# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-26-041702
**Filing Date:** 2026-4
**Character Count:** 49823
**Document Hash:** 16bbb5f76adfe1d2cdf311aafd50be6c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-041702.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0001410368-26-041702

**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:** 26911160

**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 High Yield Fund (Series ID: S000061716)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000199930 | Class VI     | GHVIX           |
| C000213400 | Class I      | GMOZX           |

## 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 High Yield Fund

- **b. EDGAR series identifier (if any):** S000061716

- **c. LEI of Series:** 5493003UZ8Q1SLUPQX65

**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:** $132290838.59

**Total Liabilities:** $496696.74

**Net Assets:** $131794141.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -16.00000000 | **1-Year:** -199.98000000 | **5-Year:** -96.32000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** -213.30000000 | **1-Year:** -3669.76000000 | **5-Year:** -15903.25000000 | **10-Year:** -1752.67000000 | **30-Year:** -4.93000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000213400 | 0.56%                | 0.47%                | 0.06%                |
| Class ID C000199930 | 0.58%                | 0.46%                | 0.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $33510.43                | $-24339.67                                 |
| Month 2  | $-780302.59              | $1009268.45                                |
| Month 3  | $-7168.73                | $-156108.45                                |

**Designated Index Information**

- **Index Name:** IBOXX US Dollar Liquid High Yield Index

- **Index Identifier:** IBOXHY

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ALLEGIANT TRAVEL CO                    | Allegiant Travel Co                                                      | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |     460000 | PA      | $464267.88    | 0.35%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| RB GLOBAL HOLDINGS INC                 | Ritchie Bros Holdings Inc                                                | CUSIP: 76774LAB3<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |     385000 | PA      | $391214.67    | 0.30%             | 2028-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MOOG INC                               | Moog Inc                                                                 | CUSIP: 615394AM5<br>LEI: 549300WM2I4U7OBAHG07 | Long             | DBT              | CORP              | US        |     480000 | PA      | $478667.18    | 0.36%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DELUXE CORP                            | Deluxe Corp                                                              | CUSIP: 248019AW1<br>LEI: KWGNKB8TX9LE5TV29231 | Long             | DBT              | CORP              | US        |     440000 | PA      | $461526.01    | 0.35%             | 2029-09-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                           | US Foods Inc                                                             | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     380000 | PA      | $376223.14    | 0.29%             | 2030-06-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC | TRSWAP: IBOXHY INDEX                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | GB        |     383000 | OU      | $-2939.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                 | US 5YR NOTE (CBT) JUN26                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         48 | NC      | $30131.38     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                 | U.S. Treasury Floating Rate Notes                                        | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4575000 | PA      | $4580499.24   | 3.48%             | 2027-07-31      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| GENTING NY LLC/GENNY CAP               | Genting New York LLC / GENNY Capital Inc                                 | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $259206.91    | 0.20%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| VF CORP                                | VF Corp                                                                  | CUSIP: 918204BC1<br>LEI: CWAJJ9DJ5Z7P057HV541 | Long             | DBT              | CORP              | US        |     530000 | PA      | $486451.54    | 0.37%             | 2030-04-23      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| TIDEWATER INC                          | Tidewater Inc                                                            | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |     430000 | PA      | $465174.86    | 0.35%             | 2030-07-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                   | Commercial Metals Co                                                     | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204849.60    | 0.16%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WEATHERFORD INTERNATIONA               | Weatherford International Ltd                                            | CUSIP: 947075AW7<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |      50000 | PA      | $52274.20     | 0.04%             | 2033-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FORVIA SE                              | Forvia SE                                                                | CUSIP: 31209DAA3<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |     445000 | PA      | $474226.27    | 0.36%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                              | TEGNA Inc                                                                | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |     225000 | PA      | $224362.76    | 0.17%             | 2028-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                             | Twilio Inc                                                               | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |     490000 | PA      | $471507.48    | 0.36%             | 2029-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATIN               | TerraForm Power Operating LLC                                            | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |     470000 | PA      | $470597.37    | 0.36%             | 2028-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                  | Nabors Industries Inc                                                    | CUSIP: 62957HAR6<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     470000 | PA      | $484186.95    | 0.37%             | 2032-11-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                       | Credit Acceptance Corp                                                   | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     445000 | PA      | $442679.33    | 0.34%             | 2030-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                        | Sealed Air Corp                                                          | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     355000 | PA      | $366959.24    | 0.28%             | 2033-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                | TRSWAP: IBOXHY INDEX                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | GB        |   43445000 | OU      | $169081.98    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                 | U.S. Treasury Floating Rate Notes                                        | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45013000 | PA      | $45066594.73  | 34.19%            | 2027-04-30      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| JAZZ SECURITIES DAC                    | Jazz Securities DAC                                                      | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |     475000 | PA      | $468295.90    | 0.36%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ALLIANCE RES OP/FINANCE                | Alliance Resource Operating Partners LP / Alliance Resource Finance Corp | CUSIP: 01879NAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     360000 | PA      | $379002.96    | 0.29%             | 2029-06-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                 | Clearway Energy Operating LLC                                            | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     525000 | PA      | $497355.44    | 0.38%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                   | OneMain Finance Corp                                                     | CUSIP: 682691AM2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     465000 | PA      | $460763.85    | 0.35%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                     | TRSWAP: IBOXHY INDEX                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    2542000 | OU      | $-17452.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SAGICOR FINANCIAL CO                   | Sagicor Financial Co Ltd                                                 | CUSIP: 78669QAA8<br>LEI: 984500P7FADAA3A50B04 | Long             | DBT              | CORP              | BM        |     350000 | PA      | $348670.00    | 0.26%             | 2028-05-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                | Crescent Energy Finance LLC                                              | CUSIP: 45344LAG8<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     480000 | PA      | $496152.00    | 0.38%             | 2034-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| HLF FIN SARL LLC/HERBALI               | HLF Financing Sarl LLC / Herbalife International Inc                     | CUSIP: 40390DAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     430000 | PA      | $459320.41    | 0.35%             | 2029-04-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                  | Belron UK Finance PLC                                                    | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |     395000 | PA      | $403752.02    | 0.31%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FMC CORP                               | FMC Corp                                                                 | CUSIP: 302491AX3<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |     750000 | PA      | $658296.50    | 0.50%             | 2033-05-18      | Fixed         | 5.65%                 | 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      | $5348.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                        | Fair Isaac Corp                                                          | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     485000 | PA      | $474817.67    | 0.36%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                  | Mineral Resources Ltd                                                    | CUSIP: 603051AF0<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     450000 | PA      | $473284.80    | 0.36%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                      | Rakuten Group Inc                                                        | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $332748.49    | 0.25%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC               | Encore Capital Group Inc                                                 | CUSIP: 292554AS1<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |     275000 | PA      | $279235.00    | 0.21%             | 2031-04-15      | Fixed         | 6.63%                 | 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      | $14446.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC | TRSWAP: IBOXHY INDEX                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | GB        |    1353000 | OU      | $-5703.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                          | Carnival Corp                                                            | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     380000 | PA      | $394363.62    | 0.30%             | 2032-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                 | US 2YR NOTE (CBT) JUN26                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         28 | NC      | $11562.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GULFPORT ENERGY OP CORP                | Gulfport Energy Operating Corp                                           | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |     385000 | PA      | $398691.76    | 0.30%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AMER SPORTS COMPANY                    | Amer Sports Co                                                           | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |     333000 | PA      | $347450.87    | 0.26%             | 2031-02-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL               | Japan Treasury Discount Bill                                             | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | STIV             | NUSS              | JP        | 2672000000 | PA      | $17099023.97  | 12.97%            | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                 | US 10YR NOTE (CBT)JUN26                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         23 | NC      | $11495.84     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBUS MCKINNON CORP                 | Columbus McKinnon Corp/NY                                                | CUSIP: 199333AK1<br>LEI: 549300W3HQB0HO1F3G69 | Long             | DBT              | CORP              | US        |     475000 | PA      | $488328.50    | 0.37%             | 2033-02-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE                         | Constellium SE                                                           | CUSIP: 21039CAB0<br>LEI: 724500KRJEMC79KAAU28 | Long             | DBT              | CORP              | FR        |     490000 | PA      | $474787.51    | 0.36%             | 2029-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERFLEX INC                           | Enerflex Inc                                                             | CUSIP: 29281WAA6<br>LEI: 549300SQCOV1LC1GBK07 | Long             | DBT              | CORP              | US        |     475000 | PA      | $492280.03    | 0.37%             | 2031-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN               | Hilton Domestic Operating Co Inc                                         | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     490000 | PA      | $477081.05    | 0.36%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                    | Travel + Leisure Co                                                      | CUSIP: 98310WAN8<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |     465000 | PA      | $470729.27    | 0.36%             | 2027-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                 | U.S. Treasury Floating Rate Notes                                        | CUSIP: 91282CPX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16210000 | PA      | $16209263.58  | 12.30%            | 2028-01-31      | Floating      | 3.72%                 | No            |                  1 | On Loan: No      |
| BRINK'S CO/THE                         | Brink's Co/The                                                           | CUSIP: 109696AD6<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |     185000 | PA      | $191456.50    | 0.15%             | 2032-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                       | Lamar Media Corp                                                         | CUSIP: 513075BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     465000 | PA      | $457242.22    | 0.35%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC               | Celanese US Holdings LLC                                                 | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     450000 | PA      | $483455.70    | 0.37%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                 | Resorts World Las Vegas LLC / RWLV Capital Inc                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $364590.05    | 0.28%             | 2029-04-16      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| TOPBUILD CORP                          | TopBuild Corp                                                            | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     410000 | PA      | $389664.90    | 0.30%             | 2032-02-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                 | U.S. Treasury Floating Rate Notes                                        | CUSIP: 91282CMJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1355000 | PA      | $1355464.44   | 1.03%             | 2027-01-31      | Floating      | 3.72%                 | No            |                  1 | On Loan: No      |
| HNI CORP                               | HNI Corp                                                                 | CUSIP: 404251AA8<br>LEI: 549300SKRADLC4O5HV93 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295551.18    | 0.22%             | 2029-01-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                         | Bombardier Inc                                                           | CUSIP: 097751AL5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     345000 | PA      | $388668.03    | 0.29%             | 2034-05-01      | Fixed         | 7.45%                 | 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        |   25340040 | OU      | $1954840.51   | 1.48%             |  |  |  | No            |                  2 | On Loan: No      |
| MUELLER WATER PRODUCTS                 | Mueller Water Products Inc                                               | CUSIP: 624758AF5<br>LEI: 549300F7ZU4P1F8V8L60 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291430.47    | 0.22%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                    | Arbor Realty SR Inc                                                      | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              |  | US        |     265000 | PA      | $244285.43    | 0.19%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTL INC                    | Somnigroup International Inc                                             | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     485000 | PA      | $471339.05    | 0.36%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION               | Vertiv Group Corp                                                        | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |     390000 | PA      | $388424.90    | 0.29%             | 2028-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC               | Vistra Operations Co LLC                                                 | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     370000 | PA      | $391001.20    | 0.30%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                 | Patrick Industries Inc                                                   | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     460000 | PA      | $472476.12    | 0.36%             | 2032-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                 | Telecom Italia Capital SA                                                | CUSIP: 87927VAR9<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     430000 | PA      | $476427.53    | 0.36%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                      | Iron Mountain Inc                                                        | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |     350000 | PA      | $337580.25    | 0.26%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC | TRSWAP: IBOXHY INDEX                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | GB        |   18424000 | OU      | $250390.91    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                    | Resideo Funding Inc                                                      | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |     455000 | PA      | $464519.06    | 0.35%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                     | Kohl's Corp                                                              | CUSIP: 500255AY0<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |     340000 | PA      | $370131.48    | 0.28%             | 2030-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                         | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     470000 | PA      | $471321.64    | 0.36%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PBF HOLDING CO LLC                     | PBF Holding Co LLC / PBF Finance Corp                                    | CUSIP: 69318FAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     470000 | PA      | $468038.13    | 0.36%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                  | American Airlines Inc                                                    | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     455000 | PA      | $463722.06    | 0.35%             | 2028-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                             | Viasat Inc                                                               | CUSIP: 92552VAL4<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     470000 | PA      | $469133.46    | 0.36%             | 2027-04-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                      | Seagate Data Storage Technology Pte Ltd                                  | CUSIP: 81180LAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     350000 | PA      | $358058.75    | 0.27%             | 2034-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                  | GENMAB A/S/GENMAB FINANCE LLC                                            | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     465000 | PA      | $482587.70    | 0.37%             | 2032-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                        | Nissan Motor Co Ltd                                                      | CUSIP: 654922AD5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     435000 | PA      | $475018.45    | 0.36%             | 2035-07-17      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL L               | Huntsman International LLC                                               | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     490000 | PA      | $469400.84    | 0.36%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                  | GFL Environmental Inc                                                    | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     475000 | PA      | $467649.01    | 0.35%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                          | TransDigm Inc                                                            | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     385000 | PA      | $391810.27    | 0.30%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                              | Enpro Inc                                                                | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     470000 | PA      | $485062.56    | 0.37%             | 2033-06-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                   | Seadrill Finance Ltd                                                     | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |     225000 | PA      | $236442.19    | 0.18%             | 2030-08-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| EXCELERATE ENERGY LP                   | Excelerate Energy LP                                                     | CUSIP: 30069UAA6<br>LEI: LGL4IE90TNTFYJ55BK06 | Long             | DBT              | CORP              | US        |     455000 | PA      | $482314.11    | 0.37%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                | FTAI Aviation Investors LLC                                              | CUSIP: 34960PAD3<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     470000 | PA      | $469950.89    | 0.36%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                         | Wynn Macau Ltd                                                           | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     350000 | PA      | $347684.08    | 0.26%             | 2029-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                | Macy's Retail Holdings LLC                                               | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     440000 | PA      | $460957.85    | 0.35%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PRECISION DRILLING CORP                | Precision Drilling Corp                                                  | CUSIP: 740212AM7<br>LEI: 8945003E8R4T2TZ7G795 | Long             | DBT              | CORP              | CA        |     460000 | PA      | $465963.90    | 0.35%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                 | XPLR Infrastructure Operating Partners LP                                | CUSIP: 98379YAA0<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     120000 | PA      | $124422.12    | 0.09%             | 2034-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC               | Sensata Technologies Inc                                                 | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     425000 | PA      | $400671.43    | 0.30%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                 | U.S. Treasury Floating Rate Notes                                        | CUSIP: 91282CPG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6455000 | PA      | $6465497.77   | 4.91%             | 2027-10-31      | Floating      | 3.81%                 | No            |                  1 | On Loan: No      |
| HERC HOLDINGS INC                      | Herc Holdings Inc                                                        | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     445000 | PA      | $470394.82    | 0.36%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                | Talen Energy Supply LLC                                                  | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     445000 | PA      | $468229.89    | 0.36%             | 2030-06-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| FORTESCUE TREASURY PTY L               | Fortescue Treasury Pty Ltd                                               | CUSIP: 30251GBA4<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |     470000 | PA      | $469607.64    | 0.36%             | 2027-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ASHLAND INC                            | Ashland Inc                                                              | CUSIP: 04433LAA0<br>LEI: 529900E4L9R04SB8HB11 | Long             | DBT              | CORP              | US        |     520000 | PA      | $479048.39    | 0.36%             | 2031-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC                | American Axle & Manufacturing Inc                                        | CUSIP: 02406PBC3<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |     460000 | PA      | $468154.26    | 0.36%             | 2032-10-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                     | Howard Hughes Corp/The                                                   | CUSIP: 44267DAE7<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     400000 | PA      | $387298.34    | 0.29%             | 2029-02-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL CORP                        | Murphy Oil Corp                                                          | CUSIP: 626717AP7<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |     475000 | PA      | $475786.13    | 0.36%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERS               | Brandywine Operating Partnership LP                                      | CUSIP: 105340AS2<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              |  | US        |     360000 | PA      | $382436.28    | 0.29%             | 2029-04-12      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC               | Elanco Animal Health Inc                                                 | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |     445000 | PA      | $462622.89    | 0.35%             | 2028-08-28      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORP                   | Kioxia Holdings Corp                                                     | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |     370000 | PA      | $384172.44    | 0.29%             | 2030-07-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GLOBAL NET LEASE INC                   | Global Net Lease Inc                                                     | CUSIP: 02608AAA7<br>LEI: 549300NUYANCT5SU8Z65 | Long             | DBT              |  | US        |     300000 | PA      | $294987.21    | 0.22%             | 2028-09-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN ELEC CO                       | Hawaiian Electric Co Inc                                                 | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |     475000 | PA      | $484151.83    | 0.37%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                       | Boyd Gaming Corp                                                         | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |     495000 | PA      | $484227.41    | 0.37%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors           | State Street Institutional Treasury Money Market Fund                    | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |     530933 | NS      | $530932.64    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARLES RIVER LABORATORI               | Charles River Laboratories International Inc                             | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     490000 | PA      | $471603.88    | 0.36%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                   | BWX Technologies Inc                                                     | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     350000 | PA      | $346642.07    | 0.26%             | 2028-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BALL CORP                              | Ball Corp                                                                | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     535000 | PA      | $497598.79    | 0.38%             | 2030-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                         | NRG Energy Inc                                                           | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     500000 | PA      | $471963.25    | 0.36%             | 2031-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                            | Wayfair LLC                                                              | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     450000 | PA      | $465048.90    | 0.35%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| INGEVITY CORP                          | Ingevity Corp                                                            | CUSIP: 45688CAB3<br>LEI: 5493009UTFC4B5IMGF87 | Long             | DBT              | CORP              | US        |     490000 | PA      | $477780.09    | 0.36%             | 2028-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                             | Phinia Inc                                                               | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |     180000 | PA      | $186869.70    | 0.14%             | 2032-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                   | TTM Technologies Inc                                                     | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |     485000 | PA      | $470669.51    | 0.36%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-09

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer