly |  | 4653 | 4653 |
|  3.74% | 3 Month NZD Bank Bill Rate | NZD | 300000 | 12/17/2035 | Quarterly |  | 2713 | 2713 |
|  3.93% | 3 Month NZD Bank Bill Rate | NZD | 400000 | 12/17/2035 | Quarterly |  | (89) | (89) |
|  3 Month NZD Bank Bill Rate | 3.57% | NZD | 200000 | 12/17/2035 | Quarterly |  | (3488) | (3488) |
|  3 Month NZD Bank Bill Rate | 3.62% | NZD | 400000 | 12/17/2035 | Quarterly |  | (6030) | (6030) |
|  3 Month NZD Bank Bill Rate | 3.75% | NZD | 400000 | 12/17/2035 | Quarterly |  | (3347) | (3347) |
|  3 Month NZD Bank Bill Rate | 3.91% | NZD | 400000 | 12/17/2035 | Quarterly |  | (355) | (355) |
|  3 Month NZD Bank Bill Rate | 3.92% | NZD | 2900000 | 12/17/2035 | Quarterly | 4283 | (1734) | (6017) |
|  3 Month SEK STIBOR | 2.61% | SEK | 2000000 | 12/17/2035 | Quarterly | (172) | (4917) | (4745) |
|  3 Month SEK STIBOR | 2.64% | SEK | 2000000 | 12/17/2035 | Quarterly |  | (4363) | (4363) |
|  3 Month SEK STIBOR | 2.65% | SEK | 2000000 | 12/17/2035 | Quarterly |  | (4095) | (4095) |
|  3 Month SEK STIBOR | 2.65% | SEK | 1000000 | 12/17/2035 | Quarterly |  | (2020) | (2020) |
|  3 Month SEK STIBOR | 2.76% | SEK | 2000000 | 12/17/2035 | Quarterly |  | (2127) | (2127) |
|  3 Month SEK STIBOR | 2.78% | SEK | 2000000 | 12/17/2035 | Quarterly |  | (1647) | (1647) |
|  2.76% | 3 Month SEK STIBOR | SEK | 1420000 | 12/17/2035 | Quarterly |  | 1399 | 1399 |
|  2.74% | 3 Month SEK STIBOR | SEK | 3640000 | 12/17/2035 | Quarterly |  | 4393 | 4393 |
|  2.78% | 3 Month SEK STIBOR | SEK | 2000000 | 12/17/2035 | Quarterly |  | 1712 | 1712 |
|  2.73% | 3 Month SEK STIBOR | SEK | 2400000 | 12/17/2035 | Quarterly |  | 3118 | 3118 |
|  2.73% | 3 Month SEK STIBOR | SEK | 2000000 | 12/17/2035 | Quarterly |  | 2571 | 2571 |
|  2.74% | 3 Month SEK STIBOR | SEK | 1000000 | 12/17/2035 | Quarterly |  | 1244 | 1244 |
|  2.81% | 3 Month SEK STIBOR | SEK | 2000000 | 12/17/2035 | Quarterly |  | 1185 | 1185 |
|  2.84% | 3 Month SEK STIBOR | SEK | 2000000 | 12/17/2035 | Quarterly |  | 548 | 548 |
|  USD-SOFR-OIS COMPOUND | 3.50% | USD | 100000 | 12/17/2035 | Annually |  | (941) | (941) |
|  USD-SOFR-OIS COMPOUND | 3.53% | USD | 300000 | 12/17/2035 | Annually |  | (2028) | (2028) |
|  USD-SOFR-OIS COMPOUND | 3.55% | USD | 200000 | 12/17/2035 | Annually |  | (1057) | (1057) |
|  USD-SOFR-OIS COMPOUND | 3.60% | USD | 100000 | 12/17/2035 | Annually |  | (103) | (103) |
|  USD-SOFR-OIS COMPOUND | 3.61% | USD | 300000 | 12/17/2035 | Annually |  | (20) | (20) |
|  3.52% | USD-SOFR-OIS COMPOUND | USD | 1600000 | 12/17/2035 | Annually | (769) | 11356 | 12125 |
|  3.51% | USD-SOFR-OIS COMPOUND | USD | 200000 | 12/17/2035 | Annually |  | 1622 | 1622 |
|  3.50% | USD-SOFR-OIS COMPOUND | USD | 200000 | 12/17/2035 | Annually |  | 1815 | 1815 |
|  3.67% | USD-SOFR-OIS COMPOUND | USD | 200000 | 12/17/2035 | Annually |  | (1022) | (1022) |
|  3.64% | USD-SOFR-OIS COMPOUND | USD | 100000 | 12/17/2035 | Annually |  | (246) | (246) |
|  3.68% | USD-SOFR-OIS COMPOUND | USD | 200000 | 12/17/2035 | Annually |  | (1124) | (1124) |
|  |  |  |  |  |  | $(844) | $(13513) | $(12669) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

As of November 30, 2025, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap
contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(b) Affiliated company.

(c) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

BNM - Bank Negara Malaysia

BRL CDI - Brazilian Interbank Offered Rate dominated in Brazilian Real.

CDI - Certificado de Deposito Interbancario

CNY-CNREPOFIX=CFXS - China 7 Day Interbank Repo Trading Rate denominated in Chinese Reminibi.

CORRA - Canadian Overnight Repo Rate Average

EuroSTR - Euro Short-Term Rate

FBIL - Financial Benchmarks India PVT. LTD.

HIBOR - Hong Kong Interbank Offered Rate

HKAB - Hong Kong Association of Banks

IBR - Indicador Bancario de Referencia

KLIBOR - Kuala Lumpur Interbank Offered Rate

KSDA - Korean Securities Dealers Association

MIBOR - Mumbai Interbank Offer Rate

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

PLN WIBOR WIBO - Warsaw Interbank Offered Rate denominated in Polish Zloty.

PRIBOR - Prague Interbank Offered Rate

REIT - Real Estate Investment Trust

SAFEX - South African Futures Exchange

SARON - Swiss Average Rate Overnight

SEK STTBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SHIR - Shekel Overnight Interest Rate

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

SORA - Singapore Overnight Rate Average

TBA - To Be Announced - Delayed Delivery Security

THOR - Thai Overnight Repurchase Rate

THE - The Interbank Equilibrium Interest Rate denominated in Mexican Peso

WIBOR - Warsaw Interbank Offered Rate

ZAR JIBAR - Johannesburg Interbank Average Rate denominated in South African Rand.

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

**Currency Abbreviations:** 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - China Yuan Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 95.8%** | **DEBT OBLIGATIONS — 95.8%** |
| | **Asset-Backed Securities — 71.8%** | **Asset-Backed Securities — 71.8%** |
| | **Auto Retail Prime — 0.5%** | **Auto Retail Prime — 0.5%** |
| 6847000 | Chase Auto Owner Trust, Series 24-4A, Class A3, 144A, 4.94%, due 07/25/29 | 6910371 |
|  | **Auto Retail Subprime — 1.8%** | **Auto Retail Subprime — 1.8%** |
| 5856151 | GM Financial Consumer Automobile Receivables Trust, Series 24-1, Class A3, 4.85%, due 12/18/28 | 5888333 |
| 7000000 | Hyundai Auto Receivables Trust, Series 24-A, Class A3, 4.99%, due 02/15/29 | 7056097 |
| 3621000 | Volkswagen Auto Loan Enhanced Trust, Series 24-1, Class A3, 4.63%, due 07/20/29 | 3663165 |
| 6030000 | World Omni Auto Receivables Trust, Series 24-C, Class A3, 4.43%, due 12/17/29 | 6064450 |
|  | Total Auto Retail Subprime | &nbsp;&nbsp;&nbsp;&nbsp;22672045 |
|  | **CMBS CDO — 0.0%** |  |
| 8586000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 9 |
|  | **Collateralized Loan Obligations — 6.8%** | **Collateralized Loan Obligations — 6.8%** |
| 3905958 | Battalion CLO XV Ltd., Series 20-15A, Class A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.98%, 4.86%, due 01/17/33 | 3905180 |
| 3123210 | Black Diamond CLO Ltd., Series 16-1A, Class A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.29%, 5.15%, due 04/26/31 | 3128317 |
| 2571001 | BlueMountain CLO Ltd., Series 13-2A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.72%, due 10/22/30 | 2572472 |
| 18683473 | Canyon Capital CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.24%, due 07/15/31 | 18695674 |
| 4697099 | Dryden 64 CLO Ltd., Series 18-64A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 5.12%, due 04/18/31 | 4700430 |
| 4945735 | Elevation CLO Ltd., Series 18-10A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.92%, 4.80%, due 10/20/31 | 4942921 |
| 10035295 | Gallatin CLO VIII Ltd., Series 17-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.35%, 5.26%, due 07/15/31 | 10043463 |
| 2909988 | Jefferson Mill CLO Ltd., Series 15-1A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 5.11%, due 10/20/31 | 2911012 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 1135765 | MidOcean Credit CLO VI, Series 16-6A, Class ARRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 5.10%, due 04/20/33 | 1136718 |
| 493620 | Mountain View CLO IX Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 5.29%, due 07/15/31 | 493704 |
| 1441859 | Mountain View CLO LLC, Series 16-1A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 5.17%, due 04/14/33 | 1441823 |
| 4000000 | Mountain View CLO Ltd., Series 13-1A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 5.84%, due 10/12/30 | &nbsp;&nbsp;&nbsp;&nbsp;4003836 |
| 2878008 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 5.18%, due 04/22/31 | 2884060 |
| 1083456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26 | 108 |
| 1673975 | OZLM XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.19%, due 04/15/31 | 1674687 |
| 1572517 | OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 5.64%, due 01/17/31 | 1575278 |
| 6000000 | Rockford Tower CLO Ltd., Series 18-1 A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.98%, 5.87%, due 05/20/31 | 6012678 |
| 103440 | Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.23%, due 05/07/31 | 103474 |
| 311223 | Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 5.17%, due 04/15/31 | 311363 |
| 755452 | Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 5.30%, due 04/18/31 | 756380 |
| 1306188 | Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 5.42%, due 06/15/31 | 1306387 |
| 255892 | Symphony CLO XV Ltd., Series 14-15A, Class AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.34%, 5.22%, due 01/17/32 | 256037 |
| 1531843 | Venture 32 CLO Ltd., Series 18-32A, Class Al, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.25%, due 07/18/31 | 1534801 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 1667909 | Venture 38 CLO Ltd., Series 19-38A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.00%, 4.84%, due 07/30/32 | 1668243 |
| 2070000 | Voya CLO Ltd., Series 25-1A, Class X, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.90%, 4.78%, due 04/20/38 | 2069969 |
| 2827523 | Zais CLO 13 Ltd., Series 19-13A, Class A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.30%, 5.20%, due 07/15/32 | 2828396 |
| 5368000 | Zais CLO 16 Ltd., Series 20-16A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.13%, 5.01%, due 10/20/34 | 5360034 |
|  | Total Collateralized Loan Obligations | 86317445 |
|  | **Commercial Mortgage-Backed<br>Securities — 22.4%** | **Commercial Mortgage-Backed<br>Securities — 22.4%** |
| 15387600 | BBCMS Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 4.88%, due 03/15/37 | 14466369 |
| 11037000 | BBCMS Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38 | 9485595 |
| 5056020 | Bear Steams Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.49%, due 07/25/36 | 4735596 |
| 4825120 | Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52 | 4789935 |
| 16000000 | Benchmark Mortgage Trust, Series 19-B9, Class A5, 4.02%, due 03/15/52 | 15744006 |
| 6490722 | Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52 | 6292823 |
| 9635057 | Benchmark Mortgage Trust, Series 20-B19, Class A5, 1.85%, due 09/15/53 | 8570177 |
| 9567000 | Benchmark Mortgage Trust, Series 20-B20, Class A5, 2.03%, due 10/15/53 | 8509562 |
| 10694000 | Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55 | 9611778 |
| 5295000 | Benchmark Mortgage Trust, Series 22-B33, Class A5, 3.46%, due 03/15/55 | 4961035 |
| 16535000 | Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55 | 15537316 |
| 10395000 | Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72 | 9764368 |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 7444595 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Commercial Mortgage-Backed Securities —<br>continued** | **Commercial Mortgage-Backed Securities —<br>continued** |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44 | 7472121 |
| 13000000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | 12367203 |
| 4570000 | BX Trust, Series 19-OC11, Class D, 144A, Variable Rate, 4.08%, due 12/09/41 | 4354214 |
| 9000000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41 | 8312474 |
| 15516000 | COMM Mortgage Trust, Series 24-277P, Class A, 144A, 6.34%, due 08/10/44 | 16372354 |
| 26327712 | COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51 | 25766350 |
| 8625000 | Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40 | 7751749 |
| 13916000 | Houston Galleria Mall Trust, Series 25-HGLR, Class A, 144A, Variable Rate, 5.64%, due 02/05/45 | 14585563 |
| 11393000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 24-OMNI, Class A, 144A, Variable Rate, 5.99%, due 10/05/39 | 11600325 |
| 14600000 | MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40 | 13182493 |
| 7008749 | OBX Trust, Series 25-NQM8, Class Al, 144A, Step Up, 5.47%, due 03/25/65 | 7054476 |
| 4000000 | ROCK Trust, Series 24-CNTR, Class A, 144A, 5.39%, due 11/13/41 | 4125524 |
| 4000000 | ROCK Trust, Series 24-CNTR, Class E, 144A, 8.82%, due 11/13/41 | 4222381 |
| 1362979 | Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52 | 1242117 |
| 3715390 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 5.81%, due 11/23/43 | 3695734 |
| 11594960 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 6.53%, due 03/23/45 | 10682935 |
| 2285000 | Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52 | 2180361 |
| 2442804 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class B, Variable Rate, 4.21%, due 08/15/47 | 2383908 |
| 9814966 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class C, Variable Rate, 4.23%, due 08/15/47 | 9225970 |
|  | Total Commercial Mortgage-Backed Securities | 286491407 |
|  | **Credit Cards — 1.1%** | **Credit Cards — 1.1%** |
| 13695000 | American Express Credit Account Master Trust, Series 24-3, Class A, 4.65%, due 07/15/29 | 13878275 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Other — 9.7%** | **Residential Mortgage-Backed Securities —<br>Other — 9.7%** |
| 734336 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 4.35%, due 02/25/36 | 50277 |
| 2040944 | ACE Securities Corp. Home Equity Loan Trust, Series 05-SD3, Class M2, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 6.32%, due 08/25/45 | 1862451 |
| 17663707 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.43%, due 02/25/36 | 513016 |
| 8199586 | Angel Oak Mortgage Trust, Series 25-5, Class A1, 144A, Step Up, 5.57%, due 04/25/70 | 8261310 |
| 1327993 | Atlas Senior Loan Fund XV Ltd., Series 19-15A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.22%, 5.08%, due 10/23/32 | 1329492 |
| 13743281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/28 | 1107983 |
| 1937569 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 1924636 |
| 8834023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/17/29 | 537148 |
| 2928137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 197512 |
| 4478979 | Bear Steams Mortgage Funding Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.27%, 4.23%, due 01/25/37 | 3978277 |
| 74153 | Bear Steams Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.39%, due 02/25/37 | 95561 |
| 944904 | Conseco Finance Corp., Series 97-6, Class Ml, Variable Rate, 7.21%, due 01/15/29 | 960160 |
| 916718 | Conseco Finance Corp., Series 98-6, Class Ml, Variable Rate, 6.63%, due 06/01/30 | 930533 |
| 4219126 | Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33 | 4273158 |
| 4640579 | Conseco Finance Securitizations Corp., Series 01-3, Class Ml, Variable Rate, 7.15%, due 05/01/33 | 4816723 |
| 3685703 | Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33 | 3641643 |
| 515225 | CoreVest American Finance Ltd., Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 508281 |
| 1401475 | Dryden 40 Senior Loan Fund, Series 15-40A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 5.00%, due 08/15/31 | 1402276 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Other — continued** | **Residential Mortgage-Backed Securities —<br>Other — continued** |
| 6188118 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | 6047285 |
| 2065676 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.57%, due 10/25/34 | 2045650 |
| 1079209 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 1069287 |
| 4328989 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.41%, due 09/25/35 | 47530 |
| 7633491 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 1378580 |
| 8346803 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 782841 |
| 8485464 | Invitation Homes Trust, Series 24-SFR1, Class A, 144A, 4.00%, due 09/17/41 | 8358959 |
| 3332776 | Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40 | 3173856 |
| 3481919 | MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.39%, due 03/25/36 | 187017 |
| 84047 | Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 4.30%, due 02/26/34 | 78511 |
| 741413 | New Century Home Equity Loan Trust, Series 03-B, Class Ml, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 5.04%, due 10/25/33 | 747454 |
| 13460399 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 4.27%, due 03/25/36 | 285760 |
| 7678088 | New Century Home Equity Loan Trust, Series 06-S1, Class Al, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 4.41%, due 03/25/36 | 162918 |
| 20470627 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 4.47%, due 03/25/36 | 434245 |
| 10725 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class Ml, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.01%, due 08/25/35<sup>(a)</sup> | 221160 |
| 1297409 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19 | 1259586 |
| 538518 | Oakwood Mortgage Investors, Inc., Series 98-A, Class Bl, Variable Rate, 7.50%, due 05/15/28 | 540743 |
| 1927470 | Oakwood Mortgage Investors, Inc., Series 98-D, Class Ml, 144A, 7.42%, due 01/15/29 | 1940635 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Other — continued** | **Residential Mortgage-Backed Securities —<br>Other — continued** |
| 5702990 | Oakwood Mortgage Investors, Inc., Series 99-E, Class Al, Variable Rate, 7.61%, due 03/15/30 | 2274331 |
| 11752084 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 1452514 |
| 3279241 | Oakwood Mortgage Investors, Inc., Series 01-B, Class Ml, 144A, Variable Rate, 7.92%, due 03/15/31 | 3231381 |
| 2460710 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 970873 |
| 267963 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 263496 |
| 1863337 | Oakwood Mortgage Investors, Inc., Series 02-C, Class Ml, Variable Rate, 6.89%, due 11/15/32 | 1883832 |
| 1278902 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40 | 1216442 |
| 3391927 | RALI Trust, Series 05-QS11, Class Al, 5.50%, due 07/25/35 | 2902751 |
| 12773300 | Tricon American Homes, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38 | 12541567 |
| 11107536 | Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38 | 11045897 |
| 5707392 | Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39 | 5430547 |
| 9936339 | Tricon Residential Trust, Series 24-SFR4, Class A, 144A, 4.30%, due 11/17/41 | 9905184 |
| 1314637 | UCFC Manufactured Housing Contract, Series 98-2, Class Ml, 6.73%, due 10/15/29 | 1275582 |
| 4626407 | Verus Securitization Trust, Series 22-5, Class Al, 144A, Step Up, 3.80%, due 04/25/67 | 4593251 |
|  | Total Residential Mortgage-Backed Securities — Other | 124140102 |
|  | **Residential Mortgage-Backed Securities —<br>Performing Loans — 0.6%** | **Residential Mortgage-Backed Securities —<br>Performing Loans — 0.6%** |
| 1912677 | Ajax Mortgage Loan Trust, Series 21-A, Class Al, 144A, Variable Rate, 1.07%, due 09/25/65 | 1736606 |
| 3359189 | COLT Trust, Series 21-RPL1, Class Al, 144A, Variable Rate, 1.67%, due 09/25/61 | 3113033 |
| 3725481 | CSMC Trust, Series 21-RPL2, Class Al A, 144A, Variable Rate, 1.11%, due 01/25/60 | 3191860 |
|  | Total Residential Mortgage-Backed Securities — Performing Loans | 8041499 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Prime — 2.5%** | **Residential Mortgage-Backed Securities —<br>Prime — 2.5%** |
| 7238353 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 4.28%, due 10/25/46 | 3653372 |
| 341790 | Bear Steams ARM Trust, Series 05-9, Class Al, Variable Rate, 1 yr. CMT + 2.30%, 6.42%, due 10/25/35 | 331088 |
| 3588210 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 1869903 |
| 1005933 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.95%, due 12/25/36 | 764552 |
| 770958 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.05%, due 03/25/37 | 594751 |
| 6267351 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.51%, due 04/25/46 | 5882243 |
| 1599490 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 638631 |
| 50789310 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 6.23%, due 09/25/35<sup>(a)</sup> |  |
| 3751610 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 5.48%, due 05/25/35 | 3065172 |
| 2986664 | Structured Asset Mortgage Investments II Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.39%, due 01/25/37 | 2738326 |
| 595708 | WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.67%, due 09/25/35 | 566570 |
| 760079 | WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 5.33%, due 01/25/47 | 717210 |
| 1516477 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 4.52%, due 06/25/35 | 1322697 |
| 1616615 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.67%, due 12/25/35 | 1433444 |
| 3844827 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.10%, due 10/25/36 | 1282743 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Prime — continued** | **Residential Mortgage-Backed Securities —<br>Prime — continued** |
| 7150641 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37 | 6672262 |
|  | Total Residential Mortgage-Backed Securities — Prime | 31532964 |
|  | **Residential Mortgage-Backed Securities —<br>Subprime — 1.9%** | **Residential Mortgage-Backed Securities —<br>Subprime — 1.9%** |
| 668492 | ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.11%, due 06/25/35 | 658717 |
| 527057 | BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 5.09%, due 05/26/37 | 516681 |
| 14473952 | Bravo Mortgage Asset Trust, Series 06-1A, Class Ml, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.67%, due 07/25/36 | 13214937 |
| 301984 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.25%, 4.21%, due 12/25/36 | 298296 |
| 657972 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.28%, due 11/20/34 | 633290 |
| 1842976 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class Al, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 4.17%, due 09/25/36 | 1782130 |
| 1759132 | Home Equity Asset Trust, Series 06-2, Class Ml, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 4.64%, due 05/25/36 | 1816943 |
| 662327 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.57%, due 08/25/37 | 657115 |
| 2314760 | Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 0.91%, 5.27%, due 01/25/35 | 2262628 |
| 1080570 | Saxon Asset Securities Trust, Series 04-3, Class Ml, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.97%, due 12/26/34 | 1055642 |
| 1470334 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-AR9, Class 2A, Variable Rate, 1 yr. MTA + 0.84%, 4.92%, due 11/25/46 | 1289104 |
|  | Total Residential Mortgage-Backed<br> Securities — Subprime | 24185483 |
|  | **Residential Mortgage-Backed Securities —<br>Alt-A — 3.3%** | **Residential Mortgage-Backed Securities —<br>Alt-A — 3.3%** |
| 790317 | Bear Steams ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.97%, due 11/25/34 | 792679 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Alt-A — continued** | **Residential Mortgage-Backed Securities —<br>Alt-A — continued** |
| 1564595 | Bear Steams ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.39%, due 01/25/47 | 1370075 |
| 1179451 | Bear Steams Asset-Backed Securities I Trust, Series 04-AC5, Class Al, Step Up, 5.25%, due 10/25/34 | 1149389 |
| 3198939 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.79%, due 07/25/36 | 1765950 |
| 98391 | Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 98711 |
| 2021740 | Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35 | 1521698 |
| 1478105 | Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 4.77%, due 05/25/36 | 599188 |
| 1535131 | Countrywide Alternative Loan Trust, Series 06-28CB, Class Al, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 4.77%, due 10/25/36 | 546129 |
| 2125106 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 06-AF1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.67%, due 04/25/36 | 2031010 |
| 7463831 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 07-AR2, Class Al, Variable Rate, 1 mo. USD Term SOFR + 0.41%, 4.37%, due 03/25/37 | 7179539 |
| 4004148 | Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 6.62%, due 10/25/35 | 2573595 |
| 10241138 | GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.39%, due 06/25/36 | 1906421 |
| 10206548 | GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.28%, due 06/25/47 | 5856869 |
| 5292189 | HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.29%, due 07/19/37 | 5155602 |
| 26996 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 26871 |
| 1019285 | Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 7.07%, due 10/25/37 | 1003757 |
| 2475199 | Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35 | 1218335 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Alt-A — continued** | **Residential Mortgage-Backed Securities —<br>Alt-A — continued** |
| 15303444 | Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36 | 3706154 |
| 7574330 | Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.61%, due 08/25/37 | 3299732 |
|  | Total Residential Mortgage-Backed <br>Securities — Alt-A | 41801704 |
|  | **Small Balance Commercial Mortgages — 4.7%** | **Small Balance Commercial Mortgages — 4.7%** |
| 1976965 | Bayview Commercial Asset Trust, Series 05-2A, Class Al, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 4.53%, due 08/25/35 | 1932169 |
| 965295 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 4.69%, due 01/25/36 | 924057 |
| 1259120 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.61%, due 04/25/36 | 1197193 |
| 506138 | Bayview Commercial Asset Trust, Series 06-1A, Class Ml, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 4.64%, due 04/25/36 | 475512 |
| 684418 | Bayview Commercial Asset Trust, Series 06-2A, Class Al, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.41%, due 07/25/36 | 663676 |
| 1399985 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.49%, due 07/25/36 | 1361005 |
| 3239298 | Bayview Commercial Asset Trust, Series 06-3A, Class Al, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 4.44%, due 10/25/36 | 3133416 |
| 5434472 | Bayview Commercial Asset Trust, Series<br> 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.49%, due 01/25/37 | 5203592 |
| 924539 | Bayview Commercial Asset Trust, Series 07-1, Class Al, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 4.40%, due 03/25/37 | 889712 |
| 1597654 | Bayview Commercial Asset Trust, Series 07-3, Class Al, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.43%, due 07/25/37 | 1539345 |
| 4573616 | Bayview Commercial Asset Trust, Series<br> 07-2A, Class Al, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.52%, 4.47%, due 07/25/37 | 4293829 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Small Balance Commercial Mortgages —<br>continued** | **Small Balance Commercial Mortgages —<br>continued** |
| 5979582 | Bayview Commercial Asset Trust, Series 07-4A, Class Al, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.79%, 4.74%, due 09/25/37 | 5687640 |
| 831385 | Bayview Commercial Asset Trust, Series 08-1, Class A4,144A, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 6.32%, due 01/25/38 | 821874 |
| 75691547 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 0.00, due 05/25/30 | 2862738 |
| 92887195 | FRESB Mortgage Trust, Series 19-SB63, Class X1, Variable Rate, 1.81%, due 04/25/39 | &nbsp;&nbsp;&nbsp;&nbsp;3203299 |
| 35071520 | FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 0.00, due 03/25/40 | 1318363 |
| 132093043 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.17%, due 06/25/40 | 5110244 |
| 1295000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M4, 144A, Variable Rate, 4.64%, due 09/25/46 | 1269884 |
| 3500000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46 | 3423237 |
| 3230000 | Harvest Commercial Capital Loan Trust, Series 20-1, Class M4, 144A, Variable Rate, 5.96%, due 04/25/52 | 3220656 |
| 1747263 | Harvest Commercial Capital Loan Trust, Series 24-1, Class A, 6.16%, due 10/25/56 | 1801183 |
| 2111576 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1 A, Class Ml, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.57%, due 03/25/37 | 1947558 |
| 3731451 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class Ml, 144A, Variable Rate, 5.50%, due 10/25/37 | 3734691 |
| 3562933 | Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51 | 3235519 |
| 1243761 | Velocity Commercial Capital Loan Trust, Series 21-4, Class M3,144A, Variable Rate, 3.81%, due 12/26/51 | 1041139 |
|  | Total Small Balance Commercial Mortgages | 60291531 |
|  | **Student Loans — Federal Family Education Loan<br>Program — 4.2%** | **Student Loans — Federal Family Education Loan<br>Program — 4.2%** |
| 7350672 | AccessLex Institute, Series 04-2, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 4.91%, due 04/26/32 | 7267850 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Student Loans — Federal Family Education Loan<br>Program — continued** | **Student Loans — Federal Family Education Loan<br>Program — continued** |
| 3095785 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 5.27%, due 01/25/43 | 2827264 |
| 9761242 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 5.53%, due 06/15/40 | 9676381 |
| 7482198 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 6.22%, due 07/25/22 | &nbsp;&nbsp;&nbsp;&nbsp;7499134 |
| 7653884 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 6.27%, due 07/25/23 | 7691064 |
| 3983896 | SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 4.90%, due 01/25/49 | 3929907 |
| 15494048 | SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 5.67%, due 07/26/83 | 15408045 |
|  | Total Student Loans — Federal Family Education Loan Program | 54299645 |
|  | **Student Loans — Private — 12.3%** |  |
| 2606984 | Commonbond Student Loan Trust, Series 21-AGS, Class A, 144A, 1.20%, due 03/25/52 | 2234333 |
| 1147667 | ELFI Graduate Loan Program LLC, Series 21-A, Class A, 144A, 1.53%, due 12/26/46 | 1033506 |
| 4584282 | KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 5.55%, due 12/27/38 | 4498257 |
| 11586833 | KeyCorp Student Loan Trust, Series 06-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 5.40%, due 03/27/42 | 9658135 |
| 3645302 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 5.37%, due 07/28/42 | 3516523 |
| 8758011 | National Collegiate Commutation Trust, Series 07-3, Class A3R4,144A, Variable Rate, 7-DayAuct + 0.00%, 8.64%, due 03/31/38<sup>(a)</sup> | 1149489 |
| 7625000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28 day ARS + 0.00%, 8.07%, due 03/25/38<sup>(a)</sup> | 1000781 |
| 898577 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.38%, due 05/25/32 | 894272 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Student Loans — Private — continued** | **Student Loans — Private — continued** |
| 2728431 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 4.36%, due 01/25/33 | 2683772 |
| 3059664 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.42%, due 03/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;3028929 |
| 901406 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 4.44%, due 06/25/33 | 894693 |
| 7177456 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.37%, due 10/25/33 | 7096719 |
| 24944 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 7.75%, due 03/25/38 <sup>(b)</sup> | 19442 |
| 75000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 7.75%, due 03/25/38 <sup>(b)</sup> | 58455 |
| 3637760 | Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70 | 3340856 |
| 1083199 | Navient Student Loan Trust, Series 23-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 5.84%, due 03/15/72 | 1092723 |
| 2012091 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 1899929 |
| 3041723 | Nelnet Student Loan Trust, Series 21-DA, Class AFL, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.80%, 4.76%, due 04/20/62 | 3028094 |
| 1939289 | SLM Private Credit Student Loan Trust, Series 03-A, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.90%, due 06/15/32 | 937977 |
| 1797000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 7.03%, due 06/15/32 <sup>(b)</sup> | 1791250 |
| 5400350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.90%, due 09/15/32 | 1442778 |
| 850000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 <sup>(b)</sup> | 847280 |
| 2306007 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 4.70%, due 06/15/33 | 2300004 |
| 5308318 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 4.73%, due 09/15/33 | 5248895 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Student Loans — Private — continued** | **Student Loans — Private — continued** |
| 12317503 | SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 4.61%, due 12/15/38 | 12158746 |
| 14192035 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 4.59%, due 06/15/39 | 13660034 |
| 8763448 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 4.63%, due 06/15/39 | &nbsp;&nbsp;&nbsp;&nbsp;8560678 |
| 1334104 | SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 4.50%, due 12/15/39 | 1298760 |
| 6783112 | SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 4.57%, due 12/15/39 | 6630718 |
| 2672291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 4.69%, due 12/15/39 | 2527233 |
| 8973423 | SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 4.54%, due 12/16/41 | 8823687 |
| 3291261 | SLM Private Education Loan Trust, Series 10-C, Class A5,144A, Variable Rate, 1 mo. USD Term SOFR + 4.86%, 8.82%, due 10/15/41 | 3459674 |
| 4014846 | SLM Student Loan Trust, Series 08-2, Class A3, Variable Rate, 90 day USD SOFR Average + 1.01%, 5.32%, due 04/25/23 | 4014738 |
| 1274406 | SMB Private Education Loan Trust, Series 15-B, Class B, 144A, 3.50%, due 12/17/40 | 1271128 |
| 1150000 | SMB Private Education Loan Trust, Series 14-A, Class C, 144A, 4.50%, due 09/15/45 | 1003361 |
| 13296097 | SMB Private Education Loan Trust, Series 21-A, Class B, 144A, 2.31%, due 01/15/53 | 12999765 |
| 1000 | SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 <sup>(b)</sup> | 473209 |
| 263443 | South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 5.57%, due 01/25/36 | 263490 |
| 2258822 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 5.12%, due 01/25/46 | 2258564 |
| 17741000 | Towd Point Asset Trust, Series 21-SL1, Class C, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.51%, 5.47%, due 11/20/61 | 17522438 |
|  | Total Student Loans — Private | 156623315 |
|  | Total Asset-Backed Securities | 917185795 |

---

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
| | **U.S. Government — 15.9%** | |
| 190150000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 <sup>(c)</sup> | 190097899 |
| 13200000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 <sup>(c)</sup> | 13195969 |
|  | Total U.S. Government | 203293868 |
|  | **U.S. Government Agency — 8.1%** | **U.S. Government Agency — 8.1%** |
| 13800000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/39 | 14122263 |
| 33263000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/54 | 33682314 |
| 48970000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54 | 50137893 |
| 4600000 | Uniform Mortgage-Backed Security, TBA, 6.50%, due 12/01/54 | 4765165 |
|  | Total U.S. Government Agency | 102707635 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $1,292,582,374) | 1223187298 |
|  | **INVESTMENT FUNDS — 0.9%** | **INVESTMENT FUNDS — 0.9%** |
|  | **United States — 0.9%** | **United States — 0.9%** |
| 2323242 | GMO U.S. Treasury Fund, Class VI <sup>(d)</sup> | 11639444 |
| 2000 | GMO Ultra-Short Income ETF <sup>(d)</sup> | 100103 |
|  | Total United States | 11739547 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $11,803,621) | 11739547 |
|  | **SHORT-TERM INVESTMENTS — 9.4%** | **SHORT-TERM INVESTMENTS — 9.4%** |
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 4389281 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88%<sup>(e)</sup> | 4389281 |
|  | **Repurchase Agreements — 9.0%** | **Repurchase Agreements — 9.0%** |
| 115000525 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/28/25 maturing on 12/01/25 with a maturity value of $115,039,338 and an effective yield of 4.05%, collateralized by a U.S. Treasury Note with maturity date 05/31/30 and a market value of $115,066,857. | 115000525 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $119,389,806) | 119389806 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

**PURCHASED OPTIONS — 0.0%** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Rate** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Value**<br> **($)** |
| **Options on Exchange-Traded Futures Contract - Puts — 0.0%** |  |  |  |  |  |
|  3-Month SOFR Futures | 95.63 | 12/12/25 | 1622500 | USD 155,613,975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4056 |

---

---

| | |
|:---|:---|
| TOTAL PURCHASED OPTIONS<br> (COST $65,964) | 4056 |
| **TOTAL INVESTMENTS — 106.1%**<br> (Cost $1,423,841,765) | **1354320707** |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **SECURITIES SOLD SHORT — (3.7)%** | **SECURITIES SOLD SHORT — (3.7)%** |
| | **DEBT OBLIGATIONS — (3.7)%** | **DEBT OBLIGATIONS — (3.7)%** |
| | **U.S. Government Agency — (3.7)%** | **U.S. Government Agency — (3.7)%** |
| (12880000) | Uniform Mortgage-Backed Security, TBA, 4.00%, due 12/01/55 | (12272121) |
| (5520000) | Uniform Mortgage-Backed Security, TBA, 4.50%, due 12/01/55 | (5405838) |
| (20000000) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 12/01/40 | (18924048) |
| (10500000) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54 | (10753697) |
|  | Total U.S. Government Agency | (47355704) |
|  | TOTAL DEBT OBLIGATIONS<br> (PROCEEDS $47,119,378) | (47355704) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $47,119,378) | (47355704) |
|  | Other Assets and Liabilities (net) — (2.4)% | (30207649) |
|  | **TOTAL NET ASSETS — 100.0%** | $**1276757354** |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency Sold** | **Currency Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net**<br>**Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 01/30/2026 | DB | EUR | 8367000 | USD | 9782732 | 43730 |
| 01/30/2026 | DB | USD | 263756 | EUR | 227000 | 467 |
| 01/30/2026 | DB | EUR | 94000 | USD | 109221 | (193) |
| 01/30/2026 | MSCI | EUR | 91000 | USD | 104919 | (1004) |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Currency Sold** | **Currency Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net**<br>**Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 01/30/2026 DB | USD | 2538343 | EUR | 2171000 | (11347) |
|  |  |  |  |  | $31653 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 497 | U.S. Treasury Note 10 Yr. (CBT) | March 2026 | 56331844 | 53703 |
| 429 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 89600672 | (34017) |
| 354 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2026 | 41135906 | 88033 |
| 5 | U.S. Ultra Bond (CBT) | March 2026 | 604688 | 3430 |
|  |  |  | $187673110 | $111149 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Sales |  |  |  |  |
| 361 | U.S. Treasury Note 5 Yr. (CBT) | March<br>2026 | $39625391 | $29742 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Written Options** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise**<br>**Rate** | **Expiration**<br>**Date** | **Principal/<br>Notional<br>Amount** | **Principal/<br>Notional<br>Amount** | **Floating<br>Rate Index** | **Pay/Receive**<br>**Floating Rate** | **Value**<br>**($)** |
| **Written Options on Credit Default Swaps - Puts** |  |  |  |  |  |  |  |  |
|  ITRAXX.FINSR.44 | BOA | 0.75% | 01/21/26 | EUR | (52212000) | Put | Pay | (33065) |
|  ITRAXX.FINSR.44 | JPM | 0.75% | 01/21/26 | EUR | (52212000) | Put | Pay | (33065) |
|  |  |  |  | Total Written Option on Credit Default Swaps — Puts | Total Written Option on Credit Default Swaps — Puts | Total Written Option on Credit Default Swaps — Puts | Total Written Option on Credit Default Swaps — Puts | (66130) |
|  |  |  |  | TOTAL WRITTEN OPTIONS<br> (Premiums $147,892) | TOTAL WRITTEN OPTIONS<br> (Premiums $147,892) | TOTAL WRITTEN OPTIONS<br> (Premiums $147,892) | TOTAL WRITTEN OPTIONS<br> (Premiums $147,892) | $(66130) |

---

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual**<br> **Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration**<br>**Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized**<br>**Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  CDX.NA.IG.S45 | USD | 152730000 | 1.00% | 0.51% | N/A | 12/20/2030 | Quarterly | (3516450) | (3435509) | 80941 |
|  ITRAXX.EUR.44 | EUR | 23700000 | 1.00% | 0.53% | N/A | 12/20/2030 | Quarterly | (590879) | (616584) | (25705) |
|  ITRAXX.FINSR.44 | EUR | 104424000 | 1.00% | 0.57% | N/A | 12/20/2030 | Quarterly | (2290097) | (2490131) | (200034) |
|  ITRAXX.XO.42 | EUR | 21453167 | 5.00% | 2.38% | N/A | 12/20/2029 | Quarterly | (1906872) | (2378038) | (471166) |
|  ITRAXX.EUR.42 | EUR | 47150000 | 1.00% | 0.42% | N/A | 12/20/2029 | Quarterly | (881120) | (1235253) | (354133) |
|  CDX.NA.IG.44 | USD | 20000000 | 1.00% | 0.47% | N/A | 06/20/2030 | Quarterly | (459727) | (447700) | 12027 |
|  |  |  |  |  |  |  |  | $(9645145) | $(10603215) | $(958070) |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**OTC Credit Default Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  CDX.NA.HY.43 | GS | USD | 11900000 | 5.00% | 2.63% | N/A | 12/20/2029 | Quarterly | (896533) | (1055370) | (158837) |
|  CMBX.NA.A.7 | CGMI | USD | 317171 | 2.00% | 156.47% | N/A | 01/17/2047 | Monthly | 19918 | 85985 | 66067 |
|  CMBX.NA.A.7 | CGMI | USD | 2233597 | 2.00% | 156.47% | N/A | 01/17/2047 | Monthly | 132620 | 605528 | 472908 |
|  CMBX.NA.A.7 | GS | USD | 634342 | 2.00% | 156.47% | N/A | 01/17/2047 | Monthly | 34924 | 171970 | 137046 |
|  CMBX.NA.AS.7 | BOA | USD | 252950 | 1.00% | 1.35% | N/A | 01/17/2047 | Monthly | 2659 | 66 | (2593) |
|  CMBX.NA.AS.7 | DB | USD | 427180 | 1.00% | 1.35% | N/A | 01/17/2047 | Monthly | (6732) | 112 | 6844 |
|  CMBX.NA.AS.7 | DB | USD | 936438 | 1.00% | 1.35% | N/A | 01/17/2047 | Monthly | 11081 | 246 | (10835) |
|  CMBX.NA.AS.7 | GS | USD | 247055 | 1.00% | 1.35% | N/A | 01/17/2047 | Monthly | 6334 | 65 | (6269) |
|  CMBX.NA.AS.7 | MORD | USD | 745095 | 1.00% | 1.35% | N/A | 01/17/2047 | Monthly | 11554 | 196 | (11358) |
|  CMBX.NA.AA.11 | CGMI | USD | 4000000 | 1.50% | 1.77% | N/A | 11/18/2054 | Monthly | (6041) | 18657 | 24698 |
|  CMBX.NA.AA.11 | CGMI | USD | 4626000 | 1.50% | 1.77% | N/A | 11/18/2054 | Monthly | (63740) | 21577 | 85317 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.77% | N/A | 11/18/2054 | Monthly | (67279) | 21570 | 88849 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.77% | N/A | 11/18/2054 | Monthly | (61371) | 21570 | 82941 |
|  CMBX.NA.BBB-.11 | CGMI | USD | 5215000 | 3.00% | 10.79% | N/A | 11/18/2054 | Monthly | 798547 | 676212 | (122335) |
|  CMBX.NA.BBB-.11 | CGMI | USD | 5752000 | 3.00% | 10.79% | N/A | 11/18/2054 | Monthly | 1213313 | 745843 | (467470) |
|  CMBX.NA.BBB-.11 | GS | USD | 9940000 | 3.00% | 10.79% | N/A | 11/18/2054 | Monthly | 1289094 | 1288887 | (207) |
|  CMBX.NA.A.8 | CGMI | USD | 2663103 | 2.00% | 66.24% | N/A | 10/17/2057 | Monthly | 139813 | 142920 | 3107 |
|  CMBX.NA.A.8 | GS | USD | 974163 | 2.00% | 66.24% | N/A | 10/17/2057 | Monthly | 16453 | 52280 | 35827 |
|  CMBX.NA.A.8 | MORD | USD | 1065241 | 2.00% | 66.24% | N/A | 10/17/2057 | Monthly | 57257 | 57168 | (89) |
|  CMBX.NA.BBB-.18 | GS | USD | 5156000 | 3.00% | 6.04% | N/A | 12/17/2057 | Monthly | 331918 | 490808 | 158890 |
|  CMBX.NA.BBB-.18 | GS | USD | 8160000 | 3.00% | 6.04% | N/A | 12/17/2057 | Monthly | 633175 | 776764 | 143589 |
|  CMBX.NA.BBB-.18 | MSCI | USD | 5156000 | 3.00% | 6.04% | N/A | 12/17/2057 | Monthly | 360920 | 490808 | 129888 |
|  CMBX.NA.BBB-.9 | MORD | USD | 3048126 | 3.00% | 268.34% | N/A | 09/17/2058 | Monthly | 348327 | 722609 | 374282 |
|  CMBX.NA.AA.12 | GS | USD | 6974000 | 1.50% | 1.74% | N/A | 08/17/2061 | Monthly | (61732) | 43054 | 104786 |
|  CMBX.NA.AA.6 | GS | USD | 489974 | 1.50% | 35.14% | N/A | 05/11/2063 | Monthly | 3634 | 58511 | 54877 |
|  CMBX.NA.BBB-.6 | CGMI | USD | 1647177 | 3.00% | 19.00% | N/A | 05/11/2063 | Monthly | 523116 | 187321 | (335795) |
|  CMBX.NA.BBB-.6 | GS | USD | 1572410 | 3.00% | 19.00% | N/A | 05/11/2063 | Monthly | 222103 | 178819 | (43284) |
|  CMBX.NA.A.15 | CGMI | USD | 5000000 | 2.00% | 2.92% | N/A | 11/18/2064 | Monthly | 600000 | 214335 | (385665) |
|  CMBX.NA.A.15 | MORD | USD | 3000000 | 2.00% | 2.92% | N/A | 11/18/2064 | Monthly | 287104 | 128601 | (158503) |
|  CMBX.NA.A.15 | MSCI | USD | 4560000 | 2.00% | 2.92% | N/A | 11/18/2064 | Monthly | 275394 | 195473 | (79921) |
|  CMBX.NA.BBB-.15 | CGMI | USD | 5000000 | 3.00% | 6.65% | N/A | 11/18/2064 | Monthly | 796875 | 772583 | (24292) |
|  CMBX.NA.BBB-.15 | GS | USD | 5000000 | 3.00% | 6.65% | N/A | 11/18/2064 | Monthly | 787500 | 772583 | (14917) |
|  CMBX.NA.BBB-.15 | MSCI | USD | 5000000 | 3.00% | 6.65% | N/A | 11/18/2064 | Monthly | 718500 | 772583 | 54083 |
|  CMBX.NA.A.14 | GS | USD | 2682000 | 2.00% | 3.41% | N/A | 12/16/2072 | Monthly | 349769 | 149025 | (200744) |
|  CMBX.NA.AA.13 | CGMI | USD | 2000000 | 1.50% | 1.82% | N/A | 12/16/2072 | Monthly | 147237 | 22227 | (125010) |
|  CMBX.NA.AA.13 | CGMI | USD | 3000000 | 1.50% | 1.82% | N/A | 12/16/2072 | Monthly | 138948 | 33340 | (105608) |
|  CMBX.NA.BBB-.14 | CGMI | USD | 3933500 | 3.00% | 8.17% | N/A | 12/16/2072 | Monthly | 1111214 | 721699 | (389515) |
|  CMBX.NA.BBB-.14 | GS | USD | 1360000 | 3.00% | 8.17% | N/A | 12/16/2072 | Monthly | 340000 | 249526 | (90474) |
|  **Sell Protection:** |  |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.39 | JPM | USD | 11060000 | 5.00% | 0.80% | 11,060,000 USD | 12/20/2027 | Quarterly | 962650 | 927594 | (35056) |
|  CDX.NA.HY.43 | GS | USD | 18250000 | 5.00% | 0.97% | 18,250,000 USD | 12/20/2029 | Quarterly | 2749160 | 2798995 | 49835 |
|  CDX.NA.HY.43 | MSCI | USD | 3967000 | 5.00% | 0.97% | 3,967,000 USD | 12/20/2029 | Quarterly | 595601 | 608417 | 12816 |
|  CDX.NA.HY.43 | GS | USD | 3060000 | 5.00% | 0.97% | 3,060,000 USD | 12/20/2029 | Quarterly | 288677 | 469311 | 180634 |
|  CDX.NA.HY.43 | GS | USD | 3060000 | 5.00% | 2.63% | 3,060,000 USD | 12/20/2029 | Quarterly | (161755) | 271381 | 433136 |
|  ITRAXX.EUR.42 | BOA | EUR | 78580000 | 1.00% | 0.20% | 78,580,000 EUR | 12/20/2029 | Quarterly | 2735205 | 2850378 | 115173 |
|  ITRAXX.XO.42 | CITI | EUR | 16100000 | 5.00% | 0.41% | 16,100,000 EUR | 12/20/2029 | Quarterly | 3122806 | 3218533 | 95727 |
|  ITRAXX.XO.42 | JPM | EUR | 31118246 | 5.00% | 0.41% | 31,118,246 EUR | 12/20/2029 | Quarterly | 6590292 | 6220813 | (369479) |
|  ITRAXX.EUR.44 | BOA | EUR | 39500000 | 1.00% | 0.28% | 39,500,000 EUR | 12/20/2030 | Quarterly | 1589343 | 1591061 | 1718 |
|  CMBX.NA.AA.7 | CGMI | USD | 797068 | 1.50% | 183.52% | 797,068 USD | 01/17/2047 | Monthly | (19927) | (99368) | (79441) |
|  CMBX.NA.BBB-.17 | GS | USD | 3966000 | 3.00% | 5.67% | 3,966,000 USD | 12/15/2056 | Monthly | (506904) | (563503) | (56599) |
|  CMBX.NA.BBB-.17 | MSCI | USD | 3966000 | 3.00% | 5.67% | 3,966,000 USD | 12/15/2056 | Monthly | (526734) | (563503) | (36769) |
|  CMBX.NA.AAA.10 | GS | USD | 7540000 | 0.50% | 0.12% | 7,540,000 USD | 11/17/2059 | Monthly | 68960 | 21882 | (47078) |
|  CMBX.NA.AAA.15 | CGMI | USD | 9997937 | 0.50% | 0.54% | 9,997,937 USD | 11/18/2064 | Monthly | (373031) | (17012) | 356019 |
|  CMBX.NA.AAA.15 | GS | USD | 2824417 | 0.50% | 0.54% | 2,824,417 USD | 11/18/2064 | Monthly | (43456) | (4806) | 38650 |
|  CMBX.NA.AAA.15 | MSCI | USD | 9118119 | 0.50% | 0.54% | 9,118,119 USD | 11/18/2064 | Monthly | (131714) | (15515) | 116199 |
|  |  |  |  |  |  |  |  |  | $27485046 | $27550809 | $65763 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**OTC Credit Default Swaps — continued** 

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. 

<sup>(2)</sup> 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**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.81% | USD - SOFR - COMPOUND | USD | 26000000 | 08/31/2029 | Annually | (8601) | (497069) | (488468) |

---

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on iBoxx |  |  |  |  |  |  |  |  |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD Liquid Leveraged Loans | SOFR | JPM | USD | 9130000 | 12/20/2025 | Quarterly | (37) | (82311) | (82274) |
|  Total Return on iBoxx |  |  |  |  |  |  |  |  |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD Liquid Leveraged Loans | SOFR | MSCI | USD | 9220000 | 12/20/2025 | Quarterly | 14 | (81076) | (81090) |
|  |  |  |  |  |  |  | $(23) | $(163387) | $(163364) |

---

As of November 30, 2025, 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)** 

**November 30, 2025 (Unaudited)** 

**Notes to Schedule of Investments:** 

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

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

(b) Investment valued using significant unobservable inputs.

(c) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap
contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(d) Affiliated company.

(e) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

ETF - Exchange-Traded Fund

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

IO - Interest Only

MTA - Monthly Treasury Average Index

SOFR - Secured Overnight Financing Rate

STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at August 31, 2025.

TBA - To Be Announced - Delayed Delivery Security

**Counterparty Abbreviations:** 

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

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

**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)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares/<br>Par Value** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 99.7%** | **SHORT-TERM INVESTMENTS — 99.7%** |
| | **Money Market Funds — 0.0%** | |
| 103191 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 3.93%<sup>(a)</sup> | 103191 |
|  | **Repurchase Agreements — 31.3%** |  |
| 160000863 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/28/25 maturing on 12/01/25 with a maturity value of $160,054,864 and an effective yield of 4.05%, collateralized by a U.S. Treasury Note with maturity date 05/31/30 and a market value of $160,093,150. | 160000863 |
| 21199408 | Daiwa Capital Markets America, Inc.<br> Repurchase Agreement, dated 11/28/25 maturing on 12/01/25 with a maturity value of $21,206,386 and an effective yield of 3.95%, collateralized by a U.S. Treasury Note with maturity date 02/15/28 and a market value of $21,661,551. | 21199408 |
|  | Total Repurchase Agreements | 181200271 |
|  | **U.S. Government — 68.4%** | **U.S. Government — 68.4%** |
| 92188000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 | 92162740 |
| 50000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 | 49984731 |
| 14199985 | U.S. Treasury Inflation-Indexed Bonds, 2.00%, due 01/15/26 | 14186118 |
| 14328404 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 04/15/26 | 14238765 |

---

---

| | | |
|:---|:---|:---|
| **Par Value** | <br> **Description** | **Value ($)** |
| | **U.S. Government — continued** | **U.S. Government — continued** |
| 14294300 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/26 | 14215687 |
| 14381092 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/26 | 14258208 |
| 20540000 | U.S. Treasury Notes, 4.25%, due 12/31/25 | 20546877 |
| 21139000 | U.S. Treasury Notes, 4.38%, due 07/31/26 | 21224877 |
| 21328000 | U.S. Treasury Notes, 3.75%, due 08/31/26 | 21332899 |
| 28243000 | U.S. Treasury Notes, 4.63%, due 09/15/26 | 28450410 |
| 27960000 | U.S. Treasury Notes, 4.25%, due 11/30/26 | 28122954 |
| 28050000 | U.S. Treasury Notes, 4.25%, due 12/31/26 | 28231887 |
| 28180000 | U.S. Treasury Notes, 4.13%, due 01/31/27 | 28341815 |
| 21680000 | U.S. Treasury Notes, 1.88%, due 02/28/27 | 21231156 |
|  | Total U.S. Government | 396529124 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $577,788,201) | 577832586 |
|  | **TOTAL INVESTMENTS — 99.7%**<br> (Cost $577,788,201) | **577832586** |
|  | Other Assets and Liabilities (net) — 0.3% | 1861912 |
|  | **TOTAL NET ASSETS — 100.0%** | **$579694498** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

------

**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.

Some of the Funds may 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 management 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 closing 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 valued at the price generally determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

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 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, prices 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 changes in valuation 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 November 30, 2025, 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 and exchange-traded 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; certain loan assignments valued using a vendor price of a comparable loan; certain investment funds whose valuations are based on monthly net asset value statements; 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 November 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | $9277305 | $— | $— | $9277305 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 9277305 |  |  | 9277305 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1313999 | 37999193 |  | 39313192 |
| &nbsp;&nbsp;&nbsp; Total Investments | 10591304 | 37999193 |  | 48590497 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 478375 |  |  | 478375 |
| &nbsp;&nbsp;&nbsp; Total | $11069679 | $37999193 | $— | $49068872 |
| &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $5269708 | $— | $5269708 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt |  | 182512490 | 15483636 | 197996126 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers |  | 1848636866 | 102690250 | 1951327116 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 60316090 |  |  | 60316090 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 60316090 | 2036419064 | 118173886 | 2214909040 |
| &nbsp;&nbsp;&nbsp; Loan Assignments |  |  | 23491864 | 23491864 |
| &nbsp;&nbsp;&nbsp; Loan Participations |  |  | 3419407 | 3419407 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  | 15318960 | 15318960 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  | 31916776 | 154465 | 32071241 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2624114 | 22213959 |  | 24838073 |
| &nbsp;&nbsp;&nbsp; Total Investments | 62940204 | 2090549799 | 160558582 | 2314048585 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 2066914 |  | 2066914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 2075209 |  | 2075209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 13690366 |  | 13690366 |
| &nbsp;&nbsp;&nbsp; Total | $62940204 | $2108382288 | $160558582 | $2331881074 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $(3211266) | $— | $(3211266) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (3211266) |  | (3211266) |
| &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (856791) |  | (856791) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (2249760) |  | (2249760) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (1477593) |  | (1477593) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(7795410) | $— | $(7795410) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**High Yield Fund** | &nbsp;&nbsp;&nbsp;**High Yield Fund** | &nbsp;&nbsp;&nbsp;**High Yield Fund** | &nbsp;&nbsp;&nbsp;**High Yield Fund** | &nbsp;&nbsp;&nbsp;**High Yield Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $30823490 | $— | $30823490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 66638885 |  |  | 66638885 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 66638885 | 30823490 |  | 97462375 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 4151948 | 23097062 |  | 27249010 |
| &nbsp;&nbsp;&nbsp; Total Investments | 70790833 | 53920552 |  | 124711385 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 858557 |  | 858557 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 1621 |  |  | 1621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 1286807 |  | 1286807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 625437 |  | 625437 |
| &nbsp;&nbsp;&nbsp; Total | $70792454 | $56691353 | $— | $127483807 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | $(2236) | $— | $— | $(2236) |
| &nbsp;&nbsp;&nbsp; Total | $(2236) | $— | $— | $(2236) |
| &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $19044514 | $— | $19044514 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 17950194 |  |  | 17950194 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 17186993 |  | 17186993 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 17950194 | 36231507 |  | 54181701 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 19361584 |  |  | 19361584 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1264633 | 30924055 |  | 32188688 |
| &nbsp;&nbsp;&nbsp; Total Investments | 38576411 | 67155562 |  | 105731973 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 146929 |  | 146929 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 45013 |  |  | 45013 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 67108 |  | 67108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 293060 |  | 293060 |
| &nbsp;&nbsp;&nbsp; Total | $38621424 | $67662659 | $— | $106284083 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $(122452) | $— | $(122452) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (5681) |  |  | (5681) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (187150) |  | (187150) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (306573) |  | (306573) |
| &nbsp;&nbsp;&nbsp; Total | $(5681) | $(616175) | $— | $(621856) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $911624729 | $5561066 | $917185795 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 203293868 |  |  | 203293868 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 102707635 |  | 102707635 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 203293868 | 1014332364 | 5561066 | 1223187298 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 11739547 |  |  | 11739547 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 4389281 | 115000525 |  | 119389806 |
| &nbsp;&nbsp;&nbsp; Purchased Options | 4056 |  |  | 4056 |
| &nbsp;&nbsp;&nbsp; Total Investments | 219426752 | 1129332889 | 5561066 | 1354320707 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 44197 |  | 44197 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 174908 |  |  | 174908 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 29869886 |  | 29869886 |
| &nbsp;&nbsp;&nbsp; Total | $219601660 | $1159246972 | $5561066 | $1384409698 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency | $— | $(47355704) | $— | $(47355704) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (47355704) |  | (47355704) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (12544) |  | (12544) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (34017) |  |  | (34017) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (66130) |  | (66130) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (12922292) |  | (12922292) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (163387) |  | (163387) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (497069) |  | (497069) |
| &nbsp;&nbsp;&nbsp; Total | $(34017) | $(61017126) | $— | $(61051143) |
| &nbsp;&nbsp;&nbsp;**U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp;**U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp;**U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp;**U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp;**U.S. Treasury Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | $339733537 | $238099049 | $— | $577832586 |
| &nbsp;&nbsp;&nbsp; Total Investments | 339733537 | 238099049 |  | 577832586 |
| &nbsp;&nbsp;&nbsp; Total | $339733537 | $238099049 | $— | $577832586 |

---

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 bond forward contracts and 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' financial statements which are available on the SEC's website at www.sec.gov or on GMO's website at www.gmo.com.

As of November 30, 2025, under U.S. GAAP the following Funds require additional disclosures about fair value measurements for 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 Enel Generacion Chile SA, 8.13%, due 02/01/97 which is valued based on the average of a selection of comparable bonds and applying a 270 basis point discount for liquidity considerations and an investment fund valued based on a monthly net asset value statement.

The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances as<br>of<br>February 28,<br>2025** | **Purchases** | **Sales** | **Accrued<br>Discounts/<br>Premiums** | **Total<br>Realized<br>Gain/**<br> **(Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Transfer<br>into**<br> **Level 3** | **Transfer<br>out of<br>Level 3** | **Balances<br>as of<br>November 30,<br>2025** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as of<br>November 30,<br>2025** |
| &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Debt Obligations** | &nbsp;&nbsp;&nbsp; **Debt Obligations** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $14400563 | $— | $— | $(1379) | $— | $1084452 | $— | $— | $15483636 | $1084452 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 118110776 |  | (40234445) | 1692904 | (173549) | 15903384 | 7391180‡ |  | 102690250 | 15763912 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 13164429 |  |  |  |  | 2154531 |  |  | 15318960 | 2154531 |
| &nbsp;&nbsp;&nbsp; Loan Assignments | 25781502 |  | (5014959) | 43451 | 310380 | 2371490 |  |  | 23491864 | 2787008 |
| &nbsp;&nbsp;&nbsp; Loan Participations | 4496624 |  | (944507) | 84312 | 26885 | (243907) |  |  | 3419407 | (243907) |
| &nbsp;&nbsp;&nbsp; Rights/Warrants | 200239 |  |  |  |  | (45774) |  |  | 154465 | (45774) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | 176154133 |  | (46193911) | 1819288 | 163716 | 21224176 | 7391180 |  | 160558582 | 21500222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total | $176154133 | $— | $(46193911) | $1819288 | $163716 | $21224176 | $7391180 | $— | $160558582 | $21500222 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

# Includes $7,934,257 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 November 30, 2025.

**Quantitative information about Level 3 Fair Value Measurements\*** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total Fair<br>Value ($)** | **Valuation<br>Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | | | | |
| &nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 9196035 | Fair Value | Discount for lack of liquidity/marketability | 0.50% - 1.60% (0.99%) |
| &nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 22635 | Fair Value | Discount for lack of liquidity/marketability | 99% (N/A) |
| &nbsp;&nbsp;&nbsp; Corporate Debt | 15483636 | Fair Value | Discount for lack of liquidity/marketability | 2.70% (N/A) |
| &nbsp;&nbsp;&nbsp; Loan Assignments | 9247408 | Fair Value | Vendor price of comparable loan | N/A |
| &nbsp;&nbsp;&nbsp;Loan Participations | 307132 | Fair Value | Discount for lack of liquidity/marketability | 5.00% (N/A) |
| &nbsp;&nbsp;&nbsp; Warrants | 154465 | Fair Value | Discount for lack of liquidity/marketability | 50% (N/A) |
| &nbsp;&nbsp;&nbsp; Investment Funds | 15318960 | Fair Value | Net asset value statement | (N/A) |

---

\* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2025, the value of these securities and/or derivatives for Emerging Country Debt Fund was $110,828,311. 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 November 30, 2025 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning<br>of period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain<br>(Loss)** | **Net<br>Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end<br>of period** |
| &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; Bona Fide Investment Holdings II LLC | $13164429 | $— | $— | $— | $— | $— | $2154531 | $15318960 |
| &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | $4020885 | $— | $— | $62804 | $— | $— | $560963 | $4581848 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 14731536 |  |  | 617339 |  |  | 48200 | 14779736 |
| &nbsp;&nbsp;&nbsp; Totals | $18752421 | $— | $— | $680143 | $— | $— | $609163 | $19361584 |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning<br>of period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain<br>(Loss)** | **Net<br>Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end<br>of period** |
| &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $11639444 | $— | $— | $368653 | $— | $— | $— | $11639444 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Ultra-Short Income ETF |  | 100080 |  | 264 |  |  | 23 | 100103 |
| &nbsp;&nbsp;&nbsp; Totals | $11639444 | $100080 | $— | $368917 | $— | $— | $23 | $11739547 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2025 through November 30, 2025. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2026. 

**Subsequent events** 

In December 2025, the Board of Trustees approved the liquidation of GMO Multi-Sector Fixed Income Fund. The Fund is expected to liquidate on or about February 11, 2026.

\*\*\*

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)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 138.5%** | **COMMON STOCKS — 138.5%** |
| | **Australia — 1.6%** | |
| 17688 | Aristocrat Leisure Ltd. <sup>(a)</sup> | 676046 |
| 82909 | BHP Group Ltd. <sup>(a)</sup> | 2268637 |
| 135423 | BlueScope Steel Ltd. <sup>(a)</sup> | 2157198 |
| 70152 | Brambles Ltd. <sup>(a)</sup> | 1105553 |
| 27401 | Computershare Ltd. <sup>(a)</sup> | 644189 |
| 77064 | Evolution Mining, Ltd. <sup>(a)</sup> | 600041 |
| 141970 | Fortescue Ltd. <sup>(a)</sup> | 1995328 |
| 61571 | James Hardie Industries PLC \* <sup>(a)</sup> <sup>(b) (c)</sup> | 1217874 |
| 97095 | Medibank Pvt Ltd. <sup>(a)</sup> | 301942 |
| 156301 | Stockland – (REIT) <sup>(a)</sup> | 616312 |
| 85055 | Vicinity Ltd. – (REIT) <sup>(a)</sup> | 137117 |
| 5886 | Wesfarmers Ltd. <sup>(a)</sup> | 315866 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;12036103 |
|  | **Austria — 0.2%** |  |
| 7341 | Erste Group Bank AG | 802412 |
| 12408 | OMV AG <sup>(a)</sup> | 686549 |
| 474 | Verbund AG <sup>(a)</sup> | 34949 |
|  | Total Austria | 1523910 |
|  | **Belgium — 0.4%** |  |
| 37344 | Ageas SA <sup>(a)</sup> | 2551452 |
| 1203 | KBC Group NV | 148092 |
| 290 | Sofina SA <sup>(a)</sup> | 81793 |
|  | Total Belgium | 2781337 |
|  | **Canada — 8.2%** |  |
| 3900 | Alimentation Couche-Tard, Inc. <sup>(a)</sup> | 213022 |
| 15000 | Canadian Tire Corp. Ltd. – Class A <sup>(a)</sup> | 1824967 |
| 11900 | CCL Industries, Inc. – Class B <sup>(a)</sup> | 727650 |
| 19900 | CGI, Inc. <sup>(a)</sup> | 1772481 |
| 18600 | Empire Co. Ltd. – Class A <sup>(a)</sup> | 684797 |
| 200 | Fairfax Financial Holdings Ltd. <sup>(a)</sup> | 344389 |
| 2000 | FirstService Corp. <sup>(a)</sup> | 314487 |
| 3100 | iA Financial Corp., Inc. <sup>(a)</sup> | 366157 |
| 19406 | IGM Financial, Inc. <sup>(a)</sup> | 792237 |
| 3000 | Kinross Gold Corp. <sup>(a)</sup> | 84540 |
| 42288 | Magna International, Inc. <sup>(a)</sup> <sup>(d)</sup> | 2065346 |
| 3400 | Magna International, Inc. <sup>(a)</sup> <sup>(d)</sup> | 166393 |
| 42597 | Manulife Financial Corp. <sup>(a)</sup> | 1499840 |
| 895387 | New Gold, Inc. \* <sup>(a)</sup> | 7476481 |
| 31751 | Nutrien Ltd. <sup>(c)</sup> (d) | 1846956 |
| 500 | Nutrien Ltd. <sup>(a)</sup> (d) | 29089 |
| 994800 | NuVista Energy Ltd. \* <sup>(a)</sup> | 13219390 |
| 48300 | Open Text Corp. <sup>(a)</sup> <sup>(d)</sup> | 1624812 |
| 10800 | Open Text Corp. <sup>(a)</sup> <sup>(d)</sup> | 363619 |
| 465807 | Pan American Silver Corp. (NASDAQ) | 21273406 |
| 37000 | Power Corp. of Canada <sup>(a)</sup> | 1883824 |
| 6900 | TFI International, Inc. <sup>(a)</sup> <sup>(b)</sup> | 603681 |
| 8100 | TMX Group Ltd. <sup>(a)</sup> | 297349 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Canada — continued** | |
| 25200 | Toronto-Dominion Bank <sup>(a)</sup> | 2121564 |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;61596477 |
|  | **China — 0.7%** |  |
| 969000 | AviChina Industry & Technology Co. Ltd. – Class H | 484119 |
| 45000 | Bank of Communications Co. Ltd. – Class H | 41344 |
| 61000 | Beijing Enterprises Holdings Ltd. | 267006 |
| 410000 | China Communications Services Corp. Ltd. – Class H | 256865 |
| 1419000 | China Construction Bank Corp. – Class H | 1494921 |
| 250000 | China National Building Material Co. Ltd. – Class H | 168317 |
| 231000 | China Overseas Land & Investment Ltd. | 396051 |
| 1137000 | China Railway Group Ltd. – Class H | 571862 |
| 202500 | China Resources Pharmaceutical Group Ltd. | 124742 |
| 58800 | China Taiping Insurance Holdings Co. Ltd. | 131740 |
| 841000 | CITIC Ltd. | 1318351 |
| 11735 | Qfin Holdings, Inc. <sup>(a)</sup> | 229184 |
|  | Total China | 5484502 |
|  | **Denmark — 1.1%** |  |
| 648 | AP Moller – Maersk AS – Class A <sup>(a)</sup> | 1299862 |
| 950 | AP Moller – Maersk AS – Class B <sup>(a)</sup> | 1900992 |
| 9349 | Genmab AS \* | 3003687 |
| 23968 | Novo Nordisk AS – Class B <sup>(a)</sup> | 1186964 |
| 32367 | Rockwool AS – B Shares <sup>(a)</sup> | 1094157 |
|  | Total Denmark | 8485662 |
|  | **Finland — 0.6%** |  |
| 20624 | Neste OYJ <sup>(a)</sup> | 398738 |
| 341169 | Nokia OYJ <sup>(a)</sup> | 2077760 |
| 10883 | Orion OYJ – Class B <sup>(a)</sup> | 779120 |
| 23564 | Wartsila OYJ Abp <sup>(a)</sup> | 764857 |
|  | Total Finland | 4020475 |
|  | **France — 2.2%** |  |
| 6167 | Amundi SA <sup>(a)</sup> | 493703 |
| 74905 | ArcelorMittal SA | 3246283 |
| 4885 | BioMerieux <sup>(a)</sup> | 612057 |
| 2331 | Capgemini SE <sup>(a)</sup> | 365227 |
| 6640 | Carrefour SA <sup>(a)</sup> | 102246 |
| 6003 | Cie de Saint-Gobain SA <sup>(a)</sup> | 599141 |
| 14758 | Cie Generale des Etablissements Michelin SCA <sup>(a)</sup> | 483056 |
| 45444 | Dassault Systemes SE <sup>(a)</sup> | 1272846 |
| 6649 | Ipsen SA | 959956 |
| 4497 | Legrand SA <sup>(a)</sup> | 682256 |
| 146 | L'Oreal SA <sup>(a)</sup> | 63683 |
| 3385 | LVMH Moet Hennessy Louis Vuitton SE <sup>(a)</sup> | 2501933 |
| 9045 | Safran SA <sup>(a)</sup> | 3040583 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **France — continued** | |
| 1898 | Schneider Electric SE <sup>(a)</sup> | 510762 |
| 4707 | STMicroelectronics NV | 108433 |
| 16513 | Teleperformance SE <sup>(a)</sup> | 1137278 |
| 6071 | TotalEnergies SE <sup>(a)</sup> | 399391 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;16578834 |
|  | **Germany — 2.2%** |  |
| 54308 | Bayer AG (Registered) <sup>(a)</sup> | 1921345 |
| 12644 | Bayerische Motoren Werke AG <sup>(a)</sup> | 1292381 |
| 13572 | Continental AG <sup>(a)</sup> | 1010314 |
| 2191 | Daimler Truck Holding AG <sup>(a)</sup> | 92745 |
| 14555 | Deutsche Post AG <sup>(a)</sup> | 757505 |
| 121860 | E.ON SE <sup>(a)</sup> | 2170600 |
| 1226 | GEA Group AG <sup>(a)</sup> | 83071 |
| 2983 | Heidelberg Materials AG <sup>(a)</sup> | 765974 |
| 17106 | Infineon Technologies AG | 722136 |
| 5915 | Knorr-Bremse AG <sup>(a)</sup> | 627444 |
| 29770 | Mercedes-Benz Group AG <sup>(a)</sup> | 2010365 |
| 407 | Rational AG <sup>(a)</sup> | 304263 |
| 13216 | SAP SE <sup>(a)</sup> | 3190474 |
| 5016 | Scout24 SE <sup>(a)</sup> | 513046 |
| 2431 | Siemens AG (Registered) <sup>(a)</sup> | 644710 |
| 3644 | Talanx AG <sup>(a)</sup> | 473507 |
|  | Total Germany | 16579880 |
|  | **Greece — 0.0%** |  |
| 24819 | Eurobank Ergasias Services & Holdings SA | 98303 |
|  | **Hong Kong — 2.0%** |  |
| 226000 | CK Asset Holdings Ltd. <sup>(a)</sup> | 1162025 |
| 227500 | CK Hutchison Holdings Ltd. <sup>(a)</sup> | 1604859 |
| 4063 | Futu Holdings Ltd. ADR <sup>(a)</sup> <sup>(c)</sup> | 689329 |
| 429917 | Hang Seng Bank Ltd. | 8418214 |
| 166000 | HKT Trust & HKT Ltd. <sup>(a)</sup> | 253979 |
| 211000 | SITC International Holdings Co. Ltd. | 725487 |
| 61000 | Sun Hung Kai Properties Ltd. <sup>(a)</sup> | 774721 |
| 57500 | Techtronic Industries Co. Ltd. <sup>(a)</sup> | 676264 |
| 785000 | WH Group Ltd. <sup>(a)</sup> | 822077 |
|  | Total Hong Kong | 15126955 |
|  | **Indonesia — 0.0%** |  |
| 382500 | Astra International Tbk. PT | 150667 |
| 168600 | Indofood Sukses Makmur Tbk. PT | 74451 |
|  | Total Indonesia | 225118 |
|  | **Ireland — 0.1%** |  |
| 5794 | Kingspan Group PLC | 497383 |
|  | **Israel — 2.8%** |  |
| 64888 | Bank Hapoalim BM | 1404567 |
| 97458 | Bank Leumi Le-Israel BM | 2043818 |
| 626 | Check Point Software Technologies Ltd. \* <sup>(c)</sup> | 116918 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Israel — continued** | |
| 32370 | CyberArk Software Ltd. \* <sup>(a)</sup> | 14844558 |
| 38023 | ICL Group Ltd. | 210751 |
| 39317 | Israel Discount Bank Ltd. – Class A | 411746 |
| 16682 | Nice Ltd. Sponsored ADR\* <sup>(a)</sup> | 1769460 |
| 2253 | Nice Ltd. \* | 235770 |
|  | Total Israel | &nbsp;&nbsp;&nbsp;&nbsp;21037588 |
|  | **Italy — 1.1%** |  |
| 10465 | Leonardo SpA <sup>(a)</sup> | 573582 |
| 11871 | Poste Italiane SpA <sup>(a)</sup> | 284156 |
| 7383 | Prysmian SpA <sup>(a)</sup> | 740969 |
| 10796 | Recordati Industria Chimica e Farmaceutica SpA <sup>(a)</sup> | 638424 |
| 194371 | Stellantis NV <sup>(a)</sup> | 2080548 |
| 4606036 | Telecom Italia SpA \* <sup>(a)</sup> | 2596841 |
| 45864 | Tenaris SA <sup>(a)</sup> | 922682 |
| 15972 | Tenaris SA ADR <sup>(a)</sup> | 642394 |
|  | Total Italy | 8479596 |
|  | **Japan — 8.4%** |  |
| 11000 | AGC, Inc. <sup>(a)</sup> | 380630 |
| 7800 | Amano Corp. | 210155 |
| 11000 | Bandai Namco Holdings, Inc. <sup>(a)</sup> | 322786 |
| 9900 | Capcom Co. Ltd. <sup>(a)</sup> | 242061 |
| 12300 | Chubu Electric Power Co., Inc. <sup>(a)</sup> | 192244 |
| 15600 | Credit Saison Co. Ltd. <sup>(a)</sup> | 392786 |
| 10800 | Dai Nippon Printing Co. Ltd. <sup>(a)</sup> | 182657 |
| 31500 | Daito Trust Construction Co. Ltd. <sup>(a)</sup> | 602584 |
| 20700 | Daiwa House Industry Co. Ltd. <sup>(a)</sup> | 706515 |
| 14800 | Daiwabo Holdings Co. Ltd. | 288345 |
| 14200 | Denka Co. Ltd. | 248879 |
| 10400 | EXEO Group, Inc. <sup>(a)</sup> | 163602 |
| 16300 | Fuji Corp. <sup>(a)</sup> | 357295 |
| 11600 | Fuji Electric Co. Ltd. <sup>(a)</sup> | 809809 |
| 12200 | FUJIFILM Holdings Corp. <sup>(a)</sup> | 261933 |
| 5200 | Fujikura Ltd. <sup>(a)</sup> | 601787 |
| 28100 | H.U. Group Holdings, Inc. | 656657 |
| 200 | Hikari Tsushin, Inc. <sup>(a)</sup> | 55664 |
| 191300 | Honda Motor Co. Ltd. <sup>(a)</sup> | 1929072 |
| 129000 | Inpex Corp. <sup>(a)</sup> | 2751578 |
| 31400 | Isuzu Motors Ltd. <sup>(a)</sup> | 481182 |
| 20900 | Kanematsu Corp. <sup>(a)</sup> | 462189 |
| 99100 | Kawasaki Kisen Kaisha Ltd. <sup>(a)</sup> | 1319443 |
| 64400 | Kirin Holdings Co. Ltd. <sup>(a)</sup> | 1011470 |
| 9500 | Komatsu Ltd. <sup>(a)</sup> | 312069 |
| 4800 | Konami Group Corp. <sup>(a)</sup> | 733595 |
| 5200 | Kraftia Corp. <sup>(a)</sup> | 263862 |
| 6000 | Kubota Corp. <sup>(a)</sup> | 86599 |
| 8900 | Kyowa Kirin Co. Ltd. | 149821 |
| 7400 | Macnica Holdings, Inc. | 110007 |
| 19800 | Makita Corp. <sup>(a)</sup> | 575695 |
| 25200 | Maruichi Steel Tube Ltd. | 232832 |
| 19600 | MatsukiyoCocokara & Co. <sup>(a)</sup> | 362517 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 13000 | Maxell Ltd. | 185364 |
| 49100 | Mitsubishi Electric Corp. <sup>(a)</sup> | 1327563 |
| 17700 | Mitsubishi UFJ Financial Group, Inc. <sup>(a)</sup> | 277528 |
| 59300 | Mitsui OSK Lines Ltd. <sup>(a)</sup> | 1683774 |
| 17800 | Mizuno Corp. | 346913 |
| 12100 | Morinaga & Co. Ltd. | 206900 |
| 6700 | NEC Corp. <sup>(a)</sup> | 253144 |
| 10600 | NH Foods Ltd. <sup>(a)</sup> | 468598 |
| 66900 | Nippon Yusen KK <sup>(a)</sup> | 2118864 |
| 820700 | Nissan Motor Co. Ltd. \* <sup>(a)</sup> | 2000841 |
| 30500 | Nitto Denko Corp. <sup>(a)</sup> | 754733 |
| 250900 | NTT, Inc. <sup>(a)</sup> | 250048 |
| 22800 | Osaka Gas Co. Ltd. <sup>(a)</sup> | 800192 |
| 2600 | Otsuka Holdings Co. Ltd. <sup>(a)</sup> | 147252 |
| 233400 | Panasonic Holdings Corp. <sup>(a)</sup> | 2920822 |
| 40300 | Penta-Ocean Construction Co. Ltd. <sup>(a)</sup> | 445223 |
| 12000 | Recruit Holdings Co. Ltd. <sup>(a)</sup> | 613755 |
| 110200 | Renesas Electronics Corp. | 1299540 |
| 7000 | Sankyu, Inc. <sup>(a)</sup> | 378428 |
| 14200 | SBI Holdings, Inc. <sup>(a)</sup> | 299433 |
| 1700 | SCREEN Holdings Co. Ltd. | 140209 |
| 20400 | SCSK Corp. <sup>(a)</sup> | 743621 |
| 24600 | Sega Sammy Holdings, Inc. <sup>(a)</sup> | 422738 |
| 134500 | Shionogi & Co. Ltd. | 2306830 |
| 10000 | Stanley Electric Co. Ltd. | 195778 |
| 96600 | Subaru Corp. <sup>(a)</sup> | 2157476 |
| 22000 | SUMCO Corp. | 174085 |
| 20800 | Sumitomo Electric Industries Ltd. <sup>(a)</sup> | 819614 |
| 17000 | Sumitomo Mitsui Financial Group, Inc. | 514394 |
| 16500 | Sumitomo Mitsui Trust Group, Inc. | 479351 |
| 2700 | Sumitomo Realty & Development Co. Ltd. <sup>(a)</sup> | 130476 |
| 74500 | Suzuki Motor Corp. <sup>(a)</sup> | 1165056 |
| 17000 | T&D Holdings, Inc. <sup>(a)</sup> | 369316 |
| 26200 | TDK Corp. <sup>(a)</sup> | 430049 |
| 10200 | THK Co. Ltd. <sup>(a)</sup> | 261447 |
| 39200 | Tokai Carbon Co. Ltd. | 258326 |
| 1600 | Tokyo Electron Ltd. | 327100 |
| 27300 | Tokyo Gas Co. Ltd. <sup>(a)</sup> | 1106486 |
| 11300 | TOPPAN Holdings, Inc. <sup>(a)</sup> | 364818 |
| 15600 | Tosei Corp. <sup>(a)</sup> | 165466 |
| 16000 | TOTO Ltd. <sup>(a)</sup> | 418861 |
| 8600 | Towa Corp. | 118327 |
| 97366 | Toyota Industries Corp. | 10907772 |
| 80600 | Toyota Tsusho Corp. <sup>(a)</sup> | 2612459 |
| 35700 | Yamaha Corp. <sup>(a)</sup> | 247259 |
| 145900 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 1057309 |
| 15400 | Yokogawa Electric Corp. <sup>(a)</sup> | 492557 |
| 13500 | Zenkoku Hosho Co. Ltd. <sup>(a)</sup> | 273995 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;62898410 |
|  | **Mexico — 0.1%** |  |
| 65583 | Cemex SAB de CV Sponsored ADR <sup>(c)</sup> | 707641 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Netherlands — 3.6%** | |
| 23936 | ABN AMRO Bank NV | 811000 |
| 9678 | Akzo Nobel NV | 629151 |
| 508 | ASM International NV | 281015 |
| 2139 | ASML Holding NV | 2262319 |
| 6130 | DSM-Firmenich AG <sup>(a)</sup> | 504211 |
| 20875 | EXOR NV <sup>(a)</sup> | 1758650 |
| 13100 | ING Groep NV <sup>(a)</sup> | 339670 |
| 465454 | JDE Peet's NV | 17097201 |
| 16239 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 672269 |
| 20959 | Koninklijke KPN NV <sup>(a)</sup> | 96023 |
| 26877 | NN Group NV <sup>(a)</sup> | 1950446 |
| 6603 | Randstad NV | 256962 |
| 3891 | Wolters Kluwer NV | 412693 |
|  | Total Netherlands | &nbsp;&nbsp;&nbsp;&nbsp;27071610 |
|  | **New Zealand — 0.0%** |  |
| 65902 | Meridian Energy Ltd. <sup>(a)</sup> | 212965 |
|  | **Norway — 0.5%** |  |
| 85468 | Equinor ASA <sup>(a)</sup> | 1965406 |
| 109136 | Norsk Hydro ASA <sup>(a)</sup> | 782232 |
| 18475 | Orkla ASA <sup>(a)</sup> | 197779 |
| 9287 | Yara International ASA | 339218 |
|  | Total Norway | 3284635 |
|  | **Poland — 0.4%** |  |
| 84223 | ORLEN SA | 2168776 |
| 143893 | PGE Polska Grupa Energetyczna SA \* | 389182 |
|  | Total Poland | 2557958 |
|  | **Portugal — 0.1%** |  |
| 35627 | Galp Energia SGPS SA | 716219 |
|  | **Singapore — 0.4%** |  |
| 145500 | CapitaLand Integrated Commercial Trust – (REIT) | 264279 |
| 57300 | Singapore Exchange Ltd. | 747172 |
| 16400 | Wilmar International Ltd. | 41079 |
| 798000 | Yangzijiang Shipbuilding Holdings Ltd. | 2067259 |
|  | Total Singapore | 3119789 |
|  | **South Korea — 1.7%** |  |
| 12475 | Doosan Bobcat, Inc. | 469798 |
| 12666 | Hankook Tire & Technology Co. Ltd. | 530064 |
| 38235 | HMM Co. Ltd. | 498817 |
| 3375 | Hyundai Glovis Co. Ltd. | 378087 |
| 8786 | Hyundai Mobis Co. Ltd. | 1852650 |
| 4746 | Hyundai Motor Co. | 845246 |
| 27526 | Kia Corp. | 2138756 |
| 10353 | LG Corp. | 556235 |
| 26481 | LG Electronics, Inc. | 1545389 |
| 1179 | POSCO Holdings, Inc. Sponsored ADR <sup>(a)</sup> | 62581 |
| 1150 | POSCO Holdings, Inc. | 242681 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Korea — continued** | |
| 31539 | Samsung Electronics Co. Ltd. | 2166188 |
| 4901 | Shinhan Financial Group Co. Ltd. ADR | 265095 |
| 3769 | Shinhan Financial Group Co. Ltd. | 201460 |
| 5458 | SK Square Co. Ltd. \* | 1114464 |
|  | Total South Korea | &nbsp;&nbsp;&nbsp;&nbsp;12867511 |
|  | **Spain — 1.2%** |  |
| 13537 | Aena SME SA <sup>(a)</sup> | 368679 |
| 22615 | Amadeus IT Group SA <sup>(a)</sup> | 1664319 |
| 120435 | Banco Bilbao Vizcaya Argentaria SA <sup>(a)</sup> | 2603038 |
| 302123 | Banco Santander SA <sup>(a)</sup> | 3240841 |
| 72369 | Repsol SA <sup>(a)</sup> | 1340951 |
|  | Total Spain | 9217828 |
|  | **Sweden — 0.8%** |  |
| 4009 | Assa Abloy AB – Class B <sup>(a)</sup> | 152478 |
| 18211 | Atlas Copco AB – B Shares <sup>(a)</sup> | 278747 |
| 3786 | Atlas Copco AB – Class A <sup>(a)</sup> | 64340 |
| 7552 | Boliden AB \* <sup>(a)</sup> | 362388 |
| 1782 | Industrivarden AB – C Shares <sup>(a)</sup> | 74913 |
| 59890 | Investor AB – B Shares <sup>(a)</sup> | 2039294 |
| 5494 | Sandvik AB <sup>(a)</sup> | 166136 |
| 18689 | Skanska AB – B Shares <sup>(a)</sup> | 479982 |
| 36211 | SKF AB – B Shares <sup>(a)</sup> | 949732 |
| 1078 | Swedish Orphan Biovitrum AB \* <sup>(a)</sup> | 38756 |
| 164736 | Telefonaktiebolaget LM Ericsson – B Shares <sup>(a)</sup> | 1589630 |
| 2072 | Volvo AB – B Shares <sup>(a)</sup> | 62151 |
|  | Total Sweden | 6258547 |
|  | **Switzerland — 1.1%** |  |
| 10231 | ABB Ltd. (Registered) <sup>(a)</sup> | 736261 |
| 3330 | BKW AG <sup>(a)</sup> | 695436 |
| 6667 | Logitech International SA (Registered) <sup>(a)</sup> | 752290 |
| 22739 | Nestle SA (Registered) <sup>(a)</sup> | 2261629 |
| 1395 | Novartis AG (Registered) <sup>(a)</sup> | 181992 |
| 6015 | Roche Holding AG <sup>(a)</sup> (d) | 2304366 |
| 470 | Roche Holding AG <sup>(a)</sup> (d) | 187135 |
| 1898 | Schindler Holding AG (Registered) <sup>(a)</sup> | 644257 |
| 448 | SGS SA (Registered) <sup>(a)</sup> | 51395 |
| 7704 | UBS Group AG (Registered) <sup>(a)</sup> | 297331 |
| 205 | VAT Group AG <sup>(a)</sup> | 90472 |
|  | Total Switzerland | 8202564 |
|  | **Taiwan — 1.4%** |  |
| 9000 | Asustek Computer, Inc. | 172717 |
| 63000 | Compal Electronics, Inc. | 59050 |
| 287000 | Evergreen Marine Corp. Taiwan Ltd. | 1643945 |
| 25000 | Pegatron Corp. | 57508 |
| 4000 | Realtek Semiconductor Corp. | 66565 |
| 16100 | Silicon Motion Technology Corp. ADR <sup>(b)</sup> | 1432256 |
| 148170 | Taiwan Semiconductor Manufacturing Co. Ltd. | 6831583 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Taiwan — continued** | |
| 28000 | Wan Hai Lines Ltd. | 72021 |
| 54000 | Yang Ming Marine Transport Corp. | 89635 |
|  | Total Taiwan | &nbsp;&nbsp;&nbsp;&nbsp;10425280 |
|  | **Thailand — 0.8%** |  |
| 364000 | Kasikornbank PCL NVDR | 2110798 |
| 2437800 | Krung Thai Bank PCL NVDR | 2085361 |
| 255800 | PTT Exploration & Production PCL NVDR | 846968 |
| 98600 | PTT PCL NVDR | 94260 |
| 108000 | SCB X PCL NVDR | 436583 |
|  | Total Thailand | 5573970 |
|  | **Turkey — 0.1%** |  |
| 143850 | Turk Hava Yollari AO | 923868 |
|  | **United Kingdom — 4.0%** |  |
| 57960 | 3i Group PLC <sup>(a)</sup> | 2423597 |
| 1962 | Auto Trader Group PLC <sup>(a)</sup> | 16592 |
| 1265797 | BT Group PLC <sup>(a)</sup> | 3035480 |
| 15382 | Coca-Cola HBC AG <sup>(a)</sup> | 771702 |
| 115488 | Compass Group PLC <sup>(a)</sup> | 3631192 |
| 72599 | Diageo PLC <sup>(a)</sup> | 1668696 |
| 10011 | Experian PLC <sup>(a)</sup> | 439937 |
| 25919 | Fresnillo Plc | 903766 |
| 49806 | GSK PLC Sponsored ADR <sup>(a)</sup> | 2383715 |
| 33216 | GSK PLC <sup>(a)</sup> | 790409 |
| 564805 | Haleon PLC <sup>(a)</sup> | 2777647 |
| 3082 | Halma PLC <sup>(a)</sup> | 145441 |
| 2166 | Intertek Group PLC <sup>(a)</sup> | 132534 |
| 285300 | Kingfisher PLC <sup>(a)</sup> | 1155339 |
| 4210 | Next PLC <sup>(a)</sup> | 787390 |
| 46645 | Pearson PLC <sup>(a)</sup> | 616506 |
| 21600 | Rentokil Initial PLC ADR <sup>(a)</sup> <sup>(b)</sup> | 597240 |
| 3558 | Rio Tinto PLC Sponsored ADR <sup>(c)</sup> | 255998 |
| 43262 | Sage Group PLC <sup>(a)</sup> | 615957 |
| 4387 | Shell PLC ADR <sup>(a)</sup> | 323629 |
| 16562 | Smiths Group PLC <sup>(a)</sup> | 536161 |
| 49771 | Unilever PLC <sup>(a)</sup> | 2994613 |
| 873631 | Vodafone Group PLC <sup>(a)</sup> | 1087967 |
| 164697 | Vodafone Group PLC Sponsored ADR <sup>(a)</sup> | 2053772 |
|  | Total United Kingdom | 30145280 |
|  | **United States — 90.7%** |  |
| 24492 | AAON, Inc. <sup>(c)</sup> | 2289512 |
| 34015 | Abbott Laboratories <sup>(a)</sup> <sup>(c)</sup> | 4384533 |
| 13952 | Accenture PLC – Class A <sup>(a)</sup> | 3488000 |
| 13452 | Acushnet Holdings Corp. <sup>(c)</sup> | 1131313 |
| 28099 | ACV Auctions, Inc. – Class A \* <sup>(c)</sup> | 220577 |
| 7074 | Adobe, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 2264600 |
| 231681 | Air Lease Corp. <sup>(a)</sup> | 14811366 |
| 36497 | Akamai Technologies, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 3267211 |
| 117606 | Akero Therapeutics, Inc. \* <sup>(c)</sup> | 6393062 |
| 48326 | Albertsons Cos., Inc. – Class A <sup>(c)</sup> | 885816 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 6729 | Align Technology, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 990442 |
| 12957 | Allegion PLC <sup>(a)</sup> | 2151251 |
| 1387 | Allstate Corp. <sup>(a)</sup> <sup>(c)</sup> | 295403 |
| 29810 | Alphabet, Inc. – Class A <sup>(a)</sup> <sup>(c)</sup> | 9544566 |
| 989 | Alphabet, Inc. – Class C <sup>(c)</sup> | 316599 |
| 23014 | Amazon.com, Inc. \* <sup>(c)</sup> | 5367325 |
| 6718 | American Electric Power Co., Inc. <sup>(c)</sup> | 831487 |
| 763 | AMETEK, Inc. <sup>(a)</sup> <sup>(c)</sup> | 150990 |
| 5748 | Amphenol Corp. – Class A <sup>(a)</sup> | 809893 |
| 7306 | Annaly Capital Management, Inc. – (REIT) <sup>(a)</sup> | 166577 |
| 29453 | Apple, Inc. <sup>(a)</sup> <sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8212969 |
| 3314 | Applied Materials, Inc. <sup>(c)</sup> | 835956 |
| 16518 | AptarGroup, Inc. <sup>(a)</sup> | 2060620 |
| 8680 | Aptiv PLC \* <sup>(c)</sup> | 673134 |
| 59006 | Aramark <sup>(c)</sup> | 2193253 |
| 7321 | Arch Capital Group Ltd. \* <sup>(a)</sup> | 687588 |
| 90328 | Avidity Biosciences \* <sup>(a)</sup> <sup>(c)</sup> | 6476518 |
| 10448 | Axcelis Technologies, Inc. \* <sup>(c)</sup> | 864781 |
| 7567 | Badger Meter, Inc. <sup>(c)</sup> | 1351012 |
| 14832 | Balchem Corp. <sup>(a)</sup> | 2316907 |
| 44645 | Bank of America Corp. <sup>(a)</sup> <sup>(c)</sup> | 2395204 |
| 5600 | Becton Dickinson & Co. <sup>(a)</sup> <sup>(b)</sup> | 1086512 |
| 17230 | Best Buy Co., Inc. <sup>(a)</sup> <sup>(c)</sup> | 1365994 |
| 18343 | Booz Allen Hamilton Holding Corp. <sup>(a)</sup> <sup>(c)</sup> | 1530907 |
| 41492 | Bristol-Myers Squibb Co. <sup>(a)</sup> <sup>(c)</sup> | 2041406 |
| 12602 | Broadcom, Inc. <sup>(c)</sup> | 5078102 |
| 11190 | Brown-Forman Corp. – Class B <sup>(c)</sup> | 324286 |
| 19716 | Bruker Corp. <sup>(c)</sup> | 962338 |
| 13820 | Builders FirstSource, Inc. \* <sup>(c)</sup> | 1551019 |
| 2423 | Bunge Global SA <sup>(c)</sup> | 232778 |
| 23205 | Cactus, Inc. – Class A <sup>(c)</sup> | 995959 |
| 111141 | Cadence Bank | 4427857 |
| 190 | Cadence Design Systems, Inc. \* <sup>(c)</sup> | 59250 |
| 13543 | Capital One Financial Corp. <sup>(a)</sup> | 2966865 |
| 38000 | Capri Holdings Ltd. \* <sup>(a)</sup> (b) (c) | 964060 |
| 23955 | Carnival Corp. \* <sup>(c)</sup> | 617560 |
| 50 | Cboe Global Markets, Inc. <sup>(c)</sup> | 12909 |
| 8835 | CBRE Group, Inc. – Class A \* <sup>(a)</sup> <sup>(c)</sup> | 1429768 |
| 30646 | Centene Corp. \* <sup>(a)</sup> <sup>(c)</sup> | 1205614 |
| 216056 | Ceridian HCM Holding, Inc. \* <sup>(a)</sup> | 14929470 |
| 8384 | CF Industries Holdings, Inc. <sup>(c)</sup> | 659821 |
| 3802 | CH Robinson Worldwide, Inc. <sup>(a)</sup> | 604024 |
| 109134 | Chart Industries, Inc. \* <sup>(a)</sup> <sup>(b)</sup> | 22257879 |
| 4400 | Charter Communications, Inc. – Class A \* <sup>(a)</sup> <sup>(b)</sup> | 880528 |
| 900 | Chevron Corp. <sup>(c)</sup> | 136017 |
| 14997 | Cigna Group <sup>(a)</sup> | 4158368 |
| 15190 | Cirrus Logic, Inc. \* <sup>(c)</sup> | 1827965 |
| 4291 | Cisco Systems, Inc. <sup>(c)</sup> | 330150 |
| 34142 | Citigroup, Inc. <sup>(a)</sup> (c) | 3537111 |
| 10056 | Citizens Financial Group, Inc. | 544030 |
| 5928 | Clean Harbors, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 1348976 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 2000 | CMS Energy Corp. <sup>(c)</sup> | 150880 |
| 142312 | CNH Industrial NV <sup>(c)</sup> | 1342002 |
| 34617 | Coca-Cola Co. <sup>(a)</sup> <sup>(c)</sup> | 2531195 |
| 4921 | Coca-Cola Consolidated, Inc. <sup>(a)</sup> | 801877 |
| 48069 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> <sup>(b) (c)</sup> | 3735442 |
| 17900 | Cohen & Steers, Inc. <sup>(a)</sup> | 1132175 |
| 69358 | Comcast Corp. – Class A <sup>(a)</sup> <sup>(c)</sup> | 1851165 |
| 252922 | Comerica, Inc. | 20329870 |
| 13400 | ConocoPhillips <sup>(a)</sup> <sup>(b)</sup> | 1188446 |
| 6193 | Consolidated Edison, Inc. <sup>(a)</sup> <sup>(c)</sup> | 621529 |
| 15849 | Constellation Brands, Inc. – Class A <sup>(c)</sup> | 2161487 |
| 17500 | Cooper Cos., Inc. \* <sup>(a)</sup> <sup>(b)</sup> | 1363775 |
| 21581 | Corteva, Inc. <sup>(a)</sup> <sup>(b)</sup> <sup>(c)</sup> | 1456070 |
| 150 | Costco Wholesale Corp. <sup>(c)</sup> | 137039 |
| 1400 | Crowdstrike Holdings, Inc. – Class A \* <sup>(a)</sup> <sup>(c)</sup> | 712824 |
| 33600 | CSX Corp. <sup>(b)</sup> <sup>(c)</sup> | 1188096 |
| 5436 | Cummins, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2707019 |
| 42627 | CVS Health Corp. <sup>(c)</sup> | 3425506 |
| 1800 | Darden Restaurants, Inc. <sup>(a)</sup> <sup>(c)</sup> | 323244 |
| 7887 | Deckers Outdoor Corp. \* <sup>(a)</sup> | 694293 |
| 5143 | Dell Technologies, Inc. – Class C <sup>(c)</sup> | 685819 |
| 16140 | Delta Air Lines, Inc. <sup>(c)</sup> | 1034574 |
| 37287 | Devon Energy Corp. <sup>(a)</sup> <sup>(c)</sup> | 1381856 |
| 3304 | Dick's Sporting Goods, Inc. <sup>(c)</sup> | 682507 |
| 9790 | Docusign, Inc. \* <sup>(c)</sup> | 678936 |
| 28102 | Dolby Laboratories, Inc. – Class A <sup>(c)</sup> | 1895480 |
| 2329 | Dollar General Corp. <sup>(a)</sup> | 255002 |
| 2989 | DoorDash, Inc. – Class A \* <sup>(a)</sup> | 592928 |
| 3613 | Dover Corp. <sup>(a)</sup> <sup>(c)</sup> | 669417 |
| 13340 | DR Horton, Inc. <sup>(c)</sup> | 2121193 |
| 4961 | DTE Energy Co. <sup>(a)</sup> | 679806 |
| 3195 | Duke Energy Corp. <sup>(a)</sup> <sup>(c)</sup> | 395988 |
| 17000 | DuPont de Nemours, Inc. <sup>(a)</sup> <sup>(b)</sup> | 676090 |
| 14827 | Dynatrace, Inc. \* <sup>(c)</sup> | 660691 |
| 40156 | eBay, Inc. <sup>(c)</sup> | 3324515 |
| 8874 | Edwards Lifesciences Corp. \* <sup>(a)</sup> <sup>(c)</sup> | 769110 |
| 98086 | Electronic Arts, Inc. <sup>(a)</sup> | 19816315 |
| 16010 | Elevance Health, Inc. <sup>(a)</sup> <sup>(c)</sup> | 5415543 |
| 2861 | Eli Lilly & Co. <sup>(a)</sup> <sup>(c)</sup> | 3076920 |
| 18236 | Entegris, Inc. <sup>(c)</sup> | 1406725 |
| 16940 | EOG Resources, Inc. <sup>(c)</sup> | 1826979 |
| 3292 | EPAM Systems, Inc. \* <sup>(a)</sup> | 615604 |
| 4378 | Essential Utilities, Inc. <sup>(a)</sup> | 173325 |
| 3552 | Everest Group Ltd. <sup>(a)</sup> | 1116358 |
| 9875 | Evergy, Inc. <sup>(c)</sup> | 766794 |
| 84671 | Exact Sciences Corp. \* | 8576326 |
| 15971 | Exelon Corp. <sup>(c)</sup> | 752554 |
| 8071 | Expedia Group, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2063674 |
| 1176 | Expeditors International of Washington, Inc. <sup>(a)</sup> <sup>(c)</sup> | 172754 |
| 4568 | Fabrinet \* <sup>(c)</sup> | 2098585 |
| 4885 | FedEx Corp. <sup>(a)</sup> | 1346697 |
| 8893 | Fidelity National Financial, Inc. <sup>(a)</sup> | 528511 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 198684 | Ford Motor Co. <sup>(a)</sup> | 2638524 |
| 247744 | Fox Corp. – Class B <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;14433565 |
| 225711 | Frontier Communications Parent, Inc. \* <sup>(a)</sup> | 8558961 |
| 12029 | FTI Consulting, Inc. \* <sup>(c)</sup> | 1962531 |
| 16091 | Gaming & Leisure Properties, Inc. – (REIT) <sup>(c)</sup> | 700441 |
| 2934 | Garmin Ltd. <sup>(a)</sup> <sup>(c)</sup> | 573069 |
| 95635 | GCI Liberty, Inc. \* <sup>(c)</sup> <sup>(e)</sup> |  |
| 37271 | GE HealthCare Technologies, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2981307 |
| 5060 | General Mills, Inc. <sup>(c)</sup> | 239591 |
| 38174 | General Motors Co. <sup>(a)</sup> | 2806552 |
| 16500 | Gitlab Inc. – Class A \* <sup>(b)</sup> <sup>(c)</sup> | 677490 |
| 3927 | Global Payments, Inc. <sup>(a)</sup> <sup>(c)</sup> | 297510 |
| 20800 | GLOBALFOUNDRIES, Inc. \* <sup>(b)</sup> | 745472 |
| 45607 | Globus Medical, Inc. – Class A \* <sup>(b)</sup> <sup>(c)</sup> | 4152061 |
| 942 | Goldman Sachs Group, Inc. <sup>(c)</sup> | 778130 |
| 6710 | Hartford Insurance Group, Inc. <sup>(a)</sup> <sup>(c)</sup> | 919471 |
| 108976 | Hewlett Packard Enterprise Co. <sup>(a)</sup> | 2383305 |
| 134723 | Hillenbrand, Inc. <sup>(a)</sup> (c) | 4289580 |
| 8908 | Hilton Worldwide Holdings, Inc. <sup>(a)</sup> | 2539047 |
| 114257 | Hologic, Inc. \* <sup>(a)</sup> | 8565847 |
| 7107 | Houlihan Lokey, Inc. <sup>(a)</sup> <sup>(c)</sup> | 1246568 |
| 3623 | Howmet Aerospace, Inc. <sup>(a)</sup> | 741230 |
| 107961 | HP, Inc. <sup>(a)</sup> | 2636408 |
| 4300 | Humana, Inc. <sup>(b)</sup> <sup>(c)</sup> | 1056811 |
| 534405 | Huntington Bancshares, Inc. | 8710801 |
| 1008 | IDEXX Laboratories, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 758903 |
| 28866 | Incyte Corp. \* <sup>(c)</sup> | 3015342 |
| 2311 | Installed Building Products, Inc. <sup>(c)</sup> | 619394 |
| 67322 | Intel Corp. \* | 2730580 |
| 5184 | International Business Machines Corp. <sup>(a)</sup> | 1599679 |
| 28500 | International Paper Co. <sup>(a)</sup> <sup>(b)</sup> | 1125180 |
| 4835 | Intuitive Surgical, Inc. \* <sup>(c)</sup> | 2772776 |
| 17967 | Jack Henry & Associates, Inc. <sup>(c)</sup> | 3134882 |
| 1077 | Jacobs Solutions, Inc. <sup>(c)</sup> | 145190 |
| 27163 | Johnson & Johnson <sup>(a)</sup> <sup>(c)</sup> | 5620568 |
| 442 | JPMorgan Chase & Co. <sup>(a)</sup> | 138381 |
| 3806 | Kadant, Inc. <sup>(c)</sup> | 1058525 |
| 76241 | Kellanova <sup>(a)</sup> <sup>(c)</sup> | 6376797 |
| 784174 | Kenvue, Inc. <sup>(a)</sup> | 13605419 |
| 16794 | Kimberly-Clark Corp. <sup>(a)</sup> <sup>(b)</sup> | 1832561 |
| 35521 | Kimco Realty Corp. – (REIT) <sup>(a)</sup> | 733864 |
| 6928 | Kinder Morgan, Inc. <sup>(c)</sup> | 189273 |
| 1779 | KLA Corp. <sup>(c)</sup> | 2091161 |
| 127183 | Kraft Heinz Co. <sup>(a)</sup> <sup>(b)</sup> | 3244438 |
| 9501 | Kroger Co. <sup>(c)</sup> | 639227 |
| 41837 | Lam Research Corp. <sup>(c)</sup> | 6526572 |
| 19400 | Lamb Weston Holdings, Inc. <sup>(a)</sup> <sup>(b) (c)</sup> | 1145764 |
| 3965 | Leidos Holdings, Inc. <sup>(a)</sup> <sup>(c)</sup> | 757711 |
| 15992 | Lennar Corp. – Class A <sup>(a)</sup> <sup>(c)</sup> | 2099750 |
| 201 | Lennox International, Inc. <sup>(c)</sup> | 100273 |
| 223025 | Liberty Broadband Corp. – Class C \* <sup>(a)</sup> | 10323827 |
| 2179 | LPL Financial Holdings, Inc. <sup>(c)</sup> | 775811 |
| 2977 | Lululemon Athletica, Inc. \* <sup>(a)</sup> | 548304 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 44072 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 2159087 |
| 495 | M&T Bank Corp. <sup>(c)</sup> | 94159 |
| 20981 | Malibu Boats, Inc. – Class A \* | 595651 |
| 12260 | Marzetti Co. <sup>(a)</sup> <sup>(c)</sup> | 2046684 |
| 10402 | Masimo Corp. \* <sup>(c)</sup> | 1481557 |
| 57944 | Merck & Co., Inc. <sup>(a)</sup> | 6074270 |
| 16046 | Meta Platforms, Inc. – Class A <sup>(a)</sup> <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;10397006 |
| 3486 | Micron Technology, Inc. <sup>(c)</sup> | 824369 |
| 22623 | Microsoft Corp. <sup>(a)</sup> <sup>(c)</sup> | 11130742 |
| 8300 | Middleby Corp. \* <sup>(a)</sup> <sup>(b) (c)</sup> | 981060 |
| 6373 | Molina Healthcare, Inc. \* <sup>(c)</sup> | 944861 |
| 39952 | Molson Coors Beverage Co. – Class B <sup>(a) (c)</sup> | 1858168 |
| 821 | Monolithic Power Systems, Inc. <sup>(c)</sup> | 762028 |
| 10692 | Monster Beverage Corp. \* <sup>(a)</sup> <sup>(c)</sup> | 801793 |
| 4728 | Morgan Stanley <sup>(a)</sup> | 802152 |
| 6380 | Netflix, Inc. \* <sup>(a)</sup> | 686360 |
| 4720 | Neurocrine Biosciences, Inc. \* | 718195 |
| 42433 | New York Times Co. – Class A <sup>(a)</sup> | 2736928 |
| 274212 | News Corp. – Class A <sup>(a)</sup> <sup>(c)</sup> | 7041764 |
| 1540 | Nordson Corp. <sup>(c)</sup> | 365996 |
| 51136 | Norfolk Southern Corp. <sup>(a)</sup> <sup>(c)</sup> | 14936314 |
| 285639 | Northwestern Energy Group, Inc. <sup>(a)</sup> | 19734799 |
| 18235 | Nucor Corp. <sup>(a)</sup> | 2908300 |
| 17372 | Ollie's Bargain Outlet Holdings, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 2138667 |
| 17880 | Omnicom Group, Inc. <sup>(a)</sup> <sup>(b) (c)</sup> | 1280566 |
| 37899 | ON Semiconductor Corp. \* <sup>(c)</sup> | 1904046 |
| 17746 | PACCAR, Inc. <sup>(a)</sup> | 1870783 |
| 3950 | Paycom Software, Inc. <sup>(c)</sup> | 636622 |
| 42701 | PayPal Holdings, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2676926 |
| 53100 | Penn Entertainment, Inc. \* <sup>(b)</sup> <sup>(c)</sup> | 788004 |
| 6722 | Pentair PLC <sup>(a)</sup> <sup>(c)</sup> | 707423 |
| 110549 | Pfizer, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2845531 |
| 49991 | Pinterest, Inc. – Class A \* <sup>(a)</sup> <sup>(c)</sup> | 1305765 |
| 2649 | Preformed Line Products Co. <sup>(a)</sup> <sup>(c)</sup> | 543707 |
| 20910 | PriceSmart, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2574021 |
| 5339 | Principal Financial Group, Inc. <sup>(a)</sup> | 452854 |
| 2833 | Progressive Corp. <sup>(a)</sup> | 648162 |
| 16222 | PulteGroup, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2063276 |
| 8500 | Qnity Electronics, Inc. | 689265 |
| 73547 | Qorvo, Inc. \* | 6316952 |
| 13540 | QUALCOMM, Inc. <sup>(c)</sup> | 2275939 |
| 7476 | Quest Diagnostics, Inc. <sup>(c)</sup> | 1414310 |
| 4849 | RBC Bearings, Inc. \* <sup>(a)</sup> | 2157660 |
| 3697 | Reddit, Inc. – Class A \* <sup>(c)</sup> | 800290 |
| 751 | Regency Centers Corp. – (REIT) <sup>(a)</sup> | 53441 |
| 3910 | Regeneron Pharmaceuticals, Inc. <sup>(a)</sup> | 3050543 |
| 39107 | Regions Financial Corp. <sup>(c)</sup> | 995273 |
| 162919 | REV Group, Inc. <sup>(a)</sup> | 8678695 |
| 1420 | ROBLOX Corp. – Class A \* <sup>(a)</sup> | 134943 |
| 77000 | Rocket Cos., Inc. – Class A <sup>(a)</sup> <sup>(b)</sup> | 1538460 |
| 15853 | Salesforce, Inc. <sup>(a)</sup> | 3654751 |
| 43697 | Solventum Corp. \* <sup>(a)</sup> <sup>(b) (c)</sup> | 3725606 |
| 13739 | State Street Corp. <sup>(a)</sup> <sup>(c)</sup> | 1635216 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 15613 | Steel Dynamics, Inc. <sup>(c)</sup> | 2620330 |
| 24652 | StepStone Group, Inc. – Class A <sup>(a)</sup> | 1557020 |
| 41421 | Synchrony Financial <sup>(a)</sup> <sup>(c)</sup> | 3204329 |
| 24476 | T. Rowe Price Group, Inc. <sup>(a)</sup> | 2505853 |
| 29033 | Target Corp. <sup>(a)</sup> <sup>(c)</sup> | 2630970 |
| 3206 | TE Connectivity PLC <sup>(a)</sup> | 725037 |
| 216657 | TEGNA, Inc. <sup>(a)</sup> | 4229145 |
| 25100 | Terex Corp. <sup>(a)</sup> <sup>(b)</sup> | 1159871 |
| 19577 | Texas Instruments, Inc. <sup>(c)</sup> | 3294222 |
| 4520 | Textron, Inc. <sup>(a)</sup> | 375883 |
| 9839 | Thermo Fisher Scientific, Inc. <sup>(a)</sup> <sup>(c)</sup> | 5813176 |
| 15607 | TJX Cos., Inc. <sup>(c)</sup> | 2371015 |
| 10115 | Tradeweb Markets, Inc. – Class A <sup>(a)</sup> <sup>(c)</sup> | 1101119 |
| 1672 | Trane Technologies PLC <sup>(c)</sup> | 704715 |
| 39855 | Trex Co., Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 1394128 |
| 440477 | TXNM Energy, Inc. <sup>(a)</sup> | 25745881 |
| 112827 | U.S. Bancorp <sup>(a)</sup> | 5534164 |
| 23377 | Uber Technologies, Inc. \* <sup>(a)</sup> | 2046423 |
| 1355 | Ulta Beauty, Inc. \* <sup>(c)</sup> | 730115 |
| 4200 | Union Pacific Corp. <sup>(a)</sup> <sup>(b)</sup> | 973686 |
| 26196 | United Airlines Holdings, Inc. \* <sup>(a)</sup> | 2670944 |
| 23935 | United Parcel Service, Inc. – Class B <sup>(a)</sup> | 2292734 |
| 800 | United Rentals, Inc. <sup>(a)</sup> <sup>(b)</sup> | 652144 |
| 10947 | UnitedHealth Group, Inc. <sup>(a)</sup> <sup>(c)</sup> | 3609992 |
| 10704 | Universal Display Corp. | 1273027 |
| 6500 | Universal Health Services, Inc. – Class B <sup>(a) (c)</sup> | 1583595 |
| 4265 | Valero Energy Corp. <sup>(a)</sup> | 753881 |
| 2397 | Veeva Systems, Inc. – Class A \* <sup>(a)</sup> | 575975 |
| 1492 | VeriSign, Inc. <sup>(c)</sup> | 375969 |
| 66840 | Verizon Communications, Inc. <sup>(a)</sup> | 2747792 |
| 24053 | VICI Properties, Inc. – (REIT) <sup>(a)</sup> | 693207 |
| 10427 | Visa, Inc. – Class A <sup>(a)</sup> <sup>(c)</sup> | 3487206 |
| 4800 | Waters Corp. \* <sup>(a)</sup> <sup>(b) (c)</sup> | 1936416 |
| 24555 | Wells Fargo & Co. <sup>(a)</sup> | 2108047 |
| 3438 | Williams-Sonoma, Inc. <sup>(c)</sup> | 618874 |
| 41000 | WillScot Holdings Corp. <sup>(b)</sup> <sup>(c)</sup> | 809750 |
| 5746 | Woodward, Inc. <sup>(a)</sup> <sup>(c)</sup> | 1723972 |
| 11271 | WP Carey, Inc. – (REIT) <sup>(a)</sup> | 759327 |
| 13915 | XPEL, Inc. \* <sup>(c)</sup> | 646769 |
| 2443 | Yum! Brands, Inc. <sup>(a)</sup> | 374292 |
| 6023 | Zoetis, Inc. <sup>(a)</sup> <sup>(c)</sup> | 772028 |
| 33649 | Zoom Communications, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 2858819 |
|  | Total United States | 680033704 |
|  | TOTAL COMMON STOCKS<br>(COST $959,550,497) | 1038769902 |
|  | **PREFERRED STOCKS <sup>(f)</sup> —0.5%** | **PREFERRED STOCKS <sup>(f)</sup> —0.5%** |
|  | **Brazil — 0.0%** | **Brazil — 0.0%** |
| 95400 | Cia Energetica de Minas Gerais | 205532 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Shares /**<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Germany — 0.5%** | **Germany — 0.5%** |
|  | 12434 | Bayerische Motoren Werke AG <sup>(a)</sup> | 1173359 |
|  | 18587 | Volkswagen AG <sup>(a)</sup> | 2124797 |
|  |  | Total Germany | 3298156 |
|  |  | **South Korea — 0.0%** | **South Korea — 0.0%** |
|  | 492 | Hyundai Motor Co. <sup>(d)</sup> | 65185 |
|  | 542 | Hyundai Motor Co. <sup>(d)</sup> | 70983 |
|  | 2532 | Samsung Electronics Co. Ltd. | 129494 |
|  |  | Total South Korea | 265662 |
|  |  | TOTAL PREFERRED STOCKS<br>(COST $3,314,638) | 3769350 |
|  |  | **RIGHTS/WARRANTS — 0.1%** | **RIGHTS/WARRANTS — 0.1%** |
|  |  | **Canada — 0.0%** | **Canada — 0.0%** |
|  | 176256 | Resolute Forest Products, Inc. \* <sup>(g)</sup> | 264384 |
|  |  | **United States — 0.1%** | **United States — 0.1%** |
|  | 13635 | ABIOMED, Inc. \* <sup>(g)</sup> | 21816 |
|  | 195149 | Bristol-Myers Squibb Co. \* <sup>(g)</sup> | 341511 |
|  | 38486 | Pershing Square Holdings Ltd. \* <sup>(g)</sup> | 11546 |
|  | 121981 | Walgreens Boots Alliance, Inc. \* <sup>(g)</sup> | 60990 |
|  |  | Total United States | 435863 |
|  |  | TOTAL RIGHTS/WARRANTS<br>(COST $613,270) | 700247 |
|  |  | **INVESTMENT FUNDS — 5.1%** | **INVESTMENT FUNDS — 5.1%** |
|  |  | **United States — 5.1%** | **United States — 5.1%** |
|  | 9856086 | Altaba, Inc.\* <sup>(g)</sup> | 12812912 |
|  | 4990020 | GMO U.S. Treasury Fund, Class VI <sup>(h)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;25000000 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $37,090,463) | 37812912 |
|  |  | **DEBT OBLIGATIONS — 36.8%** | **DEBT OBLIGATIONS — 36.8%** |
|  |  | **Dominican Republic — 0.3%** | **Dominican Republic — 0.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  DOP | 25000000 | Dominican Republic Central Bank Notes, 144A, 13.00%, due 01/30/26 | 400559 |
|  DOP | 100000000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 1916946 |
|  |  | Total Dominican Republic | 2317505 |
|  |  | **Kazakhstan — 0.0%** | **Kazakhstan — 0.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  KZT | 183000000 | Development Bank of Kazakhstan JSC, 144A, 18.40%, due 10/16/28 | 357926 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **SupraNational — 0.0%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  NGN | 320000000 | Asian Development Bank, 20.00%, due 03/27/26 | 222973 |
|  |  | **United States — 36.4%** |  |
|  |  | **U.S. Government — 24.3%** |  |
|  | 4900000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.88%, due 01/31/27 <sup>(i)</sup> | 4895695 |
|  | 104360000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 <sup>(a)</sup> (i) | 104331405 |
|  | 69900000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 <sup>(a)</sup> (i) | 69878653 |
|  | 2730000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.97%, due 10/31/27 <sup>(i)</sup> | 2729935 |
|  |  | Total U.S. Government | 181835688 |
|  |  | **U.S. Government Agency — 12.1%** |  |
|  | 15000000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/39 | 15350286 |
|  | 18613000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/54 | 18847636 |
|  | 55300000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54 | 56618858 |
|  |  | Total U.S. Government Agency | 90816780 |
|  |  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;272652468 |
|  |  | **Uruguay — 0.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  UYU | 13000000 | Uruguay Government International Bonds, 8.25%, due 05/21/31 | 334671 |
|  UYU | 14000000 | Uruguay Government International Bonds, 8.00%, due 10/29/35 | 358113 |
|  |  | Total Uruguay | 692784 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Shares /**<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Uruguay — continued** | |
|  |  | TOTAL DEBT OBLIGATIONS<br>(COST $276,070,606) | 276243656 |
|  |  | **SHORT-TERM INVESTMENTS — 16.4%** | **SHORT-TERM INVESTMENTS — 16.4%** |
|  |  | **Money Market Funds — 1.4%** |  |
|  | 10362552 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(j)</sup> | 10362552 |
|  |  | **Repurchase Agreements — 12.6%** | **Repurchase Agreements — 12.6%** |
|  | 95066125 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/28/25, maturing on 12/01/25 with a maturity value of $95,098,210 and an effective yield of 4.05%, collateralized by a U.S. Treasury Note with maturity date 05/31/30 and a market value of $95,120,958. | 95066125 |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.4%** | **Sovereign and Sovereign Agency Issuers — 2.4%** |
|  EGP | 58000000 | Egypt Treasury Bills, Zero Coupon, due 09/01/26 | 1017556 |
|  EGP | 34000000 | Egypt Treasury Bills, Zero Coupon, due 10/06/26 | 584379 |
|  EGP | 56000000 | Egypt Treasury Bills, Zero Coupon, due 10/20/26 | 955449 |
|  JPY | 2000000000 | Japan Treasury Discount Bills, Zero Coupon, due 01/07/26 | 12797634 |
|  NGN | 1600000000 | Nigeria OMO Bills, Zero Coupon, due 12/30/25 | 1083800 |
|  NGN | 1700000000 | Nigeria OMO Bills, Zero Coupon, due 02/24/26 | 1118019 |
|  NGN | 600000000 | Nigeria OMO Bills, Zero Coupon, due 04/07/26 | 386570 |
|  |  | Total Sovereign and Sovereign Agency Issuers | 17943407 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $123,819,034) | &nbsp;&nbsp;&nbsp;&nbsp;123372084 |

---

**PURCHASED OPTIONS — 0.0%** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise**<br> **Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Notional<br>Amount** | **Value ($)** |
|  **Equity Options – Puts — 0.0%** | **Equity Options – Puts — 0.0%** | **Equity Options – Puts — 0.0%** | **Equity Options – Puts — 0.0%** | **Equity Options – Puts — 0.0%** | **Equity Options – Puts — 0.0%** | **Equity Options – Puts — 0.0%** |
|  Humana, Inc. <sup>(b)</sup> | 270.00 | 01/16/26 | 31 | USD | 761887 | 91450 |
|  Humana, Inc. <sup>(b)</sup> | 230.00 | 01/16/26 | 12 | USD | 294924 | 9840 |
|  Rocket Cos., Inc. <sup>(b)</sup> | 9.20 | 01/16/26 | 81 | USD | 161838 | 405 |
|  Total Equity Options – Puts |  |  |  |  |  | 101695 |
|  TOTAL PURCHASED OPTIONS<br>(COST $55,321) |  |  |  |  |  | 101695 |
|  **TOTAL INVESTMENTS — 197.4%** |  |  |  |  |  |  |
|  (Cost $1,400,513,829) |  |  |  |  |  | **1480769846** |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **SECURITIES SOLD SHORT — (94.3)%** | **SECURITIES SOLD SHORT — (94.3)%** |
| | **Common Stocks — (87.3)%** | |
| | **Australia — (2.5)%** | |
| (143386) | APA Group | (869831) |
| (25842) | CAR Group Ltd. | (589006) |
| (2220) | Cochlear Ltd. | (405717) |
| (8604) | Commonwealth Bank of Australia | (859896) |
| (38376) | GPT Group – (REIT) | (139578) |
| (27086) | Insurance Australia Group Ltd. | (137586) |
| (193788) | Lottery Corp. Ltd. | (694204) |
| (6073) | Macquarie Group Ltd. | (784423) |
| (66561) | Mirvac Group – (REIT) | (94278) |
| (5328) | National Australia Bank Ltd. | (140088) |
| (20417) | NEXTDC Ltd. \* | (181908) |
| (9673) | Pro Medicus Ltd. | (1691434) |
| (6427) | REA Group Ltd. | (825441) |
| (74097) | Scentre Group – (REIT) | (198098) |
| (9244) | SEEK Ltd. | (148292) |
| (23818) | SGH Ltd. | (738138) |
| (1047787) | Sigma Healthcare Ltd. | (1976448) |
| (359054) | South32 Ltd. | (760816) |
| (125916) | Transurban Group | (1231433) |
| (45170) | Vicinity Ltd. – (REIT) | (72819) |
| (17437) | Washington H Soul Pattinson & Co. Ltd. | (432114) |
| (3012) | Westpac Banking Corp. | (74191) |
| (53194) | WiseTech Global Ltd. | (2547537) |
| (25967) | Woodside Energy Group Ltd. | (424709) |
| (20320) | Woolworths Group Ltd. | (390365) |
| (29316) | Xero Ltd. \* | (2352502) |
|  | Total Australia | (18760852) |
|  | **Belgium — (0.3)%** |  |
| (9116) | Anheuser-Busch InBev SA | (561959) |
| (6735) | Elia Group SA | (813424) |
| (1405) | Groupe Bruxelles Lambert NV | (121526) |
| (51) | Lotus Bakeries NV | (458273) |
| (1522) | Syensqo SA | (124246) |
|  | Total Belgium | (2079428) |
|  | **Brazil — (0.4)%** |  |
| (164850) | NU Holdings Ltd. – Class A \* | (2866741) |
|  | **Canada — (4.6)%** |  |
| (3658) | Agnico Eagle Mines Ltd. | (638065) |
| (48900) | AltaGas Ltd. | (1508868) |
| (2700) | AtkinsRealis Group, Inc. | (167570) |
| (1200) | Brookfield Corp. | (56657) |
| (15262) | Brookfield Renewable Corp. | (633220) |
| (13566) | Cameco Corp. \* | (1200727) |
| (24915) | Enbridge, Inc. | (1215354) |
| (5666) | Franco-Nevada Corp. | (1188953) |
| (20615) | GFL Environmental, Inc. <sup>(d)</sup> | (937364) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Canada — continued** | |
| (1700) | GFL Environmental, Inc. <sup>(d)</sup> | (77345) |
| (21500) | Keyera Corp. | (694640) |
| (497737) | Pan American Silver Corp. | (22731649) |
| (29639) | Pembina Pipeline Corp. | (1155625) |
| (18217) | Restaurant Brands International, Inc. | (1318729) |
| (30500) | Saputo, Inc. | (864507) |
|  | Total Canada | (34389273) |
|  | **Chile — (0.1)%** |  |
| (20022) | Latam Airlines Group SA ADR | (965661) |
|  | **China — (0.3)%** |  |
| (10000) | Akeso, Inc. \* | (158931) |
| (7200) | BeOne Medicines Ltd. – Class H \* | (190254) |
| (28000) | Genscript Biotech Corp. \* | (53831) |
| (14000) | Innovent Biologics, Inc. \* | (169713) |
| (1300) | Legend Biotech Corp. ADR\* | (36023) |
| (25630) | NIO, Inc. – Class A \* | (145187) |
| (164018) | NIO, Inc. ADR \* | (902099) |
| (13000) | XPeng, Inc. – Class A \* | (141674) |
| (23919) | XPeng, Inc. ADR \* | (522152) |
|  | Total China | (2319864) |
|  | **Denmark — (0.7)%** |  |
| (21627) | Coloplast AS – Class B | (1952964) |
| (2380) | Novonesis Novozymes A/S – Class B | (148563) |
| (48693) | Orsted AS \* | (1037105) |
| (76320) | Tryg AS | (1890510) |
| (1867) | Zealand Pharma AS \* | (150054) |
|  | Total Denmark | (5179196) |
|  | **Finland — (0.2)%** |  |
| (47602) | Nordea Bank Abp | (842347) |
| (39520) | Stora Enso Oyj – Class R | (465070) |
|  | Total Finland | (1307417) |
|  | **France — (1.0)%** |  |
| (15272) | Aeroports de Paris SA | (2239830) |
| (216) | Dassault Aviation SA | (67942) |
| (20180) | Edenred SE | (432755) |
| (919) | Gecina SA – (REIT) | (85197) |
| (76139) | Getlink SE | (1377187) |
| (773) | Hermes International SCA | (1886386) |
| (2166) | Kering SA | (737611) |
| (12760) | Renault SA | (511501) |
| (2836) | Unibail-Rodamco-Westfield – (REIT) \* | (301240) |
|  | Total France | (7639649) |
|  | **Germany — (2.1)%** |  |
| (337) | adidas AG | (62769) |
| (14672) | BASF SE | (765165) |
| (21550) | Bayer AG (Registered) | (762411) |
| (19670) | Commerzbank AG | (771818) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| (3747) | CTS Eventim AG & Co. KGaA | (366885) |
| (67025) | Delivery Hero SE \* | (1562710) |
| (955) | Deutsche Boerse AG | (255271) |
| (43873) | Deutsche Lufthansa AG | (421296) |
| (12393) | Evonik Industries AG | (190736) |
| (18020) | Hensoldt AG | (1429802) |
| (7760) | LEG Immobilien SE | (582998) |
| (5698) | MTU Aero Engines AG | (2331380) |
| (718) | Nemetschek SE | (80241) |
| (98) | Rational AG | (73262) |
| (673) | Rheinmetall AG | (1151092) |
| (18439) | Siemens Energy AG \* | (2469023) |
| (10188) | Talanx AG | (1323844) |
| (49603) | Vonovia SE | (1501639) |
|  | Total Germany | (16102342) |
|  | **Hong Kong — (0.5)%** |  |
| (88600) | AIA Group Ltd. | (922847) |
| (28000) | Galaxy Entertainment Group Ltd. | (145285) |
| (15000) | Henderson Land Development Co. Ltd. | (56685) |
| (21700) | Hongkong Land Holdings Ltd. | (137920) |
| (17300) | Link REIT | (82170) |
| (187000) | MTR Corp. Ltd. | (742578) |
| (298000) | Sands China Ltd. | (814696) |
| (32500) | Swire Pacific Ltd. – Class A | (279028) |
| (68000) | Wharf Holdings Ltd. | (206395) |
|  | Total Hong Kong | (3387604) |
|  | **Israel — (0.7)%** |  |
| (10023) | Monday.com Ltd. \* | (1441909) |
| (32200) | Teva Pharmaceutical Industries Ltd. ADR\* | (865858) |
| (30072) | Wix.com Ltd. \* | (2878191) |
|  | Total Israel | (5185958) |
|  | **Italy — (1.0)%** |  |
| (16677) | Eni SpA | (311835) |
| (6553) | Ferrari NV | (2574167) |
| (84722) | FinecoBank Banca Fineco SpA | (2083995) |
| (188421) | Infrastrutture Wireless Italiane SpA | (1725557) |
| (153551) | Nexi SpA | (718051) |
| (60323) | Telecom Italia SpA/Milano \* | (34010) |
|  | Total Italy | (7447615) |
|  | **Japan — (5.3)%** |  |
| (10100) | Advantest Corp. | (1343911) |
| (182500) | Aeon Co. Ltd. | (3304307) |
| (65300) | ANA Holdings, Inc. | (1232081) |
| (55100) | Asics Corp. | (1319799) |
| (48700) | Astellas Pharma, Inc. | (612374) |
| (30200) | Chiba Bank Ltd. | (318336) |
| (9200) | Disco Corp. | (2565615) |
| (22700) | East Japan Railway Co. | (586806) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| (23800) | FANUC Corp. | (762836) |
| (300) | Fast Retailing Co. Ltd. | (109606) |
| (8300) | Fujikura Ltd. | (960544) |
| (4500) | Hitachi Ltd. | (143307) |
| (99500) | IHI Corp. | (1775535) |
| (157400) | Japan Exchange Group, Inc. | (1798577) |
| (61400) | Japan Post Bank Co. Ltd. | (738912) |
| (800) | Kawasaki Heavy Industries Ltd. | (50670) |
| (2000) | Keyence Corp. | (680819) |
| (41800) | Kobe Bussan Co. Ltd. | (1015997) |
| (4300) | Lasertec Corp. | (776305) |
| (8600) | Mizuho Financial Group, Inc. | (303295) |
| (109700) | MonotaRO Co. Ltd. | (1607390) |
| (315900) | Nissan Motor Co. Ltd. \* | (770154) |
| (168700) | Oriental Land Co. Ltd. | (3245032) |
| (472500) | Rakuten Group, Inc. \* | (2891822) |
| (42200) | Resona Holdings, Inc. | (429607) |
| (39700) | Sanrio Co. Ltd. | (1422304) |
| (2800) | Shimano, Inc. | (294015) |
| (99500) | Shiseido Co. Ltd. | (1416381) |
| (300) | SMC Corp. | (105521) |
| (1618900) | SoftBank Corp. | (2316189) |
| (18200) | SoftBank Group Corp. | (1957608) |
| (7700) | Tokyo Metro Co. Ltd. | (79180) |
| (36500) | Tokyu Corp. | (425950) |
| (37300) | Toyota Motor Corp. | (752409) |
| (15700) | Yokohama Financial Group, Inc. | (124204) |
| (20000) | Zensho Holdings Co. Ltd. | (1205128) |
| (4500) | ZOZO, Inc. | (38765) |
|  | Total Japan | (39481291) |
|  | **Netherlands — (1.3)%** | **Netherlands — (1.3)%** |
| (590) | Adyen NV \* | (922146) |
| (27985) | Aegon Ltd. Common Stock Eur.12 | (226315) |
| (6035) | AerCap Holdings NV | (808690) |
| (12320) | BE Semiconductor Industries NV | (1866110) |
| (94199) | CVC Capital Partners PLC | (1555747) |
| (2396) | DSM-Firmenich AG | (197078) |
| (7049) | Heineken NV | (574995) |
| (60059) | InPost SA \* | (705216) |
| (27354) | Koninklijke Philips NV | (771653) |
| (96108) | Universal Music Group NV | (2469754) |
|  | Total Netherlands | (10097704) |
|  | **New Zealand — (0.2)%** |  |
| (125384) | Auckland International Airport Ltd. | (575813) |
| (59426) | Contact Energy Ltd. | (328553) |
| (33281) | Infratil Ltd. | (223002) |
|  | Total New Zealand | (1127368) |
|  | **Norway — (0.4)%** |  |
| (69990) | Kongsberg Gruppen ASA | (1658269) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Norway — continued** | |
| (28228) | Salmar ASA | (1651693) |
|  | Total Norway | (3309962) |
|  | **Peru — (0.3)%** |  |
| (17255) | Southern Copper Corp. | (2325688) |
|  | **Portugal — (0.1)%** |  |
| (67147) | EDP Renovaveis SA | (894725) |
|  | **Singapore — (0.8)%** |  |
| (89383) | CapitaLand Integrated Commercial Trust – (REIT) | (162351) |
| (723200) | CapitaLand Investment Ltd. | (1481265) |
| (400243) | Grab Holdings Ltd. – Class A \* | (2181324) |
| (123400) | Keppel Ltd. | (975958) |
| (3100) | Sea Ltd. ADR \* | (430931) |
| (125000) | Singapore Airlines Ltd. | (626551) |
|  | Total Singapore | (5858380) |
|  | **South Africa — (0.0)%** |  |
| (5705) | Sibanye Stillwater Ltd. ADR\* | (76048) |
|  | **Spain — (0.8)%** |  |
| (78303) | Cellnex Telecom SA \* | (2351613) |
| (54318) | Ferrovial SE | (3562401) |
| (33931) | Grifols SA | (415295) |
|  | Total Spain | (6329309) |
|  | **Sweden — (1.1)%** |  |
| (64805) | Beijer Ref AB | (1032979) |
| (75319) | EQT AB | (2609197) |
| (45711) | Fastighets AB Balder – B Shares \* | (328633) |
| (7218) | H & M Hennes & Mauritz AB – Class B | (131145) |
| (130860) | Nibe Industrier AB – B Shares | (484398) |
| (15091) | Saab AB – Class B | (761083) |
| (6263) | Sagax AB – Class B | (134001) |
| (2761) | Spotify Technology SA \* | (1653480) |
| (68258) | Svenska Cellulosa AB SCA – Class B | (887567) |
|  | Total Sweden | &nbsp;&nbsp;&nbsp;&nbsp;(8022483) |
|  | **Switzerland — (1.3)%** |  |
| (2540) | Alcon AG | (202479) |
| (14217) | Amrize Ltd \* | (732025) |
| (39176) | Avolta AG | (2159325) |
| (4721) | Banque Cantonale Vaudoise (Registered) | (572536) |
| (31) | Chocoladefabriken Lindt & Spruengli AG | (456393) |
| (2203) | Cie Financiere Richemont SA – Class A (Registered) | (468359) |
| (726) | Galderma Group AG | (144939) |
| (1667) | Partners Group Holding AG | (1978774) |
| (11895) | Sandoz Group AG | (841399) |
| (31599) | SIG Group AG | (383343) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Switzerland — continued** | |
| (1090) | Straumann Holding AG | (124587) |
| (2015) | Swatch Group AG | (407598) |
| (46) | Swiss Life Holding AG | (50453) |
| (3540) | Swiss Prime Site AG (Registered) | (522017) |
| (3735) | Swiss Re AG | (659126) |
|  | Total Switzerland | &nbsp;&nbsp;&nbsp;&nbsp;(9703353) |
|  | **United Kingdom — (3.2)%** |  |
| (12832) | Anglo American PLC | (484989) |
| (11843) | Antofagasta PLC | (433033) |
| (27323) | Barratt Redrow PLC | (142754) |
| (115084) | BP PLC | (691154) |
| (2556) | Bunzl PLC | (73232) |
| (52326) | Entain PLC | (538989) |
| (31127) | Glencore PLC \* | (148792) |
| (225394) | Informa PLC | (2866137) |
| (16949) | InterContinental Hotels Group PLC | (2250107) |
| (25022) | Land Securities Group PLC – (REIT) | (200303) |
| (17013) | London Stock Exchange Group PLC | (2004005) |
| (1787) | M&G PLC | (6439) |
| (252751) | Melrose Industries PLC | (1993675) |
| (216957) | Phoenix Group Holdings PLC | (2000156) |
| (10593) | Prudential PLC | (153484) |
| (9850) | Reckitt Benckiser Group PLC | (763369) |
| (142485) | Rentokil Initial PLC <sup>(b)</sup> | (784393) |
| (170158) | Rolls-Royce Holdings PLC | (2401654) |
| (23253) | Segro PLC – (REIT) | (219691) |
| (67740) | Severn Trent PLC | (2526692) |
| (5448) | St James's Place PLC | (100357) |
| (52203) | United Utilities Group PLC | (854907) |
| (16813) | Whitbread PLC | (554043) |
| (132567) | Wise PLC – Class A \* | (1551291) |
| (44298) | WPP PLC | (178126) |
|  | Total United Kingdom | (23921772) |
|  | **United States — (58.1)%** |  |
| (2713) | 3M Co. | (466772) |
| (12532) | AbbVie, Inc. | (2853536) |
| (400) | AeroVironment, Inc. \* | (111784) |
| (57901) | Affirm Holdings, Inc. \* | (4108076) |
| (3052) | Air Products and Chemicals, Inc. | (796725) |
| (6000) | Alexandria Real Estate Equities, Inc. – (REIT) | (322020) |
| (8073) | Alnylam Pharmaceuticals, Inc. \* | (3642780) |
| (12200) | American Healthcare REIT, Inc. | (619516) |
| (8396) | American International Group, Inc. | (639439) |
| (1194) | American Water Works Co., Inc. | (155304) |
| (16000) | Americold Realty Trust, Inc. – (REIT) | (173280) |
| (4174) | Analog Devices, Inc. | (1107529) |
| (9100) | Annaly Capital Management, Inc. – (REIT) | (207480) |
| (16200) | Antero Resources Corp. \* | (590166) |
| (5700) | Apollo Global Management, Inc. | (751545) |
| (5800) | Applied Digital Corp. \* | (157180) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (2156) | AppLovin Corp. – Class A \* | (1292479) |
| (4731) | ARES Management Corp. – Class A | (742057) |
| (367) | Arista Networks, Inc. \* | (47960) |
| (9560) | Arthur J Gallagher & Co. | (2367247) |
| (5000) | AST SpaceMobile, Inc. \* | (281000) |
| (20675) | AT&T, Inc. | (537964) |
| (1600) | ATI, Inc. \* | (161280) |
| (208900) | Aurora Innovation, Inc. \* | (875291) |
| (4847) | Axon Enterprise, Inc. \* | (2618059) |
| (1500) | Baker Hughes Co. | (75300) |
| (10300) | Ball Corp. | (510159) |
| (1600) | Bank of New York Mellon Corp. | (179360) |
| (40393) | Baxter International, Inc. | (756965) |
| (3322) | Becton Dickinson & Co. <sup>(b)</sup> | (644534) |
| (11048) | Bentley Systems, Inc. – Class B | (463574) |
| (3000) | Bill Holdings, Inc. \* | (150450) |
| (3000) | Biogen, Inc. \* | (546270) |
| (9845) | BioMarin Pharmaceutical, Inc. \* | (550631) |
| (279782) | Black Hills Corp. | (20645114) |
| (5024) | Blackstone, Inc. | (735614) |
| (3000) | Bloom Energy Corp. – Class A \* | (327720) |
| (50500) | Blue Owl Capital, Inc. | (757500) |
| (26083) | Boeing Co. \* | (4929687) |
| (3700) | Bridgebio Pharma, Inc. \* | (266437) |
| (2400) | Bright Horizons Family Solutions, Inc. \* | (246624) |
| (25646) | Brighthouse Financial, Inc. \* | (1681095) |
| (11319) | Burlington Stores, Inc. \* | (2854991) |
| (1400) | Camden Property Trust – (REIT) | (148876) |
| (1016) | Carlisle Cos., Inc. | (323159) |
| (2900) | Carlyle Group, Inc. | (158137) |
| (2200) | Carpenter Technology Corp. | (700788) |
| (10776) | Carvana Co. \* | (4035612) |
| (3500) | Casella Waste Systems, Inc. – Class A \* | (337365) |
| (7600) | Cava Group, Inc. \* | (371564) |
| (52642) | Charter Communications, Inc. – Class A \* <sup>(b)</sup> | (10534717) |
| (12600) | Chewy, Inc. – Class A \* | (438102) |
| (687) | Church & Dwight Co., Inc. | (58505) |
| (9383) | Cintas Corp. | (1745426) |
| (19742) | Cloudflare, Inc. – Class A \* | (3952546) |
| (472424) | Coeur Mining, Inc. \* | (8158763) |
| (13100) | Coherent Corp. \* | (2151806) |
| (8042) | Coinbase Global, Inc. – Class A \* | (2194018) |
| (5120) | Constellation Energy Corp. | (1865523) |
| (2372) | Cooper Cos., Inc. \* <sup>(b)</sup> | (184850) |
| (18366) | Corebridge Financial, Inc. | (551347) |
| (1900) | Corpay, Inc. \* | (562020) |
| (908) | CoStar Group, Inc. \* | (62470) |
| (1614) | Crown Castle, Inc. – (REIT) | (147326) |
| (1300) | Cytokinetics, Inc. \* | (88569) |
| (1601) | Danaher Corp. | (363075) |
| (12231) | Dexcom, Inc. \* | (776302) |
| (5281) | Diamondback Energy, Inc. | (805828) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (15494) | Digital Realty Trust, Inc. – (REIT) | (2480899) |
| (6685) | Dollar Tree, Inc. \* | (740765) |
| (11900) | Dominion Energy, Inc. | (746963) |
| (9984) | DoorDash, Inc. – Class A \* | (1980526) |
| (31843) | Dow, Inc. | (759456) |
| (112022) | DraftKings, Inc. – Class A \* | (3714650) |
| (4500) | DT Midstream, Inc. | (546570) |
| (33520) | DuPont de Nemours, Inc. <sup>(b)</sup> | (1333090) |
| (9200) | Dutch Bros, Inc. – Class A \* | (539212) |
| (10400) | D-Wave Quantum, Inc. \* | (235768) |
| (2700) | EchoStar Corp. – Class A \* | (197883) |
| (409) | Ecolab, Inc. | (112540) |
| (41941) | EQT Corp. | (2552529) |
| (1976) | Equifax, Inc. | (419643) |
| (6989) | Erie Indemnity Co. – Class A | (2065180) |
| (2900) | Essential Utilities, Inc. | (114811) |
| (7616) | Estee Lauder Cos., Inc. – Class A | (716437) |
| (7800) | Exact Sciences Corp. \* | (790062) |
| (1311) | Exxon Mobil Corp. | (151971) |
| (2031) | Fair Isaac Corp. \* | (3667641) |
| (49140) | Fastenal Co. | (1985256) |
| (63605) | Fidelity National Information Services, Inc. | (4183301) |
| (479479) | Fifth Third Bancorp | (20838157) |
| (403) | First Citizens BancShares, Inc. – Class A | (756790) |
| (7129) | Fiserv, Inc. \* | (438220) |
| (4881) | Flutter Entertainment PLC \* <sup>(d)</sup> | (1015856) |
| (2200) | Flutter Entertainment PLC \* <sup>(d)</sup> | (459382) |
| (14486) | Fortive Corp. | (774711) |
| (209990) | Fox Corp. – Class A | (13754345) |
| (2300) | Freshpet, Inc. \* | (131468) |
| (5600) | FTAI Aviation Ltd. | (970144) |
| (28300) | GameStop Corp. – Class A \* | (637599) |
| (3025) | Gartner, Inc. \* | (704039) |
| (1826) | GE Vernova, Inc. | (1095180) |
| (3900) | Glaukos Corp. \* | (414531) |
| (2500) | Guardant Health, Inc. \* | (271050) |
| (8600) | Guidewire Software, Inc. \* | (1857428) |
| (11000) | Healthcare Realty Trust, Inc. – (REIT) | (200530) |
| (1900) | HealthEquity, Inc. \* | (199842) |
| (58300) | Healthpeak Properties, Inc. – (REIT) | (1064558) |
| (18800) | Hecla Mining Co. | (316216) |
| (741) | Hershey Co. | (139367) |
| (7939) | HubSpot, Inc. \* | (2916154) |
| (790104) | Huntington Bancshares, Inc. | (12878695) |
| (25279) | Hyatt Hotels Corp. – Class A | (4155615) |
| (7222) | Illumina, Inc. \* | (949332) |
| (9108) | Ingersoll Rand, Inc. | (731737) |
| (6200) | Insmed, Inc. \* | (1288174) |
| (9975) | Insulet Corp. \* | (3263720) |
| (28265) | Intel Corp. \* | (1146428) |
| (1900) | Interactive Brokers Group, Inc. – Class A | (123538) |
| (32929) | International Flavors & Fragrances, Inc. | (2287907) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (19963) | International Paper Co. <sup>(b)</sup> | (788139) |
| (3800) | Invitation Homes, Inc. – (REIT) | (107160) |
| (1100) | Ionis Pharmaceuticals, Inc. \* | (91003) |
| (34400) | IonQ, Inc. \* | (1695920) |
| (2609) | IQVIA Holdings, Inc. \* | (600096) |
| (2200) | Iron Mountain, Inc. – (REIT) | (189970) |
| (395) | JB Hunt Transport Services, Inc. | (68714) |
| (1500) | Jefferies Financial Group, Inc. | (86340) |
| (19600) | Keurig Dr. Pepper, Inc. | (546840) |
| (3000) | KeyCorp | (55140) |
| (3901) | Keysight Technologies, Inc. \* | (772203) |
| (114687) | Kimberly-Clark Corp. <sup>(b)</sup> | (12514645) |
| (27600) | Kimco Realty Corp. – (REIT) | (570216) |
| (25699) | KKR & Co., Inc. | (3143245) |
| (21548) | Kraft Heinz Co. <sup>(b)</sup> | (549689) |
| (2600) | Kratos Defense & Security Solutions, Inc. \* | (197860) |
| (37126) | Liberty Media Corp.-Liberty Formula One – Class C \* | (3563354) |
| (6368) | Linde PLC | (2612918) |
| (21112) | Live Nation Entertainment, Inc. \* | (2775172) |
| (262) | Lululemon Athletica, Inc. \* | (48255) |
| (3600) | Lumentum Holdings, Inc. \* | (1170576) |
| (3900) | MARA Holdings, Inc. \* | (46059) |
| (59621) | Marvell Technology, Inc. | (5330117) |
| (2749) | Mastercard, Inc. – Class A | (1513407) |
| (8900) | McCormick & Co., Inc. | (600572) |
| (1196) | McKesson Corp. | (1053820) |
| (884) | MercadoLibre, Inc. \* | (1831454) |
| (39221) | Microchip Technology, Inc. | (2101461) |
| (13980) | MongoDB, Inc. \* | (4646533) |
| (1586) | Moody's Corp. | (778377) |
| (500) | Morgan Stanley | (84830) |
| (3139) | Motorola Solutions, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;(1160426) |
| (8700) | MP Materials Corp. \* | (538965) |
| (4454) | MSCI, Inc. | (2510809) |
| (15304) | Natera, Inc. \* | (3654748) |
| (248360) | News Corp. – Class B | (7309235) |
| (14608) | NextEra Energy, Inc. | (1260524) |
| (8918) | NIKE, Inc. – Class B | (576370) |
| (25101) | Nutanix, Inc. – Class A \* | (1199828) |
| (739) | Occidental Petroleum Corp. | (31038) |
| (35568) | Okta, Inc. \* | (2857177) |
| (2899) | Old Dominion Freight Line, Inc. | (392206) |
| (3400) | Omega Healthcare Investors, Inc. – (REIT) | (156128) |
| (43352) | ONEOK, Inc. | (3156893) |
| (2908) | O'Reilly Automotive, Inc. \* | (295744) |
| (29695) | Otis Worldwide Corp. | (2638401) |
| (171000) | Ovintiv, Inc. | (7004160) |
| (1220) | PACCAR, Inc. | (128612) |
| (11070) | Palantir Technologies, Inc. – Class A \* | (1864742) |
| (79509) | Palo Alto Networks, Inc. \* | (15117046) |
| (20477) | Paychex, Inc. | (2287076) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (35200) | PG&E Corp. | (567424) |
| (2900) | Planet Fitness, Inc. – Class A \* | (324713) |
| (2256) | Pool Corp. | (549562) |
| (3452) | Prudential Financial, Inc. | (373679) |
| (1600) | Public Service Enterprise Group, Inc. | (133632) |
| (12247) | Pure Storage, Inc. – Class A \* | (1089493) |
| (1900) | Q2 Holdings, Inc. \* | (137047) |
| (9800) | Qnity Electronics, Inc. | (794682) |
| (3100) | QuantumScape Corp. \* | (37882) |
| (10100) | QXO, Inc. \* | (189173) |
| (23611) | Realty Income Corp. – (REIT) | (1360230) |
| (2600) | Regency Centers Corp. – (REIT) | (185016) |
| (4400) | Reinsurance Group of America, Inc. | (835428) |
| (4600) | REVOLUTION Medicines, Inc. \* | (357696) |
| (7833) | Revvity, Inc. | (817844) |
| (6900) | Rigetti Computing, Inc. \* | (176433) |
| (10000) | Riot Blockchain, Inc. \* | (161300) |
| (246328) | Rivian Automotive, Inc. – Class A \* | (4153090) |
| (29380) | Robinhood Markets, Inc. – Class A \* | (3775036) |
| (25208) | ROBLOX Corp. – Class A \* | (2395516) |
| (33102) | Rocket Cos., Inc. – Class A <sup>(b)</sup> | (661378) |
| (57351) | Rocket Lab Corp. \* | (2416771) |
| (4600) | Roku, Inc. \* | (445234) |
| (33745) | Rollins, Inc. | (2074643) |
| (949) | Royal Caribbean Cruises Ltd. | (252671) |
| (6507) | RTX Corp. | (1138139) |
| (9700) | Rubrik, Inc. – Class A \* | (672404) |
| (7800) | Ryan Specialty Holdings, Inc. | (452946) |
| (105) | S&P Global, Inc. | (52377) |
| (80600) | Samsara, Inc. – Class A \* | (3065218) |
| (4000) | Sarepta Therapeutics, Inc. \* | (85360) |
| (2996) | Seagate Technology Holdings PLC | (828963) |
| (4010) | ServiceNow, Inc. \* | &nbsp;&nbsp;&nbsp;&nbsp;(3257764) |
| (1500) | Shift4 Payments, Inc. – Class A \* | (110670) |
| (70607) | Skyworks Solutions, Inc. | (4656532) |
| (178623) | Snap, Inc. – Class A \* | (1371825) |
| (16980) | Snowflake, Inc. \* | (4266055) |
| (98325) | SoFi Technologies, Inc. \* | (2922219) |
| (13900) | SoundHound AI, Inc. – Class A \* | (167495) |
| (7800) | Southern Co. | (710736) |
| (15369) | Starbucks Corp. | (1338794) |
| (3400) | Starwood Property Trust, Inc. – (REIT) | (62356) |
| (3132) | STERIS PLC | (833989) |
| (8580) | Strategy, Inc. \* | (1520204) |
| (10998) | Sun Communities, Inc. – (REIT) | (1416982) |
| (1729) | Sysco Corp. | (131750) |
| (15244) | Take-Two Interactive Software, Inc. \* | (3751091) |
| (15757) | Targa Resources Corp. | (2762360) |
| (5400) | TechnipFMC PLC | (244404) |
| (700) | Tempus AI, Inc. \* | (54551) |
| (159808) | Terex Corp. <sup>(b)</sup> | (7384728) |
| (6795) | Tesla, Inc. \* | (2923005) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (2845) | Texas Pacific Land Corp. | (2458905) |
| (3541) | T-Mobile U.S., Inc. | (740104) |
| (23866) | Toast, Inc. – Class A \* | (815979) |
| (12471) | Tractor Supply Co. | (683161) |
| (5993) | Trade Desk, Inc. – Class A \* | (237083) |
| (389) | TransDigm Group, Inc. | (529106) |
| (9108) | TransUnion | (774635) |
| (1300) | Truist Financial Corp. | (60450) |
| (5800) | Twilio, Inc. – Class A \* | (752202) |
| (3687) | Tyler Technologies, Inc. \* | (1731489) |
| (43396) | UDR, Inc. – (REIT) | (1580482) |
| (14867) | U-Haul Holding Co. NVDR | (715251) |
| (51136) | Union Pacific Corp. <sup>(b)</sup> | (11854859) |
| (19700) | Unity Software, Inc. \* | (837644) |
| (1200) | Upstart Holdings, Inc. \* | (53952) |
| (8400) | Uranium Energy Corp. \* | (103068) |
| (2400) | Varonis Systems, Inc. \* | (79368) |
| (8000) | Vaxcyte, Inc. \* | (396880) |
| (33946) | Ventas, Inc. – (REIT) | (2737066) |
| (1144) | Verisk Analytics, Inc. | (257480) |
| (15461) | Vistra Corp. | (2765354) |
| (7400) | Vornado Realty Trust – (REIT) | (272468) |
| (11511) | Waste Connections, Inc. | (2032267) |
| (2921) | Waste Management, Inc. | (636398) |
| (7763) | Watsco, Inc. | (2689103) |
| (1400) | Wayfair, Inc. – Class A \* | (155120) |
| (16927) | Welltower, Inc. – (REIT) | (3524540) |
| (215) | West Pharmaceutical Services, Inc. | (59609) |
| (11331) | Western Digital Corp. | (1850692) |
| (46471) | Williams Cos., Inc. | (2831478) |
| (1280) | Willis Towers Watson PLC | (410880) |
| (1315) | Workday, Inc. – Class A \* | (283540) |
| (2199) | Zebra Technologies Corp. – Class A \* | (555797) |
| (36679) | Zillow Group, Inc. – Class C \* | (2728184) |
| (8282) | Zimmer Biomet Holdings, Inc. | (807661) |
| (13786) | Zscaler, Inc. \* | (3467179) |
|  | Total United States | (435673191) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $621,544,256) | (654452874) |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
|  | **PREFERRED STOCKS <sup>(f)</sup> — (0.3)%** | **PREFERRED STOCKS <sup>(f)</sup> — (0.3)%** |
| | **Germany — (0.3)%** | **Germany — (0.3)%** |
| (6480) | Sartorius AG | (1889974) |
| (13747) | Dr. Ing hc F Porsche AG | (714864) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $2,578,775) | (2604838) |
|  | **RIGHTS/WARRANTS — (0.0)%** | **RIGHTS/WARRANTS — (0.0)%** |
|  | **United States — (0.0)%** | **United States — (0.0)%** |
| (1710) | GameStop Corp. \* | (5711) |
|  | TOTAL RIGHTS/WARRANTS<br>(PROCEEDS $0) | (5711) |
|  | **DEBT OBLIGATIONS — (6.7)%** | **DEBT OBLIGATIONS — (6.7)%** |
|  | **United States — (6.7)%** | **United States — (6.7)%** |
|  | **U.S. Government Agency — (6.7)%** | **U.S. Government Agency — (6.7)%** |
| (15000000) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 12/01/40 | (14193036) |
| (11500000) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54 | (11777859) |
| (17500000) | Uniform Mortgage-Backed Security, TBA, 4.00%, due 12/01/55 | (16674078) |
| (7500000) | Uniform Mortgage-Backed Security, TBA, 4.50%, due 12/01/55 | (7344888) |
|  | Total United States | (49989861) |
|  | TOTAL DEBT OBLIGATIONS<br>(PROCEEDS $49,733,047) | (49989861) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $673,856,078) | **(707053284)** |
|  | Other Assets and Liabilities (net) — (3.1)% | (23664763) |
|  | **TOTAL NET ASSETS — 100.0%** | $**750051799** |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Forward Currency Contracts**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 12/11/2025 | BOA | CAD | 2780000 | USD | 2019058 | 28667 |
| 12/11/2025 | DB | CAD | 4140000 | USD | 3008544 | 44438 |
| 12/11/2025 | CITI | CAD | 5550000 | USD | 4005787 | 32166 |
| 12/11/2025 | MSCI | CAD | 3860000 | USD | 2782027 | 18391 |
| 02/13/2026 | CITI | CAD | 1273068 | USD | 914277 | 15 |
| 12/08/2025 | SSB | CHF | 51580793 | USD | 65205824 | 935017 |
| 01/15/2026 | SSB | CHF | 16237275 | USD | 20362773 | 39076 |
| 12/08/2025 | MSCI | CHF | 2271612 | USD | 2851499 | 21019 |
| 01/15/2026 | CITI | CZK | 8200000 | USD | 394014 | 96 |
| 01/30/2026 | DB | EUR | 10835066 | USD | 12668406 | 56628 |
| 01/30/2026 | SSB | EUR | 106000 | USD | 123674 | 292 |
| 02/17/2026 | DB | EUR | 1800000 | USD | 2097936 | 930 |
| 02/13/2026 | GS | HKD | 66637135 | USD | 8587790 | 10365 |
| 02/18/2026 | CITI | INR | 337000000 | USD | 3778402 | 23648 |
| 01/07/2026 | DB | JPY | 2000000000 | USD | 13493854 | 642633 |
| 02/17/2026 | SSB | JPY | 2170420918 | USD | 14162736 | 165213 |
| 01/14/2026 | GS | JPY | 309000000 | USD | 1991563 | 4795 |
| 01/14/2026 | MSCI | JPY | 398000000 | USD | 2563391 | 4383 |
| 01/15/2026 | MSCI | NOK | 10200000 | USD | 1019754 | 11805 |
| 01/12/2026 | SSB | PHP | 15000000 | USD | 256654 | 1028 |
| 01/22/2026 | MSCI | SEK | 69264506 | USD | 7388214 | 29548 |
| 01/21/2026 | SSB | SGD | 4940000 | USD | 3838746 | 12386 |
| 01/22/2026 | CITI | THB | 7500000 | USD | 237291 | 3438 |
| 01/22/2026 | MSCI | THB | 29752251 | USD | 940515 | 12828 |
| 02/12/2026 | SSB | USD | 1791326 | AUD | 2760000 | 17619 |
| 02/27/2026 | JPM | USD | 9230548 | AUD | 14276486 | 126725 |
| 12/02/2025 | BCLY | USD | 10264823 | BRL | 55751334 | 179707 |
| 12/02/2025 | MSCI | USD | 23753835 | BRL | 128990453 | 411409 |
| 12/02/2025 | CITI | USD | 404523 | BRL | 2250000 | 16995 |
| 03/03/2026 | MSCI | USD | 23795705 | BRL | 131240453 | 291713 |
| 03/03/2026 | BCLY | USD | 10132921 | BRL | 55751334 | 99485 |
| 12/11/2025 | MSCI | USD | 4213710 | CAD | 5900000 | 10500 |
| 12/11/2025 | JPM | USD | 1029906 | CAD | 1440000 | 1088 |
| 02/13/2026 | MSCI | USD | 5962305 | CAD | 8345652 | 31183 |
| 02/25/2026 | BOA | USD | 10951193 | CAD | 15379034 | 99267 |
| 12/11/2025 | CITI | USD | 1481307 | CAD | 2070000 | 746 |
| 12/08/2025 | MSCI | USD | 812328 | CHF | 652534 | 744 |
| 02/13/2026 | MSCI | USD | 5179195 | CLP | 4867200000 | 67943 |
| 02/13/2026 | JPM | USD | 12896486 | COP | 49262000000 | 96290 |
| 01/15/2026 | MSCI | USD | 4221519 | CZK | 88400000 | 25108 |
| 01/30/2026 | MSCI | USD | 111837 | EUR | 97000 | 1069 |
| 02/17/2026 | MSCI | USD | 1735078 | EUR | 1490000 | 778 |
| 01/15/2026 | MSCI | USD | 2664730 | GBP | 2040000 | 35618 |
| 02/27/2026 | MSCI | USD | 1620977 | GBP | 1235652 | 14568 |
| 02/19/2026 | GS | USD | 2247867 | HUF | 749520539 | 21069 |
| 02/10/2026 | CITI | USD | 204482 | IDR | 3409500000 | 74 |
| 02/10/2026 | SSB | USD | 219366 | IDR | 3677500000 | 1269 |
| 02/27/2026 | UBSA | USD | 25883123 | JPY | 4024465793 | 94420 |
| 02/27/2026 | BCLY | USD | 1931926 | JPY | 300109317 | 5251 |
| 02/17/2026 | MSCI | USD | 3581923 | JPY | 556277595 | 5634 |
| 01/12/2026 | CITI | USD | 1842008 | KRW | 2699315314 | 1171 |
| 12/02/2025 | JPM | USD | 6579552 | MXN | 121479591 | 58314 |
| 12/02/2025 | MSCI | USD | 6582315 | MXN | 121479591 | 55551 |
| 01/15/2026 | SSB | USD | 9518236 | MXN | 177818725 | 153949 |
| 01/15/2026 | CITI | USD | 806277 | MXN | 14900000 | 4185 |
| 03/03/2026 | JPM | USD | 10903710 | MXN | 202220756 | 41441 |
| 02/27/2026 | UBSA | USD | 41002643 | NOK | 420284262 | 517641 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 02/17/2026 | SSB | USD | 916206 | NZD | 1610000 | 10784 |
| 02/02/2026 | JPM | USD | 12967911 | PEN | 45140000 | 433708 |
| 02/02/2026 | DB | USD | 844791 | PEN | 2900000 | 16190 |
| 02/02/2026 | MSCI | USD | 382793 | PEN | 1320000 | 9102 |
| 01/12/2026 | CITI | USD | 160802 | PHP | 9500000 | 1095 |
| 01/22/2026 | GS | USD | 1795875 | SEK | 17037360 | 14175 |
| 01/21/2026 | DB | USD | 431709 | SGD | 560000 | 2048 |
| 01/21/2026 | CITI | USD | 724914 | SGD | 940000 | 3179 |
| 01/21/2026 | MSCI | USD | 401863 | SGD | 520000 | 911 |
| 01/21/2026 | SSB | USD | 423428 | SGD | 550000 | 2584 |
| 01/21/2026 | BOA | USD | 394224 | SGD | 510000 | 805 |
| 01/22/2026 | CITI | USD | 3719900 | THB | 120100000 | 24866 |
| 02/02/2026 | BCLY | USD | 4265022 | TRY | 195800000 | 121871 |
| 01/29/2026 | SSB | USD | 432707 | ZAR | 7600000 | 9513 |
| 01/29/2026 | MSCI | USD | 13356571 | ZAR | 234400000 | 282418 |
| 01/29/2026 | BCLY | USD | 414307 | ZAR | 7200000 | 4638 |
| 01/29/2026 | CITI | USD | 226925 | ZAR | 4000000 | 5822 |
| 01/29/2026 | SSB | ZAR | 4800000 | USD | 280705 | 1409 |
| 02/12/2026 | MSCI | AUD | 1920000 | USD | 1255099 | (3298) |
| 12/02/2025 | MSCI | BRL | 131240453 | USD | 24295690 | (291074) |
| 12/02/2025 | BCLY | BRL | 55751334 | USD | 10345395 | (99135) |
| 12/11/2025 | MSCI | CAD | 1870000 | USD | 1336332 | (2528) |
| 12/11/2025 | JPM | CAD | 2510000 | USD | 1792200 | (4879) |
| 12/11/2025 | BCLY | CAD | 3660000 | USD | 2599189 | (21253) |
| 02/13/2026 | MSCI | CAD | 9835323 | USD | 7044957 | (18348) |
| 02/13/2026 | BCLY | CAD | 256914 | USD | 183604 | (901) |
| 02/13/2026 | SSB | CAD | 4443318 | USD | 3174417 | (16582) |
| 02/13/2026 | GS | CAD | 1490229 | USD | 1060670 | (9549) |
| 12/08/2025 | BCLY | CHF | 1851505 | USD | 2289510 | (17506) |
| 02/13/2026 | MSCI | CLP | 855903500 | USD | 912662 | (10054) |
| 02/13/2026 | CITI | CLP | 1640400000 | USD | 1755960 | (12491) |
| 01/15/2026 | MSCI | CZK | 24800000 | USD | 1184318 | (7044) |
| 01/15/2026 | CITI | CZK | 9600000 | USD | 455803 | (5369) |
| 01/30/2026 | DB | EUR | 307000 | USD | 356710 | (631) |
| 02/12/2026 | JPM | EUR | 14640999 | USD | 17025933 | (26730) |
| 01/30/2026 | SSB | EUR | 1282600 | USD | 1490318 | (2600) |
| 02/27/2026 | UBSA | EUR | 50525271 | USD | 58526200 | (364614) |
| 02/17/2026 | MSCI | EUR | 1340000 | USD | 1556987 | (4118) |
| 01/15/2026 | DB | GBP | 1310000 | USD | 1717701 | (16346) |
| 01/15/2026 | MSCI | GBP | 780000 | USD | 1027398 | (5088) |
| 01/15/2026 | GS | GBP | 1930000 | USD | 2544385 | (10357) |
| 02/10/2026 | GS | IDR | 9000000000 | USD | 538706 | (1258) |
| 02/10/2026 | BCLY | IDR | 4800000000 | USD | 286509 | (1472) |
| 02/12/2026 | CITI | ILS | 5167605 | USD | 1584839 | (3433) |
| 02/12/2026 | GS | ILS | 950000 | USD | 290576 | (1408) |
| 01/12/2026 | CITI | KRW | 3562187923 | USD | 2420984 | (11392) |
| 12/02/2025 | JPM | MXN | 222063668 | USD | 12080916 | (53047) |
| 12/02/2025 | SSB | MXN | 10493348 | USD | 567968 | (5408) |
| 01/15/2026 | GS | MXN | 3600000 | USD | 193118 | (2699) |
| 12/02/2025 | BCLY | MXN | 10402166 | USD | 564262 | (4131) |
| 01/15/2026 | CITI | NOK | 25400000 | USD | 2489683 | (20307) |
| 02/17/2026 | MSCI | NZD | 24550000 | USD | 13954637 | (180519) |
| 02/27/2026 | SSB | NZD | 2022893 | USD | 1138757 | (26415) |
| 02/27/2026 | GS | NZD | 1834262 | USD | 1031024 | (25498) |
| 02/02/2026 | MSCI | PEN | 400000 | USD | 118147 | (609) |
| 02/02/2026 | GS | PEN | 800000 | USD | 236672 | (840) |
| 01/12/2026 | SSB | PHP | 29500000 | USD | 501133 | (1598) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Forward Currency Contracts — continued** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/12/2026 | CITI | PHP | 30000000 | USD | 508005 | (3247) |
| 02/20/2026 | MSCI | PLN | 3850000 | USD | 1051011 | (3263) |
| 02/20/2026 | CITI | PLN | 1000000 | USD | 272657 | (1181) |
| 02/24/2026 | GS | RON | 11441896 | USD | 2581118 | (15123) |
| 12/11/2025 | SSB | USD | 6565446 | CAD | 9050000 | (85937) |
| 12/11/2025 | BOA | USD | 2206325 | CAD | 3070000 | (8304) |
| 12/08/2025 | SSB | USD | 1318744 | CHF | 1052154 | (7737) |
| 01/15/2026 | MSCI | USD | 717415 | GBP | 540000 | (2617) |
| 01/15/2026 | BCLY | USD | 3995679 | GBP | 3010000 | (11341) |
| 01/15/2026 | CITI | USD | 1488389 | GBP | 1110000 | (19082) |
| 02/10/2026 | MSCI | USD | 7051085 | IDR | 117523243000 | (164) |
| 01/14/2026 | MSCI | USD | 25269985 | JPY | 3825915155 | (670613) |
| 02/17/2026 | MSCI | USD | 315754 | JPY | 48929317 | (198) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/12/2026 | JPM | USD | 5550598 | KRW | 8008180238 | (82355) |
| 01/20/2026 | SSB | USD | 1364983 | KRW | 1978830175 | (13286) |
| 01/15/2026 | SSB | USD | 17380410 | NOK | 175827768 | (5377) |
| 01/15/2026 | CITI | USD | 862375 | NOK | 8700000 | (2654) |
| 01/12/2026 | SSB | USD | 4596050 | PHP | 268100000 | (27158) |
| 01/14/2026 | GS | USD | 4795650 | SEK | 45100000 | (6294) |
| 01/21/2026 | GS | USD | 450986 | SGD | 580000 | (1738) |
| 01/22/2026 | MSCI | USD | 5879750 | THB | 186000000 | (80195) |
| 12/08/2025 | SSB | USD | 358129 | TWD | 11056651 | (6361) |
| 01/27/2026 | MSCI | ZAR | 18061690 | USD | 1035011 | (16099) |
|  |  |  |  |  |  | $3171594 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 56 | Australia Government Bond 10 Yr. | December 2025 | 4100266 | (72717) |
| 55 | Canadian Government Bond | March 2026 | 4838599 | 12925 |
| 473 | Corn<sup>(i)</sup> | March 2026 | 10589287 | 55637 |
| 383 | Cotton<sup>(i)</sup> | March 2026 | 12391965 | (96648) |
| 208 | Euro Bund | December 2025 | 31105547 | 241714 |
| 91 | FTSE 100 Index | December 2025 | 11741415 | 447354 |
| 70 | Health Care Select Sector Futures | December 2025 | 11144700 | 828509 |
| 582 | IODEX Futures<sup>(i)</sup> | January 2026 | 5948040 | 73373 |
| 220 | Lean Hogs<sup>(i)</sup> | February 2026 | 7128000 | 49096 |
| 43 | NYMEX Platinum<sup>(i)</sup> | January 2026 | 3622750 | 593866 |
| 164 | S&P 500 E-Mini | December 2025 | 56247900 | 893911 |
| 51 | S&P/TSX 60 Index Futures | December 2025 | 13443315 | 508923 |
| 4 | Silver<sup>(i)</sup> | March 2026 | 1143260 | 127737 |
| 53 | Soybean <sup>(i)</sup> | January 2026 | 3015037 | 163910 |
| 31 | SPI 200 Futures | December 2025 | 4378761 | 35786 |
| 548 | Sugar<sup>(i)</sup> | February 2026 | 9335290 | (614064) |
| 13 | Swiss Market New Index Futures | December 2025 | 2082543 | 38456 |
| 81 | TOPIX Index | December 2025 | 17550101 | 1101361 |
| 35 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2026 | 4067109 | 8704 |
| 13 | U.S. Ultra Bond (CBT) | March 2026 | 1572188 | 8937 |
| 173 | UK Gilt Long Bond | March 2026 | 20971834 | 180596 |
| 41 | WTI Crude<sup>(i)</sup> | December 2025 | 2400550 | (13516) |
|  |  |  | $238818457 | $4573850 |
| Sales |  |  |  |  |
| 202 | CAC40 10 Euro | December 2025 | 19056341 | (339381) |
| 89 | CBOE Volatility Index<sup>(i)</sup> | December 2025 | 1625914 | 124132 |
| 87 | Cocoa<sup>(i)</sup> | March 2026 | 4788480 | 288057 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 137 | Coffee<sup>(i)</sup> | March 2026 | 19584150 | 118276 |
| 87 | Copper<sup>(i)</sup> | March 2026 | 11466600 | (296408) |
| 32 | DAX Index Futures | December 2025 | 22148054 | 462198 |
| 160 | E-mini Russell 2000 Index | December 2025 | 20040800 | (515388) |
| 23 | FTSE MIB Index | December 2025 | 5791974 | (61006) |
| 297 | FTSE Taiwan Index | December 2025 | 27113276 | (1139771) |
| 8 | Gold<sup>(i)</sup> | February 2026 | 3403920 | (30894) |
| 138 | Hang Seng Index | December 2025 | 23023830 | (257460) |
| 625 | IFSC NIFTY 50 Index | December 2025 | 33090749 | (100422) |
| 550 | KOSPI 200 Index | December 2025 | 51974467 | (3605639) |
| 101 | Live Cattle Futures<sup>(i)</sup> | February 2026 | 8801140 | 100737 |
| 599 | MSCI Singapore | December 2025 | 20514616 | (237249) |
| 67 | Natural Gas<sup>(i)</sup> | December 2025 | 3249500 | (473380) |
| 62 | NY Harbor ULSD Futures<sup>(i)</sup> | December 2025 | 5997272 | (201291) |
| 223 | OMX Stockholm 30 Index | December 2025 | 6605705 | (285594) |
| 83 | RBOB Gasoline<sup>(i)</sup> | December 2025 | 6349749 | (117542) |
| 31 | Soybean Meal<sup>(i)</sup> | January 2026 | 987970 | 22104 |
| 575 | Soybean Oil<sup>(i)</sup> | January 2026 | 17957250 | (393855) |
| 39 | Technology Select Sector Futures | December 2025 | 11260470 | (499105) |
| 84 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 17544188 | 5250 |
| 29 | U.S. Treasury Note 5 Yr. (CBT) | March 2026 | 3183203 | 193 |
| 258 | WCE Canola Futures<sup>(i)</sup> | January 2026 | 2402671 | (88244) |
| 273 | Wheat<sup>(i)</sup> | March 2026 | 7350525 | 130916 |
|  |  |  | $355312814 | $(7390766) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Written Options** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Notional<br>Amount** | **Value ($)** |
|  **Equity Options – Calls** |  |  |  |  |  |  |
|  Chart Industries, Inc.<sup>(b)</sup> | 145.00 | 12/19/25 | (38) | USD | (775010) | (235600) |
|  Globus Medical, Inc.<sup>(b)</sup> | 70.00 | 12/19/25 | (113) | USD | (1028752) | (251990) |
|  Globus Medical, Inc.<sup>(b)</sup> | 60.00 | 12/19/25 | (46) | USD | (418784) | (145820) |
|  Middleby Corp.<sup>(b)</sup> | 125.00 | 12/19/25 | (83) | USD | (981060) | (16185) |
|  Becton Dickinson & Co.<sup>(b)</sup> | 210.00 | 01/16/26 | (40) | USD | (776080) | (3800) |
|  Becton Dickinson & Co.<sup>(b)</sup> | 175.00 | 01/16/26 | (16) | USD | (310432) | (34080) |
|  Capri Holdings Ltd.<sup>(b)</sup> | 15.00 | 01/16/26 | (380) | USD | (964060) | (454100) |
|  ConocoPhillips<sup>(b)</sup> | 85.00 | 01/16/26 | (64) | USD | (567616) | (40640) |
|  DuPont de Nemours, Inc.<sup>(b)</sup> | 65.00 | 01/16/26 | (170) | USD | (676090) | (294100) |
|  Humana, Inc.<sup>(b)</sup> | 270.00 | 01/16/26 | (31) | USD | (761887) | (20150) |
|  Humana, Inc.<sup>(b)</sup> | 230.00 | 01/16/26 | (12) | USD | (294924) | (29472) |
|  Kraft Heinz Co.<sup>(b)</sup> | 27.50 | 01/16/26 | (204) | USD | (520404) | (4284) |
|  Omnicom Group, Inc.<sup>(b)</sup> | 70.00 | 01/16/26 | (39) | USD | (279318) | (15990) |
|  Penn Entertainment, Inc.<sup>(b)</sup> | 15.00 | 01/16/26 | (354) | USD | (525336) | (38232) |
|  Penn Entertainment, Inc.<sup>(b)</sup> | 16.00 | 01/16/26 | (177) | USD | (262668) | (12213) |
|  Rocket Cos., Inc.<sup>(b)</sup> | 108.00 | 01/16/26 | (70) | USD | (139860) | (801500) |
|  Silicon Motion Technology Corp.<sup>(b)</sup> | 55.00 | 01/16/26 | (161) | USD | (1432256) | (565110) |
|  United Rentals, Inc.<sup>(b)</sup> | 720.00 | 01/16/26 | (8) | USD | (652144) | (88640) |
|  WillScot Holdings Corp.<sup>(b)</sup> | 22.50 | 01/16/26 | (410) | USD | (809750) | (26650) |
|  Waters Corp.<sup>(b)</sup> | 290.00 | 02/20/26 | (48) | USD | (1936416) | (576000) |
|  ConocoPhillips<sup>(b)</sup> | 92.50 | 03/20/26 | (70) | USD | (620830) | (29400) |
|  Corteva, Inc.<sup>(b)</sup> | 60.00 | 03/20/26 | (118) | USD | (796146) | (128620) |
|  CSX Corp.<sup>(b)</sup> | 32.50 | 03/20/26 | (336) | USD | (1188096) | (134400) |
|  James Hardie Industries PLC<sup>(b)</sup> | 20.00 | 03/20/26 | (615) | USD | (1216470) | (153750) |
|  Kraft Heinz Co.<sup>(b)</sup> | 27.50 | 03/20/26 | (267) | USD | (681117) | (16020) |
|  Union Pacific Corp.<sup>(b)</sup> | 230.00 | 03/20/26 | (42) | USD | (973686) | (55020) |
|  Cognizant Technology Solutions Corp.<sup>(b)</sup> | 65.00 | 04/17/26 | (110) | USD | (854810) | (169400) |
|  Gitlab, Inc.<sup>(b)</sup> | 45.00 | 04/17/26 | (165) | USD | (677490) | (90750) |
|  GLOBALFOUNDRIES, Inc.<sup>(b)</sup> | 35.00 | 04/17/26 | (208) | USD | (745472) | (95680) |
|  Solventum Corp.<sup>(b)</sup> | 70.00 | 04/17/26 | (101) | USD | (861126) | (188870) |
|  Cooper Cos., Inc.<sup>(b)</sup> | 70.00 | 05/15/26 | (99) | USD | (771507) | (151470) |
|  Cooper Cos., Inc.<sup>(b)</sup> | 75.00 | 05/15/26 | (76) | USD | (592268) | (91960) |
|  Rentokil Initial PLC<sup>(b)</sup> | 25.00 | 05/15/26 | (216) | USD | (597240) | (101520) |
|  Terex Corp.<sup>(b)</sup> | 47.00 | 05/15/26 | (121) | USD | (559141) | (67760) |
|  Terex Corp.<sup>(b)</sup> | 44.00 | 05/15/26 | (130) | USD | (600730) | (94900) |
|  Charter Communications, Inc.<sup>(b)</sup> | 230.00 | 06/18/26 | (44) | USD | (880528) | (103400) |
|  International Paper Co.<sup>(b)</sup> | 42.50 | 06/18/26 | (285) | USD | (1125180) | (125400) |
|  Lamb Weston Holdings, Inc.<sup>(b)</sup> | 62.50 | 06/18/26 | (92) | USD | (543352) | (54280) |
|  Lamb Weston Holdings, Inc.<sup>(b)</sup> | 55.00 | 06/18/26 | (102) | USD | (602412) | (97920) |
|  Meta Platforms, Inc.<sup>(b)</sup> | 620.00 | 06/18/26 | (9) | USD | (583155) | (83700) |
|  TFI International, Inc.<sup>(b)</sup> | 85.00 | 07/17/26 | (69) | USD | (603681) | (95220) |
|  Kimberly-Clark Corp.<sup>(b)</sup> | 100.00 | 09/18/26 | (57) | USD | (621984) | (97470) |
|  Kimberly-Clark Corp.<sup>(b)</sup> | 105.00 | 09/18/26 | (55) | USD | (600160) | (75900) |
|  | Total Equity Options – Calls | Total Equity Options – Calls | Total Equity Options – Calls | Total Equity Options – Calls |  | (5957366) |
|  **Index Options – Puts** |  |  |  |  |  |  |
|  S&P 500 Index | 6525.00 | 12/03/25 | (2) | USD | (1369818) | (140) |
|  S&P 500 Index | 6515.00 | 12/03/25 | (2) | USD | (1369818) | (154) |
|  S&P 500 Index | 6520.00 | 12/03/25 | (2) | USD | (1369818) | (144) |
|  S&P 500 Index | 6495.00 | 12/03/25 | (2) | USD | (1369818) | (120) |
|  S&P 500 Index | 6500.00 | 12/03/25 | (2) | USD | (1369818) | (120) |
|  S&P 500 Index | 6510.00 | 12/03/25 | (2) | USD | (1369818) | (144) |
|  S&P 500 Index | 6505.00 | 12/03/25 | (2) | USD | (1369818) | (150) |
|  Russell 2000 Index | 2390.00 | 12/05/25 | (15) | USD | (3750645) | (2730) |
|  Russell 2000 Index | 2380.00 | 12/05/25 | (15) | USD | (3750645) | (2325) |
|  Russell 2000 Index | 2385.00 | 12/05/25 | (15) | USD | (3750645) | (2535) |
|  S&P 500 Index | 6615.00 | 12/05/25 | (2) | USD | (1369818) | (790) |
|  S&P 500 Index | 6660.00 | 12/05/25 | (9) | USD | (6164181) | (5607) |
|  S&P 500 Index | 6625.00 | 12/05/25 | (2) | USD | (1369818) | (920) |
|  S&P 500 Index | 6635.00 | 12/05/25 | (2) | USD | (1369818) | (1000) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Written Options — continued** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** |  | **Number of<br>Contracts** | **Notional<br>Amount** | **Notional<br>Amount** | **Value ($)** |
|  S&P 500 Index | 6605.00 | 12/05/25 |  | (2) | USD | (1369818) | (780) |
|  S&P 500 Index | 6610.00 | 12/05/25 |  | (2) | USD | (1369818) | (780) |
|  S&P 500 Index | 6630.00 | 12/05/25 |  | (2) | USD | (1369818) | (960) |
|  S&P 500 Index | 6620.00 | 12/05/25 |  | (2) | USD | (1369818) | (880) |
|  S&P 500 Index | 6790.00 | 12/12/25 |  | (9) | USD | (6164181) | (43110) |
|  S&P 500 Index | 6845.00 | 12/19/25 |  | (9) | USD | (6164181) | (77220) |
|  S&P 500 Index | 6725.00 | 12/26/25 |  | (9) | USD | (6164181) | (53100) |
|  S&P 500 Index | 6730.00 | 01/02/26 |  | (9) | USD | (6164181) | (62370) |
|  S&P 500 Index | 6600.00 | 01/09/26 |  | (10) | USD | (6849090) | (55200) |
|  S&P 500 Index | 6850.00 | 01/16/26 | (9) |  | USD | (6164181) | (115020) |
|  | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | (426299) |
|  | **TOTAL WRITTEN OPTIONS**<br> (Premiums $4,529,928) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $4,529,928) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $4,529,928) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $4,529,928) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $4,529,928) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $4,529,928) | $(6383665) |

---

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  ITRAXX.XO.42 | EUR | 12847956 | 5.00% | 2.38% | N/A | 12/20/2029 | Quarterly | (1123318) | (1424169) | (300851) |
|  ITRAXX.EUR.42 | EUR | 60000000 | 1.00% | 0.42% | N/A | 12/20/2029 | Quarterly | (1121256) | (1571903) | (450647) |
|  CDX.NA.IG.44 | USD | 34000000 | 1.00% | 0.47% | N/A | 06/20/2030 | Quarterly | (780557) | (761090) | 19467 |
|  CDX.NA.IG.45 | USD | 82819000 | 1.00% | 0.90% | N/A | 12/20/2035 | Quarterly | (496918) | (632820) | (135902) |
|  ITRAXX.EUR.44 | EUR | 67772000 | 1.00% | 0.93% | N/A | 12/20/2035 | Quarterly | (261830) | (441717) | (179887) |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.45 | USD | 16435000 | 5.00% | 3.23% | 16,435,000 USD | 12/20/2030 | Quarterly | 1154915 | 1223882 | 68967 |
|  CDX.NA.IG.45 | USD | 195672000 | 1.00% | 0.51% | 195,672,000 USD | 12/20/2030 | Quarterly | 4323933 | 4401446 | 77513 |
|  ITRAXX.EUR.44 | EUR | 150793000 | 1.00% | 0.53% | 150,793,000 EUR | 12/20/2030 | Quarterly | 3756204 | 3923062 | 166858 |
|  ITRAXX.XO.44 | EUR | 15773000 | 5.00% | 2.56% | 15,773,000 EUR | 12/20/2030 | Quarterly | 1927112 | 1953870 | 26758 |
|  |  |  |  |  |  |  |  | $7378285 | $6670561 | $(707724) |

---

**OTC Credit Default Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-**<br> **party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CMBX.NA.BBB-.18 | GS | USD | 6500000 | 3.00% | 6.04% | 6,500,000 USD | 12/17/2057 | Monthly | 418438 | 618746 | 200308 |
|  CMBX.NA.BBB-.18 | GS | USD | 10000000 | 3.00% | 6.04% | 10,000,000 USD | 12/17/2057 | Monthly | 775950 | 951917 | 175967 |
|  CMBX.NA.BBB-.18 | MSCI | USD | 6500000 | 3.00% | 6.04% | 6,5,000,000 USD | 12/17/2057 | Monthly | 455000 | 618746 | 163746 |
|  CMBX.NA.A.15 | CGMI | USD | 2222000 | 2.00% | 2.92% | 2,222,000 USD | 11/18/2064 | Monthly | 266640 | 95250 | (171390) |
|  CMBX.NA.A.15 | MSCI | USD | 2222500 | 2.00% | 2.92% | 2,222,500 USD | 11/18/2064 | Monthly | 134224 | 95271 | (38953) |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.39 | MSCI | USD | 12000000 | 5.00% | 0.80% | 12,000,000 USD | 12/20/2027 | Quarterly | 990000 | 1006431 | 16431 |
|  CDX.NA.HY.43 | GS | USD | 3750000 | 5.00% | 0.97% | 3,750,000 USD | 12/20/2029 | Quarterly | 353771 | 575136 | 221365 |
|  CDX.NA.HY.43 | GS | USD | 3750000 | 5.00% | 2.63% | 3,750,000 USD | 12/20/2029 | Quarterly | (198229) | 332574 | 530803 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued**

**OTC Credit Default Swaps — continued**

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-**<br> **party** | **Notional Amount** | **Notional Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by**<br>**the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  ITRAXX.EUR.42 | BOA | EUR | 100000000 | 1.00% | 0.20% | 100,000,000 EUR | 12/20/2029 | Quarterly | 3480792 | 3627359 | 146567 |
|  ITRAXX.XO.42 | CITI | EUR | 10000000 | 5.00% | 0.41% | 10,000,000 EUR | 12/20/2029 | Quarterly | 1939631 | 1999089 | 59458 |
|  ITRAXX.XO.42 | CITI | EUR | 11110000 | 5.00% | 0.41% | 11,110,000 EUR | 12/20/2029 | Quarterly | 2219796 | 2220988 | 1192 |
|  ITRAXX.XO.42 | JPM | EUR | 8591342 | 5.00% | 0.41% | 8,591,342 EUR | 12/20/2029 | Quarterly | 1819494 | 1717485 | (102009) |
|  ITRAXX.EUR.44 | BOA | EUR | 50000000 | 1.00% | 0.28% | 50,000,000 EUR | 12/20/2030 | Quarterly | 2011827 | 2014002 | 2175 |
|  CMBX.NA.BBB-.17 | GS | USD | 5000000 | 3.00% | 5.67% | 5,000,000 USD | 12/15/2056 | Monthly | (639062) | (710417) | (71355) |
|  CMBX.NA.BBB-.17 | MSCI | USD | 5000000 | 3.00% | 5.67% | 5,000,000 USD | 12/15/2056 | Monthly | (664062) | (710417) | (46355) |
|  CMBX.NA.AAA.10 | GS | USD | 4610000 | 0.50% | 0.12% | 4,610,000 USD | 11/17/2059 | Monthly | 42162 | 13377 | (28785) |
|  CMBX.NA.AAA.15 | CGMI | USD | 4444083 | 0.50% | 0.54% | 4,444,083 USD | 11/18/2064 | Monthly | (165812) | (7562) | 158250 |
|  CMBX.NA.AAA.15 | GS | USD | 1729643 | 0.50% | 0.54% | 1,729,643 USD | 11/18/2064 | Monthly | (26612) | (2943) | 23669 |
|  CMBX.NA.AAA.15 | MSCI | USD | 4444083 | 0.50% | 0.54% | 4,444,083 USD | 11/18/2064 | Monthly | (64196) | (7562) | 56634 |
|  |  |  |  |  |  |  |  |  | $13149752 | $14447470 | $1297718 |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. 

<sup>(2)</sup> 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**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.25% | 3 Month AUD BBSW | AUD | 54400000 | 12/17/2027 | Quarterly | 15638 | 377444 | 361806 |
|  3.48% | 3 Month AUD BBSW | AUD | 9811000 | 12/17/2027 | Quarterly |  | 39370 | 39370 |
|  3.54% | 3 Month AUD BBSW | AUD | 10500000 | 12/17/2027 | Quarterly | (1059) | 34885 | 35944 |
|  3 Month AUD BBSW | 3.28% | AUD | 16500000 | 12/17/2027 | Quarterly |  | (108267) | (108267) |
|  CAD-CORRA-OIS-COMPOUND | 2.22% | CAD | 11000000 | 12/17/2027 | Annually |  | (11471) | (11471) |
|  CAD-CORRA-OIS-COMPOUND | 2.31% | CAD | 12000000 | 12/17/2027 | Annually |  | 2416 | 2416 |
|  CAD-CORRA-OIS-COMPOUND | 2.35% | CAD | 12000000 | 12/17/2027 | Annually |  | 9756 | 9756 |
|  CAD-CORRA-OIS-COMPOUND | 2.40% | CAD | 68300000 | 12/17/2027 | Annually | 12073 | 95405 | 83332 |
|  2.33% | CAD-CORRA-OIS-COMPOUND | CAD | 10500000 | 12/17/2027 | Annually |  | (5690) | (5690) |
|  2.33% | CAD-CORRA-OIS-COMPOUND | CAD | 12000000 | 12/17/2027 | Annually | (5838) | (5586) | 252 |
|  CHF-SARON-OIS-COMPOUND | (0.10)% | CHF | 111900000 | 12/17/2027 | Annually | (18253) | (95870) | (77617) |
|  (0.06)% | CHF-SARON-OIS-COMPOUND | CHF | 5500000 | 12/17/2027 | Annually |  | (1058) | (1058) |
|  (0.11)% | CHF-SARON-OIS-COMPOUND | CHF | 6400000 | 12/17/2027 | Annually |  | 7263 | 7263 |
|  (0.07)% | CHF-SARON-OIS-COMPOUND | CHF | 7000000 | 12/17/2027 | Annually |  | 600 | 600 |
|  (0.11%) | CHF-SARON-OIS-COMPOUND | CHF | 3500000 | 12/17/2027 | Annually |  | 3972 | 3972 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  EUR-EuroSTR-COMPOUND | 1.83% | EUR | 17100000 | 12/17/2027 | Annually | (3550) | (38727) | (35177) |
|  EUR-EuroSTR-COMPOUND | 1.93% | EUR | 7500000 | 12/17/2027 | Annually |  | 314 | 314 |
|  1.85% | EUR-EuroSTR-COMPOUND | EUR | 7000000 | 12/17/2027 | Annually |  | 12017 | 12017 |
|  1.92% | EUR-EuroSTR-COMPOUND | EUR | 6000000 | 12/17/2027 | Annually |  | 708 | 708 |
|  1.84% | EUR-EuroSTR-COMPOUND | EUR | 9500000 | 12/17/2027 | Annually |  | 18912 | 18912 |
|  1.82% | EUR-EuroSTR-COMPOUND | EUR | 5000000 | 12/17/2027 | Annually |  | 12123 | 12123 |
|  1.90% | EUR-EuroSTR-COMPOUND | EUR | 7500000 | 12/17/2027 | Annually |  | 5167 | 5167 |
|  1.91% | EUR-EuroSTR-COMPOUND | EUR | 8500000 | 12/17/2027 | Annually |  | 4012 | 4012 |
|  GBP-SONIA-COMPOUND | 3.50% | GBP | 4000000 | 12/17/2027 | Annually |  | 424 | 424 |
|  3.63% | GBP-SONIA-COMPOUND | GBP | 50600000 | 12/17/2027 | Annually | 3949 | (168480) | (172429) |
|  3.75% | GBP-SONIA-COMPOUND | GBP | 6000000 | 12/17/2027 | Annually |  | (37364) | (37364) |
|  3.74% | GBP-SONIA-COMPOUND | GBP | 7500000 | 12/17/2027 | Annually |  | (46046) | (46046) |
|  3.70% | GBP-SONIA-COMPOUND | GBP | 6000000 | 12/17/2027 | Annually |  | (29687) | (29687) |
|  3 Month NZD Bank Bill Rate | 2.51% | NZD | 13500000 | 12/17/2027 | Quarterly |  | (56534) | (56534) |
|  3 Month NZD Bank Bill Rate | 2.57% | NZD | 18500000 | 12/17/2027 | Quarterly |  | (65135) | (65135) |
|  3 Month NZD Bank Bill Rate | 2.88% | NZD | 15500000 | 12/17/2027 | Quarterly |  | (558) | (558) |
|  3 Month NZD Bank Bill Rate | 2.92% | NZD | 16200000 | 12/17/2027 | Quarterly | 3956 | 5899 | 1943 |
|  2.92% | 3 Month NZD Bank Bill Rate NZD |  | 17500000 | 12/17/2027 | Quarterly |  | (6762) | (6762) |
|  3 Month SEK STIBOR | 2.08% | SEK | 165000000 | 12/17/2027 | Quarterly |  | (38249) | (38249) |
|  3 Month SEK STIBOR | 2.08% | SEK | 100000000 | 12/17/2027 | Quarterly |  | (22667) | (22667) |
|  3 Month SEK STIBOR | 2.10% | SEK | 90000000 | 12/17/2027 | Quarterly |  | (16517) | (16517) |
|  3 Month SEK STIBOR | 2.12% | SEK | 80000000 | 12/17/2027 | Quarterly |  | (11311) | (11311) |
|  3 Month SEK STIBOR | 2.18% | SEK | 80000000 | 12/17/2027 | Quarterly |  | (954) | (954) |
|  1.93% | 3 Month SEK STIBOR | SEK | 100600000 | 12/17/2027 | Quarterly | 192 | 53504 | 53312 |
|  2.02% | 3 Month SEK STIBOR | SEK | 105000000 | 12/17/2027 | Quarterly |  | 35776 | 35776 |
|  2.04% | 3 Month SEK STIBOR | SEK | 50000000 | 12/17/2027 | Quarterly |  | 15701 | 15701 |
|  BRL-CDI | 14.00% | BRL | 32240212 | 01/02/2029 | At Maturity | (80) | 259156 | 259236 |
|  MXN-TIIE ON-OIS COMPOUND | 7.29% | MXN | 170500000 | 12/11/2030 | Monthly | (6880) | (25994) | (19114) |
|  1.68% | CNY-CNREPOFIX=CFXS-Reuters CNY |  | 46900000 | 12/17/2030 | Quarterly | (11069) | (28836) | (17767) |
|  COP-IBR-OIS-COMPOUND  | 8.54% | COP | 40488000000 | 12/17/2030 | Quarterly | 4535 | (547338) | (551873) |
|  CZK-PRIBOR-PRBO | 3.75% | CZK | 204300000 | 12/17/2030 | Semi-Annually | (4391) | (96854) | (92463) |
|  HKD-HIBOR-HKAB | 2.83% | HKD | 13000000 | 12/17/2030 | Quarterly | 868 | 3765 | 2897 |
|  3.79% | ILS-SHIR-OIS COMPOUND | ILS | 22300000 | 12/17/2030 | Annually | (38899) | (53411) | (14512) |
|  5.72% | INR-FBIL-MIBOR-OIS-COMPOUND INR |  | 895000000 | 12/17/2030 | Semi-Annually | (6662) | 10199 | 16861 |
|  KRW-CD-KSDA-Bloomberg  | 2.80% | KRW | 5690000000 | 12/17/2030 | Quarterly | (17101) | (53357) | (36256) |
|  MYR-KLIBOR-BNM | 3.11% | MYR | 36200000 | 12/17/2030 | Quarterly | (29334) | (89460) | (60126) |
|  4.06% | PLN-WIBOR-WIBO | PLN | 23270000 | 12/17/2030 | Semi-Annually | 1595 | (69327) | (70922) |
|  1.42% | SGD-SORA-COMPOUND | SGD | 11500000 | 12/17/2030 | Semi-Annually | (7881) | 145809 | 153690 |
|  1.09% | THB-THOR | THB | 242600000 | 12/17/2030 | Quarterly | (2304) | 83861 | 86165 |
|  TWD-Reuters-6165 | 1.73% | TWD | 22100000 | 12/17/2030 | Quarterly | 407 | (4628) | (5035) |
|  ZAR-JIBAR-SAFEX | 7.00% | ZAR | 15300000 | 12/17/2030 | Quarterly | 154 | 12488 | 12334 |
|  6 Month AUD BBSW | 4.14% | AUD | 2600000 | 12/17/2035 | Semi-Annually |  | (64011) | (64011) |
|  6 Month AUD BBSW | 4.16% | AUD | 2500000 | 12/17/2035 | Semi-Annually |  | (58750) | (58750) |
|  6 Month AUD BBSW | 4.17% | AUD | 4000000 | 12/17/2035 | Semi-Annually |  | (90266) | (90266) |
|  6 Month AUD BBSW | 4.19% | AUD | 3600000 | 12/17/2035 | Semi-Annually | (2334) | (78264) | (75930) |
|  6 Month AUD BBSW | 4.19% | AUD | 13000000 | 12/17/2035 | Semi-Annually | (11258) | (285393) | (274135) |
|  6 Month AUD BBSW | 4.19% | AUD | 2400000 | 12/17/2035 | Semi-Annually |  | (52112) | (52112) |
|  6 Month AUD BBSW | 4.24% | AUD | 2800000 | 12/17/2035 | Semi-Annually |  | (53929) | (53929) |
|  6 Month AUD BBSW | 4.31% | AUD | 2300000 | 12/17/2035 | Semi-Annually |  | (34977) | (34977) |
|  6 Month AUD BBSW | 4.36% | AUD | 2500000 | 12/17/2035 | Semi-Annually | 1949 | (32086) | (34035) |
|  4.30% | 6 Month AUD BBSW | AUD | 3600000 | 12/17/2035 | Semi-Annually |  | 57723 | 57723 |
|  4.35% | 6 Month AUD BBSW | AUD | 3200000 | 12/17/2035 | Semi-Annually | (964) | 41923 | 42887 |
|  4.36% | 6 Month AUD BBSW | AUD | 3500000 | 12/17/2035 | Semi-Annually |  | 43801 | 43801 |
|  4.35% | 6 Month AUD BBSW | AUD | 2200000 | 12/17/2035 | Semi-Annually |  | 28998 | 28998 |
|  4.21% | 6 Month AUD BBSW | AUD | 3800000 | 12/17/2035 | Semi-Annually |  | 79167 | 79167 |

---

------

**GMO Alternative Allocation Fund**

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  CAD-CORRA-OIS-COMPOUND | 2.84% | CAD | 2100000 | 12/17/2035 | Annually |  | (10044) | (10044) |
|  CAD-CORRA-OIS-COMPOUND | 2.87% | CAD | 2500000 | 12/17/2035 | Annually |  | (7438) | (7438) |
|  CAD-CORRA-OIS-COMPOUND | 2.89% | CAD | 2400000 | 12/17/2035 | Annually |  | (4223) | (4223) |
|  CAD-CORRA-OIS-COMPOUND | 2.90% | CAD | 2700000 | 12/17/2035 | Annually | 3961 | (3488) | (7449) |
|  2.95% | CAD-CORRA-OIS-COMPOUND | CAD | 15500000 | 12/17/2035 | Annually | 6265 | (26350) | (32615) |
|  2.90% | CAD-CORRA-OIS-COMPOUND | CAD | 2100000 | 12/17/2035 | Annually | (5684) | 1797 | 7481 |
|  2.90% | CAD-CORRA-OIS-COMPOUND | CAD | 2700000 | 12/17/2035 | Annually |  | 3657 | 3657 |
|  2.83% | CAD-CORRA-OIS-COMPOUND | CAD | 2400000 | 12/17/2035 | Annually |  | 13199 | 13199 |
|  2.94% | CAD-CORRA-OIS-COMPOUND | CAD | 2300000 | 12/17/2035 | Annually |  | (3193) | (3193) |
|  3.00% | CAD-CORRA-OIS-COMPOUND | CAD | 2700000 | 12/17/2035 | Annually |  | (14267) | (14267) |
|  CHF-SARON-OIS-COMPOUND | 0.42% | CHF | 1300000 | 12/17/2035 | Annually |  | (11777) | (11777) |
|  CHF-SARON-OIS-COMPOUND | 0.42% | CHF | 800000 | 12/17/2035 | Annually |  | (7744) | (7744) |
|  CHF-SARON-OIS-COMPOUND | 0.43% | CHF | 1000000 | 12/17/2035 | Annually |  | (8748) | (8748) |
|  CHF-SARON-OIS-COMPOUND | 0.49% | CHF | 1400000 | 12/17/2035 | Annually |  | (1378) | (1378) |
|  CHF-SARON-OIS-COMPOUND | 0.50% | CHF | 1200000 | 12/17/2035 | Annually |  | 1130 | 1130 |
|  0.44% | CHF-SARON-OIS-COMPOUND | CHF | 14500000 | 12/17/2035 | Annually | 20126 | 97130 | 77004 |
|  0.45% | CHF-SARON-OIS-COMPOUND | CHF | 23000000 | 12/17/2035 | Annually | 11624 | 134068 | 122444 |
|  0.48% | CHF-SARON-OIS-COMPOUND | CHF | 1300000 | 12/17/2035 | Annually |  | 2168 | 2168 |
|  0.51% | CHF-SARON-OIS-COMPOUND | CHF | 1600000 | 12/17/2035 | Annually |  | (2897) | (2897) |
|  EUR-EuroSTR-COMPOUND | 2.40% | EUR | 1700000 | 12/17/2035 | Annually |  | (22655) | (22655) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 1200000 | 12/17/2035 | Annually |  | (15183) | (15183) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 1150000 | 12/17/2035 | Annually |  | (14551) | (14551) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 1100000 | 12/17/2035 | Annually |  | (13576) | (13576) |
|  EUR-EuroSTR-COMPOUND | 2.41% | EUR | 1500000 | 12/17/2035 | Annually |  | (18668) | (18668) |
|  EUR-EuroSTR-COMPOUND | 2.44% | EUR | 2100000 | 12/17/2035 | Annually |  | (20039) | (20039) |
|  EUR-EuroSTR-COMPOUND | 2.47% | EUR | 1500000 | 12/17/2035 | Annually |  | (10426) | (10426) |
|  EUR-EuroSTR-COMPOUND | 2.48% | EUR | 1700000 | 12/17/2035 | Annually |  | (9349) | (9349) |
|  EUR-EuroSTR-COMPOUND | 2.50% | EUR | 1300000 | 12/17/2035 | Annually |  | (4655) | (4655) |
|  EUR-EuroSTR-COMPOUND | 2.50% | EUR | 1900000 | 12/17/2035 | Annually |  | (5918) | (5918) |
|  EUR-EuroSTR-COMPOUND | 2.51% | EUR | 1300000 | 12/17/2035 | Annually |  | (3106) | (3106) |
|  EUR-EuroSTR-COMPOUND | 2.52% | EUR | 1300000 | 12/17/2035 | Annually |  | (1219) | (1219) |
|  2.46% | EUR-EuroSTR-COMPOUND | EUR | 800000 | 12/17/2035 | Annually | 1259 | 6224 | 4965 |
|  2.46% | EUR-EuroSTR-COMPOUND | EUR | 3800000 | 12/17/2035 | Annually | 5183 | 28777 | 23594 |
|  2.54% | EUR-EuroSTR-COMPOUND | EUR | 1600000 | 12/17/2035 | Annually |  | (905) | (905) |
|  2.54% | EUR-EuroSTR-COMPOUND | EUR | 1600000 | 12/17/2035 | Annually |  | (1652) | (1652) |
|  2.54% | EUR-EuroSTR-COMPOUND | EUR | 2300000 | 12/17/2035 | Annually |  | (705) | (705) |
|  2.48% | EUR-EuroSTR-COMPOUND | EUR | 2200000 | 12/17/2035 | Annually |  | 11984 | 11984 |
|  2.49% | EUR-EuroSTR-COMPOUND | EUR | 1400000 | 12/17/2035 | Annually |  | 6973 | 6973 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  2.55% | EUR-EuroSTR-COMPOUND | EUR | 1100000 | 12/17/2035 | Annually |  | (1706) | (1706) |
|  GBP-SONIA-COMPOUND | 4.02% | GBP | 1300000 | 12/17/2035 | Annually |  | 9662 | 9662 |
|  GBP-SONIA-COMPOUND | 4.10% | GBP | 17400000 | 12/17/2035 | Annually | (10593) | 281182 | 291775 |
|  GBP-SONIA-COMPOUND | 4.10% | GBP | 11900000 | 12/17/2035 | Annually | (12446) | 187142 | 199588 |
|  GBP-SONIA-COMPOUND | 4.16% | GBP | 1400000 | 12/17/2035 | Annually |  | 30517 | 30517 |
|  GBP-SONIA-COMPOUND | 4.19% | GBP | 1500000 | 12/17/2035 | Annually |  | 37657 | 37657 |
|  GBP-SONIA-COMPOUND | 4.20% | GBP | 1700000 | 12/17/2035 | Annually |  | 45995 | 45995 |
|  4.19% | GBP-SONIA-COMPOUND | GBP | 1200000 | 12/17/2035 | Annually |  | (30060) | (30060) |
|  3.94% | GBP-SONIA-COMPOUND | GBP | 1800000 | 12/17/2035 | Annually |  | 3601 | 3601 |
|  3.94% | GBP-SONIA-COMPOUND | GBP | 1700000 | 12/17/2035 | Annually |  | 2387 | 2387 |
|  3.90% | GBP-SONIA-COMPOUND | GBP | 1800000 | 12/17/2035 | Annually |  | 10919 | 10919 |
|  4.01% | GBP-SONIA-COMPOUND | GBP | 1000000 | 12/17/2035 | Annually |  | (5589) | (5589) |
|  3.91% | 3 Month NZD Bank Bill Rate | NZD | 3800000 | 12/17/2035 | Quarterly | (4786) | 3188 | 7974 |
|  3.78% | 3 Month NZD Bank Bill Rate | NZD | 3600000 | 12/17/2035 | Quarterly |  | 26040 | 26040 |
|  3.74% | 3 Month NZD Bank Bill Rate | NZD | 3100000 | 12/17/2035 | Quarterly |  | 28258 | 28258 |
|  3.67% | 3 Month NZD Bank Bill Rate | NZD | 4300000 | 12/17/2035 | Quarterly |  | 54345 | 54345 |
|  3.61% | 3 Month NZD Bank Bill Rate | NZD | 3200000 | 12/17/2035 | Quarterly |  | 49632 | 49632 |
|  3.74% | 3 Month NZD Bank Bill Rate | NZD | 3800000 | 12/17/2035 | Quarterly |  | 34364 | 34364 |
|  3.93% | 3 Month NZD Bank Bill Rate | NZD | 3600000 | 12/17/2035 | Quarterly |  | (802) | (802) |
|  3 Month NZD Bank Bill Rate | 3.57% | NZD | 1900000 | 12/17/2035 | Quarterly |  | (33137) | (33137) |
|  3 Month NZD Bank Bill Rate | 3.62% | NZD | 3300000 | 12/17/2035 | Quarterly |  | (49749) | (49749) |
|  3 Month NZD Bank Bill Rate | 3.75% | NZD | 4600000 | 12/17/2035 | Quarterly |  | (38491) | (38491) |
|  3 Month NZD Bank Bill Rate | 3.91% | NZD | 4100000 | 12/17/2035 | Quarterly |  | (3638) | (3638) |
|  3 Month NZD Bank Bill Rate | 3.92% | NZD | 26700000 | 12/17/2035 | Quarterly | 39434 | (15960) | (55394) |
|  3 Month SEK STIBOR | 2.61% | SEK | 22100000 | 12/17/2035 | Quarterly | (1906) | (54335) | (52429) |
|  3 Month SEK STIBOR | 2.61% | SEK | 5100000 | 12/17/2035 | Quarterly | (154) | (12256) | (12102) |
|  3 Month SEK STIBOR | 2.64% | SEK | 16000000 | 12/17/2035 | Quarterly |  | (34903) | (34903) |
|  3 Month SEK STIBOR | 2.65% | SEK | 23000000 | 12/17/2035 | Quarterly |  | (47093) | (47093) |
|  3 Month SEK STIBOR | 2.65% | SEK | 11000000 | 12/17/2035 | Quarterly |  | (22218) | (22218) |
|  3 Month SEK STIBOR | 2.76% | SEK | 18000000 | 12/17/2035 | Quarterly |  | (19147) | (19147) |
|  3 Month SEK STIBOR | 2.78% | SEK | 19000000 | 12/17/2035 | Quarterly |  | (15648) | (15648) |
|  2.76% | 3 Month SEK STIBOR | SEK | 19000000 | 12/17/2035 | Quarterly |  | 18719 | 18719 |
|  2.74% | 3 Month SEK STIBOR | SEK | 37000000 | 12/17/2035 | Quarterly |  | 44656 | 44656 |
|  2.78% | 3 Month SEK STIBOR | SEK | 22000000 | 12/17/2035 | Quarterly |  | 18830 | 18830 |
|  2.73% | 3 Month SEK STIBOR | SEK | 22000000 | 12/17/2035 | Quarterly |  | 28584 | 28584 |
|  2.73% | 3 Month SEK STIBOR | SEK | 18000000 | 12/17/2035 | Quarterly |  | 23138 | 23138 |
|  2.74% | 3 Month SEK STIBOR | SEK | 10000000 | 12/17/2035 | Quarterly |  | 12439 | 12439 |
|  2.81% | 3 Month SEK STIBOR | SEK | 18000000 | 12/17/2035 | Quarterly |  | 10667 | 10667 |
|  2.84% | 3 Month SEK STIBOR | SEK | 16000000 | 12/17/2035 | Quarterly |  | 4383 | 4383 |
|  USD-SOFR-OIS COMPOUND | 3.50% | USD | 1300000 | 12/17/2035 | Annually |  | (12238) | (12238) |
|  USD-SOFR-OIS COMPOUND | 3.53% | USD | 1500000 | 12/17/2035 | Annually |  | (10142) | (10142) |
|  USD-SOFR-OIS COMPOUND | 3.55% | USD | 1900000 | 12/17/2035 | Annually |  | (10046) | (10046) |
|  USD-SOFR-OIS COMPOUND | 3.60% | USD | 1500000 | 12/17/2035 | Annually |  | (1552) | (1552) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  USD-SOFR-OIS COMPOUND | 3.61% | USD | 3200000 | 12/17/2035 | Annually |  | (213) | (213) |
|  3.52% | USD-SOFR-OIS COMPOUND | USD | 15200000 | 12/17/2035 | Annually | (7301) | 107888 | 115189 |
|  3.51% | USD-SOFR-OIS COMPOUND | USD | 2000000 | 12/17/2035 | Annually |  | 16217 | 16217 |
|  3.50% | USD-SOFR-OIS COMPOUND | USD | 1600000 | 12/17/2035 | Annually |  | 14523 | 14523 |
|  3.67% | USD-SOFR-OIS COMPOUND | USD | 1500000 | 12/17/2035 | Annually |  | (7668) | (7668) |
|  3.64% | USD-SOFR-OIS COMPOUND | USD | 1600000 | 12/17/2035 | Annually |  | (3936) | (3936) |
|  3.68% | USD-SOFR-OIS COMPOUND | USD | 1800000 | 12/17/2035 | Annually |  | (10112) | (10112) |
|  |  |  |  |  |  | $(77559) | $(256121) | $(178562) |

---

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on iBoxx USD Liquid Leveraged Loans | USD-SOFR-OIS<br>Compound | MSCI | USD | 10000000 | 12/20/2025 | Quarterly | (20) | (48149) | (48129) |
|  1 Day Overnight Federal Funds Effective Rate plus 0.36% | MSCI Daily<br>Total Return<br>Net Value<br>EAFE Index | UBSA | USD | 23727853 | 02/02/2026 | Monthly |  | 637551 | 637551 |
|  MSCI Daily Trust Net Growth EAFE Index | 1 Day Overnight<br>Federal Funds<br>Effective Rate<br>plus 0.41% | UBSA | USD | 21941275 | 02/02/2026 | Monthly |  | 311234 | 311234 |
|  0.20% <sup>(i)</sup> | Total Return<br>on Sprott Gold<br>Miners ETF | SOCG | USD | 19359595 | 04/02/2026 | Quarterly |  | 911461 | 911461 |
|  0.20% <sup>(i)</sup> | Total Return<br>on BNP Paribas<br>Cross Asset<br>Trend Index | BNP | USD | 17177010 | 04/02/2026 | Quarterly |  | 304332 | 304332 |
|  1 Day Overnight Federal Funds Effective Rate plus 0.13% | MSCI Daily<br>Total Return Net<br>Value EAFE<br>Index 1 Day<br>Overnight<br>Federal | GS | USD | 2036362 | 04/30/2026 | Monthly |  | 48289 | 48289 |
|  MSCI Daily Trust Net Growth EAFE Index | Funds Effective<br>Rate plus 0.23% | GS | USD | 3941261 | 04/30/2026 | Monthly |  | 60694 | 60694 |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | MORD | USD | 5385535 | 06/18/2026 | Monthly |  | 5643 | 5643 |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | MORD | USD | 1676846 | 06/18/2026 | Monthly |  | 74976 | 74976 |
|  0.15% | SG US Strong<br>Balance Sheet<br>Hedged Index | SOCG | USD | 35092073 | 09/17/2026 | Quarterly | 146 | (1019613) | (1019759) |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | GS | USD | 5098476 | 06/24/2027 | Monthly |  | (74277) | (74277) |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | GS | USD | 14237655 | 06/24/2026 | Monthly |  | (314931) | (314931) |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | MORD | USD | 14445710 | 06/18/2027 | Monthly |  | 63490 | 63490 |
|  |  |  |  |  |  |  | $126 | $960700 | $960574 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**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, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(b) All or a portion of this investment is held in connection with one or more holdings within the Fund.

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

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

(e) 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.

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

(g) Investment valued using significant unobservable inputs.

(h) Affiliated company.

(i) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100%
owned subsidiary of GMO Alternative Allocation Fund.

(j) The rate disclosed is the 7 day net yield as of November 30, 2025.

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket
swap which has a notional amount of less than 1% of the Fund's total net assets.

(l) The following table represents the individual long and/or short positions with in the custom equity basket swap
as of November 30, 2025.

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with GS as the counterparty:** |  |  |
| (9888) | Aena SME SA | 1.9% | (269299) |
| (236300) | Airports of Thailand PC NVDR | 2.2% | (320174) |
| (140835) | Allefro.eu.SA | 8.5% | (1237661) |
| (17687) | Antofagasta PLC | 4.5% | (646716) |
| (2231) | Budimex SA | 2.6% | (382163) |
| (9584) | Capitec Bank Holdings Ltd. | 14.9% | (2174022) |
| (9441) | CD Projekt SA | 4.6% | (663556) |
| (37379) | Cellnex Telecom SA | 7.7% | (1122574) |
| (39132) | Clicks Group Ltd. | 5.5% | (795784) |
| (733) | Doosan Co. Ltd. | 3.0% | (438609) |
| (2261) | Doosan Enerbility Co. Ltd. | 0.8% | (117885) |
| (5186) | eMemory Technology, Inc. | 2.3% | (339593) |
| (17234) | Entain PLC | 1.2% | (177520) |
| (299) | Hermes International SCA | 5.0% | (729663) |
| (1490) | HLB, Inc. | 0.3% | (47663) |
| (236) | HYBE Co. Ltd. | 0.3% | (48222) |
| (7898) | Hyundai Rotem Co. | 6.5% | (945833) |
| (122) | Kakao Corp. | 0.0% | (4886) |
| (14000) | Kingdee International Software Group Co. Ltd. | 0.2% | (25538) |
| (888) | Korea Aerospace Industries Ltd. | 0.5% | (66001) |
| (160500) | Localiza Rent A Car ADR | 9.4% | (1360590) |
| (119) | LPP SA | 3.8% | (554735) |
| (8503) | Phoenix Group Holdings PLC | 0.5% | (78390) |
| (15138) | Public Power Corp. | 2.1% | (306010) |
| (1279) | Samsung Biologics Co. Ltd. | 9.6% | (1401933) |
| (688) | Samsung Epis Holdings Co. Ltd. | 1.4% | (200695) |
| 74749 | Turk Hava Yollari AO | (3.3%) | 480071 |
| (6953) | Yuhan Corp. | 4.0% | (578804) |
|  | TOTAL COMMON STOCKS |  | $(14554448) |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with MORD as the counterparty:** |  |  |
| (4759) | Anglo American PLC | 1.3% | $(179868) |
| (23213) | Antofagasta PLC | 5.9% | (848772) |
| (58411) | Aselsan Elektronik Sanayi ve Ticaret AS | 1.8% | (252344) |
| 604200 | Astra International Tbk PT | (1.7%) | 237995 |
| (1618) | Celltrion, Inc. | 1.4% | (204784) |
| (24830) | Doosan Enerbility Co. Ltd. | 9.0% | (1294598) |
| (15808) | Entain PLC | 1.1% | (162832) |
| (363445) | Hacı Ömer Sabancı Holding AS | 4.9% | (701152) |
| (271) | Hanwha Aerospace Co. Ltd. | 1.1% | (157312) |
| (8530) | HLB, Inc. | 1.9% | (272861) |
| (37300) | Hong Kong Exchange and Clearing Ltd. | 13.8% | (1983632) |
| (662) | HYBE Co. Ltd. | 0.9% | (135266) |
| 137900 | Indofood Sukses Makmur Tbk | (0.4%) | 60895 |
| (151000) | Innovent Biologics, Inc. | 12.7% | (1830479) |
| (909000) | Kingdee International Software Group Co. Ltd. | 11.5% | (1658155) |
| (27112) | Korea Aerospace Industries Ltd. | 14.0% | (2015098) |
| (507) | London Stock Exchange Group PLC | 0.4% | (59721) |
| (128419) | Salik Co. PJSC | 1.4% | (200748) |
| (371) | Samsung Biologics Co. Ltd. | 2.8% | (406659) |
| (199) | Samsung Epis Holdings Co. Ltd. | 0.4% | (58050) |
| (122777) | Samsung Heavy Industries Co. Ltd. | 14.3% | (2058554) |
| 85890 | Turk Hava Yollari AO | (3.8%) | 551623 |
| (69900) | Xpeng, Inc., Class A | 5.3% | (761771) |
|  | TOTAL COMMON STOCKS |  | $(14392143) |

---

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

BNM - Bank Negara Malaysia

BRL CDI - Brazilian Interbank Offered Rate dominated in Brazilian Real.

CDI - Certificado de Deposito Interbancario

CNY-CNREPOFIX=CFXS - China 7 Day Interbank Repo Trading Rate denominated in Chinese Reminibi.

CORRA - Canadian Overnight Repo Rate Average

ETF - Exchange-Traded Fund

EuroSTR - Euro Short-Term Rate

FBIL - Financial Benchmarks India PVT. LTD.

HIBOR - Hong Kong Interbank Offered Rate

HKAB - Hong Kong Association of Banks

IBR - Indicador Bancario de Referencia

JSC - Joint-Stock Company

KLIBOR - Kuala Lumpur Interbank Offered Rate

KSDA - Korean Securities Dealers Association

MIBOR - Mumbai Interbank Offer Rate

NVDR - Non-Voting Depositary Receipt

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

OMO - Open Market Operations

PJSC - Private Joint-Stock Company

PLN WIBOR WIBO - Warsaw Interbank Offered Rate denominated in Polish Zloty.

PRIBOR - Prague Interbank Offered Rate

RBOB - Reformulated Blendstock for Oxygenate Blending Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

REIT - Real Estate Investment Trust

SAFEX - South African Futures Exchange

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SHIR - Shekel Overnight Interest Rate

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

SORA - Singapore Overnight Rate Average

TBA - To Be Announced - Delayed Delivery Security

THOR - Thai Overnight Repurchase Rate

TIIE - The Interbank Equilibrium Interest Rate denominated in Mexican Peso

WIBOR - Warsaw Interbank Offered Rate

ZAR JIBAR - Johannesburg Interbank Average Rate denominated in South African Rand.

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BNP - BNP Paribas

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

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

SOCG - Société Générale

SSB - State Street Bank and Trust Company UBSA - UBS AG

**Currency Abbreviations:** 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - China Yuan Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

DOP - Dominican Republic Peso

EGP - Egyptian Pound

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

KZT - Kazakhstan Tenge

MXN - Mexican Peso

MYR - Malaysian Ringgit

NGN - Nigerian Naira

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan New Dollar

USD - United States Dollar

UYU - Uruguay Peso

ZAR - South African Rand

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO Benchmark-Free Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 100.0%** |  |
| | **United States — 100.0%** | |
| 16807564 | GMO Alternative Allocation Fund, Class VI <sup>(a)</sup> | 319007562 |
| 971478 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 24588109 |
| 1385306 | GMO High Yield Fund, Class VI <sup>(a)</sup> | 25115589 |
| 130865332 | GMO Implementation Fund <sup>(a)</sup> | 2031029951 |
| 1960592 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 48093333 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $2,146,873,201) | 2447834544 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 2471007 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 2471007 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $2,471,007) | 2471007 |
|  | **TOTAL INVESTMENTS — 100.1%**<br> (Cost $2,149,344,208) | **2450305551** |
|  | Other Assets and Liabilities (net) — (0.1%) | (1649067) |
|  | **TOTAL NET ASSETS — 100.0%** | $**2448656484** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 58.9%** |  |
| | **Australia — 1.1%** | |
| 60270 | Accent Group Ltd. <sup>(a)</sup> | 39674 |
| 26903 | AMP Ltd. | 30573 |
| 59000 | Aurizon Holdings Ltd. | 138367 |
| 181752 | BHP Group Ltd. <sup>(a)</sup> | 4973275 |
| 97099 | BlueScope Steel Ltd. <sup>(a)</sup> | 1546722 |
| 41225 | Brambles Ltd. <sup>(b)</sup> | 649681 |
| 208248 | Fortescue Ltd. | 2926838 |
| 7466 | GrainCorp Ltd. – Class A | 39537 |
| 95164 | Grange Resources Ltd. \* | 16218 |
| 57239 | Harvey Norman Holdings Ltd. <sup>(b)</sup> | 260236 |
| 78161 | Helia Group Ltd. | 289258 |
| 40119 | HomeCo Daily Needs – (REIT) | 35505 |
| 15015 | JB Hi-Fi Ltd. | 966421 |
| 94933 | Nine Entertainment Co. Holdings Ltd. | 67790 |
| 120896 | Ramelius Resources Ltd. | 289695 |
| 3379 | Rio Tinto Ltd. | 293117 |
| 3853 | Southern Cross Media Group Ltd. | 2069 |
| 14194 | Super Retail Group Ltd. | 151064 |
| 24064 | Woodside Energy Group Ltd. | 393585 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;13109625 |
|  | **Austria — 0.2%** |  |
| 13972 | OMV AG | 773087 |
| 2252 | Palfinger AG | 85125 |
| 25242 | Raiffeisen Bank International AG | 1025746 |
| 737 | Strabag SE | 66044 |
| 8843 | UNIQA Insurance Group AG | 154319 |
| 1589 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 91149 |
|  | Total Austria | 2195470 |
|  | **Belgium — 0.3%** |  |
| 39668 | Ageas SA | 2710234 |
| 6644 | Barco NV | 94913 |
| 4449 | Bekaert SA | 190717 |
| 422 | Melexis NV <sup>(a)</sup> | 25994 |
| 72425 | Proximus SADP | 623685 |
| 206 | Sofina SA <sup>(a)</sup> | 58101 |
|  | Total Belgium | 3703644 |
|  | **Brazil — 0.3%** |  |
| 217100 | Banco Bradesco SA | 680846 |
| 1300 | Cia de Saneamento de Minas Gerais Copasa MG | 10139 |
| 800 | Cia De Sanena Do Parana | 5601 |
| 257700 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1724968 |
| 101326 | Vibra Energia SA | 472287 |
| 20300 | Vivara Participacoes SA | 133562 |
|  | Total Brazil | 3027403 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Canada — 3.3%** | |
| 2600 | Alimentation Couche-Tard, Inc. <sup>(b)</sup> | 142014 |
| 112700 | B2Gold Corp. | 523398 |
| 9000 | Bank of Montreal <sup>(b)</sup> | 1139354 |
| 28100 | Bank of Nova Scotia <sup>(c)</sup> | 1949275 |
| 18342 | Bank of Nova Scotia <sup>(c)</sup> | 1270917 |
| 11700 | Barrick Mining Corp. <sup>(c)</sup> | 489199 |
| 11466 | Barrick Mining Corp. <sup>(c)</sup> | 474004 |
| 5400 | Canadian Imperial Bank of Commerce <sup>(b)</sup> | 466909 |
| 17865 | Canadian Tire Corp. Ltd. – Class A <sup>(a)</sup> <sup>(b)</sup> | 2173536 |
| 6250 | Canfor Corp. \* <sup>(a)</sup> | 55011 |
| 28712 | Centerra Gold, Inc. | 381295 |
| 13400 | CGI, Inc. <sup>(b)</sup> | 1193530 |
| 2400 | Cogeco Communications, Inc. <sup>(a)</sup> | 117299 |
| 2356 | Cogeco, Inc. | 108287 |
| 52700 | DPM Metals, Inc. | 1470750 |
| 2900 | DREAM Unlimited Corp. – Class A <sup>(a)</sup> | 37520 |
| 5300 | Empire Co. Ltd. – Class A | 195130 |
| 100 | Fairfax Financial Holdings Ltd. <sup>(b)</sup> | 172194 |
| 3800 | Finning International, Inc. <sup>(a)</sup> | 203290 |
| 3100 | iA Financial Corp., Inc. | 366157 |
| 24167 | IGM Financial, Inc. <sup>(a)</sup> | 986602 |
| 1500 | Imperial Oil Ltd. | 149952 |
| 5783 | Interfor Corp. \* | 37079 |
| 5506 | International Petroleum Corp. \* | 102948 |
| 5600 | Kinross Gold Corp. | 157807 |
| 4400 | Linamar Corp. | 248991 |
| 55209 | Magna International, Inc. <sup>(c)</sup> | 2696408 |
| 8500 | Magna International, Inc. <sup>(c)</sup> | 415983 |
| 55520 | Manulife Financial Corp. <sup>(b)</sup> <sup>(c)</sup> | 1954859 |
| 42100 | Manulife Financial Corp. <sup>(b)</sup> <sup>(c)</sup> | 1490348 |
| 20668 | Nutrien Ltd. <sup>(a)</sup> <sup>(c)</sup> | 1202258 |
| 200 | Nutrien Ltd. <sup>(c)</sup> | 11636 |
| 69008 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 2321429 |
| 7300 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 245780 |
| 28600 | Parex Resources, Inc. | 378618 |
| 81324 | Power Corp. of Canada | 4140544 |
| 3100 | Russel Metals, Inc. | 90508 |
| 4845 | Spin Master Corp. | 71386 |
| 27300 | Sun Life Financial, Inc. <sup>(b)</sup> <sup>(c)</sup> | 1618132 |
| 4900 | Sun Life Financial, Inc. <sup>(b)</sup> <sup>(c)</sup> | 289688 |
| 1700 | Suncor Energy, Inc. | 76445 |
| 4116 | Torex Gold Resources, Inc. | 193304 |
| 72900 | Toronto-Dominion Bank <sup>(c)</sup> | 6137382 |
| 5044 | Toronto-Dominion Bank <sup>(a)</sup> <sup>(c)</sup> | 423343 |
| 8200 | Transcontinental, Inc. – Class A | 120173 |
| 1119 | Wajax Corp. | 22045 |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;38512717 |
|  | **China — 1.9%** |  |
| 165000 | 361 Degrees International Ltd. | 127434 |
| 686000 | AviChina Industry & Technology Co. Ltd. –Class H <sup>(a)</sup> | 342730 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **China — continued** | |
| 52091 | Bank of Communications Co. Ltd. – Class H | 47859 |
| 44500 | Beijing Enterprises Holdings Ltd. | 194783 |
| 320000 | Bosideng International Holdings Ltd. | 204259 |
| 1626000 | China Communications Services Corp. Ltd. – Class H | 1018688 |
| 921000 | China Construction Bank Corp. – Class H | 970276 |
| 1058000 | China Greenfresh Group Co. Ltd. \* <sup>(d)</sup> |  |
| 345000 | China Hongqiao Group Ltd. | 1375149 |
| 149000 | China Lesso Group Holdings Ltd. | 85176 |
| 91000 | China Medical System Holdings Ltd. | 155845 |
| 178000 | China National Building Material Co. Ltd. – Class H | 119841 |
| 154500 | China Overseas Land & Investment Ltd. | 264891 |
| 750000 | China Railway Group Ltd. – Class H | 377218 |
| 1341000 | China Reinsurance Group Corp. – Class H | 276319 |
| 146500 | China Resources Pharmaceutical Group Ltd. | 90246 |
| 249000 | China Taiping Insurance Holdings Co. Ltd. | 557881 |
| 594000 | CITIC Ltd. | 931154 |
| 613000 | Consun Pharmaceutical Group Ltd. | 1170011 |
| 2102000 | CSPC Pharmaceutical Group Ltd. | 2145249 |
| 101300 | ENN Energy Holdings Ltd. | 926054 |
| 217000 | Fufeng Group Ltd. | 224020 |
| 75000 | Geely Automobile Holdings Ltd. | 163933 |
| 52598 | K Wah International Holdings Ltd. | 14824 |
| 78100 | Legend Holdings Corp. – Class H \* | 95756 |
| 87000 | Lonking Holdings Ltd. | 32926 |
| 200000 | Minth Group Ltd. | 877216 |
| 101000 | Orient Overseas International Ltd. | 1641325 |
| 148000 | PICC Property & Casualty Co. Ltd. – Class H | 336623 |
| 7846 | Qfin Holdings, Inc. | 153232 |
| 9000 | Shanghai Industrial Holdings Ltd. | 17696 |
| 722000 | Sino Biopharmaceutical Ltd. | 656341 |
| 340000 | Sinopec Engineering Group Co. Ltd. – Class H | 321355 |
| 28000 | Skyworth Group Ltd. \* | 14413 |
| 30400 | Tencent Holdings Ltd. | 2401951 |
| 113100 | Vipshop Holdings Ltd. ADR <sup>(b)</sup> | 2221284 |
| 85300 | Weibo Corp. Sponsored ADR <sup>(a)</sup> | 847882 |
| 18000 | Zhongsheng Group Holdings Ltd. | 27176 |
|  | Total China | &nbsp;&nbsp;&nbsp;&nbsp;21429016 |
|  | **Colombia — 0.0%** |  |
| 3121 | Corp. Financiera Colombiana SA \* | 15455 |
|  | **Czech Republic — 0.0%** |  |
| 72 | Philip Morris CR AS | 64128 |
|  | **Denmark — 0.4%** |  |
| 323 | AP Moller - Maersk AS – Class A <sup>(b)</sup> | 647925 |
| 975 | AP Moller - Maersk AS – Class B <sup>(b)</sup> | 1951018 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Denmark — continued** | |
| 4639 | Genmab AS \* | 1490438 |
| 8541 | H Lundbeck AS | 59004 |
| 799 | Matas AS | 14881 |
| 18242 | Rockwool AS – B Shares | 616665 |
| 2201 | Scandinavian Tobacco Group AS | 31404 |
|  | Total Denmark | 4811335 |
|  | **Egypt — 0.0%** |  |
| 41859 | Orascom Construction PLC | 422209 |
|  | **Finland — 0.2%** |  |
| 358216 | Nokia OYJ | 2181579 |
| 15785 | Valmet OYJ | 516246 |
|  | Total Finland | 2697825 |
|  | **France — 1.9%** |  |
| 12450 | Aperam SA | 479969 |
| 44231 | ArcelorMittal SA | 1916912 |
| 1270 | Arkema SA | 77415 |
| 10267 | AXA SA <sup>(b)</sup> | 463840 |
| 35175 | BNP Paribas SA | 3006715 |
| 2510 | Capgemini SE <sup>(b)</sup> | 393273 |
| 23585 | Carrefour SA | 363174 |
| 13227 | Cie de Saint-Gobain SA <sup>(b)</sup> | 1320146 |
| 3255 | Cie Generale des Etablissements Michelin SCA | 106542 |
| 5524 | Coface SA | 97347 |
| 11569 | Credit Agricole SA | 221771 |
| 8028 | Derichebourg SA <sup>(b)</sup> | 59952 |
| 7818 | Eiffage SA | 1080274 |
| 2546 | Ipsen SA | 367581 |
| 5172 | IPSOS SA | 192788 |
| 1314 | Legrand SA <sup>(b)</sup> | 199351 |
| 7536 | Metropole Television SA | 109568 |
| 4195 | Orange SA <sup>(b)</sup> | 69151 |
| 6239 | Quadient SA | 103921 |
| 12461 | Rubis SCA <sup>(b)</sup> | 476130 |
| 37549 | Sanofi SA | 3745040 |
| 358 | Schneider Electric SE <sup>(b)</sup> | 96340 |
| 703 | Societe BIC SA <sup>(b)</sup> | 40204 |
| 8994 | Societe Generale SA | 626256 |
| 11333 | STMicroelectronics NV | 261236 |
| 21156 | STMicroelectronics NV - NY Shares <sup>(a)</sup> | 486376 |
| 13819 | Teleperformance SE <sup>(b)</sup> | 951737 |
| 25176 | Television Francaise 1 SA | 243255 |
| 59718 | TotalEnergies SE <sup>(b)</sup> | 3928652 |
| 46482 | Valeo SE | 589128 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;22074044 |
|  | **Germany — 1.4%** |  |
| 102 | Amadeus Fire AG | 5297 |
| 36324 | Bayer AG (Registered) | 1285095 |
| 19366 | Bayerische Motoren Werke AG <sup>(b)</sup> | 1979457 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| 7794 | Continental AG | 580194 |
| 16771 | Daimler Truck Holding AG | 709916 |
| 74588 | Deutsche Bank AG (Registered) <sup>(b)</sup> | 2644580 |
| 29170 | Deutsche Post AG <sup>(b)</sup> | 1518133 |
| 25994 | Deutsche Telekom AG (Registered) <sup>(b)</sup> | 838249 |
| 141 | Draegerwerk AG & Co. KGaA | 10215 |
| 2682 | DWS Group GmbH & Co. KGaA | 166458 |
| 56860 | E.ON SE <sup>(b)</sup> | 1012804 |
| 5755 | Evonik Industries AG | 88573 |
| 9359 | Fresenius Medical Care AG | 447345 |
| 2496 | Henkel AG & Co. KGaA | 187374 |
| 340 | Hornbach Holding AG & Co. KGaA | 34966 |
| 2247 | Kloeckner & Co. SE | 15790 |
| 39743 | Mercedes-Benz Group AG <sup>(b)</sup> | 2683840 |
| 3082 | ProSiebenSat.1 Media SE | 17426 |
| 2612 | RTL Group SA | 103145 |
| 901 | Salzgitter AG | 37269 |
| 4561 | Siemens AG (Registered) <sup>(b)</sup> | 1209593 |
| 183 | Sixt SE | 14931 |
|  | Total Germany | &nbsp;&nbsp;&nbsp;&nbsp;15590650 |
|  | **Greece — 0.0%** |  |
| 37072 | Eurobank Ergasias Services & Holdings SA | 146834 |
| 3231 | National Bank of Greece SA | 50629 |
|  | Total Greece | 197463 |
|  | **Hong Kong — 1.0%** |  |
| 98500 | BOC Hong Kong Holdings Ltd. | 475540 |
| 29000 | Chow Sang Sang Holdings International Ltd. | 45415 |
| 234000 | CITIC Telecom International Holdings Ltd. | 77300 |
| 347000 | CK Asset Holdings Ltd. | 1784171 |
| 548500 | CK Hutchison Holdings Ltd. <sup>(b)</sup> | 3869299 |
| 18800 | Dah Sing Financial Holdings Ltd. | 87456 |
| 108000 | E-Commodities Holdings Ltd. | 12372 |
| 110000 | First Pacific Co. Ltd. | 88477 |
| 104000 | Giordano International Ltd. | 20330 |
| 5500 | Health & Happiness H&H International Holdings Ltd. | 10316 |
| 190000 | IGG, Inc. | 93623 |
| 16000 | Johnson Electric Holdings Ltd. | 61845 |
| 9000 | KLN Logistics Group Ltd. | 8144 |
| 47800 | Luk Fook Holdings International Ltd. | 149989 |
| 201000 | PAX Global Technology Ltd. | 135449 |
| 58000 | Shun Tak Holdings Ltd. \* <sup>(a)</sup> | 5141 |
| 108000 | SITC International Holdings Co. Ltd. | 371339 |
| 32500 | SmarTone Telecommunications Holdings Ltd. | 19863 |
| 97000 | Sun Hung Kai Properties Ltd. <sup>(b)</sup> | 1231933 |
| 9500 | Techtronic Industries Co. Ltd. | 111731 |
| 31000 | Texhong International Group Ltd. | 17934 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Hong Kong — continued** | |
| 66000 | United Laboratories International Holdings Ltd. | 108472 |
| 188000 | VSTECS Holdings Ltd. | 201354 |
| 28600 | VTech Holdings Ltd. | 231475 |
| 2117500 | WH Group Ltd. | 2217514 |
|  | Total Hong Kong | &nbsp;&nbsp;&nbsp;&nbsp;11436482 |
|  | **Hungary — 0.4%** |  |
| 53209 | Magyar Telekom Telecommunications PLC | 284786 |
| 53062 | MOL Hungarian Oil & Gas PLC | 470058 |
| 33056 | OTP Bank Nyrt | 3440873 |
| 20324 | Richter Gedeon Nyrt | 601913 |
|  | Total Hungary | 4797630 |
|  | **India — 1.0%** |  |
| 35797 | Ashapura Minechem Ltd. | 275864 |
| 12508 | Aurobindo Pharma Ltd. | 170888 |
| 272858 | Bharat Petroleum Corp. Ltd. | 1099312 |
| 63172 | Cipla Ltd. | 1082207 |
| 5692 | Dhampur Bio Organics Ltd. | 4898 |
| 36317 | Dr. Reddy's Laboratories Ltd. | 511932 |
| 34060 | Dr. Reddy's Laboratories Ltd. ADR <sup>(a)</sup> | 478543 |
| 141398 | GAIL India Ltd. | 279739 |
| 311 | GHCL Ltd. | 2005 |
| 21561 | Glenmark Pharmaceuticals Ltd. | 470592 |
| 4584 | Hero MotoCorp Ltd. | 318495 |
| 184409 | Hindalco Industries Ltd. | 1676327 |
| 31376 | Hindustan Petroleum Corp. Ltd. | 161087 |
| 46436 | Indian Oil Corp. Ltd. | 84282 |
| 1227 | KRBL Ltd. | 5624 |
| 4252 | LIC Housing Finance Ltd. | 26227 |
| 321584 | Manappuram Finance Ltd. | 1026840 |
| 27936 | Muthoot Finance Ltd. | 1170181 |
| 430814 | NMDC Ltd. | 357164 |
| 530612 | Oil & Natural Gas Corp. Ltd. | 1445864 |
| 31270 | Power Finance Corp. Ltd. | 127299 |
| 72952 | Shriram Finance Ltd. | 700745 |
| 18897 | Siyaram Silk Mills Ltd. | 152861 |
| 19269 | Transrail Lighting Ltd. | 138610 |
|  | Total India | 11767586 |
|  | **Indonesia — 0.9%** |  |
| 7546900 | Aneka Tambang Tbk. PT | 1318935 |
| 9551900 | Astra International Tbk. PT | 3762495 |
| 279300 | Astra Otoparts Tbk. PT | 42618 |
| 1665900 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 54506 |
| 4554600 | Dharma Satya Nusantara Tbk. PT | 463835 |
| 5713100 | Erajaya Swasembada Tbk. PT | 142132 |
| 3266400 | Indofood Sukses Makmur Tbk. PT | 1442395 |
| 2052700 | Japfa Comfeed Indonesia Tbk. PT | 301073 |
| 42000 | Kalbe Farma Tbk. PT | 3031 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Indonesia — continued** | |
| 698300 | Panin Financial Tbk. PT \* | 11501 |
| 6264800 | Perusahaan Gas Negara Tbk. PT | 679515 |
| 5432500 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 445397 |
| 750500 | Salim Ivomas Pratama Tbk. PT | 27950 |
| 813300 | Saratoga Investama Sedaya Tbk. PT | 77720 |
| 1042700 | Surya Citra Media Tbk. PT | 24210 |
| 2792200 | Telkom Indonesia Persero Tbk. PT | 593548 |
| 518600 | Tempo Scan Pacific Tbk. PT | 86931 |
| 5552600 | Triputra Agro Persada PT | 563528 |
|  | Total Indonesia | &nbsp;&nbsp;&nbsp;&nbsp;10041320 |
|  | **Ireland — 0.0%** |  |
| 27298 | AIB Group PLC | 280880 |
| 5457 | Bank of Ireland Group PLC | 101073 |
| 7850 | Origin Enterprises PLC <sup>(a)</sup> | 34624 |
| 9611 | Permanent TSB Group Holdings PLC \* | 33919 |
|  | Total Ireland | 450496 |
|  | **Israel — 0.7%** |  |
| 147628 | Bank Hapoalim BM | 3195558 |
| 95326 | Bank Leumi Le-Israel BM | 1999107 |
| 239 | Check Point Software Technologies Ltd. \* | 44638 |
| 1082 | Delek Group Ltd. | 284540 |
| 32783 | ICL Group Ltd. | 181707 |
| 64240 | Israel Discount Bank Ltd. – Class A | 672751 |
| 2202 | Mizrahi Tefahot Bank Ltd. | 154251 |
| 10969 | Nice Ltd. Sponsored ADR\* <sup>(b)</sup> | 1163482 |
| 252 | Nice Ltd. \* | 26371 |
| 81196 | Oil Refineries Ltd. | 25753 |
| 3508 | Partner Communications Co. Ltd. | 40981 |
| 14703 | ZIM Integrated Shipping Services Ltd. <sup>(a)</sup> | 300088 |
|  | Total Israel | 8089227 |
|  | **Italy — 1.1%** |  |
| 12162 | Banca IFIS SpA | 350088 |
| 71570 | Banco BPM SpA <sup>(a)</sup> | 1031545 |
| 40911 | BPER Banca SpA | 493008 |
| 1899 | Buzzi SpA | 117131 |
| 9917 | Credito Emiliano SpA | 169196 |
| 4144 | Esprinet SpA | 28120 |
| 186306 | Intesa Sanpaolo SpA <sup>(b)</sup> | 1208565 |
| 78692 | Iren SpA <sup>(b)</sup> | 245072 |
| 27408 | Italgas SpA <sup>(b)</sup> | 309432 |
| 11282 | Leonardo SpA <sup>(b)</sup> | 618361 |
| 54627 | MFE-MediaForEurope NV – Class A | 197168 |
| 7028 | MFE-MediaForEurope NV – Class B <sup>(a)</sup> | 33420 |
| 201048 | Stellantis NV <sup>(b)</sup> | 2152019 |
| 3288061 | Telecom Italia SpA \* | 1853779 |
| 17431 | Tenaris SA | 350673 |
| 16434 | Tenaris SA ADR | 660975 |
| 126759 | Unipol Assicurazioni SpA | 2911204 |
|  | Total Italy | 12729756 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — 15.3%** | |
| 700 | ADEKA Corp. | 16590 |
| 50300 | AGC, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1740518 |
| 3600 | Ai Holdings Corp. | 64096 |
| 5100 | Aichi Corp. | 43431 |
| 20700 | Air Water, Inc. | 291950 |
| 34400 | Amano Corp. | 926837 |
| 14900 | Anritsu Corp. | 226578 |
| 2600 | AOKI Holdings, Inc. | 28809 |
| 3000 | Arata Corp. | 59879 |
| 32000 | Asahi Group Holdings Ltd. | 371176 |
| 39200 | Asahi Kasei Corp. | 327412 |
| 6500 | Asahi Yukizai Corp. <sup>(a)</sup> | 193796 |
| 8800 | Axial Retailing, Inc. | 64445 |
| 19800 | Bandai Namco Holdings, Inc. | 581014 |
| 3600 | Bando Chemical Industries Ltd. | 47616 |
| 800 | Bridgestone Corp. <sup>(b)</sup> | 37538 |
| 92600 | Brother Industries Ltd. | 1853677 |
| 900 | Buffalo, Inc. | 29077 |
| 5000 | Bunka Shutter Co. Ltd. | 68021 |
| 19200 | Canon Marketing Japan, Inc. | 841128 |
| 14700 | Canon, Inc. <sup>(b)</sup> | 432503 |
| 1800 | Central Glass Co. Ltd. | 39545 |
| 1300 | Chiyoda Integre Co. Ltd. | 26980 |
| 31700 | Chubu Electric Power Co., Inc. <sup>(b)</sup> | 495459 |
| 132600 | Credit Saison Co. Ltd. | 3338683 |
| 59600 | Dai Nippon Printing Co. Ltd. <sup>(b)</sup> | 1007994 |
| 1100 | Dai Nippon Toryo Co. Ltd. | 9614 |
| 86000 | Daicel Corp. | 724180 |
| 3000 | Dai-Dan Co. Ltd. | 140354 |
| 2300 | Daido Steel Co. Ltd. | 23297 |
| 2400 | Daiichi Jitsugyo Co. Ltd. | 45734 |
| 11000 | Daito Trust Construction Co. Ltd. | 210426 |
| 60600 | Daiwa House Industry Co. Ltd. <sup>(b)</sup> | 2068349 |
| 99110 | Daiwabo Holdings Co. Ltd. | 1930937 |
| 73200 | Denka Co. Ltd. | 1282951 |
| 22900 | Denso Corp. <sup>(b)</sup> | 301525 |
| 6000 | DTS Corp. <sup>(b)</sup> | 46531 |
| 2700 | Ebara Corp. | 70819 |
| 4000 | EDION Corp. | 52263 |
| 700 | Elecom Co. Ltd. | 8019 |
| 5800 | Electric Power Development Co. Ltd. <sup>(b)</sup> | 116862 |
| 52700 | EXEO Group, Inc. | 829024 |
| 3200 | FCC Co. Ltd. | 70698 |
| 15400 | Ferrotec Corp. | 483971 |
| 78700 | Fuji Corp. | 1725099 |
| 3700 | Fuji Electric Co. Ltd. | 258301 |
| 3200 | Fuji Seal International, Inc. | 65049 |
| 55100 | FUJIFILM Holdings Corp. | 1182994 |
| 12100 | Fujitsu Ltd. <sup>(b)</sup> | 321028 |
| 100 | Fukuda Denshi Co. Ltd. | 4560 |
| 4400 | Furukawa Electric Co. Ltd. | 281159 |
| 20500 | Glory Ltd. | 515204 |
| 188600 | H.U. Group Holdings, Inc. | 4407313 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 4200 | Haseko Corp. | 80346 |
| 35300 | Hitachi Construction Machinery Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1027888 |
| 65000 | Hogy Medical Co. Ltd. | 2450441 |
| 202000 | Honda Motor Co. Ltd. <sup>(b)</sup> | 2036971 |
| 40859 | Honda Motor Co. Ltd. Sponsored ADR | 1235985 |
| 9100 | Horiba Ltd. | 843565 |
| 3300 | Hosiden Corp. | 55550 |
| 51600 | IDOM, Inc. | 421474 |
| 37100 | Inabata & Co. Ltd. | 880440 |
| 224100 | Inpex Corp. | 4780067 |
| 178400 | Isuzu Motors Ltd. | 2733852 |
| 4000 | ITOCHU Corp. <sup>(b)</sup> | 239916 |
| 12000 | Itochu Enex Co. Ltd. | 145734 |
| 500 | Itochu-Shokuhin Co. Ltd. | 33286 |
| 23300 | Iwatani Corp. | 253904 |
| 1000 | Japan Lifeline Co. Ltd. | 9860 |
| 57400 | Japan Post Holdings Co. Ltd. <sup>(b)</sup> | 563836 |
| 29800 | Japan Post Insurance Co. Ltd. | 828918 |
| 4300 | Jeol Ltd. | 132923 |
| 43200 | Kaga Electronics Co. Ltd. | 1039149 |
| 17200 | Kajima Corp. | 641206 |
| 2700 | Kamei Corp. | 50298 |
| 9300 | Kanadevia Corp. | 59538 |
| 13100 | Kandenko Co. Ltd. | 415227 |
| 15500 | Kaneka Corp. | 435917 |
| 155700 | Kanematsu Corp. | 3443200 |
| 71700 | Kawasaki Kisen Kaisha Ltd. | 954632 |
| 53700 | KDDI Corp. <sup>(b)</sup> | 923862 |
| 1500 | Kinden Corp. | 62293 |
| 159500 | Kirin Holdings Co. Ltd. | 2505117 |
| 21400 | Kitz Corp. | 233034 |
| 2800 | Kobe Steel Ltd. | 35025 |
| 13900 | Kohnan Shoji Co. Ltd. | 353888 |
| 68200 | Komatsu Ltd. <sup>(b)</sup> | 2240327 |
| 7400 | Komeri Co. Ltd. | 165628 |
| 5400 | Konami Group Corp. <sup>(b)</sup> | 825294 |
| 19500 | Kraftia Corp. | 989484 |
| 108800 | Kubota Corp. | 1570328 |
| 101300 | Kumiai Chemical Industry Co. Ltd. | 453681 |
| 21100 | Kyocera Corp. | 288839 |
| 44600 | LY Corp. <sup>(b)</sup> | 119781 |
| 42300 | Macnica Holdings, Inc. | 628825 |
| 12600 | Marubeni Corp. | 332589 |
| 30000 | Maruha Nichiro Corp. | 730933 |
| 119500 | Maruichi Steel Tube Ltd. | 1104102 |
| 1000 | Maruzen Showa Unyu Co. Ltd. | 46677 |
| 4400 | Matsuda Sangyo Co. Ltd. <sup>(b)</sup> | 137268 |
| 150900 | Maxell Ltd. | 2151650 |
| 54000 | Mazda Motor Corp. | 390683 |
| 26300 | MCJ Co. Ltd. | 260434 |
| 1000 | Medipal Holdings Corp. | 17453 |
| 1600 | Megmilk Snow Brand Co. Ltd. | 31340 |
| 122500 | Mitsubishi Electric Corp. | 3312147 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 2200 | Mitsubishi Research Institute, Inc. <sup>(b)</sup> | 70182 |
| 74200 | Mitsui & Co. Ltd. <sup>(b)</sup> | 1971234 |
| 2400 | Mitsui DM Sugar Co. Ltd. | 51010 |
| 4200 | Mitsui Kinzoku Co. Ltd. | 480522 |
| 66500 | Mitsui OSK Lines Ltd. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1888212 |
| 87100 | Mizuno Corp. | 1697533 |
| 3000 | Modec, Inc. | 301883 |
| 59900 | Morinaga & Co. Ltd. | 1024241 |
| 6500 | Murata Manufacturing Co. Ltd. | 133808 |
| 70000 | NEC Corp. <sup>(b)</sup> | 2644783 |
| 48300 | NGK Insulators Ltd. | 952492 |
| 49500 | NH Foods Ltd. | 2188265 |
| 2500 | Nichias Corp. | 99594 |
| 2200 | Nichiha Corp. | 42969 |
| 2400 | Nichireki Group Co. Ltd. | 38131 |
| 7900 | Nippn Corp. | 121263 |
| 2000 | Nippon Densetsu Kogyo Co. Ltd. | 41432 |
| 13100 | Nippon Kayaku Co. Ltd. | 137611 |
| 32400 | Nippon Shinyaku Co. Ltd. | 753263 |
| 3000 | Nippon Soda Co. Ltd. | 68413 |
| 19700 | Nippon Television Holdings, Inc. | 504622 |
| 145400 | Nippon Yusen KK | 4605125 |
| 578900 | Nissan Motor Co. Ltd. \* | 1411340 |
| 29100 | Niterra Co. Ltd. | 1258358 |
| 6500 | Nittetsu Mining Co. Ltd. | 76016 |
| 7700 | Nitto Denko Corp. | 190539 |
| 119900 | Nojima Corp. | 898227 |
| 92100 | Nomura Real Estate Holdings, Inc. | 565144 |
| 3200 | Noritake Co. Ltd. | 112069 |
| 2400 | NS United Kaiun Kaisha Ltd. | 91941 |
| 2145800 | NTT, Inc. <sup>(b)</sup> | 2138511 |
| 1100 | Obara Group, Inc. | 28143 |
| 95600 | Oisix ra daichi, Inc. | 928156 |
| 49300 | Okamura Corp. <sup>(b)</sup> | 715723 |
| 18400 | Oki Electric Industry Co. Ltd. | 229004 |
| 85900 | Ono Pharmaceutical Co. Ltd. | 1209714 |
| 1300 | Open House Group Co. Ltd. | 76404 |
| 89900 | Optex Group Co. Ltd. | 1415116 |
| 32100 | ORIX Corp. <sup>(b)</sup> | 877444 |
| 4000 | Osaka Gas Co. Ltd. <sup>(b)</sup> | 140385 |
| 2200 | Otsuka Holdings Co. Ltd. | 124598 |
| 114400 | Pacific Industrial Co. Ltd. | 2335792 |
| 900 | PALTAC Corp. | 27102 |
| 320600 | Panasonic Holdings Corp. <sup>(b)</sup> | 4012063 |
| 208800 | Penta-Ocean Construction Co. Ltd. | 2306761 |
| 1800 | Prima Meat Packers Ltd. | 30322 |
| 3900 | Raito Kogyo Co. Ltd. | 84433 |
| 9100 | Recruit Holdings Co. Ltd. <sup>(b)</sup> | 465431 |
| 97800 | Renesas Electronics Corp. | 1153313 |
| 9300 | Rengo Co. Ltd. | 66513 |
| 3700 | Rohm Co. Ltd. <sup>(a)</sup> | 49673 |
| 32100 | Rohto Pharmaceutical Co. Ltd. | 519993 |
| 5700 | Sakai Moving Service Co. Ltd. | 104211 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 23700 | Sakata INX Corp. | 355043 |
| 28400 | San-Ai Obbli Co. Ltd. | 381539 |
| 7300 | Sankyo Co. Ltd. | 126330 |
| 41600 | Sankyu, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2248946 |
| 16500 | Sanwa Holdings Corp. | 425530 |
| 1400 | SBI Holdings, Inc. | 29522 |
| 2800 | SCREEN Holdings Co. Ltd. | 230932 |
| 104200 | Sega Sammy Holdings, Inc. | 1790620 |
| 29200 | Seiko Epson Corp. | 363815 |
| 138500 | Sekisui Chemical Co. Ltd. | 2360301 |
| 72000 | Sekisui House Ltd. | 1614532 |
| 2900 | Sekisui Jushi Corp. | 40099 |
| 4200 | Shinagawa Refra Co. Ltd. | 53531 |
| 2000 | Shinnihon Corp. | 25196 |
| 180400 | Shionogi & Co. Ltd. | 3094068 |
| 96700 | Ship Healthcare Holdings, Inc. | 1604584 |
| 700 | Sinanen Holdings Co. Ltd. | 30534 |
| 5000 | Sinko Industries Ltd. | 44110 |
| 13300 | Sojitz Corp. | 388883 |
| 6600 | Sony Group Corp. <sup>(b)</sup> | 193668 |
| 55800 | Stanley Electric Co. Ltd. | 1092443 |
| 21500 | Starts Corp., Inc. | 675830 |
| 72800 | Subaru Corp. | 1625924 |
| 98800 | SUMCO Corp. | 781801 |
| 27000 | Sumitomo Corp. <sup>(b)</sup> | 848118 |
| 73900 | Sumitomo Electric Industries Ltd. | 2911995 |
| 153500 | Sumitomo Forestry Co. Ltd. <sup>(a)</sup> | 1638565 |
| 94000 | Sumitomo Mitsui Financial Group, Inc. | 2844297 |
| 71800 | Sumitomo Mitsui Trust Group, Inc. | 2085902 |
| 6700 | Sun Frontier Fudousan Co. Ltd. | 104674 |
| 28700 | Suntory Beverage & Food Ltd. | 908124 |
| 1700 | Suzuken Co. Ltd. | 66114 |
| 41300 | Suzuki Motor Corp. <sup>(b)</sup> | 645863 |
| 88000 | T&D Holdings, Inc. | 1911754 |
| 2400 | Takeuchi Manufacturing Co. Ltd. | 109488 |
| 7300 | TDK Corp. | 119823 |
| 44900 | THK Co. Ltd. | 1150880 |
| 6300 | Toa Corp. | 118182 |
| 107600 | Tokai Carbon Co. Ltd. | 709080 |
| 14700 | Tokyo Gas Co. Ltd. <sup>(b)</sup> | 595800 |
| 54800 | Tokyo Steel Manufacturing Co. Ltd. | 506315 |
| 166400 | Tosei Corp. <sup>(a)</sup> | 1764966 |
| 68100 | Tosoh Corp. | 1027531 |
| 89300 | TOTO Ltd. | 2337770 |
| 44300 | Towa Corp. | 609520 |
| 52100 | Toyo Tire Corp. | 1433403 |
| 29100 | Toyoda Gosei Co. Ltd. <sup>(a)</sup> | 665696 |
| 5400 | Toyota Boshoku Corp. | 83795 |
| 107000 | Toyota Tsusho Corp. <sup>(b)</sup> | 3468152 |
| 600 | Tsubakimoto Chain Co. | 8675 |
| 11500 | Tsugami Corp. | 207560 |
| 100 | Tsumura & Co. | 2504 |
| 5100 | TV Asahi Holdings Corp. | 109602 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 69100 | Valqua Ltd. | 1781579 |
| 3400 | Wacoal Holdings Corp. | 108543 |
| 26400 | YAMABIKO Corp. | 458310 |
| 128900 | Yamaha Corp. | 892765 |
| 314400 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 2278397 |
| 5300 | Yamazen Corp. | 51338 |
| 7800 | Yellow Hat Ltd. | 83315 |
| 50600 | Yokogawa Bridge Holdings Corp. | 962723 |
| 8900 | Yokohama Rubber Co. Ltd. | 353309 |
| 6200 | Yuasa Trading Co. Ltd. | 215180 |
| 51800 | Zenkoku Hosho Co. Ltd. | 1051327 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;176303560 |
|  | **Kuwait — 0.0%** |  |
| 10348 | A'ayan Leasing & Investment Co. KSCP | 7114 |
| 13111 | Combined Group Contracting Co. SAK | 42373 |
| 140 | National Bank of Kuwait SAKP | 458 |
| 276976 | Noor Financial Investment Co. KSC | 370277 |
|  | Total Kuwait | 420222 |
|  | **Mexico — 0.3%** |  |
| 109672 | Cemex SAB de CV Sponsored ADR <sup>(a)</sup> | 1183361 |
| 22729 | El Puerto de Liverpool SAB de CV – Class C1 | 125065 |
| 376400 | Gentera SAB de CV | 878424 |
| 142222 | Grupo Financiero Banorte SAB de CV – Class O | 1356087 |
| 815 | Unifin Financiera SAB de CV \* <sup>(d)</sup> |  |
|  | Total Mexico | 3542937 |
|  | **Netherlands — 1.3%** |  |
| 56653 | ABN AMRO Bank NV | 1919519 |
| 1439 | ASML Holding NV - NY Shares <sup>(a)</sup> (b) | 1525340 |
| 4099 | DSM-Firmenich AG | 337155 |
| 23288 | EXOR NV | 1961937 |
| 47408 | ING Groep NV | 1229241 |
| 10903 | JDE Peet's NV | 400492 |
| 6488 | Koninklijke Ahold Delhaize NV <sup>(b)</sup> | 268593 |
| 36376 | Koninklijke BAM Groep NV | 361776 |
| 4691 | Koninklijke KPN NV | 21492 |
| 50455 | NN Group NV | 3661487 |
| 27059 | Prosus NV | 1705906 |
| 11504 | SBM Offshore NV | 328142 |
| 50313 | Signify NV | 1191605 |
|  | Total Netherlands | 14912685 |
|  | **New Zealand — 0.0%** |  |
| 42555 | Meridian Energy Ltd. <sup>(b)</sup> | 137518 |
|  | **Norway — 0.6%** |  |
| 57100 | Aker Solutions ASA | 173025 |
| 3644 | BW LPG Ltd. | 46296 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Norway — continued** | |
| 39484 | Elkem ASA | 107804 |
| 149563 | Equinor ASA | 3439322 |
| 23140 | Europris ASA | 207578 |
| 38535 | Hoegh Autoliners ASA | 340200 |
| 57117 | MPC Container Ships ASA | 101292 |
| 69123 | Norsk Hydro ASA | 495439 |
| 14156 | Odfjell Drilling Ltd. | 117309 |
| 101797 | Orkla ASA | 1089760 |
| 1648 | Selvaag Bolig ASA | 5659 |
| 4613 | Stolt-Nielsen Ltd. | 155179 |
| 20284 | Storebrand ASA | 315498 |
| 30285 | Wallenius Wilhelmsen ASA | 273519 |
| 11878 | Yara International ASA | 433857 |
|  | Total Norway | 7301737 |
|  | **Philippines — 0.0%** |  |
| 362000 | LT Group, Inc. | 92955 |
| 583080 | Megaworld Corp. | 20195 |
| 19200 | Synergy Grid & Development Phils, Inc. | 5238 |
|  | Total Philippines | 118388 |
|  | **Poland — 0.2%** |  |
| 57519 | ORLEN SA | 1481138 |
| 93044 | PGE Polska Grupa Energetyczna SA \* | 251652 |
|  | Total Poland | 1732790 |
|  | **Portugal — 0.2%** |  |
| 650797 | Banco Comercial Portugues SA – Class R | 620533 |
| 35066 | EDP SA | 156548 |
| 46932 | Navigator Co. SA <sup>(a)</sup> | 165651 |
| 33022 | NOS SGPS SA | 141327 |
| 56760 | REN - Redes Energeticas Nacionais SGPS SA | 218382 |
| 206269 | Sonae SGPS SA | 355318 |
|  | Total Portugal | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1657759 |
|  | **Qatar — 0.0%** |  |
| 73532 | Qatar National Bank QPSC | 365482 |
|  | **Russia — 0.0%** |  |
| 3038020 | Alrosa PJSC \* <sup>(d)</sup> (e) |  |
| 160792062 | Federal Grid Co-Rosseti PJSC \* <sup>(d)</sup> (e) |  |
| 180610 | Gazprom Neft PJSC \* <sup>(d)</sup> (e) |  |
| 2050858 | Gazprom PJSC \* <sup>(d)</sup> (e) |  |
| 455400 | GMK Norilskiy Nickel PAO \* <sup>(d)</sup> (e) |  |
| 6310100 | Inter RAO UES PJSC \* <sup>(d)</sup> (e) |  |
| 19776 | LSR Group PJSC \* <sup>(d)</sup> (e) |  |
| 1 | LSR Group PJSC GDR \* <sup>(d)</sup> (e) |  |
| 74944 | LUKOIL PJSC \* <sup>(d)</sup> (e) |  |
| 1863335 | Magnitogorsk Iron & Steel Works PJSC \* <sup>(d)</sup> (e) |  |
| 25400 | Mechel PJSC \* <sup>(d)</sup> (e) |  |
| 361420 | Moscow Exchange MICEX-RTS PJSC \* <sup>(d)</sup> (e) |  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Russia — continued** | |
| 3294000 | Mosenergo PJSC \* <sup>(d)</sup> (e) |  |
| 75720 | Novatek PJSC \* <sup>(d)</sup> (e) |  |
| 1212010 | Novolipetsk Steel PJSC \* <sup>(d)</sup> (e) |  |
| 3466 | PhosAgro PJSC \* <sup>(d)</sup> (e) |  |
| 67 | PhosAgro PJSC GDR \* <sup>(d)</sup> (e) |  |
| 102150 | Polyus PJSC \* <sup>(d)</sup> (e) |  |
| 1 | Polyus PJSC GDR \* <sup>(d)</sup> (e) |  |
| 24471200 | RusHydro PJSC \* <sup>(d)</sup> (e) |  |
| 3677652 | Sberbank of Russia PJSC \* <sup>(d)</sup> (e) |  |
| 425 | Severstal PAO \* <sup>(d)</sup> (e) |  |
| 91185 | Severstal PAO GDR (Registered) \* <sup>(d)</sup> (e) |  |
| 11580 | SFI PJSC \* <sup>(d)</sup> (e) |  |
| 5940620 | Surgutneftegas PAO \* <sup>(d)</sup> (e) |  |
| 332388 | Tatneft PJSC \* <sup>(d)</sup> (e) |  |
| 1300440 | Unipro PAO \* <sup>(d)</sup> (e) |  |
| 50950 | United Co. RUSAL International PJSC \* <sup>(d)</sup> (e) |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 0.2%** |  |
| 5166 | Etihad Etisalat Co. | 86609 |
| 50327 | Riyad Bank | 346175 |
| 360 | SABIC Agri-Nutrients Co. | 11192 |
| 5163 | Saudi Awwal Bank | 42186 |
| 90216 | Saudi National Bank | 887939 |
| 46154 | Saudi Telecom Co. | 525267 |
|  | Total Saudi Arabia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1899368 |
|  | **Singapore — 0.5%** |  |
| 29900 | Bumitama Agri Ltd. | 34386 |
| 302900 | ComfortDelGro Corp. Ltd. | 336813 |
| 3708 | DBS Group Holdings Ltd. | 155322 |
| 35500 | First Real Estate Investment Trust – (REIT) <sup>(a)</sup> | 7390 |
| 84500 | First Resources Ltd. | 135057 |
| 320400 | Golden Agri-Resources Ltd. | 68181 |
| 83200 | Oversea-Chinese Banking Corp. Ltd. | 1188615 |
| 7800 | Sheng Siong Group Ltd. | 16378 |
| 74700 | StarHub Ltd. | 65684 |
| 20300 | United Overseas Bank Ltd. | 532842 |
| 26500 | UOL Group Ltd. | 172302 |
| 18500 | Venture Corp. Ltd. | 213546 |
| 11000 | Wilmar International Ltd. | 27553 |
| 219000 | Yangzijiang Financial Holding Ltd. | 79593 |
| 219000 | Yangzijiang Maritime Development Pte. Ltd. \* | 114921 |
| 1022399 | Yangzijiang Shipbuilding Holdings Ltd. | 2648576 |
| 98000 | Yanlord Land Group Ltd. \* | 52273 |
|  | Total Singapore | 5849432 |
|  | **South Africa — 0.0%** |  |
| 181560 | Old Mutual Ltd. | 147957 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **South Korea — 2.0%** | |
| 18553 | Doosan Bobcat, Inc. | 698690 |
| 13586 | Hana Financial Group, Inc. | 864408 |
| 9696 | Hankook Tire & Technology Co. Ltd. | 405771 |
| 25725 | HMM Co. Ltd. | 335611 |
| 15576 | Hyundai Glovis Co. Ltd. | 1744915 |
| 21928 | Hyundai Mobis Co. Ltd. | 4623823 |
| 3523 | Hyundai Motor Co. | 627434 |
| 40380 | Kia Corp. | 3137505 |
| 11156 | KT&G Corp. | 1105190 |
| 6639 | LG Corp. | 356693 |
| 17706 | LG Electronics, Inc. | 1033294 |
| 1734 | LX Holdings Corp. | 9414 |
| 3552 | POSCO Holdings, Inc. Sponsored ADR | 188540 |
| 2349 | ROKIT Healthcare, Inc. \* | 126505 |
| 24998 | Samsung E&A Co. Ltd. | 435655 |
| 67264 | Samsung Electronics Co. Ltd. | 4619883 |
| 26 | Samsung Electronics Co. Ltd. GDR <sup>(b)</sup> | 45105 |
| 10821 | Shinhan Financial Group Co. Ltd. | 578403 |
| 396 | SK Hynix, Inc. | 143439 |
| 3261 | SK Square Co. Ltd. \* | 665861 |
| 76233 | Woori Financial Group, Inc. | 1381013 |
|  | Total South Korea | &nbsp;&nbsp;&nbsp;&nbsp;23127152 |
|  | **Spain — 1.5%** |  |
| 53647 | Acerinox SA | 758606 |
| 24986 | Atresmedia Corp. de Medios de Comunicacion SA <sup>(a)</sup> | 156662 |
| 340216 | Banco Bilbao Vizcaya Argentaria SA | 7353303 |
| 346418 | Banco Santander SA | 3715989 |
| 37278 | Bankinter SA <sup>(a)</sup> | 587673 |
| 23982 | CaixaBank SA <sup>(b)</sup> | 267793 |
| 3462 | CIE Automotive SA | 119235 |
| 14914 | Indra Sistemas SA <sup>(b)</sup> | 797515 |
| 244332 | Mapfre SA <sup>(a)</sup> | 1131473 |
| 29927 | Prosegur Cia de Seguridad SA <sup>(b)</sup> | 99501 |
| 109361 | Repsol SA | 2026389 |
| 261613 | Unicaja Banco SA | 768347 |
|  | Total Spain | 17782486 |
|  | **Sweden — 0.6%** |  |
| 7111 | AcadeMedia AB <sup>(b)</sup> | 77626 |
| 1643 | Betsson AB – Class B <sup>(b)</sup> | 25213 |
| 8275 | Essity AB – Class B | 229049 |
| 12369 | Husqvarna AB – Class B | 59209 |
| 1368 | Industrivarden AB – C Shares | 57509 |
| 40043 | Investor AB – B Shares <sup>(b)</sup> | 1363491 |
| 11847 | Skanska AB – B Shares | 304262 |
| 6634 | SKF AB – B Shares | 173995 |
| 28777 | SSAB AB – B Shares | 202115 |
| 17200 | Swedbank AB – A Shares | 547376 |
| 208083 | Telefonaktiebolaget LM Ericsson – B Shares | 2007909 |
| 41594 | Volvo AB – B Shares <sup>(b)</sup> | 1247636 |
|  | Total Sweden | 6295390 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Switzerland — 1.1%** | |
| 22311 | ABB Ltd. (Registered) <sup>(b)</sup> | 1605584 |
| 17700 | Adecco Group AG (Registered) <sup>(b)</sup> | 494792 |
| 393 | Bobst Group SA (Registered) | 23244 |
| 1313 | Implenia AG (Registered) | 110680 |
| 1591 | Logitech International SA (Registered) | 179525 |
| 2012 | Mobilezone Holding AG (Registered) | 30582 |
| 13828 | Nestle SA (Registered) <sup>(b)</sup> | 1375338 |
| 12013 | Novartis AG (Registered) <sup>(b)</sup> | 1567216 |
| 10760 | Novartis AG Sponsored ADR <sup>(a)</sup> | 1403104 |
| 12834 | Roche Holding AG <sup>(b)</sup> (c) | 4916747 |
| 901 | Roche Holding AG <sup>(c)</sup> | 358741 |
| 6200 | Sandoz Group AG ADR | 439828 |
| 65 | Sandoz Group AG | 4598 |
| 171 | Swisscom AG (Registered) <sup>(b)</sup> | 122904 |
|  | Total Switzerland | &nbsp;&nbsp;&nbsp;&nbsp;12632883 |
|  | **Taiwan — 2.6%** |  |
| 81000 | Asustek Computer, Inc. | 1554456 |
| 13019 | Bizlink Holding, Inc. | 670599 |
| 45000 | Compal Electronics, Inc. | 42178 |
| 28000 | Delta Electronics, Inc. | 834693 |
| 635200 | Evergreen Marine Corp. Taiwan Ltd. | 3638446 |
| 229318 | Hon Hai Precision Industry Co. Ltd. | 1652450 |
| 13000 | MediaTek, Inc. | 579318 |
| 18000 | Pegatron Corp. | 41405 |
| 38000 | Phison Electronics Corp. | 1365661 |
| 1952000 | Pou Chen Corp. | 1906815 |
| 83472 | Radiant Opto-Electronics Corp. | 320953 |
| 95000 | Realtek Semiconductor Corp. | 1580910 |
| 303000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 13970237 |
| 77000 | Tripod Technology Corp. | 753018 |
| 2000 | TTY Biopharm Co. Ltd. | 5210 |
| 22000 | Wan Hai Lines Ltd. | 56588 |
| 315000 | Yang Ming Marine Transport Corp. | 522872 |
| 68000 | YungShin Global Holding Corp. | 123310 |
| 178000 | Zhen Ding Technology Holding Ltd. | 827408 |
|  | Total Taiwan | 30446527 |
|  | **Thailand — 0.9%** |  |
| 176800 | 3BB Internet Infrastructure Fund – Class F | 33829 |
| 516900 | Kasikornbank PCL NVDR | 2997449 |
| 3994100 | Krung Thai Bank PCL NVDR | 3416662 |
| 419600 | PTT Exploration & Production PCL NVDR | 1389320 |
| 754800 | PTT PCL NVDR | 721576 |
| 391600 | SCB X PCL NVDR | 1583018 |
|  | Total Thailand | 10141854 |
|  | **Turkey — 0.1%** |  |
| 117420 | Turk Hava Yollari AO | 754123 |
|  | **United Arab Emirates — 0.3%** |  |
| 233391 | Abu Dhabi Commercial Bank PJSC | 896289 |
| 31510 | Emaar Development PJSC | 126156 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United Arab Emirates — continued** | |
| 336354 | Emaar Properties PJSC | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1218656 |
| 94383 | Emirates NBD Bank PJSC | 627196 |
| 105739 | First Abu Dhabi Bank PJSC | 456066 |
|  | Total United Arab Emirates | 3324363 |
|  | **United Kingdom — 2.9%** |  |
| 78776 | 3i Group PLC <sup>(b)</sup> | 3294018 |
| 71833 | Aberdeen Group PLC | 196797 |
| 11654 | Associated British Foods PLC | 329744 |
| 3669 | Berkeley Group Holdings PLC | 182524 |
| 27830 | British American Tobacco PLC Sponsored ADR <sup>(b)</sup> | 1632508 |
| 2023545 | BT Group PLC | 4852618 |
| 2868 | Coca-Cola HBC AG | 143885 |
| 37970 | Currys PLC | 66240 |
| 5230 | DCC PLC <sup>(a)</sup> | 346067 |
| 22961 | Drax Group PLC <sup>(b)</sup> | 225933 |
| 23265 | Evraz PLC \* <sup>(d)</sup> (e) |  |
| 21033 | Ferrexpo PLC \* | 20758 |
| 1604 | Galliford Try Holdings PLC | 10730 |
| 114036 | GSK PLC Sponsored ADR | 5457763 |
| 19945 | GSK PLC <sup>(b)</sup> | 474612 |
| 92025 | HSBC Holdings PLC <sup>(c)</sup> | 1304085 |
| 5600 | HSBC Holdings PLC <sup>(b)</sup> (c) | 79047 |
| 241 | HSBC Holdings PLC Sponsored ADR <sup>(b)</sup> | 17150 |
| 84539 | IG Group Holdings PLC | 1268252 |
| 30089 | Imperial Brands PLC | 1278202 |
| 17373 | International Personal Finance PLC | 47054 |
| 493154 | ITV PLC | 537764 |
| 54394 | J Sainsbury PLC | 231992 |
| 6333 | Keller Group PLC | 136315 |
| 305572 | Kingfisher PLC <sup>(b)</sup> | 1237432 |
| 4859 | Lion Finance Group PLC | 576597 |
| 36983 | MONY Group PLC | 92463 |
| 6754 | Morgan Advanced Materials PLC | 18110 |
| 5953 | Morgan Sindall Group PLC | 374379 |
| 40739 | OSB Group PLC | 308938 |
| 20286 | Paragon Banking Group PLC | 226083 |
| 19947 | Plus500 Ltd. | 836009 |
| 44539 | Rio Tinto PLC Sponsored ADR <sup>(a)</sup> | 3204581 |
| 2887 | Rio Tinto PLC | 207293 |
| 55836 | Schroders PLC | 286985 |
| 2934 | Shell PLC ADR <sup>(b)</sup> | 216441 |
| 2147 | TBC Bank Group PLC | 115947 |
| 7576 | Vesuvius PLC | 38366 |
| 258331 | Vodafone Group PLC Sponsored ADR <sup>(b)</sup> | 3221388 |
| 54115 | Vodafone Group PLC <sup>(b)</sup> | 67392 |
| 35451 | Zigup PLC | 161304 |
|  | Total United Kingdom | 33323766 |
|  | **United States — 12.2%** |  |
| 1697 | A.O. Smith Corp. <sup>(a)</sup> | 111968 |
| 2837 | Academy Sports & Outdoors, Inc. | 136885 |
| 3221 | Adobe, Inc. \* <sup>(b)</sup> | 1031139 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 610 | Affiliated Managers Group, Inc. | 163986 |
| 4005 | Aflac, Inc. <sup>(b)</sup> | 441792 |
| 18322 | Akamai Technologies, Inc. \* <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1640185 |
| 28606 | Albertsons Cos., Inc. – Class A <sup>(a)</sup> | 524348 |
| 1033 | Align Technology, Inc. \* | 152047 |
| 2938 | Allstate Corp. <sup>(b)</sup> | 625735 |
| 3993 | Alphabet, Inc. – Class A <sup>(b)</sup> | 1278479 |
| 1325 | Alphabet, Inc. – Class C <sup>(a)</sup> | 424159 |
| 3355 | Altria Group, Inc. <sup>(a)</sup> | 197979 |
| 1166 | American Express Co. <sup>(b)</sup> | 425905 |
| 1025 | American International Group, Inc. <sup>(b)</sup> | 78064 |
| 3284 | Annaly Capital Management, Inc. – (REIT) | 74875 |
| 1418 | Applied Materials, Inc. <sup>(b)</sup> | 357691 |
| 1161 | Aptiv PLC \* <sup>(a)</sup> | 90036 |
| 8620 | Arch Capital Group Ltd. \* <sup>(b)</sup> | 809590 |
| 2649 | Archer-Daniels-Midland Co. <sup>(a)</sup> | 160900 |
| 2040 | Arrow Electronics, Inc. \* <sup>(a)</sup> | 220340 |
| 24482 | AT&T, Inc. <sup>(a)</sup> (b) | 637022 |
| 1263 | AutoNation, Inc. \* <sup>(a)</sup> (b) | 266859 |
| 6888 | Avnet, Inc. | 327249 |
| 50133 | Bank of America Corp. <sup>(b)</sup> | 2689635 |
| 1127 | Bank of New York Mellon Corp. <sup>(b)</sup> | 126337 |
| 3980 | Bath & Body Works, Inc. <sup>(a)</sup> | 69292 |
| 5544 | Best Buy Co., Inc. <sup>(a)</sup> (b) | 439528 |
| 5472 | Blue Owl Capital Corp. | 72066 |
| 2602 | BorgWarner, Inc. | 112042 |
| 2900 | Bread Financial Holdings, Inc. <sup>(a)</sup> | 196417 |
| 48375 | Bristol-Myers Squibb Co. | 2380050 |
| 9562 | Builders FirstSource, Inc. \* <sup>(a)</sup> | 1073143 |
| 2947 | Bunge Global SA <sup>(a)</sup> | 283118 |
| 10065 | Capital One Financial Corp. <sup>(b)</sup> | 2204940 |
| 1056 | Carrier Global Corp. <sup>(a)</sup> | 57953 |
| 2967 | CBRE Group, Inc. – Class A \* <sup>(b)</sup> | 480150 |
| 23073 | Centene Corp. \* | 907692 |
| 687 | CF Industries Holdings, Inc. <sup>(a)</sup> | 54067 |
| 8204 | Chevron Corp. <sup>(a)</sup> | 1239871 |
| 1951 | Chubb Ltd. <sup>(a)</sup> (b) | 577847 |
| 8114 | Cigna Group <sup>(b)</sup> | 2249850 |
| 22422 | Cisco Systems, Inc. <sup>(a)</sup> | 1725149 |
| 25280 | Citigroup, Inc. <sup>(a)</sup> (b) | 2619008 |
| 101302 | CNH Industrial NV <sup>(a)</sup> | 955278 |
| 749 | Coca-Cola Co. <sup>(a)</sup> | 54767 |
| 27058 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> | 2102677 |
| 1230 | Colgate-Palmolive Co. <sup>(a)</sup> | 98880 |
| 86842 | Comcast Corp. – Class A <sup>(a)</sup> (b) | 2317813 |
| 2308 | Commercial Metals Co. <sup>(a)</sup> | 147204 |
| 1845 | Concentrix Corp. <sup>(a)</sup> | 66807 |
| 5528 | ConocoPhillips <sup>(b)</sup> | 490278 |
| 3816 | Coterra Energy, Inc. <sup>(a)</sup> | 102421 |
| 604 | CRH PLC <sup>(a)</sup> | 72456 |
| 3355 | Crocs, Inc. \* <sup>(a)</sup> | 285108 |
| 1612 | CSX Corp. <sup>(a)</sup> | 57000 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 3493 | Cummins, Inc. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1739444 |
| 31904 | CVS Health Corp. <sup>(a)</sup> (b) | 2563805 |
| 5433 | Deckers Outdoor Corp. \* | 478267 |
| 13566 | Delta Air Lines, Inc. <sup>(a)</sup> | 869581 |
| 24940 | Devon Energy Corp. | 924276 |
| 1610 | Dollar General Corp. <sup>(a)</sup> | 176279 |
| 11208 | DR Horton, Inc. <sup>(a)</sup> | 1782184 |
| 26576 | eBay, Inc. <sup>(a)</sup> | 2200227 |
| 2046 | Edwards Lifesciences Corp. \* <sup>(b)</sup> | 177327 |
| 285 | Electronic Arts, Inc. <sup>(b)</sup> | 57579 |
| 5870 | Elevance Health, Inc. <sup>(b)</sup> | 1985586 |
| 398 | EnerSys | 56958 |
| 1304 | Enova International, Inc. \* <sup>(a)</sup> | 170941 |
| 14518 | EOG Resources, Inc. <sup>(a)</sup> | 1565766 |
| 2372 | Everest Group Ltd. | 745496 |
| 997 | Exelon Corp. <sup>(a)</sup> | 46979 |
| 5156 | Expedia Group, Inc. <sup>(b)</sup> | 1318338 |
| 17814 | Exxon Mobil Corp. <sup>(a)</sup> | 2064999 |
| 1440 | Federated Hermes, Inc. <sup>(a)</sup> | 72245 |
| 2971 | FedEx Corp. <sup>(b)</sup> | 819045 |
| 1778 | Fifth Third Bancorp <sup>(a)</sup> | 77272 |
| 161208 | Ford Motor Co. | 2140842 |
| 2774 | Fox Corp. – Class A <sup>(a)</sup> | 181697 |
| 11679 | Fox Corp. – Class B <sup>(b)</sup> | 680419 |
| 3803 | Franklin Resources, Inc. <sup>(a)</sup> | 85910 |
| 19379 | GE HealthCare Technologies, Inc. <sup>(a)</sup> (b) | 1550126 |
| 10228 | General Mills, Inc. <sup>(a)</sup> | 484296 |
| 34059 | General Motors Co. | 2504018 |
| 2552 | Genpact Ltd. <sup>(b)</sup> | 112441 |
| 4439 | Gilead Sciences, Inc. <sup>(b)</sup> | 558604 |
| 656 | Goldman Sachs Group, Inc. <sup>(a)</sup> (b) | 541882 |
| 512 | Group 1 Automotive, Inc. <sup>(a)</sup> | 205332 |
| 11270 | H&R Block, Inc. <sup>(b)</sup> | 474692 |
| 4850 | Hartford Insurance Group, Inc. <sup>(a)</sup> (b) | 664596 |
| 87005 | Hewlett Packard Enterprise Co. | 1902799 |
| 834 | Honeywell International, Inc. <sup>(a)</sup> (b) | 160286 |
| 65188 | HP, Inc. <sup>(a)</sup> | 1591891 |
| 1632 | Humana, Inc. <sup>(a)</sup> | 401097 |
| 7938 | Huntington Bancshares, Inc. | 129389 |
| 14715 | Incyte Corp. \* | 1537129 |
| 45029 | Intel Corp. \* <sup>(b)</sup> | 1826376 |
| 3466 | International Business Machines Corp. <sup>(b)</sup> | 1069538 |
| 6762 | Invesco Ltd. | 165331 |
| 4202 | Janus Henderson Group PLC | 183669 |
| 9452 | Johnson & Johnson <sup>(b)</sup> | 1955808 |
| 3725 | JPMorgan Chase & Co. <sup>(b)</sup> | 1166223 |
| 3729 | KB Home | 239887 |
| 13118 | Kenvue, Inc. | 227597 |
| 6050 | Keurig Dr. Pepper, Inc. | 168795 |
| 2180 | Kimberly-Clark Corp. <sup>(b)</sup> | 237882 |
| 13092 | Kinder Morgan, Inc. <sup>(a)</sup> | 357673 |
| 49465 | Kraft Heinz Co. <sup>(a)</sup> | 1261852 |
| 7441 | Kroger Co. <sup>(a)</sup> (b) | 500631 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 2860 | Lear Corp. <sup>(a)</sup> | 307050 |
| 369 | Leidos Holdings, Inc. <sup>(b)</sup> | 70516 |
| 12543 | Lennar Corp. – Class A <sup>(a)</sup> | 1646896 |
| 3279 | LKQ Corp. <sup>(b)</sup> | 97354 |
| 2014 | Lululemon Athletica, Inc. \* | 370939 |
| 29478 | LyondellBasell Industries NV – Class A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1444127 |
| 1375 | M&T Bank Corp. <sup>(a)</sup> | 261553 |
| 346 | M/I Homes, Inc. \* | 47606 |
| 10526 | Macy's, Inc. | 235361 |
| 315 | Marathon Petroleum Corp. <sup>(a)</sup> | 61025 |
| 8160 | Match Group, Inc. | 271810 |
| 3364 | Mattel, Inc. \* <sup>(a)</sup> | 71048 |
| 1445 | Medtronic PLC <sup>(b)</sup> | 152202 |
| 32692 | Merck & Co., Inc. | 3427102 |
| 1950 | Meritage Homes Corp. | 142506 |
| 4205 | Meta Platforms, Inc. – Class A <sup>(b)</sup> | 2724630 |
| 2864 | MetLife, Inc. <sup>(b)</sup> | 219268 |
| 13325 | MGIC Investment Corp. | 377764 |
| 2227 | Micron Technology, Inc. <sup>(a)</sup> (b) | 526641 |
| 519 | Mohawk Industries, Inc. \* <sup>(a)</sup> | 60152 |
| 3490 | Molina Healthcare, Inc. \* <sup>(a)</sup> | 517427 |
| 28403 | Molson Coors Beverage Co. – Class B <sup>(a)</sup> | 1321024 |
| 5567 | Mondelez International, Inc. – Class A <sup>(a)</sup> | 320492 |
| 1238 | Morgan Stanley <sup>(b)</sup> | 210039 |
| 3901 | Mosaic Co. | 95536 |
| 816 | Mueller Industries, Inc. <sup>(a)</sup> | 89654 |
| 50 | NewMarket Corp. | 38177 |
| 669 | Northrop Grumman Corp. <sup>(a)</sup> | 382835 |
| 12085 | Nucor Corp. <sup>(a)</sup> | 1927437 |
| 680 | NXP Semiconductors NV <sup>(a)</sup> | 132559 |
| 1160 | Old Republic International Corp. | 53476 |
| 11336 | Omnicom Group, Inc. <sup>(b)</sup> | 811884 |
| 26990 | ON Semiconductor Corp. \* | 1355978 |
| 23295 | Organon & Co. <sup>(a)</sup> | 179604 |
| 1971 | Oshkosh Corp. <sup>(a)</sup> | 252643 |
| 2172 | Ovintiv, Inc. <sup>(a)</sup> | 88965 |
| 427 | Owens Corning <sup>(a)</sup> | 48353 |
| 13292 | PACCAR, Inc. | 1401243 |
| 30844 | PayPal Holdings, Inc. <sup>(a)</sup> (b) | 1933610 |
| 3850 | PepsiCo, Inc. <sup>(b)</sup> | 572649 |
| 2808 | Perdoceo Education Corp. <sup>(b)</sup> | 78512 |
| 108567 | Pfizer, Inc. <sup>(a)</sup> (b) | 2794515 |
| 16602 | Pinterest, Inc. – Class A \* <sup>(a)</sup> (b) | 433644 |
| 2885 | PNC Financial Services Group, Inc. <sup>(b)</sup> | 550227 |
| 1266 | PPG Industries, Inc. <sup>(a)</sup> | 126651 |
| 1865 | Procter & Gamble Co. <sup>(a)</sup> | 276318 |
| 3084 | Progressive Corp. <sup>(b)</sup> | 705588 |
| 12507 | PulteGroup, Inc. <sup>(a)</sup> | 1590765 |
| 2569 | PVH Corp. <sup>(a)</sup> | 217748 |
| 15929 | QUALCOMM, Inc. <sup>(a)</sup> (b) | 2677506 |
| 11426 | Radian Group, Inc. <sup>(a)</sup> | 406194 |
| 2939 | Regeneron Pharmaceuticals, Inc. | 2292978 |
| 11638 | Regions Financial Corp. <sup>(a)</sup> | 296187 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 4907 | Sealed Air Corp. <sup>(a)</sup> | 210756 |
| 1528 | Signet Jewelers Ltd. | 153044 |
| 3108 | Sixth Street Specialty Lending, Inc. | 67817 |
| 6991 | SLM Corp. | 204836 |
| 16302 | Solventum Corp. \* <sup>(a)</sup> | 1389909 |
| 7819 | State Street Corp. <sup>(b)</sup> | 930617 |
| 7507 | Steel Dynamics, Inc. <sup>(a)</sup> | 1259900 |
| 2083 | Steven Madden Ltd. | 87028 |
| 24139 | Synchrony Financial <sup>(a)</sup> (b) | 1867393 |
| 14523 | T. Rowe Price Group, Inc. | 1486865 |
| 21463 | Target Corp. <sup>(b)</sup> | 1944977 |
| 3740 | Textron, Inc. | 311018 |
| 807 | Timken Co. <sup>(a)</sup> | 65682 |
| 1352 | Travelers Cos., Inc. <sup>(b)</sup> | 395947 |
| 2663 | Tri Pointe Homes, Inc. \* | 90862 |
| 4908 | Truist Financial Corp. <sup>(a)</sup> | 228222 |
| 1861 | Tyson Foods, Inc. – Class A <sup>(a)</sup> | 108031 |
| 41889 | U.S. Bancorp | 2054655 |
| 12748 | United Airlines Holdings, Inc. \* <sup>(a)</sup> (b) | 1299786 |
| 19933 | United Parcel Service, Inc. – Class B <sup>(a)</sup> (b) | 1909382 |
| 1964 | Universal Health Services, Inc. – Class B | 478489 |
| 66004 | Verizon Communications, Inc. <sup>(a)</sup> (b) | 2713424 |
| 11887 | VICI Properties, Inc. – (REIT) | 342583 |
| 1794 | Vontier Corp. <sup>(a)</sup> | 65086 |
| 3254 | Wells Fargo & Co. <sup>(b)</sup> | 279356 |
| 15191 | Western Union Co. <sup>(a)</sup> | 133529 |
| 2322 | YETI Holdings, Inc. \* <sup>(a)</sup> | 96317 |
| 19991 | Zoom Communications, Inc. \* <sup>(a)</sup> | 1698435 |
|  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;140217293 |
|  | **Vietnam — 0.0%** |  |
| 46200 | An Binh CJSB \* | 25239 |
| 2200 | Binh Minh Plastics JSC | 13188 |
| 122200 | Quang Ngai Sugar JSC | 203524 |
| 102300 | Vietnam Engine & Agricultural Machinery Corp. | 137391 |
|  | Total Vietnam | 379342 |
|  | TOTAL COMMON STOCKS<br>(COST $658,438,850) | 679978495 |
|  | **PREFERRED STOCKS <sup>(f)</sup> —0.8%** |  |
|  | **Brazil — 0.3%** |  |
| 350800 | Banco Bradesco SA ADR | 1297960 |
| 3500 | Bradespar SA | 12740 |
| 847503 | Cia Energetica de Minas Gerais | 1825882 |
| 37400 | Itausa SA | 86391 |
|  | Total Brazil | 3222973 |
|  | **Colombia — 0.1%** |  |
| 13371 | Grupo Cibest SA ADR | 843175 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **Germany — 0.3%** | |
| 7312 | Bayerische Motoren Werke AG | 690011 |
| 981 | Draegerwerk AG & Co. KGaA | 80224 |
| 8335 | Henkel AG & Co. KGaA | 672281 |
| 441 | Jungheinrich AG | 17708 |
| 21999 | Volkswagen AG | 2514844 |
|  | Total Germany | 3975068 |
|  | **Russia — 0.0%** |  |
| 12924 | Bashneft PJSC \* <sup>(d)</sup> (e) |  |
| 56000 | Nizhnekamskneftekhim PJSC \* <sup>(d)</sup> (e) |  |
| 20810 | Sberbank of Russia PJSC \* <sup>(d)</sup> (e) |  |
| 9254300 | Surgutneftegas PAO \* <sup>(d)</sup> (e) |  |
| 16100 | Transneft PJSC \* <sup>(d)</sup> (e) |  |
|  | Total Russia |  |
|  | **South Korea — 0.1%** |  |
| 18916 | Samsung Electronics Co. Ltd. | 967422 |
| 51 | Samsung Electronics Co. Ltd. GDR | 65439 |
|  | Total South Korea | 1032861 |
|  | TOTAL PREFERRED STOCKS<br>(COST $13,940,721) | 9074077 |
|  | **RIGHTS/WARRANTS — 0.0%** |  |
|  | **Canada — 0.0%** |  |
| 7900 | Resolute Forest Products, Inc. \* <sup>(g)</sup> | 11850 |
|  | **United States — 0.0%** |  |
| 90581 | Walgreens Boots Alliance, Inc. \* <sup>(g)</sup> | 45290 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $56,698) | 57140 |
|  | **INVESTMENT FUNDS — 21.0%** |  |
|  | **United States — 21.0%** |  |
| 8151935 | GMO Alternative Allocation Fund, Class VI <sup>(h)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;154723729 |
| 462980 | GMO Climate Change Fund, Class III <sup>(h)</sup> | 11718026 |
| 675432 | GMO High Yield Fund, Class VI <sup>(h)</sup> | 12245583 |
| 956814 | GMO Opportunistic Income Fund, Class VI <sup>(h)</sup> | 23470638 |
| 1604070 | GMO Resources Fund, Class VI <sup>(h)</sup> | 35193301 |
| 1009984 | GMO U.S. Treasury Fund, Class VI <sup>(h)</sup> (i) | 5060020 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $236,812,976) | 242411297 |
|  | **DEBT OBLIGATIONS — 19.3%** |  |
|  | **United States — 19.3%** |  |
|  | **U.S. Government — 19.3%** | **U.S. Government — 19.3%** |
| 1135000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.88%, due 01/31/27 | 1134003 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **U.S. Government — continued** | **U.S. Government — continued** |
| 167475000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 <sup>(b)</sup> | 167429112 |
| 55000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 <sup>(b)</sup> | 54983203 |
|  | Total U.S. Government | 223546318 |
|  | Total United States | 223546318 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $223,625,785) | 223546318 |
|  | **SHORT-TERM INVESTMENTS — 14.0%** | **SHORT-TERM INVESTMENTS — 14.0%** |
|  | **Money Market Funds — 1.0%** |  |
| 11794802 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(j)</sup> | 11794802 |
|  | Repurchase Agreements — 13.0% |  |
| 149999836 | Nomura Securities International, Inc. Repurchase Agreement, dated 11/28/25, maturing on 12/01/25 with a maturity value of $150,050,335 and an effective yield of 4.04%, collateralized by a U.S. Treasury Note with maturity date 03/31/27 and a market value of $153,144,994. | 149999836 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $161,794,638) | 161794638 |
|  | **TOTAL INVESTMENTS — 114.0**%<br>(Cost $1,294,669,668) | **1316861965** |
|  | **SECURITIES SOLD SHORT — (13.9)%** | **SECURITIES SOLD SHORT — (13.9)%** |
|  | **Common Stocks — (13.8)%** |  |
|  | **Australia — (0.5)%** |  |
| (15700) | CAR Group Ltd. | (357844) |
| (1210) | Cochlear Ltd. | (221134) |
| (123123) | Lottery Corp. Ltd. | (441061) |
| (6521) | Pro Medicus Ltd. | (1140271) |
| (4127) | REA Group Ltd. | (530044) |
| (473947) | Sigma Healthcare Ltd. | (894010) |
| (28819) | WiseTech Global Ltd. | (1380183) |
| (14479) | Xero Ltd. \* | (1161887) |
|  | Total Australia | (6126434) |
|  | **Belgium — (0.0)%** |  |
| (35) | Lotus Bakeries NV | (314501) |
|  | **Brazil — (0.2)%** |  |
| (98283) | NU Holdings Ltd. – Class A \* | (1709141) |
|  | **Canada — (0.7)%** |  |
| (2161) | Agnico Eagle Mines Ltd. | (376943) |
| (35100) | AltaGas Ltd. | (1083053) |
| (9321) | Brookfield Renewable Corp. | (386728) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Canada — continued** | |
| (8947) | Cameco Corp. \* | (791899) |
| (16266) | Enbridge, Inc. | (793455) |
| (4038) | Franco-Nevada Corp. | (847334) |
| (13836) | GFL Environmental, Inc. | (629123) |
| (20389) | Pan American Silver Corp. | (931166) |
| (21126) | Pembina Pipeline Corp. | (823703) |
| (12066) | Restaurant Brands International, Inc. | (873458) |
|  | Total Canada | (7536862) |
|  | **Chile — (0.1)%** |  |
| (13417) | Latam Airlines Group SA ADR | (647102) |
|  | **China — (0.1)%** |  |
| (109916) | NIO, Inc. ADR \* | (604538) |
| (14634) | XPeng, Inc. ADR \* | (319460) |
|  | Total China | (923998) |
|  | **Denmark — (0.2)%** |  |
| (12645) | Coloplast AS – Class B | (1141870) |
| (1595) | Novonesis Novozymes A/S – Class B | (99562) |
| (33187) | Tryg AS | (822070) |
|  | Total Denmark | (2063502) |
|  | **France — (0.3)%** |  |
| (6693) | Aeroports de Paris SA | (981612) |
| (50352) | Getlink SE | (910757) |
| (562) | Hermes International SCA | (1371473) |
|  | Total France | (3263842) |
|  | **Germany — (0.5)%** |  |
| (226) | adidas AG | (42094) |
| (2550) | CTS Eventim AG & Co. KGaA | (249682) |
| (29333) | Delivery Hero SE \* | (683909) |
| (7347) | Hensoldt AG | (582950) |
| (3274) | MTU Aero Engines AG | (1339582) |
| (264) | Nemetschek SE | (29504) |
| (62) | Rational AG | (46350) |
| (451) | Rheinmetall AG | (771385) |
| (7536) | Siemens Energy AG \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1009087) |
| (6649) | Talanx AG | (863981) |
| (12478) | Vonovia SE | (377748) |
|  | Total Germany | (5996272) |
|  | **Israel — (0.2)%** |  |
| (5002) | Monday.com Ltd. \* | (719588) |
| (15589) | Wix.com Ltd. \* | (1492023) |
|  | Total Israel | (2211611) |
|  | **Italy — (0.3)%** |  |
| (4391) | Ferrari NV | (1724884) |
| (58002) | FinecoBank Banca Fineco SpA | (1426736) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Italy — continued** | |
| (94272) | Infrastrutture Wireless Italiane SpA | (863342) |
|  | Total Italy | (4014962) |
|  | **Japan — (1.4)%** |  |
| (6800) | Advantest Corp. | (904812) |
| (86300) | Aeon Co. Ltd. | (1562530) |
| (17000) | ANA Holdings, Inc. | (320756) |
| (34400) | Asics Corp. | (823976) |
| (4700) | Disco Corp. | (1310694) |
| (200) | Fast Retailing Co. Ltd. | (73071) |
| (5500) | Fujikura Ltd. | (636505) |
| (35800) | IHI Corp. | (638836) |
| (97200) | Japan Exchange Group, Inc. | (1110684) |
| (24000) | Kobe Bussan Co. Ltd. | (583348) |
| (51200) | MonotaRO Co. Ltd. | (750213) |
| (89200) | Oriental Land Co. Ltd. | (1715808) |
| (219900) | Rakuten Group, Inc. \* | (1345845) |
| (26600) | Sanrio Co. Ltd. | (952979) |
| (36000) | Shiseido Co. Ltd. | (512460) |
| (968000) | SoftBank Corp. | (1384935) |
| (5600) | SoftBank Group Corp. | (602341) |
| (11900) | Zensho Holdings Co. Ltd. | (717051) |
| (3000) | ZOZO, Inc. | (25843) |
|  | Total Japan | (15972687) |
|  | **Netherlands — (0.4)%** |  |
| (381) | Adyen NV \* | (595488) |
| (8289) | BE Semiconductor Industries NV | (1255534) |
| (34200) | CVC Capital Partners PLC | (564831) |
| (31495) | InPost SA \* | (369816) |
| (49927) | Universal Music Group NV | (1283009) |
|  | Total Netherlands | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4068678) |
|  | **Norway — (0.1)%** |  |
| (46975) | Kongsberg Gruppen ASA | (1112976) |
| (9708) | Salmar ASA | (568040) |
|  | Total Norway | (1681016) |
|  | **Peru — (0.1)%** |  |
| (11582) | Southern Copper Corp. | (1560970) |
|  | **Singapore — (0.2)%** |  |
| (213300) | CapitaLand Investment Ltd. | (436883) |
| (268220) | Grab Holdings Ltd. – Class A \* | (1461799) |
|  | Total Singapore | (1898682) |
|  | **South Africa — (0.0)%** |  |
| (4066) | Sibanye Stillwater Ltd. ADR\* | (54200) |
|  | **Spain — (0.2)%** |  |
| (36934) | Cellnex Telecom SA \* | (1109210) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Spain — continued** | |
| (24740) | Ferrovial SE | (1622552) |
|  | Total Spain | (2731762) |
|  | **Sweden — (0.3)%** |  |
| (12844) | Beijer Ref AB | (204731) |
| (39916) | EQT AB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1382768) |
| (9536) | Saab AB – Class B | (480928) |
| (1827) | Spotify Technology SA \* | (1094136) |
|  | Total Sweden | (3162563) |
|  | **Switzerland — (0.2)%** |  |
| (17063) | Avolta AG | (940488) |
| (21) | Chocoladefabriken Lindt & Spruengli AG | (309170) |
| (1117) | Partners Group Holding AG | (1325909) |
|  | Total Switzerland | (2575567) |
|  | **United Kingdom — (0.8)%** |  |
| (10402) | Antofagasta PLC | (380344) |
| (37884) | Entain PLC | (390227) |
| (111717) | Informa PLC | (1420607) |
| (11355) | InterContinental Hotels Group PLC | (1507461) |
| (9171) | London Stock Exchange Group PLC | (1080276) |
| (82401) | Melrose Industries PLC | (649971) |
| (100110) | Phoenix Group Holdings PLC | (922928) |
| (60374) | Rolls-Royce Holdings PLC | (852134) |
| (30642) | Severn Trent PLC | (1142942) |
| (87489) | Wise PLC – Class A \* | (1023791) |
|  | Total United Kingdom | (9370681) |
|  | **United States — (7.0)%** |  |
| (6418) | AbbVie, Inc. | (1461379) |
| (20414) | Affirm Holdings, Inc. \* | (1448373) |
| (2559) | Alnylam Pharmaceuticals, Inc. \* | (1154698) |
| (2877) | Analog Devices, Inc. | (763383) |
| (1395) | AppLovin Corp. – Class A \* | (836275) |
| (5131) | Arthur J Gallagher & Co. | (1270538) |
| (2518) | Axon Enterprise, Inc. \* | (1360073) |
| (6560) | Bentley Systems, Inc. – Class B | (275258) |
| (7314) | Boeing Co. \* | (1382346) |
| (5910) | Burlington Stores, Inc. \* | (1490679) |
| (2751) | Carvana Co. \* | (1030250) |
| (6684) | Cintas Corp. | (1243358) |
| (4410) | Cloudflare, Inc. – Class A \* | (882926) |
| (1431) | Constellation Energy Corp. | (521399) |
| (817) | CoStar Group, Inc. \* | (56210) |
| (6691) | DoorDash, Inc. – Class A \* | (1327294) |
| (62117) | DraftKings, Inc. – Class A \* | (2059800) |
| (378) | Ecolab, Inc. | (104010) |
| (22405) | EQT Corp. | (1363568) |
| (2910) | Erie Indemnity Co. – Class A | (859876) |
| (1065) | Fair Isaac Corp. \* | (1923209) |
| (32360) | Fastenal Co. | (1307344) |
| (26785) | Fidelity National Information Services, Inc. | (1761649) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (3148) | Flutter Entertainment PLC \* | (655176) |
| (958) | GE Vernova, Inc. | (574580) |
| (169) | Howmet Aerospace, Inc. | (34576) |
| (4931) | HubSpot, Inc. \* | (1811255) |
| (12567) | Hyatt Hotels Corp. – Class A | (2065889) |
| (4350) | Insulet Corp. \* | (1423276) |
| (13632) | Liberty Media Corp.-Liberty Formula One – Class C \* | (1308399) |
| (3133) | Linde PLC | (1285533) |
| (10061) | Live Nation Entertainment, Inc. \* | (1322518) |
| (18111) | Marvell Technology, Inc. | (1619123) |
| (1862) | Mastercard, Inc. – Class A | (1025087) |
| (600) | McKesson Corp. | (528672) |
| (386) | MercadoLibre, Inc. \* | (799707) |
| (18300) | Microchip Technology, Inc. | (980514) |
| (4469) | MongoDB, Inc. \* | (1485362) |
| (1065) | Moody's Corp. | (522681) |
| (1966) | Motorola Solutions, Inc. | (726791) |
| (3142) | MSCI, Inc. | (1771208) |
| (6838) | Natera, Inc. \* | (1632983) |
| (16704) | Okta, Inc. \* | (1341832) |
| (25281) | ONEOK, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1840962) |
| (1679) | O'Reilly Automotive, Inc. \* | (170754) |
| (19900) | Otis Worldwide Corp. | (1768115) |
| (4655) | Palantir Technologies, Inc. – Class A \* | (784135) |
| (3074) | Palo Alto Networks, Inc. \* | (584460) |
| (10581) | Paychex, Inc. | (1181792) |
| (3022) | Pure Storage, Inc. – Class A \* | (268837) |
| (91279) | Rivian Automotive, Inc. – Class A \* | (1538964) |
| (5981) | Robinhood Markets, Inc. – Class A \* | (768499) |
| (7377) | ROBLOX Corp. – Class A \* | (701036) |
| (16687) | Rocket Lab Corp. \* | (703190) |
| (22986) | Rollins, Inc. | (1413179) |
| (333) | RTX Corp. | (58245) |
| (43482) | Samsara, Inc. – Class A \* | (1653620) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (2154) | ServiceNow, Inc. \* | (1749931) |
| (5616) | Snowflake, Inc. \* | (1410964) |
| (29831) | SoFi Technologies, Inc. \* | (886577) |
| (3922) | Starbucks Corp. | (341645) |
| (190) | STERIS PLC | (50593) |
| (5008) | Take-Two Interactive Software, Inc. \* | (1232319) |
| (3378) | Tesla, Inc. \* | (1453114) |
| (1955) | Texas Pacific Land Corp. | (1689687) |
| (12828) | Toast, Inc. – Class A \* | (438589) |
| (259) | TransDigm Group, Inc. | (352284) |
| (540) | Twilio, Inc. – Class A \* | (70033) |
| (2557) | Tyler Technologies, Inc. \* | (1200818) |
| (7796) | Vistra Corp. | (1394393) |
| (4323) | Waste Connections, Inc. | (763226) |
| (4608) | Watsco, Inc. | (1596211) |
| (3791) | Western Digital Corp. | (619184) |
| (23472) | Williams Cos., Inc. | (1430149) |
| (17369) | Zillow Group, Inc. – Class C \* | (1291906) |
| (4624) | Zscaler, Inc. \* | (1162936) |
|  | Total United States | (81369404) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $124,742,116) | (159254437) |
|  | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** |
|  | **Germany — (0.1)%** |  |
| (3825) | Sartorius AG | (1115610) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $1,225,590) | (1115610) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $125,967,706) | **(160370047)** |
|  | Other Assets and Liabilities (net) — (0.1)% | (1571449) |
|  | **TOTAL NET ASSETS — 100.0%** | $**1154920469** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage**<br>**of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| Alrosa PJSC | 12/06/17 | $4239436 | 0.0% | $— |
| Bashneft PJSC | 06/11/20 | 245233 | 0.0% |  |
| Evraz PLC | 10/25/21 | 197469 | 0.0% |  |
| Federal Grid Co-Rosseti PJSC | 08/12/19 | 462175 | 0.0% |  |
| Gazprom Neft PJSC | 08/12/19 | 1228645 | 0.0% |  |
| Gazprom PJSC | 08/10/20 | 7398324 | 0.0% |  |
| GMK Norilskiy Nickel PAO | 06/11/20 | 1319027 | 0.0% |  |
| Inter RAO UES PJSC | 06/05/20 | 453917 | 0.0% |  |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description — (Continued)** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage**<br>**of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| LSR Group PJSC | 08/12/19 | $175128 | 0.0% | $— |
| LSR Group PJSC GDR | 05/06/21 | 2 | 0.0% |  |
| LUKOIL PJSC | 07/13/20 | 6946911 | 0.0% |  |
| Magnitogorsk Iron & Steel Works PJSC | 09/08/17 | 1550653 | 0.0% |  |
| Mechel PJSC | 11/12/21 | 47412 | 0.0% |  |
| Moscow Exchange MICEX-RTS PJSC | 07/02/20 | 707707 | 0.0% |  |
| Mosenergo PJSC | 11/22/21 | 96796 | 0.0% |  |
| Nizhnekamskneftekhim PJSC | 03/24/20 | 55853 | 0.0% |  |
| Novatek PJSC | 10/21/21 | 777645 | 0.0% |  |
| Novolipetsk Steel PJSC | 11/07/19 | 3077372 | 0.0% |  |
| PhosAgro PJSC | 12/03/20 | 212444 | 0.0% |  |
| PhosAgro PJSC GDR | 12/03/20 | 1365 | 0.0% |  |
| Polyus PJSC | 07/22/20 | 2148976 | 0.0% |  |
| Polyus PJSC GDR | 02/24/23 | 0 | 0.0% |  |
| RusHydro PJSC | 01/13/21 | 263311 | 0.0% |  |
| Sberbank of Russia PJSC | 09/09/20 | 12774954 | 0.0% |  |
| Sberbank of Russia PJSC | 01/10/22 | 77024 | 0.0% |  |
| Severstal PAO | 02/02/21 | 7249 | 0.0% |  |
| Severstal PAO GDR (Registered) | 03/16/20 | 1679360 | 0.0% |  |
| SFI PJSC | 03/16/20 | 68731 | 0.0% |  |
| Surgutneftegas PAO | 12/18/19 | 3244318 | 0.0% |  |
| Surgutneftegas PAO | 03/16/20 | 4726538 | 0.0% |  |
| Tatneft PJSC | 03/16/20 | 2263701 | 0.0% |  |
| Transneft PJSC | 05/29/20 | 320452 | 0.0% |  |
| Unipro PAO | 01/13/21 | 50836 | 0.0% |  |
| United Co. RUSAL International PJSC | 11/12/21 | 51607 | 0.0% |  |
|  |  |  |  | $— |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 42 | MSCI Emerging Market | December 2025 | 2892960 | 37830 |
| 800 | U.S. Treasury Note 10 Yr. (CBT) | March 2026 | 90675000 | 336444 |
| 434 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 90644969 | 33399 |
| 1510 | U.S. Treasury Note 5 Yr. (CBT) | March 2026 | 165746094 | 375733 |
| 513 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2026 | 59612203 | 360026 |
| 49 | U.S. Ultra Bond (CBT) | March 2026 | 5925938 | 47397 |
|  |  |  | $415497164 | $1190829 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.S45 | USD | 11000000 | 5.00% | 3.23% | N/A | 12/20/2030 | Quarterly | $(843733) | $(819148) | $24585 |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. <br>

<sup>(2)</sup> The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. 

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | GS | USD | 9067382 | 06/24/2026 | Monthly | – | (337037) | (337037) |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | MORD | USD | 9493223 | 06/18/2027 | Monthly | – | 39274 | 39274 |
|  |  |  |  |  |  |  | $– $| (297763) | $(297763) |

---

As of November 30, 2025, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap
contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

(e) The security is restricted as to resale.

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

(g) Investment valued using significant unobservable inputs.

(h) Affiliated company.

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

(j) The rate disclosed is the 7 day net yield as of November 30, 2025.

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket
swap which has a notional amount of less than 1% of the Fund's total net assets.

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

REIT - Real Estate Investment Trust

**Counterparty Abbreviations:** 

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

**Currency Abbreviations:** 

USD - United States Dollar

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO Global Asset Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.3%** |  |
| | **United States — 99.3%** | |
| 3638601 | GMO Alternative Allocation Fund, Class VI <sup>(a)</sup> | 69060647 |
| 1773072 | GMO Asset Allocation Bond Fund, Class VI <sup>(a)</sup> | 34521714 |
| 167262 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 4233409 |
| 390464 | GMO Domestic Resilience ETF <sup>(a)</sup> | 9952576 |
| 196991 | GMO Emerging Country Debt Fund, Class VI <sup>(a)</sup> | 4601718 |
| 1031201 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 14869914 |
| 1003496 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 29713520 |
| 2159854 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 74558169 |
| 1891475 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 34822049 |
| 1157909 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 29862470 |
| 3286141 | GMO Multi-Sector Fixed Income Fund, Class IV <sup>(a)</sup> | 59347711 |
| 201742 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 4948733 |
| 395543 | GMO Quality Fund, Class VI <sup>(a)</sup> | 14923850 |
| 208105 | GMO Resources Fund, Class VI <sup>(a)</sup> | 4565824 |
| 430610 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 10257129 |
| 2627243 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 39881549 |
| 1569227 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 34821146 |
| 420034 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 9933804 |
| 1708865 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 8561411 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $445,315,050) | 493437343 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 15221 | State Street Institutional Treasury Money |  |
|  | Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 15221 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $15,221) | 15221 |
|  | **TOTAL INVESTMENTS — 99.3%**<br>(Cost $445,330,271) | **493452564** |
|  | Other Assets and Liabilities (net) — 0.7% | 3659621 |
|  | **TOTAL NET ASSETS — 100.0%** | $**497112185** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ETF - Exchange-Traded Fund

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO Global Developed Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 99.9%** | |
| | **United States — 99.9%** | |
| 33498 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 847835 |
| 73066 | GMO Domestic Resilience ETF <sup>(a)</sup> | 1862387 |
| 115379 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 1663760 |
| 701706 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 24222888 |
| 579623 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 10670866 |
| 202304 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 5217433 |
| 346521 | GMO Quality Fund, Class VI <sup>(a)</sup> | 13074225 |
| 79618 | GMO Resources Fund, Class VI <sup>(a)</sup> | 1746815 |
| 147661 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 3517274 |
| 687646 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 10438473 |
| 601342 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 13343783 |
| 109012 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 2578142 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $69,342,350) | 89183881 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 86388 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 86388 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $86,388) | 86388 |
|  | **TOTAL INVESTMENTS — 100.0%**<br>(Cost $69,428,738) | **89270269** |
|  | Other Assets and Liabilities (net) — (0.0%) | (43586) |
|  | **TOTAL NET ASSETS — 100.0%** | $**89226683** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ETF - Exchange-Traded Fund

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO Global Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** |  |
| | **United States — 99.9%** | |
| 276898 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 7008286 |
| 479019 | GMO Domestic Resilience ETF <sup>(a)</sup> | 12209763 |
| 880126 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 12691421 |
| 2066797 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 61197860 |
| 4367813 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 150776890 |
| 3723020 | GMO International Opportunistic Value Fund,<br>Class IV <sup>(a)</sup> | 68540808 |
| 1422964 | GMO-Usonian Japan Value Creation Fund,<br>Class VI <sup>(a)</sup> | 36698245 |
| 2001952 | GMO Quality Fund, Class VI <sup>(a)</sup> | 75533631 |
| 592107 | GMO Resources Fund, Class VI <sup>(a)</sup> | 12990820 |
| 1025117 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 24418300 |
| 4163409 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 63200550 |
| 3567839 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 79170341 |
| 801893 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 18964763 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $508,306,129) | 623401678 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 456279 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 456279 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $456,279) | 456279 |
|  | **TOTAL INVESTMENTS — 100.0%**<br>(Cost $508,762,408) | **623857957** |
|  | Other Assets and Liabilities (net) — (0.0%) | (118428) |
|  | **TOTAL NET ASSETS — 100.0%** | $**623739529** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ETF - Exchange-Traded Fund

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **COMMON STOCKS — 73.8%** | |
|  | Argentina — 0.2% |  |
| 51500 | Vista Energy SAB de CV ADR<sup>\*</sup> <sup>(a)</sup> | 2531740 |
| 67866 | YPF SA Sponsored ADR<sup>\*</sup> | 2498826 |
|  | Total Argentina | &nbsp;&nbsp;&nbsp;&nbsp;5030566 |
|  | **Australia — 1.4%** |  |
| 141472 | Accent Group Ltd. <sup>(a)</sup> | 93127 |
| 32460 | AMP Ltd. | 36888 |
| 113075 | Aurizon Holdings Ltd. | 265184 |
| 411862 | BHP Group Ltd. | 11269769 |
| 211635 | BlueScope Steel Ltd. | 3371205 |
| 96090 | Brambles Ltd. <sup>(b)</sup> | 1514320 |
| 6592 | Credit Corp. Group Ltd. | 59998 |
| 439580 | Fortescue Ltd. | 6178111 |
| 391714 | Grange Resources Ltd. <sup>\*</sup> | 66756 |
| 125873 | Harvey Norman Holdings Ltd. <sup>(b)</sup> | 572279 |
| 157176 | Helia Group Ltd. | 581675 |
| 49194 | HomeCo Daily Needs – (REIT) | 43536 |
| 33018 | JB Hi-Fi Ltd. | 2125162 |
| 161165 | Nine Entertainment Co. Holdings Ltd. | 115086 |
| 258525 | Ramelius Resources Ltd. | 619486 |
| 6418 | Rio Tinto Ltd. | 556740 |
| 34044 | Santos Ltd. | 143687 |
| 79010 | Southern Cross Media Group Ltd. <sup>(a)</sup> | 42435 |
| 111442 | Sunrise Energy Metals Ltd. <sup>\*</sup> | 485657 |
| 46002 | Super Retail Group Ltd. | 489590 |
| 60967 | Woodside Energy Group Ltd. <sup>(b)</sup> | 997160 |
|  | Total Australia | 29627851 |
|  | **Austria — 0.2%** |  |
| 29374 | OMV AG | 1625298 |
| 2358 | Palfinger AG | 89132 |
| 52078 | Raiffeisen Bank International AG | 2116267 |
| 526 | Strabag SE | 47136 |
| 18603 | UNIQA Insurance Group AG | 324640 |
| 4372 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 250788 |
|  | Total Austria | 4453261 |
|  | **Belgium — 0.4%** |  |
| 86121 | Ageas SA | 5884040 |
| 14011 | Barco NV | 200154 |
| 10272 | Bekaert SA | 440333 |
| 7054 | Econocom Group SA NV | 13086 |
| 1487 | Melexis NV <sup>(a)</sup> | 91594 |
| 152692 | Proximus SADP <sup>(a)</sup> | 1314901 |
| 432 | Sofina SA <sup>(a)</sup> | 121844 |
|  | Total Belgium | 8065952 |
|  | **Brazil — 0.4%** |  |
| 222200 | Banco Bradesco SA | 696840 |
| 10200 | Cia De Sanena Do Parana | 71410 |
| 579300 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 3877664 |
| 224800 | Klabin SA | 747108 |
| 63700 | Petroreconcavo SA | 127690 |
| 53100 | PRIO SA <sup>\*</sup> | 370158 |
| 124026 | Sao Martinho SA | 324131 |
| 48600 | Suzano SA | 433206 |
| 93100 | Vale SA | 1175556 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Brazil — continued** | |
| 243033 | Vibra Energia SA | 1132790 |
| 50600 | Vivara Participacoes SA | 332919 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;9289472 |
|  | **Canada — 4.3%** |  |
| 5700 | Alimentation Couche-Tard, Inc. <sup>(b)</sup> | 311339 |
| 58000 | Anaergia, Inc. <sup>\*</sup> <sup>(a)</sup> | 88819 |
| 13300 | ARC Resources Ltd. | 238029 |
| 247000 | B2Gold Corp. | 1147111 |
| 20500 | Bank of Montreal | 2595195 |
| 67900 | Bank of Nova Scotia <sup>(c)</sup> | 4710169 |
| 37167 | Bank of Nova Scotia <sup>(c)</sup> | 2575301 |
| 43392 | Barrick Mining Corp. <sup>(c)</sup> | 1793825 |
| 8000 | Barrick Mining Corp. <sup>(c)</sup> | 334495 |
| 11700 | Canadian Imperial Bank of Commerce <sup>(b)</sup> | 1011636 |
| 38700 | Canadian Tire Corp. Ltd. – Class A <sup>(a)</sup> <sup>(b)</sup> | 4708415 |
| 6078 | Canfor Corp. <sup>\*</sup> <sup>(a)</sup> | 53497 |
| 119900 | Capstone Copper Corp. <sup>\*</sup> | 1064767 |
| 62171 | Centerra Gold, Inc. | 825631 |
| 29600 | CGI, Inc. <sup>(b)</sup> | 2636454 |
| 3400 | Cogeco Communications, Inc. | 166174 |
| 6187 | Cogeco, Inc. | 284369 |
| 117980 | DPM Metals, Inc. | 3292583 |
| 11600 | Empire Co. Ltd. – Class A | 427078 |
| 15600 | Enerflex Ltd. | 216901 |
| 200 | Fairfax Financial Holdings Ltd. <sup>(b)</sup> | 344389 |
| 7800 | Finning International, Inc. <sup>(a)</sup> | 417280 |
| 48800 | First Quantum Minerals Ltd. <sup>\*</sup> | 1111877 |
| 8100 | iA Financial Corp., Inc. | 956733 |
| 51642 | IGM Financial, Inc. | 2108251 |
| 3000 | Imperial Oil Ltd. <sup>(b)</sup> | 299903 |
| 10963 | Interfor Corp. <sup>\*</sup> | 70291 |
| 11554 | International Petroleum Corp. <sup>\*</sup> | 216029 |
| 112400 | Ivanhoe Mines Ltd. – Class A <sup>\*</sup> <sup>(a)</sup> | 1175919 |
| 8600 | Kinross Gold Corp. <sup>(c)</sup> | 242347 |
| 6018 | Kinross Gold Corp. <sup>(a)</sup> <sup>(c)</sup> | 169166 |
| 110972 | Largo, Inc. <sup>\*</sup> <sup>(a)</sup> | 109586 |
| 10700 | Linamar Corp. | 605500 |
| 119236 | Magna International, Inc. <sup>(c)</sup> | 5823486 |
| 25300 | Magna International, Inc. <sup>(c)</sup> | 1238160 |
| 147700 | Manulife Financial Corp. <sup>(b)</sup> <sup>(c)</sup> | 5228608 |
| 68240 | Manulife Financial Corp. <sup>(b)</sup> <sup>(c)</sup> | 2402730 |
| 199300 | NexGen Energy Ltd. <sup>\*</sup> <sup>(a)</sup> | 1771302 |
| 48454 | Nutrien Ltd. <sup>(a)</sup> | 2818569 |
| 152267 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 5122262 |
| 18900 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 636334 |
| 66400 | Parex Resources, Inc. | 879030 |
| 185456 | Power Corp. of Canada | 9442337 |
| 3200 | Precision Drilling Corp. <sup>\*</sup> | 199449 |
| 7100 | Russel Metals, Inc. | 207292 |
| 6000 | Spin Master Corp. | 88404 |
| 56700 | Sun Life Financial, Inc. <sup>(a)</sup> <sup>(b) (c)</sup> | 3360736 |
| 9308 | Sun Life Financial, Inc. <sup>(b)</sup> <sup>(c)</sup> | 550289 |
| 5700 | Suncor Energy, Inc. <sup>(b)</sup> | 256315 |
| 86500 | Tamarack Valley Energy Ltd. <sup>(a)</sup> | 483427 |
| 8588 | Torex Gold Resources, Inc. | 403328 |
| 162800 | Toronto-Dominion Bank <sup>(c)</sup> | 13705979 |
| 12431 | Toronto-Dominion Bank <sup>(a)</sup> <sup>(c)</sup> | 1043334 |
| 18000 | Transcontinental, Inc. – Class A | 263795 |
| 2643 | Wajax Corp. | 52068 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Canada — continued** | |
| 66400 | Whitecap Resources, Inc. <sup>(a)</sup> | 555452 |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;92841745 |
|  | **China — 2.3%** |  |
| 409000 | 361 Degrees International Ltd. | 315882 |
| 1476000 | AviChina Industry & Technology Co. Ltd. – Class H <sup>(a)</sup> | 737419 |
| 144500 | BAIC Motor Corp. Ltd. – Class H <sup>\*</sup> | 40182 |
| 232871 | Bank of Communications Co. Ltd. – Class H | 213952 |
| 91000 | Beijing Enterprises Holdings Ltd. | 398321 |
| 734000 | Bosideng International Holdings Ltd. | 468519 |
| 3564000 | China Communications Services Corp. Ltd. – Class H | 2232843 |
| 1970000 | China Construction Bank Corp. – Class H | 2075401 |
| 3659000 | China Greenfresh Group Co. Ltd. <sup>\*</sup> <sup>(d)</sup> |  |
| 821500 | China Hongqiao Group Ltd. | 3274449 |
| 415000 | China Lesso Group Holdings Ltd. | 237234 |
| 252000 | China Medical System Holdings Ltd. | 431572 |
| 348000 | China National Building Material Co. Ltd. – Class H | 234297 |
| 344000 | China Overseas Land & Investment Ltd. | 589790 |
| 1658000 | China Railway Group Ltd. – Class H | 833902 |
| 2503000 | China Reinsurance Group Corp. – Class H | 515755 |
| 307000 | China Resources Pharmaceutical Group Ltd. | 189115 |
| 654400 | China Taiping Insurance Holdings Co. Ltd. | 1466175 |
| 1261158 | CITIC Ltd. | 1976991 |
| 1198000 | Consun Pharmaceutical Group Ltd. | 2286580 |
| 4604000 | CSPC Pharmaceutical Group Ltd. | 4698727 |
| 249700 | ENN Energy Holdings Ltd. | 2282682 |
| 480000 | Fufeng Group Ltd. | 495528 |
| 158000 | Geely Automobile Holdings Ltd. | 345351 |
| 125900 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 437775 |
| 162002 | K Wah International Holdings Ltd. | 45657 |
| 34000 | Kunlun Energy Co. Ltd. | 32475 |
| 275500 | Legend Holdings Corp. – Class H <sup>\*</sup> | 337784 |
| 145000 | Lonking Holdings Ltd. | 54877 |
| 410000 | Minth Group Ltd. | 1798293 |
| 230500 | Orient Overseas International Ltd. | 3745797 |
| 364000 | PICC Property & Casualty Co. Ltd. – Class H | 827910 |
| 17481 | Qfin Holdings, Inc. | 341404 |
| 17000 | Sany Heavy Equipment International Holdings Co. Ltd. | 15903 |
| 13000 | Shanghai Industrial Holdings Ltd. | 25561 |
| 1216000 | Sino Biopharmaceutical Ltd. | 1105416 |
| 714500 | Sinopec Engineering Group Co. Ltd. – Class H | 675318 |
| 11200 | Sinopharm Group Co. Ltd. – Class H | 28890 |
| 596000 | Skyworth Group Ltd. <sup>\*</sup> <sup>(a)</sup> | 306789 |
| 67400 | Tencent Holdings Ltd. | 5325377 |
| 8000 | Tianneng Power International Ltd. <sup>(a)</sup> | 7883 |
| 257900 | Vipshop Holdings Ltd. ADR <sup>(b)</sup> | 5065156 |
| 187100 | Weibo Corp. Sponsored ADR <sup>(a)</sup> | 1859774 |
| 110000 | Western Mining Co. Ltd. – Class A | 359033 |
| 45500 | Zhongsheng Group Holdings Ltd. | 68695 |
|  | Total China | 48806434 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Colombia — 0.0%** | |
| 4461 | Corp. Financiera Colombiana SA <sup>\*</sup> | 22090 |
|  | **Czech Republic — 0.0%** |  |
| 109 | Philip Morris CR AS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97083 |
|  | **Denmark — 0.6%** |  |
| 663 | AP Moller - Maersk AS – Class A | 1329952 |
| 2056 | AP Moller - Maersk AS – Class B <sup>(b)</sup> | 4114148 |
| 10138 | Genmab AS <sup>\*</sup> | 3257180 |
| 35952 | H Lundbeck AS | 248366 |
| 3998 | Matas AS | 74463 |
| 41014 | Rockwool AS – B Shares | 1386466 |
| 61519 | Vestas Wind Systems AS | 1462429 |
|  | Total Denmark | 11873004 |
|  | **Egypt — 0.0%** |  |
| 86890 | Orascom Construction PLC | 876413 |
|  | **Finland — 0.4%** |  |
| 16322 | Kemira OYJ | 364774 |
| 84135 | Neste OYJ | 1626640 |
| 906360 | Nokia OYJ | 5519842 |
| 2141 | Sanoma OYJ | 23285 |
| 35757 | Valmet OYJ | 1169427 |
|  | Total Finland | 8703968 |
|  | **France — 2.3%** |  |
| 27742 | Aperam SA | 1069503 |
| 97792 | ArcelorMittal SA | 4238175 |
| 868 | Arkema SA | 52910 |
| 26008 | AXA SA <sup>(b)</sup> | 1174983 |
| 78498 | BNP Paribas SA | 6709910 |
| 5415 | Capgemini SE <sup>(b)</sup> | 848436 |
| 49904 | Carrefour SA | 768448 |
| 30650 | Cie de Saint-Gobain SA <sup>(b)</sup> | 3059082 |
| 5888 | Cie Generale des Etablissements Michelin SCA | 192725 |
| 12940 | Coface SA | 228035 |
| 23915 | Credit Agricole SA | 458437 |
| 15907 | Derichebourg SA <sup>(b)</sup> | 118791 |
| 16636 | Eiffage SA | 2298725 |
| 5400 | Ipsen SA | 779630 |
| 8860 | IPSOS SA | 330259 |
| 3271 | Legrand SA <sup>(b)</sup> | 496255 |
| 1650 | Mersen SA | 41709 |
| 14110 | Metropole Television SA | 205149 |
| 9817 | Orange SA | 161824 |
| 14281 | Quadient SA <sup>(a)</sup> | 237874 |
| 23864 | Rubis SCA <sup>(b)</sup> | 911834 |
| 84696 | Sanofi SA | 8447359 |
| 912 | Schneider Electric SE <sup>(b)</sup> | 245424 |
| 1026 | Societe BIC SA <sup>(b)</sup> | 58676 |
| 21152 | Societe Generale SA | 1472823 |
| 23093 | STMicroelectronics NV <sup>(a)</sup> | 532315 |
| 52719 | STMicroelectronics NV - NY Shares | 1212010 |
| 4807 | Technip Energies NV | 187745 |
| 30905 | Teleperformance SE <sup>(b)</sup> | 2128479 |
| 52409 | Television Francaise 1 SA | 506384 |
| 134652 | TotalEnergies SE <sup>(b)</sup> <sup>(c)</sup> | 8858316 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **France — continued** | |
| 1951 | TotalEnergies SE <sup>(c)</sup> | 128211 |
| 105960 | Valeo SE | 1342971 |
| 3436 | Vallourec SACA | 62600 |
| 25165 | Veolia Environnement SA <sup>(b)</sup> | 856425 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;50422432 |
|  | **Germany — 1.6%** |  |
| 272 | Amadeus Fire AG | 14124 |
| 80988 | Bayer AG (Registered) | 2865248 |
| 42860 | Bayerische Motoren Werke AG <sup>(b)</sup> | 4380848 |
| 17377 | Continental AG | 1293562 |
| 34751 | Daimler Truck Holding AG | 1471009 |
| 176287 | Deutsche Bank AG (Registered) <sup>(b)</sup> | 6250403 |
| 63145 | Deutsche Post AG <sup>(b)</sup> | 3286340 |
| 59092 | Deutsche Telekom AG (Registered) <sup>(b)</sup> | 1905586 |
| 278 | Draegerwerk AG & Co. KGaA | 20139 |
| 5560 | DWS Group GmbH & Co. KGaA | 345082 |
| 126778 | E.ON SE <sup>(b)</sup> | 2258201 |
| 12998 | Evonik Industries AG | 200047 |
| 22100 | Fresenius Medical Care AG | 1056343 |
| 5589 | Henkel AG & Co. KGaA | 419566 |
| 502 | Hornbach Holding AG & Co. KGaA | 51627 |
| 5952 | Kloeckner & Co. SE | 41827 |
| 90938 | Mercedes-Benz Group AG <sup>(b)</sup> | 6141033 |
| 5892 | RTL Group SA | 232669 |
| 3132 | Salzgitter AG | 129551 |
| 10281 | Siemens AG (Registered) <sup>(b)</sup> | 2726557 |
| 111 | Sixt SE | 9056 |
| 822 | Wacker Neuson SE | 18130 |
| 792 | Wuestenrot & Wuerttembergische AG | 13000 |
|  | Total Germany | 35129948 |
|  | **Greece — 0.0%** |  |
| 82140 | Eurobank Ergasias Services & Holdings SA | 325339 |
| 5890 | National Bank of Greece SA | 92295 |
|  | Total Greece | 417634 |
|  | **Hong Kong — 1.2%** |  |
| 214000 | BOC Hong Kong Holdings Ltd. | 1033152 |
| 65000 | Chow Sang Sang Holdings International Ltd. | 101793 |
| 833000 | CITIC Telecom International Holdings Ltd. | 275174 |
| 732500 | CK Asset Holdings Ltd. | 3766297 |
| 1220000 | CK Hutchison Holdings Ltd. | 8606280 |
| 74000 | Dah Sing Banking Group Ltd. | 104432 |
| 44800 | Dah Sing Financial Holdings Ltd. | 208405 |
| 500000 | E-Commodities Holdings Ltd. | 57279 |
| 284000 | First Pacific Co. Ltd. | 228431 |
| 230000 | Giordano International Ltd. | 44962 |
| 29500 | Health & Happiness H&H International Holdings Ltd. | 55333 |
| 580000 | IGG, Inc. | 285795 |
| 39000 | Johnson Electric Holdings Ltd. | 150747 |
| 24000 | KLN Logistics Group Ltd. | 21717 |
| 79000 | Luk Fook Holdings International Ltd. | 247890 |
| 443000 | Pacific Basin Shipping Ltd. | 148206 |
| 428000 | PAX Global Technology Ltd. | 288419 |
| 254000 | SITC International Holdings Co. Ltd. | 873335 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Hong Kong — continued** | |
| 39500 | SmarTone Telecommunications Holdings Ltd. | 24141 |
| 193500 | Sun Hung Kai Properties Ltd. <sup>(b)</sup> | 2457516 |
| 26000 | Techtronic Industries Co. Ltd. | 305789 |
| 105500 | Texhong International Group Ltd. | 61035 |
| 2854000 | United Energy Group Ltd. | 181429 |
| 124000 | United Laboratories International Holdings Ltd. | 203796 |
| 484000 | VSTECS Holdings Ltd. | 518378 |
| 74200 | VTech Holdings Ltd. | 600541 |
| 4712500 | WH Group Ltd. | 4935081 |
|  | Total Hong Kong | &nbsp;&nbsp;&nbsp;&nbsp;25785353 |
|  | **Hungary — 0.5%** |  |
| 154542 | Magyar Telekom Telecommunications PLC | 827142 |
| 114121 | MOL Hungarian Oil & Gas PLC | 1010960 |
| 73357 | OTP Bank Nyrt | 7635894 |
| 42680 | Richter Gedeon Nyrt | 1264005 |
|  | Total Hungary | 10738001 |
|  | **India — 1.2%** |  |
| 96690 | Ashapura Minechem Ltd. | 745126 |
| 46102 | Aurobindo Pharma Ltd. | 629860 |
| 618812 | Bharat Petroleum Corp. Ltd. | 2493119 |
| 102260 | Brightcom Group Ltd. <sup>\*</sup> | 14912 |
| 142515 | Cipla Ltd. | 2441442 |
| 13297 | Dhampur Bio Organics Ltd. | 11442 |
| 94555 | Dr. Reddy's Laboratories Ltd. ADR <sup>(a)</sup> | 1328498 |
| 80738 | Dr. Reddy's Laboratories Ltd. | 1138099 |
| 357199 | GAIL India Ltd. | 706675 |
| 7015 | GHCL Ltd. | 45219 |
| 45113 | Glenmark Pharmaceuticals Ltd. | 984639 |
| 8951 | Hero MotoCorp Ltd. | 621914 |
| 392321 | Hindalco Industries Ltd. | 3566302 |
| 69435 | Hindustan Petroleum Corp. Ltd. | 356486 |
| 99380 | Indian Oil Corp. Ltd. | 180377 |
| 1906 | KRBL Ltd. | 8736 |
| 6556 | LIC Housing Finance Ltd. | 40439 |
| 689965 | Manappuram Finance Ltd. | 2203105 |
| 57450 | Muthoot Finance Ltd. | 2406461 |
| 862670 | NMDC Ltd. | 715191 |
| 1187320 | Oil & Natural Gas Corp. Ltd. | 3235328 |
| 70055 | Power Finance Corp. Ltd. | 285191 |
| 7721 | Rajesh Exports Ltd. <sup>\*</sup> | 16205 |
| 182426 | Shriram Finance Ltd. | 1752305 |
| 43704 | Siyaram Silk Mills Ltd. | 353528 |
| 37933 | Transrail Lighting Ltd. | 272868 |
|  | Total India | 26553467 |
|  | **Indonesia — 1.1%** |  |
| 17019000 | Aneka Tambang Tbk. PT | 2974327 |
| 118400 | Astra Agro Lestari Tbk. PT | 53876 |
| 20793900 | Astra International Tbk. PT | 8190722 |
| 1140000 | Astra Otoparts Tbk. PT | 173949 |
| 89700 | Bank OCBC Nisp Tbk. PT | 7352 |
| 1554900 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 50874 |
| 9863800 | Dharma Satya Nusantara Tbk. PT | 1004517 |
| 14988300 | Erajaya Swasembada Tbk. PT | 372883 |
| 122200 | Gudang Garam Tbk. PT | 109362 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Indonesia — continued** | |
| 7082200 | Indofood Sukses Makmur Tbk. PT | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3127398 |
| 4928800 | Japfa Comfeed Indonesia Tbk. PT | 722914 |
| 28100 | Nanshan Aluminium International Holdings Ltd. | 146615 |
| 102200 | Pabrik Kertas Tjiwi Kimia Tbk. PT | 46501 |
| 5753100 | Panin Financial Tbk. PT <sup>\*</sup> | 94754 |
| 13681600 | Perusahaan Gas Negara Tbk. PT | 1483983 |
| 9460500 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 775643 |
| 3364100 | Salim Ivomas Pratama Tbk. PT | 125284 |
| 2090400 | Saratoga Investama Sedaya Tbk. PT | 199761 |
| 868400 | Sumber Tani Agung Resources Tbk. PT | 71442 |
| 13233200 | Surya Citra Media Tbk. PT | 307260 |
| 6298300 | Telkom Indonesia Persero Tbk. PT | 1338853 |
| 10600 | Telkom Indonesia Persero Tbk. PT ADR | 228430 |
| 1213000 | Tempo Scan Pacific Tbk. PT | 203330 |
| 10857000 | Triputra Agro Persada PT | 1101867 |
|  | Total Indonesia | 22911897 |
|  | **Ireland — 0.0%** |  |
| 55171 | AIB Group PLC | 567677 |
| 12408 | Bank of Ireland Group PLC | 229818 |
| 16726 | Origin Enterprises PLC | 73772 |
| 24839 | Permanent TSB Group Holdings PLC <sup>\*</sup> | 87661 |
|  | Total Ireland | 958928 |
|  | **Israel — 0.8%** |  |
| 334278 | Bank Hapoalim BM | 7235786 |
| 206878 | Bank Leumi Le-Israel BM | 4338495 |
| 520 | Check Point Software Technologies Ltd. <sup>\*</sup> | 97121 |
| 2317 | Delek Group Ltd. | 609315 |
| 67197 | ICL Group Ltd. | 372455 |
| 134773 | Israel Discount Bank Ltd. – Class A | 1411405 |
| 5155 | Mizrahi Tefahot Bank Ltd. | 361109 |
| 24931 | Nice Ltd. Sponsored ADR<sup>\*</sup> <sup>(b)</sup> | 2644431 |
| 577 | Nice Ltd. <sup>\*</sup> | 60381 |
| 272772 | Oil Refineries Ltd. | 86516 |
| 8058 | Partner Communications Co. Ltd. | 94135 |
| 28505 | ZIM Integrated Shipping Services Ltd. <sup>(a)</sup> | 581787 |
|  | Total Israel | 17892936 |
|  | **Italy — 1.4%** |  |
| 13609 | Arnoldo Mondadori Editore SpA | 32527 |
| 29929 | Banca IFIS SpA | 861518 |
| 172217 | Banco BPM SpA <sup>(a)</sup> | 2482179 |
| 93150 | BPER Banca SpA | 1122527 |
| 3880 | Buzzi SpA | 239319 |
| 25026 | Credito Emiliano SpA | 426973 |
| 10553 | Esprinet SpA | 71609 |
| 419456 | Intesa Sanpaolo SpA | 2721007 |
| 176312 | Iren SpA <sup>(b)</sup> | 549093 |
| 59487 | Italgas SpA <sup>(b)</sup> | 671598 |
| 24950 | Leonardo SpA <sup>(b)</sup> | 1367498 |
| 105201 | MFE-MediaForEurope NV – Class A | 379707 |
| 23898 | MFE-MediaForEurope NV – Class B <sup>(a)</sup> | 113643 |
| 24676 | OVS SpA | 128177 |
| 83416 | Saipem SpA <sup>(a)</sup> | 227378 |
| 446048 | Stellantis NV <sup>(b)</sup> | 4774500 |
| 7299066 | Telecom Italia SpA <sup>\*</sup> <sup>(a)</sup> | 4115146 |
| 50178 | Tenaris SA | 1009471 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Italy — continued** | |
| 40874 | Tenaris SA ADR | 1643952 |
| 280671 | Unipol Assicurazioni SpA | 6446016 |
|  | Total Italy | &nbsp;&nbsp;&nbsp;&nbsp;29383838 |
|  | **Japan — 18.2%** |  |
| 120300 | AGC, Inc. | 4162710 |
| 7600 | Ai Holdings Corp. | 135314 |
| 12000 | Aichi Corp. | 102191 |
| 28900 | Air Water, Inc. | 407601 |
| 73800 | Amano Corp. | 1988390 |
| 27600 | Anritsu Corp. | 419701 |
| 4300 | AOKI Holdings, Inc. | 47645 |
| 12500 | Arata Corp. | 249498 |
| 2400 | Artience Co. Ltd. | 52768 |
| 73600 | Asahi Group Holdings Ltd. | 853704 |
| 95200 | Asahi Kasei Corp. | 795144 |
| 19200 | Asahi Yukizai Corp. | 572442 |
| 13600 | Axial Retailing, Inc. | 99597 |
| 46400 | Bandai Namco Holdings, Inc. | 1361569 |
| 8000 | Bando Chemical Industries Ltd. | 105813 |
| 2400 | Bridgestone Corp. <sup>(b)</sup> | 112615 |
| 196800 | Brother Industries Ltd. | 3939563 |
| 1600 | Buffalo, Inc. | 51693 |
| 16300 | Bunka Shutter Co. Ltd. | 221748 |
| 5600 | Canon Electronics, Inc. | 98874 |
| 36800 | Canon Marketing Japan, Inc. | 1612163 |
| 31700 | Canon, Inc. | 932677 |
| 3700 | Central Glass Co. Ltd. | 81286 |
| 2900 | Chiyoda Integre Co. Ltd. | 60186 |
| 72500 | Chubu Electric Power Co., Inc. <sup>(b)</sup> | 1133148 |
| 287900 | Credit Saison Co. Ltd. | 7248920 |
| 127800 | Dai Nippon Printing Co. Ltd. <sup>(b)</sup> | 2161436 |
| 12300 | Dai Nippon Toryo Co. Ltd. | 107500 |
| 188000 | Daicel Corp. | 1583092 |
| 8000 | Dai-Dan Co. Ltd. | 374277 |
| 14300 | Daido Steel Co. Ltd. | 144846 |
| 5300 | Daiichi Jitsugyo Co. Ltd. | 100997 |
| 24700 | Daito Trust Construction Co. Ltd. | 472502 |
| 132400 | Daiwa House Industry Co. Ltd. <sup>(b)</sup> | 4518966 |
| 222500 | Daiwabo Holdings Co. Ltd. | 4334915 |
| 169300 | Denka Co. Ltd. | 2967263 |
| 42900 | Denso Corp. <sup>(b)</sup> | 564866 |
| 4400 | Ebara Corp. | 115408 |
| 14500 | Electric Power Development Co. Ltd. <sup>(b)</sup> | 292155 |
| 130500 | EXEO Group, Inc. | 2052895 |
| 6000 | FCC Co. Ltd. | 132558 |
| 28700 | Ferrotec Corp. | 901947 |
| 182300 | Fuji Corp. | 3996004 |
| 6900 | Fuji Electric Co. Ltd. | 481697 |
| 8300 | Fuji Seal International, Inc. | 168720 |
| 125800 | FUJIFILM Holdings Corp. | 2700920 |
| 29300 | Fujitsu Ltd. <sup>(b)</sup> | 777365 |
| 300 | Fukuda Denshi Co. Ltd. | 13681 |
| 9300 | Furukawa Electric Co. Ltd. | 594268 |
| 1900 | G-7 Holdings, Inc. | 16838 |
| 42600 | Glory Ltd. | 1070619 |
| 387600 | H.U. Group Holdings, Inc. | 9057660 |
| 11100 | Haseko Corp. | 212343 |
| 74700 | Hitachi Construction Machinery Co. Ltd. | 2175162 |
| 137400 | Hogy Medical Co. Ltd. | 5179855 |
| 450800 | Honda Motor Co. Ltd. <sup>(b)</sup> | 4545875 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 93060 | Honda Motor Co. Ltd. Sponsored ADR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2815065 |
| 19000 | Horiba Ltd. | 1761290 |
| 8700 | Hosiden Corp. | 146450 |
| 92000 | IDOM, Inc. | 751465 |
| 79600 | Inabata & Co. Ltd. | 1889031 |
| 481500 | Inpex Corp. <sup>(b)</sup> | 10270426 |
| 444500 | Isuzu Motors Ltd. | 6811643 |
| 7200 | ITOCHU Corp. <sup>(b)</sup> | 431849 |
| 17800 | Itochu Enex Co. Ltd. | 216172 |
| 1300 | Itochu-Shokuhin Co. Ltd. | 86543 |
| 61800 | Iwatani Corp. | 673445 |
| 33700 | Japan Petroleum Exploration Co. Ltd. | 307730 |
| 130600 | Japan Post Holdings Co. Ltd. <sup>(b)</sup> | 1282873 |
| 66800 | Japan Post Insurance Co. Ltd. | 1858111 |
| 10700 | Jeol Ltd. | 330763 |
| 94500 | Kaga Electronics Co. Ltd. | 2273139 |
| 36400 | Kajima Corp. | 1356971 |
| 7600 | Kamei Corp. | 141578 |
| 29400 | Kanadevia Corp. | 188218 |
| 28400 | Kandenko Co. Ltd. | 900186 |
| 30500 | Kaneka Corp. | 857772 |
| 346200 | Kanematsu Corp. | 7655979 |
| 175900 | Kawasaki Kisen Kaisha Ltd. <sup>(a)</sup> | 2341978 |
| 125400 | KDDI Corp. | 2157399 |
| 2100 | Kinden Corp. | 87211 |
| 371800 | Kirin Holdings Co. Ltd. | 5839513 |
| 57400 | Kitz Corp. | 625054 |
| 8000 | Kobe Steel Ltd. | 100070 |
| 38700 | Kohnan Shoji Co. Ltd. | 985285 |
| 145300 | Komatsu Ltd. <sup>(b)</sup> | 4773013 |
| 9345 | Komeri Co. Ltd. | 209161 |
| 11900 | Konami Group Corp. <sup>(b)</sup> | 1818704 |
| 100 | Konishi Co. Ltd. | 842 |
| 46400 | Kraftia Corp. | 2354465 |
| 236500 | Kubota Corp. | 3413443 |
| 216700 | Kumiai Chemical Industry Co. Ltd. | 970510 |
| 41900 | Kyocera Corp. | 573570 |
| 118100 | LY Corp. <sup>(b)</sup> | 317177 |
| 106500 | Macnica Holdings, Inc. | 1583212 |
| 26900 | Marubeni Corp. | 710052 |
| 65300 | Maruha Nichiro Corp. | 1590998 |
| 269200 | Maruichi Steel Tube Ltd. | 2487233 |
| 4900 | Maruzen Showa Unyu Co. Ltd. | 228718 |
| 9100 | Matsuda Sangyo Co. Ltd. <sup>(b)</sup> | 283895 |
| 349900 | Maxell Ltd. | 4989148 |
| 53000 | Mazda Motor Corp. | 383448 |
| 81800 | MCJ Co. Ltd. | 810018 |
| 5300 | Megmilk Snow Brand Co. Ltd. | 103814 |
| 282500 | Mitsubishi Electric Corp. | 7638216 |
| 10000 | Mitsubishi Materials Corp. | 200682 |
| 3500 | Mitsubishi Research Institute, Inc. <sup>(b)</sup> | 111653 |
| 157400 | Mitsui & Co. Ltd. <sup>(b)</sup> | 4181567 |
| 9200 | Mitsui Kinzoku Co. Ltd. | 1052571 |
| 141300 | Mitsui OSK Lines Ltd. <sup>(a)</sup> | 4012095 |
| 207100 | Mizuno Corp. | 4036270 |
| 9000 | Modec, Inc. | 905648 |
| 133900 | Morinaga & Co. Ltd. | 2289580 |
| 3800 | Morita Holdings Corp. | 64093 |
| 15400 | Murata Manufacturing Co. Ltd. | 317023 |
| 156900 | NEC Corp. <sup>(b)</sup> | 5928092 |
| 104600 | NGK Insulators Ltd. | 2062747 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 111500 | NH Foods Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4929122 |
| 4000 | Nichias Corp. | 159350 |
| 6600 | Nichiha Corp. | 128908 |
| 6100 | Nichireki Group Co. Ltd. | 96917 |
| 29100 | Nippn Corp. | 446678 |
| 23300 | Nippon Kayaku Co. Ltd. | 244759 |
| 70300 | Nippon Shinyaku Co. Ltd. | 1634394 |
| 43400 | Nippon Television Holdings, Inc. | 1111705 |
| 326200 | Nippon Yusen KK | 10331442 |
| 1232800 | Nissan Motor Co. Ltd. <sup>\*</sup> | 3005528 |
| 3600 | Nisshin Oillio Group Ltd. | 122138 |
| 70200 | Niterra Co. Ltd. | 3035626 |
| 21000 | Nittetsu Mining Co. Ltd. | 245590 |
| 21300 | Nitto Denko Corp. | 527076 |
| 320600 | Nojima Corp. | 2401765 |
| 218200 | Nomura Real Estate Holdings, Inc. | 1338919 |
| 4100 | Noritake Co. Ltd. | 143589 |
| 3700 | Noritsu Koki Co. Ltd. | 42621 |
| 6100 | NS United Kaiun Kaisha Ltd. | 233684 |
| 5077700 | NTT, Inc. <sup>(b)</sup> | 5060453 |
| 2000 | Obara Group, Inc. | 51168 |
| 203700 | Oisix ra daichi, Inc. <sup>(a)</sup> | 1977672 |
| 108400 | Okamura Corp. <sup>(b)</sup> | 1573720 |
| 44600 | Oki Electric Industry Co. Ltd. | 555086 |
| 188200 | Ono Pharmaceutical Co. Ltd. | 2650387 |
| 1800 | Open House Group Co. Ltd. | 105790 |
| 202200 | Optex Group Co. Ltd. | 3182830 |
| 68700 | ORIX Corp. <sup>(b)</sup> | 1877893 |
| 7800 | Osaka Gas Co. Ltd. <sup>(b)</sup> | 273750 |
| 4900 | Otsuka Holdings Co. Ltd. | 277513 |
| 247300 | Pacific Industrial Co. Ltd. | 5049313 |
| 500 | PALTAC Corp. | 15057 |
| 715800 | Panasonic Holdings Corp. | 8957688 |
| 470200 | Penta-Ocean Construction Co. Ltd. <sup>(a)</sup> | 5194632 |
| 7600 | Raito Kogyo Co. Ltd. | 164537 |
| 19900 | Recruit Holdings Co. Ltd. <sup>(b)</sup> | 1017810 |
| 218300 | Renesas Electronics Corp. | 2574317 |
| 6100 | Rohm Co. Ltd. <sup>(a)</sup> | 81894 |
| 62800 | Rohto Pharmaceutical Co. Ltd. | 1017308 |
| 400 | RS Technologies Co. Ltd. | 9314 |
| 15000 | Sakai Moving Service Co. Ltd. | 274238 |
| 65000 | Sakata INX Corp. | 973747 |
| 74800 | San-Ai Obbli Co. Ltd. | 1004898 |
| 13500 | Sankyo Co. Ltd. | 233624 |
| 96700 | Sankyu, Inc. | 5227717 |
| 35900 | Sanwa Holdings Corp. | 925850 |
| 3800 | SBI Holdings, Inc. | 80130 |
| 5600 | SCREEN Holdings Co. Ltd. | 461865 |
| 234600 | Sega Sammy Holdings, Inc. | 4031473 |
| 48000 | Seiko Epson Corp. | 598052 |
| 315500 | Sekisui Chemical Co. Ltd. | 5376715 |
| 162400 | Sekisui House Ltd. | 3641666 |
| 5000 | Sekisui Jushi Corp. | 69136 |
| 1000 | Shibuya Corp. | 21897 |
| 31900 | Shinagawa Refra Co. Ltd. | 406582 |
| 6700 | Shin-Etsu Polymer Co. Ltd. | 83234 |
| 26100 | Shinnihon Corp. | 328809 |
| 404100 | Shionogi & Co. Ltd. | 6930780 |
| 224300 | Ship Healthcare Holdings, Inc. | 3721906 |
| 1100 | Shizuoka Gas Co. Ltd. <sup>(b)</sup> | 8513 |
| 1600 | Sinanen Holdings Co. Ltd. | 69791 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 23800 | Sojitz Corp. | 695896 |
| 16700 | Sony Group Corp. <sup>(b)</sup> | 490038 |
| 135500 | Stanley Electric Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2652797 |
| 46600 | Starts Corp., Inc. | 1464823 |
| 162400 | Subaru Corp. | 3627060 |
| 224500 | SUMCO Corp. | 1776460 |
| 64500 | Sumitomo Corp. <sup>(b)</sup> | 2026061 |
| 169900 | Sumitomo Electric Industries Ltd. | 6694831 |
| 340500 | Sumitomo Forestry Co. Ltd. <sup>(a)</sup> | 3634732 |
| 210800 | Sumitomo Mitsui Financial Group, Inc. | 6378488 |
| 161600 | Sumitomo Mitsui Trust Group, Inc. | 4694732 |
| 700 | Sun Frontier Fudousan Co. Ltd. | 10936 |
| 63500 | Suntory Beverage & Food Ltd. | 2009264 |
| 2900 | Suzuken Co. Ltd. | 112783 |
| 99100 | Suzuki Motor Corp. <sup>(b)</sup> | 1549759 |
| 198100 | T&D Holdings, Inc. | 4303619 |
| 19400 | TDK Corp. | 318433 |
| 102100 | THK Co. Ltd. | 2617035 |
| 10400 | Toa Corp. | 195094 |
| 212900 | Tokai Carbon Co. Ltd. | 1403003 |
| 1000 | Token Corp. | 94098 |
| 29200 | Tokyo Gas Co. Ltd. <sup>(b)</sup> | 1183495 |
| 123000 | Tokyo Steel Manufacturing Co. Ltd. | 1136436 |
| 381400 | Tosei Corp. <sup>(a)</sup> | 4045420 |
| 136300 | Tosoh Corp. | 2056571 |
| 194800 | TOTO Ltd. | 5099636 |
| 99000 | Towa Corp. | 1362132 |
| 4600 | Towa Pharmaceutical Co. Ltd. | 96134 |
| 110800 | Toyo Tire Corp. | 3048388 |
| 66200 | Toyoda Gosei Co. Ltd. <sup>(a)</sup> | 1514402 |
| 4900 | Toyota Boshoku Corp. | 76036 |
| 237600 | Toyota Tsusho Corp. <sup>(b)</sup> | 7701243 |
| 200 | TRE Holdings Corp. <sup>(b)</sup> | 2115 |
| 100 | Tsubakimoto Chain Co. | 1446 |
| 20600 | Tsugami Corp. | 371804 |
| 700 | Tsumura & Co. <sup>(a)</sup> | 17525 |
| 8900 | TV Asahi Holdings Corp. | 191266 |
| 5500 | Unipres Corp. | 42560 |
| 155300 | Valqua Ltd. | 4004041 |
| 4100 | Wacoal Holdings Corp. | 130890 |
| 3000 | Warabeya Nichiyo Holdings Co. Ltd. | 64572 |
| 72500 | YAMABIKO Corp. | 1258617 |
| 312600 | Yamaha Corp. | 2165076 |
| 707200 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 5124943 |
| 23300 | Yamazen Corp. | 225694 |
| 26800 | Yellow Hat Ltd. | 286260 |
| 119500 | Yokogawa Bridge Holdings Corp. | 2273625 |
| 16400 | Yokohama Rubber Co. Ltd. | 651041 |
| 13800 | Yuasa Trading Co. Ltd. | 478950 |
| 116400 | Zenkoku Hosho Co. Ltd. | 2362442 |
|  | Total Japan | 394249725 |
|  | **Kuwait — 0.0%** |  |
| 87834 | A'ayan Leasing & Investment Co. KSCP | 60382 |
| 31946 | Combined Group Contracting Co. SAK | 103246 |
| 613477 | Noor Financial Investment Co. KSC | 820130 |
|  | Total Kuwait | 983758 |
|  | **Mexico — 0.4%** |  |
| 245559 | Cemex SAB de CV Sponsored ADR | 2649582 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Mexico — continued** | |
| 51774 | El Puerto de Liverpool SAB de CV – Class C1 | 284883 |
| 741087 | Gentera SAB de CV | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1729513 |
| 318870 | Grupo Financiero Banorte SAB de CV – Class O | 3040425 |
| 19685 | Unifin Financiera SAB de CV <sup>\*</sup> <sup>(d)</sup> |  |
|  | Total Mexico | 7704403 |
|  | **Netherlands — 1.6%** |  |
| 131758 | ABN AMRO Bank NV | 4464230 |
| 3347 | ASML Holding NV - NY Shares <sup>(a)</sup> (b) | 3547820 |
| 9661 | Brunel International NV | 89865 |
| 9132 | DSM-Firmenich AG | 751134 |
| 51041 | EXOR NV | 4300036 |
| 107928 | ING Groep NV | 2798462 |
| 25670 | JDE Peet's NV | 942918 |
| 12482 | Koninklijke Ahold Delhaize NV <sup>(b)</sup> | 516735 |
| 79133 | Koninklijke BAM Groep NV | 787015 |
| 2250 | Koninklijke KPN NV | 10308 |
| 116127 | NN Group NV | 8427261 |
| 62382 | Prosus NV | 3932807 |
| 36864 | SBM Offshore NV | 1051514 |
| 110442 | Signify NV | 2615691 |
|  | Total Netherlands | 34235796 |
|  | **New Zealand — 0.0%** |  |
| 106452 | Meridian Energy Ltd. <sup>(b)</sup> | 344004 |
|  | **Norway — 0.9%** |  |
| 14599 | Aker BP ASA | 355705 |
| 115758 | Aker Solutions ASA | 350771 |
| 48770 | Austevoll Seafood ASA | 425652 |
| 17474 | Bakkafrost P/F | 802512 |
| 4703 | BW LPG Ltd. | 59750 |
| 25552 | DOF Group ASA | 237731 |
| 151723 | Elkem ASA | 414253 |
| 331292 | Equinor ASA | 7618328 |
| 44751 | Europris ASA | 401440 |
| 90051 | Hoegh Autoliners ASA | 795001 |
| 96598 | MPC Container Ships ASA | 171309 |
| 152079 | Norsk Hydro ASA | 1090027 |
| 39167 | Odfjell Drilling Ltd. | 324571 |
| 230492 | Orkla ASA | 2467469 |
| 10505 | Stolt-Nielsen Ltd. | 353383 |
| 48739 | Storebrand ASA | 758088 |
| 20816 | TGS ASA | 179029 |
| 49874 | Var Energi ASA | 155967 |
| 68707 | Wallenius Wilhelmsen ASA | 620527 |
| 26223 | Yara International ASA | 957824 |
|  | Total Norway | 18539337 |
|  | **Pakistan — 0.0%** |  |
| 192017 | Oil & Gas Development Co. Ltd. | 181343 |
|  | **Philippines — 0.0%** |  |
| 1153600 | LT Group, Inc. | 296223 |
| 1816024 | Megaworld Corp. | 62897 |
| 32700 | Robinsons Retail Holdings, Inc. | 18390 |
|  | Total Philippines | 377510 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Poland — 0.2%** | |
| 126086 | ORLEN SA | 3246766 |
| 184913 | PGE Polska Grupa Energetyczna SA <sup>\*</sup> | 500126 |
|  | Total Poland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3746892 |
|  | **Portugal — 0.2%** |  |
| 1590768 | Banco Comercial Portugues SA – Class R | 1516794 |
| 72018 | EDP SA | 321515 |
| 122851 | Navigator Co. SA <sup>(a)</sup> | 433614 |
| 60601 | NOS SGPS SA | 259359 |
| 136244 | REN - Redes Energeticas Nacionais SGPS SA | 524194 |
| 440677 | Sonae SGPS SA | 759108 |
|  | Total Portugal | 3814584 |
|  | **Qatar — 0.0%** |  |
| 153953 | Qatar National Bank QPSC | 765204 |
|  | **Russia — 0.0%** |  |
| 10221010 | Alrosa PJSC <sup>\*</sup> <sup>(d)</sup> <sup>(e)</sup> |  |
| 376870000 | Federal Grid Co-Rosseti PJSC <sup>\*</sup> <sup>(d)</sup> <sup>(e)</sup> |  |
| 415363 | Gazprom Neft PJSC <sup>\*</sup> <sup>(d)</sup> <sup>(e)</sup> |  |
| 4924596 | Gazprom PJSC <sup>\*</sup> <sup>(d)</sup> <sup>(e)</sup> |  |
| 1279700 | GMK Norilskiy Nickel PAO <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 18204300 | Inter RAO UES PJSC <sup>\*</sup> <sup>(d)</sup> <sup>(e)</sup> |  |
| 88304 | LSR Group PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 4 | LSR Group PJSC GDR <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 192855 | LUKOIL PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 5760219 | Magnitogorsk Iron & Steel Works PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 71800 | Mechel PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 1472470 | Moscow Exchange MICEX-RTS PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 7545000 | Mosenergo PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 191960 | Novatek PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 3493400 | Novolipetsk Steel PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 6115 | PhosAgro PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 118 | PhosAgro PJSC GDR <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 255520 | Polyus PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 1 | Polyus PJSC GDR <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 49974140 | RusHydro PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 8073970 | Sberbank of Russia PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 7395 | Severstal PAO <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 261549 | Severstal PAO GDR (Registered) <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 29090 | SFI PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 27770670 | Surgutneftegas PAO <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 986916 | Tatneft PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 725480 | Unipro PAO <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 55470 | United Co. RUSAL International PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 150462 | VTB Bank PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 0.2%** |  |
| 12324 | Etihad Etisalat Co. | 206616 |
| 103390 | Riyad Bank | 711169 |
| 6055 | SABIC Agri-Nutrients Co. | 188241 |
| 12720 | Saudi Awwal Bank | 103933 |
| 184015 | Saudi National Bank | 1811142 |
| 99009 | Saudi Telecom Co. | 1126797 |
|  | Total Saudi Arabia | 4147898 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Singapore — 0.6%** | |
| 92400 | Bumitama Agri Ltd. | 106264 |
| 885400 | ComfortDelGro Corp. Ltd. | 984529 |
| 7106 | DBS Group Holdings Ltd. | 297660 |
| 122400 | First Real Estate Investment Trust – (REIT) | 25478 |
| 188800 | First Resources Ltd. | 301761 |
| 767400 | Golden Agri-Resources Ltd. | 163303 |
| 186200 | Oversea-Chinese Banking Corp. Ltd. | 2660097 |
| 55900 | Sheng Siong Group Ltd. | 117375 |
| 106800 | StarHub Ltd. | 93910 |
| 51500 | United Overseas Bank Ltd. | 1351792 |
| 37600 | UOL Group Ltd. | 244474 |
| 35100 | Venture Corp. Ltd. | 405160 |
| 24400 | Wilmar International Ltd. | 61118 |
| 431700 | Yangzijiang Financial Holding Ltd. | 156896 |
| 542600 | Yangzijiang Maritime Development Pte. Ltd. <sup>\*</sup> | 284731 |
| 2267577 | Yangzijiang Shipbuilding Holdings Ltd. | 5874271 |
|  | Total Singapore | &nbsp;&nbsp;&nbsp;&nbsp;13128819 |
|  | **South Africa — 0.0%** |  |
| 475082 | Old Mutual Ltd. | 387154 |
| 4805 | Valterra Platinum Ltd. | 333687 |
|  | Total South Africa | 720841 |
|  | **South Korea — 2.4%** |  |
| 39602 | Doosan Bobcat, Inc. | 1491376 |
| 30566 | Hana Financial Group, Inc. | 1944760 |
| 23202 | Hankook Tire & Technology Co. Ltd. | 970989 |
| 53911 | HMM Co. Ltd. | 703327 |
| 34197 | Hyundai Glovis Co. Ltd. | 3830948 |
| 48716 | Hyundai Mobis Co. Ltd. | 10272444 |
| 8775 | Hyundai Motor Co. | 1562797 |
| 89290 | Kia Corp. | 6937787 |
| 25176 | KT&G Corp. | 2494107 |
| 13999 | LG Corp. | 752123 |
| 44808 | LG Electronics, Inc. | 2614923 |
| 7908 | POSCO Holdings, Inc. Sponsored ADR | 419757 |
| 5302 | ROKIT Healthcare, Inc. <sup>\*</sup> | 285539 |
| 55030 | Samsung E&A Co. Ltd. | 959041 |
| 150719 | Samsung Electronics Co. Ltd. | 10351810 |
| 246 | Samsung Electronics Co. Ltd. GDR <sup>(b)</sup> | 426762 |
| 23890 | Shinhan Financial Group Co. Ltd. | 1276967 |
| 656 | SK Hynix, Inc. | 237616 |
| 7494 | SK Square Co. Ltd. <sup>\*</sup> | 1530193 |
| 164928 | Woori Financial Group, Inc. | 2987784 |
| 2205 | Youngone Corp. | 131505 |
|  | Total South Korea | 52182555 |
|  | **Spain — 1.9%** |  |
| 125892 | Acerinox SA | 1780202 |
| 50569 | Atresmedia Corp. de Medios de Comunicacion SA <sup>(a)</sup> | 317067 |
| 771713 | Banco Bilbao Vizcaya Argentaria SA | 16679526 |
| 784612 | Banco Santander SA | 8416450 |
| 83763 | Bankinter SA <sup>(a)</sup> | 1320491 |
| 58685 | CaixaBank SA | 655300 |
| 6091 | CIE Automotive SA | 209780 |
| 1514 | Faes Farma SA | 8369 |
| 9538 | Iberdrola SA <sup>(b)</sup> | 201327 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Spain — continued** | |
| 33195 | Indra Sistemas SA <sup>(b)</sup> | 1775078 |
| 542560 | Mapfre SA <sup>(a)</sup> | 2512531 |
| 47480 | Prosegur Cia de Seguridad SA <sup>(b)</sup> | 157861 |
| 243660 | Repsol SA | 4514863 |
| 610029 | Unicaja Banco SA | 1791632 |
|  | Total Spain | &nbsp;&nbsp;&nbsp;&nbsp;40340477 |
|  | **Sweden — 0.7%** |  |
| 23845 | AcadeMedia AB <sup>(b)</sup> | 260300 |
| 3062 | Betsson AB – Class B <sup>(b)</sup> | 46989 |
| 18325 | Essity AB – Class B | 507230 |
| 28125 | Husqvarna AB – Class B | 134631 |
| 2447 | Industrivarden AB – C Shares | 102868 |
| 89217 | Investor AB – B Shares <sup>(b)</sup> | 3037898 |
| 15590 | Peab AB – Class B | 131749 |
| 25804 | Skanska AB – B Shares | 662714 |
| 16150 | SKF AB – B Shares | 423577 |
| 78594 | SSAB AB – B Shares <sup>(a)</sup> | 552005 |
| 41551 | Swedbank AB – A Shares | 1322326 |
| 475350 | Telefonaktiebolaget LM Ericsson – B Shares | 4586919 |
| 101551 | Volvo AB – B Shares <sup>(b)</sup> | 3046082 |
|  | Total Sweden | 14815288 |
|  | **Switzerland — 1.3%** |  |
| 51529 | ABB Ltd. (Registered) <sup>(b)</sup> | 3708222 |
| 38964 | Adecco Group AG (Registered) <sup>(b)</sup> | 1089213 |
| 2161 | Implenia AG (Registered) | 182162 |
| 3773 | Logitech International SA (Registered) | 425737 |
| 4895 | Mobilezone Holding AG (Registered) | 74404 |
| 31441 | Nestle SA (Registered) <sup>(b)</sup> | 3127133 |
| 28295 | Novartis AG (Registered) <sup>(b)</sup> | 3691366 |
| 23689 | Novartis AG Sponsored ADR <sup>(a)</sup> | 3089046 |
| 29346 | Roche Holding AG <sup>(b)</sup> (c) | 11242548 |
| 1976 | Roche Holding AG <sup>(c)</sup> | 786762 |
| 15780 | Sandoz Group AG ADR | 1119433 |
| 392 | Swisscom AG (Registered) | 281744 |
|  | Total Switzerland | 28817770 |
|  | **Taiwan — 3.2%** |  |
| 177799 | Asustek Computer, Inc. | 3412107 |
| 8039 | Bizlink Holding, Inc. | 414083 |
| 261000 | Compal Electronics, Inc. | 244635 |
| 59000 | Delta Electronics, Inc. | 1758817 |
| 1408000 | Evergreen Marine Corp. Taiwan Ltd. | 8065069 |
| 546406 | Hon Hai Precision Industry Co. Ltd. | 3937365 |
| 29000 | MediaTek, Inc. | 1292325 |
| 38000 | Pegatron Corp. | 87412 |
| 119000 | Phison Electronics Corp. | 4276676 |
| 4333566 | Pou Chen Corp. | 4233254 |
| 161263 | Radiant Opto-Electronics Corp. | 620062 |
| 216000 | Realtek Semiconductor Corp. | 3594490 |
| 680000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 31352340 |
| 156000 | Tripod Technology Corp. | 1525595 |
| 231000 | United Microelectronics Corp. | 339166 |
| 47000 | Wan Hai Lines Ltd. | 120893 |
| 925000 | Yang Ming Marine Transport Corp. | 1535418 |
| 106000 | YungShin Global Holding Corp. | 192218 |
| 370000 | Zhen Ding Technology Holding Ltd. | 1719893 |
|  | Total Taiwan | 68721818 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Thailand — 1.1%** | |
| 348500 | 3BB Internet Infrastructure Fund – Class F | 66682 |
| 1199400 | Kasikornbank PCL NVDR | 6955196 |
| 8931100 | Krung Thai Bank PCL NVDR | 7639906 |
| 31700 | Mega Lifesciences PCL NVDR | 31013 |
| 951400 | PTT Exploration & Production PCL NVDR | 3150139 |
| 1954900 | PTT PCL NVDR | 1868852 |
| 21700 | Regional Container Lines PCL NVDR | 17364 |
| 876900 | SCB X PCL NVDR | 3544813 |
|  | Total Thailand | &nbsp;&nbsp;&nbsp;&nbsp;23273965 |
|  | **Turkey — 0.1%** |  |
| 269478 | Turk Hava Yollari AO | 1730706 |
|  | **Ukraine — 0.0%** |  |
| 36516 | Kernel Holding SA <sup>\*</sup> | 210805 |
|  | **United Arab Emirates — 0.3%** |  |
| 481083 | Abu Dhabi Commercial Bank PJSC | 1847498 |
| 63356 | Emaar Development PJSC | 253658 |
| 732595 | Emaar Properties PJSC | 2654291 |
| 215181 | Emirates NBD Bank PJSC | 1429926 |
| 222004 | First Abu Dhabi Bank PJSC | 957531 |
|  | Total United Arab Emirates | 7142904 |
|  | **United Kingdom — 4.3%** |  |
| 180942 | 3i Group PLC <sup>(b)</sup> | 7566089 |
| 195213 | Aberdeen Group PLC | 534815 |
| 63772 | Anglo American PLC | 2410280 |
| 23824 | Associated British Foods PLC | 674088 |
| 7500 | Berkeley Group Holdings PLC | 373107 |
| 652772 | BP PLC <sup>(b)</sup> | 3920316 |
| 63321 | British American Tobacco PLC Sponsored ADR <sup>(a)</sup> (b) | 3714410 |
| 4684757 | BT Group PLC | 11234411 |
| 9554 | Coca-Cola HBC AG | 479316 |
| 64490 | Currys PLC | 112505 |
| 10397 | DCC PLC <sup>(a)</sup> | 687964 |
| 43481 | Drax Group PLC <sup>(b)</sup> | 427847 |
| 30601 | Evraz PLC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 45792 | Ferrexpo PLC <sup>\*</sup> | 45194 |
| 675798 | Glencore PLC <sup>\*</sup> | 3230420 |
| 233088 | GSK PLC Sponsored ADR <sup>(a)</sup> | 11155592 |
| 104467 | GSK PLC <sup>(b)</sup> | 2485901 |
| 12278 | Halfords Group PLC | 22732 |
| 292692 | Harbour Energy PLC | 806749 |
| 222660 | HSBC Holdings PLC | 3155312 |
| 1687 | HSBC Holdings PLC Sponsored ADR <sup>(a)</sup> <sup>(b)</sup> | 120047 |
| 181174 | IG Group Holdings PLC | 2717967 |
| 67484 | Imperial Brands PLC | 2866767 |
| 27836 | International Personal Finance PLC | 75392 |
| 988406 | ITV PLC <sup>(b)</sup> | 1077816 |
| 111105 | J Sainsbury PLC | 473867 |
| 11440 | Keller Group PLC | 246241 |
| 686200 | Kingfisher PLC <sup>(b)</sup> | 2778808 |
| 68000 | Lifezone Metals Ltd. <sup>\*</sup> | 265880 |
| 12776 | Lion Finance Group PLC | 1516073 |
| 95465 | MONY Group PLC | 238678 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United Kingdom — continued** | |
| 23013 | Morgan Sindall Group PLC | 1447267 |
| 88656 | OSB Group PLC | 672310 |
| 45981 | Paragon Banking Group PLC | 512448 |
| 46109 | Plus500 Ltd. | 1932498 |
| 105139 | Rio Tinto PLC Sponsored ADR <sup>(a)</sup> | 7564751 |
| 59091 | Rio Tinto PLC | 4242871 |
| 111010 | Schroders PLC | 570567 |
| 65506 | Shell PLC <sup>(b)</sup> | 2407405 |
| 6542 | Shell PLC ADR <sup>(b)</sup> | 482603 |
| 5359 | TBC Bank Group PLC | 289408 |
| 17213 | Vesuvius PLC | 87170 |
| 574429 | Vodafone Group PLC Sponsored ADR | 7163130 |
| 110655 | Vodafone Group PLC | 137803 |
| 80576 | Zigup PLC | 366626 |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;93291441 |
|  | **United States — 15.9%** |  |
| 3395 | A.O. Smith Corp. <sup>(a)</sup> | 224002 |
| 7780 | Academy Sports & Outdoors, Inc. <sup>(a)</sup> | 375385 |
| 7506 | Adobe, Inc. <sup>\*</sup> <sup>(b)</sup> | 2402896 |
| 4400 | Advanced Drainage Systems, Inc. <sup>(a)</sup> | 670472 |
| 23298 | Aemetis, Inc. <sup>\*</sup> | 40306 |
| 1367 | Affiliated Managers Group, Inc. | 367491 |
| 8924 | Aflac, Inc. <sup>(b)</sup> | 984406 |
| 9000 | AGCO Corp. | 953640 |
| 41323 | Akamai Technologies, Inc. <sup>\*</sup> <sup>(b)</sup> | 3699235 |
| 24400 | Albemarle Corp. <sup>(a)</sup> | 3171756 |
| 61271 | Albertsons Cos., Inc. – Class A <sup>(a)</sup> | 1123097 |
| 2164 | Align Technology, Inc. <sup>\*</sup> | 318519 |
| 6638 | Allstate Corp. <sup>(a)</sup> | 1413761 |
| 9185 | Alphabet, Inc. – Class A <sup>(a)</sup> | 2940853 |
| 2957 | Alphabet, Inc. – Class C <sup>(a)</sup> | 946595 |
| 7461 | Altria Group, Inc. <sup>(a)</sup> | 440274 |
| 46893 | Ameresco, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 1627656 |
| 2599 | American Express Co. <sup>(b)</sup> | 949337 |
| 2321 | American International Group, Inc. <sup>(b)</sup> | 176767 |
| 10897 | Annaly Capital Management, Inc. – (REIT) | 248452 |
| 3160 | Applied Materials, Inc. <sup>(b)</sup> | 797110 |
| 2998 | Aptiv PLC <sup>\*</sup> <sup>(a)</sup> | 232495 |
| 18591 | Arch Capital Group Ltd. <sup>\*</sup> <sup>(b)</sup> | 1746067 |
| 6683 | Archer-Daniels-Midland Co. <sup>(a)</sup> | 405925 |
| 157890 | Array Technologies, Inc. <sup>\*</sup> <sup>(a)</sup> | 1185754 |
| 5093 | Arrow Electronics, Inc. <sup>\*</sup> <sup>(a)</sup> | 550095 |
| 54564 | AT&T, Inc. <sup>(b)</sup> | 1419755 |
| 2607 | AutoNation, Inc. <sup>\*</sup> <sup>(b)</sup> | 550833 |
| 14550 | Avnet, Inc. | 691271 |
| 114925 | Bank of America Corp. <sup>(b)</sup> | 6165726 |
| 2510 | Bank of New York Mellon Corp. <sup>(b)</sup> | 281371 |
| 7962 | Bath & Body Works, Inc. <sup>(a)</sup> | 138618 |
| 14071 | Best Buy Co., Inc. <sup>(b)</sup> | 1115549 |
| 12458 | Blue Owl Capital Corp. | 164072 |
| 6164 | BorgWarner, Inc. | 265422 |
| 6118 | Bread Financial Holdings, Inc. | 414372 |
| 108954 | Bristol-Myers Squibb Co. | 5360537 |
| 20954 | Builders FirstSource, Inc. <sup>\*</sup> <sup>(a)</sup> | 2351667 |
| 6420 | Bunge Global SA <sup>(a)</sup> | 616769 |
| 58000 | California Resources Corp. | 2771240 |
| 22708 | Capital One Financial Corp. <sup>(a)</sup> <sup>(b)</sup> | 4974642 |
| 2229 | Carrier Global Corp. <sup>(a)</sup> | 122328 |
| 6574 | CBRE Group, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> <sup>(b)</sup> | 1063870 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 51402 | Centene Corp. <sup>\*</sup> | 2022155 |
| 1532 | CF Industries Holdings, Inc. <sup>(a)</sup> | 120568 |
| 18279 | Chevron Corp. <sup>(a)</sup> <sup>(b)</sup> | 2762505 |
| 4329 | Chubb Ltd. <sup>(b)</sup> | 1282163 |
| 18002 | Cigna Group <sup>(a)</sup> <sup>(b)</sup> | 4991595 |
| 47583 | Cisco Systems, Inc. <sup>(a)</sup> | 3661036 |
| 56326 | Citigroup, Inc. <sup>(b)</sup> | 5835374 |
| 29000 | Civitas Resources, Inc. | 851730 |
| 211141 | Clean Energy Fuels Corp. <sup>\*</sup> | 460287 |
| 234157 | CNH Industrial NV | 2208101 |
| 1524 | Coca-Cola Co. <sup>(b)</sup> | 111435 |
| 57701 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4483945 |
| 2553 | Colgate-Palmolive Co. <sup>(a)</sup> <sup>(b)</sup> | 205236 |
| 192386 | Comcast Corp. – Class A <sup>(a)</sup> | 5134782 |
| 4906 | Commercial Metals Co. <sup>(a)</sup> | 312905 |
| 3855 | Concentrix Corp. <sup>(a)</sup> | 139590 |
| 37169 | ConocoPhillips <sup>(a)</sup> <sup>(b)</sup> | 3296519 |
| 12800 | Corteva, Inc. | 863616 |
| 7193 | Coterra Energy, Inc. <sup>(a)</sup> | 193060 |
| 31700 | Crescent Energy Co. – Class A <sup>(a)</sup> | 298931 |
| 1162 | CRH PLC <sup>(a)</sup> | 139394 |
| 7124 | Crocs, Inc. <sup>\*</sup> <sup>(a)</sup> | 605398 |
| 3270 | CSX Corp. <sup>(a)</sup> | 115627 |
| 7683 | Cummins, Inc. <sup>(b)</sup> | 3825980 |
| 71892 | CVS Health Corp. <sup>(b)</sup> | 5777241 |
| 102900 | Darling Ingredients, Inc. <sup>\*</sup> | 3767169 |
| 11703 | Deckers Outdoor Corp. <sup>\*</sup> <sup>(a)</sup> | 1030215 |
| 440 | Deere & Co. <sup>(a)</sup> (b) | 204376 |
| 30889 | Delta Air Lines, Inc. <sup>(a)</sup> | 1979985 |
| 55432 | Devon Energy Corp. | 2054310 |
| 3218 | Dollar General Corp. <sup>(a)</sup> | 352339 |
| 25046 | DR Horton, Inc. <sup>(a)</sup> | 3982564 |
| 57560 | eBay, Inc. <sup>(a)</sup> | 4765392 |
| 4631 | Edwards Lifesciences Corp. <sup>\*</sup> <sup>(b)</sup> | 401369 |
| 636 | Electronic Arts, Inc. <sup>(b)</sup> | 128491 |
| 12897 | Elevance Health, Inc. <sup>(b)</sup> | 4362539 |
| 1379 | EnerSys | 197349 |
| 2873 | Enova International, Inc. <sup>\*</sup> | 376622 |
| 32690 | EOG Resources, Inc. <sup>(a)</sup> | 3525616 |
| 5332 | Everest Group Ltd. | 1675794 |
| 2236 | Exelon Corp. <sup>(a)</sup> | 105360 |
| 11400 | Expand Energy Corp. <sup>(a)</sup> | 1390002 |
| 12036 | Expedia Group, Inc. <sup>(a)</sup> <sup>(b)</sup> | 3077485 |
| 39273 | Exxon Mobil Corp. <sup>(a)</sup> <sup>(b)</sup> | 4552526 |
| 3328 | Federated Hermes, Inc. <sup>(a)</sup> | 166966 |
| 6677 | FedEx Corp. <sup>(b)</sup> | 1840715 |
| 4979 | Fifth Third Bancorp <sup>(a)</sup> | 216387 |
| 3500 | First Solar, Inc. <sup>\*</sup> <sup>(a)</sup> | 955220 |
| 352969 | Ford Motor Co. <sup>(a)</sup> | 4687428 |
| 6114 | Fox Corp. – Class A <sup>(a)</sup> | 400467 |
| 28169 | Fox Corp. – Class B <sup>(b)</sup> | 1641126 |
| 10280 | Franklin Resources, Inc. <sup>(a)</sup> | 232225 |
| 25700 | Freeport-McMoRan, Inc. <sup>(a)</sup> | 1104586 |
| 201500 | GCI Liberty, Inc. <sup>\*</sup> <sup>(a)</sup> <sup>(d)</sup> |  |
| 43183 | GE HealthCare Technologies, Inc. <sup>(a)</sup> <sup>(b)</sup> | 3454208 |
| 23853 | General Mills, Inc. <sup>(a)</sup> | 1129440 |
| 76918 | General Motors Co. <sup>(a)</sup> | 5655011 |
| 5423 | Genpact Ltd. <sup>(b)</sup> | 238937 |
| 9789 | Gilead Sciences, Inc. <sup>(b)</sup> | 1231848 |
| 1456 | Goldman Sachs Group, Inc. <sup>(a)</sup> <sup>(b)</sup> | 1202714 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 105014 | Green Plains, Inc. <sup>\*</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1084795 |
| 1218 | Group 1 Automotive, Inc. | 488467 |
| 4600 | Gulfport Energy Corp. <sup>\*</sup> | 1023454 |
| 24534 | H&R Block, Inc. <sup>(b)</sup> | 1033372 |
| 10490 | Hartford Insurance Group, Inc. <sup>(a)</sup> <sup>(b)</sup> | 1437445 |
| 11500 | Helmerich & Payne, Inc. <sup>(a)</sup> | 320850 |
| 192886 | Hewlett Packard Enterprise Co. <sup>(a)</sup> | 4218417 |
| 1857 | Honeywell International, Inc. <sup>(a)</sup> (b) | 356897 |
| 142305 | HP, Inc. | 3475088 |
| 3630 | Humana, Inc. <sup>(a)</sup> | 892145 |
| 16115 | Huntington Bancshares, Inc. | 262675 |
| 32808 | Incyte Corp. <sup>\*</sup> | 3427124 |
| 100394 | Intel Corp. <sup>\*</sup> <sup>(b)</sup> | 4071981 |
| 7723 | International Business Machines Corp. <sup>(b)</sup> | 2383163 |
| 16758 | Invesco Ltd. | 409733 |
| 7896 | Janus Henderson Group PLC | 345134 |
| 21798 | Johnson & Johnson <sup>(a)</sup> (b) | 4510442 |
| 8301 | JPMorgan Chase & Co. <sup>(b)</sup> | 2598877 |
| 9098 | KB Home | 585274 |
| 30917 | Kenvue, Inc. | 536410 |
| 12905 | Keurig Dr. Pepper, Inc. | 360050 |
| 4226 | Kimberly-Clark Corp. <sup>(a)</sup> <sup>(b)</sup> | 461141 |
| 27982 | Kinder Morgan, Inc. <sup>(a)</sup> <sup>(b)</sup> | 764468 |
| 1962940 | Kosmos Energy Ltd. <sup>\*</sup> <sup>(a)</sup> | 2198493 |
| 114778 | Kraft Heinz Co. | 2927987 |
| 16308 | Kroger Co. <sup>(b)</sup> | 1097202 |
| 5774 | Lear Corp. <sup>(a)</sup> | 619897 |
| 822 | Leidos Holdings, Inc. <sup>(b)</sup> | 157084 |
| 27785 | Lennar Corp. – Class A <sup>(a)</sup> | 3648170 |
| 11500 | Liberty Energy, Inc. <sup>(a)</sup> | 204470 |
| 6644 | LKQ Corp. <sup>(b)</sup> | 197260 |
| 4415 | Lululemon Athletica, Inc. <sup>\*</sup> | 813155 |
| 65723 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 3219770 |
| 2942 | M&T Bank Corp. | 559627 |
| 805 | M/I Homes, Inc. <sup>\*</sup> | 110760 |
| 23456 | Macy's, Inc. | 524476 |
| 693 | Marathon Petroleum Corp. <sup>(a)</sup> | 134255 |
| 18183 | Match Group, Inc. <sup>(b)</sup> | 605676 |
| 7496 | Mattel, Inc. <sup>\*</sup> <sup>(a)</sup> | 158316 |
| 3749 | Medtronic PLC <sup>(b)</sup> | 394882 |
| 71585 | Merck & Co., Inc. | 7504256 |
| 4199 | Meritage Homes Corp. | 306863 |
| 9373 | Meta Platforms, Inc. – Class A <sup>(b)</sup> | 6073235 |
| 6043 | MetLife, Inc. <sup>(b)</sup> | 462652 |
| 29663 | MGIC Investment Corp. | 840946 |
| 5555 | Micron Technology, Inc. <sup>(b)</sup> | 1313646 |
| 1102 | Mohawk Industries, Inc. <sup>\*</sup> | 127722 |
| 7541 | Molina Healthcare, Inc. <sup>\*</sup> <sup>(a)</sup> | 1118029 |
| 60675 | Molson Coors Beverage Co. – Class B <sup>(a)</sup> | 2821994 |
| 11654 | Mondelez International, Inc. – Class A <sup>(a)</sup> | 670921 |
| 2759 | Morgan Stanley <sup>(b)</sup> | 468092 |
| 8692 | Mosaic Co. | 212867 |
| 2074 | Mueller Industries, Inc. <sup>(a)</sup> | 227870 |
| 190 | NewMarket Corp. | 145071 |
| 7900 | Nextpower, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 723798 |
| 1491 | Northrop Grumman Corp. <sup>(a)</sup> | 853225 |
| 27044 | Nucor Corp. <sup>(a)</sup> | 4313248 |
| 1439 | NXP Semiconductors NV <sup>(a)</sup> | 280519 |
| 3447 | Old Republic International Corp. | 158907 |
| 23398 | Omnicom Group, Inc. <sup>(a)</sup> (b) | 1675765 |
| 56627 | ON Semiconductor Corp. <sup>\*</sup> <sup>(b)</sup> | 2844940 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 49468 | Organon & Co. <sup>(a)</sup> | 381398 |
| 4393 | Oshkosh Corp. <sup>(a)</sup> | 563095 |
| 3380 | Ovintiv, Inc. <sup>(a)</sup> | 138445 |
| 1183 | Owens Corning <sup>(a)</sup> | 133963 |
| 31946 | PACCAR, Inc. | 3367747 |
| 68724 | PayPal Holdings, Inc. <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4308308 |
| 8576 | PepsiCo, Inc. <sup>(b)</sup> | 1275594 |
| 6714 | Perdoceo Education Corp. <sup>(a)</sup> (b) | 187723 |
| 232587 | Pfizer, Inc. <sup>(b)</sup> | 5986789 |
| 34207 | Pinterest, Inc. – Class A <sup>\*</sup> <sup>(b)</sup> | 893487 |
| 6565 | PNC Financial Services Group, Inc. <sup>(b)</sup> | 1252077 |
| 3600 | PotlatchDeltic Corp. – (REIT) <sup>(a)</sup> | 144864 |
| 2781 | PPG Industries, Inc. <sup>(a)</sup> | 278211 |
| 4391 | Procter & Gamble Co. <sup>(a)</sup> (b) | 650571 |
| 6871 | Progressive Corp. <sup>(b)</sup> | 1572016 |
| 28051 | PulteGroup, Inc. | 3567807 |
| 5030 | PVH Corp. <sup>(a)</sup> | 426343 |
| 34470 | QUALCOMM, Inc. <sup>(a)</sup> (b) | 5794062 |
| 23862 | Radian Group, Inc. | 848294 |
| 6572 | Regeneron Pharmaceuticals, Inc. | 5127409 |
| 23423 | Regions Financial Corp. <sup>(a)</sup> | 596115 |
| 10423 | Sealed Air Corp. <sup>(a)</sup> | 447668 |
| 3790 | Signet Jewelers Ltd. | 379606 |
| 7043 | Sixth Street Specialty Lending, Inc. | 153678 |
| 13204 | SLM Corp. | 386877 |
| 17400 | SM Energy Co. | 331470 |
| 46400 | SolarEdge Technologies, Inc. <sup>\*</sup> <sup>(a)</sup> | 1694992 |
| 36724 | Solventum Corp. <sup>\*</sup> <sup>(a)</sup> | 3131088 |
| 18138 | State Street Corp. <sup>(b)</sup> | 2158785 |
| 16457 | Steel Dynamics, Inc. <sup>(a)</sup> | 2761978 |
| 4041 | Steven Madden Ltd. <sup>(a)</sup> | 168833 |
| 105301 | Sunrun, Inc. <sup>\*</sup> <sup>(a)</sup> | 2132345 |
| 54414 | Synchrony Financial <sup>(b)</sup> | 4209467 |
| 30838 | T. Rowe Price Group, Inc. <sup>(a)</sup> | 3157194 |
| 48152 | Target Corp. <sup>(a)</sup> (b) | 4363534 |
| 7477 | Textron, Inc. | 621787 |
| 1803 | Timken Co. <sup>(a)</sup> | 146746 |
| 2899 | Travelers Cos., Inc. <sup>(b)</sup> | 849001 |
| 6002 | Tri Pointe Homes, Inc. <sup>\*</sup> | 204788 |
| 160204 | TRU Taj LLC/TRU Taj Finance, Inc. <sup>\*</sup> <sup>(d)</sup> |  |
| 10411 | Truist Financial Corp. <sup>(a)</sup> | 484112 |
| 4507 | Tyson Foods, Inc. – Class A <sup>(a)</sup> | 261631 |
| 92372 | U.S. Bancorp | 4530847 |
| 27875 | United Airlines Holdings, Inc. <sup>\*</sup> | 2842135 |
| 43467 | United Parcel Service, Inc. – Class B <sup>(a)</sup> (b) | 4163704 |
| 5121 | Universal Health Services, Inc. – Class B | 1247629 |
| 700 | Valmont Industries, Inc. <sup>(a)</sup> | 289079 |
| 147533 | Verizon Communications, Inc. <sup>(b)</sup> | 6065082 |
| 23781 | VICI Properties, Inc. – (REIT) | 685368 |
| 3811 | Vontier Corp. | 138263 |
| 7635 | Wells Fargo & Co. <sup>(b)</sup> | 655465 |
| 32152 | Western Union Co. <sup>(a)</sup> | 282616 |
| 16400 | Weyerhaeuser Co. – (REIT) <sup>(a)</sup> | 364244 |
| 4932 | YETI Holdings, Inc. <sup>\*</sup> <sup>(a)</sup> | 204579 |
| 40933 | Zoom Communications, Inc. <sup>\*</sup> <sup>(b)</sup> | 3477668 |
|  | Total United States | 344496367 |
|  | **Vietnam — 0.0%** |  |
| 202400 | An Binh CJSB <sup>\*</sup> | 110574 |
| 3400 | Binh Minh Plastics JSC | 20381 |
| 237100 | Quang Ngai Sugar JSC | 394889 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Vietnam — continued** | |
| 195500 | Vietnam Engine & Agricultural Machinery Corp. | 262561 |
|  | Total Vietnam | 788405 |
|  | TOTAL COMMON STOCKS<br>(COST $1,630,083,148) | 1598634888 |
|  | **PREFERRED STOCKS <sup>(f)</sup> —1.3%** |  |
|  | **Brazil — 0.6%** |  |
| 1067800 | Banco Bradesco SA ADR | 3950860 |
| 759300 | Bradespar SA | 2763884 |
| 1843350 | Cia Energetica de Minas Gerais | 3971360 |
| 30 | Itau Unibanco Holding SA | 234 |
| 10 | Itau Unibanco Holding SA Sponsored ADR | 78 |
| 75900 | Itausa SA | 175323 |
| 453800 | Petroleo Brasileiro SA - Petrobras | 2702643 |
|  | Total Brazil | 13564382 |
|  | **Chile — 0.1%** |  |
| 32800 | Sociedad Quimica y Minera de Chile SA Sponsored ADR<sup>\*</sup> | 2109696 |
|  | **Colombia — 0.1%** |  |
| 29263 | Grupo Cibest SA ADR | 1845325 |
|  | **Germany — 0.4%** |  |
| 16387 | Bayerische Motoren Werke AG | 1546391 |
| 20273 | Henkel AG & Co. KGaA | 1635172 |
| 187 | Jungheinrich AG | 7509 |
| 46887 | Volkswagen AG | 5359948 |
|  | Total Germany | 8549020 |
|  | **Russia — 0.0%** |  |
| 15222 | Bashneft PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 79750 | Nizhnekamskneftekhim PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 49530 | Sberbank of Russia PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 20862000 | Surgutneftegas PAO <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 12313 | Tatneft PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
| 33700 | Transneft PJSC <sup>\*</sup> <sup>(d)</sup> (e) |  |
|  | Total Russia |  |
|  | **South Korea — 0.1%** |  |
| 33261 | Samsung Electronics Co. Ltd. | 1701069 |
| 114 | Samsung Electronics Co. Ltd. GDR | 146274 |
|  | Total South Korea | 1847343 |
|  | **United States — 0.0%** |  |
| 1288200 | NII Holdings, Inc. <sup>\*</sup> <sup>(g)</sup> | 450870 |
|  | TOTAL PREFERRED STOCKS<br>(COST $44,305,315) | 28366636 |
|  | **RIGHTS/WARRANTS — 0.1%** |  |
|  | **Canada — 0.1%** |  |
| 724783 | Resolute Forest Products, Inc. <sup>\*</sup> <sup>(g)</sup> | 1087174 |

---

---

| | | |
|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Description** | **Value ($)** |
| | **United States — 0.0%** | |
| 197320 | Walgreens Boots Alliance, Inc. <sup>\*</sup> <sup>(g)</sup> | 98660 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $1,127,212) | 1185834 |
|  | **INVESTMENT FUNDS — 0.4%** |  |
|  | **United States — 0.4%** |  |
| 1799747 | GMO U.S. Treasury Fund, Class VI <sup>(h)</sup> (i) | 9016732 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $9,016,732) | 9016732 |
|  | **DEBT OBLIGATIONS — 23.1%** |  |
|  | **United States — 23.1%** |  |
|  | **U.S. Government — 23.1%** |  |
| 1135000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.88%, due 01/31/27 | 1134003 |
| 398595000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 <sup>(b)</sup> | 398485785 |
| 100000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 <sup>(b)</sup> | 99969461 |
|  | Total U.S. Government | 499589249 |
|  | Total United States | 499589249 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $499,797,837) | 499589249 |
|  | **SHORT-TERM INVESTMENTS — 17.8%** | **SHORT-TERM INVESTMENTS — 17.8%** |
|  | **Money Market Funds — 0.5%** |  |
| 10706331 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(j)</sup> | 10706331 |
|  | **Repurchase Agreements — 17.3%** |  |
| 375028238 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/28/25, maturing on 12/01/25 with a maturity value of $375,154,810 and an effective yield of 4.05%, collateralized by a U.S. Treasury Note with maturity date 05/31/30 and a market value of $375,244,550. | 375028238 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $385,734,569) | 385734569 |
|  | **TOTAL INVESTMENTS — 116.5**%<br>(Cost $2,570,064,813) | 2522527908 |
|  | **SECURITIES SOLD SHORT — (16.4)%** | **SECURITIES SOLD SHORT — (16.4)%** |
|  | **Common Stocks — (16.3)%** |  |
|  | **Australia — (0.6)%** |  |
| (38932) | CAR Group Ltd. | (887361) |
| (2942) | Cochlear Ltd. | (537666) |
| (258589) | Lottery Corp. Ltd. | (926339) |
| (14487) | Pro Medicus Ltd. | (2533216) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Common Stocks — continued** | |
| | **Australia — continued** | |
| (8450) | REA Group Ltd. | (1085262) |
| (1029397) | Sigma Healthcare Ltd. | (1941759) |
| (64016) | WiseTech Global Ltd. | (3065818) |
| (32165) | Xero Ltd. <sup>\*</sup> | (2581124) |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;(13558545) |
|  | **Belgium — (0.0)%** |  |
| (80) | Lotus Bakeries NV | (718859) |
|  | **Brazil — (0.2)%** |  |
| (214355) | NU Holdings Ltd. – Class A <sup>\*</sup> | (3727634) |
|  | **Canada — (0.8)%** |  |
| (5556) | Agnico Eagle Mines Ltd. | (969133) |
| (79100) | AltaGas Ltd. | (2440726) |
| (19550) | Brookfield Renewable Corp. | (811130) |
| (20295) | Cameco Corp. <sup>\*</sup> | (1796311) |
| (37204) | Enbridge, Inc. | (1814811) |
| (8460) | Franco-Nevada Corp. | (1775246) |
| (30841) | GFL Environmental, Inc. | (1402340) |
| (47679) | Pan American Silver Corp. | (2177500) |
| (44258) | Pembina Pipeline Corp. | (1725619) |
| (27202) | Restaurant Brands International, Inc. | (1969153) |
|  | Total Canada | (16881969) |
|  | **Chile — (0.1)%** |  |
| (29805) | Latam Airlines Group SA ADR | (1437495) |
|  | **China — (0.1)%** |  |
| (244161) | NIO, Inc. ADR <sup>\*</sup> | (1342886) |
| (35380) | XPeng, Inc. ADR <sup>\*</sup> | (772345) |
|  | Total China | (2115231) |
|  | **Denmark — (0.2)%** |  |
| (28907) | Coloplast AS – Class B | (2610364) |
| (3543) | Novonesis Novozymes A/S – Class B | (221159) |
| (71786) | Tryg AS | (1778199) |
|  | Total Denmark | (4609722) |
|  | **France — (0.3)%** |  |
| (13475) | Aeroports de Paris SA | (1976278) |
| (105624) | Getlink SE | (1910505) |
| (1080) | Hermes International SCA | (2635571) |
|  | Total France | (6522354) |
|  | **Germany — (0.6)%** |  |
| (502) | adidas AG | (93502) |
| (5342) | CTS Eventim AG & Co. KGaA | (523059) |
| (65251) | Delivery Hero SE <sup>\*</sup> | (1521349) |
| (16320) | Hensoldt AG | (1294915) |
| (7272) | MTU Aero Engines AG | (2975394) |
| (715) | Nemetschek SE | (79906) |
| (1175) | Qiagen NV | (56088) |
| (1050) | Rheinmetall AG | &nbsp;&nbsp;&nbsp;&nbsp;(1795908) |
| (16799) | Siemens Energy AG <sup>\*</sup> | (2249423) |
| (15394) | Talanx AG | (2000320) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| (29817) | Vonovia SE | (902654) |
|  | Total Germany | (13492518) |
|  | **Israel — (0.2)%** |  |
| (11269) | Monday.com Ltd. <sup>\*</sup> | (1621158) |
| (34925) | Wix.com Ltd. <sup>\*</sup> | (3342672) |
|  | Total Israel | (4963830) |
|  | **Italy — (0.4)%** |  |
| (9755) | Ferrari NV | (3831985) |
| (127018) | FinecoBank Banca Fineco SpA | (3124394) |
| (199966) | Infrastrutture Wireless Italiane SpA | (1831286) |
|  | Total Italy | (8787665) |
|  | **Japan — (1.7)%** |  |
| (15000) | Advantest Corp. | (1995908) |
| (191700) | Aeon Co. Ltd. | (3470880) |
| (39400) | ANA Holdings, Inc. | (743400) |
| (79100) | Asics Corp. | (1894666) |
| (10400) | Disco Corp. | (2900260) |
| (4700) | FANUC Corp. | (150644) |
| (12300) | Fujikura Ltd. | (1423456) |
| (79500) | IHI Corp. | (1418643) |
| (212800) | Japan Exchange Group, Inc. | (2431621) |
| (56100) | Kobe Bussan Co. Ltd. | (1363576) |
| (105200) | MonotaRO Co. Ltd. | (1541453) |
| (198100) | Oriental Land Co. Ltd. | (3810557) |
| (500700) | Rakuten Group, Inc. <sup>\*</sup> | (3064413) |
| (59000) | Sanrio Co. Ltd. | (2113751) |
| (83800) | Shiseido Co. Ltd. | (1192892) |
| (2027100) | SoftBank Corp. | (2900208) |
| (13500) | SoftBank Group Corp. | (1452072) |
| (285600) | Sony Financial Group, Inc. <sup>\*</sup> | (270233) |
| (26500) | Zensho Holdings Co. Ltd. | (1596794) |
| (24200) | ZOZO, Inc. | (208470) |
|  | Total Japan | (35943897) |
|  | **Netherlands — (0.4)%** |  |
| (880) | Adyen NV \* | (1375405) |
| (106) | ASM International NV | (58637) |
| (17599) | BE Semiconductor Industries NV | (2665720) |
| (75797) | CVC Capital Partners PLC | (1251828) |
| (72080) | InPost SA \* | (846367) |
| (111288) | Universal Music Group NV | (2859845) |
|  | Total Netherlands | (9057802) |
|  | **Norway — (0.2)%** |  |
| (104708) | Kongsberg Gruppen ASA | (2480841) |
| (21564) | Salmar ASA | (1261765) |
|  | Total Norway | (3742606) |
|  | **Peru — (0.2)%** |  |
| (25815) | Southern Copper Corp. | (3479288) |
|  | **Singapore — (0.2)%** |  |
| (446900) | CapitaLand Investment Ltd. | (915345) |
| (595811) | Grab Holdings Ltd. – Class A <sup>\*</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3247170) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Singapore — continued** | |
| (1000) | Singapore Airlines Ltd. | (5012) |
|  | Total Singapore | (4167527) |
|  | **South Africa — (0.0)%** |  |
| (8518) | Sibanye Stillwater Ltd. ADR<sup>\*</sup> | (113545) |
|  | **Spain — (0.3)%** |  |
| (73741) | Cellnex Telecom SA <sup>\*</sup> | (2214605) |
| (54901) | Ferrovial SE | (3600637) |
|  | Total Spain | (5815242) |
|  | **Sweden — (0.3)%** |  |
| (35697) | Beijer Ref AB | (569003) |
| (86022) | EQT AB | (2979970) |
| (20035) | Saab AB – Class B | (1010423) |
| (4016) | Spotify Technology SA <sup>\*</sup> | (2405062) |
|  | Total Sweden | (6964458) |
|  | **Switzerland — (0.2)%** |  |
| (34117) | Avolta AG | (1880481) |
| (46) | Chocoladefabriken Lindt & Spruengli AG | (677229) |
| (2482) | Partners Group Holding AG | (2946200) |
|  | Total Switzerland | (5503910) |
|  | **United Kingdom — (0.9)%** |  |
| (21826) | Antofagasta PLC | (798057) |
| (83212) | Entain PLC | (857133) |
| (247614) | Informa PLC | (3148689) |
| (24767) | InterContinental Hotels Group PLC | (3288005) |
| (20207) | London Stock Exchange Group PLC | (2380235) |
| (7743) | M&G PLC | (27899) |
| (203778) | Melrose Industries PLC | (1607381) |
| (206384) | Phoenix Group Holdings PLC | (1902682) |
| (126483) | Rolls-Royce Holdings PLC | (1785214) |
| (62289) | Severn Trent PLC | (2323371) |
| (2200) | United Utilities Group PLC | (36028) |
| (183222) | Wise PLC – Class A <sup>\*</sup> | (2144052) |
|  | Total United Kingdom | (20298746) |
|  | **United States — (8.4)%** |  |
| (13879) | AbbVie, Inc. | (3160248) |
| (45348) | Affirm Holdings, Inc. <sup>\*</sup> | (3217441) |
| (5704) | Alnylam Pharmaceuticals, Inc. <sup>\*</sup> | (2573816) |
| (6027) | Analog Devices, Inc. | (1599204) |
| (3220) | AppLovin Corp. – Class A <sup>\*</sup> | (1930326) |
| (11271) | Arthur J Gallagher & Co. | (2790925) |
| (5593) | Axon Enterprise, Inc. <sup>\*</sup> | (3021003) |
| (15440) | Bentley Systems, Inc. – Class B | (647862) |
| (16246) | Boeing Co. <sup>\*</sup> | (3070494) |
| (13128) | Burlington Stores, Inc. <sup>\*</sup> | (3311275) |
| (6131) | Carvana Co. <sup>\*</sup> | (2296060) |
| (14205) | Cintas Corp. | (2642414) |
| (9796) | Cloudflare, Inc. – Class A <sup>\*</sup> | (1961257) |
| (3179) | Constellation Energy Corp. | (1158300) |
| (993) | CoStar Group, Inc. <sup>\*</sup> | (68318) |
| (14748) | DoorDash, Inc. – Class A <sup>\*</sup> | (2925561) |
| (138458) | DraftKings, Inc. – Class A <sup>\*</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(4591267) |
| (612) | Ecolab, Inc. | (168398) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (52834) | EQT Corp. | (3215477) |
| (6732) | Erie Indemnity Co. – Class A | (1989239) |
| (2373) | Fair Isaac Corp. <sup>\*</sup> | (4285235) |
| (73151) | Fastenal Co. | (2955300) |
| (59703) | Fidelity National Information Services, Inc. | (3926666) |
| (7289) | Flutter Entertainment PLC <sup>\*</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1517020) |
| (2007) | GE Vernova, Inc. | (1203738) |
| (249) | HEICO Corp. | (78911) |
| (10954) | HubSpot, Inc. <sup>\*</sup> | (4023623) |
| (28013) | Hyatt Hotels Corp. – Class A | (4605057) |
| (3) | IDEXX Laboratories, Inc. <sup>\*</sup> | (2259) |
| (9103) | Insulet Corp. <sup>\*</sup> | (2978411) |
| (31218) | Liberty Media Corp.-Liberty Formula One – Class C <sup>\*</sup> | (2996304) |
| (6932) | Linde PLC | (2844338) |
| (22349) | Live Nation Entertainment, Inc. <sup>\*</sup> | (2937776) |
| (40231) | Marvell Technology, Inc. | (3596651) |
| (4091) | Mastercard, Inc. – Class A | (2252218) |
| (1404) | McKesson Corp. | (1237092) |
| (839) | MercadoLibre, Inc. <sup>\*</sup> | (1738223) |
| (40577) | Microchip Technology, Inc. | (2174116) |
| (9807) | MongoDB, Inc. <sup>\*</sup> | (3259553) |
| (2311) | Moody's Corp. | (1134193) |
| (4584) | Motorola Solutions, Inc. | (1694613) |
| (6759) | MSCI, Inc. | (3810183) |
| (15190) | Natera, Inc. <sup>\*</sup> | (3627524) |
| (37106) | Okta, Inc. <sup>\*</sup> | (2980725) |
| (56171) | ONEOK, Inc. | (4090372) |
| (4517) | O'Reilly Automotive, Inc. <sup>\*</sup> | (459379) |
| (44204) | Otis Worldwide Corp. | (3927525) |
| (10287) | Palantir Technologies, Inc. – Class A <sup>\*</sup> | (1732845) |
| (6821) | Palo Alto Networks, Inc. <sup>\*</sup> | (1296877) |
| (23597) | Paychex, Inc. | (2635549) |
| (6120) | Pure Storage, Inc. – Class A <sup>\*</sup> | (544435) |
| (202733) | Rivian Automotive, Inc. – Class A <sup>\*</sup> | (3418078) |
| (12530) | Robinhood Markets, Inc. – Class A <sup>\*</sup> | (1609980) |
| (16387) | ROBLOX Corp. – Class A <sup>\*</sup> | (1557257) |
| (37067) | Rocket Lab Corp. <sup>\*</sup> | (1562003) |
| (50339) | Rollins, Inc. | (3094842) |
| (1081) | RTX Corp. | (189078) |
| (92778) | Samsara, Inc. – Class A <sup>\*</sup> | (3528347) |
| (4785) | ServiceNow, Inc. <sup>\*</sup> | (3887382) |
| (12475) | Snowflake, Inc. <sup>\*</sup> | (3134219) |
| (73804) | SoFi Technologies, Inc. <sup>\*</sup> | (2193455) |
| (9868) | Starbucks Corp. | (859601) |
| (1338) | STERIS PLC | (356283) |
| (11794) | Take-Two Interactive Software, Inc. <sup>\*</sup> | (2902150) |
| (7530) | Tesla, Inc. <sup>\*</sup> | (3239180) |
| (4234) | Texas Pacific Land Corp. | (3659404) |
| (30988) | Toast, Inc. – Class A <sup>\*</sup> | (1059480) |
| (540) | TransDigm Group, Inc. | (734492) |
| (5638) | Tyler Technologies, Inc. <sup>\*</sup> | (2647718) |
| (17317) | Vistra Corp. | (3097319) |
| (10555) | Waste Connections, Inc. | (1863485) |
| (10279) | Watsco, Inc. | (3560646) |
| (8451) | Western Digital Corp. | (1380302) |
| (51998) | Williams Cos., Inc. | (3168238) |
| (39700) | Zillow Group, Inc. – Class C <sup>\*</sup> | (2952886) |
| (9973) | Zscaler, Inc. <sup>\*</sup> | (2508210) |
|  | Total United States | (181049631) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $275,411,876) | (352952474) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** |
| | **Germany — (0.1)%** | |
| (8489) | Sartorius AG | (2475925) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $2,496,452) | (2475925) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $277,908,328) | **(355428399)** |
|  | Other Assets and Liabilities (net) — (0.1)% | (1654520) |
|  | **TOTAL NET ASSETS — 100.0%** | **$2165444989** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2025** |
| Alrosa PJSC | 12/06/17 | $15372968 | 0.0% | $— |
| Bashneft PJSC | 03/29/18 | 444288 | 0.0% |  |
| Evraz PLC | 10/21/21 | 259269 | 0.0% |  |
| Federal Grid Co-Rosseti PJSC | 10/08/19 | 1057715 | 0.0% |  |
| Gazprom Neft PJSC | 10/12/21 | 2944094 | 0.0% |  |
| Gazprom PJSC | 08/10/20 | 17682067 | 0.0% |  |
| GMK Norilskiy Nickel PAO | 02/11/20 | 4352696 | 0.0% |  |
| Inter RAO UES PJSC | 01/13/20 | 1798790 | 0.0% |  |
| LSR Group PJSC | 11/30/18 | 882290 | 0.0% |  |
| LSR Group PJSC GDR | 09/07/20 | 8 | 0.0% |  |
| LUKOIL PJSC | 01/09/20 | 18997557 | 0.0% |  |
| Magnitogorsk Iron & Steel Works PJSC | 10/11/17 | 4815566 | 0.0% |  |
| Mechel PJSC | 11/12/21 | 133558 | 0.0% |  |
| Moscow Exchange MICEX-RTS PJSC | 10/20/17 | 3091486 | 0.0% |  |
| Mosenergo PJSC | 11/19/21 | 224074 | 0.0% |  |
| Nizhnekamskneftekhim PJSC | 03/24/20 | 79541 | 0.0% |  |
| Novatek PJSC | 10/21/21 | 2148138 | 0.0% |  |
| Novolipetsk Steel PJSC | 02/13/18 | 9617214 | 0.0% |  |
| PhosAgro PJSC | 08/15/22 | 434931 | 0.0% |  |
| PhosAgro PJSC GDR | 10/15/21 | 2792 | 0.0% |  |
| Polyus PJSC | 07/27/20 | 5699094 | 0.0% |  |
| Polyus PJSC GDR | 02/24/23 | 0 | 0.0% |  |
| RusHydro PJSC | 05/06/21 | 538627 | 0.0% |  |
| Sberbank of Russia PJSC | 07/10/19 | 29636901 | 0.0% |  |
| Sberbank of Russia PJSC | 01/10/22 | 183324 | 0.0% |  |
| Severstal PAO | 02/02/21 | 126124 | 0.0% |  |
| Severstal PAO GDR (Registered) | 10/23/17 | 5003828 | 0.0% |  |
| SFI PJSC | 09/11/18 | 318293 | 0.0% |  |
| Surgutneftegas PAO | 07/20/17 | 12778800 | 0.0% |  |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description — (Continued)** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Valueasof<br>November 30, 2025** |
| Surgutneftegas PAO | 11/02/18 | $12687089 | 0.0% | $— |
| Tatneft PJSC | 11/02/18 | 8698468 | 0.0% |  |
| Tatneft PJSC | 12/15/21 | 71965 | 0.0% |  |
| Transneft PJSC | 08/12/21 | 683438 | 0.0% |  |
| Unipro PAO | 12/18/19 | 32903 | 0.0% |  |
| United Co. RUSAL International PJSC | 11/12/21 | 56186 | 0.0% |  |
| VTB Bank PJSC | 01/09/20 | 587690 | 0.0% |  |
|  |  |  |  | $— |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation**<br>**(Depreciation) ($)** |
| Buys |  |  |  |  |
| 93 | MSCI Emerging Market | December 2025 | 6405840 | (15249) |
| 1836 | U.S. Treasury Note 10 Yr. (CBT) | March 2026 | 208099125 | 772139 |
| 1043 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 217840329 | 80265 |
| 3487 | U.S. Treasury Note 5 Yr. (CBT) | March 2026 | 382752734 | 867670 |
| 1167 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2026 | 135609047 | 819007 |
| 112 | U.S. Ultra Bond (CBT) | March 2026 | 13545000 | 108335 |
|  |  |  | $964252075 | $2632167 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.S45 | USD | 25000000 | 5.00% | 3.23% | N/A | 12/20/2030 | Quarterly | $(1917575) | $(1861700) | $55875 |

---

---

| | |
|:---|:---|
| ^ | 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.  |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts — continued** 

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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. <br>

<sup>(2)</sup> The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. 

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | GS | USD | 20870133 | 06/24/2026 | Monthly | – | (752710) | (752710) |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal<br>Funds Rate<br>minus 0.40% | MORD | USD | 21724597 | 06/18/2027 | Monthly | – | 104255 | 104255 |
|  |  |  |  |  |  |  | $– $| (648455) | $(648455) |

---

As of November 30, 2025, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap
contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

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

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

(e) The security is restricted as to resale.

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

(g) Investment valued using significant unobservable inputs.

(h) Affiliated company.

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

(j) The rate disclosed is the 7 day net yield as of November 30, 2025.

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket
swap which has a notional amount of less than 1% of the Fund's total net assets.

(l) The following table represents the individual long and/or short positions with in the custom equity basket swap
as of November 30, 2025.

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value<br>($)** |
| (359000) | Airports of Thailand PC NVDR | 2.3% | (486426) |
| (87386) | Aselsan Elektronik Sanayi ve Ticaret AS | 1.8% | (377520) |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
| (1424) | Celltrion, Inc. | 0.8% | (180230) |
| (36710) | Doosan Enerbility Co. Ltd. | 8.8% | (1914002) |
| (541033) | Hacı Ömer Sabancı Holding AS | 4.8% | (1043752) |
| (12880) | HLB, Inc. | 1.9% | (412010) |
| (55500) | Hong Kong Exchange and Clearing Ltd. | 13.7% | (2951517) |
| (941) | HYBE Co. Ltd. | 0.9% | (192274) |
| (1728) | Hyundai Rotem Co. | 1.0% | (206938) |
| (225500) | Innovent Biologics, Inc. | 12.6% | (2733597) |
| (1243000) | Kingdee International Software Group Co. Ltd. | 10.5% | (2267423) |
| (42114) | Korea Aerospace Industries Ltd. | 14.5% | (3130121) |
| 209676 | Nokia OYJ | (5.9%) | 1276952 |
| (191167) | Salik Co. PJSC | 1.4% | (298838) |
| (2311) | Samsung Biologics Co. Ltd. | 11.7% | (2533126) |
| (1242) | Samsung Epis Holdings Co. Ltd. | 1.7% | (362301) |
| (183680) | Samsung Heavy Industries Co. Ltd. | 14.2% | (3079690) |
| 149956 | Turk Hava Yollari AO | (4.5%) | 963083 |
| (104200) | Xpeng, Inc., Class A | 5.2% | (1135572) |
| (6853) | Yuhan Corp. | 2.6% | (570480) |
|  | TOTAL COMMON STOCKS |  | $(21635782) |

---

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

REIT - Real Estate Investment Trust

**Counterparty Abbreviations:** 

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

**Currency Abbreviations:** 

USD - United States Dollar

------

**GMO International Developed Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 99.9%** | |
| | **United States — 99.9%** | |
| 3873457 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 133711746 |
| 2348711 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 43239776 |
| 508624 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 13117404 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $140,082,050) | 190068926 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 181608 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 181608 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $181,608) | 181608 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $140,263,658) | **190250534** |
|  | Other Assets and Liabilities (net) — (0.0%) | (76488) |
|  | **TOTAL NET ASSETS — 100.0%** | $**190174046** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO International Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 99.9%** | |
| | **United States — 99.9%** | |
| 3661259 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 108409879 |
| 4991465 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 172305371 |
| 3596170 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 66205481 |
| 1010885 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 26070727 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $297,780,579) | 372991458 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 361596 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 361596 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $361,596) | 361596 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $298,142,175) | **373353054** |
|  | Other Assets and Liabilities (net) — (0.0%) | (65903) |
|  | **TOTAL NET ASSETS — 100.0%** | $**373287151** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO MAC Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 159.1%** |  |
|  | **United States — 159.1%** |  |
|  | **U.S. Government — 99.9%** |  |
| 1645000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 04/30/27 <sup>(a)</sup> | 1644549 |
| 22048000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 <sup>(a)</sup> | 22041267 |
| 3445000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.97%, due 10/31/27 | 3444918 |
|  | Total U.S. Government | 27130734 |
|  | **U.S. Government Agency — 59.2%** |  |
| 15712500 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54 | 16087230 |
|  | Total United States | 43217964 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $43,196,885) | 43217964 |

---

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.2%** | **SHORT-TERM INVESTMENTS — 0.2%** |
| | **Money Market Funds — 0.2%** | |
| 44334 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 44334 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $44,334) | 44334 |
|  | **TOTAL INVESTMENTS — 159.3%**<br> (Cost $43,241,219) | **43262298** |
|  | Other Assets and Liabilities (net) — (59.3)% | (16100523) |
|  | **TOTAL NET ASSETS — 100.0%** | **$27161775** |

---

A summary of outstanding financial instruments at November 30, 2025 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/30/2026 | DB | EUR | 312650 | USD | 365552 | 1758 |
| 01/30/2026 | SSB | EUR | 27000 | USD | 31502 | 85 |
| 01/30/2026 | MSCI | USD | 10377 | EUR | 9000 | 96 |
| 01/30/2026 | SSB | EUR | 49000 | USD | 56934 | (81) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/30/2026 | JPM | EUR | 9000 | USD | 10411 | (61) |
|  |  |  |  |  |  | $1797 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number**<br>**of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 58 | U.S. Treasury Note 10 Yr. (CBT) | March 2026 | 6573938 | 5767 |
| 55 | U.S. Treasury Note 2 Yr. (CBT) | March 2026 | 11487266 | (4174) |
| 80 | U.S. Treasury Note 5 Yr. (CBT) | March 2026 | 8781250 | (1969) |
| 64 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2026 | 7437000 | 14666 |
|  |  |  | $34279454 | $14290 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number**<br>**of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Sales |  |  |  |  |
| 25 | U.S. Long Bond (CBT) | March<br>2026 | 2935938 | (14097) |
| 13 | U.S. Ultra Bond (CBT) | March<br>2026 | 1572188 | (9363) |
|  |  |  | $4508126 | $(23460) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

------

**GMO MAC Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.EM.S44 | USD | 9018000 | 1.00% | 1.35% | N/A | 12/20/2030 | Quarterly | 196538 | 142061 | (54477) |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.45 | USD | 3978000 | 5.00% | 3.23% | 3,978,000 USD | 12/20/2030 | Quarterly | 299844 | 296234 | (3610) |
|  ITRAXX.XO.44 | EUR | 3449000 | 5.00% | 2.56% | 3,449,000 EUR | 12/20/2030 | Quarterly | 419893 | 427242 | 7349 |
|  |  |  |  |  |  |  |  | $916275 | $865537 | $(50738) |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of November 30, 2025, 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. 

<sup>(2)</sup> The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. 

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on iBoxx USD Liquid Leveraged Loans | SOFR | MSCI | USD | 2140000 | 12/20/2025 | Quarterly | 2 | (19293) | (19295) |
|  Total Return on iBoxx USD Liquid Leveraged Loans | SOFR | MSCI | USD | 690000 | 12/20/2025 | Quarterly | 1 | (5303) | (5304) |
|  Total Return on iBoxx USD Liquid Leveraged Loans | SOFR | MSCI | USD | 690000 | 12/20/2025 | Quarterly | (3) | (4845) | (4842) |
|  Total Return on iBoxx USD Liquid Leveraged Loans | SOFR | BNP | USD | 3510000 | 12/20/2025 | Quarterly | (24) | (24644) | (24620) |
|  Total Return on iBoxx USD Liquid Leveraged Loans | SOFR | MSCI | USD | 430000 | 12/20/2025 | Quarterly | (1) | (2411) | (2410) |
|  Total Return on iBoxx USD Liquid Leveraged Loans | SOFR | MSCI | USD | 240000 | 12/20/2025 | Quarterly | 2 | (892) | (894) |
|  |  |  |  |  |  |  | $(23) | $(57388) | $(57365) |

---

------

**GMO MAC Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2025 (Unaudited)** 

As of November 30, 2025, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap
contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

SOFR - Secured Overnight Financing Rate

TBA - To Be Announced - Delayed Delivery Security

**Counterparty Abbreviations:** 

BNP - BNP Paribas

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

**Currency Abbreviations:** 

EUR - Euro

USD - United States Dollar

------

**GMO Multi-Asset Credit Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 100.0%** | |
| | **United States — 100.0%** | |
| 901820 | GMO Emerging Country Debt Fund, Class VI <sup>(a)</sup> | 21066506 |
| 1092973 | GMO High Yield Fund, Class VI <sup>(a)</sup> | 19815599 |
| 2519014 | GMO MAC Implementation Fund <sup>(a)</sup> | 27154972 |
| 2964245 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 72712931 |
| 620130 | GMO Systematic Investment Grade Credit ETF <sup>(a)</sup> | 16097210 |
| 473372 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 2371593 |
| 48500 | GMO Ultra-Short Income ETF <sup>(a)</sup> | 2427498 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $159,841,634) | 161646309 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** |  |
| 627534 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(b)</sup> | 627534 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $627,534) | 627534 |
|  | **TOTAL INVESTMENTS — 100.4%**<br> (Cost $160,469,168) | **162273843** |
|  | Other Assets and Liabilities (net) — (0.4%) | (638561) |
|  | **TOTAL NET ASSETS — 100.0%** | **$161635282** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of November 30, 2025.

**Portfolio Abbreviations:** 

ETF - Exchange-Traded Fund

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 0.0%** | **COMMON STOCKS — 0.0%** |
|  | **Russia — 0.0%** | **Russia — 0.0%** |
| 2505 | LUKOIL PJSC \* <sup>(a)</sup> (b) |  |
| 5410 | Novatek PJSC \* <sup>(a)</sup> (b) |  |
|  | Total Russia |  |
|  | TOTAL COMMON STOCKS<br> (COST $221,439) |  |
|  | **INVESTMENT FUNDS — 99.2%** | **INVESTMENT FUNDS — 99.2%** |
|  | **United States — 99.2%** | **United States — 99.2%** |
| 565285 | GMO Alternative Allocation Fund, Class VI <sup>(c)</sup> | 10729108 |
| 232380 | GMO Asset Allocation Bond Fund, Class VI <sup>(c)</sup> | 4524436 |
| 32347 | GMO Climate Change Fund, Class III <sup>(c)</sup> | 818709 |
| 57490 | GMO Domestic Resilience ETF <sup>(c)</sup> | 1465368 |
| 30949 | GMO Emerging Country Debt Fund, Class VI <sup>(c)</sup> | 722961 |
| 106054 | GMO Emerging Markets ex-China Fund, Class VI <sup>(c)</sup> | 1529294 |
| 129208 | GMO Emerging Markets Fund, Class VI <sup>(c)</sup> | 3825856 |
| 345664 | GMO International Equity Fund, Class IV <sup>(c)</sup> | 11932316 |
| 291704 | GMO International Opportunistic Value Fund, Class IV <sup>(c)</sup> | 5370274 |
| 179142 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(c)</sup> | 4620075 |
| 125649 | GMO Multi-Sector Fixed Income Fund, Class IV <sup>(c)</sup> | 2269220 |
| 61459 | GMO Quality Fund, Class VI <sup>(c)</sup> | 2318838 |
| 36063 | GMO Resources Fund, Class VI <sup>(c)</sup> | 791233 |
| 61626 | GMO Small Cap Quality Fund, Class VI <sup>(c)</sup> | 1467941 |
| 364114 | GMO U.S. Equity Fund, Class VI <sup>(c)</sup> | 5527245 |
| 241096 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(c)</sup> | 5349929 |
| 299717 | GMO U.S. Treasury Fund, Class VI <sup>(c)</sup> | 1501580 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $52,851,157) | 64764383 |
|  | **DEBT OBLIGATIONS — 0.3%** | **DEBT OBLIGATIONS — 0.3%** |
|  | **United States — 0.3%** | **United States — 0.3%** |
|  | **U.S. Government — 0.3%** |  |
| 100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 3.93%, due 04/30/26 | 100002 |
| 100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.94%, due 07/31/27 | 99969 |
|  | Total U.S. Government | 199971 |
|  | Total United States | 199971 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $199,994) | 199971 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.5%** | **SHORT-TERM INVESTMENTS — 0.5%** |
| | **Money Market Funds — 0.5%** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;312202 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.88% <sup>(d)</sup> | 312202 |
|  | TOTAL SHORT-TERM INVESTMENTS (COST $312,202) | 312202 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $53,584,792) | **65276556** |
|  | Other Assets and Liabilities (net) — 0.0% | (16317) |
|  | **TOTAL NET ASSETS — 100.0%** | **$65260239** |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**November 30, 2025 (Unaudited)** 

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30,<br>2025** |
| LUKOIL PJSC | 04/03/20 | $175270 | 0.0% | $— |
| Novatek PJSC | 02/24/22 | 46169 | 0.0% |  |
|  |  |  |  | $— |

---

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

(b) The security is restricted as to resale.

(c) Affiliated company.

(d) The rate disclosed is the 7 day net yield as of November 30, 2025.

The rates shown on variable rate notes are the current interest rates at November 30, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

ETF - Exchange-Traded Fund

PJSC - Private Joint-Stock Company

------

**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, MAC Implementation Fund (commenced operations on May 21, 2025), Multi-Asset Credit Fund (commenced operations on May 21, 2025) 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 may also invest in GMO Alternative Allocation SPC Ltd. (collectively, "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 management 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** 

Alternative Allocation Fund includes the accounts of its wholly-owned subsidiary and the accompanying Schedule of Investments has been consolidated for those accounts. The Consolidated Schedule of Investments include all of the assets and liabilities of the wholly-owned subsidiary. Alternative Allocation Fund is herein referred to as "Consolidated Alternative Allocation Fund".

**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 closing 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 valued at the price generally determined by an industry standard model. Unlisted non-fixed income 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 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, prices 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 changes in valuation 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 November 30, 2025, 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 and exchange-traded 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 off the last traded price with a discount for liquidity; certain equity securities that are 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 November 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $1217874 | $10818229 | $— | $12036103 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 1523910 |  | 1523910 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 2781337 |  | 2781337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 61596477 |  |  | 61596477 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 229184 | 5255318 |  | 5484502 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 8485662 |  | 8485662 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 4020475 |  | 4020475 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 16578834 |  | 16578834 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 16579880 |  | 16579880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 98303 |  | 98303 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong | 689329 | 14437626 |  | 15126955 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 225118 |  | 225118 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 497383 |  | 497383 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 16730936 | 4306652 |  | 21037588 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 642394 | 7837202 |  | 8479596 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 62898410 |  | 62898410 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 707641 |  |  | 707641 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 27071610 |  | 27071610 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 212965 |  | 212965 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 3284635 |  | 3284635 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 2557958 |  | 2557958 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 716219 |  | 716219 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 3119789 |  | 3119789 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 327676 | 12539835 |  | 12867511 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 9217828 |  | 9217828 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 6258547 |  | 6258547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 8202564 |  | 8202564 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 1432256 | 8993024 |  | 10425280 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 5573970 |  | 5573970 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 923868 |  | 923868 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 5614354 | 24530926 |  | 30145280 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | &nbsp;&nbsp;&nbsp;&nbsp;680033704 |  |  | 680033704 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 769221825 | &nbsp;&nbsp;&nbsp;&nbsp;269548077 |  | 1038769902 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 205532 |  | 205532 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 3298156 |  | 3298156 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 265662 |  | 265662 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 3769350 |  | 3769350 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 264384 | 264384 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 435863 | 435863 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 700247 | 700247 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; United States | 25000000 |  | 12812912 | 37812912 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 25000000 |  | 12812912 | 37812912 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dominican Republic |  | 2317505 |  | 2317505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kazakhstan |  | 357926 |  | 357926 |
| &nbsp;&nbsp;&nbsp;&nbsp; SupraNational |  | 222973 |  | 222973 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 181835688 | 90816780 |  | 272652468 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uruguay |  | 692784 |  | 692784 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 181835688 | 94407968 |  | 276243656 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 10362552 | 113009532 |  | 123372084 |
| &nbsp;&nbsp;&nbsp; Purchased Options | 101695 |  |  | 101695 |
| &nbsp;&nbsp;&nbsp; Total Investments | 986521760 | 480734927 | 13513159 | 1480769846 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $5532447 | $— | $5532447 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 1526966 | 2085155 |  | 3612121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 458319 |  |  | 458319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | 2552218 |  |  | 2552218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 27388631 |  | 27388631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 2417670 |  | 2417670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 2914598 |  | 2914598 |
| &nbsp;&nbsp;&nbsp; Total | $991059263 | $&nbsp;&nbsp;&nbsp;&nbsp;521073428 | $13513159 | $1525645850 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(18760852) | $— | $(18760852) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (2079428) |  | (2079428) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (2866741) |  |  | (2866741) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (34389273) |  |  | (34389273) |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | (965661) |  |  | (965661) |
| &nbsp;&nbsp;&nbsp;&nbsp; China | (1460274) | (859590) |  | (2319864) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (5179196) |  | (5179196) |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | (1307417) |  | (1307417) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (7639649) |  | (7639649) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (16102342) |  | (16102342) |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | (3387604) |  | (3387604) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (5185958) |  |  | (5185958) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | (7447615) |  | (7447615) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (39481291) |  | (39481291) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | (808690) | (9289014) |  | (10097704) |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | (1127368) |  | (1127368) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (3309962) |  | (3309962) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (2325688) |  |  | (2325688) |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | (894725) |  | (894725) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (2612255) | (3246125) |  | (5858380) |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | (76048) |  |  | (76048) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (6329309) |  | (6329309) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (1653480) | (6369003) |  | (8022483) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (9703353) |  | (9703353) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (23921772) |  | (23921772) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | &nbsp;&nbsp;&nbsp;&nbsp;(434657335) | (1015856) |  | (435673191) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (487001403) | (167451471) |  | (654452874) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (2604838) |  | (2604838) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (2604838) |  | (2604838) |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (5711) |  |  | (5711) |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | (5711) |  |  | (5711) |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  | (49989861) |  | (49989861) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (49989861) |  | (49989861) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (2360853) |  | (2360853) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (1014493) | (6026522) |  | (7041015) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (72717) |  |  | (72717) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | (2325842) |  |  | (2325842) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (6383665) |  |  | (6383665) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund (continued)** | | | |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Derivatives^ (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit Risk | $— | $(6270600) | $— | $(6270600) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (1456970) |  | (1456970) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (3170719) |  | (3170719) |
| &nbsp;&nbsp;&nbsp; Total | $(496803831) | $(239331834) | $— | $(736135665) |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $2447834544 | $— | $— | $2447834544 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2471007 |  |  | 2471007 |
| &nbsp;&nbsp;&nbsp; Total Investments | 2450305551 |  |  | 2450305551 |
| &nbsp;&nbsp;&nbsp; Total | $2450305551 | $— | $— | $2450305551 |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $&nbsp;&nbsp;&nbsp;&nbsp;13109625 | $— | $13109625 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 2195470 |  | 2195470 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 3703644 |  | 3703644 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 3027403 |  | 3027403 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 38409769 | 102948 |  | 38512717 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 3222398 | 18206618 | 0§ | 21429016 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 15455 |  |  | 15455 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 64128 |  | 64128 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 4811335 |  | 4811335 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 422209 |  | 422209 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 2697825 |  | 2697825 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 486376 | 21587668 |  | 22074044 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 15590650 |  | 15590650 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 197463 |  | 197463 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 11436482 |  | 11436482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 4797630 |  | 4797630 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 478543 | 11289043 |  | 11767586 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 10041320 |  | 10041320 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 450496 |  | 450496 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 1508208 | 6581019 |  | 8089227 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 660975 | 12068781 |  | 12729756 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 1235985 | 175067575 |  | 176303560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 420222 |  | 420222 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 3542937 |  | 0§ | 3542937 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 1525340 | 13387345 |  | 14912685 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 137518 |  | 137518 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 7301737 |  | 7301737 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 118388 |  | 118388 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 1732790 |  | 1732790 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 1657759 |  | 1657759 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 365482 |  | 365482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 1899368 |  | 1899368 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 5849432 |  | 5849432 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 147957 |  | 147957 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 188540 | 22938612 |  | 23127152 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 17782486 |  | 17782486 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 6295390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 6295390 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 1842932 | 10789951 |  | 12632883 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 30446527 |  | 30446527 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 10141854 |  | 10141854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 754123 |  | 754123 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 3324363 |  | 3324363 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 13749831 | 19573935 | 0§ | 33323766 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 140217293 |  |  | 140217293 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 379342 |  | 379342 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 207084582 | 472893913 | 0§ | 679978495 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $1297960 | $1925013 | $— | $3222973 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 843175 |  |  | 843175 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 3975068 |  | 3975068 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 1032861 |  | 1032861 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 2141135 | 6932942 | 0§ | 9074077 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 11850 | 11850 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 45290 | 45290 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 57140 | 57140 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 242411297 |  |  | 242411297 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 242411297 |  |  | 242411297 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 223546318 |  |  | 223546318 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 223546318 |  |  | 223546318 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 11794802 | 149999836 |  | 161794638 |
| &nbsp;&nbsp;&nbsp; Total Investments | 686978134 | 629826691 | 57140 | 1316861965 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 37830 |  |  | 37830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 1152999 |  |  | 1152999 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 39274 |  | 39274 |
| &nbsp;&nbsp;&nbsp; Total | $&nbsp;&nbsp;&nbsp;&nbsp;688168963 | $&nbsp;&nbsp;&nbsp;&nbsp;629865965 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57140 | $1318092068 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(6126434) | $— | $(6126434) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (314501) |  | (314501) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (1709141) |  |  | (1709141) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (7536862) |  |  | (7536862) |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | (647102) |  |  | (647102) |
| &nbsp;&nbsp;&nbsp;&nbsp; China | (923998) |  |  | (923998) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (2063502) |  | (2063502) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (3263842) |  | (3263842) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (5996272) |  | (5996272) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (2211611) |  |  | (2211611) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | (4014962) |  | (4014962) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (15972687) |  | (15972687) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (4068678) |  | (4068678) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (1681016) |  | (1681016) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (1560970) |  |  | (1560970) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (1461799) | (436883) |  | (1898682) |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | (54200) |  |  | (54200) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (2731762) |  | (2731762) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (1094136) | (2068427) |  | (3162563) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (2575567) |  | (2575567) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (9370681) |  | (9370681) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (80714228) | (655176) |  | (81369404) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (97914047) | (61340390) |  | (159254437) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (1115610) |  | (1115610) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (1115610) |  | (1115610) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (819148) |  | (819148) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (337037) |  | (337037) |
| &nbsp;&nbsp;&nbsp; Total | $(97914047) | $(63612185) | $— | $(161526232) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Investment Funds | $493437343 | $— | $— | $493437343 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 15221 |  |  | 15221 |
| &nbsp;&nbsp;&nbsp; Total Investments | 493452564 |  |  | 493452564 |
| &nbsp;&nbsp;&nbsp; Total | $493452564 | $— | $— | $493452564 |
| &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Investment Funds | $89183881 | $— | $— | $89183881 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 86388 |  |  | 86388 |
| &nbsp;&nbsp;&nbsp; Total Investments | 89270269 |  |  | 89270269 |
| &nbsp;&nbsp;&nbsp; Total | $89270269 | $— | $— | $89270269 |
| &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Investment Funds | $623401678 | $— | $— | $623401678 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 456279 |  |  | 456279 |
| &nbsp;&nbsp;&nbsp; Total Investments | 623857957 |  |  | 623857957 |
| &nbsp;&nbsp;&nbsp; Total | $623857957 | $— | $— | $623857957 |
| &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $5030566 | $— | $— | $5030566 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 29627851 |  | 29627851 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 4453261 |  | 4453261 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 8065952 |  | 8065952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 9289472 |  | 9289472 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | &nbsp;&nbsp;&nbsp;&nbsp;92625716 | 216029 |  | 92841745 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 7266334 | 41540100 | 0§ | 48806434 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 22090 |  |  | 22090 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 97083 |  | 97083 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | &nbsp;&nbsp;&nbsp;&nbsp;11873004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;11873004 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 876413 |  | 876413 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 8703968 |  | 8703968 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 1212010 | 49210422 |  | 50422432 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 35129948 |  | 35129948 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 417634 |  | 417634 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 25785353 |  | 25785353 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 10738001 |  | 10738001 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 1328498 | 25224969 |  | 26553467 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia | 228430 | 22683467 |  | 22911897 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 958928 |  | 958928 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 3323339 | 14569597 |  | 17892936 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 1643952 | 27739886 |  | 29383838 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 2815065 | 391434660 |  | 394249725 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 983758 |  | 983758 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 7704403 |  | 0§ | 7704403 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 3547820 | 30687976 |  | 34235796 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 344004 |  | 344004 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 18539337 |  | 18539337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 181343 |  | 181343 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 377510 |  | 377510 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 3746892 |  | 3746892 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 3814584 |  | 3814584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 765204 |  | 765204 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 4147898 |  | 4147898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 13128819 |  | 13128819 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 720841 |  | 720841 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | $419757 | $51762798 | $— | $52182555 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 40340477 |  | 40340477 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 14815288 |  | 14815288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 4208479 | 24609291 |  | 28817770 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 68721818 |  | 68721818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 23273965 |  | 23273965 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 1730706 |  | 1730706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 210805 |  | 210805 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 7142904 |  | 7142904 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 30466413 | 62825028 | 0§ | 93291441 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 344496367 |  | 0§ | 344496367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 788405 |  | 788405 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | &nbsp;&nbsp;&nbsp;&nbsp;506339239 | 1092295649 | 0§ | 1598634888 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 3950938 | 9613444 |  | 13564382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 2109696 |  |  | 2109696 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 1845325 |  |  | 1845325 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 8549020 |  | 8549020 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 1847343 |  | 1847343 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 450870 | 450870 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 7905959 | 20009807 | 450870 | 28366636 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 1087174 | 1087174 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 98660 | 98660 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 1185834 | 1185834 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 9016732 |  |  | 9016732 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 9016732 |  |  | 9016732 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 499589249 |  |  | 499589249 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 499589249 |  |  | 499589249 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 10706331 | 375028238 |  | 385734569 |
| &nbsp;&nbsp;&nbsp; Total Investments | 1033557510 | 1487333694 | 1636704 | 2522527908 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 2647416 |  |  | 2647416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 104255 |  | 104255 |
| &nbsp;&nbsp;&nbsp; Total | $1036204926 | $1487437949 | $1636704 | $2525279579 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(13558545) | $— | $(13558545) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (718859) |  | (718859) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (3727634) |  |  | (3727634) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (16881969) |  |  | (16881969) |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | (1437495) |  |  | (1437495) |
| &nbsp;&nbsp;&nbsp;&nbsp; China | (2115231) |  |  | (2115231) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (4609722) |  | (4609722) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (6522354) |  | (6522354) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (13492518) |  | (13492518) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (4963830) |  |  | (4963830) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | (8787665) |  | (8787665) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (35943897) |  | (35943897) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (9057802) |  | (9057802) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (3742606) |  | (3742606) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (3479288) |  |  | (3479288) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (3247170) | (920357) |  | (4167527) |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | (113545) |  |  | (113545) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Implementation Fund (continued)** |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain | $— | $(5815242) | $— | $(5815242) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (2405062) | (4559396) |  | (6964458) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (5503910) |  | (5503910) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (20298746) |  | (20298746) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (179532611) | (1517020) |  | (181049631) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (217903835) | (135048639) |  | (352952474) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (2475925) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | (2475925) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (2475925) |  | (2475925) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (15249) |  |  | (15249) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (1861700) |  | (1861700) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (752710) |  | (752710) |
| &nbsp;&nbsp;&nbsp; Total | $(217919084) | $(140138974) | $— | $(358058058) |
| &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $&nbsp;&nbsp;&nbsp;&nbsp;190068926 | $— | $— | $190068926 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 181608 |  |  | 181608 |
| &nbsp;&nbsp;&nbsp; Total Investments | 190250534 |  |  | 190250534 |
| &nbsp;&nbsp;&nbsp; Total | $190250534 | $— | $— | $190250534 |
| &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $372991458 | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;372991458 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 361596 |  |  | 361596 |
| &nbsp;&nbsp;&nbsp; Total Investments | 373353054 |  |  | 373353054 |
| &nbsp;&nbsp;&nbsp; Total | $373353054 | $— | $— | $373353054 |
| &nbsp;&nbsp;&nbsp;**MAC Implementation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | $27130734 | $— | $— | $27130734 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 16087230 |  | 16087230 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 27130734 | 16087230 |  | 43217964 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 44334 |  |  | 44334 |
| &nbsp;&nbsp;&nbsp; Total Investments | 27175068 | 16087230 |  | 43262298 |
| &nbsp;&nbsp;&nbsp; Derivatives |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 1939 |  | 1939 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 20433 |  |  | 20433 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 865537 |  | 865537 |
| &nbsp;&nbsp;&nbsp; Total | $27195501 | $&nbsp;&nbsp;&nbsp;&nbsp;16954706 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $44150207 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $(142) | $— | $(142) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (29603) |  |  | (29603) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (57388) |  | (57388) |
| &nbsp;&nbsp;&nbsp; Total | $(29603) | $(57530) | $— | $(87133) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Investment Funds | $161646309 | $— | $— | $161646309 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 627534 |  |  | 627534 |
| &nbsp;&nbsp;&nbsp; Total Investments | 162273843 |  |  | 162273843 |
| &nbsp;&nbsp;&nbsp; Total | $&nbsp;&nbsp;&nbsp;&nbsp;162273843 | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;162273843 |
| &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | $— | $— | $0§ | $0§ |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 64764383 |  |  | 64764383 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 64764383 |  |  | 64764383 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 199971 |  |  | 199971 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 199971 |  |  | 199971 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 312202 |  |  | 312202 |
| &nbsp;&nbsp;&nbsp; Total Investments | 65276556 |  | 0§ | 65276556 |
| &nbsp;&nbsp;&nbsp; Total | $65276556 | $— | $0§ | $65276556 |

---

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 November 30, 2025.

------

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' financial statements which are available on the SEC's website at www.sec.gov or on GMO's website at www.gmo.com.

As of November 30, 2025, Alternative Allocation Fund's Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendors).

The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances**<br> **as of<br>February 28,<br>2025** | **Purchases** | **Sales** | **Accrued<br>Discounts/<br>Premiums** | **Total<br>Realized<br>Gain/<br>(Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Transfer<br>into<br>Level 3** | **Transfer<br>out of<br>Level 3** | **Balances<br>as of**<br> **November 30,<br>2025** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as of<br>November 30,<br>2025** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $4782 | $— | $— | $— | $— | $(4782) | $— | $— | $0§ | $(4782) |
| &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 264384 |  |  |  |  |  |  |  | 264384 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 335843 | 64650 |  |  |  | 35370 |  |  | 435863 | 35370 |
| &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $14784129 | $— | (1971217) | $— | $— | $— | $— | $— | $12812912 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $15389138 | $64650 | $(1971217) | $— | $— | $30588 | $— | $— | $13513159 | $30588 |

---

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2025.

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 November 30, 2025.

**Quantitative information about Level 3 Fair Value Measurements\*** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total Fair<br>Value ($)** | **Valuation<br>Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stock | 0§ | Fair<br>Value | Discount for lack of liquidity/marketability | $0<br>(N/A) |

---

\* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2025, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $13,513,159. The inputs for these investments are not readily available or cannot be reasonably estimated. 

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2025.

**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 November 30, 2025 is set forth below:

------

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,**<br> **beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income<sup>\*</sup>** | | **Distributions<br>of Realized<br>Gains<sup>\*</sup>** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $25000000 | $— | $— | $794593 |  | $— | $— | $— | $25000000 |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $303421305 | $23084312 | $29625000 | $497485 |  | $9555645 | $1715771 | $20411174 | $319007562 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 19164880 |  | 3275863 |  |  |  | 186240 | 8512852 | 24588109 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 53999642 | 703536 | 59680480 | 703536 |  |  | 7815151 | (2837849) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI | 23591753 |  |  |  |  |  |  | 1523836 | 25115589 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Implementation Fund | 1870255937 | 127723260 | 276144758 | 15733720 |  |  | 23032286 | 286163226 | 2031029951 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 70152430 | 3340737 | 25475000 | 2030737 |  |  | (332529) | 407695 | 48093333 |
| &nbsp;&nbsp;&nbsp;&nbsp; Totals | $2340585947 | $154851845 | $394201101 | $18965478 |  | $9555645 | $32416919 | $314180934 | $2447834544 |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $148175792 | $8117205 | $12000000 | $253228 |  | $4863977 | $478140 | $9952592 | $154723729 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | 10208470 |  | 3200000 |  |  |  | 351064 | 4358492 | 11718026 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 23631327 | 369110 | 26604736 | 369110 |  |  | (687338) | 3291637 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI | 11502608 |  |  |  |  |  |  | 742975 | 12245583 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 37539543 |  | 14099166 | 1038784 |  |  | (1131677) | 1161938 | 23470638 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 29715241 | 87982 | 2300000 | 87982 |  |  | (25593) | 7715671 | 35193301 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 5054182 | 104675842 | 104669878 |  | \*\* |  | (126) |  | 5060020 |
| &nbsp;&nbsp;&nbsp; Totals | $265827163 | $113250139 | $162873780 | $1749104 |  | $4863977 | $(1015530) | $27223305 | $242411297 |
| &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $50536427 | $16523156 | $2300000 | $91767 |  | $1762644 | $(279585) | $4580649 | $69060647 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Asset Allocation Bond Fund, Class VI | 24036024 | 11301491 | 2000000 | 84648 |  |  | (541189) | 1725388 | 34521714 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 2881930 |  |  |  |  |  |  | 1351479 | 4233409 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 9947238 |  |  |  |  |  | 5338 | 9952576 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 12611660 | 195247 | 9723000 | 195246 |  |  | (2380126) | 3897937 | 4601718 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 10519860 | 2510250 | 1240000 |  |  | 222582 | 64970 | 3014834 | 14869914 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 21942738 | 4289626 | 2840875 | 49148 |  |  | (576159) | 6898190 | 29713520 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 52529710 | 14139844 | 8941486 | 441771 |  |  | 1428377 | 15401724 | 74558169 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 27283990 | 5124812 | 3553273 | 592654 |  | 671106 | 773352 | 5193168 | 34822049 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 22586604 | 4559980 | 3231899 | 156354 |  | 94515 | 484857 | 5462928 | 29862470 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 46627580 | 11934276 | 1000000 | 541506 |  |  | (246610) | 2032465 | 59347711 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 6427946 | 1191418 | 2675000 | 171418 |  |  | (271933) | 276302 | 4948733 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 11112775 | 2481333 | 10847077 | 25746 |  | 2455587 | (3103780) | 356749 |  |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,**<br> **beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income<sup>\*</sup>** | **Distributions<br>of Realized<br>Gains<sup>\*</sup>** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | $11236917 | $2131498 | $— | $27013 | $286645 | $— | $1555435 | $14923850 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 7156339 | 21189 | 4300000 | 21189 |  | (470024) | 2158320 | 4565824 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 10785331 | 3242704 | 4300000 | 6105 | 35542 | 687614 | (158520) | 10257129 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 21428020 | 17203996 | 4306152 | 85833 | 1351441 | (422258) | 5977943 | 39881549 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 26227387 | 8140400 |  | 436046 | 1930489 |  | 453359 | 34821146 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 7679739 | 1067428 |  | 17428 |  |  | 1186637 | 9933804 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 4211034 | 25755376 | 21405000 | 206644 |  | 600 | (599) | 8561411 |
| &nbsp;&nbsp;&nbsp; Totals | $377822011 | $141761262 | $82663762 | $3150516 | $8810551 | $(4851894) | $61369726 | $493437343 |
| &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | $577171 | $— | $— | $— | $— | $— | $270664 | $847835 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 1861072 |  |  |  |  | 1315 | 1862387 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 1359983 | 230436 | 353074 |  | 30436 | 30242 | 396173 | 1663760 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 20572375 | 1674105 | 3834775 | 162106 |  | 1294495 | 4516688 | 24222888 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 9323086 | 426159 | 1010000 | 199852 | 226307 | 182169 | 1749452 | 10670866 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 4749824 | 53014 | 796184 | 33041 | 19973 | 147797 | 1062982 | 5217433 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 3837852 | 856941 | 3746092 | 8892 | 848049 | (1005892) | 57191 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 11898522 | 780653 | 989685 | 26927 | 285726 | 314778 | 1069957 | 13074225 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 2046176 | 6058 | 810045 | 6058 |  | (86341) | 590967 | 1746815 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 3567931 | 588972 | 827730 | 2048 | 11923 | 119992 | 68109 | 3517274 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 6918488 | 3458011 | 1524402 | 26376 | 415291 | 62989 | 1523387 | 10438473 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 12011054 | 1730949 | 464206 | 192721 | 853227 | 27716 | 38270 | 13343783 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 2356183 | 195812 | 369728 | 5812 |  | 49405 | 346470 | 2578142 |
| &nbsp;&nbsp;&nbsp; Totals | $79218645 | $11862182 | $14725921 | $663833 | $2690932 | $1137350 | $11691625 | $89183881 |
| &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | $4770951 | $— | $— | $— | $— | $— | $2237335 | $7008286 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 12201140 |  |  |  |  | 8623 | 12209763 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 11099143 | 191383 | 1430000 |  | 191383 | (282727) | 3113622 | 12691421 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 58252269 | 111639 | 11931537 | 111638 |  | (3770981) | 18536470 | 61197860 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 129922729 | 8126400 | 22626195 | 944610 |  | 2836531 | 32517425 | 150776890 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 66127288 | 2750080 | 13244055 | 1289680 | 1460400 | 2438545 | 10468950 | 68540808 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 36143874 | 339523 | 8183302 | 211608 | 127915 | 804473 | 7593677 | 36698245 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 29259864 | 6533334 | 28560280 | 67789 | 6465544 | (7331551) | 98633 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 71083473 | 2891197 | 5950000 | 144721 | 1535680 | 1551317 | 5957644 | 75533631 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 15457252 | 45766 | 6300000 | 45766 |  | (688639) | 4476441 | 12990820 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 26485454 | 3393334 | 6685000 | 13683 | 79652 | 844179 | 380333 | 24418300 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 40109263 | 22699993 | 8422923 | 146579 | 2307878 | (469923) | 9284140 | 63200550 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 77261885 | 8459663 | 6715568 | 1121130 | 4963533 | 434342 | (269981) | 79170341 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 16394376 | 37205 |  | 37205 |  |  | 2533182 | 18964763 |
| &nbsp;&nbsp;&nbsp; Totals | $582367821 | $67780657 | $120048860 | $4134409 | $17131985 | $(3634434) | $96936494 | $623401678 |

---

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,**<br> **beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income<sup>\*</sup>** | | **Distributions<br>of Realized<br>Gains<sup>\*</sup>** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** | &nbsp;&nbsp;&nbsp;**Implementation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $4043535 | $128886417 | $123912391 | $— | \*\* | $— | $(1039) | $210 | $9016732 |
| &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | $220571098 | $8341502 | $142784814 | $1794372 |  | $— | $41785640 | $5798320 | $133711746 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 74374016 | 5279900 | 47774032 | 1751918 |  | 1983826 | 8731404 | 2628488 | 43239776 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 22021978 | 835700 | 14193065 | 159881 |  | 96647 | 2639876 | 1812915 | 13117404 |
| &nbsp;&nbsp;&nbsp; Totals | $316967092 | $14457102 | $204751911 | $3706171 |  | $2080473 | $53156920 | $10239723 | $190068926 |
| &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | $86475260 | $12180236 | $15044665 | $194655 |  | $— | $(3590243) | $28389291 | $108409879 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 152164318 | 5669326 | 25327973 | 1084326 |  |  | 5871560 | 33928140 | 172305371 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 60336245 | 3425723 | 9618941 | 1264189 |  | 1431534 | 1671613 | 10390841 | 66205481 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 21933281 | 794317 | 2130614 | 146038 |  | 88279 | 161685 | 5312058 | 26070727 |
| &nbsp;&nbsp;&nbsp; Totals | $320909104 | $22069602 | $52122193 | $2689208 |  | $1519813 | $4114615 | $78020330 | $372991458 |
| &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp;**Multi-Asset Credit Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | $— | $20095952 | $— | $25171 |  | $— | $— | $970554 | $21066506 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI |  | 20366795 | 802863 |  |  |  | 18106 | 233561 | 19815599 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO MAC Implementation Fund |  | 27693699 | 1016800 |  |  |  | 14306 | 463767 | 27154972 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI |  | 72887703 | 250000 | 820062 |  |  | 513 | 74715 | 72712931 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Systematic Investment Grade Credit ETF |  | 16037770 |  | 121024 |  |  |  | 59440 | 16097210 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI |  | 14436593 | 12065000 | 37394 |  |  |  |  | 2371593 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Ultra-Short Income ETF |  | 2424860 |  | 6807 |  |  |  | 2638 | 2427498 |
| &nbsp;&nbsp;&nbsp; Totals | $— | $173943372 | $14134663 | $1010458 |  | $— | $32925 | $1804675 | $161646309 |
| &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $26416167 | $1487016 | $17919566 | $21873 |  | $420142 | $447404 | $298087 | $10729108 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Asset Allocation Bond Fund, Class VI | 10547466 | 816819 | 6814052 | 16820 |  |  | (15782) | (10015) | 4524436 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 1908199 |  | 1500000 |  |  |  | (229145) | 639655 | 818709 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 1464333 |  |  |  |  |  | 1035 | 1465368 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 6687088 | 49496 | 6290000 | 49496 |  |  | (216453) | 492830 | 722961 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 3837405 | 207330 | 3192784 |  |  | 33100 | (233247) | 910590 | 1529294 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 10017128 | 44670 | 7910595 | 9670 |  |  | (1105297) | 2779950 | 3825856 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 29219632 | 3550346 | 26319685 | 105405 |  |  | 5848749 | (366726) | 11932316 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 14814610 | 777697 | 12214036 | 161615 |  | 183008 | 2306509 | (314506) | 5370274 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 12298788 | 274837 | 10092832 | 37293 |  | 22544 | 1887101 | 252181 | 4620075 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 6438354 | 142267 | 4385794 | 32267 |  |  | 95712 | (21319) | 2269220 |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,**<br> **beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income<sup>\*</sup>** | **Distributions<br>of Realized<br>Gains<sup>\*</sup>** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | $6328153 | $1412991 | $6176851 | $14661 | $1398330 | $(1589283) | $24990 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 5954138 | 653884 | 4580314 | 6385 | 67757 | 993509 | (702379) | 2318838 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 3617649 | 6030 | 3200000 | 6030 |  | (770054) | 1137608 | 791233 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 5417916 | 1142365 | 5199784 | 1455 | 8467 | 342729 | (235285) | 1467941 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 9607701 | 6401847 | 11444856 | 17920 | 282152 | 212521 | 750032 | 5527245 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 13827042 | 2204933 | 10350098 | 116398 | 515326 | 411193 | (743141) | 5349929 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 3675432 | 6926149 | 9100000 | 75043 |  | 43 | (44) | 1501580 |
| &nbsp;&nbsp;&nbsp; Totals | $170612868 | $27563010 | $146691247 | $672331 | $2930826 | $8386209 | $4893543 | $64764383 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2025 through November 30, 2025. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2026. 

\*\* 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 $44,284 and $79,065 in Benchmark-Free Fund and 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.

## 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 Alternative Allocation Fund

- **b. EDGAR series identifier (if any):** S000065268

- **c. LEI of Series:** 549300NEZ72NVUM4S865

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

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

- **b. Date as of which information is reported:** 2025-11-30

**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:** $1571714028.70

**Total Liabilities:** $822506847.51

**Net Assets:** $749207181.19

**Amount of Assets Invested in Other Investment Companies:** $41545473.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 40.83000000 | **1-Year:** 279.85000000 | **5-Year:** -212.99000000 | **10-Year:** -199.06000000 | **30-Year:** 0.00000000

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

- **3-Month:** -43.99000000 | **1-Year:** 743.57000000 | **5-Year:** -172274.61000000 | **10-Year:** 136697.04000000 | **30-Year:** 34538.66000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000211299 | 0.50%                | 0.67%                | 4.80%                |
| Class ID C000213405 | 0.50%                | 0.66%                | 4.77%                |
| Class ID C000213406 | 0.45%                | 0.67%                | 4.73%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $7023533.73              | $-8939815.88                               |
| Month 2  | $-7276166.62             | $19152488.61                               |
| Month 3  | $4463321.87              | $22043982.82                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AAON Inc                                         | AAON Inc                                              | CUSIP: 000360206<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       24492 | NS      | $2289512.16   | 0.31%             |  |  |  | No            |                  1 | On Loan: —       |
| ACV Auctions Inc                                 | ACV Auctions Inc                                      | CUSIP: 00091G104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       28099 | NS      | $220577.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| AT&T Inc                                         | AT&T Inc                                              | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Short            | EC               | CORP              | US        |      -20675 | NS      | $-537963.50   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| AST SpaceMobile Inc                              | AST SpaceMobile Inc                                   | CUSIP: 00217D100<br>LEI: 254900MBSC9P2UCI6623 | Short            | EC               | CORP              | US        |       -5000 | NS      | $-281000.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Abbott Laboratories                              | Abbott Laboratories                                   | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |       34015 | NS      | $4384533.50   | 0.59%             |  |  |  | No            |                  1 | On Loan: —       |
| AbbVie Inc                                       | AbbVie Inc                                            | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Short            | EC               | CORP              | US        |      -12532 | NS      | $-2853536.40  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA ABIOMED INC                               | CONTRA ABIOMED INC                                    | CUSIP: 003CVR016<br>LEI: N/A                  | N/A              | DE               |  | US        |       13635 | NS      | $21816.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Antofagasta PLC                                  | Antofagasta PLC                                       | CUSIP: 000000000<br>LEI: 213800MY6QVH4FVLD628 | Short            | EC               | CORP              | GB        |      -11843 | NS      | $-433033.34   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Acushnet Holdings Corp                           | Acushnet Holdings Corp                                | CUSIP: 005098108<br>LEI: 529900W5FI106H543E43 | Long             | EC               | CORP              | US        |       13452 | NS      | $1131313.20   | 0.15%             |  |  |  | No            |                  1 | On Loan: —       |
| Adobe Inc                                        | Adobe Inc                                             | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |        7074 | NS      | $2264599.62   | 0.30%             |  |  |  | No            |                  1 | On Loan: —       |
| AeroVironment Inc                                | AeroVironment Inc                                     | CUSIP: 008073108<br>LEI: 529900PGHVI29YLZ6221 | Short            | EC               | CORP              | US        |        -400 | NS      | $-111784.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Barratt Redrow PLC                               | Barratt Redrow PLC                                    | CUSIP: 000000000<br>LEI: 2138006R85VEOF5YNK29 | Short            | EC               | CORP              | GB        |      -27323 | NS      | $-142753.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Holdings Inc                              | Affirm Holdings Inc                                   | CUSIP: 00827B106<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -57901 | NS      | $-4108075.95  | -0.55%            |  |  |  | No            |                  1 | On Loan: No      |
| Agnico Eagle Mines Ltd                           | Agnico Eagle Mines Ltd                                | CUSIP: 008474108<br>LEI: 254900BFJ2DOHPMEXN45 | Short            | EC               | CORP              | CA        |       -3658 | NS      | $-638064.94   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Air Lease Corp                                   | Air Lease Corp                                        | CUSIP: 00912X302<br>LEI: 5493004NW4M4P8TMMK63 | Long             | EC               | CORP              | US        |      231681 | NS      | $14811366.33  | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Air Products and Chemicals Inc                   | Air Products and Chemicals Inc                        | CUSIP: 009158106<br>LEI: 7QEON6Y1RL5XR3R1W237 | Short            | EC               | CORP              | US        |       -3052 | NS      | $-796724.60   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Akamai Technologies Inc                          | Akamai Technologies Inc                               | CUSIP: 00971T101<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | EC               | CORP              | US        |       36497 | NS      | $3267211.44   | 0.44%             |  |  |  | No            |                  1 | On Loan: —       |
| Akero Therapeutics Inc                           | Akero Therapeutics Inc                                | CUSIP: 00973Y108<br>LEI: 549300SI3KG74LBE2955 | Long             | EC               | CORP              | US        |      117606 | NS      | $6393062.16   | 0.85%             |  |  |  | No            |                  1 | On Loan: —       |
| Albertsons Cos Inc                               | Albertsons Cos Inc                                    | CUSIP: 013091103<br>LEI: 549300YKWOC0AOR16R51 | Long             | EC               | CORP              | US        |       48326 | NS      | $885815.58    | 0.12%             |  |  |  | No            |                  1 | On Loan: —       |
| Alexandria Real Estate Equities Inc              | Alexandria Real Estate Equities Inc                   | CUSIP: 015271109<br>LEI: MGCJBT4MKTQBVLNUIS88 | Short            | EC               |  | US        |       -6000 | NS      | $-322020.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Align Technology Inc                             | Align Technology Inc                                  | CUSIP: 016255101<br>LEI: 549300N5YSE0U3LCP840 | Long             | EC               | CORP              | US        |        6729 | NS      | $990441.51    | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Alimentation Couche-Tard Inc                     | Alimentation Couche-Tard Inc                          | CUSIP: 01626P148<br>LEI: 549300OSW32RVX8CCZ87 | Long             | EC               | CORP              | CA        |        3900 | NS      | $213021.58    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ATI Inc                                          | ATI Inc                                               | CUSIP: 01741R102<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Short            | EC               | CORP              | US        |       -1600 | NS      | $-161280.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -15000000 | PA      | $-14193035.85 | -1.89%            | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0406C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -17500000 | PA      | $-16674077.70 | -2.23%            | 2055-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -7500000 | PA      | $-7344888.23  | -0.98%            | 2055-12-01      | Fixed         | 4.50%                 | No            |                  1 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0524C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15000000 | PA      | $15350285.40  | 2.05%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18613000 | PA      | $18847636.04  | 2.52%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    55300000 | PA      | $56618858.00  | 7.56%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -11500000 | PA      | $-11777858.98 | -1.57%            | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Allstate Corp/The                                | Allstate Corp/The                                     | CUSIP: 020002101<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | EC               | CORP              | US        |        1387 | NS      | $295403.26    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Alnylam Pharmaceuticals Inc                      | Alnylam Pharmaceuticals Inc                           | CUSIP: 02043Q107<br>LEI: 529900S3ZI14OWRJII50 | Short            | EC               | CORP              | US        |       -8073 | NS      | $-3642779.79  | -0.49%            |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc                                     | Alphabet Inc                                          | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |         989 | NS      | $316598.68    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Alphabet Inc                                     | Alphabet Inc                                          | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |       29810 | NS      | $9544565.80   | 1.27%             |  |  |  | No            |                  1 | On Loan: —       |
| AltaGas Ltd                                      | AltaGas Ltd                                           | CUSIP: 021361100<br>LEI: 2549008X5V70MOS4HM10 | Short            | EC               | CORP              | CA        |      -48900 | NS      | $-1508868.30  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| ESCROW ALTEGRITY INC                             | ESCROW ALTEGRITY INC                                  | CUSIP: 021ESC017<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     9856086 | NS      | $12812911.80  | 1.71%             |  |  |  | No            |                  3 | On Loan: No      |
| Amazon.com Inc                                   | Amazon.com Inc                                        | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |       23014 | NS      | $5367325.08   | 0.72%             |  |  |  | No            |                  1 | On Loan: —       |
| U-Haul Holding Co                                | U-Haul Holding Co                                     | CUSIP: 023586506<br>LEI: 5493003WIDMLDHYC6Y24 | Short            | EC               | CORP              | US        |      -14867 | NS      | $-715251.37   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Diageo PLC                                       | Diageo PLC                                            | CUSIP: 000000000<br>LEI: 213800ZVIELEA55JMJ32 | Long             | EC               | CORP              | GB        |       72599 | NS      | $1668695.88   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| American Electric Power Co Inc                   | American Electric Power Co Inc                        | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |        6718 | NS      | $831486.86    | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| American International Group Inc                 | American International Group Inc                      | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Short            | EC               | CORP              | US        |       -8396 | NS      | $-639439.36   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| American Water Works Co Inc                      | American Water Works Co Inc                           | CUSIP: 030420103<br>LEI: 549300DXHIJQMD5WFW18 | Short            | EC               | CORP              | US        |       -1194 | NS      | $-155303.58   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Americold Realty Trust Inc                       | Americold Realty Trust Inc                            | CUSIP: 03064D108<br>LEI: 894500O3S3W62PQPO460 | Short            | EC               |  | US        |      -16000 | NS      | $-173280.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AMETEK Inc                                       | AMETEK Inc                                            | CUSIP: 031100100<br>LEI: 549300WZDEF9KKE40E98 | Long             | EC               | CORP              | US        |         763 | NS      | $150990.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Amphenol Corp                                    | Amphenol Corp                                         | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |        5748 | NS      | $809893.20    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Analog Devices Inc                               | Analog Devices Inc                                    | CUSIP: 032654105<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Short            | EC               | CORP              | US        |       -4174 | NS      | $-1107529.16  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Annaly Capital Management Inc                    | Annaly Capital Management Inc                         | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               |  | US        |        7306 | NS      | $166576.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Annaly Capital Management Inc                    | Annaly Capital Management Inc                         | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Short            | EC               |  | US        |       -9100 | NS      | $-207480.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Antero Resources Corp                            | Antero Resources Corp                                 | CUSIP: 03674X106<br>LEI: APVBKPOULHUX7YZLKU17 | Short            | EC               | CORP              | US        |      -16200 | NS      | $-590166.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Elevance Health Inc                              | Elevance Health Inc                                   | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |       16010 | NS      | $5415542.60   | 0.72%             |  |  |  | No            |                  1 | On Loan: —       |
| Apollo Global Management Inc                     | Apollo Global Management Inc                          | CUSIP: 03769M106<br>LEI: 254900LMFT1CY9IYB476 | Short            | EC               | CORP              | US        |       -5700 | NS      | $-751545.00   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Apple Inc                                        | Apple Inc                                             | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |       29453 | NS      | $8212969.05   | 1.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Applied Digital Corp                             | Applied Digital Corp                                  | CUSIP: 038169207<br>LEI: 2549004NE2B6RYXINZ02 | Short            | EC               | CORP              | US        |       -5800 | NS      | $-157180.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Applied Materials Inc                            | Applied Materials Inc                                 | CUSIP: 038222105<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | EC               | CORP              | US        |        3314 | NS      | $835956.50    | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| AppLovin Corp                                    | AppLovin Corp                                         | CUSIP: 03831W108<br>LEI: 549300LLVXMUAOL3SQ07 | Short            | EC               | CORP              | US        |       -2156 | NS      | $-1292478.88  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| AptarGroup Inc                                   | AptarGroup Inc                                        | CUSIP: 038336103<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | EC               | CORP              | US        |       16518 | NS      | $2060620.50   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Aramark                                          | Aramark                                               | CUSIP: 03852U106<br>LEI: 549300MR6PG2DWZUIL39 | Long             | EC               | CORP              | US        |       59006 | NS      | $2193253.02   | 0.29%             |  |  |  | No            |                  1 | On Loan: —       |
| Ares Management Corp                             | Ares Management Corp                                  | CUSIP: 03990B101<br>LEI: 529900JUV61FH7B8VW38 | Short            | EC               | CORP              | US        |       -4731 | NS      | $-742057.35   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Arista Networks Inc                              | Arista Networks Inc                                   | CUSIP: 040413205<br>LEI: 635400H1WKBLOQERUU95 | Short            | EC               | CORP              | US        |        -367 | NS      | $-47959.56    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Halma PLC                                        | Halma PLC                                             | CUSIP: 000000000<br>LEI: 2138007FRGLUR9KGBT40 | Long             | EC               | CORP              | GB        |        3082 | NS      | $145441.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AtkinsRealis Group Inc                           | AtkinsRealis Group Inc                                | CUSIP: 04764T104<br>LEI: UL01OYG5OMLM5G6CFM03 | Short            | EC               | CORP              | CA        |       -2700 | NS      | $-167570.22   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Aurora Innovation Inc                            | Aurora Innovation Inc                                 | CUSIP: 051774107<br>LEI: 984500AB2E0D9F7D9D76 | Short            | EC               | CORP              | US        |     -208900 | NS      | $-875291.00   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Avidity Biosciences Inc                          | Avidity Biosciences Inc                               | CUSIP: 05370A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       90328 | NS      | $6476517.60   | 0.86%             |  |  |  | No            |                  1 | On Loan: —       |
| Axcelis Technologies Inc                         | Axcelis Technologies Inc                              | CUSIP: 054540208<br>LEI: 529900HF9B6NL1QG9F05 | Long             | EC               | CORP              | US        |       10448 | NS      | $864780.96    | 0.12%             |  |  |  | No            |                  1 | On Loan: —       |
| Axon Enterprise Inc                              | Axon Enterprise Inc                                   | CUSIP: 05464C101<br>LEI: 549300QP2IEEGFE16681 | Short            | EC               | CORP              | US        |       -4847 | NS      | $-2618058.58  | -0.35%            |  |  |  | No            |                  1 | On Loan: No      |
| Badger Meter Inc                                 | Badger Meter Inc                                      | CUSIP: 056525108<br>LEI: 5493002JENE20OGTUG20 | Long             | EC               | CORP              | US        |        7567 | NS      | $1351012.18   | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| Baker Hughes Co                                  | Baker Hughes Co                                       | CUSIP: 05722G100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -1500 | NS      | $-75300.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Balchem Corp                                     | Balchem Corp                                          | CUSIP: 057665200<br>LEI: 549300VR70OPMHUI3557 | Long             | EC               | CORP              | US        |       14832 | NS      | $2316906.72   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Ball Corp                                        | Ball Corp                                             | CUSIP: 058498106<br>LEI: 0BGI85ALH27ZJP15DY16 | Short            | EC               | CORP              | US        |      -10300 | NS      | $-510159.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp                             | Bank of America Corp                                  | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |       44645 | NS      | $2395204.25   | 0.32%             |  |  |  | No            |                  1 | On Loan: —       |
| Bank of New York Mellon Corp/The                 | Bank of New York Mellon Corp/The                      | CUSIP: 064058100<br>LEI: WFLLPEPC7FZXENRZV188 | Short            | EC               | CORP              | US        |       -1600 | NS      | $-179360.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Pearson PLC                                      | Pearson PLC                                           | CUSIP: 000000000<br>LEI: 2138004JBXWWJKIURC57 | Long             | EC               | CORP              | GB        |       46645 | NS      | $616505.71    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Prudential PLC                                   | Prudential PLC                                        | CUSIP: 000000000<br>LEI: 5493001Z3ZE83NGK8Y12 | Short            | EC               | CORP              | GB        |      -10593 | NS      | $-153484.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Baxter International Inc                         | Baxter International Inc                              | CUSIP: 071813109<br>LEI: J5OIVXX3P24RJRW5CK77 | Short            | EC               | CORP              | US        |      -40393 | NS      | $-756964.82   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Becton Dickinson & Co                            | Becton Dickinson & Co                                 | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |        5600 | NS      | $1086512.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Becton Dickinson & Co                            | Becton Dickinson & Co                                 | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Short            | EC               | CORP              | US        |       -3322 | NS      | $-644534.44   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| St James's Place PLC                             | St James's Place PLC                                  | CUSIP: 000000000<br>LEI: 213800M993ICXOMBCP87 | Short            | EC               | CORP              | GB        |       -5448 | NS      | $-100356.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BP PLC                                           | BP PLC                                                | CUSIP: 000000000<br>LEI: 213800LH1BZH3DI6G760 | Short            | EC               | CORP              | GB        |     -115084 | NS      | $-691153.57   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Bentley Systems Inc                              | Bentley Systems Inc                                   | CUSIP: 08265T208<br>LEI: 549300WVEHPGE0Z56F71 | Short            | EC               | CORP              | US        |      -11048 | NS      | $-463574.08   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Best Buy Co Inc                                  | Best Buy Co Inc                                       | CUSIP: 086516101<br>LEI: HL5XPTVRV0O8TUN5LL90 | Long             | EC               | CORP              | US        |       17230 | NS      | $1365994.40   | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| BILL Holdings Inc                                | BILL Holdings Inc                                     | CUSIP: 090043100<br>LEI: 549300IBF9VZZIGOZW63 | Short            | EC               | CORP              | US        |       -3000 | NS      | $-150450.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BioMarin Pharmaceutical Inc                      | BioMarin Pharmaceutical Inc                           | CUSIP: 09061G101<br>LEI: NSLL8ITTRR0J5HEMR848 | Short            | EC               | CORP              | US        |       -9845 | NS      | $-550630.85   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Biogen Inc                                       | Biogen Inc                                            | CUSIP: 09062X103<br>LEI: W8J5WZB5IY3K0NDQT671 | Short            | EC               | CORP              | US        |       -3000 | NS      | $-546270.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Black Hills Corp                                 | Black Hills Corp                                      | CUSIP: 092113109<br>LEI: 3MGELCRSTNSAMJ962671 | Short            | EC               | CORP              | US        |     -279782 | NS      | $-20645113.78 | -2.76%            |  |  |  | No            |                  1 | On Loan: No      |
| Blackstone Inc                                   | Blackstone Inc                                        | CUSIP: 09260D107<br>LEI: 5299004LW4QWGZUB8Y96 | Short            | EC               | CORP              | US        |       -5024 | NS      | $-735614.08   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Bloom Energy Corp                                | Bloom Energy Corp                                     | CUSIP: 093712107<br>LEI: 549300XB5J9BFW5JXV97 | Short            | EC               | CORP              | US        |       -3000 | NS      | $-327720.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Blue Owl Capital Inc                             | Blue Owl Capital Inc                                  | CUSIP: 09581B103<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -50500 | NS      | $-757500.00   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Boeing Co/The                                    | Boeing Co/The                                         | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Short            | EC               | CORP              | US        |      -26083 | NS      | $-4929687.00  | -0.66%            |  |  |  | No            |                  1 | On Loan: No      |
| Booz Allen Hamilton Holding Corp                 | Booz Allen Hamilton Holding Corp                      | CUSIP: 099502106<br>LEI: 529900JPV47PIUWMA015 | Long             | EC               | CORP              | US        |       18343 | NS      | $1530906.78   | 0.20%             |  |  |  | No            |                  1 | On Loan: —       |
| Bridgebio Pharma Inc                             | Bridgebio Pharma Inc                                  | CUSIP: 10806X102<br>LEI: 54930028YG89VTY2J114 | Short            | EC               | CORP              | US        |       -3700 | NS      | $-266437.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Bright Horizons Family Solutions Inc             | Bright Horizons Family Solutions Inc                  | CUSIP: 109194100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -2400 | NS      | $-246624.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Brighthouse Financial Inc                        | Brighthouse Financial Inc                             | CUSIP: 10922N103<br>LEI: 5493003T8SZSHOGGAW52 | Short            | EC               | CORP              | US        |      -25646 | NS      | $-1681095.30  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| Bristol-Myers Squibb Co                          | Bristol-Myers Squibb Co                               | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |       41492 | NS      | $2041406.40   | 0.27%             |  |  |  | No            |                  1 | On Loan: —       |
| Bristol-Myers Squibb Co                          | Bristol-Myers Squibb Co                               | CUSIP: 110122157<br>LEI: HLYYNH7UQUORYSJQCN42 | N/A              | DE               |  | US        |      195149 | NS      | $341510.75    | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| Broadcom Inc                                     | Broadcom Inc                                          | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |       12602 | NS      | $5078101.92   | 0.68%             |  |  |  | No            |                  1 | On Loan: —       |
| Brookfield Corp                                  | Brookfield Corp                                       | CUSIP: 11271J107<br>LEI: C6J3FGIWG6MBDGTE8F80 | Short            | EC               | CORP              | CA        |       -1200 | NS      | $-56657.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Brookfield Renewable Corp                        | Brookfield Renewable Corp                             | CUSIP: 11285B108<br>LEI: 894500N9AWD5I1YNP231 | Short            | EC               | CORP              | CA        |      -15262 | NS      | $-633220.38   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Brown-Forman Corp                                | Brown-Forman Corp                                     | CUSIP: 115637209<br>LEI: 549300873K3LXF7ARU34 | Long             | EC               | CORP              | US        |       11190 | NS      | $324286.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Bruker Corp                                      | Bruker Corp                                           | CUSIP: 116794108<br>LEI: LEBZ6VLQ6I8XB1NHVY15 | Long             | EC               | CORP              | US        |       19716 | NS      | $962337.96    | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Builders FirstSource Inc                         | Builders FirstSource Inc                              | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |       13820 | NS      | $1551018.60   | 0.21%             |  |  |  | No            |                  1 | On Loan: —       |
| Burlington Stores Inc                            | Burlington Stores Inc                                 | CUSIP: 122017106<br>LEI: 5299003Z37DVGKKC1W09 | Short            | EC               | CORP              | US        |      -11319 | NS      | $-2854991.37  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| CCL Industries Inc                               | CCL Industries Inc                                    | CUSIP: 124900309<br>LEI: 549300TD3EMSRRC0YH75 | Long             | EC               | CORP              | CA        |       11900 | NS      | $727650.36    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Cboe Global Markets Inc                          | Cboe Global Markets Inc                               | CUSIP: 12503M108<br>LEI: 529900RLNSGA90UPEH54 | Long             | EC               | CORP              | US        |          50 | NS      | $12908.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| CBRE Group Inc                                   | CBRE Group Inc                                        | CUSIP: 12504L109<br>LEI: 52990016II9MJ2OSWA10 | Long             | EC               | CORP              | US        |        8835 | NS      | $1429768.05   | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| CF Industries Holdings Inc                       | CF Industries Holdings Inc                            | CUSIP: 125269100<br>LEI: 529900CG8YAQFZ2JMV97 | Long             | EC               | CORP              | US        |        8384 | NS      | $659820.80    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| CGI Inc                                          | CGI Inc                                               | CUSIP: 12532H104<br>LEI: 549300WSRCZY73ZG3090 | Long             | EC               | CORP              | CA        |       19900 | NS      | $1772480.59   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CH Robinson Worldwide Inc                        | CH Robinson Worldwide Inc                             | CUSIP: 12541W209<br>LEI: 529900WNWN5L0OVDHA79 | Long             | EC               | CORP              | US        |        3802 | NS      | $604023.74    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Cigna Group/The                                  | Cigna Group/The                                       | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |       14997 | NS      | $4158368.16   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| CMS Energy Corp                                  | CMS Energy Corp                                       | CUSIP: 125896100<br>LEI: 549300IA9XFBAGNIBW29 | Long             | EC               | CORP              | US        |        2000 | NS      | $150880.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| CSX Corp                                         | CSX Corp                                              | CUSIP: 126408103<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | EC               | CORP              | US        |       33600 | NS      | $1188096.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: —       |
| CVS Health Corp                                  | CVS Health Corp                                       | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |       42627 | NS      | $3425505.72   | 0.46%             |  |  |  | No            |                  1 | On Loan: —       |
| Cactus Inc                                       | Cactus Inc                                            | CUSIP: 127203107<br>LEI: 549300J3T8C9F8QFKV08 | Long             | EC               | CORP              | US        |       23205 | NS      | $995958.60    | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Cadence Design Systems Inc                       | Cadence Design Systems Inc                            | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |         190 | NS      | $59249.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Cadence Bank                                     | Cadence Bank                                          | CUSIP: 12740C103<br>LEI: Q7C315HKI8VX0SSKBS64 | Long             | EC               | CORP              | US        |      111141 | NS      | $4427857.44   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Camden Property Trust                            | Camden Property Trust                                 | CUSIP: 133131102<br>LEI: 5493002MYX22OHYJBD89 | Short            | EC               |  | US        |       -1400 | NS      | $-148876.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Cameco Corp                                      | Cameco Corp                                           | CUSIP: 13321L108<br>LEI: N4BHALMXL3GMZKCUON55 | Short            | EC               | CORP              | CA        |      -13566 | NS      | $-1200726.66  | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Canadian Tire Corp Ltd                           | Canadian Tire Corp Ltd                                | CUSIP: 136681202<br>LEI: 549300RLHDA7VQYMUB14 | Long             | EC               | CORP              | CA        |       15000 | NS      | $1824966.90   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp                       | Capital One Financial Corp                            | CUSIP: 14040H105<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EC               | CORP              | US        |       13543 | NS      | $2966865.01   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Carlisle Cos Inc                                 | Carlisle Cos Inc                                      | CUSIP: 142339100<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Short            | EC               | CORP              | US        |       -1016 | NS      | $-323159.12   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Carlyle Group Inc/The                            | Carlyle Group Inc/The                                 | CUSIP: 14316J108<br>LEI: 529900NGGVF94UK6PG95 | Short            | EC               | CORP              | US        |       -2900 | NS      | $-158137.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Carnival Corp                                    | Carnival Corp                                         | CUSIP: 143658300<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | EC               | CORP              | PA        |       23955 | NS      | $617559.90    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| Carpenter Technology Corp                        | Carpenter Technology Corp                             | CUSIP: 144285103<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Short            | EC               | CORP              | US        |       -2200 | NS      | $-700788.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Carvana Co                                       | Carvana Co                                            | CUSIP: 146869102<br>LEI: 5493003WEAK2PJ5WS063 | Short            | EC               | CORP              | US        |      -10776 | NS      | $-4035612.00  | -0.54%            |  |  |  | No            |                  1 | On Loan: No      |
| Casella Waste Systems Inc                        | Casella Waste Systems Inc                             | CUSIP: 147448104<br>LEI: 8EU0XUFVJ48U37IIDH51 | Short            | EC               | CORP              | US        |       -3500 | NS      | $-337365.00   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Cava Group Inc                                   | Cava Group Inc                                        | CUSIP: 148929102<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -7600 | NS      | $-371564.00   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Cemex SAB de CV                                  | Cemex SAB de CV                                       | CUSIP: 151290889<br>LEI: 549300RIG2CXWN6IV731 | Long             | EC               | CORP              | MX        |       65583 | NS      | $707640.57    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Centene Corp                                     | Centene Corp                                          | CUSIP: 15135B101<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | EC               | CORP              | US        |       30646 | NS      | $1205613.64   | 0.16%             |  |  |  | No            |                  1 | On Loan: —       |
| Dayforce Inc                                     | Dayforce Inc                                          | CUSIP: 15677J108<br>LEI: 549300T64GVCHFJ8L449 | Long             | EC               | CORP              | US        |      216056 | NS      | $14929469.60  | 1.99%             |  |  |  | No            |                  1 | On Loan: No      |
| Chart Industries Inc                             | Chart Industries Inc                                  | CUSIP: 16115Q308<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | EC               | CORP              | US        |      109134 | NS      | $22257879.30  | 2.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Charter Communications Inc                       | Charter Communications Inc                            | CUSIP: 16119P108<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | EC               | CORP              | US        |        4400 | NS      | $880528.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Charter Communications Inc                       | Charter Communications Inc                            | CUSIP: 16119P108<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Short            | EC               | CORP              | US        |      -52642 | NS      | $-10534717.04 | -1.41%            |  |  |  | No            |                  1 | On Loan: No      |
| Chevron Corp                                     | Chevron Corp                                          | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         900 | NS      | $136017.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Chewy Inc                                        | Chewy Inc                                             | CUSIP: 16679L109<br>LEI: 254900NPQSTG9I422879 | Short            | EC               | CORP              | US        |      -12600 | NS      | $-438102.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Church & Dwight Co Inc                           | Church & Dwight Co Inc                                | CUSIP: 171340102<br>LEI: POOXSI30AWAQGYJZC921 | Short            | EC               | CORP              | US        |        -687 | NS      | $-58504.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Cirrus Logic Inc                                 | Cirrus Logic Inc                                      | CUSIP: 172755100<br>LEI: 549300NKSJEM5ZZSSV18 | Long             | EC               | CORP              | US        |       15190 | NS      | $1827964.60   | 0.24%             |  |  |  | No            |                  1 | On Loan: —       |
| Cisco Systems Inc                                | Cisco Systems Inc                                     | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |        4291 | NS      | $330149.54    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Cintas Corp                                      | Cintas Corp                                           | CUSIP: 172908105<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -9383 | NS      | $-1745425.66  | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc                                    | Citigroup Inc                                         | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |       34142 | NS      | $3537111.20   | 0.47%             |  |  |  | No            |                  1 | On Loan: —       |
| Citizens Financial Group Inc                     | Citizens Financial Group Inc                          | CUSIP: 174610105<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | EC               | CORP              | US        |       10056 | NS      | $544029.60    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Clean Harbors Inc                                | Clean Harbors Inc                                     | CUSIP: 184496107<br>LEI: 5493000SJVZVZJKHJF48 | Long             | EC               | CORP              | US        |        5928 | NS      | $1348975.68   | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| Cloudflare Inc                                   | Cloudflare Inc                                        | CUSIP: 18915M107<br>LEI: 5493007DY18BGNLDWU14 | Short            | EC               | CORP              | US        |      -19742 | NS      | $-3952545.82  | -0.53%            |  |  |  | No            |                  1 | On Loan: No      |
| Coca-Cola Consolidated Inc                       | Coca-Cola Consolidated Inc                            | CUSIP: 191098102<br>LEI: 57VG5X0E00X0QJU7CQ58 | Long             | EC               | CORP              | US        |        4921 | NS      | $801876.95    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Coca-Cola Co/The                                 | Coca-Cola Co/The                                      | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |       34617 | NS      | $2531195.04   | 0.34%             |  |  |  | No            |                  1 | On Loan: —       |
| Coeur Mining Inc                                 | Coeur Mining Inc                                      | CUSIP: 192108504<br>LEI: 5493003AVK173D48DR70 | Short            | EC               | CORP              | US        |     -472424 | NS      | $-8158762.48  | -1.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Cognizant Technology Solutions Corp              | Cognizant Technology Solutions Corp                   | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |       48069 | NS      | $3735441.99   | 0.50%             |  |  |  | No            |                  1 | On Loan: —       |
| Cohen & Steers Inc                               | Cohen & Steers Inc                                    | CUSIP: 19247A100<br>LEI: 549300XXIA338A0X2K65 | Long             | EC               | CORP              | US        |       17900 | NS      | $1132175.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Coherent Corp                                    | Coherent Corp                                         | CUSIP: 19247G107<br>LEI: 549300O5C25A0MMHHU33 | Short            | EC               | CORP              | US        |      -13100 | NS      | $-2151806.00  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| Coinbase Global Inc                              | Coinbase Global Inc                                   | CUSIP: 19260Q107<br>LEI: 5493004G3J2SC154DU06 | Short            | EC               | CORP              | US        |       -8042 | NS      | $-2194018.44  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corp                                     | Comcast Corp                                          | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |       69358 | NS      | $1851165.02   | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| Comerica Inc                                     | Comerica Inc                                          | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |      252922 | NS      | $20329870.36  | 2.71%             |  |  |  | No            |                  1 | On Loan: No      |
| ConocoPhillips                                   | ConocoPhillips                                        | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |       13400 | NS      | $1188446.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Consolidated Edison Inc                          | Consolidated Edison Inc                               | CUSIP: 209115104<br>LEI: 54930033SBW53OO8T749 | Long             | EC               | CORP              | US        |        6193 | NS      | $621529.48    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| Constellation Brands Inc                         | Constellation Brands Inc                              | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |       15849 | NS      | $2161486.62   | 0.29%             |  |  |  | No            |                  1 | On Loan: —       |
| Constellation Energy Corp                        | Constellation Energy Corp                             | CUSIP: 21037T109<br>LEI: 549300F8Y20RYGNGV346 | Short            | EC               | CORP              | US        |       -5120 | NS      | $-1865523.20  | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| Cooper Cos Inc/The                               | Cooper Cos Inc/The                                    | CUSIP: 216648501<br>LEI: QJKMVPIGLH7530PCUE20 | Long             | EC               | CORP              | US        |       17500 | NS      | $1363775.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Cooper Cos Inc/The                               | Cooper Cos Inc/The                                    | CUSIP: 216648501<br>LEI: QJKMVPIGLH7530PCUE20 | Short            | EC               | CORP              | US        |       -2372 | NS      | $-184849.96   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Corebridge Financial Inc                         | Corebridge Financial Inc                              | CUSIP: 21871X109<br>LEI: 549300XY1661QCIA7J65 | Short            | EC               | CORP              | US        |      -18366 | NS      | $-551347.32   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Corpay Inc                                       | Corpay Inc                                            | CUSIP: 219948106<br>LEI: 549300DG6RR0NQSFLN74 | Short            | EC               | CORP              | US        |       -1900 | NS      | $-562020.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Corteva Inc                                      | Corteva Inc                                           | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |       21581 | NS      | $1456070.07   | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| Costco Wholesale Corp                            | Costco Wholesale Corp                                 | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |         150 | NS      | $137038.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| CoStar Group Inc                                 | CoStar Group Inc                                      | CUSIP: 22160N109<br>LEI: 984500Q1D53D08E2E698 | Short            | EC               | CORP              | US        |        -908 | NS      | $-62470.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Crowdstrike Holdings Inc                         | Crowdstrike Holdings Inc                              | CUSIP: 22788C105<br>LEI: 549300YBY08K9KM4HX32 | Long             | EC               | CORP              | US        |        1400 | NS      | $712824.00    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Crown Castle Inc                                 | Crown Castle Inc                                      | CUSIP: 22822V101<br>LEI: 54930012H97VSM0I2R19 | Short            | EC               |  | US        |       -1614 | NS      | $-147325.92   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Cummins Inc                                      | Cummins Inc                                           | CUSIP: 231021106<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | EC               | CORP              | US        |        5436 | NS      | $2707019.28   | 0.36%             |  |  |  | No            |                  1 | On Loan: —       |
| Cytokinetics Inc                                 | Cytokinetics Inc                                      | CUSIP: 23282W605<br>LEI: 549300BE5DY1HW7IHA64 | Short            | EC               | CORP              | US        |       -1300 | NS      | $-88569.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DR Horton Inc                                    | DR Horton Inc                                         | CUSIP: 23331A109<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | EC               | CORP              | US        |       13340 | NS      | $2121193.40   | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| DTE Energy Co                                    | DTE Energy Co                                         | CUSIP: 233331107<br>LEI: 549300IX8SD6XXD71I78 | Long             | EC               | CORP              | US        |        4961 | NS      | $679805.83    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| DT Midstream Inc                                 | DT Midstream Inc                                      | CUSIP: 23345M107<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -4500 | NS      | $-546570.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Danaher Corp                                     | Danaher Corp                                          | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Short            | EC               | CORP              | US        |       -1601 | NS      | $-363074.78   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Darden Restaurants Inc                           | Darden Restaurants Inc                                | CUSIP: 237194105<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | EC               | CORP              | US        |        1800 | NS      | $323244.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Deckers Outdoor Corp                             | Deckers Outdoor Corp                                  | CUSIP: 243537107<br>LEI: 5493008LG4W3I6K8J118 | Long             | EC               | CORP              | US        |        7887 | NS      | $694292.61    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Dell Technologies Inc                            | Dell Technologies Inc                                 | CUSIP: 24703L202<br>LEI: 549300TJB5YBRUPOG437 | Long             | EC               | CORP              | US        |        5143 | NS      | $685819.05    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Delta Air Lines Inc                              | Delta Air Lines Inc                                   | CUSIP: 247361702<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | EC               | CORP              | US        |       16140 | NS      | $1034574.00   | 0.14%             |  |  |  | No            |                  1 | On Loan: —       |
| Devon Energy Corp                                | Devon Energy Corp                                     | CUSIP: 25179M103<br>LEI: 54930042348RKR3ZPN35 | Long             | EC               | CORP              | US        |       37287 | NS      | $1381856.22   | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| Dexcom Inc                                       | Dexcom Inc                                            | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Short            | EC               | CORP              | US        |      -12231 | NS      | $-776301.57   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Diamondback Energy Inc                           | Diamondback Energy Inc                                | CUSIP: 25278X109<br>LEI: 549300R22LSX6OHWEN64 | Short            | EC               | CORP              | US        |       -5281 | NS      | $-805827.79   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Dick's Sporting Goods Inc                        | Dick's Sporting Goods Inc                             | CUSIP: 253393102<br>LEI: 529900SSBV5I4LWSK313 | Long             | EC               | CORP              | US        |        3304 | NS      | $682507.28    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Digital Realty Trust Inc                         | Digital Realty Trust Inc                              | CUSIP: 253868103<br>LEI: 549300HKCZ31D08NEI41 | Short            | EC               |  | US        |      -15494 | NS      | $-2480899.28  | -0.33%            |  |  |  | No            |                  1 | On Loan: No      |
| Docusign Inc                                     | Docusign Inc                                          | CUSIP: 256163106<br>LEI: 549300Q7PVDWRZ39JG09 | Long             | EC               | CORP              | US        |        9790 | NS      | $678936.50    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Dolby Laboratories Inc                           | Dolby Laboratories Inc                                | CUSIP: 25659T107<br>LEI: 549300X04FB2QPCJ5J24 | Long             | EC               | CORP              | US        |       28102 | NS      | $1895479.90   | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| Dollar General Corp                              | Dollar General Corp                                   | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |        2329 | NS      | $255002.21    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Dollar Tree Inc                                  | Dollar Tree Inc                                       | CUSIP: 256746108<br>LEI: 549300PMSTQITB1WHR43 | Short            | EC               | CORP              | US        |       -6685 | NS      | $-740764.85   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| DOM REP CB NOTES                                 | Dominican Republic Central Bank Notes                 | CUSIP: 25714PEU8<br>LEI: 549300DTVR57NON7XL66 | Long             | DBT              | NUSS              | DO        |    25000000 | PA      | $400559.06    | 0.05%             | 2026-01-30      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                              | Dominion Energy Inc                                   | CUSIP: 25746U109<br>LEI: ILUL7B6Z54MRYCF6H308 | Short            | EC               | CORP              | US        |      -11900 | NS      | $-746963.00   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| DoorDash Inc                                     | DoorDash Inc                                          | CUSIP: 25809K105<br>LEI: 549300NUQ43FGGSK5051 | Long             | EC               | CORP              | US        |        2989 | NS      | $592927.93    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| DoorDash Inc                                     | DoorDash Inc                                          | CUSIP: 25809K105<br>LEI: 549300NUQ43FGGSK5051 | Short            | EC               | CORP              | US        |       -9984 | NS      | $-1980526.08  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CAD / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |           1 | NC      | $-85937.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $28667.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD THB                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $3437.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TH        |           1 | NC      | $-80195.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD THB                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $12827.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $44437.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $31707.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $179706.75    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED ZAR / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | ZA        |           1 | NC      | $9512.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED ZAR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |           1 | NC      | $71638.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |           1 | NC      | $177816.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |           1 | NC      | $175739.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED ZAR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |           1 | NC      | $204069.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |           1 | NC      | $57853.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD JPY                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $642632.84    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED MXN / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $58313.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED MXN / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |           1 | NC      | $55550.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $18390.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED TRY / SOLD USD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $111696.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED PEN / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PE        |           1 | NC      | $121445.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED PEN / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PE        |           1 | NC      | $312261.68    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CHF                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $935017.04    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD MXN                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-10943.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED ZAR / SOLD USD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |           1 | NC      | $4638.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED CAD / SOLD USD                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |           1 | NC      | $-8304.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED IDR / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |           1 | NC      | $73.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED ZAR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |           1 | NC      | $6708.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $1740.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED TRY / SOLD USD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $10175.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED IDR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ID        |           1 | NC      | $-150.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED IDR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ID        |           1 | NC      | $-12.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED PEN / SOLD USD                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | PE        |           1 | NC      | $16189.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED JPY / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |           1 | NC      | $-670613.32   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED PHP / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | PH        |           1 | NC      | $-2380.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED PHP / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | PH        |           1 | NC      | $-24777.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CZK                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-7043.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED GBP / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $-2617.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CZK                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1589.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CHF                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $39075.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CZK / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CZ        |           1 | NC      | $25108.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NOK / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NO        |           1 | NC      | $-5377.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED GBP / SOLD USD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $-11341.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED PEN / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PE        |           1 | NC      | $9102.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED MXN / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |           1 | NC      | $122245.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED MXN / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |           1 | NC      | $31703.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CHF                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $5192.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $16995.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CAD / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |           1 | NC      | $4419.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED ZAR / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |           1 | NC      | $5821.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED NOK / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |           1 | NC      | $-2654.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD SGD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $12386.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED GBP / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |           1 | NC      | $-19082.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED SEK / SOLD USD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $-1036.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD ZAR                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-16098.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD SEK                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $29548.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CZK                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $95.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD MXN                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-5408.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-2527.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD PHP                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $1028.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $458.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD IDR                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-99.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD NOK                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $11805.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $7156.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $19855.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $15470.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $8637.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $5509.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED SGD / SOLD USD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SG        |           1 | NC      | $-1737.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CHF                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $15827.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-256.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-254.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-119.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $2016.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD GBP                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-16346.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-4879.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD PHP                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-564.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-3437.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED SGD / SOLD USD                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SG        |           1 | NC      | $2048.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD IDR                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-1158.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD MXN                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-2698.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED GBP / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $35618.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD NOK                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-20306.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED TWD / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | TW        |           1 | NC      | $-6361.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED EUR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $540.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED EUR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $529.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-17815.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CZK                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-3779.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $3799.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED KRW / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-82354.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED SGD / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SG        |           1 | NC      | $2112.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD ILS                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-3433.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED AUD / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |           1 | NC      | $17619.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-26730.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED SGD / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SG        |           1 | NC      | $1066.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CLP                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-3913.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $2005.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD MXN                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-4131.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CLP / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CL        |           1 | NC      | $67943.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CLP                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-4828.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED COP / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $31821.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED COP / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $64468.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD PHP                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1775.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CHF / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CH        |           1 | NC      | $743.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED KRW / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | KR        |           1 | NC      | $-13286.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED KRW / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |           1 | NC      | $1171.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CHF / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CH        |           1 | NC      | $-7736.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD HKD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $10365.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-9299.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED EUR / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $777.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD NZD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-180519.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD AUD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-3297.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CAD / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |           1 | NC      | $6080.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $115.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $176.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED SGD / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | SG        |           1 | NC      | $911.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $1203.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD ZAR                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $1408.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD IDR                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1471.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED CAD / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $1087.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD GBP                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-5087.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED SEK / SOLD USD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $-4461.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD JPY                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $165212.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED MXN / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |           1 | NC      | $3103.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $7071.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED PHP / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PH        |           1 | NC      | $1094.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CLP                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-12491.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED IDR / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | ID        |           1 | NC      | $1269.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PEN                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-608.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD PHP                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1472.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD INR                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $23259.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED HUF / SOLD USD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |           1 | NC      | $21069.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED SEK / SOLD USD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $-795.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $929.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NZD / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |           1 | NC      | $10783.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD GBP                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-10356.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-900.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD PLN                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-3262.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED SEK / SOLD USD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $3846.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $14.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-16582.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-2600.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD PEN                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-839.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED SGD / SOLD USD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SG        |           1 | NC      | $2584.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD ILS                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-1407.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $3342.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD RON                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-15122.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED CAD / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |           1 | NC      | $31182.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD KRW                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-11392.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD CHF                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-17506.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED CAD / SOLD USD                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |           1 | NC      | $99267.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD PLN                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1180.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED THB / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $3687.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD PHP                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-1033.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-9548.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED AUD / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $126724.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD NZD                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-26415.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED JPY / SOLD USD                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |           1 | NC      | $94419.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD NZD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-25498.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |           1 | NC      | $122472.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD BRL                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-123649.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD BRL                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-45220.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |           1 | NC      | $45319.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD BRL                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-122204.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |           1 | NC      | $123920.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD JPY                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $4795.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED JPY / SOLD USD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | JP        |           1 | NC      | $5251.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED GBP / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $14567.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED SEK / SOLD USD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $10328.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED NOK / SOLD USD                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NO        |           1 | NC      | $517640.59    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-364613.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD BRL                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-99134.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED BRL / SOLD USD                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $99485.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD JPY                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $4382.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CAD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-9048.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED JPY / SOLD USD                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |           1 | NC      | $5634.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED USD / SOLD INR                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $388.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PURCHASED SGD / SOLD USD                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |           1 | NC      | $805.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PURCHASED MXN / SOLD USD                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |           1 | NC      | $1082.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PURCHASED USD / SOLD CLP                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1310.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED MXN / SOLD USD                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $41441.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD MXN                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-42103.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Dover Corp                                       | Dover Corp                                            | CUSIP: 260003108<br>LEI: 549300FMC2ALGA7N9E80 | Long             | EC               | CORP              | US        |        3613 | NS      | $669416.64    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Dow Inc                                          | Dow Inc                                               | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Short            | EC               | CORP              | US        |      -31843 | NS      | $-759455.55   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| DraftKings Inc                                   | DraftKings Inc                                        | CUSIP: 26142V105<br>LEI: 2549006G33IUL6IVOD83 | Short            | EC               | CORP              | US        |     -112022 | NS      | $-3714649.52  | -0.50%            |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corp                                 | Duke Energy Corp                                      | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |        3195 | NS      | $395988.30    | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| DuPont de Nemours Inc                            | DuPont de Nemours Inc                                 | CUSIP: 26614N102<br>LEI: 5493004JF0SDFLM8GD76 | Long             | EC               | CORP              | US        |       17000 | NS      | $676090.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| DuPont de Nemours Inc                            | DuPont de Nemours Inc                                 | CUSIP: 26614N102<br>LEI: 5493004JF0SDFLM8GD76 | Short            | EC               | CORP              | US        |      -33520 | NS      | $-1333090.40  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Dutch Bros Inc                                   | Dutch Bros Inc                                        | CUSIP: 26701L100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -9200 | NS      | $-539212.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| D-Wave Quantum Inc                               | D-Wave Quantum Inc                                    | CUSIP: 26740W109<br>LEI: 5493001U37G4PRD4GW95 | Short            | EC               | CORP              | US        |      -10400 | NS      | $-235768.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Dynatrace Inc                                    | Dynatrace Inc                                         | CUSIP: 268150109<br>LEI: 6488T0Z33CE9L61EX904 | Long             | EC               | CORP              | US        |       14827 | NS      | $660691.12    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| EOG Resources Inc                                | EOG Resources Inc                                     | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |       16940 | NS      | $1826979.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: —       |
| EQT Corp                                         | EQT Corp                                              | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Short            | EC               | CORP              | US        |      -41941 | NS      | $-2552529.26  | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| eBay Inc                                         | eBay Inc                                              | CUSIP: 278642103<br>LEI: OML71K8X303XQONU6T67 | Long             | EC               | CORP              | US        |       40156 | NS      | $3324515.24   | 0.44%             |  |  |  | No            |                  1 | On Loan: —       |
| EchoStar Corp                                    | EchoStar Corp                                         | CUSIP: 278768106<br>LEI: 549300EE20907QZ9GT38 | Short            | EC               | CORP              | US        |       -2700 | NS      | $-197883.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Ecolab Inc                                       | Ecolab Inc                                            | CUSIP: 278865100<br>LEI: 82DYEISM090VG8LTLS26 | Short            | EC               | CORP              | US        |        -409 | NS      | $-112540.44   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Edwards Lifesciences Corp                        | Edwards Lifesciences Corp                             | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |        8874 | NS      | $769109.58    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Electronic Arts Inc                              | Electronic Arts Inc                                   | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |       98086 | NS      | $19816314.58  | 2.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Empire Co Ltd                                    | Empire Co Ltd                                         | CUSIP: 291843407<br>LEI: 549300TX0ZUSTEF7C719 | Long             | EC               | CORP              | CA        |       18600 | NS      | $684797.31    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Enbridge Inc                                     | Enbridge Inc                                          | CUSIP: 29250N105<br>LEI: 98TPTUM4IVMFCZBCUR27 | Short            | EC               | CORP              | CA        |      -24915 | NS      | $-1215353.70  | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Entegris Inc                                     | Entegris Inc                                          | CUSIP: 29362U104<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | EC               | CORP              | US        |       18236 | NS      | $1406725.04   | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| EPAM Systems Inc                                 | EPAM Systems Inc                                      | CUSIP: 29414B104<br>LEI: 549300XCR4R530HJP604 | Long             | EC               | CORP              | US        |        3292 | NS      | $615604.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Equifax Inc                                      | Equifax Inc                                           | CUSIP: 294429105<br>LEI: 5493004MCF8JDC86VS77 | Short            | EC               | CORP              | US        |       -1976 | NS      | $-419643.12   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Erie Indemnity Co                                | Erie Indemnity Co                                     | CUSIP: 29530P102<br>LEI: 549300WA5KP94KRUFZ80 | Short            | EC               | CORP              | US        |       -6989 | NS      | $-2065179.61  | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| Essential Utilities Inc                          | Essential Utilities Inc                               | CUSIP: 29670G102<br>LEI: 549300ILTEOF3E3QY357 | Long             | EC               | CORP              | US        |        4378 | NS      | $173325.02    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Essential Utilities Inc                          | Essential Utilities Inc                               | CUSIP: 29670G102<br>LEI: 549300ILTEOF3E3QY357 | Short            | EC               | CORP              | US        |       -2900 | NS      | $-114811.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Evergy Inc                                       | Evergy Inc                                            | CUSIP: 30034W106<br>LEI: 549300PGTHDQY6PSUI61 | Long             | EC               | CORP              | US        |        9875 | NS      | $766793.75    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Exact Sciences Corp                              | Exact Sciences Corp                                   | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | EC               | CORP              | US        |       84671 | NS      | $8576325.59   | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Exact Sciences Corp                              | Exact Sciences Corp                                   | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Short            | EC               | CORP              | US        |       -7800 | NS      | $-790062.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Exelon Corp                                      | Exelon Corp                                           | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |       15971 | NS      | $752553.52    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Expedia Group Inc                                | Expedia Group Inc                                     | CUSIP: 30212P303<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | EC               | CORP              | US        |        8071 | NS      | $2063673.99   | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| Expeditors International of Washington Inc       | Expeditors International of Washington Inc            | CUSIP: 302130109<br>LEI: 984500B055A804AB6E40 | Long             | EC               | CORP              | US        |        1176 | NS      | $172754.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Exxon Mobil Corp                                 | Exxon Mobil Corp                                      | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Short            | EC               | CORP              | US        |       -1311 | NS      | $-151971.12   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FTI Consulting Inc                               | FTI Consulting Inc                                    | CUSIP: 302941109<br>LEI: 549300K17GM8EQD0FQ48 | Long             | EC               | CORP              | US        |       12029 | NS      | $1962531.35   | 0.26%             |  |  |  | No            |                  1 | On Loan: —       |
| Meta Platforms Inc                               | Meta Platforms Inc                                    | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |       16046 | NS      | $10397005.70  | 1.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Fair Isaac Corp                                  | Fair Isaac Corp                                       | CUSIP: 303250104<br>LEI: RI6HET5SJUEY30V1PS26 | Short            | EC               | CORP              | US        |       -2031 | NS      | $-3667640.73  | -0.49%            |  |  |  | No            |                  1 | On Loan: No      |
| Fairfax Financial Holdings Ltd                   | Fairfax Financial Holdings Ltd                        | CUSIP: 303901102<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | EC               | CORP              | CA        |         200 | NS      | $344388.71    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BT Group PLC                                     | BT Group PLC                                          | CUSIP: 000000000<br>LEI: 213800LRO7NS5CYQMN21 | Long             | EC               | CORP              | GB        |     1265797 | NS      | $3035479.59   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| Fastenal Co                                      | Fastenal Co                                           | CUSIP: 311900104<br>LEI: 529900PP0C7H2HHPSJ32 | Short            | EC               | CORP              | US        |      -49140 | NS      | $-1985256.00  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| FedEx Corp                                       | FedEx Corp                                            | CUSIP: 31428X106<br>LEI: 549300E707U7WNPZN687 | Long             | EC               | CORP              | US        |        4885 | NS      | $1346696.80   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity National Information Services Inc       | Fidelity National Information Services Inc            | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Short            | EC               | CORP              | US        |      -63605 | NS      | $-4183300.85  | -0.56%            |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity National Financial Inc                  | Fidelity National Financial Inc                       | CUSIP: 31620R303<br>LEI: 549300CAZYIH39SYQ287 | Long             | EC               | CORP              | US        |        8893 | NS      | $528510.99    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Intertek Group PLC                               | Intertek Group PLC                                    | CUSIP: 000000000<br>LEI: 2138003GAT25WW1RN369 | Long             | EC               | CORP              | GB        |        2166 | NS      | $132533.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                              | Fifth Third Bancorp                                   | CUSIP: 316773100<br>LEI: THRNG6BD57P9QWTQLG42 | Short            | EC               | CORP              | US        |     -479479 | NS      | $-20838157.34 | -2.78%            |  |  |  | No            |                  1 | On Loan: No      |
| First Citizens BancShares Inc/NC                 | First Citizens BancShares Inc/NC                      | CUSIP: 31946M103<br>LEI: 549300N3Z00ZHE2XC526 | Short            | EC               | CORP              | US        |        -403 | NS      | $-756789.67   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Next PLC                                         | Next PLC                                              | CUSIP: 000000000<br>LEI: 213800WQD8ECPZP9PH98 | Long             | EC               | CORP              | GB        |        4210 | NS      | $787390.13    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingfisher PLC                                   | Kingfisher PLC                                        | CUSIP: 000000000<br>LEI: 213800KBMEV7I92FY281 | Long             | EC               | CORP              | GB        |      285300 | NS      | $1155339.28   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| FirstService Corp                                | FirstService Corp                                     | CUSIP: 33767E202<br>LEI: 5493000XUDIV75BCF118 | Long             | EC               | CORP              | CA        |        2000 | NS      | $314487.10    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fiserv Inc                                       | Fiserv Inc                                            | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Short            | EC               | CORP              | US        |       -7129 | NS      | $-438219.63   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Ford Motor Co                                    | Ford Motor Co                                         | CUSIP: 345370860<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | EC               | CORP              | US        |      198684 | NS      | $2638523.52   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Fortive Corp                                     | Fortive Corp                                          | CUSIP: 34959J108<br>LEI: 549300MU9YQJYHDQEF63 | Short            | EC               | CORP              | US        |      -14486 | NS      | $-774711.28   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Fox Corp                                         | Fox Corp                                              | CUSIP: 35137L105<br>LEI: 549300DDU6FDRBIELS05 | Short            | EC               | CORP              | US        |     -209990 | NS      | $-13754345.00 | -1.84%            |  |  |  | No            |                  1 | On Loan: No      |
| Fox Corp                                         | Fox Corp                                              | CUSIP: 35137L204<br>LEI: 549300DDU6FDRBIELS05 | Long             | EC               | CORP              | US        |      247744 | NS      | $14433565.44  | 1.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Franco-Nevada Corp                               | Franco-Nevada Corp                                    | CUSIP: 351858105<br>LEI: 98450064C1B5D3E94864 | Short            | EC               | CORP              | CA        |       -5666 | NS      | $-1188953.44  | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Freshpet Inc                                     | Freshpet Inc                                          | CUSIP: 358039105<br>LEI: 549300S4ZK8ZQ6HNPN59 | Short            | EC               | CORP              | US        |       -2300 | NS      | $-131468.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Frontier Communications Parent Inc               | Frontier Communications Parent Inc                    | CUSIP: 35909D109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      225711 | NS      | $8558961.12   | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Futu Holdings Ltd                                | Futu Holdings Ltd                                     | CUSIP: 36118L106<br>LEI: 213800X4W4ZRESFPTQ37 | Long             | EC               | CORP              | KY        |        4063 | NS      | $689328.58    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| GFL Environmental Inc                            | GFL Environmental Inc                                 | CUSIP: 36168Q104<br>LEI: 894500E7NLBY9VZRT696 | Short            | EC               | CORP              | CA        |      -20615 | NS      | $-937364.05   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| GFL Environmental Inc                            | GFL Environmental Inc                                 | CUSIP: 36168Q104<br>LEI: 894500E7NLBY9VZRT696 | Short            | EC               | CORP              | CA        |       -1700 | NS      | $-77345.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ESC GCI LIBERTY INC SR                           | ESC GCI LIBERTY INC SR                                | CUSIP: 361ESC049<br>LEI: 5493003JDENERRDYFN86 | Long             | EC               | CORP              | US        |       95635 | NS      | $0.10         | 0.00%             |  |  |  | No            |                  3 | On Loan: —       |
| GMO US Treasury Fund                             | GMO US Treasury Fund                                  | CUSIP: 362013369<br>LEI: 0NIBQB0NDRTFX04R2J69 | Long             | EC               | RF                | US        |     4990020 | NS      | $25000000.00  | 3.34%             |  |  |  | No            |                  1 | On Loan: No      |
| GE HealthCare Technologies Inc                   | GE HealthCare Technologies Inc                        | CUSIP: 36266G107<br>LEI: 549300OI9J7XOWZMUN85 | Long             | EC               | CORP              | US        |       37271 | NS      | $2981307.29   | 0.40%             |  |  |  | No            |                  1 | On Loan: —       |
| Arthur J Gallagher & Co                          | Arthur J Gallagher & Co                               | CUSIP: 363576109<br>LEI: 54930049QLLMPART6V29 | Short            | EC               | CORP              | US        |       -9560 | NS      | $-2367247.20  | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| Gaming and Leisure Properties Inc                | Gaming and Leisure Properties Inc                     | CUSIP: 36467J108<br>LEI: 5493006GWRDBCZYWTM57 | Long             | EC               |  | US        |       16091 | NS      | $700441.23    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| GameStop Corp                                    | GameStop Corp                                         | CUSIP: 36467W109<br>LEI: 549300505KLOET039L77 | Short            | EC               | CORP              | US        |      -28300 | NS      | $-637599.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| GameStop Corp                                    | GameStop Corp                                         | CUSIP: 36467W117<br>LEI: 549300505KLOET039L77 | N/A              | DE               |  | US        |       -1710 | NS      | $-5711.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Gartner Inc                                      | Gartner Inc                                           | CUSIP: 366651107<br>LEI: PP55B5R38BFB8O8HH686 | Short            | EC               | CORP              | US        |       -3025 | NS      | $-704038.50   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| GE Vernova Inc                                   | GE Vernova Inc                                        | CUSIP: 36828A101<br>LEI: 254900DP080RU6OK2553 | Short            | EC               | CORP              | US        |       -1826 | NS      | $-1095180.02  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| General Mills Inc                                | General Mills Inc                                     | CUSIP: 370334104<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | EC               | CORP              | US        |        5060 | NS      | $239591.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| General Motors Co                                | General Motors Co                                     | CUSIP: 37045V100<br>LEI: 54930070NSV60J38I987 | Long             | EC               | CORP              | US        |       38174 | NS      | $2806552.48   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Gitlab Inc                                       | Gitlab Inc                                            | CUSIP: 37637K108<br>LEI: 9845004Y40FACG81ED49 | Long             | EC               | CORP              | US        |       16500 | NS      | $677490.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Glaukos Corp                                     | Glaukos Corp                                          | CUSIP: 377322102<br>LEI: 5299004JA1LHE21M6T14 | Short            | EC               | CORP              | US        |       -3900 | NS      | $-414531.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| GSK PLC                                          | GSK PLC                                               | CUSIP: 37733W204<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |       49806 | NS      | $2383715.16   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Global Payments Inc                              | Global Payments Inc                                   | CUSIP: 37940X102<br>LEI: 549300NOMHGVQBX6S778 | Long             | EC               | CORP              | US        |        3927 | NS      | $297509.52    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Globus Medical Inc                               | Globus Medical Inc                                    | CUSIP: 379577208<br>LEI: 5299003M2P4CIK0RF205 | Long             | EC               | CORP              | US        |       45607 | NS      | $4152061.28   | 0.55%             |  |  |  | No            |                  1 | On Loan: —       |
| Goldman Sachs Group Inc/The                      | Goldman Sachs Group Inc/The                           | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |         942 | NS      | $778129.68    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| American Healthcare REIT Inc                     | American Healthcare REIT Inc                          | CUSIP: 398182303<br>LEI: 2549004GGE2APGNT6O92 | Short            | EC               |  | US        |      -12200 | NS      | $-619516.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Guardant Health Inc                              | Guardant Health Inc                                   | CUSIP: 40131M109<br>LEI: 254900M8C3E5VC8BR186 | Short            | EC               | CORP              | US        |       -2500 | NS      | $-271050.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Guidewire Software Inc                           | Guidewire Software Inc                                | CUSIP: 40171V100<br>LEI: 549300WXSG0J8IXZCK32 | Short            | EC               | CORP              | US        |       -8600 | NS      | $-1857428.00  | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| adidas AG                                        | adidas AG                                             | CUSIP: 000000000<br>LEI: 549300JSX0Z4CW0V5023 | Short            | EC               | CORP              | DE        |        -337 | NS      | $-62769.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HP Inc                                           | HP Inc                                                | CUSIP: 40434L105<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | EC               | CORP              | US        |      107961 | NS      | $2636407.62   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| L'Oreal SA                                       | L'Oreal SA                                            | CUSIP: 000000000<br>LEI: 529900JI1GG6F7RKVI53 | Long             | EC               | CORP              | FR        |         146 | NS      | $63683.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LVMH Moet Hennessy Louis Vuitton SE              | LVMH Moet Hennessy Louis Vuitton SE                   | CUSIP: 000000000<br>LEI: IOG4E947OATN0KJYSD45 | Long             | EC               | CORP              | FR        |        3385 | NS      | $2501932.93   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Capgemini SE                                     | Capgemini SE                                          | CUSIP: 000000000<br>LEI: 96950077L0TN7BAROX36 | Long             | EC               | CORP              | FR        |        2331 | NS      | $365226.87    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                 | Hartford Insurance Group Inc/The                      | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |        6710 | NS      | $919471.30    | 0.12%             |  |  |  | No            |                  1 | On Loan: —       |
| HealthEquity Inc                                 | HealthEquity Inc                                      | CUSIP: 42226A107<br>LEI: 529900LRJU1RAFQHM467 | Short            | EC               | CORP              | US        |       -1900 | NS      | $-199842.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Healthcare Realty Trust Inc                      | Healthcare Realty Trust Inc                           | CUSIP: 42226K105<br>LEI: 549300L0I14L7I0VLX84 | Short            | EC               |  | US        |      -11000 | NS      | $-200530.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Lotus Bakeries NV                                | Lotus Bakeries NV                                     | CUSIP: 000000000<br>LEI: 5493004C0K34IFI67I03 | Short            | EC               | CORP              | BE        |         -51 | NS      | $-458272.88   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Healthpeak Properties Inc                        | Healthpeak Properties Inc                             | CUSIP: 42250P103<br>LEI: 254900M6MTMZM0I22L81 | Short            | EC               |  | US        |      -58300 | NS      | $-1064558.00  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Hecla Mining Co                                  | Hecla Mining Co                                       | CUSIP: 422704106<br>LEI: 5493009Y6HOBZD1QD537 | Short            | EC               | CORP              | US        |      -18800 | NS      | $-316216.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| AP Moller - Maersk A/S                           | AP Moller - Maersk A/S                                | CUSIP: 000000000<br>LEI: 549300D2K6PKKKXVNN73 | Long             | EC               | CORP              | DK        |         950 | NS      | $1900992.32   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                           | AP Moller - Maersk A/S                                | CUSIP: 000000000<br>LEI: 549300D2K6PKKKXVNN73 | Long             | EC               | CORP              | DK        |         648 | NS      | $1299862.26   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Jack Henry & Associates Inc                      | Jack Henry & Associates Inc                           | CUSIP: 426281101<br>LEI: 529900X1QS8C54W0JB21 | Long             | EC               | CORP              | US        |       17967 | NS      | $3134882.16   | 0.42%             |  |  |  | No            |                  1 | On Loan: —       |
| Hershey Co/The                                   | Hershey Co/The                                        | CUSIP: 427866108<br>LEI: 21X2CX66SU2BR6QTAD08 | Short            | EC               | CORP              | US        |        -741 | NS      | $-139367.28   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Hewlett Packard Enterprise Co                    | Hewlett Packard Enterprise Co                         | CUSIP: 42824C109<br>LEI: 549300BX44RGX6ANDV88 | Long             | EC               | CORP              | US        |      108976 | NS      | $2383305.12   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Hillenbrand Inc                                  | Hillenbrand Inc                                       | CUSIP: 431571108<br>LEI: U246OE781574J2BUD366 | Long             | EC               | CORP              | US        |      134723 | NS      | $4289580.32   | 0.57%             |  |  |  | No            |                  1 | On Loan: —       |
| Hilton Worldwide Holdings Inc                    | Hilton Worldwide Holdings Inc                         | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |        8908 | NS      | $2539047.24   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Hologic Inc                                      | Hologic Inc                                           | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |      114257 | NS      | $8565847.29   | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Houlihan Lokey Inc                               | Houlihan Lokey Inc                                    | CUSIP: 441593100<br>LEI: 549300S3CNGTQ1QZVY46 | Long             | EC               | CORP              | US        |        7107 | NS      | $1246567.80   | 0.17%             |  |  |  | No            |                  1 | On Loan: —       |
| Howmet Aerospace Inc                             | Howmet Aerospace Inc                                  | CUSIP: 443201108<br>LEI: 549300HO5WFZUT5N2T22 | Long             | EC               | CORP              | US        |        3623 | NS      | $741229.57    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| HubSpot Inc                                      | HubSpot Inc                                           | CUSIP: 443573100<br>LEI: 529900BLNVEW0MVKJB37 | Short            | EC               | CORP              | US        |       -7939 | NS      | $-2916153.48  | -0.39%            |  |  |  | No            |                  1 | On Loan: No      |
| Humana Inc                                       | Humana Inc                                            | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |        4300 | NS      | $1056811.00   | 0.14%             |  |  |  | No            |                  1 | On Loan: —       |
| JB Hunt Transport Services Inc                   | JB Hunt Transport Services Inc                        | CUSIP: 445658107<br>LEI: 549300XCD1MPI1C5GK90 | Short            | EC               | CORP              | US        |        -395 | NS      | $-68714.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bancshares Inc/OH                     | Huntington Bancshares Inc/OH                          | CUSIP: 446150104<br>LEI: 549300XTVCVV9I7B5T19 | Long             | EC               | CORP              | US        |      534405 | NS      | $8710801.50   | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bancshares Inc/OH                     | Huntington Bancshares Inc/OH                          | CUSIP: 446150104<br>LEI: 549300XTVCVV9I7B5T19 | Short            | EC               | CORP              | US        |     -790104 | NS      | $-12878695.20 | -1.72%            |  |  |  | No            |                  1 | On Loan: No      |
| Hyatt Hotels Corp                                | Hyatt Hotels Corp                                     | CUSIP: 448579102<br>LEI: T27JQIMTYSH41TCD5186 | Short            | EC               | CORP              | US        |      -25279 | NS      | $-4155614.81  | -0.55%            |  |  |  | No            |                  1 | On Loan: No      |
| Kingspan Group PLC                               | Kingspan Group PLC                                    | CUSIP: 000000000<br>LEI: 635400HM7V74SUB9OG75 | Long             | EC               | CORP              | IE        |        5794 | NS      | $497383.28    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| IGM Financial Inc                                | IGM Financial Inc                                     | CUSIP: 449586106<br>LEI: 254900RYHLVJNTUFDA95 | Long             | EC               | CORP              | CA        |       19406 | NS      | $792237.50    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                     | KBC Group NV                                          | CUSIP: 000000000<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | EC               | CORP              | BE        |        1203 | NS      | $148092.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| iA Financial Corp Inc                            | iA Financial Corp Inc                                 | CUSIP: 45075E104<br>LEI: 549300ZXLJVHQAIXV215 | Long             | EC               | CORP              | CA        |        3100 | NS      | $366156.93    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| IDEXX Laboratories Inc                           | IDEXX Laboratories Inc                                | CUSIP: 45168D104<br>LEI: OGMTXK0LUU1HKV2P0J84 | Long             | EC               | CORP              | US        |        1008 | NS      | $758903.04    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Illumina Inc                                     | Illumina Inc                                          | CUSIP: 452327109<br>LEI: SQ95QG8SR5Q56LSNF682 | Short            | EC               | CORP              | US        |       -7222 | NS      | $-949331.90   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Wartsila OYJ Abp                                 | Wartsila OYJ Abp                                      | CUSIP: 000000000<br>LEI: 743700G7A9J1PHM3X223 | Long             | EC               | CORP              | FI        |       23564 | NS      | $764857.25    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Incyte Corp                                      | Incyte Corp                                           | CUSIP: 45337C102<br>LEI: 549300Z4WN6JVZ3T4680 | Long             | EC               | CORP              | US        |       28866 | NS      | $3015342.36   | 0.40%             |  |  |  | No            |                  1 | On Loan: —       |
| GEA Group AG                                     | GEA Group AG                                          | CUSIP: 000000000<br>LEI: 549300PHUU0ZZWO8EO07 | Long             | EC               | CORP              | DE        |        1226 | NS      | $83071.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ingersoll Rand Inc                               | Ingersoll Rand Inc                                    | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Short            | EC               | CORP              | US        |       -9108 | NS      | $-731736.72   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Insmed Inc                                       | Insmed Inc                                            | CUSIP: 457669307<br>LEI: 529900Q55QAG41CCAC11 | Short            | EC               | CORP              | US        |       -6200 | NS      | $-1288174.00  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Installed Building Products Inc                  | Installed Building Products Inc                       | CUSIP: 45780R101<br>LEI: 549300I95Y9P9YM5FI86 | Long             | EC               | CORP              | US        |        2311 | NS      | $619394.22    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| Insulet Corp                                     | Insulet Corp                                          | CUSIP: 45784P101<br>LEI: 549300TZTYD2PYN92D43 | Short            | EC               | CORP              | US        |       -9975 | NS      | $-3263720.25  | -0.44%            |  |  |  | No            |                  1 | On Loan: No      |
| Intel Corp                                       | Intel Corp                                            | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |       67322 | NS      | $2730580.32   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Intel Corp                                       | Intel Corp                                            | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Short            | EC               | CORP              | US        |      -28265 | NS      | $-1146428.40  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Interactive Brokers Group Inc                    | Interactive Brokers Group Inc                         | CUSIP: 45841N107<br>LEI: 5493004DT6DCDUZNDM53 | Short            | EC               | CORP              | US        |       -1900 | NS      | $-123538.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| International Business Machines Corp             | International Business Machines Corp                  | CUSIP: 459200101<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | EC               | CORP              | US        |        5184 | NS      | $1599678.72   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| International Flavors & Fragrances Inc           | International Flavors & Fragrances Inc                | CUSIP: 459506101<br>LEI: BZLRL03D3GPGMOGFO832 | Short            | EC               | CORP              | US        |      -32929 | NS      | $-2287906.92  | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Genmab A/S                                       | Genmab A/S                                            | CUSIP: 000000000<br>LEI: 529900MTJPDPE4MHJ122 | Long             | EC               | CORP              | DK        |        9349 | NS      | $3003686.99   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Continental AG                                   | Continental AG                                        | CUSIP: 000000000<br>LEI: 529900A7YD9C0LLXM621 | Long             | EC               | CORP              | DE        |       13572 | NS      | $1010314.23   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| International Paper Co                           | International Paper Co                                | CUSIP: 460146103<br>LEI: 824LMFJDH41EY779Q875 | Long             | EC               | CORP              | US        |       28500 | NS      | $1125180.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| International Paper Co                           | International Paper Co                                | CUSIP: 460146103<br>LEI: 824LMFJDH41EY779Q875 | Short            | EC               | CORP              | US        |      -19963 | NS      | $-788139.24   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical Inc                           | Intuitive Surgical Inc                                | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |        4835 | NS      | $2772775.80   | 0.37%             |  |  |  | No            |                  1 | On Loan: —       |
| Deutsche Post AG                                 | Deutsche Post AG                                      | CUSIP: 000000000<br>LEI: 8ER8GIG7CSMVD8VUFE78 | Long             | EC               | CORP              | DE        |       14555 | NS      | $757505.36    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Invitation Homes Inc                             | Invitation Homes Inc                                  | CUSIP: 46187W107<br>LEI: N/A                  | Short            | EC               |  | US        |       -3800 | NS      | $-107160.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Ionis Pharmaceuticals Inc                        | Ionis Pharmaceuticals Inc                             | CUSIP: 462222100<br>LEI: 549300SI4ZGLG0BLUZ92 | Short            | EC               | CORP              | US        |       -1100 | NS      | $-91003.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| IonQ Inc                                         | IonQ Inc                                              | CUSIP: 46222L108<br>LEI: 529900RB2VEFGLQS7G28 | Short            | EC               | CORP              | US        |      -34400 | NS      | $-1695920.00  | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| IQVIA Holdings Inc                               | IQVIA Holdings Inc                                    | CUSIP: 46266C105<br>LEI: 549300W3R20NM4KQPH86 | Short            | EC               | CORP              | US        |       -2609 | NS      | $-600096.09   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Iron Mountain Inc                                | Iron Mountain Inc                                     | CUSIP: 46284V101<br>LEI: SQL3F6CKNNBM3SQGHX24 | Short            | EC               |  | US        |       -2200 | NS      | $-189970.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| OMV AG                                           | OMV AG                                                | CUSIP: 000000000<br>LEI: 549300V62YJ9HTLRI486 | Long             | EC               | CORP              | AT        |       12408 | NS      | $686549.32    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Verbund AG                                       | Verbund AG                                            | CUSIP: 000000000<br>LEI: 5299006UDSEJCTTEJS30 | Long             | EC               | CORP              | AT        |         474 | NS      | $34948.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                              | JPMorgan Chase & Co                                   | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |         442 | NS      | $138381.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Jacobs Solutions Inc                             | Jacobs Solutions Inc                                  | CUSIP: 46982L108<br>LEI: 254900E3KHXCC2C8K272 | Long             | EC               | CORP              | US        |        1077 | NS      | $145190.37    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Renault SA                                       | Renault SA                                            | CUSIP: 000000000<br>LEI: 969500F7JLTX36OUI695 | Short            | EC               | CORP              | FR        |      -12760 | NS      | $-511501.12   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                    | Jefferies Financial Group Inc                         | CUSIP: 47233W109<br>LEI: 549300HOF34RGOJ5YL07 | Short            | EC               | CORP              | US        |       -1500 | NS      | $-86340.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Johnson & Johnson                                | Johnson & Johnson                                     | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |       27163 | NS      | $5620567.96   | 0.75%             |  |  |  | No            |                  1 | On Loan: —       |
| DEVELOPMENT BANK OF KAZA                         | Development Bank of Kazakhstan JSC                    | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        |   183000000 | PA      | $357926.16    | 0.05%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| Sofina SA                                        | Sofina SA                                             | CUSIP: 000000000<br>LEI: 5493000GMVR38VUO5D39 | Long             | EC               | CORP              | BE        |         290 | NS      | $81793.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KLA Corp                                         | KLA Corp                                              | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |        1779 | NS      | $2091161.13   | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| KKR & Co Inc                                     | KKR & Co Inc                                          | CUSIP: 48251W104<br>LEI: 54930013V5I303TF9571 | Short            | EC               | CORP              | US        |      -25699 | NS      | $-3143244.69  | -0.42%            |  |  |  | No            |                  1 | On Loan: No      |
| Kadant Inc                                       | Kadant Inc                                            | CUSIP: 48282T104<br>LEI: 549300K06LNJYBMPYP15 | Long             | EC               | CORP              | US        |        3806 | NS      | $1058524.72   | 0.14%             |  |  |  | No            |                  1 | On Loan: —       |
| Schneider Electric SE                            | Schneider Electric SE                                 | CUSIP: 000000000<br>LEI: 969500A1YF1XUYYXS284 | Long             | EC               | CORP              | FR        |        1898 | NS      | $510762.22    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| SAP SE                                           | SAP SE                                                | CUSIP: 000000000<br>LEI: 529900D6BF99LW9R2E68 | Long             | EC               | CORP              | DE        |       13216 | NS      | $3190473.96   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Kellanova                                        | Kellanova                                             | CUSIP: 487836108<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | EC               | CORP              | US        |       76241 | NS      | $6376797.24   | 0.85%             |  |  |  | No            |                  1 | On Loan: —       |
| Kenvue Inc                                       | Kenvue Inc                                            | CUSIP: 49177J102<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | EC               | CORP              | US        |      784174 | NS      | $13605418.90  | 1.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Keurig Dr Pepper Inc                             | Keurig Dr Pepper Inc                                  | CUSIP: 49271V100<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Short            | EC               | CORP              | US        |      -19600 | NS      | $-546840.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| KeyCorp                                          | KeyCorp                                               | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Short            | EC               | CORP              | US        |       -3000 | NS      | $-55140.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Keyera Corp                                      | Keyera Corp                                           | CUSIP: 493271100<br>LEI: 254900LXI62FUHZGH122 | Short            | EC               | CORP              | CA        |      -21500 | NS      | $-694640.24   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Keysight Technologies Inc                        | Keysight Technologies Inc                             | CUSIP: 49338L103<br>LEI: 549300GLKVIO8YRCYN02 | Short            | EC               | CORP              | US        |       -3901 | NS      | $-772202.95   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| E.ON SE                                          | E.ON SE                                               | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | EC               | CORP              | DE        |      121860 | NS      | $2170600.03   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp                              | Kimberly-Clark Corp                                   | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |       16794 | NS      | $1832561.28   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Kimberly-Clark Corp                              | Kimberly-Clark Corp                                   | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Short            | EC               | CORP              | US        |     -114687 | NS      | $-12514645.44 | -1.67%            |  |  |  | No            |                  1 | On Loan: No      |
| Kimco Realty Corp                                | Kimco Realty Corp                                     | CUSIP: 49446R109<br>LEI: 254900ARY41P4V1JL861 | Long             | EC               |  | US        |       35521 | NS      | $733863.86    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Kimco Realty Corp                                | Kimco Realty Corp                                     | CUSIP: 49446R109<br>LEI: 254900ARY41P4V1JL861 | Short            | EC               |  | US        |      -27600 | NS      | $-570216.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Kinder Morgan Inc                                | Kinder Morgan Inc                                     | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |        6928 | NS      | $189272.96    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Kinross Gold Corp                                | Kinross Gold Corp                                     | CUSIP: 496902404<br>LEI: 254900O9KHF2A1ZXPT47 | Long             | EC               | CORP              | CA        |        3000 | NS      | $84539.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Kraft Heinz Co/The                               | Kraft Heinz Co/The                                    | CUSIP: 500754106<br>LEI: 9845007488EC87F5AF14 | Long             | EC               | CORP              | US        |      127183 | NS      | $3244438.33   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Kraft Heinz Co/The                               | Kraft Heinz Co/The                                    | CUSIP: 500754106<br>LEI: 9845007488EC87F5AF14 | Short            | EC               | CORP              | US        |      -21548 | NS      | $-549689.48   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Kratos Defense & Security Solutions Inc          | Kratos Defense & Security Solutions Inc               | CUSIP: 50077B207<br>LEI: 5493000EKBN0UY1F3F88 | Short            | EC               | CORP              | US        |       -2600 | NS      | $-197860.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Kroger Co/The                                    | Kroger Co/The                                         | CUSIP: 501044101<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | EC               | CORP              | US        |        9501 | NS      | $639227.28    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| LPL Financial Holdings Inc                       | LPL Financial Holdings Inc                            | CUSIP: 50212V100<br>LEI: 549300XROQ4Y8G2L7682 | Long             | EC               | CORP              | US        |        2179 | NS      | $775811.16    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Bayer AG                                         | Bayer AG                                              | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | EC               | CORP              | DE        |       54308 | NS      | $1921345.30   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer AG                                         | Bayer AG                                              | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Short            | EC               | CORP              | DE        |      -21550 | NS      | $-762410.53   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Stora Enso Oyj                                   | Stora Enso Oyj                                        | CUSIP: 000000000<br>LEI: 7437000ZP669LKUTZ738 | Short            | EC               | CORP              | FI        |      -39520 | NS      | $-465069.60   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Heidelberg Materials AG                          | Heidelberg Materials AG                               | CUSIP: 000000000<br>LEI: LZ2C6E0W5W7LQMX5ZI37 | Long             | EC               | CORP              | DE        |        2983 | NS      | $765974.11    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Lam Research Corp                                | Lam Research Corp                                     | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |       41837 | NS      | $6526572.00   | 0.87%             |  |  |  | No            |                  1 | On Loan: —       |
| Lamb Weston Holdings Inc                         | Lamb Weston Holdings Inc                              | CUSIP: 513272104<br>LEI: 5493005SMYID1D2OY946 | Long             | EC               | CORP              | US        |       19400 | NS      | $1145764.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: —       |
| Marzetti Company/The                             | Marzetti Company/The                                  | CUSIP: 513847103<br>LEI: 529900X4O13HED1ZAS58 | Long             | EC               | CORP              | US        |       12260 | NS      | $2046684.40   | 0.27%             |  |  |  | No            |                  1 | On Loan: —       |
| ASM International NV                             | ASM International NV                                  | CUSIP: 000000000<br>LEI: 7245001I22ND6ZFHX623 | Long             | EC               | CORP              | NL        |         508 | NS      | $281014.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Latam Airlines Group SA                          | Latam Airlines Group SA                               | CUSIP: 51817R205<br>LEI: 549300HX3UUDPEFTG707 | Short            | EC               | CORP              | CL        |      -20022 | NS      | $-965661.06   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Estee Lauder Cos Inc/The                         | Estee Lauder Cos Inc/The                              | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Short            | EC               | CORP              | US        |       -7616 | NS      | $-716437.12   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Randstad NV                                      | Randstad NV                                           | CUSIP: 000000000<br>LEI: 7245009EAAUUQJ0U4T57 | Long             | EC               | CORP              | NL        |        6603 | NS      | $256962.41    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Legend Biotech Corp                              | Legend Biotech Corp                                   | CUSIP: 52490G102<br>LEI: 254900EIUFZTW136H859 | Short            | EC               | CORP              | KY        |       -1300 | NS      | $-36023.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Leidos Holdings Inc                              | Leidos Holdings Inc                                   | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |        3965 | NS      | $757711.50    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Hermes International SCA                         | Hermes International SCA                              | CUSIP: 000000000<br>LEI: 969500Y4IJGHJE2MTJ13 | Short            | EC               | CORP              | FR        |        -773 | NS      | $-1886385.63  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Lennar Corp                                      | Lennar Corp                                           | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |       15992 | NS      | $2099749.60   | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| Lennox International Inc                         | Lennox International Inc                              | CUSIP: 526107107<br>LEI: S7DWAC87RDMPBF77GJ92 | Long             | EC               | CORP              | US        |         201 | NS      | $100272.87    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Deutsche Lufthansa AG                            | Deutsche Lufthansa AG                                 | CUSIP: 000000000<br>LEI: 529900PH63HYJ86ASW55 | Short            | EC               | CORP              | DE        |      -43873 | NS      | $-421295.68   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Erste Group Bank AG                              | Erste Group Bank AG                                   | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | EC               | CORP              | AT        |        7341 | NS      | $802411.68    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Liberty Broadband Corp                           | Liberty Broadband Corp                                | CUSIP: 530307305<br>LEI: 549300MIX43II8JLN536 | Long             | EC               | CORP              | US        |      223025 | NS      | $10323827.25  | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Liberty Media Corp-Liberty Formula One           | Liberty Media Corp-Liberty Formula One                | CUSIP: 531229755<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -37126 | NS      | $-3563353.48  | -0.48%            |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co                                   | Eli Lilly & Co                                        | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |        2861 | NS      | $3076919.67   | 0.41%             |  |  |  | No            |                  1 | On Loan: —       |
| Rheinmetall AG                                   | Rheinmetall AG                                        | CUSIP: 000000000<br>LEI: 5299001OU9CSE29O6S05 | Short            | EC               | CORP              | DE        |        -673 | NS      | $-1151091.88  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Live Nation Entertainment Inc                    | Live Nation Entertainment Inc                         | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Short            | EC               | CORP              | US        |      -21112 | NS      | $-2775172.40  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| Volkswagen AG                                    | Volkswagen AG                                         | CUSIP: 000000000<br>LEI: 529900NNUPAGGOMPXZ31 | Long             | EP               | CORP              | DE        |       18587 | NS      | $2124797.03   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Lululemon Athletica Inc                          | Lululemon Athletica Inc                               | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Long             | EC               | CORP              | US        |        2977 | NS      | $548303.86    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Lululemon Athletica Inc                          | Lululemon Athletica Inc                               | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Short            | EC               | CORP              | US        |        -262 | NS      | $-48255.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA               | Banco Bilbao Vizcaya Argentaria SA                    | CUSIP: 000000000<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | EC               | CORP              | ES        |      120435 | NS      | $2603037.55   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Lumentum Holdings Inc                            | Lumentum Holdings Inc                                 | CUSIP: 55024U109<br>LEI: 549300JLWRRC38DWEF52 | Short            | EC               | CORP              | US        |       -3600 | NS      | $-1170576.00  | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Kering SA                                        | Kering SA                                             | CUSIP: 000000000<br>LEI: 549300VGEJKB7SVUZR78 | Short            | EC               | CORP              | FR        |       -2166 | NS      | $-737611.19   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| M&T Bank Corp                                    | M&T Bank Corp                                         | CUSIP: 55261F104<br>LEI: 549300WYXDDBYRASEG81 | Long             | EC               | CORP              | US        |         495 | NS      | $94158.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Mercedes-Benz Group AG                           | Mercedes-Benz Group AG                                | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |       29770 | NS      | $2010364.65   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| MP Materials Corp                                | MP Materials Corp                                     | CUSIP: 553368101<br>LEI: 89450063PHPS61USMT84 | Short            | EC               | CORP              | US        |       -8700 | NS      | $-538965.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| MSCI Inc                                         | MSCI Inc                                              | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Short            | EC               | CORP              | US        |       -4454 | NS      | $-2510808.88  | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| Magna International Inc                          | Magna International Inc                               | CUSIP: 559222401<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | EC               | CORP              | CA        |       42288 | NS      | $2065345.92   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Magna International Inc                          | Magna International Inc                               | CUSIP: 559222401<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | EC               | CORP              | CA        |        3400 | NS      | $166393.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Malibu Boats Inc                                 | Malibu Boats Inc                                      | CUSIP: 56117J100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       20981 | NS      | $595650.59    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Nemetschek SE                                    | Nemetschek SE                                         | CUSIP: 000000000<br>LEI: 529900R0S2IX1S358J38 | Short            | EC               | CORP              | DE        |        -718 | NS      | $-80241.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Carrefour SA                                     | Carrefour SA                                          | CUSIP: 000000000<br>LEI: 549300B8P6MUJ1YWTS08 | Long             | EC               | CORP              | FR        |        6640 | NS      | $102246.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Manulife Financial Corp                          | Manulife Financial Corp                               | CUSIP: 56501R106<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |       42597 | NS      | $1499840.37   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| MARA Holdings Inc                                | MARA Holdings Inc                                     | CUSIP: 565788106<br>LEI: 549300M8ISKPTX2W7F94 | Short            | EC               | CORP              | US        |       -3900 | NS      | $-46059.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Repsol SA                                        | Repsol SA                                             | CUSIP: 000000000<br>LEI: BSYCX13Y0NOTV14V9N85 | Long             | EC               | CORP              | ES        |       72369 | NS      | $1340950.99   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Wolters Kluwer NV                                | Wolters Kluwer NV                                     | CUSIP: 000000000<br>LEI: 724500TEM53I0U077B74 | Long             | EC               | CORP              | NL        |        3891 | NS      | $412692.94    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| H & M Hennes & Mauritz AB                        | H & M Hennes & Mauritz AB                             | CUSIP: 000000000<br>LEI: 529900O5RR7R39FRDM42 | Short            | EC               | CORP              | SE        |       -7218 | NS      | $-131144.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Santander SA                               | Banco Santander SA                                    | CUSIP: 000000000<br>LEI: 5493006QMFDDMYWIAM13 | Long             | EC               | CORP              | ES        |      302123 | NS      | $3240841.47   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Siemens AG                                       | Siemens AG                                            | CUSIP: 000000000<br>LEI: W38RGI023J3WT1HWRP32 | Long             | EC               | CORP              | DE        |        2431 | NS      | $644709.77    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                           | Marvell Technology Inc                                | CUSIP: 573874104<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -59621 | NS      | $-5330117.40  | -0.71%            |  |  |  | No            |                  1 | On Loan: No      |
| Masimo Corp                                      | Masimo Corp                                           | CUSIP: 574795100<br>LEI: 549300Q4A8JK0PIYCU29 | Long             | EC               | CORP              | US        |       10402 | NS      | $1481556.86   | 0.20%             |  |  |  | No            |                  1 | On Loan: —       |
| Bayerische Motoren Werke AG                      | Bayerische Motoren Werke AG                           | CUSIP: 000000000<br>LEI: YEH5ZCD6E441RHVHD759 | Long             | EC               | CORP              | DE        |       12644 | NS      | $1292380.96   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayerische Motoren Werke AG                      | Bayerische Motoren Werke AG                           | CUSIP: 000000000<br>LEI: YEH5ZCD6E441RHVHD759 | Long             | EP               | CORP              | DE        |       12434 | NS      | $1173358.75   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Mastercard Inc                                   | Mastercard Inc                                        | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Short            | EC               | CORP              | US        |       -2749 | NS      | $-1513406.97  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| McCormick & Co Inc/MD                            | McCormick & Co Inc/MD                                 | CUSIP: 579780206<br>LEI: 549300JQQA6MQ4OJP259 | Short            | EC               | CORP              | US        |       -8900 | NS      | $-600572.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| ORLEN SA                                         | ORLEN SA                                              | CUSIP: 000000000<br>LEI: 259400VVMM70CQREJT74 | Long             | EC               | CORP              | PL        |       84223 | NS      | $2168776.28   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| McKesson Corp                                    | McKesson Corp                                         | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Short            | EC               | CORP              | US        |       -1196 | NS      | $-1053819.52  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Sartorius AG                                     | Sartorius AG                                          | CUSIP: 000000000<br>LEI: 529900EQV2DY4FOAMU38 | Short            | EP               | CORP              | DE        |       -6480 | NS      | $-1889974.01  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| MercadoLibre Inc                                 | MercadoLibre Inc                                      | CUSIP: 58733R102<br>LEI: 549300DKPDN9M5S8GB14 | Short            | EC               | CORP              | US        |        -884 | NS      | $-1831453.52  | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| CTS Eventim AG & Co KGaA                         | CTS Eventim AG & Co KGaA                              | CUSIP: 000000000<br>LEI: 529900FDHSN08UBJII80 | Short            | EC               | CORP              | DE        |       -3747 | NS      | $-366885.15   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Infineon Technologies AG                         | Infineon Technologies AG                              | CUSIP: 000000000<br>LEI: TSI2PJM6EPETEQ4X1U25 | Long             | EC               | CORP              | DE        |       17106 | NS      | $722135.45    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                   | Merck & Co Inc                                        | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |       57944 | NS      | $6074269.52   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Nokia Oyj                                        | Nokia Oyj                                             | CUSIP: 000000000<br>LEI: 549300A0JPRWG1KI7U06 | Long             | EC               | CORP              | FI        |      341169 | NS      | $2077760.46   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Rational AG                                      | Rational AG                                           | CUSIP: 000000000<br>LEI: 529900K139N6UFJ1A758 | Long             | EC               | CORP              | DE        |         407 | NS      | $304262.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Rational AG                                      | Rational AG                                           | CUSIP: 000000000<br>LEI: 529900K139N6UFJ1A758 | Short            | EC               | CORP              | DE        |         -98 | NS      | $-73262.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Microsoft Corp                                   | Microsoft Corp                                        | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |       22623 | NS      | $11130742.23  | 1.49%             |  |  |  | No            |                  1 | On Loan: —       |
| Strategy Inc                                     | Strategy Inc                                          | CUSIP: 594972408<br>LEI: 549300WQTWEJUEHXQX21 | Short            | EC               | CORP              | US        |       -8580 | NS      | $-1520204.40  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Microchip Technology Inc                         | Microchip Technology Inc                              | CUSIP: 595017104<br>LEI: 5493007PTFULNYZJ1R12 | Short            | EC               | CORP              | US        |      -39221 | NS      | $-2101461.18  | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| Micron Technology Inc                            | Micron Technology Inc                                 | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |        3486 | NS      | $824369.28    | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| Koninklijke KPN NV                               | Koninklijke KPN NV                                    | CUSIP: 000000000<br>LEI: 549300YO0JZHAL7FVP81 | Long             | EC               | CORP              | NL        |       20959 | NS      | $96023.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Telefonaktiebolaget LM Ericsson                  | Telefonaktiebolaget LM Ericsson                       | CUSIP: 000000000<br>LEI: 549300W9JLPW15XIFM52 | Long             | EC               | CORP              | SE        |      164736 | NS      | $1589630.07   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Chocoladefabriken Lindt & Spruengli AG           | Chocoladefabriken Lindt & Spruengli AG                | CUSIP: 000000000<br>LEI: 529900JYJNNOKKAGK736 | Short            | EC               | CORP              | CH        |         -31 | NS      | $-456393.43   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| STMicroelectronics NV                            | STMicroelectronics NV                                 | CUSIP: 000000000<br>LEI: 213800Z8NOHIKRI42W10 | Long             | EC               | CORP              | NL        |        4707 | NS      | $108433.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Middleby Corp/The                                | Middleby Corp/The                                     | CUSIP: 596278101<br>LEI: JDFO86U9VQRBKW5KYA35 | Long             | EC               | CORP              | US        |        8300 | NS      | $981060.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Koninklijke Philips NV                           | Koninklijke Philips NV                                | CUSIP: 000000000<br>LEI: H1FJE8H61JGM1JSGM897 | Short            | EC               | CORP              | NL        |      -27354 | NS      | $-771653.05   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Teleperformance SE                               | Teleperformance SE                                    | CUSIP: 000000000<br>LEI: 9695004GI61FHFFNRG61 | Long             | EC               | CORP              | FR        |       16513 | NS      | $1137277.68   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| ANA Holdings Inc                                 | ANA Holdings Inc                                      | CUSIP: 000000000<br>LEI: 5493008IRKIY0G3TE305 | Short            | EC               | CORP              | JP        |      -65300 | NS      | $-1232081.21  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Amano Corp                                       | Amano Corp                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |        7800 | NS      | $210155.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Zensho Holdings Co Ltd                           | Zensho Holdings Co Ltd                                | CUSIP: 000000000<br>LEI: 353800DYF3UDM49ITT03 | Short            | EC               | CORP              | JP        |      -20000 | NS      | $-1205127.76  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Asustek Computer Inc                             | Asustek Computer Inc                                  | CUSIP: 000000000<br>LEI: 254900B3WB4OGRB7HM13 | Long             | EC               | CORP              | TW        |        9000 | NS      | $172717.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Realtek Semiconductor Corp                       | Realtek Semiconductor Corp                            | CUSIP: 000000000<br>LEI: 5299002E7F36O00MYY75 | Long             | EC               | CORP              | TW        |        4000 | NS      | $66564.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AGC Inc                                          | AGC Inc                                               | CUSIP: 000000000<br>LEI: JE4WFFEELMVPFZ0G1E77 | Long             | EC               | CORP              | JP        |       11000 | NS      | $380630.14    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Asics Corp                                       | Asics Corp                                            | CUSIP: 000000000<br>LEI: 3538002LJMRZ83SU0B85 | Short            | EC               | CORP              | JP        |      -55100 | NS      | $-1319798.95  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank Hapoalim BM                                 | Bank Hapoalim BM                                      | CUSIP: 000000000<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | EC               | CORP              | IL        |       64888 | NS      | $1404566.45   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Westpac Banking Corp                             | Westpac Banking Corp                                  | CUSIP: 000000000<br>LEI: EN5TNI6CI43VEPAMHL14 | Short            | EC               | CORP              | AU        |       -3012 | NS      | $-74191.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank Leumi Le-Israel BM                          | Bank Leumi Le-Israel BM                               | CUSIP: 000000000<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | EC               | CORP              | IL        |       97458 | NS      | $2043818.03   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Beijing Enterprises Holdings Ltd                 | Beijing Enterprises Holdings Ltd                      | CUSIP: 000000000<br>LEI: 529900896ODARUEY2V26 | Long             | EC               | CORP              | HK        |       61000 | NS      | $267006.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                            | Molina Healthcare Inc                                 | CUSIP: 60855R100<br>LEI: 549300NQQCEQ46YHZ591 | Long             | EC               | CORP              | US        |        6373 | NS      | $944860.98    | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Fortescue Ltd                                    | Fortescue Ltd                                         | CUSIP: 000000000<br>LEI: 529900VEJFORCO6I4826 | Long             | EC               | CORP              | AU        |      141970 | NS      | $1995328.24   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Molson Coors Beverage Co                         | Molson Coors Beverage Co                              | CUSIP: 60871R209<br>LEI: 54930073LBBH6ZCBE225 | Long             | EC               | CORP              | US        |       39952 | NS      | $1858167.52   | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| MongoDB Inc                                      | MongoDB Inc                                           | CUSIP: 60937P106<br>LEI: 549300TPTG69WKWE1Z37 | Short            | EC               | CORP              | US        |      -13980 | NS      | $-4646532.60  | -0.62%            |  |  |  | No            |                  1 | On Loan: No      |
| Monolithic Power Systems Inc                     | Monolithic Power Systems Inc                          | CUSIP: 609839105<br>LEI: 529900TB7O85LSZ1XU31 | Long             | EC               | CORP              | US        |         821 | NS      | $762027.57    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Monster Beverage Corp                            | Monster Beverage Corp                                 | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |       10692 | NS      | $801793.08    | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| BHP Group Ltd                                    | BHP Group Ltd                                         | CUSIP: 000000000<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |       82909 | NS      | $2268636.71   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Motor Co                                 | Hyundai Motor Co                                      | CUSIP: 000000000<br>LEI: 9884004RQX8PRBXQ8S60 | Long             | EP               | CORP              | KR        |         492 | NS      | $65185.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Contact Energy Ltd                               | Contact Energy Ltd                                    | CUSIP: 000000000<br>LEI: 549300FT5JOXS1PZ1I32 | Short            | EC               | CORP              | NZ        |      -59426 | NS      | $-328553.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Moody's Corp                                     | Moody's Corp                                          | CUSIP: 615369105<br>LEI: 549300GCEDD8YCF5WU84 | Short            | EC               | CORP              | US        |       -1586 | NS      | $-778377.08   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Mirvac Group                                     | Mirvac Group                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               |  | AU        |      -66561 | NS      | $-94278.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Capcom Co Ltd                                    | Capcom Co Ltd                                         | CUSIP: 000000000<br>LEI: 529900JJWQKXS3TC8744 | Long             | EC               | CORP              | JP        |        9900 | NS      | $242061.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                        | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |        4728 | NS      | $802152.48    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                        | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Short            | EC               | CORP              | US        |        -500 | NS      | $-84830.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Computershare Ltd                                | Computershare Ltd                                     | CUSIP: 000000000<br>LEI: 21380085HOKTMGLV9G93 | Long             | EC               | CORP              | AU        |       27401 | NS      | $644188.67    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Sigma Healthcare Ltd                             | Sigma Healthcare Ltd                                  | CUSIP: 000000000<br>LEI: 529900BZSP3BK7GYAO50 | Short            | EC               | CORP              | AU        |    -1047787 | NS      | $-1976448.20  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Chiba Bank Ltd/The                               | Chiba Bank Ltd/The                                    | CUSIP: 000000000<br>LEI: FGJPAKKCTZVSKZXNBS63 | Short            | EC               | CORP              | JP        |      -30200 | NS      | $-318335.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| China Overseas Land & Investment Ltd             | China Overseas Land & Investment Ltd                  | CUSIP: 000000000<br>LEI: 529900I6W35GYKRIZ151 | Long             | EC               | CORP              | HK        |      231000 | NS      | $396050.84    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chubu Electric Power Co Inc                      | Chubu Electric Power Co Inc                           | CUSIP: 000000000<br>LEI: 529900A76GOP0PGNHT63 | Long             | EC               | CORP              | JP        |       12300 | NS      | $192244.34    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIC Ltd                                        | CITIC Ltd                                             | CUSIP: 000000000<br>LEI: 2549006I3Q3M98KHOT11 | Long             | EC               | CORP              | HK        |      841000 | NS      | $1318351.17   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| REA Group Ltd                                    | REA Group Ltd                                         | CUSIP: 000000000<br>LEI: 894500KA4UBDATOFPN36 | Short            | EC               | CORP              | AU        |       -6427 | NS      | $-825441.15   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                           | Motorola Solutions Inc                                | CUSIP: 620076307<br>LEI: 6S552MUG6KGJVEBSEC55 | Short            | EC               | CORP              | US        |       -3139 | NS      | $-1160425.52  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Transurban Group                                 | Transurban Group                                      | CUSIP: 000000000<br>LEI: 549300ZR71SUQ4VUTM79 | Short            | EC               | CORP              | AU        |     -125916 | NS      | $-1231432.66  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Cochlear Ltd                                     | Cochlear Ltd                                          | CUSIP: 000000000<br>LEI: 5493001OLLWY8KV5UC08 | Short            | EC               | CORP              | AU        |       -2220 | NS      | $-405716.60   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                   | Commonwealth Bank of Australia                        | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | Short            | EC               | CORP              | AU        |       -8604 | NS      | $-859895.86   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Compal Electronics Inc                           | Compal Electronics Inc                                | CUSIP: 000000000<br>LEI: 529900ZPKWFDL21LW166 | Long             | EC               | CORP              | TW        |       63000 | NS      | $59049.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Rakuten Group Inc                                | Rakuten Group Inc                                     | CUSIP: 000000000<br>LEI: 529900IMXUCQKUL1H943 | Short            | EC               | CORP              | JP        |     -472500 | NS      | $-2891821.57  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| APA Group                                        | APA Group                                             | CUSIP: 000000000<br>LEI: 549300T9RBSX164T8H40 | Short            | EC               | CORP              | AU        |     -143386 | NS      | $-869831.21   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Daito Trust Construction Co Ltd                  | Daito Trust Construction Co Ltd                       | CUSIP: 000000000<br>LEI: 353800QQ4DRI3KXS3038 | Long             | EC               | CORP              | JP        |       31500 | NS      | $602583.97    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Dai Nippon Printing Co Ltd                       | Dai Nippon Printing Co Ltd                            | CUSIP: 000000000<br>LEI: 529900S7NFNQ4FT6OP83 | Long             | EC               | CORP              | JP        |       10800 | NS      | $182656.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SCREEN Holdings Co Ltd                           | SCREEN Holdings Co Ltd                                | CUSIP: 000000000<br>LEI: 353800ND89FTQ9XQ0R07 | Long             | EC               | CORP              | JP        |        1700 | NS      | $140208.94    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Daiwa House Industry Co Ltd                      | Daiwa House Industry Co Ltd                           | CUSIP: 000000000<br>LEI: 353800K9WXR9XRZJZI46 | Long             | EC               | CORP              | JP        |       20700 | NS      | $706515.12    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Daiwabo Holdings Co Ltd                          | Daiwabo Holdings Co Ltd                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       14800 | NS      | $288344.89    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Aristocrat Leisure Ltd                           | Aristocrat Leisure Ltd                                | CUSIP: 000000000<br>LEI: 529900TE2HO3OZKYKC27 | Long             | EC               | CORP              | AU        |       17688 | NS      | $676045.48    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| China Taiping Insurance Holdings Co Ltd          | China Taiping Insurance Holdings Co Ltd               | CUSIP: 000000000<br>LEI: 529900C2G37NOIADYW07 | Long             | EC               | CORP              | HK        |       58800 | NS      | $131740.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Disco Corp                                       | Disco Corp                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | JP        |       -9200 | NS      | $-2565614.76  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Insurance Australia Group Ltd                    | Insurance Australia Group Ltd                         | CUSIP: 000000000<br>LEI: 549300PFEWKNHRG25N08 | Short            | EC               | CORP              | AU        |      -27086 | NS      | $-137585.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Indofood Sukses Makmur Tbk PT                    | Indofood Sukses Makmur Tbk PT                         | CUSIP: 000000000<br>LEI: 529900E61EV2GTYWZ485 | Long             | EC               | CORP              | ID        |      168600 | NS      | $74451.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MTR Corp Ltd                                     | MTR Corp Ltd                                          | CUSIP: 000000000<br>LEI: 254900IH4U9NHH9AQM97 | Short            | EC               | CORP              | HK        |     -187000 | NS      | $-742578.29   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| NIO Inc                                          | NIO Inc                                               | CUSIP: 62914V106<br>LEI: 549300JBU4TV5OCKJV96 | Short            | EC               | CORP              | KY        |     -164018 | NS      | $-902099.00   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Pro Medicus Ltd                                  | Pro Medicus Ltd                                       | CUSIP: 000000000<br>LEI: 98450085A903D1BMFF27 | Short            | EC               | CORP              | AU        |       -9673 | NS      | $-1691433.78  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| East Japan Railway Co                            | East Japan Railway Co                                 | CUSIP: 000000000<br>LEI: 353800SENYJ2DSM6PS44 | Short            | EC               | CORP              | JP        |      -22700 | NS      | $-586806.27   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Ltd                           | Singapore Exchange Ltd                                | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | Long             | EC               | CORP              | SG        |       57300 | NS      | $747171.88    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| SBI Holdings Inc                                 | SBI Holdings Inc                                      | CUSIP: 000000000<br>LEI: 353800L6LMHYIPSMRQ17 | Long             | EC               | CORP              | JP        |       14200 | NS      | $299433.36    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Denka Co Ltd                                     | Denka Co Ltd                                          | CUSIP: 000000000<br>LEI: 353800Y94EKQEH8MVD43 | Long             | EC               | CORP              | JP        |       14200 | NS      | $248878.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Natera Inc                                       | Natera Inc                                            | CUSIP: 632307104<br>LEI: 529900CQ3OZ0A0VYVU59 | Short            | EC               | CORP              | US        |      -15304 | NS      | $-3654748.24  | -0.49%            |  |  |  | No            |                  1 | On Loan: No      |
| Evergreen Marine Corp Taiwan Ltd                 | Evergreen Marine Corp Taiwan Ltd                      | CUSIP: 000000000<br>LEI: 254900EIJA0A39C5SO15 | Long             | EC               | CORP              | TW        |      287000 | NS      | $1643945.11   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Fast Retailing Co Ltd                            | Fast Retailing Co Ltd                                 | CUSIP: 000000000<br>LEI: 353800ZCXKHDPY0N5218 | Short            | EC               | CORP              | JP        |        -300 | NS      | $-109606.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc               | Mitsubishi UFJ Financial Group Inc                    | CUSIP: 000000000<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |       17700 | NS      | $277527.64    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fuji Electric Co Ltd                             | Fuji Electric Co Ltd                                  | CUSIP: 000000000<br>LEI: 5299000HVNGZZTYYM906 | Long             | EC               | CORP              | JP        |       11600 | NS      | $809809.28    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Subaru Corp                                      | Subaru Corp                                           | CUSIP: 000000000<br>LEI: 549300N244BVAEE6HH86 | Long             | EC               | CORP              | JP        |       96600 | NS      | $2157475.51   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| FUJIFILM Holdings Corp                           | FUJIFILM Holdings Corp                                | CUSIP: 000000000<br>LEI: 529900UBKMFM0ST6H474 | Long             | EC               | CORP              | JP        |       12200 | NS      | $261933.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fuji Corp/Aichi                                  | Fuji Corp/Aichi                                       | CUSIP: 000000000<br>LEI: 353800G4VS3QLM6BSX66 | Long             | EC               | CORP              | JP        |       16300 | NS      | $357294.89    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| H.U. Group Holdings Inc                          | H.U. Group Holdings Inc                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       28100 | NS      | $656656.97    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Fujikura Ltd                                     | Fujikura Ltd                                          | CUSIP: 000000000<br>LEI: 353800PSDZ8VRCKVPL51 | Long             | EC               | CORP              | JP        |        5200 | NS      | $601786.50    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fujikura Ltd                                     | Fujikura Ltd                                          | CUSIP: 000000000<br>LEI: 353800PSDZ8VRCKVPL51 | Short            | EC               | CORP              | JP        |       -8300 | NS      | $-960543.84   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| FANUC Corp                                       | FANUC Corp                                            | CUSIP: 000000000<br>LEI: 529900QTSW745LOKW705 | Short            | EC               | CORP              | JP        |      -23800 | NS      | $-762836.44   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Krung Thai Bank PCL                              | Krung Thai Bank PCL                                   | CUSIP: 000000000<br>LEI: 54930007ZQMYCRFQGE36 | Long             | EC               | CORP              | TH        |     2437800 | NS      | $2085360.53   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Kasikornbank PCL                                 | Kasikornbank PCL                                      | CUSIP: 000000000<br>LEI: 5493004COSQ54937AW41 | Long             | EC               | CORP              | TH        |      364000 | NS      | $2110798.09   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| GPT Group/The                                    | GPT Group/The                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               |  | AU        |      -38376 | NS      | $-139577.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Shinhan Financial Group Co Ltd                   | Shinhan Financial Group Co Ltd                        | CUSIP: 000000000<br>LEI: 988400EB8A6G49E5KO54 | Long             | EC               | CORP              | KR        |        3769 | NS      | $201460.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HMM Co Ltd                                       | HMM Co Ltd                                            | CUSIP: 000000000<br>LEI: 988400M8Q35QDZ4XXW80 | Long             | EC               | CORP              | KR        |       38235 | NS      | $498817.01    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Hang Seng Bank Ltd                               | Hang Seng Bank Ltd                                    | CUSIP: 000000000<br>LEI: 5493009Z5F07LWZYMK62 | Long             | EC               | CORP              | HK        |      429917 | NS      | $8418213.85   | 1.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Netflix Inc                                      | Netflix Inc                                           | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |        6380 | NS      | $686360.40    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Neurocrine Biosciences Inc                       | Neurocrine Biosciences Inc                            | CUSIP: 64125C109<br>LEI: 549300FECER0XBN49756 | Long             | EC               | CORP              | US        |        4720 | NS      | $718195.20    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Hikari Tsushin Inc                               | Hikari Tsushin Inc                                    | CUSIP: 000000000<br>LEI: 3538001SOIIV8U3OXH94 | Long             | EC               | CORP              | JP        |         200 | NS      | $55663.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CapitaLand Integrated Commercial Trust           | CapitaLand Integrated Commercial Trust                | CUSIP: 000000000<br>LEI: 54930031292WUTXF0L29 | Long             | EC               |  | SG        |      145500 | NS      | $264278.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CapitaLand Integrated Commercial Trust           | CapitaLand Integrated Commercial Trust                | CUSIP: 000000000<br>LEI: 54930031292WUTXF0L29 | Short            | EC               |  | SG        |      -89383 | NS      | $-162350.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PTT PCL                                          | PTT PCL                                               | CUSIP: 000000000<br>LEI: 549300QOGMPTKB6W7G56 | Long             | EC               | CORP              | TH        |       98600 | NS      | $94259.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Henderson Land Development Co Ltd                | Henderson Land Development Co Ltd                     | CUSIP: 000000000<br>LEI: 529900SYQB7IVR9QGN76 | Short            | EC               | CORP              | HK        |      -15000 | NS      | $-56685.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Resona Holdings Inc                              | Resona Holdings Inc                                   | CUSIP: 000000000<br>LEI: 52990067JE75XZCYYT81 | Short            | EC               | CORP              | JP        |      -42200 | NS      | $-429607.35   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Hitachi Ltd                                      | Hitachi Ltd                                           | CUSIP: 000000000<br>LEI: 549300T6IPOCDWLKC615 | Short            | EC               | CORP              | JP        |       -4500 | NS      | $-143306.68   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Maxell Ltd                                       | Maxell Ltd                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       13000 | NS      | $185364.19    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Group Inc                  | Sumitomo Mitsui Trust Group Inc                       | CUSIP: 000000000<br>LEI: 353800P843RLCDBLNT17 | Long             | EC               | CORP              | JP        |       16500 | NS      | $479350.74    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Hongkong Land Holdings Ltd                       | Hongkong Land Holdings Ltd                            | CUSIP: 000000000<br>LEI: 213800XCHYNRPAYGXW28 | Short            | EC               | CORP              | BM        |      -21700 | NS      | $-137919.69   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Honda Motor Co Ltd                               | Honda Motor Co Ltd                                    | CUSIP: 000000000<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | EC               | CORP              | JP        |      191300 | NS      | $1929072.44   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Wharf Holdings Ltd/The                           | Wharf Holdings Ltd/The                                | CUSIP: 000000000<br>LEI: 254900JCV4TBBPX9IW91 | Short            | EC               | CORP              | HK        |      -68000 | NS      | $-206395.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| New Gold Inc                                     | New Gold Inc                                          | CUSIP: 644535106<br>LEI: 5493005G0GNCHP0H6L96 | Long             | EC               | CORP              | CA        |      895387 | NS      | $7476481.45   | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hyundai Mobis Co Ltd                             | Hyundai Mobis Co Ltd                                  | CUSIP: 000000000<br>LEI: 988400HJA9E0ZVDHRS65 | Long             | EC               | CORP              | KR        |        8786 | NS      | $1852649.84   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Motor Co                                 | Hyundai Motor Co                                      | CUSIP: 000000000<br>LEI: 9884004RQX8PRBXQ8S60 | Long             | EP               | CORP              | KR        |         542 | NS      | $70983.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Motor Co                                 | Hyundai Motor Co                                      | CUSIP: 000000000<br>LEI: 9884004RQX8PRBXQ8S60 | Long             | EC               | CORP              | KR        |        4746 | NS      | $845245.98    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Israel Discount Bank Ltd                         | Israel Discount Bank Ltd                              | CUSIP: 000000000<br>LEI: 549300XWZ7BG5G23OF51 | Long             | EC               | CORP              | IL        |       39317 | NS      | $411745.77    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ICL Group Ltd                                    | ICL Group Ltd                                         | CUSIP: 000000000<br>LEI: 529900FQVQD88SHIGM04 | Long             | EC               | CORP              | IL        |       38023 | NS      | $210751.43    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Infratil Ltd                                     | Infratil Ltd                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | NZ        |      -33281 | NS      | $-223001.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Galaxy Entertainment Group Ltd                   | Galaxy Entertainment Group Ltd                        | CUSIP: 000000000<br>LEI: 549300ZSEBV3HR826S10 | Short            | EC               | CORP              | HK        |      -28000 | NS      | $-145284.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| IHI Corp                                         | IHI Corp                                              | CUSIP: 000000000<br>LEI: 549300ETQIESIUQ2OE26 | Short            | EC               | CORP              | JP        |      -99500 | NS      | $-1775534.59  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Isuzu Motors Ltd                                 | Isuzu Motors Ltd                                      | CUSIP: 000000000<br>LEI: 529900C0QSXVCC7AR494 | Long             | EC               | CORP              | JP        |       31400 | NS      | $481182.43    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Aeon Co Ltd                                      | Aeon Co Ltd                                           | CUSIP: 000000000<br>LEI: 5299009MXFL34SA71416 | Short            | EC               | CORP              | JP        |     -182500 | NS      | $-3304307.18  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Kanematsu Corp                                   | Kanematsu Corp                                        | CUSIP: 000000000<br>LEI: 353800N574WR0FX80I71 | Long             | EC               | CORP              | JP        |       20900 | NS      | $462189.38    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Kawasaki Heavy Industries Ltd                    | Kawasaki Heavy Industries Ltd                         | CUSIP: 000000000<br>LEI: 5493008FFSI8SQ74AT93 | Short            | EC               | CORP              | JP        |        -800 | NS      | $-50669.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Kawasaki Kisen Kaisha Ltd                        | Kawasaki Kisen Kaisha Ltd                             | CUSIP: 000000000<br>LEI: 353800FL04R73DS5P870 | Long             | EC               | CORP              | JP        |       99100 | NS      | $1319442.75   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Kia Corp                                         | Kia Corp                                              | CUSIP: 000000000<br>LEI: 988400V8MJK9N7OI5X76 | Long             | EC               | CORP              | KR        |       27526 | NS      | $2138756.14   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Keyence Corp                                     | Keyence Corp                                          | CUSIP: 000000000<br>LEI: 529900M7PQBS7A89DZ11 | Short            | EC               | CORP              | JP        |       -2000 | NS      | $-680818.64   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Kirin Holdings Co Ltd                            | Kirin Holdings Co Ltd                                 | CUSIP: 000000000<br>LEI: 353800GBVL72LLMTYM96 | Long             | EC               | CORP              | JP        |       64400 | NS      | $1011470.25   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Komatsu Ltd                                      | Komatsu Ltd                                           | CUSIP: 000000000<br>LEI: 5493004LQ0B4T7QPQV17 | Long             | EC               | CORP              | JP        |        9500 | NS      | $312068.96    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Konami Group Corp                                | Konami Group Corp                                     | CUSIP: 000000000<br>LEI: 353800FC4A5QCMIZFV94 | Long             | EC               | CORP              | JP        |        4800 | NS      | $733594.75    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Kubota Corp                                      | Kubota Corp                                           | CUSIP: 000000000<br>LEI: 549300CSY4INHEHQQT13 | Long             | EC               | CORP              | JP        |        6000 | NS      | $86598.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EXEO Group Inc                                   | EXEO Group Inc                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       10400 | NS      | $163602.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Kyowa Kirin Co Ltd                               | Kyowa Kirin Co Ltd                                    | CUSIP: 000000000<br>LEI: 529900TBXKVTQGYA3582 | Long             | EC               | CORP              | JP        |        8900 | NS      | $149821.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Kraftia Corp                                     | Kraftia Corp                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |        5200 | NS      | $263862.44    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Times Co/The                            | New York Times Co/The                                 | CUSIP: 650111107<br>LEI: 529900J1WEMMIW7BOH57 | Long             | EC               | CORP              | US        |       42433 | NS      | $2736928.50   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Lasertec Corp                                    | Lasertec Corp                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | JP        |       -4300 | NS      | $-776304.96   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LG Electronics Inc                               | LG Electronics Inc                                    | CUSIP: 000000000<br>LEI: 988400RMQFTGZIOG0609 | Long             | EC               | CORP              | KR        |       26481 | NS      | $1545388.87   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| News Corp                                        | News Corp                                             | CUSIP: 65249B109<br>LEI: 549300ITS31QK8VRBQ14 | Long             | EC               | CORP              | US        |      274212 | NS      | $7041764.16   | 0.94%             |  |  |  | No            |                  1 | On Loan: —       |
| News Corp                                        | News Corp                                             | CUSIP: 65249B208<br>LEI: 549300ITS31QK8VRBQ14 | Short            | EC               | CORP              | US        |     -248360 | NS      | $-7309234.80  | -0.98%            |  |  |  | No            |                  1 | On Loan: No      |
| BlueScope Steel Ltd                              | BlueScope Steel Ltd                                   | CUSIP: 000000000<br>LEI: 529900H6UQI16XACWC95 | Long             | EC               | CORP              | AU        |      135423 | NS      | $2157198.14   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| NextEra Energy Inc                               | NextEra Energy Inc                                    | CUSIP: 65339F101<br>LEI: 254900RHL9MEUS5NKX63 | Short            | EC               | CORP              | US        |      -14608 | NS      | $-1260524.32  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Nice Ltd                                         | Nice Ltd                                              | CUSIP: 653656108<br>LEI: 254900YTY4EF5Z4W0A51 | Long             | EC               | CORP              | IL        |       16682 | NS      | $1769459.74   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| LG Corp                                          | LG Corp                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KR        |       10353 | NS      | $556234.62    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| NIKE Inc                                         | NIKE Inc                                              | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Short            | EC               | CORP              | US        |       -8918 | NS      | $-576370.34   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Makita Corp                                      | Makita Corp                                           | CUSIP: 000000000<br>LEI: 529900CDR9E94BCM6294 | Long             | EC               | CORP              | JP        |       19800 | NS      | $575694.67    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Nordson Corp                                     | Nordson Corp                                          | CUSIP: 655663102<br>LEI: 14OS6Q5N55N95WM84M53 | Long             | EC               | CORP              | US        |        1540 | NS      | $365996.40    | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| Norfolk Southern Corp                            | Norfolk Southern Corp                                 | CUSIP: 655844108<br>LEI: 54930036C8MWP850MI84 | Long             | EC               | CORP              | US        |       51136 | NS      | $14936314.24  | 1.99%             |  |  |  | No            |                  1 | On Loan: —       |
| Sumitomo Mitsui Financial Group Inc              | Sumitomo Mitsui Financial Group Inc                   | CUSIP: 000000000<br>LEI: 35380028MYWPB6AUO129 | Long             | EC               | CORP              | JP        |       17000 | NS      | $514394.20    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Maruichi Steel Tube Ltd                          | Maruichi Steel Tube Ltd                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       25200 | NS      | $232831.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Panasonic Holdings Corp                          | Panasonic Holdings Corp                               | CUSIP: 000000000<br>LEI: 254900GE1G59KGWPHX32 | Long             | EC               | CORP              | JP        |      233400 | NS      | $2920822.01   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Mizuho Financial Group Inc                       | Mizuho Financial Group Inc                            | CUSIP: 000000000<br>LEI: 353800CI5L6DDAN5XZ33 | Short            | EC               | CORP              | JP        |       -8600 | NS      | $-303294.95   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Saison Co Ltd                             | Credit Saison Co Ltd                                  | CUSIP: 000000000<br>LEI: 529900SV58ZWTGRH3A66 | Long             | EC               | CORP              | JP        |       15600 | NS      | $392786.24    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi Electric Corp                         | Mitsubishi Electric Corp                              | CUSIP: 000000000<br>LEI: 549300TRXM9Y6561AX39 | Long             | EC               | CORP              | JP        |       49100 | NS      | $1327562.50   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsui OSK Lines Ltd                             | Mitsui OSK Lines Ltd                                  | CUSIP: 000000000<br>LEI: 353800P8O843TMAZ6S09 | Long             | EC               | CORP              | JP        |       59300 | NS      | $1683773.62   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Mizuno Corp                                      | Mizuno Corp                                           | CUSIP: 000000000<br>LEI: 353800HVH84K5YH37819 | Long             | EC               | CORP              | JP        |       17800 | NS      | $346912.64    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morinaga & Co Ltd/Japan                          | Morinaga & Co Ltd/Japan                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       12100 | NS      | $206900.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd                      | National Australia Bank Ltd                           | CUSIP: 000000000<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Short            | EC               | CORP              | AU        |       -5328 | NS      | $-140088.43   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Renesas Electronics Corp                         | Renesas Electronics Corp                              | CUSIP: 000000000<br>LEI: 5299000EPC47VJQOFB81 | Long             | EC               | CORP              | JP        |      110200 | NS      | $1299540.48   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| NEC Corp                                         | NEC Corp                                              | CUSIP: 000000000<br>LEI: 5493000QYMPFRTEY4K28 | Long             | EC               | CORP              | JP        |        6700 | NS      | $253143.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NH Foods Ltd                                     | NH Foods Ltd                                          | CUSIP: 000000000<br>LEI: 353800NLDBIOUQILWU82 | Long             | EC               | CORP              | JP        |       10600 | NS      | $468598.17    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT Inc                                          | NTT Inc                                               | CUSIP: 000000000<br>LEI: 353800VHQU5VIXVUA841 | Long             | EC               | CORP              | JP        |      250900 | NS      | $250047.78    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Nitto Denko Corp                                 | Nitto Denko Corp                                      | CUSIP: 000000000<br>LEI: 3538009GX5P09USH2J25 | Long             | EC               | CORP              | JP        |       30500 | NS      | $754733.19    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Yamaha Corp                                      | Yamaha Corp                                           | CUSIP: 000000000<br>LEI: 529900S5TENP3IJS7S02 | Long             | EC               | CORP              | JP        |       35700 | NS      | $247259.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Nissan Motor Co Ltd                              | Nissan Motor Co Ltd                                   | CUSIP: 000000000<br>LEI: 353800DRBDH1LUTNAY26 | Long             | EC               | CORP              | JP        |      820700 | NS      | $2000840.81   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Nissan Motor Co Ltd                              | Nissan Motor Co Ltd                                   | CUSIP: 000000000<br>LEI: 353800DRBDH1LUTNAY26 | Short            | EC               | CORP              | JP        |     -315900 | NS      | $-770154.27   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Nippon Yusen KK                                  | Nippon Yusen KK                                       | CUSIP: 000000000<br>LEI: 353800YPW4XM0ZN5I149 | Long             | EC               | CORP              | JP        |       66900 | NS      | $2118864.12   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Nice Ltd                                         | Nice Ltd                                              | CUSIP: 000000000<br>LEI: 254900YTY4EF5Z4W0A51 | Long             | EC               | CORP              | IL        |        2253 | NS      | $235769.98    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Oriental Land Co Ltd/Japan                       | Oriental Land Co Ltd/Japan                            | CUSIP: 000000000<br>LEI: 353800PIFKBZ6KTU5994 | Short            | EC               | CORP              | JP        |     -168700 | NS      | $-3245032.45  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Gas Co Ltd                                 | Osaka Gas Co Ltd                                      | CUSIP: 000000000<br>LEI: 353800024KMNOPQRWZ02 | Long             | EC               | CORP              | JP        |       22800 | NS      | $800191.66    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Northwestern Energy Group Inc                    | Northwestern Energy Group Inc                         | CUSIP: 668074305<br>LEI: 254900N1WG46G1VMDM34 | Long             | EC               | CORP              | US        |      285639 | NS      | $19734798.51  | 2.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Penta-Ocean Construction Co Ltd                  | Penta-Ocean Construction Co Ltd                       | CUSIP: 000000000<br>LEI: 529900QN42Q9UIW3AS17 | Long             | EC               | CORP              | JP        |       40300 | NS      | $445222.64    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| POSCO Holdings Inc                               | POSCO Holdings Inc                                    | CUSIP: 000000000<br>LEI: 988400E5HRVX81AYLM04 | Long             | EC               | CORP              | KR        |        1150 | NS      | $242680.51    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Nucor Corp                                       | Nucor Corp                                            | CUSIP: 670346105<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | EC               | CORP              | US        |       18235 | NS      | $2908300.15   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Nutanix Inc                                      | Nutanix Inc                                           | CUSIP: 67059N108<br>LEI: 549300X7J6E8TKVIXW09 | Short            | EC               | CORP              | US        |      -25101 | NS      | $-1199827.80  | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| NuVista Energy Ltd                               | NuVista Energy Ltd                                    | CUSIP: 67072Q104<br>LEI: 549300MG32TDSM60SX75 | Long             | EC               | CORP              | CA        |      994800 | NS      | $13219389.60  | 1.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Nutrien Ltd                                      | Nutrien Ltd                                           | CUSIP: 67077M108<br>LEI: 5493002QQ7GD21OWF963 | Long             | EC               | CORP              | CA        |       31751 | NS      | $1846955.67   | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| Nutrien Ltd                                      | Nutrien Ltd                                           | CUSIP: 67077M108<br>LEI: 5493002QQ7GD21OWF963 | Long             | EC               | CORP              | CA        |         500 | NS      | $29088.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AviChina Industry & Technology Co Ltd            | AviChina Industry & Technology Co Ltd                 | CUSIP: 000000000<br>LEI: 5299003TVA3JVDKJGF39 | Long             | EC               | CORP              | CN        |      969000 | NS      | $484118.78    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc                          | O'Reilly Automotive Inc                               | CUSIP: 67103H107<br>LEI: 549300K2RLMQL149Q332 | Short            | EC               | CORP              | US        |       -2908 | NS      | $-295743.60   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Tosei Corp                                       | Tosei Corp                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       15600 | NS      | $165465.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Exchange Group Inc                         | Japan Exchange Group Inc                              | CUSIP: 000000000<br>LEI: 353800578ADEGIJTVW07 | Short            | EC               | CORP              | JP        |     -157400 | NS      | $-1798576.63  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| T&D Holdings Inc                                 | T&D Holdings Inc                                      | CUSIP: 000000000<br>LEI: 3538008ARJ1MACEWA242 | Long             | EC               | CORP              | JP        |       17000 | NS      | $369316.08    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                        | Occidental Petroleum Corp                             | CUSIP: 674599105<br>LEI: IM7X0T3ECJW4C1T7ON55 | Short            | EC               | CORP              | US        |        -739 | NS      | $-31038.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SMC Corp                                         | SMC Corp                                              | CUSIP: 000000000<br>LEI: 353800O40V08DOZ70X62 | Short            | EC               | CORP              | JP        |        -300 | NS      | $-105521.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SoftBank Group Corp                              | SoftBank Group Corp                                   | CUSIP: 000000000<br>LEI: 5493003BZYYYCDIO0R13 | Short            | EC               | CORP              | JP        |      -18200 | NS      | $-1957607.86  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                       | Samsung Electronics Co Ltd                            | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |       31539 | NS      | $2166188.32   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                       | Samsung Electronics Co Ltd                            | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EP               | CORP              | KR        |        2532 | NS      | $129494.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sankyu Inc                                       | Sankyu Inc                                            | CUSIP: 000000000<br>LEI: 529900QWTXZZEM1T5G75 | Long             | EC               | CORP              | JP        |        7000 | NS      | $378428.34    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Sanrio Co Ltd                                    | Sanrio Co Ltd                                         | CUSIP: 000000000<br>LEI: 3538002Q5JQLOMSPH125 | Short            | EC               | CORP              | JP        |      -39700 | NS      | $-1422303.73  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Okta Inc                                         | Okta Inc                                              | CUSIP: 679295105<br>LEI: 549300N8J06I8MRHU620 | Short            | EC               | CORP              | US        |      -35568 | NS      | $-2857177.44  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| Old Dominion Freight Line Inc                    | Old Dominion Freight Line Inc                         | CUSIP: 679580100<br>LEI: 5299009TWK32WE417T96 | Short            | EC               | CORP              | US        |       -2899 | NS      | $-392205.71   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Shionogi & Co Ltd                                | Shionogi & Co Ltd                                     | CUSIP: 000000000<br>LEI: 35380049VXDTHZI3DY35 | Long             | EC               | CORP              | JP        |      134500 | NS      | $2306829.70   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Shimano Inc                                      | Shimano Inc                                           | CUSIP: 000000000<br>LEI: 529900L32YT3P9DECR10 | Short            | EC               | CORP              | JP        |       -2800 | NS      | $-294015.34   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Shiseido Co Ltd                                  | Shiseido Co Ltd                                       | CUSIP: 000000000<br>LEI: 5299008QCD0YDT5OF506 | Short            | EC               | CORP              | JP        |      -99500 | NS      | $-1416381.34  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Ollie's Bargain Outlet Holdings Inc              | Ollie's Bargain Outlet Holdings Inc                   | CUSIP: 681116109<br>LEI: 529900YO5DSQCPEFDZ05 | Long             | EC               | CORP              | US        |       17372 | NS      | $2138666.92   | 0.29%             |  |  |  | No            |                  1 | On Loan: —       |
| Singapore Airlines Ltd                           | Singapore Airlines Ltd                                | CUSIP: 000000000<br>LEI: 549300ZG62N2599PWR15 | Short            | EC               | CORP              | SG        |     -125000 | NS      | $-626550.91   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Omnicom Group Inc                                | Omnicom Group Inc                                     | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |       17880 | NS      | $1280565.60   | 0.17%             |  |  |  | No            |                  1 | On Loan: —       |
| Omega Healthcare Investors Inc                   | Omega Healthcare Investors Inc                        | CUSIP: 681936100<br>LEI: 549300OJ7ENK42CZ8E73 | Short            | EC               |  | US        |       -3400 | NS      | $-156128.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Washington H Soul Pattinson & Co Ltd             | Washington H Soul Pattinson & Co Ltd                  | CUSIP: 000000000<br>LEI: 254900CV4BQYQLH2KI62 | Short            | EC               | CORP              | AU        |      -17437 | NS      | $-432113.97   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ON Semiconductor Corp                            | ON Semiconductor Corp                                 | CUSIP: 682189105<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | EC               | CORP              | US        |       37899 | NS      | $1904045.76   | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| ONEOK Inc                                        | ONEOK Inc                                             | CUSIP: 682680103<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Short            | EC               | CORP              | US        |      -43352 | NS      | $-3156892.64  | -0.42%            |  |  |  | No            |                  1 | On Loan: No      |
| Open Text Corp                                   | Open Text Corp                                        | CUSIP: 683715106<br>LEI: 549300HP7ONDQODZJV16 | Long             | EC               | CORP              | CA        |       48300 | NS      | $1624812.00   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Open Text Corp                                   | Open Text Corp                                        | CUSIP: 683715106<br>LEI: 549300HP7ONDQODZJV16 | Long             | EC               | CORP              | CA        |       10800 | NS      | $363619.45    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Stanley Electric Co Ltd                          | Stanley Electric Co Ltd                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       10000 | NS      | $195778.34    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Stockland                                        | Stockland                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               |  | AU        |      156301 | NS      | $616312.25    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SCSK Corp                                        | SCSK Corp                                             | CUSIP: 000000000<br>LEI: 529900SNGFXMSUBB7864 | Long             | EC               | CORP              | JP        |       20400 | NS      | $743620.68    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Electric Industries Ltd                 | Sumitomo Electric Industries Ltd                      | CUSIP: 000000000<br>LEI: 5493005SP87FL5TOS202 | Long             | EC               | CORP              | JP        |       20800 | NS      | $819614.37    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Realty & Development Co Ltd             | Sumitomo Realty & Development Co Ltd                  | CUSIP: 000000000<br>LEI: 353800SO2DCLOI3LNZ64 | Long             | EC               | CORP              | JP        |        2700 | NS      | $130475.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sun Hung Kai Properties Ltd                      | Sun Hung Kai Properties Ltd                           | CUSIP: 000000000<br>LEI: 529900LUMD393RD3S874 | Long             | EC               | CORP              | HK        |       61000 | NS      | $774720.86    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Suzuki Motor Corp                                | Suzuki Motor Corp                                     | CUSIP: 000000000<br>LEI: 353800D83H0V3ZV1SV24 | Long             | EC               | CORP              | JP        |       74500 | NS      | $1165056.29   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Swire Pacific Ltd                                | Swire Pacific Ltd                                     | CUSIP: 000000000<br>LEI: 549300KZOZHII0DGF611 | Short            | EC               | CORP              | HK        |      -32500 | NS      | $-279027.72   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| THK Co Ltd                                       | THK Co Ltd                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       10200 | NS      | $261447.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TDK Corp                                         | TDK Corp                                              | CUSIP: 000000000<br>LEI: 3538005O8WNU39U8NX03 | Long             | EC               | CORP              | JP        |       26200 | NS      | $430048.87    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Advantest Corp                                   | Advantest Corp                                        | CUSIP: 000000000<br>LEI: 353800EMK32PDKS9XR54 | Short            | EC               | CORP              | JP        |      -10100 | NS      | $-1343911.41  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Towa Corp                                        | Towa Corp                                             | CUSIP: 000000000<br>LEI: 353800HAMO7IT6KBJX75 | Long             | EC               | CORP              | JP        |        8600 | NS      | $118326.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd        | Taiwan Semiconductor Manufacturing Co Ltd             | CUSIP: 000000000<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |      148170 | NS      | $6831582.63   | 0.91%             |  |  |  | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp                              | Otis Worldwide Corp                                   | CUSIP: 68902V107<br>LEI: 549300ZLBKR8VSU25153 | Short            | EC               | CORP              | US        |      -29695 | NS      | $-2638400.75  | -0.35%            |  |  |  | No            |                  1 | On Loan: No      |
| Tokai Carbon Co Ltd                              | Tokai Carbon Co Ltd                                   | CUSIP: 000000000<br>LEI: 5299002HKWA5B57KLT43 | Long             | EC               | CORP              | JP        |       39200 | NS      | $258326.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyo Gas Co Ltd                                 | Tokyo Gas Co Ltd                                      | CUSIP: 000000000<br>LEI: 353800678EIJLOQSWZ83 | Long             | EC               | CORP              | JP        |       27300 | NS      | $1106486.40   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyo Electron Ltd                               | Tokyo Electron Ltd                                    | CUSIP: 000000000<br>LEI: 549300H5LSF8DP3RIJ34 | Long             | EC               | CORP              | JP        |        1600 | NS      | $327100.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyu Corp                                       | Tokyu Corp                                            | CUSIP: 000000000<br>LEI: 3538005PGNIBTZYXAE45 | Short            | EC               | CORP              | JP        |      -36500 | NS      | $-425950.35   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| TOPPAN Holdings Inc                              | TOPPAN Holdings Inc                                   | CUSIP: 000000000<br>LEI: 3538003H9W4KIDODQY20 | Long             | EC               | CORP              | JP        |       11300 | NS      | $364817.94    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| TOTO Ltd                                         | TOTO Ltd                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       16000 | NS      | $418861.29    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Industries Corp                           | Toyota Industries Corp                                | CUSIP: 000000000<br>LEI: 35380000WKGEAHEMW830 | Long             | EC               | CORP              | JP        |      100166 | NS      | $11221452.14  | 1.50%             |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Tsusho Corp                               | Toyota Tsusho Corp                                    | CUSIP: 000000000<br>LEI: 549300CEE2ENIUJNXB84 | Long             | EC               | CORP              | JP        |       80600 | NS      | $2612458.73   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Motor Corp                                | Toyota Motor Corp                                     | CUSIP: 000000000<br>LEI: 5493006W3QUS5LMH6R84 | Short            | EC               | CORP              | JP        |      -37300 | NS      | $-752408.99   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Ovintiv Inc                                      | Ovintiv Inc                                           | CUSIP: 69047Q102<br>LEI: 2549003MEX7YMKLGI239 | Short            | EC               | CORP              | US        |     -171000 | NS      | $-7004160.00  | -0.93%            |  |  |  | No            |                  1 | On Loan: No      |
| Wan Hai Lines Ltd                                | Wan Hai Lines Ltd                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | TW        |       28000 | NS      | $72021.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PG&E Corp                                        | PG&E Corp                                             | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Short            | EC               | CORP              | US        |      -35200 | NS      | $-567424.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| POSCO Holdings Inc                               | POSCO Holdings Inc                                    | CUSIP: 693483109<br>LEI: 988400E5HRVX81AYLM04 | Long             | EC               | CORP              | KR        |        1179 | NS      | $62581.32     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TXNM Energy Inc                                  | TXNM Energy Inc                                       | CUSIP: 69349H107<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | EC               | CORP              | US        |      440477 | NS      | $25745880.65  | 3.44%             |  |  |  | No            |                  1 | On Loan: No      |
| PACCAR Inc                                       | PACCAR Inc                                            | CUSIP: 693718108<br>LEI: KDTEY8BWE486IKZ3CC07 | Long             | EC               | CORP              | US        |       17746 | NS      | $1870783.32   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| PACCAR Inc                                       | PACCAR Inc                                            | CUSIP: 693718108<br>LEI: KDTEY8BWE486IKZ3CC07 | Short            | EC               | CORP              | US        |       -1220 | NS      | $-128612.40   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Wesfarmers Ltd                                   | Wesfarmers Ltd                                        | CUSIP: 000000000<br>LEI: 5493003L32ZX9557ST85 | Long             | EC               | CORP              | AU        |        5886 | NS      | $315865.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Palantir Technologies Inc                        | Palantir Technologies Inc                             | CUSIP: 69608A108<br>LEI: 549300UVN46B3BBDHO85 | Short            | EC               | CORP              | US        |      -11070 | NS      | $-1864741.50  | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| Palo Alto Networks Inc                           | Palo Alto Networks Inc                                | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Short            | EC               | CORP              | US        |      -79509 | NS      | $-15117046.17 | -2.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Pan American Silver Corp                         | Pan American Silver Corp                              | CUSIP: 697900108<br>LEI: 549300MKTF5851TYIB83 | Long             | EC               | CORP              | CA        |      465807 | NS      | $21273405.69  | 2.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Pan American Silver Corp                         | Pan American Silver Corp                              | CUSIP: 697900108<br>LEI: 549300MKTF5851TYIB83 | Short            | EC               | CORP              | CA        |     -497737 | NS      | $-22731648.79 | -3.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Woolworths Group Ltd                             | Woolworths Group Ltd                                  | CUSIP: 000000000<br>LEI: QNWEWQBS7HP85QHXQL92 | Short            | EC               | CORP              | AU        |      -20320 | NS      | $-390365.09   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Yamaha Motor Co Ltd                              | Yamaha Motor Co Ltd                                   | CUSIP: 000000000<br>LEI: 3538004LR5NXILJDHY88 | Long             | EC               | CORP              | JP        |      145900 | NS      | $1057309.32   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Astellas Pharma Inc                              | Astellas Pharma Inc                                   | CUSIP: 000000000<br>LEI: 529900IB708DY2HBBB35 | Short            | EC               | CORP              | JP        |      -48700 | NS      | $-612373.79   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Yokogawa Electric Corp                           | Yokogawa Electric Corp                                | CUSIP: 000000000<br>LEI: 529900MV0U7C9WWF4L22 | Long             | EC               | CORP              | JP        |       15400 | NS      | $492557.32    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Yang Ming Marine Transport Corp                  | Yang Ming Marine Transport Corp                       | CUSIP: 000000000<br>LEI: 254900WG2ACWNVSP6E13 | Long             | EC               | CORP              | TW        |       54000 | NS      | $89635.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Boerse AG                               | Deutsche Boerse AG                                    | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | Short            | EC               | CORP              | DE        |        -955 | NS      | $-255271.41   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Paychex Inc                                      | Paychex Inc                                           | CUSIP: 704326107<br>LEI: 529900K900DW6SUBM174 | Short            | EC               | CORP              | US        |      -20477 | NS      | $-2287076.13  | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Paycom Software Inc                              | Paycom Software Inc                                   | CUSIP: 70432V102<br>LEI: 254900LSB0HNJUDC6Q18 | Long             | EC               | CORP              | US        |        3950 | NS      | $636621.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| PayPal Holdings Inc                              | PayPal Holdings Inc                                   | CUSIP: 70450Y103<br>LEI: 5493005X2GO78EFZ3E94 | Long             | EC               | CORP              | US        |       42701 | NS      | $2676925.69   | 0.36%             |  |  |  | No            |                  1 | On Loan: —       |
| Pembina Pipeline Corp                            | Pembina Pipeline Corp                                 | CUSIP: 706327103<br>LEI: 5493002W3L9YICM6FU21 | Short            | EC               | CORP              | CA        |      -29639 | NS      | $-1155624.61  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Penn Entertainment Inc                           | Penn Entertainment Inc                                | CUSIP: 707569109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       53100 | NS      | $788004.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| Groupe Bruxelles Lambert NV                      | Groupe Bruxelles Lambert NV                           | CUSIP: 000000000<br>LEI: 549300KV0ZEHT2KVU152 | Short            | EC               | CORP              | BE        |       -1405 | NS      | $-121526.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Novartis AG                                      | Novartis AG                                           | CUSIP: 000000000<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |        1395 | NS      | $181991.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ABB Ltd                                          | ABB Ltd                                               | CUSIP: 000000000<br>LEI: 5493000LKVGOO9PELI61 | Long             | EC               | CORP              | CH        |       10231 | NS      | $736261.44    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Roche Holding AG                                 | Roche Holding AG                                      | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |         470 | NS      | $187134.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Roche Holding AG                                 | Roche Holding AG                                      | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |        6015 | NS      | $2304365.93   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Nestle SA                                        | Nestle SA                                             | CUSIP: 000000000<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |       22739 | NS      | $2261629.26   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Equinor ASA                                      | Equinor ASA                                           | CUSIP: 000000000<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | EC               | CORP              | NO        |       85468 | NS      | $1965405.79   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Revvity Inc                                      | Revvity Inc                                           | CUSIP: 714046109<br>LEI: 549300IKL1SDPFI7N655 | Short            | EC               | CORP              | US        |       -7833 | NS      | $-817843.53   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Skanska AB                                       | Skanska AB                                            | CUSIP: 000000000<br>LEI: 549300UINV5RINHGMG07 | Long             | EC               | CORP              | SE        |       18689 | NS      | $479982.44    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Eni SpA                                          | Eni SpA                                               | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Short            | EC               | CORP              | IT        |      -16677 | NS      | $-311835.07   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PERSHING SQUARE SPARC HOLDINGS                   | PERSHING SQUARE SPARC HOLDINGS                        | CUSIP: 714920113<br>LEI: 8SVCSVKSGDWMW2QHOH83 | N/A              | DE               |  | US        |       38486 | NS      | $11545.80     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Pfizer Inc                                       | Pfizer Inc                                            | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |      110549 | NS      | $2845531.26   | 0.38%             |  |  |  | No            |                  1 | On Loan: —       |
| Swatch Group AG/The                              | Swatch Group AG/The                                   | CUSIP: 000000000<br>LEI: 529900NTES2LEON1JZ55 | Short            | EC               | CORP              | CH        |       -2015 | NS      | $-407597.56   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Pinterest Inc                                    | Pinterest Inc                                         | CUSIP: 72352L106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       49991 | NS      | $1305764.92   | 0.17%             |  |  |  | No            |                  1 | On Loan: —       |
| Planet Fitness Inc                               | Planet Fitness Inc                                    | CUSIP: 72703H101<br>LEI: 549300LLE5HUPF6H8G33 | Short            | EC               | CORP              | US        |       -2900 | NS      | $-324713.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Pool Corp                                        | Pool Corp                                             | CUSIP: 73278L105<br>LEI: 5493005VZK1KMN6CO617 | Short            | EC               | CORP              | US        |       -2256 | NS      | $-549561.60   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Cie de Saint-Gobain SA                           | Cie de Saint-Gobain SA                                | CUSIP: 000000000<br>LEI: NFONVGN05Z0FMN5PEC35 | Long             | EC               | CORP              | FR        |        6003 | NS      | $599140.99    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Power Corp of Canada                             | Power Corp of Canada                                  | CUSIP: 739239101<br>LEI: 549300BE2CB8T87IJV50 | Long             | EC               | CORP              | CA        |       37000 | NS      | $1883824.11   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Preformed Line Products Co                       | Preformed Line Products Co                            | CUSIP: 740444104<br>LEI: 549300EYH53XDJID2098 | Long             | EC               | CORP              | US        |        2649 | NS      | $543707.25    | 0.07%             |  |  |  | No            |                  1 | On Loan: —       |
| T Rowe Price Group Inc                           | T Rowe Price Group Inc                                | CUSIP: 74144T108<br>LEI: 549300SIV6FPS9Y7IH33 | Long             | EC               | CORP              | US        |       24476 | NS      | $2505852.88   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| PriceSmart Inc                                   | PriceSmart Inc                                        | CUSIP: 741511109<br>LEI: 549300JVYOSTGVSDZS46 | Long             | EC               | CORP              | US        |       20910 | NS      | $2574021.00   | 0.34%             |  |  |  | No            |                  1 | On Loan: —       |
| Principal Financial Group Inc                    | Principal Financial Group Inc                         | CUSIP: 74251V102<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | EC               | CORP              | US        |        5339 | NS      | $452853.98    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Progressive Corp/The                             | Progressive Corp/The                                  | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |        2833 | NS      | $648162.07    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Swiss Life Holding AG                            | Swiss Life Holding AG                                 | CUSIP: 000000000<br>LEI: 5493000KUC3Z24U77V93 | Short            | EC               | CORP              | CH        |         -46 | NS      | $-50453.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Prudential Financial Inc                         | Prudential Financial Inc                              | CUSIP: 744320102<br>LEI: 5PRBRS5FEH7NREC8OR45 | Short            | EC               | CORP              | US        |       -3452 | NS      | $-373679.00   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Public Service Enterprise Group Inc              | Public Service Enterprise Group Inc                   | CUSIP: 744573106<br>LEI: PUSS41EMO3E6XXNV3U28 | Short            | EC               | CORP              | US        |       -1600 | NS      | $-133632.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PulteGroup Inc                                   | PulteGroup Inc                                        | CUSIP: 745867101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       16222 | NS      | $2063276.18   | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| Pure Storage Inc                                 | Pure Storage Inc                                      | CUSIP: 74624M102<br>LEI: 549300NPDB0BZTK3WO90 | Short            | EC               | CORP              | US        |      -12247 | NS      | $-1089493.12  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Qorvo Inc                                        | Qorvo Inc                                             | CUSIP: 74736K101<br>LEI: 254900YAUJV2EUEVBR11 | Long             | EC               | CORP              | US        |       73547 | NS      | $6316951.83   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Q2 Holdings Inc                                  | Q2 Holdings Inc                                       | CUSIP: 74736L109<br>LEI: 549300M9RKR9DZXWS696 | Short            | EC               | CORP              | US        |       -1900 | NS      | $-137047.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Qnity Electronics Inc                            | Qnity Electronics Inc                                 | CUSIP: 74743L100<br>LEI: 254900RSUG4J9TFFZX53 | Long             | EC               | CORP              | US        |        8500 | NS      | $689265.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Qnity Electronics Inc                            | Qnity Electronics Inc                                 | CUSIP: 74743L100<br>LEI: 254900RSUG4J9TFFZX53 | Short            | EC               | CORP              | US        |       -9800 | NS      | $-794682.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM Inc                                     | QUALCOMM Inc                                          | CUSIP: 747525103<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | EC               | CORP              | US        |       13540 | NS      | $2275938.60   | 0.30%             |  |  |  | No            |                  1 | On Loan: —       |
| QuantumScape Corp                                | QuantumScape Corp                                     | CUSIP: 74767V109<br>LEI: 529900JQVOM1M73BJE28 | Short            | EC               | CORP              | US        |       -3100 | NS      | $-37882.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Quest Diagnostics Inc                            | Quest Diagnostics Inc                                 | CUSIP: 74834L100<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | EC               | CORP              | US        |        7476 | NS      | $1414309.68   | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| REV Group Inc                                    | REV Group Inc                                         | CUSIP: 749527107<br>LEI: 549300SRD0SIG5ZZ3X20 | Long             | EC               | CORP              | US        |      162919 | NS      | $8678695.13   | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| RTX Corp                                         | RTX Corp                                              | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Short            | EC               | CORP              | US        |       -6507 | NS      | $-1138139.37  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| RBC Bearings Inc                                 | RBC Bearings Inc                                      | CUSIP: 75524B104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        4849 | NS      | $2157659.53   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Realty Income Corp                               | Realty Income Corp                                    | CUSIP: 756109104<br>LEI: 549300CUWDAUZSH43859 | Short            | EC               |  | US        |      -23611 | NS      | $-1360229.71  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Reddit Inc                                       | Reddit Inc                                            | CUSIP: 75734B100<br>LEI: 529900APN1YHPBHPI679 | Long             | EC               | CORP              | US        |        3697 | NS      | $800289.59    | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| Regency Centers Corp                             | Regency Centers Corp                                  | CUSIP: 758849103<br>LEI: 529900053A7X7FJ97S58 | Long             | EC               |  | US        |         751 | NS      | $53441.16     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Regency Centers Corp                             | Regency Centers Corp                                  | CUSIP: 758849103<br>LEI: 529900053A7X7FJ97S58 | Short            | EC               |  | US        |       -2600 | NS      | $-185016.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Regeneron Pharmaceuticals Inc                    | Regeneron Pharmaceuticals Inc                         | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |        3910 | NS      | $3050542.90   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Regions Financial Corp                           | Regions Financial Corp                                | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |       39107 | NS      | $995273.15    | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Reinsurance Group of America Inc                 | Reinsurance Group of America Inc                      | CUSIP: 759351604<br>LEI: LORM1GNEU1DKEW527V90 | Short            | EC               | CORP              | US        |       -4400 | NS      | $-835428.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Rentokil Initial PLC                             | Rentokil Initial PLC                                  | CUSIP: 760125104<br>LEI: 549300VN4WV7Z6T14K68 | Long             | EC               | CORP              | GB        |       21600 | NS      | $597240.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                 | CUSIP: 760942BJ0<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    14000000 | PA      | $358112.91    | 0.05%             | 2035-10-29      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Daiwa Capital Markets America, Inc.              | REPO DAIWA                                            | CUSIP: 000000000<br>LEI: M67H5PRC0NQKM73ZAS82 | Long             | RA               | CORP              | US        |    95066125 | PA      | $95066125.00  | 12.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Restaurant Brands International Inc              | Restaurant Brands International Inc                   | CUSIP: 76131D103<br>LEI: 5299009RXTX9DN9AKJ98 | Short            | EC               | CORP              | CA        |      -18217 | NS      | $-1318728.63  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Revolution Medicines Inc                         | Revolution Medicines Inc                              | CUSIP: 76155X100<br>LEI: 549300JU3X0LBCQ65892 | Short            | EC               | CORP              | US        |       -4600 | NS      | $-357696.00   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA RESOLUTE FOREST                           | CONTRA RESOLUTE FOREST                                | CUSIP: 761CVR042<br>LEI: N/A                  | N/A              | DE               |  | US        |      176256 | NS      | $264384.00    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Telecom Italia SpA/Milano                        | Telecom Italia SpA/Milano                             | CUSIP: 000000000<br>LEI: 549300W384M3RI3VXU42 | Long             | EC               | CORP              | IT        |     4606036 | NS      | $2596840.80   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Telecom Italia SpA/Milano                        | Telecom Italia SpA/Milano                             | CUSIP: 000000000<br>LEI: 549300W384M3RI3VXU42 | Short            | EC               | CORP              | IT        |      -60323 | NS      | $-34009.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rigetti Computing Inc                            | Rigetti Computing Inc                                 | CUSIP: 76655K103<br>LEI: 52990024JHY459DH8W71 | Short            | EC               | CORP              | US        |       -6900 | NS      | $-176433.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Rio Tinto PLC                                    | Rio Tinto PLC                                         | CUSIP: 767204100<br>LEI: 213800YOEO5OQ72G2R82 | Long             | EC               | CORP              | GB        |        3558 | NS      | $255998.10    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Riot Platforms Inc                               | Riot Platforms Inc                                    | CUSIP: 767292105<br>LEI: 5299005LKZAJQDQZDF73 | Short            | EC               | CORP              | US        |      -10000 | NS      | $-161300.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Rivian Automotive Inc                            | Rivian Automotive Inc                                 | CUSIP: 76954A103<br>LEI: 25490004LNKJ84MFYY24 | Short            | EC               | CORP              | US        |     -246328 | NS      | $-4153090.08  | -0.55%            |  |  |  | No            |                  1 | On Loan: No      |
| Robinhood Markets Inc                            | Robinhood Markets Inc                                 | CUSIP: 770700102<br>LEI: 213800FS5AO3YWIE6F63 | Short            | EC               | CORP              | US        |      -29380 | NS      | $-3775036.20  | -0.50%            |  |  |  | No            |                  1 | On Loan: No      |
| ROBLOX Corp                                      | ROBLOX Corp                                           | CUSIP: 771049103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1420 | NS      | $134942.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ROBLOX Corp                                      | ROBLOX Corp                                           | CUSIP: 771049103<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -25208 | NS      | $-2395516.24  | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| Rocket Cos Inc                                   | Rocket Cos Inc                                        | CUSIP: 77311W101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       77000 | NS      | $1538460.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Rocket Cos Inc                                   | Rocket Cos Inc                                        | CUSIP: 77311W101<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -33102 | NS      | $-661377.96   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Rocket Lab Corp                                  | Rocket Lab Corp                                       | CUSIP: 773121108<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -57351 | NS      | $-2416771.14  | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| Gecina SA                                        | Gecina SA                                             | CUSIP: 000000000<br>LEI: 9695003E4MMA10IBTR26 | Short            | EC               |  | FR        |        -919 | NS      | $-85197.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Yara International ASA                           | Yara International ASA                                | CUSIP: 000000000<br>LEI: 213800WKOUWXWFJ5Z514 | Long             | EC               | CORP              | NO        |        9287 | NS      | $339217.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Roku Inc                                         | Roku Inc                                              | CUSIP: 77543R102<br>LEI: 549300KR6ITU0YIR1T71 | Short            | EC               | CORP              | US        |       -4600 | NS      | $-445234.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Rollins Inc                                      | Rollins Inc                                           | CUSIP: 775711104<br>LEI: 549300F2A0BXT4SGWD84 | Short            | EC               | CORP              | US        |      -33745 | NS      | $-2074642.60  | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| Heineken NV                                      | Heineken NV                                           | CUSIP: 000000000<br>LEI: 724500K5PTPSST86UQ23 | Short            | EC               | CORP              | NL        |       -7049 | NS      | $-574994.98   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Shell PLC                                        | Shell PLC                                             | CUSIP: 780259305<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |        4387 | NS      | $323628.99    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Rubrik Inc                                       | Rubrik Inc                                            | CUSIP: 781154109<br>LEI: 254900TRGK2WTBYMYU27 | Short            | EC               | CORP              | US        |       -9700 | NS      | $-672404.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Ryan Specialty Holdings Inc                      | Ryan Specialty Holdings Inc                           | CUSIP: 78351F107<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -7800 | NS      | $-452946.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| S&P Global Inc                                   | S&P Global Inc                                        | CUSIP: 78409V104<br>LEI: Y6X4K52KMJMZE7I7MY94 | Short            | EC               | CORP              | US        |        -105 | NS      | $-52377.15    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Salesforce Inc                                   | Salesforce Inc                                        | CUSIP: 79466L302<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | EC               | CORP              | US        |       15853 | NS      | $3654750.62   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Samsara Inc                                      | Samsara Inc                                           | CUSIP: 79589L106<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -80600 | NS      | $-3065218.00  | -0.41%            |  |  |  | No            |                  1 | On Loan: No      |
| Saputo Inc                                       | Saputo Inc                                            | CUSIP: 802912105<br>LEI: 549300HH4U1DPY0TBT90 | Short            | EC               | CORP              | CA        |      -30500 | NS      | $-864506.78   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Sarepta Therapeutics Inc                         | Sarepta Therapeutics Inc                              | CUSIP: 803607100<br>LEI: 549300IKDPIED8J8IG21 | Short            | EC               | CORP              | US        |       -4000 | NS      | $-85360.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Sea Ltd                                          | Sea Ltd                                               | CUSIP: 81141R100<br>LEI: 529900OM6JLLW44YKI15 | Short            | EC               | CORP              | KY        |       -3100 | NS      | $-430931.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| ServiceNow Inc                                   | ServiceNow Inc                                        | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Short            | EC               | CORP              | US        |       -4010 | NS      | $-3257764.10  | -0.43%            |  |  |  | No            |                  1 | On Loan: No      |
| Shift4 Payments Inc                              | Shift4 Payments Inc                                   | CUSIP: 82452J109<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -1500 | NS      | $-110670.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Shinhan Financial Group Co Ltd                   | Shinhan Financial Group Co Ltd                        | CUSIP: 824596100<br>LEI: 988400EB8A6G49E5KO54 | Long             | EC               | CORP              | KR        |        4901 | NS      | $265095.09    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Sibanye Stillwater Ltd                           | Sibanye Stillwater Ltd                                | CUSIP: 82575P107<br>LEI: 378900F238434B74D281 | Short            | EC               | CORP              | ZA        |       -5705 | NS      | $-76047.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Silicon Motion Technology Corp                   | Silicon Motion Technology Corp                        | CUSIP: 82706C108<br>LEI: 5299005RBVBZQJTYFC89 | Long             | EC               | CORP              | KY        |       16100 | NS      | $1432256.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| QXO Inc                                          | QXO Inc                                               | CUSIP: 82846H405<br>LEI: 549300HDXQWWCBOYXP31 | Short            | EC               | CORP              | US        |      -10100 | NS      | $-189173.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Skyworks Solutions Inc                           | Skyworks Solutions Inc                                | CUSIP: 83088M102<br>LEI: 549300WZ3ORQ2BVKBD96 | Short            | EC               | CORP              | US        |      -70607 | NS      | $-4656531.65  | -0.62%            |  |  |  | No            |                  1 | On Loan: No      |
| Snap Inc                                         | Snap Inc                                              | CUSIP: 83304A106<br>LEI: 549300JNC0L6VP8A2Q35 | Short            | EC               | CORP              | US        |     -178623 | NS      | $-1371824.64  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Snowflake Inc                                    | Snowflake Inc                                         | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Short            | EC               | CORP              | US        |      -16980 | NS      | $-4266055.20  | -0.57%            |  |  |  | No            |                  1 | On Loan: No      |
| SoFi Technologies Inc                            | SoFi Technologies Inc                                 | CUSIP: 83406F102<br>LEI: 549300SW81JCMVZDDY09 | Short            | EC               | CORP              | US        |      -98325 | NS      | $-2922219.00  | -0.39%            |  |  |  | No            |                  1 | On Loan: No      |
| Solventum Corp                                   | Solventum Corp                                        | CUSIP: 83444M101<br>LEI: 254900I70403OSGY4M28 | Long             | EC               | CORP              | US        |       43697 | NS      | $3725606.22   | 0.50%             |  |  |  | No            |                  1 | On Loan: —       |
| SoundHound AI Inc                                | SoundHound AI Inc                                     | CUSIP: 836100107<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -13900 | NS      | $-167495.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Southern Co/The                                  | Southern Co/The                                       | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Short            | EC               | CORP              | US        |       -7800 | NS      | $-710736.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Southern Copper Corp                             | Southern Copper Corp                                  | CUSIP: 84265V105<br>LEI: 2549007U6NAP46Q9TU15 | Short            | EC               | CORP              | US        |      -17255 | NS      | $-2325687.53  | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Starbucks Corp                                   | Starbucks Corp                                        | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Short            | EC               | CORP              | US        |      -15369 | NS      | $-1338793.59  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Starwood Property Trust Inc                      | Starwood Property Trust Inc                           | CUSIP: 85571B105<br>LEI: BUGSFQZERKRBFWIG5267 | Short            | EC               |  | US        |       -3400 | NS      | $-62356.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Corp                                | State Street Corp                                     | CUSIP: 857477103<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EC               | CORP              | US        |       13739 | NS      | $1635215.78   | 0.22%             |  |  |  | No            |                  1 | On Loan: —       |
| State Street Global Advisors                     | State Street Institutional Treasury Money Market Fund | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |    10362552 | NS      | $10362552.24  | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Steel Dynamics Inc                               | Steel Dynamics Inc                                    | CUSIP: 858119100<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | EC               | CORP              | US        |       15613 | NS      | $2620329.79   | 0.35%             |  |  |  | No            |                  1 | On Loan: —       |
| StepStone Group Inc                              | StepStone Group Inc                                   | CUSIP: 85914M107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       24652 | NS      | $1557020.32   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Sun Communities Inc                              | Sun Communities Inc                                   | CUSIP: 866674104<br>LEI: 549300H5GEOJYN41ZG57 | Short            | EC               |  | US        |      -10998 | NS      | $-1416982.32  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Synchrony Financial                              | Synchrony Financial                                   | CUSIP: 87165B103<br>LEI: 549300RS7EWPM9MA6C78 | Long             | EC               | CORP              | US        |       41421 | NS      | $3204328.56   | 0.43%             |  |  |  | No            |                  1 | On Loan: —       |
| Sysco Corp                                       | Sysco Corp                                            | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Short            | EC               | CORP              | US        |       -1729 | NS      | $-131749.80   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| TFI International Inc                            | TFI International Inc                                 | CUSIP: 87241L109<br>LEI: 5493007R9W7KO7SJN678 | Long             | EC               | CORP              | CA        |        6900 | NS      | $603681.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TJX Cos Inc/The                                  | TJX Cos Inc/The                                       | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |       15607 | NS      | $2371015.44   | 0.32%             |  |  |  | No            |                  1 | On Loan: —       |
| T-Mobile US Inc                                  | T-Mobile US Inc                                       | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Short            | EC               | CORP              | US        |       -3541 | NS      | $-740104.41   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| TMX Group Ltd                                    | TMX Group Ltd                                         | CUSIP: 87262K105<br>LEI: 549300N65GFVKSHGJW59 | Long             | EC               | CORP              | CA        |        8100 | NS      | $297348.74    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Take-Two Interactive Software Inc                | Take-Two Interactive Software Inc                     | CUSIP: 874054109<br>LEI: BOMSTHHJK882EWYX3334 | Short            | EC               | CORP              | US        |      -15244 | NS      | $-3751091.08  | -0.50%            |  |  |  | No            |                  1 | On Loan: No      |
| Target Corp                                      | Target Corp                                           | CUSIP: 87612E106<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | EC               | CORP              | US        |       29033 | NS      | $2630970.46   | 0.35%             |  |  |  | No            |                  1 | On Loan: —       |
| Targa Resources Corp                             | Targa Resources Corp                                  | CUSIP: 87612G101<br>LEI: 5493003QENHHS261UR94 | Short            | EC               | CORP              | US        |      -15757 | NS      | $-2762359.67  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| TEGNA Inc                                        | TEGNA Inc                                             | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |      216657 | NS      | $4229144.64   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Tempus AI Inc                                    | Tempus AI Inc                                         | CUSIP: 88023B103<br>LEI: 2549009LA0KWRAGQBX50 | Short            | EC               | CORP              | US        |        -700 | NS      | $-54551.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Tenaris SA                                       | Tenaris SA                                            | CUSIP: 88031M109<br>LEI: 549300Y7C05BKC4HZB40 | Long             | EC               | CORP              | LU        |       15972 | NS      | $642393.84    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Terex Corp                                       | Terex Corp                                            | CUSIP: 880779103<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | EC               | CORP              | US        |       25100 | NS      | $1159871.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Terex Corp                                       | Terex Corp                                            | CUSIP: 880779103<br>LEI: YAWJZJYEQ7M1SYMOS462 | Short            | EC               | CORP              | US        |     -159808 | NS      | $-7384727.68  | -0.99%            |  |  |  | No            |                  1 | On Loan: No      |
| Tesla Inc                                        | Tesla Inc                                             | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Short            | EC               | CORP              | US        |       -6795 | NS      | $-2923005.15  | -0.39%            |  |  |  | No            |                  1 | On Loan: No      |
| Teva Pharmaceutical Industries Ltd               | Teva Pharmaceutical Industries Ltd                    | CUSIP: 881624209<br>LEI: 549300BAFGM4RC74ZJ94 | Short            | EC               | CORP              | IL        |      -32200 | NS      | $-865858.00   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Texas Instruments Inc                            | Texas Instruments Inc                                 | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |       19577 | NS      | $3294221.79   | 0.44%             |  |  |  | No            |                  1 | On Loan: —       |
| Texas Pacific Land Corp                          | Texas Pacific Land Corp                               | CUSIP: 88262P102<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -2845 | NS      | $-2458905.05  | -0.33%            |  |  |  | No            |                  1 | On Loan: No      |
| Textron Inc                                      | Textron Inc                                           | CUSIP: 883203101<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | EC               | CORP              | US        |        4520 | NS      | $375883.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Trade Desk Inc/The                               | Trade Desk Inc/The                                    | CUSIP: 88339J105<br>LEI: 549300GXPD31VT3E0P46 | Short            | EC               | CORP              | US        |       -5993 | NS      | $-237083.08   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific Inc                     | Thermo Fisher Scientific Inc                          | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |        9839 | NS      | $5813176.37   | 0.78%             |  |  |  | No            |                  1 | On Loan: —       |
| Qfin Holdings Inc                                | Qfin Holdings Inc                                     | CUSIP: 88557W101<br>LEI: 836800R59NKEPDR6I240 | Long             | EC               | CORP              | KY        |       11735 | NS      | $229184.55    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| 3M Co                                            | 3M Co                                                 | CUSIP: 88579Y101<br>LEI: LUZQVYP4VS22CLWDAR65 | Short            | EC               | CORP              | US        |       -2713 | NS      | $-466771.65   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Toast Inc                                        | Toast Inc                                             | CUSIP: 888787108<br>LEI: 549300TN1PZNLCD4I551 | Short            | EC               | CORP              | US        |      -23866 | NS      | $-815978.54   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Toronto-Dominion Bank/The                        | Toronto-Dominion Bank/The                             | CUSIP: 891160509<br>LEI: PT3QB789TSUIDF371261 | Long             | EC               | CORP              | CA        |       25200 | NS      | $2121564.28   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Tractor Supply Co                                | Tractor Supply Co                                     | CUSIP: 892356106<br>LEI: 549300OJ9VZHZRO6I137 | Short            | EC               | CORP              | US        |      -12471 | NS      | $-683161.38   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Tradeweb Markets Inc                             | Tradeweb Markets Inc                                  | CUSIP: 892672106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       10115 | NS      | $1101118.90   | 0.15%             |  |  |  | No            |                  1 | On Loan: —       |
| TransDigm Group Inc                              | TransDigm Group Inc                                   | CUSIP: 893641100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -389 | NS      | $-529106.13   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| TransUnion                                       | TransUnion                                            | CUSIP: 89400J107<br>LEI: 549300ZS772LUNUMRB03 | Short            | EC               | CORP              | US        |       -9108 | NS      | $-774635.40   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Trex Co Inc                                      | Trex Co Inc                                           | CUSIP: 89531P105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       39855 | NS      | $1394127.90   | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| Truist Financial Corp                            | Truist Financial Corp                                 | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Short            | EC               | CORP              | US        |       -1300 | NS      | $-60450.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Twilio Inc                                       | Twilio Inc                                            | CUSIP: 90138F102<br>LEI: 5493004W8TRGD63APX93 | Short            | EC               | CORP              | US        |       -5800 | NS      | $-752202.00   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Tyler Technologies Inc                           | Tyler Technologies Inc                                | CUSIP: 902252105<br>LEI: 25490040SMU4Z8LBCW70 | Short            | EC               | CORP              | US        |       -3687 | NS      | $-1731488.94  | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| UDR Inc                                          | UDR Inc                                               | CUSIP: 902653104<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Short            | EC               |  | US        |      -43396 | NS      | $-1580482.32  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| US Bancorp                                       | US Bancorp                                            | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |      112827 | NS      | $5534164.35   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Uber Technologies Inc                            | Uber Technologies Inc                                 | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |       23377 | NS      | $2046422.58   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Ulta Beauty Inc                                  | Ulta Beauty Inc                                       | CUSIP: 90384S303<br>LEI: 529900CIV6HN8M28YM82 | Long             | EC               | CORP              | US        |        1355 | NS      | $730114.65    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Union Pacific Corp                               | Union Pacific Corp                                    | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |        4200 | NS      | $973686.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Union Pacific Corp                               | Union Pacific Corp                                    | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Short            | EC               | CORP              | US        |      -51136 | NS      | $-11854858.88 | -1.58%            |  |  |  | No            |                  1 | On Loan: No      |
| United Airlines Holdings Inc                     | United Airlines Holdings Inc                          | CUSIP: 910047109<br>LEI: 98450079DA0B78DD6764 | Long             | EC               | CORP              | US        |       26196 | NS      | $2670944.16   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| United Parcel Service Inc                        | United Parcel Service Inc                             | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |       23935 | NS      | $2292733.65   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| United Rentals Inc                               | United Rentals Inc                                    | CUSIP: 911363109<br>LEI: 5323X5O7RN0NKFCDRY08 | Long             | EC               | CORP              | US        |         800 | NS      | $652144.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CMJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4900000 | PA      | $4895694.52   | 0.65%             | 2027-01-31      | Floating      | 3.88%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   104360000 | PA      | $104331405.36 | 13.93%            | 2027-04-30      | Floating      | 3.94%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    69900000 | PA      | $69878653.24  | 9.33%             | 2027-07-31      | Floating      | 3.94%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CPG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2730000 | PA      | $2729935.00   | 0.36%             | 2027-10-31      | Floating      | 3.97%                 | No            |                  1 | On Loan: No      |
| UnitedHealth Group Inc                           | UnitedHealth Group Inc                                | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |       10947 | NS      | $3609992.19   | 0.48%             |  |  |  | No            |                  1 | On Loan: —       |
| Unity Software Inc                               | Unity Software Inc                                    | CUSIP: 91332U101<br>LEI: 549300D1ESJMGNQNG432 | Short            | EC               | CORP              | US        |      -19700 | NS      | $-837644.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Universal Display Corp                           | Universal Display Corp                                | CUSIP: 91347P105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       10704 | NS      | $1273026.72   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Universal Health Services Inc                    | Universal Health Services Inc                         | CUSIP: 913903100<br>LEI: 549300YGMGQDO0NMJD09 | Long             | EC               | CORP              | US        |        6500 | NS      | $1583595.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: —       |
| Upstart Holdings Inc                             | Upstart Holdings Inc                                  | CUSIP: 91680M107<br>LEI: 549300WNB47JRNENIC75 | Short            | EC               | CORP              | US        |       -1200 | NS      | $-53952.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Uranium Energy Corp                              | Uranium Energy Corp                                   | CUSIP: 916896103<br>LEI: 549300VD69WD2USLIP04 | Short            | EC               | CORP              | US        |       -8400 | NS      | $-103068.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                 | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    13000000 | PA      | $334671.39    | 0.04%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp                               | Valero Energy Corp                                    | CUSIP: 91913Y100<br>LEI: 549300XTO5VR8SKV1V74 | Long             | EC               | CORP              | US        |        4265 | NS      | $753881.40    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Varonis Systems Inc                              | Varonis Systems Inc                                   | CUSIP: 922280102<br>LEI: 549300SHIVNRRH7STS26 | Short            | EC               | CORP              | US        |       -2400 | NS      | $-79368.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Vaxcyte Inc                                      | Vaxcyte Inc                                           | CUSIP: 92243G108<br>LEI: 254900M7NMHTGASX8D95 | Short            | EC               | CORP              | US        |       -8000 | NS      | $-396880.00   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Veeva Systems Inc                                | Veeva Systems Inc                                     | CUSIP: 922475108<br>LEI: 549300YZEXPDB92M2F02 | Long             | EC               | CORP              | US        |        2397 | NS      | $575975.13    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Ventas Inc                                       | Ventas Inc                                            | CUSIP: 92276F100<br>LEI: ORQTRC074CWLT3DKHT41 | Short            | EC               |  | US        |      -33946 | NS      | $-2737065.98  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| VeriSign Inc                                     | VeriSign Inc                                          | CUSIP: 92343E102<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | EC               | CORP              | US        |        1492 | NS      | $375969.08    | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| Verizon Communications Inc                       | Verizon Communications Inc                            | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |       66840 | NS      | $2747792.40   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Verisk Analytics Inc                             | Verisk Analytics Inc                                  | CUSIP: 92345Y106<br>LEI: 549300I1YSWNIRKBWP67 | Short            | EC               | CORP              | US        |       -1144 | NS      | $-257480.08   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| VICI Properties Inc                              | VICI Properties Inc                                   | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               |  | US        |       24053 | NS      | $693207.46    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Visa Inc                                         | Visa Inc                                              | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |       10427 | NS      | $3487205.88   | 0.47%             |  |  |  | No            |                  1 | On Loan: —       |
| Vistra Corp                                      | Vistra Corp                                           | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Short            | EC               | CORP              | US        |      -15461 | NS      | $-2765354.46  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| Vodafone Group PLC                               | Vodafone Group PLC                                    | CUSIP: 92857W308<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        |      164697 | NS      | $2053771.59   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Vornado Realty Trust                             | Vornado Realty Trust                                  | CUSIP: 929042109<br>LEI: N/A                  | Short            | EC               |  | US        |       -7400 | NS      | $-272468.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| WP Carey Inc                                     | WP Carey Inc                                          | CUSIP: 92936U109<br>LEI: 54930042CRNE713E3Q67 | Long             | EC               |  | US        |       11271 | NS      | $759327.27    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA WALGREENS BOOTS                           | CONTRA WALGREENS BOOTS                                | CUSIP: 931CVR013<br>LEI: 549300RPTUOIXG4LIH86 | N/A              | DE               |  | US        |      121981 | NS      | $60990.50     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Waste Connections Inc                            | Waste Connections Inc                                 | CUSIP: 94106B101<br>LEI: 549300HDLRTPBQU69P29 | Short            | EC               | CORP              | CA        |      -11511 | NS      | $-2032267.05  | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| Waste Management Inc                             | Waste Management Inc                                  | CUSIP: 94106L109<br>LEI: 549300YX8JIID70NFS41 | Short            | EC               | CORP              | US        |       -2921 | NS      | $-636398.27   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Waters Corp                                      | Waters Corp                                           | CUSIP: 941848103<br>LEI: 5T547R1474YC9HOD8Q74 | Long             | EC               | CORP              | US        |        4800 | NS      | $1936416.00   | 0.26%             |  |  |  | No            |                  1 | On Loan: —       |
| Watsco Inc                                       | Watsco Inc                                            | CUSIP: 942622200<br>LEI: 549300F1Y3LN5BX5WN75 | Short            | EC               | CORP              | US        |       -7763 | NS      | $-2689103.20  | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| Wayfair Inc                                      | Wayfair Inc                                           | CUSIP: 94419L101<br>LEI: 54930027N9ZAVYFDHK53 | Short            | EC               | CORP              | US        |       -1400 | NS      | $-155120.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co                                 | Wells Fargo & Co                                      | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |       24555 | NS      | $2108046.75   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Welltower Inc                                    | Welltower Inc                                         | CUSIP: 95040Q104<br>LEI: 254900F33BIAR82QTA19 | Short            | EC               |  | US        |      -16927 | NS      | $-3524539.94  | -0.47%            |  |  |  | No            |                  1 | On Loan: No      |
| UNTRADE.CHINA ZHONGWANG                          | UNTRADE.CHINA ZHONGWANG                               | CUSIP: 000000000<br>LEI: 529900J21TD2P9K4YC63 | Long             | EC               | CORP              | HK        |      308000 | NS      | $0.04         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| West Pharmaceutical Services Inc                 | West Pharmaceutical Services Inc                      | CUSIP: 955306105<br>LEI: 5493007NKRGM1RJQ1P16 | Short            | EC               | CORP              | US        |        -215 | NS      | $-59608.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Western Digital Corp                             | Western Digital Corp                                  | CUSIP: 958102105<br>LEI: 549300QQXOOYEF89IC56 | Short            | EC               | CORP              | US        |      -11331 | NS      | $-1850692.23  | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| Williams Cos Inc/The                             | Williams Cos Inc/The                                  | CUSIP: 969457100<br>LEI: D71FAKCBLFS2O0RBPG08 | Short            | EC               | CORP              | US        |      -46471 | NS      | $-2831478.03  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| Williams-Sonoma Inc                              | Williams-Sonoma Inc                                   | CUSIP: 969904101<br>LEI: 549300IARG6YWVTZ1I92 | Long             | EC               | CORP              | US        |        3438 | NS      | $618874.38    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| WillScot Holdings Corp                           | WillScot Holdings Corp                                | CUSIP: 971378104<br>LEI: 549300HJ4VIXF476Q166 | Long             | EC               | CORP              | US        |       41000 | NS      | $809750.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| Woodward Inc                                     | Woodward Inc                                          | CUSIP: 980745103<br>LEI: YPYKXXTR8TFDH54ZMB45 | Long             | EC               | CORP              | US        |        5746 | NS      | $1723972.38   | 0.23%             |  |  |  | No            |                  1 | On Loan: —       |
| Workday Inc                                      | Workday Inc                                           | CUSIP: 98138H101<br>LEI: 549300J0DYC0N31V7G13 | Short            | EC               | CORP              | US        |       -1315 | NS      | $-283540.30   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| XPEL Inc                                         | XPEL Inc                                              | CUSIP: 98379L100<br>LEI: 549300KWSE3IGXLJNW66 | Long             | EC               | CORP              | US        |       13915 | NS      | $646769.20    | 0.09%             |  |  |  | Yes           |                  1 | On Loan: —       |
| XPeng Inc                                        | XPeng Inc                                             | CUSIP: 98422D105<br>LEI: 549300TZNMIREMWQU857 | Short            | EC               | CORP              | KY        |      -23919 | NS      | $-522151.77   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Yum! Brands Inc                                  | Yum! Brands Inc                                       | CUSIP: 988498101<br>LEI: 549300JE8XHZZ7OHN517 | Long             | EC               | CORP              | US        |        2443 | NS      | $374292.03    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Zebra Technologies Corp                          | Zebra Technologies Corp                               | CUSIP: 989207105<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Short            | EC               | CORP              | US        |       -2199 | NS      | $-555797.25   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Zillow Group Inc                                 | Zillow Group Inc                                      | CUSIP: 98954M200<br>LEI: 2549002XEELQDIR6FU05 | Short            | EC               | CORP              | US        |      -36679 | NS      | $-2728184.02  | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| Zimmer Biomet Holdings Inc                       | Zimmer Biomet Holdings Inc                            | CUSIP: 98956P102<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Short            | EC               | CORP              | US        |       -8282 | NS      | $-807660.64   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Zoetis Inc                                       | Zoetis Inc                                            | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |        6023 | NS      | $772028.14    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| Zscaler Inc                                      | Zscaler Inc                                           | CUSIP: 98980G102<br>LEI: 529900MZ0RTK1BWRNF46 | Short            | EC               | CORP              | US        |      -13786 | NS      | $-3467179.00  | -0.46%            |  |  |  | No            |                  1 | On Loan: No      |
| Zoom Communications Inc                          | Zoom Communications Inc                               | CUSIP: 98980L101<br>LEI: 549300T9GCHU0ODOM055 | Long             | EC               | CORP              | US        |       33649 | NS      | $2858819.04   | 0.38%             |  |  |  | No            |                  1 | On Loan: —       |
| Pegatron Corp                                    | Pegatron Corp                                         | CUSIP: 000000000<br>LEI: 529900M87JQS8TUO0L66 | Long             | EC               | CORP              | TW        |       25000 | NS      | $57507.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BASF SE                                          | BASF SE                                               | CUSIP: 000000000<br>LEI: 529900PM64WH8AF1E917 | Short            | EC               | CORP              | DE        |      -14672 | NS      | $-765165.24   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Re AG                                      | Swiss Re AG                                           | CUSIP: 000000000<br>LEI: 529900PS9YW3YY29F326 | Short            | EC               | CORP              | CH        |       -3735 | NS      | $-659126.25   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BKW AG                                           | BKW AG                                                | CUSIP: 000000000<br>LEI: 549300IE30SKTUO98Q38 | Long             | EC               | CORP              | CH        |        3330 | NS      | $695436.20    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Evolution Mining Ltd                             | Evolution Mining Ltd                                  | CUSIP: 000000000<br>LEI: 254900BCFW5QO5LW8F27 | Long             | EC               | CORP              | AU        |       77064 | NS      | $600041.24    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Hankook Tire & Technology Co Ltd                 | Hankook Tire & Technology Co Ltd                      | CUSIP: 000000000<br>LEI: 9884001BIEVM09M7AH02 | Long             | EC               | CORP              | KR        |       12666 | NS      | $530063.95    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ASML Holding NV                                  | ASML Holding NV                                       | CUSIP: 000000000<br>LEI: 724500Y6DUVHQD6OXN27 | Long             | EC               | CORP              | NL        |        2139 | NS      | $2262318.75   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Coloplast A/S                                    | Coloplast A/S                                         | CUSIP: 000000000<br>LEI: 529900NN7SOJ5QG82X67 | Short            | EC               | CORP              | DK        |      -21627 | NS      | $-1952964.35  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Evonik Industries AG                             | Evonik Industries AG                                  | CUSIP: 000000000<br>LEI: 41GUOJQTALQHLF39XJ34 | Short            | EC               | CORP              | DE        |      -12393 | NS      | $-190735.78   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Commerzbank AG                                   | Commerzbank AG                                        | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Short            | EC               | CORP              | DE        |      -19670 | NS      | $-771817.63   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Cie Financiere Richemont SA                      | Cie Financiere Richemont SA                           | CUSIP: 000000000<br>LEI: 549300YIPGJ6UX2QPS51 | Short            | EC               | CORP              | CH        |       -2203 | NS      | $-468359.13   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                               | Vodafone Group PLC                                    | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        |      873631 | NS      | $1087967.55   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                     | UBS Group AG                                          | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |        7704 | NS      | $297331.47    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Macnica Holdings Inc                             | Macnica Holdings Inc                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |        7400 | NS      | $110007.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Flutter Entertainment PLC                        | Flutter Entertainment PLC                             | CUSIP: 000000000<br>LEI: 635400EG4YIJLJMZJ782 | Short            | EC               | CORP              | IE        |       -4881 | NS      | $-1015856.29  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Assa Abloy AB                                    | Assa Abloy AB                                         | CUSIP: 000000000<br>LEI: 549300YECS8HKCIMMB67 | Long             | EC               | CORP              | SE        |        4009 | NS      | $152478.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Infrastrutture Wireless Italiane SpA             | Infrastrutture Wireless Italiane SpA                  | CUSIP: 000000000<br>LEI: 81560066183FE361C071 | Short            | EC               | CORP              | IT        |     -188421 | NS      | $-1725556.94  | -0.23%            |  |  |  | Yes           |                  2 | On Loan: No      |
| Poste Italiane SpA                               | Poste Italiane SpA                                    | CUSIP: 000000000<br>LEI: 815600354DEDBD0BA991 | Long             | EC               | CORP              | IT        |       11871 | NS      | $284155.61    | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Eurobank Ergasias Services and Holdings SA       | Eurobank Ergasias Services and Holdings SA            | CUSIP: 000000000<br>LEI: JEUVK5RWVJEN8W0C9M24 | Long             | EC               | CORP              | GR        |       24819 | NS      | $98302.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ferrari NV                                       | Ferrari NV                                            | CUSIP: 000000000<br>LEI: 549300RIVY5EX8RCON76 | Short            | EC               | CORP              | NL        |       -6553 | NS      | $-2574166.80  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Yokohama Financial Group Inc                     | Yokohama Financial Group Inc                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | JP        |      -15700 | NS      | $-124203.86   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev SA/NV                       | Anheuser-Busch InBev SA/NV                            | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Short            | EC               | CORP              | BE        |       -9116 | NS      | $-561959.01   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| ArcelorMittal SA                                 | ArcelorMittal SA                                      | CUSIP: 000000000<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | EC               | CORP              | LU        |       74905 | NS      | $3246282.74   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| BE Semiconductor Industries NV                   | BE Semiconductor Industries NV                        | CUSIP: 000000000<br>LEI: 7245007A1YFLI2GNYX06 | Short            | EC               | CORP              | NL        |      -12320 | NS      | $-1866110.24  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Knorr-Bremse AG                                  | Knorr-Bremse AG                                       | CUSIP: 000000000<br>LEI: 5299001GRRO0Z25YZT52 | Long             | EC               | CORP              | DE        |        5915 | NS      | $627444.09    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Alcon AG                                         | Alcon AG                                              | CUSIP: 000000000<br>LEI: 549300LDT5AP8S0NBM78 | Short            | EC               | CORP              | CH        |       -2540 | NS      | $-202478.99   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Nexi SpA                                         | Nexi SpA                                              | CUSIP: 000000000<br>LEI: 5493000P70CQRQG8SN85 | Short            | EC               | CORP              | IT        |     -153551 | NS      | $-718051.00   | -0.10%            |  |  |  | Yes           |                  2 | On Loan: No      |
| Banque Cantonale Vaudoise                        | Banque Cantonale Vaudoise                             | CUSIP: 000000000<br>LEI: K1MOBB3OPSBBQO554R76 | Short            | EC               | CORP              | CH        |       -4721 | NS      | $-572535.57   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JDE Peet's NV                                    | JDE Peet's NV                                         | CUSIP: 000000000<br>LEI: 724500EHG519SE5ZRT89 | Long             | EC               | CORP              | NL        |      465454 | NS      | $17097200.97  | 2.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Siemens Energy AG                                | Siemens Energy AG                                     | CUSIP: 000000000<br>LEI: 5299005CHJZ14D4FDJ62 | Short            | EC               | CORP              | DE        |      -18439 | NS      | $-2469022.64  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Wise PLC                                         | Wise PLC                                              | CUSIP: 000000000<br>LEI: 213800LD9XCHIC1C4V71 | Short            | EC               | CORP              | GB        |     -132567 | NS      | $-1551290.70  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Daimler Truck Holding AG                         | Daimler Truck Holding AG                              | CUSIP: 000000000<br>LEI: 529900PW78JIYOUBSR24 | Long             | EC               | CORP              | DE        |        2191 | NS      | $92744.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Straumann Holding AG                             | Straumann Holding AG                                  | CUSIP: 000000000<br>LEI: 50670046ML5FVIM60Z37 | Short            | EC               | CORP              | CH        |       -1090 | NS      | $-124586.94   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fastighets AB Balder                             | Fastighets AB Balder                                  | CUSIP: 000000000<br>LEI: 549300GHKJCEZOAEUU82 | Short            | EC               | CORP              | SE        |      -45711 | NS      | $-328633.28   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Woodside Energy Group Ltd                        | Woodside Energy Group Ltd                             | CUSIP: 000000000<br>LEI: 2549005ZC5RXAOO7FH41 | Short            | EC               | CORP              | AU        |      -25967 | NS      | $-424709.48   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| DSM-Firmenich AG                                 | DSM-Firmenich AG                                      | CUSIP: 000000000<br>LEI: 506700G44V67MPM4BI12 | Long             | EC               | CORP              | CH        |        6130 | NS      | $504210.90    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| DSM-Firmenich AG                                 | DSM-Firmenich AG                                      | CUSIP: 000000000<br>LEI: 506700G44V67MPM4BI12 | Short            | EC               | CORP              | CH        |       -2396 | NS      | $-197078.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SGS SA                                           | SGS SA                                                | CUSIP: 000000000<br>LEI: 2138007JNS19JHNA2336 | Long             | EC               | CORP              | CH        |         448 | NS      | $51395.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Boliden AB                                       | Boliden AB                                            | CUSIP: 000000000<br>LEI: 21380059QU7IM1ONDJ56 | Long             | EC               | CORP              | SE        |        7552 | NS      | $362388.37    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Ferrovial SE                                     | Ferrovial SE                                          | CUSIP: 000000000<br>LEI: 72450022R2ZFL41Y6I04 | Short            | EC               | CORP              | NL        |      -54318 | NS      | $-3562401.26  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| Sandoz Group AG                                  | Sandoz Group AG                                       | CUSIP: 000000000<br>LEI: 5493000JWK6XWFEUD320 | Short            | EC               | CORP              | CH        |      -11895 | NS      | $-841398.90   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Aegon Ltd                                        | Aegon Ltd                                             | CUSIP: 000000000<br>LEI: O4QK7KMMK83ITNTHUG69 | Short            | EC               | CORP              | BM        |      -27985 | NS      | $-226314.97   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Tenaris SA                                       | Tenaris SA                                            | CUSIP: 000000000<br>LEI: 549300Y7C05BKC4HZB40 | Long             | EC               | CORP              | LU        |       45864 | NS      | $922682.57    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Galderma Group AG                                | Galderma Group AG                                     | CUSIP: 000000000<br>LEI: 89450001OK6O8ELQ4584 | Short            | EC               | CORP              | CH        |        -726 | NS      | $-144939.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                  | Nigeria OMO Bill                                      | CUSIP: 000000000<br>LEI: 549300G1JG004Y3K8S97 | Long             | STIV             | NUSS              | NG        |  1600000000 | PA      | $1083799.65   | 0.14%             | 2025-12-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                           | Asian Development Bank                                | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | XX        |   320000000 | PA      | $222973.45    | 0.03%             | 2026-03-27      | Fixed         | 20.00%                | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                  | Nigeria OMO Bill                                      | CUSIP: 000000000<br>LEI: 549300G1JG004Y3K8S97 | Long             | STIV             | NUSS              | NG        |  1700000000 | PA      | $1118018.65   | 0.15%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Anglo American PLC                               | Anglo American PLC                                    | CUSIP: 000000000<br>LEI: 549300S9XF92D1X8ME43 | Short            | EC               | CORP              | GB        |      -12832 | NS      | $-484988.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Aena SME SA                                      | Aena SME SA                                           | CUSIP: 000000000<br>LEI: 959800R7QMXKF0NFMT29 | Long             | EC               | CORP              | ES        |       13537 | NS      | $368678.87    | 0.05%             |  |  |  | Yes           |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                  | Nigeria OMO Bill                                      | CUSIP: 000000000<br>LEI: 549300G1JG004Y3K8S97 | Long             | STIV             | NUSS              | NG        |   600000000 | PA      | $386569.95    | 0.05%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EGYPT TREASURY BILL                              | Egypt Treasury Bills                                  | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | STIV             | NUSS              | EG        |    58000000 | PA      | $1017556.14   | 0.14%             | 2026-09-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                         | Japan Treasury Discount Bill                          | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | STIV             | NUSS              | JP        |  2000000000 | PA      | $12797633.88  | 1.71%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EGYPT TREASURY BILL                              | Egypt Treasury Bills                                  | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | STIV             | NUSS              | EG        |    34000000 | PA      | $584379.01    | 0.08%             | 2026-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EGYPT TREASURY BILL                              | Egypt Treasury Bills                                  | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | STIV             | NUSS              | EG        |    56000000 | PA      | $955449.32    | 0.13%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | NATURAL GAS FUTR JAN26                                | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         -67 | NC      | $-473379.72   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                | DAX INDEX FUTURE DEC25                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |         -32 | NC      | $462197.85    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | S+P500 EMINI FUT DEC25                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         165 | NC      | $902196.45    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | SUGAR 11 (WORLD) MAR26                                | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         548 | NC      | $-614064.05   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | S+P/TSX 60 IX FUT DEC25                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          51 | NC      | $508923.07    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                   | TOPIX INDX FUTR DEC25                                 | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          81 | NC      | $1101360.73   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | SPI 200 FUTURES DEC25                                 | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |          31 | NC      | $35786.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                  | KOSPI2 INX FUT DEC25                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | KR        |        -550 | NC      | $-3605638.63  | -0.48%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | E-MINI RUSS 2000 DEC25                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -155 | NC      | $-514683.88   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | COFFEE 'C' FUTURE MAR26                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |        -137 | NC      | $118276.48    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                     | WTI CRUDE FUTURE JAN26                                | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          41 | NC      | $-13515.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | CORN FUTURE MAR26                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         473 | NC      | $55636.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | WHEAT FUTURE(CBT) MAR26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -273 | NC      | $130915.93    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                     | NY HARB ULSD FUT JAN26                                | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         -62 | NC      | $-201291.43   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | SOYBEAN OIL FUTR JAN26                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -575 | NC      | $-393855.19   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | SOYBEAN FUTURE JAN26                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          53 | NC      | $163910.29    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | SOYBEAN MEAL FUTR JAN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -31 | NC      | $22103.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | COTTON NO.2 FUTR MAR26                                | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         383 | NC      | $-96647.54    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Euronext NV                                      | CAC40 10 EURO FUT DEC25                               | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |        -202 | NC      | $-339380.83   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                              | OMXS30 IND FUTURE DEC25                               | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |        -223 | NC      | $-285594.41   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                  | HANG SENG IDX FUT DEC25                               | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |        -138 | NC      | $-257460.29   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.     | FTSE TAIWAN INDEX DEC25                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        -297 | NC      | $-1139770.71  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | GASOLINE RBOB FUT JAN26                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         -83 | NC      | $-117542.33   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                | SWISS MKT IX FUTR DEC25                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          13 | NC      | $38456.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                      | GOLD 100 OZ FUTR FEB26                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          -8 | NC      | $-30893.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | FTSE 100 IDX FUT DEC25                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          91 | NC      | $447354.16    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                       | FTSE/MIB IDX FUT DEC25                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |         -23 | NC      | $-61006.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.     | MSCI SING IX ETS DEC25                                | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        -599 | NC      | $-237248.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CBOE Futures Exchange LLC                        | CBOE VIX FUTURE DEC25                                 | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               |  | US        |         -89 | NC      | $124132.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                      | COPPER FUTURE MAR26                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -87 | NC      | $-296408.29   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | HUMANA INC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -31 | NC      | $-20150.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | BECTON DICKINSON + CO                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -40 | NC      | $-3800.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CAPRI HOLDINGS LTD                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | VG        |        -380 | NC      | $-454100.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | GLOBUS MEDICAL INC                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -113 | NC      | $-251990.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | MIDDLEBY CORP/THE                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -83 | NC      | $-16185.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | WILLSCOT HOLDINGS CORP                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -410 | NC      | $-26650.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PENN ENTERTAINMENT INC                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -354 | NC      | $-38232.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | ROCKET COS INC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          81 | NC      | $405.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | LIVE CATTLE FUTR FEB26                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |        -101 | NC      | $100736.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | LEAN HOGS FUTURE FEB26                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |         220 | NC      | $49095.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | SILICON MOTION TECHNOLOGY CORP                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | KY        |        -161 | NC      | $-565110.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | COCOA FUTURE MAR26                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -87 | NC      | $288057.08    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE DEC25                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         208 | NC      | $241713.70    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | KRAFT HEINZ CO/THE                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -204 | NC      | $-4284.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | BECTON DICKINSON + CO                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -16 | NC      | $-34080.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | HUMANA INC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -12 | NC      | $-29472.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | GLOBUS MEDICAL INC                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -46 | NC      | $-145820.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CONOCOPHILLIPS                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -64 | NC      | $-40640.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | PENN ENTERTAINMENT INC                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -177 | NC      | $-12213.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | UNITED RENTALS INC                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -8 | NC      | $-88640.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                      | SILVER FUTURE MAR26                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           4 | NC      | $127737.52    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                     | PLATINUM FUTURE JAN26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          43 | NC      | $593865.83    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | UNION PACIFIC CORP                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -42 | NC      | $-55020.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CSX CORP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -336 | NC      | $-134400.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 10Y BOND FUT DEC25                               | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          56 | NC      | $-72717.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OMNICOM GROUP INC                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -39 | NC      | $-15990.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CHART INDUSTRIES INC                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -38 | NC      | $-235600.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | XAV HEALTH CARE DEC25                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          70 | NC      | $828509.50    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | WATERS CORP                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -48 | NC      | $-576000.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | XAK TECHNOLOGY DEC25                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         -39 | NC      | $-499105.17   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.     | SGX IRON ORE 62 JAN26                                 | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DCO              |  | SG        |         582 | NC      | $73372.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Canada, Inc.                         | CANOLA FUTR (WCE) JAN26                               | CUSIP: 000000000<br>LEI: 549300QVU6WVGZWEYS03 | N/A              | DCO              |  | CA        |        -258 | NC      | $-88243.59    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | KRAFT HEINZ CO/THE                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -267 | NC      | $-16020.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | JAMES HARDIE INDUSTRIES PLC                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | IE        |        -615 | NC      | $-153750.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CONOCOPHILLIPS                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -70 | NC      | $-29400.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT MAR26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          13 | NC      | $8937.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) MAR26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -29 | NC      | $192.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -84 | NC      | $5249.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT MAR26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          35 | NC      | $8703.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT FUTURE MAR26                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         173 | NC      | $180595.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 10YR BOND FUT MAR26                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          55 | NC      | $12924.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | ROCKET COS INC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -70 | NC      | $-801500.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | HUMANA INC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          31 | NC      | $91450.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | HUMANA INC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          12 | NC      | $9840.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -9 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | GLOBALFOUNDRIES INC                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | KY        |        -208 | NC      | $-95680.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | GITLAB INC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -165 | NC      | $-90750.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CORTEVA INC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -118 | NC      | $-128620.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | SOLVENTUM CORP                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -101 | NC      | $-188870.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | COGNIZANT TECHNOLOGY SOLUTIONS                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -110 | NC      | $-169400.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -9 | NC      | $-5607.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -9 | NC      | $-43110.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -9 | NC      | $-77220.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | DUPONT DE NEMOURS INC                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -170 | NC      | $-294100.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | KIMBERLY-CLARK CORP                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -57 | NC      | $-97470.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | LAMB WESTON HOLDINGS INC                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -92 | NC      | $-54280.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | TEREX CORP                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -121 | NC      | $-67760.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $-140.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -9 | NC      | $-53100.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -9 | NC      | $-62370.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| National Stock Exchange Of India                 | IFSC NIFTY 50 FUT DEC25                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IN        |        -625 | NC      | $-100421.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | COOPER COS INC/THE                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -99 | NC      | $-151470.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | RUSSELL 2000 INDEX                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -24 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -10 | NC      | $-55200.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | RUSSELL 2000 INDEX                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -24 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | CHARTER COMMUNICATIONS INC                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -44 | NC      | $-103400.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | INTERNATIONAL PAPER CO                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -285 | NC      | $-125400.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | COOPER COS INC/THE                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -76 | NC      | $-91960.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | LAMB WESTON HOLDINGS INC                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -102 | NC      | $-97920.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | RENTOKIL INITIAL PLC                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | GB        |        -216 | NC      | $-101520.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | KIMBERLY-CLARK CORP                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |         -55 | NC      | $-75900.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | TFI INTERNATIONAL INC                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | CA        |         -69 | NC      | $-95220.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | TEREX CORP                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        -130 | NC      | $-94900.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | META PLATFORMS INC                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -9 | NC      | $-83700.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $-154.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $-144.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $-120.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $-120.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $-144.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | S+P 500 INDEX                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |          -2 | NC      | $-150.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Techtronic Industries Co Ltd                     | Techtronic Industries Co Ltd                          | CUSIP: 000000000<br>LEI: 549300HZW2SBE758OK89 | Long             | EC               | CORP              | HK        |       57500 | NS      | $676264.52    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Sega Sammy Holdings Inc                          | Sega Sammy Holdings Inc                               | CUSIP: 000000000<br>LEI: 5493006B6WMKNQ8QNP51 | Long             | EC               | CORP              | JP        |       24600 | NS      | $422737.57    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Turk Hava Yollari AO                             | Turk Hava Yollari AO                                  | CUSIP: 000000000<br>LEI: 789000EV8M3BL7ZPFB03 | Long             | EC               | CORP              | TR        |      143850 | NS      | $923867.74    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Safran SA                                        | Safran SA                                             | CUSIP: 000000000<br>LEI: 969500UIC89GT3UL7L24 | Long             | EC               | CORP              | FR        |        9045 | NS      | $3040582.88   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| Neste Oyj                                        | Neste Oyj                                             | CUSIP: 000000000<br>LEI: 5493009GY1X8GQ66AM14 | Long             | EC               | CORP              | FI        |       20624 | NS      | $398738.03    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bunzl PLC                                        | Bunzl PLC                                             | CUSIP: 000000000<br>LEI: 213800Q1Q9DV4L78UM09 | Short            | EC               | CORP              | GB        |       -2556 | NS      | $-73231.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SEEK Ltd                                         | SEEK Ltd                                              | CUSIP: 000000000<br>LEI: 549300209NEKXBC8QO27 | Short            | EC               | CORP              | AU        |       -9244 | NS      | $-148291.66   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Recordati Industria Chimica e Farmaceutica SpA   | Recordati Industria Chimica e Farmaceutica SpA        | CUSIP: 000000000<br>LEI: 815600FBF92FD3531704 | Long             | EC               | CORP              | IT        |       10796 | NS      | $638424.51    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Rentokil Initial PLC                             | Rentokil Initial PLC                                  | CUSIP: 000000000<br>LEI: 549300VN4WV7Z6T14K68 | Short            | EC               | CORP              | GB        |     -142485 | NS      | $-784393.07   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Prime Site AG                              | Swiss Prime Site AG                                   | CUSIP: 000000000<br>LEI: 506700XI9H64OPR34158 | Short            | EC               | CORP              | CH        |       -3540 | NS      | $-522016.67   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MTU Aero Engines AG                              | MTU Aero Engines AG                                   | CUSIP: 000000000<br>LEI: 529900807L67JY81RD65 | Short            | EC               | CORP              | DE        |       -5698 | NS      | $-2331379.73  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Elia Group SA/NV                                 | Elia Group SA/NV                                      | CUSIP: 000000000<br>LEI: 549300S1MP1NFDIKT460 | Short            | EC               | CORP              | BE        |       -6735 | NS      | $-813423.90   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Communications Co Ltd                    | Bank of Communications Co Ltd                         | CUSIP: 000000000<br>LEI: 549300AX1UM10U30HK09 | Long             | EC               | CORP              | CN        |       45000 | NS      | $41344.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Leonardo SpA                                     | Leonardo SpA                                          | CUSIP: 000000000<br>LEI: 529900X4EEX1U9LN3U39 | Long             | EC               | CORP              | IT        |       10465 | NS      | $573581.99    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Bandai Namco Holdings Inc                        | Bandai Namco Holdings Inc                             | CUSIP: 000000000<br>LEI: 3538008EFEM34VRJDQ95 | Long             | EC               | CORP              | JP        |       11000 | NS      | $322785.82    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| China Construction Bank Corp                     | China Construction Bank Corp                          | CUSIP: 000000000<br>LEI: 5493001KQW6DM7KEDR62 | Long             | EC               | CORP              | CN        |     1419000 | NS      | $1494920.82   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMCO Corp                                       | SUMCO Corp                                            | CUSIP: 000000000<br>LEI: 353800SUSRUOM0V6KU92 | Long             | EC               | CORP              | JP        |       22000 | NS      | $174085.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Link REIT                                        | Link REIT                                             | CUSIP: 000000000<br>LEI: 529900XUE70U36QX5M62 | Short            | EC               |  | HK        |      -17300 | NS      | $-82169.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ipsen SA                                         | Ipsen SA                                              | CUSIP: 000000000<br>LEI: 549300M6SGDPB4Z94P11 | Long             | EC               | CORP              | FR        |        6649 | NS      | $959956.12    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Avolta AG                                        | Avolta AG                                             | CUSIP: 000000000<br>LEI: 549300X53WDBVW7TIF57 | Short            | EC               | CORP              | CH        |      -39176 | NS      | $-2159325.31  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Zealand Pharma A/S                               | Zealand Pharma A/S                                    | CUSIP: 000000000<br>LEI: 549300ITBB1ULBL4CZ12 | Short            | EC               | CORP              | DK        |       -1867 | NS      | $-150053.81   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| London Stock Exchange Group PLC                  | London Stock Exchange Group PLC                       | CUSIP: 000000000<br>LEI: 213800QAUUUP6I445N30 | Short            | EC               | CORP              | GB        |      -17013 | NS      | $-2004005.37  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Glovis Co Ltd                            | Hyundai Glovis Co Ltd                                 | CUSIP: 000000000<br>LEI: 988400U6RDXNJ5ZRN304 | Long             | EC               | CORP              | KR        |        3375 | NS      | $378087.27    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| China National Building Material Co Ltd          | China National Building Material Co Ltd               | CUSIP: 000000000<br>LEI: 52990085PGF8YEPLBZ26 | Long             | EC               | CORP              | CN        |      250000 | NS      | $168316.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Inpex Corp                                       | Inpex Corp                                            | CUSIP: 000000000<br>LEI: 353800VHYYADPR6MXQ47 | Long             | EC               | CORP              | JP        |      129000 | NS      | $2751578.32   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Unilever PLC                                     | Unilever PLC                                          | CUSIP: 000000000<br>LEI: 549300MKFYEKVRWML317 | Long             | EC               | CORP              | GB        |       49771 | NS      | $2994613.03   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Partners Group Holding AG                        | Partners Group Holding AG                             | CUSIP: 000000000<br>LEI: 549300I3IVVWZWDHI788 | Short            | EC               | CORP              | CH        |       -1667 | NS      | $-1978773.56  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Norsk Hydro ASA                                  | Norsk Hydro ASA                                       | CUSIP: 000000000<br>LEI: 549300N1SDN71ZZ8BO45 | Long             | EC               | CORP              | NO        |      109136 | NS      | $782232.50    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Schindler Holding AG                             | Schindler Holding AG                                  | CUSIP: 000000000<br>LEI: 5299007DRLI319H7Q933 | Long             | EC               | CORP              | CH        |        1898 | NS      | $644257.37    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Legrand SA                                       | Legrand SA                                            | CUSIP: 000000000<br>LEI: 969500XXRPGD7HCAFA90 | Long             | EC               | CORP              | FR        |        4497 | NS      | $682255.52    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| PTT Exploration & Production PCL                 | PTT Exploration & Production PCL                      | CUSIP: 000000000<br>LEI: 2549001O8YYGP5N7Q076 | Long             | EC               | CORP              | TH        |      255800 | NS      | $846968.31    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Kobe Bussan Co Ltd                               | Kobe Bussan Co Ltd                                    | CUSIP: 000000000<br>LEI: 353800CJIFNHN2DXRD59 | Short            | EC               | CORP              | JP        |      -41800 | NS      | $-1015997.51  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| TotalEnergies SE                                 | TotalEnergies SE                                      | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |        6071 | NS      | $399391.27    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Aeroports de Paris SA                            | Aeroports de Paris SA                                 | CUSIP: 000000000<br>LEI: 969500PJMBSFHYC37989 | Short            | EC               | CORP              | FR        |      -15272 | NS      | $-2239830.41  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Wilmar International Ltd                         | Wilmar International Ltd                              | CUSIP: 000000000<br>LEI: 549300H2EAI4YRLWBB20 | Long             | EC               | CORP              | SG        |       16400 | NS      | $41079.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Orion Oyj                                        | Orion Oyj                                             | CUSIP: 000000000<br>LEI: 74370029VAHCXDR7B745 | Long             | EC               | CORP              | FI        |       10883 | NS      | $779119.54    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Logitech International SA                        | Logitech International SA                             | CUSIP: 000000000<br>LEI: 549300SN6PRK6IJJC215 | Long             | EC               | CORP              | CH        |        6667 | NS      | $752289.49    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Experian PLC                                     | Experian PLC                                          | CUSIP: 000000000<br>LEI: 635400RXXHHYT1JTSZ26 | Long             | EC               | CORP              | JE        |       10011 | NS      | $439937.30    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Swedish Orphan Biovitrum AB                      | Swedish Orphan Biovitrum AB                           | CUSIP: 000000000<br>LEI: 549300124Y3MQI87PT35 | Long             | EC               | CORP              | SE        |        1078 | NS      | $38755.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Severn Trent PLC                                 | Severn Trent PLC                                      | CUSIP: 000000000<br>LEI: 213800RPBXRETY4A4C59 | Short            | EC               | CORP              | GB        |      -67740 | NS      | $-2526692.55  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Brambles Ltd                                     | Brambles Ltd                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |       70152 | NS      | $1105552.97   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Galp Energia SGPS SA                             | Galp Energia SGPS SA                                  | CUSIP: 000000000<br>LEI: 2138003319Y7NM75FG53 | Long             | EC               | CORP              | PT        |       35627 | NS      | $716219.32    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MonotaRO Co Ltd                                  | MonotaRO Co Ltd                                       | CUSIP: 000000000<br>LEI: 5299005JUER5ANXWTC33 | Short            | EC               | CORP              | JP        |     -109700 | NS      | $-1607390.00  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| China Communications Services Corp Ltd           | China Communications Services Corp Ltd                | CUSIP: 000000000<br>LEI: 529900JCDRVQE6YZKT86 | Long             | EC               | CORP              | CN        |      410000 | NS      | $256864.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Whitbread PLC                                    | Whitbread PLC                                         | CUSIP: 000000000<br>LEI: 21380099VMZKRMN3EX36 | Short            | EC               | CORP              | GB        |      -16813 | NS      | $-554043.52   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| SKF AB                                           | SKF AB                                                | CUSIP: 000000000<br>LEI: 549300B6HWYEE57O8J84 | Long             | EC               | CORP              | SE        |       36211 | NS      | $949731.53    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Volvo AB                                         | Volvo AB                                              | CUSIP: 000000000<br>LEI: 549300HGV012CNC8JD22 | Long             | EC               | CORP              | SE        |        2072 | NS      | $62150.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sandvik AB                                       | Sandvik AB                                            | CUSIP: 000000000<br>LEI: 5299008ZUAXN43LVZF54 | Long             | EC               | CORP              | SE        |        5494 | NS      | $166135.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Keppel Ltd                                       | Keppel Ltd                                            | CUSIP: 000000000<br>LEI: 254900SQ7IPDOY6IDW33 | Short            | EC               | CORP              | SG        |     -123400 | NS      | $-975957.87   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Orkla ASA                                        | Orkla ASA                                             | CUSIP: 000000000<br>LEI: 549300PZS8G8RG6RVZ52 | Long             | EC               | CORP              | NO        |       18475 | NS      | $197779.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Industrivarden AB                                | Industrivarden AB                                     | CUSIP: 000000000<br>LEI: 549300TM1DLIQI3B3T37 | Long             | EC               | CORP              | SE        |        1782 | NS      | $74912.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Yangzijiang Shipbuilding Holdings Ltd            | Yangzijiang Shipbuilding Holdings Ltd                 | CUSIP: 000000000<br>LEI: 254900Z3JEM14YIGLM66 | Long             | EC               | CORP              | SG        |      798000 | NS      | $2067258.76   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Svenska Cellulosa AB SCA                         | Svenska Cellulosa AB SCA                              | CUSIP: 000000000<br>LEI: 549300FW5JDRV1IJ0M67 | Short            | EC               | CORP              | SE        |      -68258 | NS      | $-887567.15   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Prysmian SpA                                     | Prysmian SpA                                          | CUSIP: 000000000<br>LEI: 529900X0H1IO3RS1A464 | Long             | EC               | CORP              | IT        |        7383 | NS      | $740969.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Salmar ASA                                       | Salmar ASA                                            | CUSIP: 000000000<br>LEI: 5967007LIEEXZXGDBK67 | Short            | EC               | CORP              | NO        |      -28228 | NS      | $-1651692.79  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Smiths Group PLC                                 | Smiths Group PLC                                      | CUSIP: 000000000<br>LEI: 213800MJL6IPZS3ASA11 | Long             | EC               | CORP              | GB        |       16562 | NS      | $536160.69    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Cia Energetica de Minas Gerais                   | Cia Energetica de Minas Gerais                        | CUSIP: 000000000<br>LEI: 254900W703PXLDSEM056 | Long             | EP               | CORP              | BR        |       95400 | NS      | $205532.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| 3i Group PLC                                     | 3i Group PLC                                          | CUSIP: 000000000<br>LEI: 35GDVHRBMFE7NWATNM84 | Long             | EC               | CORP              | GB        |       57960 | NS      | $2423597.22   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| MatsukiyoCocokara & Co                           | MatsukiyoCocokara & Co                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       19600 | NS      | $362516.89    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Reckitt Benckiser Group PLC                      | Reckitt Benckiser Group PLC                           | CUSIP: 000000000<br>LEI: 5493003JFSMOJG48V108 | Short            | EC               | CORP              | GB        |       -9850 | NS      | $-763369.36   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd                              | Macquarie Group Ltd                                   | CUSIP: 000000000<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Short            | EC               | CORP              | AU        |       -6073 | NS      | $-784422.87   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Getlink SE                                       | Getlink SE                                            | CUSIP: 000000000<br>LEI: 9695007ZEQ7M0OE74G82 | Short            | EC               | CORP              | FR        |      -76139 | NS      | $-1377186.75  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| ZOZO Inc                                         | ZOZO Inc                                              | CUSIP: 000000000<br>LEI: 549300GC7XPQMZA0OW13 | Short            | EC               | CORP              | JP        |       -4500 | NS      | $-38765.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| China Railway Group Ltd                          | China Railway Group Ltd                               | CUSIP: 000000000<br>LEI: 529900TFRLG8UDJ7QA89 | Long             | EC               | CORP              | CN        |     1137000 | NS      | $571861.79    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fresnillo PLC                                    | Fresnillo PLC                                         | CUSIP: 000000000<br>LEI: 549300JXWH1UV5J0XV81 | Long             | EC               | CORP              | GB        |       25919 | NS      | $903765.64    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| EDP Renovaveis SA                                | EDP Renovaveis SA                                     | CUSIP: 000000000<br>LEI: 529900MUFAH07Q1TAX06 | Short            | EC               | CORP              | ES        |      -67147 | NS      | $-894724.67   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| United Utilities Group PLC                       | United Utilities Group PLC                            | CUSIP: 000000000<br>LEI: 2138002IEYQAOC88ZJ59 | Short            | EC               | CORP              | GB        |      -52203 | NS      | $-854906.59   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Amadeus IT Group SA                              | Amadeus IT Group SA                                   | CUSIP: 000000000<br>LEI: 9598004A3FTY3TEHHN09 | Long             | EC               | CORP              | ES        |       22615 | NS      | $1664318.76   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Glencore PLC                                     | Glencore PLC                                          | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Short            | EC               | CORP              | JE        |      -31127 | NS      | $-148791.91   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AIA Group Ltd                                    | AIA Group Ltd                                         | CUSIP: 000000000<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Short            | EC               | CORP              | HK        |      -88600 | NS      | $-922847.01   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| HKT Trust & HKT Ltd                              | HKT Trust & HKT Ltd                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |      166000 | NS      | $253978.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PGE Polska Grupa Energetyczna SA                 | PGE Polska Grupa Energetyczna SA                      | CUSIP: 000000000<br>LEI: 259400MP9VXR0E69MJ89 | Long             | EC               | CORP              | PL        |      143893 | NS      | $389181.29    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Sands China Ltd                                  | Sands China Ltd                                       | CUSIP: 000000000<br>LEI: 549300EVO6UZDGY05787 | Short            | EC               | CORP              | KY        |     -298000 | NS      | $-814696.25   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTDC Ltd                                       | NEXTDC Ltd                                            | CUSIP: 000000000<br>LEI: 529900RTERU3X7G3D672 | Short            | EC               | CORP              | AU        |      -20417 | NS      | $-181908.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Otsuka Holdings Co Ltd                           | Otsuka Holdings Co Ltd                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |        2600 | NS      | $147251.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Entain PLC                                       | Entain PLC                                            | CUSIP: 000000000<br>LEI: 213800GNI3K45LQR8L28 | Short            | EC               | CORP              | IM        |      -52326 | NS      | $-538988.60   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Segro PLC                                        | Segro PLC                                             | CUSIP: 000000000<br>LEI: 213800XC35KGM9NFC641 | Short            | EC               |  | GB        |      -23253 | NS      | $-219690.82   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SITC International Holdings Co Ltd               | SITC International Holdings Co Ltd                    | CUSIP: 000000000<br>LEI: 529900JUV4MOM9CE3V12 | Long             | EC               | CORP              | KY        |      211000 | NS      | $725486.74    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Edenred SE                                       | Edenred SE                                            | CUSIP: 000000000<br>LEI: 9695006LOD5B2D7Y0N70 | Short            | EC               | CORP              | FR        |      -20180 | NS      | $-432754.90   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Rolls-Royce Holdings PLC                         | Rolls-Royce Holdings PLC                              | CUSIP: 000000000<br>LEI: 213800EC7997ZBLZJH69 | Short            | EC               | CORP              | GB        |     -170158 | NS      | $-2401654.11  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| Novonesis Novozymes B                            | Novonesis Novozymes B                                 | CUSIP: 000000000<br>LEI: 529900T6WNZXD2R3JW38 | Short            | EC               | CORP              | DK        |       -2380 | NS      | $-148562.82   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Astra International Tbk PT                       | Astra International Tbk PT                            | CUSIP: 000000000<br>LEI: 529900L49TRJOMG4DK47 | Long             | EC               | CORP              | ID        |      382500 | NS      | $150666.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Ageas SA/NV                                      | Ageas SA/NV                                           | CUSIP: 000000000<br>LEI: 5493005DJBML6LY3RV36 | Long             | EC               | CORP              | BE        |       37344 | NS      | $2551452.02   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| Sage Group PLC/The                               | Sage Group PLC/The                                    | CUSIP: 000000000<br>LEI: 2138005RN5XYLTF8G138 | Long             | EC               | CORP              | GB        |       43262 | NS      | $615956.74    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Talanx AG                                        | Talanx AG                                             | CUSIP: 000000000<br>LEI: 5299006ZIILJ6VJVSJ32 | Long             | EC               | CORP              | DE        |        3644 | NS      | $473506.88    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Talanx AG                                        | Talanx AG                                             | CUSIP: 000000000<br>LEI: 5299006ZIILJ6VJVSJ32 | Short            | EC               | CORP              | DE        |      -10188 | NS      | $-1323844.17  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| WPP PLC                                          | WPP PLC                                               | CUSIP: 000000000<br>LEI: 549300LSGBXPYHXGDT93 | Short            | EC               | CORP              | JE        |      -44298 | NS      | $-178126.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Xero Ltd                                         | Xero Ltd                                              | CUSIP: 000000000<br>LEI: 254900UG5D8YST164N14 | Short            | EC               | CORP              | NZ        |      -29316 | NS      | $-2352501.85  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Zenkoku Hosho Co Ltd                             | Zenkoku Hosho Co Ltd                                  | CUSIP: 000000000<br>LEI: 353800VOQEKTSCSL9O03 | Long             | EC               | CORP              | JP        |       13500 | NS      | $273994.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Coca-Cola HBC AG                                 | Coca-Cola HBC AG                                      | CUSIP: 000000000<br>LEI: 549300EFP3TNG7JGVE49 | Long             | EC               | CORP              | CH        |       15382 | NS      | $771701.79    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LEG Immobilien SE                                | LEG Immobilien SE                                     | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Short            | EC               | CORP              | DE        |       -7760 | NS      | $-582997.68   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Sagax AB                                         | Sagax AB                                              | CUSIP: 000000000<br>LEI: 549300LJX28T6OM8DT95 | Short            | EC               | CORP              | SE        |       -6263 | NS      | $-134000.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Vonovia SE                                       | Vonovia SE                                            | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Short            | EC               | CORP              | DE        |      -49603 | NS      | $-1501639.11  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Koninklijke Ahold Delhaize NV                    | Koninklijke Ahold Delhaize NV                         | CUSIP: 000000000<br>LEI: 724500C9GNBV20UYRX36 | Long             | EC               | CORP              | NL        |       16239 | NS      | $672268.75    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SIG Group AG                                     | SIG Group AG                                          | CUSIP: 000000000<br>LEI: 5493004Z6P7TSVB1L042 | Short            | EC               | CORP              | CH        |      -31599 | NS      | $-383342.85   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Compass Group PLC                                | Compass Group PLC                                     | CUSIP: 000000000<br>LEI: 2138008M6MH9OZ6U2T68 | Long             | EC               | CORP              | GB        |      115488 | NS      | $3631192.12   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| Genscript Biotech Corp                           | Genscript Biotech Corp                                | CUSIP: 000000000<br>LEI: 529900YIYUOJOXSAE372 | Short            | EC               | CORP              | KY        |      -28000 | NS      | $-53830.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BioMerieux                                       | BioMerieux                                            | CUSIP: 000000000<br>LEI: 549300AK8Y0LBIQ4T071 | Long             | EC               | CORP              | FR        |        4885 | NS      | $612057.06    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Unibail-Rodamco-Westfield                        | Unibail-Rodamco-Westfield                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               |  | XX        |       -2836 | NS      | $-301240.04   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SoftBank Corp                                    | SoftBank Corp                                         | CUSIP: 000000000<br>LEI: 353800M1YCTS9JRBJ535 | Short            | EC               | CORP              | JP        |    -1618900 | NS      | $-2316188.79  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                  | Nordea Bank Abp                                       | CUSIP: 000000000<br>LEI: 529900ODI3047E2LIV03 | Short            | EC               | CORP              | FI        |      -47602 | NS      | $-842347.54   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Innovent Biologics Inc                           | Innovent Biologics Inc                                | CUSIP: 000000000<br>LEI: 25490058ONL9SCIE1R22 | Short            | EC               | CORP              | KY        |      -14000 | NS      | $-169713.32   | -0.02%            |  |  |  | Yes           |                  2 | On Loan: No      |
| Phoenix Group Holdings PLC                       | Phoenix Group Holdings PLC                            | CUSIP: 000000000<br>LEI: 2138001P49OLAEU33T68 | Short            | EC               | CORP              | GB        |     -216957 | NS      | $-2000156.08  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| InterContinental Hotels Group PLC                | InterContinental Hotels Group PLC                     | CUSIP: 000000000<br>LEI: 2138007ZFQYRUSLU3J98 | Short            | EC               | CORP              | GB        |      -16949 | NS      | $-2250106.81  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Akzo Nobel NV                                    | Akzo Nobel NV                                         | CUSIP: 000000000<br>LEI: 724500XYIJUGXAA5QD70 | Long             | EC               | CORP              | NL        |        9678 | NS      | $629151.17    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT AB                                           | EQT AB                                                | CUSIP: 000000000<br>LEI: 213800U7P9GOIRKCTB34 | Short            | EC               | CORP              | SE        |      -75319 | NS      | $-2609196.99  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Dr Ing hc F Porsche AG                           | Dr Ing hc F Porsche AG                                | CUSIP: 000000000<br>LEI: 529900EWEX125AULXI58 | Short            | EP               | CORP              | DE        |      -13747 | NS      | $-714863.66   | -0.10%            |  |  |  | Yes           |                  2 | On Loan: No      |
| M&G PLC                                          | M&G PLC                                               | CUSIP: 000000000<br>LEI: 254900TWUJUQ44TQJY84 | Short            | EC               | CORP              | GB        |       -1787 | NS      | $-6438.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Auckland International Airport Ltd               | Auckland International Airport Ltd                    | CUSIP: 000000000<br>LEI: 549300HFZIZDJWB7AK60 | Short            | EC               | CORP              | NZ        |     -125384 | NS      | $-575813.36   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Copco AB                                   | Atlas Copco AB                                        | CUSIP: 000000000<br>LEI: 213800T8PC8Q4FYJZR07 | Long             | EC               | CORP              | SE        |        3786 | NS      | $64339.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Copco AB                                   | Atlas Copco AB                                        | CUSIP: 000000000<br>LEI: 213800T8PC8Q4FYJZR07 | Long             | EC               | CORP              | SE        |       18211 | NS      | $278747.51    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Akeso Inc                                        | Akeso Inc                                             | CUSIP: 000000000<br>LEI: 254900ECWYGR3QW5GF30 | Short            | EC               | CORP              | KY        |      -10000 | NS      | $-158931.40   | -0.02%            |  |  |  | Yes           |                  2 | On Loan: No      |
| WH Group Ltd                                     | WH Group Ltd                                          | CUSIP: 000000000<br>LEI: 254900A4AYEDRWYSE928 | Long             | EC               | CORP              | KY        |      785000 | NS      | $822077.14    | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Scentre Group                                    | Scentre Group                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               |  | AU        |      -74097 | NS      | $-198098.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Dassault Systemes SE                             | Dassault Systemes SE                                  | CUSIP: 000000000<br>LEI: 96950065LBWY0APQIM86 | Long             | EC               | CORP              | FR        |       45444 | NS      | $1272845.72   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Stellantis NV                                    | Stellantis NV                                         | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | EC               | CORP              | NL        |      194371 | NS      | $2080547.96   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| SK Square Co Ltd                                 | SK Square Co Ltd                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KR        |        5458 | NS      | $1114464.20   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| EXOR NV                                          | EXOR NV                                               | CUSIP: 000000000<br>LEI: 5493002ENHZ6NYET7405 | Long             | EC               | CORP              | NL        |       20875 | NS      | $1758650.07   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Informa PLC                                      | Informa PLC                                           | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Short            | EC               | CORP              | GB        |     -225394 | NS      | $-2866136.98  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     1729643 | OU      | $-2798.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     2222000 | OU      | $94509.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     4444083 | OU      | $-7191.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     2222500 | OU      | $93296.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     4444083 | OU      | $-7191.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | SWAP/CDSWAP/CDS: (ITRAXX.XO.42 35-100%)               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | XX        |     8591342 | OU      | $1814535.24   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 14.000000 02-JAN-2029 BZD                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    32240212 | OU      | $259155.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | TRSWAP: NDUVEAFE INDEX                                | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | GB        |    23727853 | OU      | $564864.90    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | TRSWAP: NDUGEAFE INDEX                                | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | GB        |    21941275 | OU      | $-240618.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | SWAP/CDSWAP/CDS: (ITRAXX.XO.42.V2 35-100%)            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    10000000 | OU      | $2112051.09   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | SWAP/CDSWAP/CDS: (ITRAXX.XO.42.V2 35-100%)            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    11110000 | OU      | $2346488.71   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 25-35%)                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |     3750000 | OU      | $611594.34    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 15-25%)                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |     3750000 | OU      | $369032.77    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                              | TRSWAP: SGMDUSER                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DCO              |  | GB        |    19359595 | OU      | $905438.21    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | TRSWAP: BNPXCTAE                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCO              |  | US        |    17177010 | OU      | $298987.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | TRSWAP: NDUGEAFE INDEX                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               |  | GB        |     3941261 | OU      | $-48091.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | TRSWAP: NDUVEAFE INDEX                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               |  | GB        |     2036362 | OU      | $41935.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | SWAP/CDSWAP/CDS: (ITRAXX.EUR.42 12-100%)              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |   100000000 | OU      | $3853284.05   | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    10000000 | OU      | $946916.67    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |     6500000 | OU      | $615495.83    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWAP/CDSWAP/CDS: (CMBX.NA.17.BBB-)                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |     5000000 | OU      | $-707916.67   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | SWAP/CDSWAP/CDS: (CMBX.NA.17.BBB-)                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     5000000 | OU      | $-707916.67   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     6500000 | OU      | $615495.83    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.189000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3600000 | OU      | $-78264.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.915000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    26700000 | OU      | $-15960.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.611000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5100000 | OU      | $-12256.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.524000 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15200000 | OU      | $107887.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 3.249000 17-DEC-2027 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    54400000 | OU      | $377443.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 2.917000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16200000 | OU      | $5899.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 1.930000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   100600000 | OU      | $53503.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.185000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13000000 | OU      | $-285393.30   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.910000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3800000 | OU      | $3188.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.443000 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    14500000 | OU      | $97130.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.458000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      800000 | OU      | $6224.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.104000 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17400000 | OU      | $281182.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.395000 17-DEC-2027 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    68300000 | OU      | $95404.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.827000 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17100000 | OU      | $-38727.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.632000 17-DEC-2027 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    50600000 | OU      | $-168479.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.100000 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11900000 | OU      | $187141.91    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.460000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3800000 | OU      | $28776.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.450000 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    23000000 | OU      | $134067.97    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS -0.100000 17-DEC-2027 SA                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   111900000 | OU      | $-95870.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.605000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22100000 | OU      | $-54334.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.945000 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15500000 | OU      | $-26349.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.090000 17-DEC-2030 THO                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   242600000 | OU      | $83861.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: INR 5.722000 17-DEC-2030 INR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   895000000 | OU      | $10198.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: MYR 3.113000 17-DEC-2030 KLI                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    36200000 | OU      | $-89460.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.909000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4100000 | OU      | $-3638.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.851000 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7000000 | OU      | $12016.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.206000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3800000 | OU      | $79167.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.466000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $-10425.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 3.279000 17-DEC-2027 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16500000 | OU      | $-108267.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 2.919000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17500000 | OU      | $-6761.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.528000 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $-10141.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.415000 17-DEC-2030 SOR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11500000 | OU      | $145809.09    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CNY 1.682000 17-DEC-2030 CNR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    46900000 | OU      | $-28835.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: HKD 2.826000 17-DEC-2030 HKD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13000000 | OU      | $3764.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: TWD 1.730000 17-DEC-2030 TAI                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22100000 | OU      | $-4627.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.635000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16000000 | OU      | $-34903.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.156000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2500000 | OU      | $-58749.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.189500 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2400000 | OU      | $-52112.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.498500 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $-4655.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.512000 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $16216.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.889500 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2400000 | OU      | $-4222.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.023000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   105000000 | OU      | $35776.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.649500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    23000000 | OU      | $-47092.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.333500 17-DEC-2027 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10500000 | OU      | $-5690.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 7.294000 11-DEC-2030 TII                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   170500000 | OU      | $-25993.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: CZK 3.754000 17-DEC-2030 PRI                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   204300000 | OU      | $-96854.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: PLN 4.057000 17-DEC-2030 WIB                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    23270000 | OU      | $-69326.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: ZAR 7.001000 17-DEC-2030 JIB                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15300000 | OU      | $12487.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: OIS 8.541000 17-DEC-2030 IBR                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        | 40488000000 | OU      | $-547338.40   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.793500 17-DEC-2030 SHI                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22300000 | OU      | $-53411.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                              | TRSWAP: S_SGEPSBSH                                    | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DE               |  | GB        |    35092073 | OU      | $-1030871.59  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.500500 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1600000 | OU      | $14522.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.696500 17-DEC-2027 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6000000 | OU      | $-29686.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.538500 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1600000 | OU      | $-905.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.928000 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7500000 | OU      | $314.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.156000 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1400000 | OU      | $30516.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.607500 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3200000 | OU      | $-212.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.782000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    19000000 | OU      | $-15647.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.777500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3600000 | OU      | $26040.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.543000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1600000 | OU      | $-1651.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.186000 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1200000 | OU      | $-30060.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.099500 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    90000000 | OU      | $-16516.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.764500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    19000000 | OU      | $18719.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.186500 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $37656.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.747500 17-DEC-2027 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6000000 | OU      | $-37363.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.738500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3100000 | OU      | $28258.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.897000 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2700000 | OU      | $-3488.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.328000 17-DEC-2027 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12000000 | OU      | $-5585.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.904000 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2100000 | OU      | $1796.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS -0.058500 17-DEC-2027 SA                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5500000 | OU      | $-1057.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.504500 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1200000 | OU      | $1129.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.510000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $-3105.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.740500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    37000000 | OU      | $44655.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.076000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   165000000 | OU      | $-38249.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.921000 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6000000 | OU      | $707.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.536000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2300000 | OU      | $-705.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.754000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4600000 | OU      | $-38490.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.296000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3600000 | OU      | $57722.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.756000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    18000000 | OU      | $-19147.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.078500 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   100000000 | OU      | $-22667.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.778500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22000000 | OU      | $18829.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.744000 17-DEC-2027 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7500000 | OU      | $-46045.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.204500 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1700000 | OU      | $45995.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | SWAP/CDSWAP/CDS: (ITRAXX.EUR.44 12-100%)              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |    50000000 | OU      | $2126799.92   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.511500 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1600000 | OU      | $-2897.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.896000 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2700000 | OU      | $3656.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.309000 17-DEC-2027 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12000000 | OU      | $2416.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 3.482000 17-DEC-2027 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9811000 | OU      | $39370.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.311500 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2300000 | OU      | $-34977.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 2.567500 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    18500000 | OU      | $-65134.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.665500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4300000 | OU      | $54345.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.441000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2100000 | OU      | $-20039.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.839000 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9500000 | OU      | $18911.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.615000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3300000 | OU      | $-49749.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.870000 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2500000 | OU      | $-7437.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.426500 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $-8748.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.404500 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1700000 | OU      | $-22655.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.545500 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1900000 | OU      | $-10046.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS -0.111000 17-DEC-2027 SA                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6400000 | OU      | $7262.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.424000 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $-11776.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 2.507500 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13500000 | OU      | $-56534.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.606000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3200000 | OU      | $49631.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.841000 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2100000 | OU      | $-10043.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.411000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1200000 | OU      | $-15183.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.820000 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5000000 | OU      | $12123.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.411000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1150000 | OU      | $-14550.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.566000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1900000 | OU      | $-33136.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.414000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1100000 | OU      | $-13575.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.496500 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $-12237.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.135000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2600000 | OU      | $-64011.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.413000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $-18668.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.173500 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4000000 | OU      | $-90266.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.219500 17-DEC-2027 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11000000 | OU      | $-11471.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS -0.111000 17-DEC-2027 SA                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3500000 | OU      | $3971.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.419000 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      800000 | OU      | $-7744.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.829500 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2400000 | OU      | $13198.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.652500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11000000 | OU      | $-22217.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.036000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    50000000 | OU      | $15700.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.936500 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1800000 | OU      | $3600.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.235500 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2800000 | OU      | $-53928.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.351000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3200000 | OU      | $41923.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.356000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2500000 | OU      | $-32086.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 3.537000 17-DEC-2027 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10500000 | OU      | $34884.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.730500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22000000 | OU      | $28584.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.942000 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1700000 | OU      | $2387.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.480000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1700000 | OU      | $-9348.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.480500 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2200000 | OU      | $11984.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.362000 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3500000 | OU      | $43800.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.896000 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7500000 | OU      | $5167.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.120000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    80000000 | OU      | $-11311.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.732000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    18000000 | OU      | $23137.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: KRW 2.804850 17-DEC-2030 KRW                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  5690000000 | OU      | $-53356.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.736500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10000000 | OU      | $12438.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.669000 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $-7668.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: AUD 4.349500 17-DEC-2035 AUD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2200000 | OU      | $28998.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.183000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    80000000 | OU      | $-954.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.807000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    18000000 | OU      | $10667.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 1.905500 17-DEC-2027 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8500000 | OU      | $4011.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.503000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1900000 | OU      | $-5917.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.899000 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1800000 | OU      | $10919.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.485000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1400000 | OU      | $6973.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | SWAP/CDSWAP/CDS: (CDX.NA.HY.39 15-25%)                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    12000000 | OU      | $1123097.27   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | TRSWAP: IBXXLLTR INDEX                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    10000000 | OU      | $128328.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.940000 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2300000 | OU      | $-3193.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.637500 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1600000 | OU      | $-3935.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.740000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3800000 | OU      | $34363.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.548000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1100000 | OU      | $-1705.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.483500 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $2167.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.353000 17-DEC-2027 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12000000 | OU      | $9755.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.002500 17-DEC-2035 CAD                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2700000 | OU      | $-14267.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.675000 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1800000 | OU      | $-10111.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: SEK 2.841500 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16000000 | OU      | $4383.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.023500 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $9661.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 4.006500 17-DEC-2035 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $-5588.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.596000 17-DEC-2035 SOF                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $-1552.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 3.503500 17-DEC-2027 SON                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4000000 | OU      | $423.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS -0.069500 17-DEC-2027 SA                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7000000 | OU      | $600.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 0.489000 17-DEC-2035 SAR                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1400000 | OU      | $-1377.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: OIS 2.524000 17-DEC-2035 EST                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $-1218.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 2.881000 17-DEC-2027 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15500000 | OU      | $-558.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | FSWP: NZD 3.932000 17-DEC-2035 3M                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3600000 | OU      | $-801.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dassault Aviation SA                             | Dassault Aviation SA                                  | CUSIP: 000000000<br>LEI: 969500CVFTUT88V8QN95 | Short            | EC               | CORP              | FR        |        -216 | NS      | $-67941.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Investor AB                                      | Investor AB                                           | CUSIP: 000000000<br>LEI: 549300VEBQPHRZBKUX38 | Long             | EC               | CORP              | SE        |       59890 | NS      | $2039294.46   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Haleon PLC                                       | Haleon PLC                                            | CUSIP: 000000000<br>LEI: 549300PSB3WWEODCUP19 | Long             | EC               | CORP              | GB        |      564805 | NS      | $2777647.11   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Hensoldt AG                                      | Hensoldt AG                                           | CUSIP: 000000000<br>LEI: 894500686FYLLZD3M624 | Short            | EC               | CORP              | DE        |      -18020 | NS      | $-1429802.10  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| InPost SA                                        | InPost SA                                             | CUSIP: 000000000<br>LEI: 2221003M23QLERR89585 | Short            | EC               | CORP              | LU        |      -60059 | NS      | $-705215.61   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Nibe Industrier AB                               | Nibe Industrier AB                                    | CUSIP: 000000000<br>LEI: 549300ZQH0FIF1P0MX67 | Short            | EC               | CORP              | SE        |     -130860 | NS      | $-484398.11   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GSK PLC                                          | GSK PLC                                               | CUSIP: 000000000<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |       33216 | NS      | $790409.37    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| NN Group NV                                      | NN Group NV                                           | CUSIP: 000000000<br>LEI: 724500OHYNDT9OY6Q215 | Long             | EC               | CORP              | NL        |       26877 | NS      | $1950446.39   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Melrose Industries PLC                           | Melrose Industries PLC                                | CUSIP: 000000000<br>LEI: 213800RGNXXZY2M7TR85 | Short            | EC               | CORP              | GB        |     -252751 | NS      | $-1993674.90  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| FinecoBank Banca Fineco SpA                      | FinecoBank Banca Fineco SpA                           | CUSIP: 000000000<br>LEI: 549300L7YCATGO57ZE10 | Short            | EC               | CORP              | IT        |      -84722 | NS      | $-2083995.32  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| CapitaLand Investment Ltd/Singapore              | CapitaLand Investment Ltd/Singapore                   | CUSIP: 000000000<br>LEI: 254900AT4UQDU7SNXX49 | Short            | EC               | CORP              | SG        |     -723200 | NS      | $-1481265.51  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Lottery Corp Ltd/The                             | Lottery Corp Ltd/The                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | AU        |     -193788 | NS      | $-694203.57   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Universal Music Group NV                         | Universal Music Group NV                              | CUSIP: 000000000<br>LEI: 724500GJBUL3D9TW9Y18 | Short            | EC               | CORP              | NL        |      -96108 | NS      | $-2469753.98  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Beijer Ref AB                                    | Beijer Ref AB                                         | CUSIP: 000000000<br>LEI: 549300PZZEUVH08H4G75 | Short            | EC               | CORP              | SE        |      -64805 | NS      | $-1032979.31  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| XPeng Inc                                        | XPeng Inc                                             | CUSIP: 000000000<br>LEI: 549300TZNMIREMWQU857 | Short            | EC               | CORP              | KY        |      -13000 | NS      | $-141674.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Novo Nordisk A/S                                 | Novo Nordisk A/S                                      | CUSIP: 000000000<br>LEI: 549300DAQ1CVT6CXN342 | Long             | EC               | CORP              | DK        |       23968 | NS      | $1186964.24   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Cie Generale des Etablissements Michelin SCA     | Cie Generale des Etablissements Michelin SCA          | CUSIP: 000000000<br>LEI: 549300SOSI58J6VIW052 | Long             | EC               | CORP              | FR        |       14758 | NS      | $483056.25    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SCB X PCL                                        | SCB X PCL                                             | CUSIP: 000000000<br>LEI: 254900TG41KIWX7VDO42 | Long             | EC               | CORP              | TH        |      108000 | NS      | $436583.17    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NIO Inc                                          | NIO Inc                                               | CUSIP: 000000000<br>LEI: 549300JBU4TV5OCKJV96 | Short            | EC               | CORP              | KY        |      -25630 | NS      | $-145186.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Syensqo SA                                       | Syensqo SA                                            | CUSIP: 000000000<br>LEI: 549300060XNJ90PLNS10 | Short            | EC               | CORP              | BE        |       -1522 | NS      | $-124246.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Saab AB                                          | Saab AB                                               | CUSIP: 000000000<br>LEI: 549300ZHO4JCQQI13M69 | Short            | EC               | CORP              | SE        |      -15091 | NS      | $-761082.88   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Recruit Holdings Co Ltd                          | Recruit Holdings Co Ltd                               | CUSIP: 000000000<br>LEI: 353800R2LRSMVVC4I806 | Long             | EC               | CORP              | JP        |       12000 | NS      | $613754.96    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyo Metro Co Ltd                               | Tokyo Metro Co Ltd                                    | CUSIP: 000000000<br>LEI: 35380049N9IQPZ74JY58 | Short            | EC               | CORP              | JP        |       -7700 | NS      | $-79179.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SGH Ltd                                          | SGH Ltd                                               | CUSIP: 000000000<br>LEI: 254900DME8O9GCK94794 | Short            | EC               | CORP              | AU        |      -23818 | NS      | $-738138.40   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKWOOL A/S                                     | ROCKWOOL A/S                                          | CUSIP: 000000000<br>LEI: 213800QRC7LNX935OZ09 | Long             | EC               | CORP              | DK        |       32367 | NS      | $1094156.56   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Medibank Pvt Ltd                                 | Medibank Pvt Ltd                                      | CUSIP: 000000000<br>LEI: BDYVSUPTML83OLINBJ17 | Long             | EC               | CORP              | AU        |       97095 | NS      | $301942.33    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWAP/CDSWAP/CDS: (CMBX.NA.10.AAA)_SGO59X17US04        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     4610000 | OU      | $13762.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC Capital Partners PLC                         | CVC Capital Partners PLC                              | CUSIP: 000000000<br>LEI: 213800E8UQS1KA32YD39 | Short            | EC               | CORP              | JE        |      -94199 | NS      | $-1555746.81  | -0.21%            |  |  |  | Yes           |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | ALTA GS SUPERVAL                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               |  | US        |    13579255 | OU      | $-314931.11   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | ALTA JU GS                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               |  | US        |     5378825 | OU      | $-74277.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | ALTA GS WMN                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               |  | US        |           1 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | ALTA MORD SUPERVAL                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               |  | US        |    13247965 | OU      | $63489.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | ALTA JU MORD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               |  | US        |     5480909 | OU      | $5643.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | ALTA MORD WMN                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               |  | US        |     1636261 | OU      | $74976.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kongsberg Gruppen ASA                            | Kongsberg Gruppen ASA                                 | CUSIP: 000000000<br>LEI: 5967007LIEEXZXJ9HK73 | Short            | EC               | CORP              | NO        |      -69990 | NS      | $-1658269.07  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Amrize Ltd                                       | Amrize Ltd                                            | CUSIP: 000000000<br>LEI: 529900SLCCO6K43P8146 | Short            | EC               | CORP              | CH        |      -14217 | NS      | $-732024.99   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BeOne Medicines Ltd                              | BeOne Medicines Ltd                                   | CUSIP: 000000000<br>LEI: 549300JFUK6FRD5MH739 | Short            | EC               | CORP              | CH        |       -7200 | NS      | $-190253.87   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Auto Trader Group PLC                            | Auto Trader Group PLC                                 | CUSIP: 000000000<br>LEI: 213800QLK9BZILB1DI86 | Long             | EC               | CORP              | GB        |        1962 | NS      | $16591.70     | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CAR Group Ltd                                    | CAR Group Ltd                                         | CUSIP: 000000000<br>LEI: 5299009TFWZGH2AN7D11 | Short            | EC               | CORP              | AU        |      -25842 | NS      | $-589006.25   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CK Hutchison Holdings Ltd                        | CK Hutchison Holdings Ltd                             | CUSIP: 000000000<br>LEI: 254900Z8HM1VEPOQ2G79 | Long             | EC               | CORP              | KY        |      227500 | NS      | $1604859.51   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Meridian Energy Ltd                              | Meridian Energy Ltd                                   | CUSIP: 000000000<br>LEI: 254900IFKXIGNCY3A092 | Long             | EC               | CORP              | NZ        |       65902 | NS      | $212965.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| South32 Ltd                                      | South32 Ltd                                           | CUSIP: 000000000<br>LEI: 213800LAZNPXSBKVHR17 | Short            | EC               | CORP              | AU        |     -359054 | NS      | $-760816.42   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Cellnex Telecom SA                               | Cellnex Telecom SA                                    | CUSIP: 000000000<br>LEI: 5493008T4YG3AQUI7P67 | Short            | EC               | CORP              | ES        |      -78303 | NS      | $-2351612.42  | -0.31%            |  |  |  | Yes           |                  2 | On Loan: No      |
| Tryg A/S                                         | Tryg A/S                                              | CUSIP: 000000000<br>LEI: 213800ZRS8AC4LSTCE39 | Short            | EC               | CORP              | DK        |      -76320 | NS      | $-1890509.75  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Vicinity Ltd                                     | Vicinity Ltd                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               |  | AU        |       85055 | NS      | $137117.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Vicinity Ltd                                     | Vicinity Ltd                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               |  | AU        |      -45170 | NS      | $-72818.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| China Resources Pharmaceutical Group Ltd         | China Resources Pharmaceutical Group Ltd              | CUSIP: 000000000<br>LEI: 3003004H1KDKMJ8JD874 | Long             | EC               | CORP              | HK        |      202500 | NS      | $124742.07    | 0.02%             |  |  |  | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                 | ABN AMRO Bank NV                                      | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | EC               | CORP              | NL        |       23936 | NS      | $811000.48    | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Orsted AS                                        | Orsted AS                                             | CUSIP: 000000000<br>LEI: W9NG6WMZIYEU8VEDOG48 | Short            | EC               | CORP              | DK        |      -48693 | NS      | $-1037105.21  | -0.14%            |  |  |  | Yes           |                  2 | On Loan: No      |
| Japan Post Bank Co Ltd                           | Japan Post Bank Co Ltd                                | CUSIP: 000000000<br>LEI: 5493006JVO6N2HC2XZ76 | Short            | EC               | CORP              | JP        |      -61400 | NS      | $-738912.27   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Scout24 SE                                       | Scout24 SE                                            | CUSIP: 000000000<br>LEI: 5493007EIKM2ENQS7U66 | Long             | EC               | CORP              | DE        |        5016 | NS      | $513046.14    | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Land Securities Group PLC                        | Land Securities Group PLC                             | CUSIP: 000000000<br>LEI: 213800V8IAVKS37D6B88 | Short            | EC               |  | GB        |      -25022 | NS      | $-200302.69   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Doosan Bobcat Inc                                | Doosan Bobcat Inc                                     | CUSIP: 000000000<br>LEI: 9884007K6X0Q0112FX44 | Long             | EC               | CORP              | KR        |       12475 | NS      | $469797.43    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Grifols SA                                       | Grifols SA                                            | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Short            | EC               | CORP              | ES        |      -33931 | NS      | $-415295.15   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CK Asset Holdings Ltd                            | CK Asset Holdings Ltd                                 | CUSIP: 000000000<br>LEI: 5299006GJZSGP78B8S35 | Long             | EC               | CORP              | KY        |      226000 | NS      | $1162024.76   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Amundi SA                                        | Amundi SA                                             | CUSIP: 000000000<br>LEI: 96950010FL2T1TJKR531 | Long             | EC               | CORP              | FR        |        6167 | NS      | $493703.23    | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| VAT Group AG                                     | VAT Group AG                                          | CUSIP: 000000000<br>LEI: 529900MVFK7NVALR7Y83 | Long             | EC               | CORP              | CH        |         205 | NS      | $90471.88     | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Adyen NV                                         | Adyen NV                                              | CUSIP: 000000000<br>LEI: 724500973ODKK3IFQ447 | Short            | EC               | CORP              | NL        |        -590 | NS      | $-922146.55   | -0.12%            |  |  |  | Yes           |                  2 | On Loan: No      |
| ING Groep NV                                     | ING Groep NV                                          | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | EC               | CORP              | NL        |       13100 | NS      | $339669.51    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WiseTech Global Ltd                              | WiseTech Global Ltd                                   | CUSIP: 000000000<br>LEI: 254900VE3AF301Q85K83 | Short            | EC               | CORP              | AU        |      -53194 | NS      | $-2547537.07  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Delivery Hero SE                                 | Delivery Hero SE                                      | CUSIP: 000000000<br>LEI: 529900C3EX1FZGE48X78 | Short            | EC               | CORP              | DE        |      -67025 | NS      | $-1562710.44  | -0.21%            |  |  |  | Yes           |                  2 | On Loan: No      |
| Allegion plc                                     | Allegion plc                                          | CUSIP: 000000000<br>LEI: 984500560CAC2E6FB757 | Long             | EC               | CORP              | IE        |       12957 | NS      | $2151250.71   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Arch Capital Group Ltd                           | Arch Capital Group Ltd                                | CUSIP: 000000000<br>LEI: 549300AYR4P8AFKDCE43 | Long             | EC               | CORP              | BM        |        7321 | NS      | $687588.32    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture PLC                                    | Accenture PLC                                         | CUSIP: 000000000<br>LEI: 5493000EWHDSR3MZWH98 | Long             | EC               | CORP              | IE        |       13952 | NS      | $3488000.00   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Capri Holdings Ltd                               | Capri Holdings Ltd                                    | CUSIP: 000000000<br>LEI: 549300LPG8W0H1OX3A26 | Long             | EC               | CORP              | VG        |       38000 | NS      | $964060.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Everest Group Ltd                                | Everest Group Ltd                                     | CUSIP: 000000000<br>LEI: 549300N24XF2VV0B3570 | Long             | EC               | CORP              | BM        |        3552 | NS      | $1116358.08   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Aptiv PLC                                        | Aptiv PLC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JE        |        8680 | NS      | $673134.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Fabrinet                                         | Fabrinet                                              | CUSIP: 000000000<br>LEI: 5493004TETZ6IYF7CV44 | Long             | EC               | CORP              | KY        |        4568 | NS      | $2098584.88   | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| Flutter Entertainment PLC                        | Flutter Entertainment PLC                             | CUSIP: 000000000<br>LEI: 635400EG4YIJLJMZJ782 | Short            | EC               | CORP              | IE        |       -2200 | NS      | $-459382.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| FTAI Aviation Ltd                                | FTAI Aviation Ltd                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | KY        |       -5600 | NS      | $-970144.00   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| GLOBALFOUNDRIES Inc                              | GLOBALFOUNDRIES Inc                                   | CUSIP: 000000000<br>LEI: 549300BA76VK784VMX48 | Long             | EC               | CORP              | KY        |       20800 | NS      | $745472.00    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Grab Holdings Ltd                                | Grab Holdings Ltd                                     | CUSIP: 000000000<br>LEI: 549300N4VQX83VPJF439 | Short            | EC               | CORP              | KY        |     -400243 | NS      | $-2181324.35  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| James Hardie Industries PLC                      | James Hardie Industries PLC                           | CUSIP: 000000000<br>LEI: 635400NSGXKTVOO7JU45 | Long             | EC               | CORP              | IE        |       61571 | NS      | $1217874.38   | 0.16%             |  |  |  | No            |                  1 | On Loan: —       |
| Linde PLC                                        | Linde PLC                                             | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Short            | EC               | CORP              | IE        |       -6368 | NS      | $-2612917.76  | -0.35%            |  |  |  | No            |                  1 | On Loan: No      |
| NU Holdings Ltd/Cayman Islands                   | NU Holdings Ltd/Cayman Islands                        | CUSIP: 000000000<br>LEI: 5493002DG1RHWK9W2X27 | Short            | EC               | CORP              | KY        |     -164850 | NS      | $-2866741.50  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| Seagate Technology Holdings PLC                  | Seagate Technology Holdings PLC                       | CUSIP: 000000000<br>LEI: 635400RUXIFEZSRU8X70 | Short            | EC               | CORP              | IE        |       -2996 | NS      | $-828963.24   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Pentair PLC                                      | Pentair PLC                                           | CUSIP: 000000000<br>LEI: 549300EVR9D56WPSRP15 | Long             | EC               | CORP              | IE        |        6722 | NS      | $707423.28    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| STERIS PLC                                       | STERIS PLC                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | IE        |       -3132 | NS      | $-833988.96   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| TE Connectivity PLC                              | TE Connectivity PLC                                   | CUSIP: 000000000<br>LEI: 6367003TB6K484NFHE54 | Long             | EC               | CORP              | IE        |        3206 | NS      | $725036.90    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| TechnipFMC PLC                                   | TechnipFMC PLC                                        | CUSIP: 000000000<br>LEI: 549300D5I93QWCJTCK36 | Short            | EC               | CORP              | GB        |       -5400 | NS      | $-244404.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Trane Technologies PLC                           | Trane Technologies PLC                                | CUSIP: 000000000<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | IE        |        1672 | NS      | $704714.56    | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| Willis Towers Watson PLC                         | Willis Towers Watson PLC                              | CUSIP: 000000000<br>LEI: 549300WHC56FF48KL350 | Short            | EC               | CORP              | IE        |       -1280 | NS      | $-410880.00   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Bunge Global SA                                  | Bunge Global SA                                       | CUSIP: 000000000<br>LEI: 254900IVXSV9K0B7PO26 | Long             | EC               | CORP              | CH        |        2423 | NS      | $232777.61    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Garmin Ltd                                       | Garmin Ltd                                            | CUSIP: 000000000<br>LEI: 2549001E0HIPIJQ0W046 | Long             | EC               | CORP              | CH        |        2934 | NS      | $573068.88    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| Spotify Technology SA                            | Spotify Technology SA                                 | CUSIP: 000000000<br>LEI: 549300B4X0JHWV0DTD60 | Short            | EC               | CORP              | LU        |       -2761 | NS      | $-1653480.07  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| Check Point Software Technologies Ltd            | Check Point Software Technologies Ltd                 | CUSIP: 000000000<br>LEI: 2549003ZVBH73EPNS513 | Long             | EC               | CORP              | IL        |         626 | NS      | $116918.02    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| CyberArk Software Ltd                            | CyberArk Software Ltd                                 | CUSIP: 000000000<br>LEI: 529900YEXNDM894PWS93 | Long             | EC               | CORP              | IL        |       32370 | NS      | $14844558.30  | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Monday.com Ltd                                   | Monday.com Ltd                                        | CUSIP: 000000000<br>LEI: 984500MDAFVD86E3B328 | Short            | EC               | CORP              | IL        |      -10023 | NS      | $-1441908.78  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Wix.com Ltd                                      | Wix.com Ltd                                           | CUSIP: 000000000<br>LEI: 5493008P6N29Q1AG9464 | Short            | EC               | CORP              | IL        |      -30072 | NS      | $-2878191.12  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Holdings NV                               | AerCap Holdings NV                                    | CUSIP: 000000000<br>LEI: 549300SZYINBBLJQU475 | Short            | EC               | CORP              | NL        |       -6035 | NS      | $-808690.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| CNH Industrial NV                                | CNH Industrial NV                                     | CUSIP: 000000000<br>LEI: 549300WGC2HZ5J67V817 | Long             | EC               | CORP              | NL        |      142312 | NS      | $1342002.16   | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| LyondellBasell Industries NV                     | LyondellBasell Industries NV                          | CUSIP: 000000000<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | EC               | CORP              | NL        |       44072 | NS      | $2159087.28   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                 | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   100000000 | PA      | $1916945.64   | 0.26%             | 2033-02-03      | Fixed         | 13.63%                | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd                      | Royal Caribbean Cruises Ltd                           | CUSIP: 000000000<br>LEI: K2NEH8QNVW44JIWK7Z55 | Short            | EC               | CORP              | LR        |        -949 | NS      | $-252671.25   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (ITRAXX.EUR.42.V1)                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    60000000 | OU      | $-1707457.68  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.42.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    12847956 | OU      | $-1569303.11  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.44.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    34000000 | OU      | $-827201.11   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (ITRAXX.EUR.44.V1)                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   150793000 | OU      | $4263280.03   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.45.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   195672000 | OU      | $4781919.29   | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.45.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    82819000 | OU      | $-793856.93   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (ITRAXX.EUR.44.V1)                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    67772000 | OU      | $-594576.16   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.44.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    15773000 | OU      | $2132039.87   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.45.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    16435000 | OU      | $1383666.31   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-21

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer