# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-25-019499
**Filing Date:** 2025-10
**Character Count:** 9178
**Document Hash:** 86f24d432b176656c4c52f6bc0ce0136
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-019499.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0001410368-25-019499

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**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:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 251428552

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-08-31

**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:** $3185273.00

**Total Liabilities:** $1195153.61

**Net Assets:** $1990119.39

**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:** -0.32000000 | **1-Year:** -7.74000000 | **5-Year:** 3.67000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000256009 | 2.07%                | -0.48%               | 2.91%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-371.23                 | $7649.17                                   |
| Month 2  | $5549.66                 | $-6218.74                                  |
| Month 3  | $7516.60                 | $544.61                                    |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                              | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1075000 | PA      | $1098180.93   | 55.18%            | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.        | SWAP/CDSWAP/ICE: (CDX.EM.43.V1)                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    568000 | OU      | $9779.95      | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                 | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1685000 | PA      | $1684794.87   | 84.66%            | 2027-04-30      | Floating      | 4.30%                 | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.        | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    274000 | OU      | $22514.28     | 1.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                 | US 2YR NOTE (CBT) DEC25                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         7 | NC      | $3408.28      | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                 | US LONG BOND(CBT) DEC25                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -4 | NC      | $-1769.23     | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                 | US 10YR ULTRA FUT DEC25                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         4 | NC      | $2118.74      | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                 | US ULTRA BOND CBT DEC25                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -2 | NC      | $1059.56      | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.          | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-11.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.        | SWAP/CDSWAP/ICE: (ITRAXX.XO.43.V1)                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    238000 | OU      | $28998.73     | 1.46%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                 | US 5YR NOTE (CBT) DEC25                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         9 | NC      | $5817.69      | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                         | TRSWAP: IBXXLLTR INDEX                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | US        |    500000 | OU      | $7446.36      | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                 | US 10YR NOTE (CBT)DEC25                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         6 | NC      | $5845.11      | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC | PURCHASED USD / SOLD EUR                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-25.78       | -0.00%            |  |  |  | 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        |    372608 | NS      | $372607.82    | 18.72%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-06

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer