# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-26-041726
**Filing Date:** 2026-4
**Character Count:** 10256
**Document Hash:** 5eaf798954b864207d5aca6cbfa3698e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-041726.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0001410368-26-041726

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 26911185

**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 U.S. Treasury Fund (Series ID: S000025186)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000075084 | Class VI     | GUSTX           |

## 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 U.S. Treasury Fund

- **b. EDGAR series identifier (if any):** S000025186

- **c. LEI of Series:** 0NIBQB0NDRTFX04R2J69

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $356528839.97

**Total Liabilities:** $1133030.93

**Net Assets:** $355395809.04

**Currency Risk Metrics (dv01):**

- 

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

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

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000075084 | 0.32%                | 0.25%                | 0.26%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $204289.74               | $-13706.61                                 |
| Month 2  | $2885.34                 | $195719.88                                 |
| Month 3  | $29341.20                | $-3264.04                                  |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Daiwa Capital Markets America, Inc. | REPO DAIWA                                                 | CUSIP: 000000000<br>LEI: M67H5PRC0NQKM73ZAS82 | Long             | RA               | CORP              | US        |  16599460 | PA      | $16599460.50  | 4.67%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury              | U.S. Treasury Notes                                        | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15720000 | PA      | $15801179.03  | 4.45%             | 2027-01-31      | Fixed         | 4.13%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Notes                                        | CUSIP: 91282CLH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5848000 | PA      | $5850147.32   | 1.65%             | 2026-08-31      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Inflation-Indexed Notes                      | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7426377 | PA      | $7433723.69   | 2.09%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury              | U.S. Treasury Notes                                        | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14860000 | PA      | $14620730.81  | 4.11%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  1 | On Loan: No      |
| State Street Global Advisors        | State Street Institutional Treasury Plus Money Market Fund | CUSIP: 857492862<br>LEI: 549300PNASLVKQG64331 | Long             | EC               | RF                | US        |    145206 | NS      | $145205.56    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Notes                                        | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15743000 | PA      | $15822606.67  | 4.45%             | 2026-09-15      | Fixed         | 4.63%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Notes                                        | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15640000 | PA      | $15728708.06  | 4.43%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Notes                                        | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15920000 | PA      | $15994998.16  | 4.50%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Floating Rate Notes                          | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5578000 | PA      | $5584641.44   | 1.57%             | 2027-04-30      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Inflation-Indexed Notes                      | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7435530 | PA      | $7448697.36   | 2.10%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury              | U.S. Treasury Notes                                        | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10749000 | PA      | $10780575.21  | 3.03%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Floating Rate Notes                          | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28410000 | PA      | $28444149.39  | 8.00%             | 2027-07-31      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Floating Rate Notes                          | CUSIP: 91282CPX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37570000 | PA      | $37568293.19  | 10.57%            | 2028-01-31      | Floating      | 3.72%                 | No            |                  1 | On Loan: No      |
| United States Treasury              | U.S. Treasury Inflation-Indexed Notes                      | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7408467 | PA      | $7447142.33   | 2.10%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Daiwa Capital Markets America, Inc. | REPO DAIWA                                                 | CUSIP: 000000000<br>LEI: M67H5PRC0NQKM73ZAS82 | Long             | RA               | CORP              | US        | 150001128 | PA      | $150001127.50 | 42.21%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer