# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001752724-25-181504
**Filing Date:** 2025-7
**Character Count:** 853228
**Document Hash:** f15190652d108e5ceea2cf4f89e07a1e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-181504.hdr.sgml**: 20250729

**ACCESSION NUMBER**: 0001752724-25-181504

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250729

**DATE AS OF CHANGE**: 20250729

**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:** 251158335

**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 Strategic Opportunities Allocation Fund (Series ID: S000005489)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014937 | Class III    | GBATX           |

## Nport-Ex

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 96.5%** | **COMMON STOCKS — 96.5%** |
| | **Australia — 0.4%** | **Australia — 0.4%** |
| 320055 | Clean TeQ Water Ltd. <sup>\*</sup> <sup>(a)</sup> | 35077 |
| 451213 | IGO Ltd. | 1129608 |
| 1399037 | Sunrise Energy Metals Ltd. <sup>\*</sup> | 400630 |
|  | Total Australia | 1565315 |
|  | **Brazil — 1.3%** | **Brazil — 1.3%** |
| 685300 | Suzano SA | 5948972 |
|  | **Canada — 4.3%** |  |
| 476293 | Anaergia, Inc. <sup>\*</sup> | 454654 |
| 151438 | First Quantum Minerals Ltd. <sup>\*</sup> | 2243403 |
| 1925700 | Greenlane Renewables, Inc. <sup>\*</sup> | 133305 |
| 841129 | Ivanhoe Mines Ltd. – Class A<sup>\*</sup> <sup>(a)</sup> | 6515249 |
| 1008392 | Largo, Inc. <sup>\*</sup> | 1307930 |
| 166688 | Li-Cycle Holdings Corp. <sup>\*</sup> <sup>(a)</sup> | 15835 |
| 1072000 | NexGen Energy Ltd. <sup>\*</sup> <sup>(a)</sup> | 6608460 |
| 147700 | Northland Power, Inc. <sup>(a)</sup> | 2202020 |
|  | Total Canada | 19480856 |
|  | **China — 0.7%** | **China — 0.7%** |
| 980100 | CECEP Solar Energy Co. Ltd. – Class A | 590148 |
| 1278000 | CMOC Group Ltd. – Class H | 1018711 |
| 420476 | Yutong Bus Co. Ltd. – Class A | 1440890 |
|  | Total China | 3049749 |
|  | **Denmark — 4.9%** | **Denmark — 4.9%** |
| 14100 | NKT AS <sup>\*</sup> | 1208355 |
| 64070 | Rockwool AS – B Shares | 3040266 |
| 1122906 | Vestas Wind Systems AS | 17759044 |
|  | Total Denmark | 22007665 |
|  | **Finland — 2.6%** | **Finland — 2.6%** |
| 127454 | Kemira OYJ | 2802535 |
| 856271 | Neste OYJ | 9185549 |
|  | Total Finland | 11988084 |
|  | **France — 10.6%** | **France — 10.6%** |
| 145113 | Nexans SA | 16691891 |
| 8913 | Schneider Electric SE | 2248853 |
| 108621 | STMicroelectronics NV <sup>(a)</sup> | 2730733 |
| 1315082 | Valeo SE <sup>(a)</sup> | 13850616 |
| 295684 | Veolia Environnement SA | 10176438 |
| 114522 | Waga Energy SA <sup>\*</sup> <sup>(a)</sup> | 2267417 |
|  | Total France | 47965948 |
|  | **Germany — 4.1%** | **Germany — 4.1%** |
| 151884 | E.ON SE | 2661933 |
| 250248 | Infineon Technologies AG | 9729573 |
| 63326 | Knorr-Bremse AG | 6407668 |
|  | Total Germany | 18799174 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Ireland — 0.6%** | **Ireland — 0.6%** |
| 28938 | Kingspan Group PLC | 2485474 |
|  | **Italy — 1.7%** |  |
| 298472 | Enel SpA | 2743555 |
| 30931 | ERG SpA <sup>(a)</sup> | 654111 |
| 63603 | Prysmian SpA | 4090439 |
|  | Total Italy | 7488105 |
|  | **Japan — 3.4%** | **Japan — 3.4%** |
| 26000 | Daikin Industries Ltd. | 2958296 |
| 162900 | GS Yuasa Corp. | 2967830 |
| 179100 | Kansai Electric Power Co., Inc. | 2032093 |
| 361600 | Renesas Electronics Corp. | 4391782 |
| 123100 | Yokogawa Electric Corp. | 3017915 |
|  | Total Japan | 15367916 |
|  | **Mexico — 0.8%** | **Mexico — 0.8%** |
| 375369 | Grupo Mexico SAB de CV – Series B | 2074245 |
| 2383026 | Orbia Advance Corp. SAB de CV <sup>(a)</sup> | 1613174 |
|  | Total Mexico | 3687419 |
|  | **Netherlands — 0.3%** | **Netherlands — 0.3%** |
| 27736 | Arcadis NV | 1432401 |
|  | **Norway — 2.6%** |  |
| 512478 | Austevoll Seafood ASA | 4652436 |
| 72400 | Bakkafrost P/F | 3370621 |
| 209256 | Mowi ASA | 3907341 |
|  | Total Norway | 11930398 |
|  | **Russia — 0.0%** | **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>\*</sup> <sup>(b) (c)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 5.8%** | **South Korea — 5.8%** |
| 32998 | CS Wind Corp. | 1178433 |
| 127147 | LG Chem Ltd. | 18142633 |
| 58043 | Samsung SDI Co. Ltd. | 7096749 |
|  | Total South Korea | 26417815 |
|  | **Spain — 2.7%** | **Spain — 2.7%** |
| 17846 | Acciona SA <sup>(a)</sup> | 2875527 |
| 117892 | Endesa SA | 3602650 |
| 182558 | Iberdrola SA | 3346243 |
| 124691 | Redeia Corp. SA | 2579557 |
|  | Total Spain | 12403977 |
|  | **Switzerland — 0.3%** | **Switzerland — 0.3%** |
| 21208 | Landis & Gyr Group AG | 1340885 |

---

------

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Ukraine — 0.2%** | |
| 219994 | Kernel Holding SA <sup>\*</sup> | 1080406 |
|  | **United Kingdom — 1.0%** |  |
| 460000 | Lifezone Metals Ltd. <sup>\*</sup> | 1835400 |
| 200177 | National Grid PLC <sup>(a)</sup> | 2834654 |
|  | Total United Kingdom | 4670054 |
|  | **United States — 48.2%** | **United States — 48.2%** |
| 70300 | Advanced Drainage Systems, Inc. | 7730188 |
| 342762 | Aemetis, Inc. <sup>\*</sup> <sup>(a)</sup> | 586123 |
| 61332 | AGCO Corp. | 6009309 |
| 15300 | Air Products & Chemicals, Inc. | 4267323 |
| 119300 | Albemarle Corp. | 6652168 |
| 1004370 | Ameresco, Inc. – Class A <sup>\*</sup> | 13840219 |
| 2167700 | Array Technologies, Inc. <sup>\*</sup> | 14306820 |
| 78400 | Axcelis Technologies, Inc. <sup>\*</sup> | 4417056 |
| 273791 | BorgWarner, Inc. | 9059744 |
| 86300 | Carrier Global Corp. | 6144560 |
| 3706489 | Clean Energy Fuels Corp. <sup>\*</sup> | 6634615 |
| 22500 | Consolidated Edison, Inc. | 2351025 |
| 76939 | Corteva, Inc. | 5447281 |
| 587010 | Darling Ingredients, Inc. <sup>\*</sup> | 18291232 |
| 32367 | Edison International | 1801224 |
| 28903 | EnerSys | 2417158 |
| 111022 | Enphase Energy, Inc. <sup>\*</sup> | 4595201 |
| 59739 | Exelon Corp. | 2617763 |
| 62195 | First Solar, Inc. <sup>\*</sup> | 9831786 |
| 73556 | Freeport-McMoRan, Inc. | 2830435 |
| 980795 | Gevo, Inc. <sup>\*</sup> <sup>(a)</sup> | 1245610 |
| 2739148 | GrafTech International Ltd. <sup>\*</sup> <sup>(a)</sup> | 2728739 |
| 973521 | Green Plains, Inc. <sup>\*</sup> | 4049847 |
| 19900 | Hubbell, Inc. | 7752642 |
| 194500 | NEXTracker, Inc. – Class A <sup>\*</sup> | 11026205 |
| 105348 | ON Semiconductor Corp. <sup>\*</sup> | 4426723 |
| 74600 | Ormat Technologies, Inc. | 5545018 |
| 13609 | Owens Corning | 1822925 |
| 22472 | Pentair PLC | 2228773 |
| 989676 | SolarEdge Technologies, Inc. <sup>\*</sup> | 17675613 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | **United States — continued** |
| 2505819 | Sunrun, Inc. <sup>\*</sup> | 18768584 |
| 20295 | TE Connectivity PLC | 3248621 |
| 8700 | Trane Technologies PLC | 3743349 |
| 8100 | Valmont Industries, Inc. | 2576124 |
| 19000 | Veralto Corp. | 1919570 |
|  | Total United States | 218589573 |
|  | TOTAL COMMON STOCKS<br>(COST $637,413,874) | 437700186 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 1.8%** | **PREFERRED STOCKS <sup>(d)</sup> — 1.8%** |
|  | **Chile — 1.8%** | **Chile — 1.8%** |
| 270304 | Sociedad Quimica y Minera de Chile SA Sponsored ADR <sup>\*</sup> <sup>(a)</sup> | 8225351 |
|  | TOTAL PREFERRED STOCKS<br>(COST $10,620,086) | 8225351 |
|  | **INVESTMENT FUNDS — 1.6%** | **INVESTMENT FUNDS — 1.6%** |
|  | **United States — 1.6%** | **United States — 1.6%** |
| 1484638 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 7438039 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $7,438,039) | 7438039 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 220062 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(f)</sup> | 220062 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $220,062) | 220062 |
|  | **TOTAL INVESTMENTS — 100.0%** (Cost $655,692,061) | **453583638** |
|  | Other Assets and Liabilities (net) — 0.0% | 97800 |
|  | **TOTAL NET ASSETS — 100.0%** | **$453681438** |

---

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>May 31, 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)** 

**May 31, 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 May 31, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 95.4%** | **COMMON STOCKS — 95.4%** |
| | **Brazil — 4.4%** | **Brazil — 4.4%** |
| 137500 | Ambev SA ADR | 335500 |
| 131587 | Cia de Saneamento de Minas Gerais Copasa MG | 549401 |
| 48262 | Cia De Sanena Do Parana | 276518 |
| 32231 | CPFL Energia SA | 228172 |
| 36600 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 159787 |
| 128400 | JBS SA | 900674 |
| 6000 | Porto Seguro SA | 54624 |
| 210700 | Vibra Energia SA | 743409 |
|  | Total Brazil | 3248085 |
|  | **Czech Republic — 0.3%** | **Czech Republic — 0.3%** |
| 235 | Philip Morris CR AS <sup>\*</sup> | 197848 |
|  | **Egypt — 0.5%** |  |
| 6271 | Abou Kir Fertilizers & Chemical Industries | 6090 |
| 62962 | Commercial International Bank – Egypt (CIB) | 104831 |
| 293698 | Eastern Co. SAE | 196841 |
| 35621 | ElSewedy Electric Co. | 58521 |
|  | Total Egypt | 366283 |
|  | **Hungary — 4.8%** | **Hungary — 4.8%** |
| 39757 | Magyar Telekom Telecommunications PLC | 197616 |
| 50953 | MOL Hungarian Oil & Gas PLC <sup>\*</sup> | 440596 |
| 6280 | Opus Global Nyrt | 10026 |
| 31143 | OTP Bank Nyrt | 2362393 |
| 18183 | Richter Gedeon Nyrt | 529073 |
|  | Total Hungary | 3539704 |
|  | **India — 19.1%** | **India — 19.1%** |
| 447 | 63 Moons Technologies Ltd. | 4488 |
| 9355 | Ashapura Minechem Ltd. <sup>\*</sup> | 46266 |
| 27867 | Ashoka Buildcon Ltd. <sup>\*</sup> | 71641 |
| 26515 | Aurobindo Pharma Ltd. <sup>\*</sup> | 356735 |
| 7141 | Avanti Feeds Ltd. | 70261 |
| 2297 | Bajaj Finance Ltd. | 245748 |
| 112576 | Bharat Petroleum Corp. Ltd. | 418430 |
| 78754 | Brightcom Group Ltd. <sup>\*</sup> <sup>(a)</sup> | 9461 |
| 50996 | Chambal Fertilisers & Chemicals Ltd. | 327626 |
| 57572 | Cipla Ltd. | 986273 |
| 74265 | Dr. Reddy's Laboratories Ltd. | 1087556 |
| 39216 | Federal Bank Ltd. | 92800 |
| 28958 | Firstsource Solutions Ltd. | 125561 |
| 103214 | GAIL India Ltd. | 229388 |
| 12255 | GHCL Ltd. | 88097 |
| 22982 | Glenmark Pharmaceuticals Ltd. | 392604 |
| 32800 | Godawari Power & Ispat Ltd. | 73755 |
| 31797 | Goldiam International Ltd. | 140693 |
| 8852 | Great Eastern Shipping Co. Ltd. | 96362 |
| 73843 | Gujarat State Fertilizers & Chemicals Ltd. | 172453 |
| 4027 | Gujarat State Petronet Ltd. | 15448 |
| 6400 | HDFC Bank Ltd. ADR | 482496 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **India — continued** | **India — continued** |
| 29738 | HDFC Bank Ltd. <sup>\*</sup> | 677436 |
| 2204 | Hero MotoCorp Ltd. | 111077 |
| 52441 | Hindalco Industries Ltd. | 389199 |
| 18190 | ICICI Bank Ltd. | 308594 |
| 113805 | Indian Oil Corp. Ltd. | 189084 |
| 8006 | Indus Towers Ltd. <sup>\*</sup> | 35800 |
| 6616 | IndusInd Bank Ltd. | 63361 |
| 34691 | ITC Ltd. | 170012 |
| 1028 | JB Chemicals & Pharmaceuticals Ltd. | 20223 |
| 85201 | JM Financial Ltd. | 127264 |
| 1075 | Kaveri Seed Co. Ltd. | 18072 |
| 1754 | KNR Constructions Ltd. | 4330 |
| 1459 | KRBL Ltd. | 6011 |
| 5082 | LT Foods Ltd. | 26101 |
| 12293 | Lupin Ltd. | 281499 |
| 1218 | Mahanagar Gas Ltd. | 18880 |
| 396157 | Manappuram Finance Ltd. | 1101254 |
| 7024 | Marksans Pharma Ltd. | 21402 |
| 10022 | Muthoot Finance Ltd. | 258693 |
| 29260 | Natco Pharma Ltd. | 301867 |
| 12929 | National Aluminium Co. Ltd. | 27345 |
| 366036 | NMDC Ltd. | 305008 |
| 424482 | Oil & Natural Gas Corp. Ltd. | 1188137 |
| 120354 | Petronet LNG Ltd. | 432966 |
| 1862 | Pokarna Ltd. | 23320 |
| 61007 | Power Grid Corp. of India Ltd. | 206843 |
| 1260 | PTC India Ltd. | 2594 |
| 13729 | Rajesh Exports Ltd. <sup>\*</sup> | 32283 |
| 14687 | Redington Ltd. | 44503 |
| 184680 | Sammaan Capital Ltd. | 267575 |
| 2643 | Sharda Cropchem Ltd. | 22906 |
| 62924 | Shriram Finance Ltd. | 470874 |
| 18094 | Siyaram Silk Mills Ltd. | 152422 |
| 1069 | Strides Pharma Science Ltd. | 10201 |
| 22595 | Sun Pharmaceutical Industries Ltd. | 442868 |
| 14543 | Sun TV Network Ltd. | 106956 |
| 1584 | UTI Asset Management Co. Ltd. | 22034 |
| 1169 | Vadilal Industries Ltd. | 73414 |
| 1873 | West Coast Paper Mills Ltd. | 10543 |
| 74921 | Wipro Ltd. | 218833 |
| 21582 | Zydus Lifesciences Ltd. | 234035 |
|  | Total India | 13959961 |
|  | **Indonesia — 7.5%** | **Indonesia — 7.5%** |
| 1203100 | AKR Corporindo Tbk. PT | 93928 |
| 4709100 | Aneka Tambang Tbk. PT <sup>\*</sup> | 898136 |
| 4410100 | Astra International Tbk. PT | 1311372 |
| 193400 | Bank BTPN Syariah Tbk. PT | 15358 |
| 253100 | Bank Mandiri Persero Tbk. PT | 82232 |
| 2204800 | Bank Negara Indonesia Persero Tbk. PT | 608090 |
| 68400 | Bank Rakyat Indonesia Persero Tbk. PT | 18610 |
| 2057400 | Dharma Satya Nusantara Tbk. PT | 99195 |
| 30100 | Indah Kiat Pulp & Paper Tbk. PT | 11842 |
| 146000 | Indofood CBP Sukses Makmur Tbk. PT | 97565 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Indonesia — continued** | **Indonesia — continued** |
| 1736000 | Indofood Sukses Makmur Tbk. PT | 837987 |
| 1457500 | Japfa Comfeed Indonesia Tbk. PT | 143627 |
| 530800 | Kalbe Farma Tbk. PT <sup>\*</sup> | 49309 |
| 226400 | Medco Energi Internasional Tbk. PT | 17008 |
| 6529100 | Panin Financial Tbk. PT <sup>\*</sup> | 117784 |
| 3057400 | Perusahaan Gas Negara Tbk. PT | 340803 |
| 1038700 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 77662 |
| 976700 | Saratoga Investama Sedaya Tbk. PT <sup>\*</sup> | 104912 |
| 5886500 | Surya Citra Media Tbk. PT | 58398 |
| 1800 | Telkom Indonesia Persero Tbk. PT ADR <sup>\*</sup> | 30870 |
| 1824100 | Telkom Indonesia Persero Tbk. PT <sup>\*</sup> | 315335 |
| 2186400 | Triputra Agro Persada PT | 121498 |
| 113200 | Unilever Indonesia Tbk. PT | 11995 |
|  | Total Indonesia | 5463516 |
|  | **Kuwait — 0.1%** | **Kuwait — 0.1%** |
| 25993 | Agility Public Warehousing Co. KSC | 21143 |
| 23319 | Noor Financial Investment Co. KSC | 24818 |
|  | Total Kuwait | 45961 |
|  | **Mexico — 3.8%** | **Mexico — 3.8%** |
| 30860 | Arca Continental SAB de CV | 339689 |
| 7283 | Bolsa Mexicana de Valores SAB de CV | 15924 |
| 4300 | Cemex SAB de CV Sponsored ADR | 29455 |
| 78400 | Cemex SAB de CV | 53760 |
| 4501 | Coca-Cola Femsa SAB de CV Sponsored ADR | 427595 |
| 539400 | Credito Real SAB de CV SOFOM ER <sup>\*</sup> <sup>(b)</sup> |  |
| 25700 | El Puerto de Liverpool SAB de CV – Class C1 | 124816 |
| 137900 | Genomma Lab Internacional SAB de CV – Class B | 159400 |
| 219435 | Gentera SAB de CV | 430589 |
| 582 | Gruma SAB de CV – Class B | 10951 |
| 131136 | Grupo Financiero Banorte SAB de CV – Class O | 1163024 |
|  | Total Mexico | 2755203 |
|  | **Poland — 0.1%** | **Poland — 0.1%** |
| 5123 | Powszechny Zaklad Ubezpieczen SA | 83696 |
|  | **Qatar — 0.3%** |  |
| 54883 | Qatar National Bank QPSC | 255255 |
|  | **Russia — 0.0%** |  |
| 4036000 | Alrosa PJSC <sup>(b) (c)</sup> |  |
| 131280 | Evraz PLC <sup>\*</sup> <sup>(b)</sup> |  |
| 236860000 | Federal Grid Co-Rosseti PJSC <sup>\*</sup> <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>\*</sup> <sup>(b) (c)</sup> |  |
| 6151400 | Inter RAO UES PJSC <sup>(b) (c)</sup> |  |
| 122088 | LUKOIL PJSC <sup>\*</sup> <sup>(b) (c)</sup> |  |
| 4327340 | Magnitogorsk Iron & Steel Works PJSC <sup>(b) (c)</sup> |  |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Russia — continued** | |
| 88090 | Moscow Exchange MICEX-RTS PJSC <sup>(b) (c)</sup> |  |
| 93370 | Novatek PJSC <sup>(b) (c)</sup> |  |
| 1403510 | Novolipetsk Steel PJSC <sup>\*</sup> <sup>(b) (c)</sup> |  |
| 4917 | PhosAgro PJSC <sup>(b) (c)</sup> |  |
| 95 | PhosAgro PJSC GDR <sup>\*</sup> <sup>(b) (c)</sup> |  |
| 119020 | Polyus PJSC <sup>\*</sup> <sup>(b) (c)</sup> |  |
| 1 | Polyus PJSC GDR <sup>\*</sup> <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 — 1.3%** | **Saudi Arabia — 1.3%** |
| 34831 | Arab National Bank | 200922 |
| 23824 | Riyad Bank | 184314 |
| 19457 | Saudi Awwal Bank | 174959 |
| 29138 | Saudi National Bank | 269270 |
| 10444 | Saudi Telecom Co. | 116537 |
|  | Total Saudi Arabia | 946002 |
|  | **South Africa — 0.8%** | **South Africa — 0.8%** |
| 2107 | Nedbank Group Ltd. | 29933 |
| 56222 | Ninety One Ltd. | 119537 |
| 291697 | Old Mutual Ltd. | 189327 |
| 10910 | Omnia Holdings Ltd. | 43278 |
| 10363 | Tiger Brands Ltd. | 199208 |
|  | Total South Africa | 581283 |
|  | **South Korea — 14.0%** | **South Korea — 14.0%** |
| 1243 | Cheil Worldwide, Inc. | 16528 |
| 3868 | Coway Co. Ltd. | 248732 |
| 10777 | Daou Data Corp. | 132809 |
| 3865 | Doosan Bobcat, Inc. | 131371 |
| 9570 | Hana Financial Group, Inc. | 503324 |
| 5978 | Hankook Tire & Technology Co. Ltd. | 166721 |
| 7288 | Hyundai Glovis Co. Ltd. | 598069 |
| 273 | Hyundai Marine & Fire Insurance Co. Ltd. <sup>\*</sup> | 4816 |
| 10737 | Hyundai Mobis Co. Ltd. | 1968266 |
| 2666 | KB Financial Group, Inc. | 200600 |
| 27347 | Kia Corp. | 1768609 |
| 18218 | KT&G Corp. | 1583879 |
| 1789 | Kyung Dong Navien Co. Ltd. | 97378 |
| 34835 | Samsung Electronics Co. Ltd. | 1413524 |
| 2668 | Shinhan Financial Group Co. Ltd. | 111595 |
| 92163 | Woori Financial Group, Inc. | 1286025 |
| 1364 | Youngone Corp. | 59931 |
|  | Total South Korea | 10292177 |
|  | **Taiwan — 27.9%** | **Taiwan — 27.9%** |
| 57000 | Asustek Computer, Inc. | 1171910 |
| 126000 | Cathay Financial Holding Co. Ltd. | 249253 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Taiwan — continued** | **Taiwan — continued** |
| 28000 | Compal Electronics, Inc. | 26537 |
| 26000 | CTBC Financial Holding Co. Ltd. | 35098 |
| 61000 | Eva Airways Corp. | 82413 |
| 280600 | Evergreen Marine Corp. Taiwan Ltd. | 2266982 |
| 37000 | Formosa Advanced Technologies Co. Ltd. | 32303 |
| 86000 | Fubon Financial Holding Co. Ltd. | 226703 |
| 2000 | Fusheng Precision Co. Ltd. | 23197 |
| 275000 | Hon Hai Precision Industry Co. Ltd. | 1400475 |
| 35000 | Kung Long Batteries Industrial Co. Ltd. | 167630 |
| 38000 | MediaTek, Inc. | 1560226 |
| 77528 | Nantex Industry Co. Ltd. | 63405 |
| 940000 | Pou Chen Corp. | 969749 |
| 126000 | Radiant Opto-Electronics Corp. | 615017 |
| 16000 | Realtek Semiconductor Corp. | 285302 |
| 33000 | Simplo Technology Co. Ltd. | 409697 |
| 13000 | Sinon Corp. | 18602 |
| 23000 | T3EX Global Holdings Corp. | 60812 |
| 23000 | TaiDoc Technology Corp. | 106297 |
| 2300 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 444636 |
| 266000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 8483811 |
| 24000 | Wan Hai Lines Ltd. | 85845 |
| 586000 | Yang Ming Marine Transport Corp. | 1541668 |
| 45000 | YungShin Global Holding Corp. | 91860 |
| 14000 | Zhen Ding Technology Holding Ltd. | 47513 |
|  | Total Taiwan | 20466941 |
|  | **Thailand — 6.7%** | **Thailand — 6.7%** |
| 54100 | Bangkok Bank PCL NVDR | 233022 |
| 356300 | Kasikornbank PCL NVDR | 1671186 |
| 1762100 | Krung Thai Bank PCL NVDR | 1190102 |
| 185700 | PTT Exploration & Production PCL NVDR | 553337 |
| 397400 | PTT PCL NVDR | 359758 |
| 9300 | Regional Container Lines PCL NVDR | 7425 |
| 236100 | SCB X PCL NVDR | 852091 |
| 103200 | Sri Trang Gloves Thailand PCL NVDR | 20376 |
|  | Total Thailand | 4887297 |
|  | **United Arab Emirates — 3.5%** | **United Arab Emirates — 3.5%** |
| 95491 | Abu Dhabi Commercial Bank PJSC | 313876 |
| 5644 | Abu Dhabi Islamic Bank PJSC | 29462 |
| 101217 | Dubai Islamic Bank PJSC | 227313 |
| 62266 | Emaar Development PJSC | 227067 |
| 274305 | Emaar Properties PJSC | 982273 |
| 96795 | Emirates NBD Bank PJSC | 590113 |
| 26070 | First Abu Dhabi Bank PJSC | 114248 |
| 10679 | Orascom Construction PLC | 55312 |
|  | Total United Arab Emirates | 2539664 |
|  | **Vietnam — 0.3%** | **Vietnam — 0.3%** |
| 6200 | Binh Minh Plastics JSC | 32566 |
| 10700 | PetroVietNam Ca Mau Fertilizer JSC | 13589 |
| 33700 | Quang Ngai Sugar JSC | 61590 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Vietnam — continued** | **Vietnam — continued** |
| 68800 | Vietnam Dairy Products JSC | 145066 |
|  | Total Vietnam | 252811 |
|  | TOTAL COMMON STOCKS<br>(COST $133,848,319) | 69881687 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 3.6%** | **PREFERRED STOCKS <sup>(d)</sup> — 3.6%** |
|  | **Brazil — 3.5%** | **Brazil — 3.5%** |
| 28957 | Bradespar SA | 78980 |
| 11495 | Cia de Ferro Ligas da Bahia FERBASA | 14109 |
| 889266 | Cia Energetica de Minas Gerais | 1685400 |
| 113300 | Gerdau SA | 302094 |
| 39410 | Itau Unibanco Holding SA | 257910 |
| 86900 | Itausa SA | 168194 |
| 19800 | Marcopolo SA | 25098 |
|  | Total Brazil | 2531785 |
|  | **Colombia — 0.1%** | **Colombia — 0.1%** |
| 1443 | Grupo Cibest SA ADR | 59783 |
|  | **Russia — 0.0%** |  |
| 3948700 | Surgutneftegas PAO <sup>(b) (c)</sup> |  |
| 31500 | Transneft PJSC <sup>(b) (c)</sup> |  |
|  | Total Russia |  |
|  | TOTAL PREFERRED STOCKS<br>(COST $5,512,090) | 2591568 |
|  | **INVESTMENT FUNDS — 0.8%** | **INVESTMENT FUNDS — 0.8%** |
|  | **United States — 0.8%** | **United States — 0.8%** |
| 109714 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 549669 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $549,669) | 549669 |
|  | **SHORT-TERM INVESTMENTS — 1.7%** | **SHORT-TERM INVESTMENTS — 1.7%** |
|  | **Money Market Funds — 1.7%** | **Money Market Funds — 1.7%** |
| 1261970 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(f)</sup> | 1261970 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,261,970) | 1261970 |
|  | **TOTAL INVESTMENTS — 101.5%**<br> (Cost $141,172,048) | **74284894** |
|  | Other Assets and Liabilities (net) — (1.5)% | (1063853) |
|  | **TOTAL NET ASSETS — 100.0%** | **$73221041** |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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>May 31, 2025** |
| Alrosa PJSC | 10/18/2021 | $7054956 | 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% |  |
| 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:** 

<sup>\*</sup> Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(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 May 31, 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

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 94.8%** | **COMMON STOCKS — 94.8%** |
| | **Brazil — 3.6%** | **Brazil — 3.6%** |
| 711000 | Ambev SA ADR | 1734840 |
| 478900 | Cia de Saneamento de Minas Gerais Copasa MG | 1999499 |
| 71400 | Cia De Sanena Do Parana | 409088 |
| 84300 | CPFL Energia SA | 596784 |
| 175000 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 764009 |
| 783200 | JBS SA | 5493834 |
| 1037200 | Vibra Energia SA | 3659532 |
|  | Total Brazil | 14657586 |
|  | **China — 27.3%** | **China — 27.3%** |
| 1195000 | 361 Degrees International Ltd. | 654794 |
| 1140500 | 3SBio, Inc. | 2740861 |
| 182100 | Alibaba Group Holding Ltd. | 2592706 |
| 73785 | Alibaba Group Holding Ltd. Sponsored ADR | 8399684 |
| 52569 | Autohome, Inc. ADR | 1288992 |
| 2529500 | BAIC Motor Corp. Ltd. – Class H | 637256 |
| 60000 | Beijing Jingneng Clean Energy Co. Ltd. – Class H | 18554 |
| 122000 | Bosideng International Holdings Ltd. | 68140 |
| 7513878 | China Communications Services Corp. Ltd. – Class H | 4316048 |
| 3500 | China Conch Venture Holdings Ltd. | 3897 |
| 5088148 | China Construction Bank Corp. – Class H | 4549194 |
| 7065000 | China Feihe Ltd. | 5460125 |
| 74000 | China Foods Ltd. | 29134 |
| 2553000 | China Hongqiao Group Ltd. <sup>(a)</sup> | 4536595 |
| 1698000 | China Lesso Group Holdings Ltd. | 847361 |
| 8302000 | China Reinsurance Group Corp. – Class H | 1064778 |
| 59000 | China Shineway Pharmaceutical Group Ltd. | 57214 |
| 524000 | China State Construction International Holdings Ltd. | 737072 |
| 261400 | China Taiping Insurance Holdings Co. Ltd. | 400060 |
| 1461000 | Consun Pharmaceutical Group Ltd. | 1973234 |
| 9612000 | CSPC Pharmaceutical Group Ltd. | 9896625 |
| 268000 | Dongfeng Motor Group Co. Ltd. – Class H | 147885 |
| 222100 | ENN Energy Holdings Ltd. | 1761027 |
| 231000 | Fufeng Group Ltd. | 200763 |
| 2042000 | Geely Automobile Holdings Ltd. | 4551245 |
| 177500 | Grand Pharmaceutical Group Ltd. <sup>(a)</sup> | 195074 |
| 10248000 | Hua Han Health Industry Holdings Ltd. <sup>\* (b)</sup> | 1 |
| 963000 | Inkeverse Group Ltd. | 163749 |
| 164540 | JD.com, Inc. ADR | 5332741 |
| 35500 | Kingboard Holdings Ltd. | 100666 |
| 1294000 | Kunlun Energy Co. Ltd. | 1292660 |
| 674300 | Legend Holdings Corp. – Class H <sup>\*</sup> | 675432 |
| 136000 | Lenovo Group Ltd. | 155260 |
| 104000 | Leoch International Technology Ltd. | 32299 |
| 672000 | Lonking Holdings Ltd. | 160661 |
| 90800 | Midea Real Estate Holding Ltd. <sup>\* (a)</sup> | 43843 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **China — continued** | **China — continued** |
| 426000 | Minth Group Ltd. <sup>\*</sup> | 1146997 |
| 8000 | Mokingran Jewellery Group Co. Ltd. | 16087 |
| 10100 | NetEase, Inc. | 244200 |
| 437000 | Orient Overseas International Ltd. | 7512238 |
| 2670000 | PICC Property & Casualty Co. Ltd. – Class H | 5073301 |
| 28000 | Precision Tsugami China Corp. Ltd. | 72605 |
| 71600 | Shandong Weigao Group Medical Polymer Co. Ltd. – Class H | 51167 |
| 9000 | Shanghai Industrial Holdings Ltd. | 14323 |
| 1165000 | Sino Biopharmaceutical Ltd. | 657133 |
| 3046000 | Sinopec Engineering Group Co. Ltd. – Class H | 2158525 |
| 638400 | Sinopharm Group Co. Ltd. – Class H | 1538978 |
| 1688000 | TCL Electronics Holdings Ltd. | 2187566 |
| 3457 | Tencent Holdings Ltd. ADR | 217030 |
| 258500 | Tencent Holdings Ltd. | 16296518 |
| 1334000 | Tianneng Power International Ltd. <sup>(a)</sup> | 1038625 |
| 96000 | Uni-President China Holdings Ltd. | 124701 |
| 160915 | Vipshop Holdings Ltd. ADR | 2219018 |
| 220501 | Weibo Corp. Sponsored ADR <sup>(a)</sup> | 1995534 |
| 300800 | Xiaomi Corp. – Class B <sup>\*</sup> | 1936251 |
| 123500 | Xtep International Holdings Ltd. | 92921 |
| 606500 | Zhongsheng Group Holdings Ltd. | 909956 |
|  | Total China | 110589304 |
|  | **Colombia — 0.0%** | **Colombia — 0.0%** |
| 6169 | Corp. Financiera Colombiana SA <sup>\*</sup> | 27467 |
|  | **Czech Republic — 0.2%** | **Czech Republic — 0.2%** |
| 43879 | Moneta Money Bank AS | 287314 |
| 419 | Philip Morris CR AS <sup>\*</sup> | 352759 |
|  | Total Czech Republic | 640073 |
|  | **Hungary — 4.6%** | **Hungary — 4.6%** |
| 332999 | Magyar Telekom Telecommunications PLC | 1655200 |
| 216605 | MOL Hungarian Oil & Gas PLC <sup>\*</sup> | 1873007 |
| 172458 | OTP Bank Nyrt | 13082027 |
| 64614 | Richter Gedeon Nyrt | 1880082 |
|  | Total Hungary | 18490316 |
|  | **India — 10.8%** | **India — 10.8%** |
| 15625 | Ashapura Minechem Ltd. <sup>\*</sup> | 77275 |
| 185106 | Aurobindo Pharma Ltd. <sup>\*</sup> | 2490433 |
| 9237 | Bajaj Finance Ltd. | 988235 |
| 242495 | Bharat Petroleum Corp. Ltd. | 901321 |
| 317184 | Brightcom Group Ltd. <sup>\* (c)</sup> | 38103 |
| 152976 | Chambal Fertilisers & Chemicals Ltd. | 982802 |
| 862 | Cholamandalam Financial Holdings Ltd. | 19061 |
| 208186 | Cipla Ltd. | 3566461 |
| 236493 | Dr. Reddy's Laboratories Ltd. | 3463266 |
| 158050 | Federal Bank Ltd. | 374008 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **India — continued** | **India — continued** |
| 840611 | GAIL India Ltd. | 1868215 |
| 111427 | GHCL Ltd. | 801014 |
| 76413 | Glenmark Pharmaceuticals Ltd. | 1305370 |
| 3775 | Gokul Agro Resources Ltd. <sup>\*</sup> | 10878 |
| 180186 | HDFC Bank Ltd. <sup>\*</sup> | 4104665 |
| 294493 | Hindalco Industries Ltd. | 2185623 |
| 23425 | ICICI Bank Ltd. | 397406 |
| 12440 | Indian Oil Corp. Ltd. | 20669 |
| 7769 | Indraprastha Medical Corp. Ltd. | 39916 |
| 43042 | ITC Ltd. | 210938 |
| 13070 | Kaveri Seed Co. Ltd. | 219727 |
| 5008 | KRBL Ltd. | 20633 |
| 68133 | LT Foods Ltd. | 349927 |
| 46739 | Lupin Ltd. | 1070284 |
| 2065902 | Manappuram Finance Ltd. | 5742884 |
| 21836 | Muthoot Finance Ltd. | 563642 |
| 44837 | Natco Pharma Ltd. | 462570 |
| 172150 | NMDC Ltd. | 143448 |
| 1328830 | Oil & Natural Gas Corp. Ltd. | 3719431 |
| 498779 | Petronet LNG Ltd. | 1794325 |
| 1228 | Pokarna Ltd. | 15380 |
| 1062 | Polyplex Corp. Ltd. | 16497 |
| 7379 | Power Grid Corp. of India Ltd. | 25018 |
| 5935 | Rajesh Exports Ltd. <sup>\*</sup> | 13956 |
| 253124 | Shriram Finance Ltd. | 1894183 |
| 71271 | Siyaram Silk Mills Ltd. | 600379 |
| 46858 | Sun Pharmaceutical Industries Ltd. | 918430 |
| 662 | UTI Asset Management Co. Ltd. | 9208 |
| 4117 | Vadilal Industries Ltd. | 258551 |
| 271 | West Coast Paper Mills Ltd. | 1525 |
| 408098 | Wipro Ltd. | 1191993 |
| 67854 | Zydus Lifesciences Ltd. | 735807 |
|  | Total India | 43613457 |
|  | **Indonesia — 6.0%** | **Indonesia — 6.0%** |
| 754400 | AKR Corporindo Tbk. PT | 58897 |
| 17995300 | Aneka Tambang Tbk. PT <sup>\*</sup> | 3432128 |
| 28231000 | Astra International Tbk. PT | 8394671 |
| 432700 | Astra Otoparts Tbk. PT | 55914 |
| 5988400 | Bank Negara Indonesia Persero Tbk. PT | 1651618 |
| 775700 | Bank OCBC Nisp Tbk. PT | 65027 |
| 6494000 | Bank Pembangunan Daerah Jawa Timur Tbk. PT <sup>\*</sup> | 225202 |
| 9259100 | Dharma Satya Nusantara Tbk. PT | 446414 |
| 4524100 | Erajaya Swasembada Tbk. PT | 154182 |
| 33300 | Gudang Garam Tbk. PT <sup>\*</sup> | 20434 |
| 274400 | Indofood CBP Sukses Makmur Tbk. PT | 183369 |
| 8775500 | Indofood Sukses Makmur Tbk. PT | 4236034 |
| 6536500 | Japfa Comfeed Indonesia Tbk. PT | 644129 |
| 224400 | Lippo Karawaci Tbk. PT <sup>\*</sup> | 1198 |
| 33912400 | Panin Financial Tbk. PT <sup>\*</sup> | 611775 |
| 10486700 | Perusahaan Gas Negara Tbk. PT | 1168933 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Indonesia — continued** | **Indonesia — continued** |
| 8048900 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 601800 |
| 4060000 | Saratoga Investama Sedaya Tbk. PT <sup>\*</sup> | 436102 |
| 10227300 | Surya Citra Media Tbk. PT | 101462 |
| 5137200 | Telkom Indonesia Persero Tbk. PT <sup>\*</sup> | 888077 |
| 1349000 | Tempo Scan Pacific Tbk. PT | 215287 |
| 12171700 | Triputra Agro Persada PT | 676378 |
|  | Total Indonesia | 24269031 |
|  | **Kuwait — 0.0%** | **Kuwait — 0.0%** |
| 67738 | Noor Financial Investment Co. KSC | 72093 |
|  | **Mexico — 2.6%** | **Mexico — 2.6%** |
| 58300 | Arca Continental SAB de CV | 641733 |
| 88305 | Bolsa Mexicana de Valores SAB de CV | 193082 |
| 18530 | Coca-Cola Femsa SAB de CV Sponsored ADR | 1760350 |
| 315700 | Credito Real SAB de CV SOFOM ER <sup>\* (a) (b)</sup> |  |
| 54700 | El Puerto de Liverpool SAB de CV – Class C1 | 265660 |
| 558900 | Genomma Lab Internacional SAB de CV – Class B | 646037 |
| 1112163 | Gentera SAB de CV <sup>(a)</sup> | 2182353 |
| 562846 | Grupo Financiero Banorte SAB de CV – Class O | 4991791 |
|  | Total Mexico | 10681006 |
|  | **Philippines — 0.1%** | **Philippines — 0.1%** |
| 66300 | China Banking Corp. | 89903 |
| 399400 | LT Group, Inc. | 88084 |
| 84800 | Manila Water Co., Inc. | 50637 |
| 6680800 | Megaworld Corp. | 214179 |
| 26500 | Puregold Price Club, Inc. | 14723 |
| 22700 | Robinsons Retail Holdings, Inc. | 15386 |
|  | Total Philippines | 472912 |
|  | **Poland — 0.0%** | **Poland — 0.0%** |
| 6098 | Powszechny Zaklad Ubezpieczen SA | 99625 |
|  | **Qatar — 0.1%** | **Qatar — 0.1%** |
| 91659 | Qatar National Bank QPSC | 426297 |
|  | **Russia — 0.0%** | **Russia — 0.0%** |
| 31701260 | Alrosa PJSC <sup>(b) (d)</sup> |  |
| 39977 | Evraz PLC <sup>\* (b)</sup> |  |
| 1432600000 | Federal Grid Co-Rosseti PJSC <sup>\* (b) (d)</sup> |  |
| 219070 | Gazprom Neft PJSC <sup>(b) (d)</sup> |  |
| 1250860 | Gazprom PJSC <sup>(b) (d)</sup> |  |
| 3721200 | GMK Norilskiy Nickel PAO <sup>\* (b) (d)</sup> |  |
| 78536400 | Inter RAO UES PJSC <sup>(b) (d)</sup> |  |
| 239440 | LSR Group PJSC <sup>\* (b) (d)</sup> |  |
| 3 | LSR Group PJSC GDR <sup>\* (b) (d)</sup> |  |
| 285469 | LUKOIL PJSC <sup>\* (b) (d)</sup> |  |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Russia — continued** | **Russia — continued** |
| 17490987 | Magnitogorsk Iron & Steel Works PJSC <sup>(b) (d)</sup> |  |
| 474800 | Mechel PJSC <sup>\* (b) (d)</sup> |  |
| 4133417 | Moscow Exchange MICEX-RTS PJSC <sup>(b) (d)</sup> |  |
| 10015560 | Novolipetsk Steel PJSC <sup>\* (b) (d)</sup> |  |
| 11924 | PhosAgro PJSC <sup>(b) (d)</sup> |  |
| 230 | PhosAgro PJSC GDR <sup>\* (b) (d)</sup> |  |
| 800940 | Polyus PJSC <sup>\* (b) (d)</sup> |  |
| 24938000 | RusHydro PJSC <sup>\* (b) (d)</sup> |  |
| 13125612 | Sberbank of Russia PJSC <sup>(b) (d)</sup> |  |
| 706464 | Severstal PAO GDR (Registered) <sup>\* (b) (d)</sup> |  |
| 68353 | SFI PJSC <sup>(b) (d)</sup> |  |
| 63500900 | Surgutneftegas PAO <sup>(b) (d)</sup> |  |
| 2860038 | Tatneft PJSC <sup>(b) (d)</sup> |  |
| 8118000 | Unipro PJSC <sup>\* (b) (d)</sup> |  |
| 556430 | United Co. RUSAL International PJSC <sup>\* (b) (d)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 0.4%** | **Saudi Arabia — 0.4%** |
| 17543 | Arab National Bank | 101196 |
| 84507 | Riyad Bank | 653788 |
| 9781 | Saudi Awwal Bank | 87952 |
| 40313 | Saudi National Bank | 372540 |
| 21576 | Saudi Telecom Co. | 240751 |
|  | Total Saudi Arabia | 1456227 |
|  | **South Africa — 0.2%** | **South Africa — 0.2%** |
| 155990 | Ninety One Ltd. | 331658 |
| 567561 | Old Mutual Ltd. | 368378 |
|  | Total South Africa | 700036 |
|  | **South Korea — 9.7%** | **South Korea — 9.7%** |
| 9590 | Coway Co. Ltd. | 616686 |
| 2090 | Doosan Bobcat, Inc. | 71039 |
| 58668 | Hana Financial Group, Inc. | 3085583 |
| 35143 | Hyundai Glovis Co. Ltd. | 2883911 |
| 59439 | Hyundai Mobis Co. Ltd. | 10896130 |
| 6357 | KB Financial Group, Inc. | 478325 |
| 129702 | Kia Corp. | 8388200 |
| 68619 | KT&G Corp. | 5965757 |
| 47042 | Samsung Electronics Co. Ltd. | 1908856 |
| 4268 | Samsung Securities Co. Ltd. | 186730 |
| 7501 | Shinhan Financial Group Co. Ltd. | 313745 |
| 307456 | Woori Financial Group, Inc. | 4290184 |
| 1423 | Youngone Corp. | 62523 |
|  | Total South Korea | 39147669 |
|  | **Sri Lanka — 0.1%** | **Sri Lanka — 0.1%** |
| 103983101 | Anilana Hotels & Properties Ltd. <sup>\* (c) (e)</sup> | 312546 |
|  | **Taiwan — 20.6%** | **Taiwan — 20.6%** |
| 343000 | Asustek Computer, Inc. | 7052017 |
| 343000 | Cathay Financial Holding Co. Ltd. | 678521 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Taiwan — continued** | **Taiwan — continued** |
| 106000 | Compal Electronics, Inc. | 100463 |
| 8000 | Eva Airways Corp. | 10808 |
| 1528200 | Evergreen Marine Corp. Taiwan Ltd. | 12346409 |
| 298000 | Fubon Financial Holding Co. Ltd. | 785552 |
| 953000 | Hon Hai Precision Industry Co. Ltd. | 4853283 |
| 106000 | Kung Long Batteries Industrial Co. Ltd. | 507680 |
| 162000 | MediaTek, Inc. | 6651492 |
| 3732000 | Pou Chen Corp. | 3850108 |
| 629936 | Radiant Opto-Electronics Corp. | 3074772 |
| 75000 | Realtek Semiconductor Corp. | 1337352 |
| 197000 | Shinkong Insurance Co. Ltd. | 686476 |
| 154000 | Simplo Technology Co. Ltd. | 1911918 |
| 56000 | TaiDoc Technology Corp. | 258811 |
| 9701 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 1875397 |
| 959000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 30586357 |
| 2497000 | Yang Ming Marine Transport Corp. | 6569191 |
| 89000 | YungShin Global Holding Corp. | 181679 |
| 67000 | Zhen Ding Technology Holding Ltd. | 227385 |
|  | Total Taiwan | 83545671 |
|  | **Thailand — 6.0%** | **Thailand — 6.0%** |
| 1943900 | Kasikornbank PCL | 9117651 |
| 10876000 | Krung Thai Bank PCL | 7345526 |
| 2700 | Mega Lifesciences PCL | 2100 |
| 678700 | Pruksa Holding PCL (Foreign Registered) | 90559 |
| 588400 | PTT Exploration & Production PCL | 1753276 |
| 1560000 | PTT PCL | 1412237 |
| 1293900 | SCB X PCL | 4669716 |
|  | Total Thailand | 24391065 |
|  | **United Arab Emirates — 2.3%** | **United Arab Emirates — 2.3%** |
| 209561 | Abu Dhabi Commercial Bank PJSC | 688821 |
| 154503 | Dubai Islamic Bank PJSC | 346983 |
| 1745518 | Emaar Properties PJSC | 6250618 |
| 217462 | Emirates NBD Bank PJSC | 1325761 |
| 102802 | First Abu Dhabi Bank PJSC | 450514 |
| 70109 | Orascom Construction PLC | 363127 |
|  | Total United Arab Emirates | 9425824 |
|  | **Vietnam — 0.2%** | **Vietnam — 0.2%** |
| 18000 | Binh Minh Plastics JSC | 94548 |
| 12906 | Masan Consumer Corp. | 63180 |
| 247600 | Quang Ngai Sugar JSC | 452515 |
| 14800 | Vietnam Dairy Products JSC | 31206 |
| 101300 | Vietnam Engine & Agricultural Machinery Corp. | 152465 |
|  | Total Vietnam | 793914 |
|  | TOTAL COMMON STOCKS<br>(COST $663,193,182) | 383812119 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(f)</sup> —3.2%** | **PREFERRED STOCKS <sup>(f)</sup> —3.2%** |
| | **Brazil — 2.9%** | **Brazil — 2.9%** |
| 218800 | Bradespar SA | 596779 |
| 4350680 | Cia Energetica de Minas Gerais | 8245716 |
| 67900 | Gerdau SA | 181043 |
| 257700 | Itau Unibanco Holding SA | 1686460 |
| 21230 | Itau Unibanco Holding SA Sponsored ADR | 139906 |
| 456600 | Itausa SA | 883742 |
|  | Total Brazil | 11733646 |
|  | **Colombia — 0.0%** | **Colombia — 0.0%** |
| 3169 | Grupo Cibest SA ADR | 131292 |
|  | **Russia — 0.0%** | **Russia — 0.0%** |
| 194570 | Nizhnekamskneftekhim PJSC <sup>(b) (d)</sup> |  |
| 79676700 | Surgutneftegas PAO <sup>(b) (d)</sup> |  |
| 86900 | Transneft PJSC <sup>(b) (d)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 0.3%** | **South Korea — 0.3%** |
| 38953 | Samsung Electronics Co. Ltd. | 1298219 |
|  | TOTAL PREFERRED STOCKS<br>(COST $62,706,973) | 13163157 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 0.9%** | **INVESTMENT FUNDS — 0.9%** |
| | **United States — 0.9%** | **United States — 0.9%** |
| 704786 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 3530979 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $3,530,979) | 3530979 |
|  | **SHORT-TERM INVESTMENTS — 0.5%** | **SHORT-TERM INVESTMENTS — 0.5%** |
|  | **Money Market Funds — 0.5%** | **Money Market Funds — 0.5%** |
| 1938292 | State Street Institutional Treasury Money |  |
|  | Market Fund – Premier Class, 4.22% <sup>(g)</sup> | 1938292 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,938,292) | 1938292 |
|  | **TOTAL INVESTMENTS — 99.4%**<br> (Cost $731,369,426) | **402444547** |
|  | Other Assets and Liabilities (net) — 0.6% | 2309443 |
|  | **TOTAL NET ASSETS — 100.0%** | **$404753990** |

---

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>May 31, 2025** |
| Alrosa PJSC | 09/14/17 | $46779239 | 0.0% | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| 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% |  |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>May 31, 2025** |
| Severstal PAO GDR (Registered) | 10/12/17 | $13249420 | 0.0% | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| 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 PJSC | 03/29/18 | 400147 | 0.0% |  |
| United Co. RUSAL International PJSC | 11/12/21 | 569611 | 0.0% |  |
|  |  |  |  | $— |

---

A summary of outstanding financial instruments at May 31, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 80 | MSCI Emerging Market | June 2025 | $4597200 | $298875 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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:** 

\* 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) Investment valued using significant unobservable inputs.

(d) The security is restricted as to resale.

(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 May 31, 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

QPSC - Qatar Private Stock Company

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.9%** | **COMMON STOCKS — 98.9%** |
| | **Australia — 3.0%** | **Australia — 3.0%** |
| 109568 | Aristocrat Leisure Ltd. | 4402715 |
| 84546 | BlueScope Steel Ltd. | 1241044 |
| 865651 | Brambles Ltd. | 12948629 |
| 240351 | Fortescue Ltd. | 2391202 |
| 173489 | GrainCorp Ltd. – Class A | 858742 |
| 69828 | JB Hi-Fi Ltd. | 4851062 |
| 57177 | Rio Tinto Ltd. | 4157968 |
| 154801 | Super Retail Group Ltd. | 1428501 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;32279863 |
|  | **Austria — 0.9%** | **Austria — 0.9%** |
| 118630 | Erste Group Bank AG | 9553215 |
|  | **Belgium — 1.6%** | **Belgium — 1.6%** |
| 226833 | Ageas SA | 14811907 |
| 25386 | Bekaert SA | 1031274 |
| 18036 | Melexis NV <sup>(a)</sup> | 1212520 |
| 29381 | Proximus SADP | 256328 |
| 2410 | Syensqo SA | 184969 |
|  | Total Belgium | 17496998 |
|  | **Finland — 2.0%** | **Finland — 2.0%** |
| 4176047 | Nokia OYJ | 21733398 |
|  | **France — 9.2%** | **France — 9.2%** |
| 305642 | AXA SA | 14406604 |
| 253105 | Cie de Saint-Gobain SA | 28495542 |
| 101591 | Coface SA | 1900385 |
| 100483 | Derichebourg SA | 687483 |
| 4243 | Eiffage SA | 583607 |
| 16175 | Ipsen SA <sup>\*</sup> | 1904443 |
| 25959 | IPSOS SA | 1324340 |
| 34139 | Metropole Television SA <sup>(a)</sup> | 480855 |
| 486034 | Orange SA | 7254258 |
| 41782 | Publicis Groupe SA | 4554515 |
| 39738 | Rubis SCA | 1293810 |
| 262100 | Sanofi SA | 25958618 |
| 12341 | Schneider Electric SE | 3113777 |
| 14681 | Societe BIC SA | 906879 |
| 78113 | STMicroelectronics NV – NY Shares | 1953606 |
| 104657 | Television Francaise 1 SA | 1012027 |
| 1024338 | Vivendi SE <sup>\*</sup> | 3456682 |
|  | Total France | 99287431 |
|  | **Germany — 6.3%** | **Germany — 6.3%** |
| 18850 | Allianz SE (Registered) | 7476160 |
| 1110135 | Deutsche Bank AG (Registered) | 30745307 |
| 47985 | Heidelberg Materials AG | 9405599 |
| 2953 | Hornbach Holding AG & Co. KGaA | 298077 |
| 5326 | Indus Holding AG | 132777 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | **Germany — continued** |
| 40876 | Kloeckner & Co. SE | 291755 |
| 120151 | ProSiebenSat.1 Media SE | 965701 |
| 71689 | RTL Group SA | 2748948 |
| 33105 | Salzgitter AG | 789935 |
| 30090 | SAP SE | 9102827 |
| 26946 | Siemens AG (Registered) | 6481138 |
|  | Total Germany | &nbsp;&nbsp;&nbsp;&nbsp;68438224 |
|  | **Hong Kong — 2.7%** | **Hong Kong — 2.7%** |
| 158000 | BOC Hong Kong Holdings Ltd. | 664471 |
| 134000 | CK Asset Holdings Ltd. | 553520 |
| 1917000 | CK Hutchison Holdings Ltd. | 10719316 |
| 202800 | Dah Sing Banking Group Ltd. | 229646 |
| 26869 | Dah Sing Financial Holdings Ltd. | 100418 |
| 1107707 | Esprit Holdings Ltd. <sup>\* (b)</sup> | 13844 |
| 1045585 | IGG, Inc. | 470298 |
| 122901 | Johnson Electric Holdings Ltd. | 327768 |
| 197640 | KLN Logistics Group Ltd. | 197557 |
| 144326 | Luk Fook Holdings International Ltd. | 333585 |
| 815331 | Pacific Textiles Holdings Ltd. | 132798 |
| 383023 | Shun Tak Holdings Ltd. <sup>\* (a)</sup> | 28777 |
| 287500 | Swire Pacific Ltd. – Class A | 2449053 |
| 264000 | Techtronic Industries Co. Ltd. | 2940517 |
| 730000 | VSTECS Holdings Ltd. <sup>(a)</sup> | 580097 |
| 72700 | VTech Holdings Ltd. | 483181 |
| 9601015 | WH Group Ltd. | 8830602 |
|  | Total Hong Kong | 29055448 |
|  | **Italy — 6.6%** | **Italy — 6.6%** |
| 89405 | Anima Holding SpA | 604173 |
| 55598 | Banca IFIS SpA <sup>(a)</sup> | 1463242 |
| 75184 | BPER Banca SpA | 667834 |
| 66604 | Esprinet SpA <sup>(a)</sup> | 299474 |
| 685621 | Generali | 24956792 |
| 170454 | Hera SpA | 847120 |
| 2165032 | Intesa Sanpaolo SpA | 12086779 |
| 147165 | Italgas SpA <sup>(a)</sup> | 1210732 |
| 29792 | Iveco Group NV <sup>(a)</sup> | 593246 |
| 102964 | Leonardo SpA | 6369326 |
| 253051 | MFE-MediaForEurope NV – Class A <sup>(a)</sup> | 930539 |
| 1125506 | Unipol Assicurazioni SpA | 22028098 |
|  | Total Italy | 72057355 |
|  | **Japan — 25.0%** | **Japan — 25.0%** |
| 38420 | AOKI Holdings, Inc. | 400576 |
| 191300 | Bandai Namco Holdings, Inc. | 6077889 |
| 31400 | Bridgestone Corp. | 1348160 |
| 207996 | Brother Industries Ltd. | 3549713 |
| 13800 | Canon Marketing Japan, Inc. | 512071 |
| 172300 | Canon, Inc. | 5263592 |
| 92300 | Credit Saison Co. Ltd. | 2511536 |
| 102000 | Daido Steel Co. Ltd. | 689192 |

---

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | **Japan — continued** |
| 26000 | Daiwa House Industry Co. Ltd. | 876614 |
| 66290 | Daiwabo Holdings Co. Ltd. | 1116766 |
| 296700 | Fujitsu Ltd. | 6795134 |
| 29118 | Fuyo General Lease Co. Ltd. | 804496 |
| 30906 | Gunze Ltd. | 724307 |
| 428700 | Hitachi Ltd. | 11943714 |
| 120639 | Honda Motor Co. Ltd. Sponsored ADR <sup>(a)</sup> | 3681902 |
| 27800 | Horiba Ltd. | 1978044 |
| 282154 | ITOCHU Corp. | 14975660 |
| 431904 | Japan Tobacco, Inc. | 13248503 |
| 46600 | Kaga Electronics Co. Ltd. | 858034 |
| 62044 | Kanematsu Corp. | 1173012 |
| 949392 | KDDI Corp. | 16434459 |
| 120100 | Kirin Holdings Co. Ltd. | 1722987 |
| 21800 | Komatsu Ltd. | 662528 |
| 29293 | Komeri Co. Ltd. | 585182 |
| 62800 | Konami Group Corp. | 8524620 |
| 698900 | LY Corp. | 2520152 |
| 49157 | MCJ Co. Ltd. | 449314 |
| 54700 | Mitsui OSK Lines Ltd. | 1939220 |
| 39684 | Modec, Inc. | 1385613 |
| 1087000 | NEC Corp. | 28374325 |
| 49426 | Nichias Corp. | 1707417 |
| 1829300 | Nippon Telegraph & Telephone Corp. | 2036730 |
| 13700 | Nippon Yusen KK | 499540 |
| 85500 | Otsuka Holdings Co. Ltd. | 4346817 |
| 1874600 | Panasonic Holdings Corp. | 21485651 |
| 82324 | Press Kogyo Co. Ltd. | 313487 |
| 37219 | Prima Meat Packers Ltd. | 586851 |
| 383700 | Recruit Holdings Co. Ltd. | 22853242 |
| 11966 | San-A Co. Ltd. | 246361 |
| 64400 | Sanwa Holdings Corp. | 2217116 |
| 176900 | Seiko Epson Corp. | 2288824 |
| 47795 | Seiko Group Corp. | 1349249 |
| 514312 | Sekisui Chemical Co. Ltd. | 8934548 |
| 467800 | Sekisui House Ltd. | 10608358 |
| 52200 | Shionogi & Co. Ltd. | 871611 |
| 469900 | Sony Group Corp. | 12577310 |
| 138500 | Sumitomo Electric Industries Ltd. | 2905139 |
| 392800 | Sumitomo Forestry Co. Ltd. <sup>(a)</sup> | 11402825 |
| 101975 | Tokyu Construction Co. Ltd. | 645422 |
| 12428 | Towa Pharmaceutical Co. Ltd. | 263289 |
| 458465 | Toyota Tsusho Corp. | 9688908 |
| 16969 | TPR Co. Ltd. | 231683 |
| 24369 | Valor Holdings Co. Ltd. | 412700 |
| 20256 | Warabeya Nichiyo Holdings Co. Ltd. | 317737 |
| 1417100 | Yamaha Motor Co. Ltd. | 10874016 |
| 22800 | Yokogawa Electric Corp. | 558964 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;271351110 |
|  | **Netherlands — 8.0%** | **Netherlands — 8.0%** |
| 92847 | EXOR NV | 8939176 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Netherlands — continued** | **Netherlands — continued** |
| 608128 | Koninklijke Ahold Delhaize NV | 25665436 |
| 291516 | NN Group NV | 18342656 |
| 597002 | Prosus NV | 30666903 |
| 29663 | Signify NV | 724923 |
| 12682 | Wolters Kluwer NV | 2248894 |
|  | Total Netherlands | 86587988 |
|  | **Norway — 1.2%** | **Norway — 1.2%** |
| 411726 | Elkem ASA | 793629 |
| 35331 | Europris ASA | 275120 |
| 380654 | Hoegh Autoliners ASA | 3168314 |
| 739833 | Orkla ASA | 8388959 |
| 52299 | Storebrand ASA | 685181 |
| 38577 | Wallenius Wilhelmsen ASA | 301181 |
|  | Total Norway | 13612384 |
|  | **Portugal — 0.3%** | **Portugal — 0.3%** |
| 380356 | Banco Comercial Portugues SA – Class R | 296698 |
| 30571 | CTT-Correios de Portugal SA | 257284 |
| 253973 | Navigator Co. SA | 994554 |
| 156820 | REN – Redes Energeticas Nacionais SGPS SA | 524019 |
| 757857 | Sonae SGPS SA | 1050465 |
|  | Total Portugal | 3123020 |
|  | **Singapore — 4.6%** | **Singapore — 4.6%** |
| 730000 | ComfortDelGro Corp. Ltd. | 803170 |
| 327400 | DBS Group Holdings Ltd. | 11296112 |
| 381100 | First Resources Ltd. | 418318 |
| 1558900 | Oversea-Chinese Banking Corp. Ltd. | 19579999 |
| 377000 | Sheng Siong Group Ltd. | 529141 |
| 81600 | Singapore Exchange Ltd. | 886224 |
| 334500 | United Overseas Bank Ltd. | 9188625 |
| 87700 | Venture Corp. Ltd. | 751729 |
| 882722 | Yangzijiang Financial Holding Ltd. | 495978 |
| 3800922 | Yangzijiang Shipbuilding Holdings Ltd. | 6227093 |
|  | Total Singapore | &nbsp;&nbsp;&nbsp;&nbsp;50176389 |
|  | **Spain — 7.0%** | **Spain — 7.0%** |
| 2029623 | Banco Bilbao Vizcaya Argentaria SA | 30468609 |
| 9093510 | Banco de Sabadell SA | 28948994 |
| 202822 | Iberdrola SA | 3717678 |
| 145366 | Indra Sistemas SA <sup>(a)</sup> | 5989244 |
| 117512 | Industria de Diseno Textil SA | 6366246 |
| 202034 | Mapfre SA <sup>(a)</sup> | 764203 |
|  | Total Spain | 76254974 |
|  | **Sweden — 0.6%** | **Sweden — 0.6%** |
| 134654 | Betsson AB – Class B | 2605958 |
| 135780 | Volvo AB – B Shares | 3762278 |
|  | Total Sweden | 6368236 |

---

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Switzerland — 5.8%** | |
| 134628 | ABB Ltd. (Registered) | 7626362 |
| 5100 | Galenica AG | 528236 |
| 98982 | Logitech International SA (Registered) | 8247740 |
| 48721 | Novartis AG (Registered) | 5623820 |
| 111675 | Roche Holding AG | 36176792 |
| 57953 | Sandoz Group AG ADR <sup>(a)</sup> | 2934740 |
| 9501 | u-blox Holding AG <sup>\*</sup> | 1060778 |
| 3995 | Zehnder Group AG – Class RG | 309011 |
|  | Total Switzerland | 62507479 |
|  | **United Kingdom — 14.1%** | **United Kingdom — 14.1%** |
| 527538 | 3i Group PLC | 28975093 |
| 631339 | British American Tobacco PLC Sponsored ADR | 28536523 |
| 9137162 | BT Group PLC | 22122591 |
| 99275 | Coca-Cola HBC AG | 5173471 |
| 83864 | Crest Nicholson Holdings PLC | 206647 |
| 488845 | Ferrexpo PLC <sup>\*</sup> | 356463 |
| 49060 | Galliford Try Holdings PLC | 271441 |
| 182402 | GSK PLC Sponsored ADR <sup>(a)</sup> | 7483954 |
| 103137 | Halfords Group PLC | 232978 |
| 33289 | HSBC Holdings PLC Sponsored ADR <sup>(a)</sup> | 1973372 |
| 323508 | IG Group Holdings PLC | 4893631 |
| 254218 | Imperial Brands PLC | 9641129 |
| 1327492 | Kingfisher PLC | 4969346 |
| 43630 | Next PLC | 7571852 |
| 65361 | Unilever PLC Sponsored ADR | 4172646 |
| 109244 | Vesuvius PLC | 530812 |
| 2463445 | Vodafone Group PLC Sponsored ADR | 25472021 |
|  | Total United Kingdom | 152583970 |
|  | TOTAL COMMON STOCKS<br>(COST $871,364,219) | 1072467482 |
|  | **PREFERRED STOCKS <sup>(c)</sup> — 0.1%** | **PREFERRED STOCKS <sup>(c)</sup> — 0.1%** |
|  | **Germany — 0.1%** | **Germany — 0.1%** |
| 8615 | Bayerische Motoren Werke AG | 714065 |
| 3755 | Draegerwerk AG & Co. KGaA | 286144 |
|  | Total Germany | 1000209 |
|  | TOTAL PREFERRED STOCKS<br>(COST $1,115,214) | 1000209 |
|  | **INVESTMENT FUNDS — 5.8%** | **INVESTMENT FUNDS — 5.8%** |
|  | **United States — 5.8%** | **United States — 5.8%** |
| 12489133 | GMO U.S. Treasury Fund, Class VI <sup>(d)</sup> | 62570555 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $62,570,555) | 62570555 |

---

---

| | | |
|:---|:---|:---|
| **Par<br>Value†** | **Description** | **Value ($)** |
| | **DEBT OBLIGATIONS — 0.1%** | **DEBT OBLIGATIONS — 0.1%** |
| | **United States — 0.1%** | **United States — 0.1%** |
| 1300000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.45%, due 04/30/26 | 1300964 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $1,300,171) | 1300964 |
|  | **TOTAL INVESTMENTS — 104.9%**<br> (Cost $936,350,159) | **1137339210** |
|  | Other Assets and Liabilities (net) — (4.9)% | (53013177) |
|  | **TOTAL NET ASSETS — 100.0%** | $**1084326033** |

---

**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) Investment valued using significant unobservable inputs.

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

(d) Affiliated company.

The rates shown on variable rate notes are the current interest rates at May 31, 2025, which are subject to change based on the terms of the security.

**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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 96.9%** | **COMMON STOCKS — 96.9%** |
| | **Australia — 4.8%** | |
| 201172 | Aurizon Holdings Ltd. | 382562 |
| 597083 | BHP Group Ltd. | 14667337 |
| 62303 | BlueScope Steel Ltd. | 914541 |
| 391509 | Fortescue Ltd. | 3895042 |
| 7445 | Rio Tinto Ltd. | 541408 |
|  | Total Australia | 20400890 |
|  | **Austria — 1.3%** |  |
| 16959 | Erste Group Bank AG | 1365700 |
| 55203 | OMV AG <sup>(a)</sup> | 2952730 |
| 43496 | Raiffeisen Bank International AG | 1329889 |
|  | Total Austria | 5648319 |
|  | **Belgium — 1.0%** |  |
| 18304 | Ageas SA | 1195228 |
| 31571 | KBC Group NV | 3121209 |
| 8249 | Proximus SADP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71966 |
|  | Total Belgium | 4388403 |
|  | **Canada — 13.3%** |  |
| 21500 | Bank of Montreal | 2308781 |
| 101728 | Bank of Nova Scotia <sup>(b)</sup> | 5444482 |
| 142300 | Bank of Nova Scotia <sup>(b)</sup> | 7614012 |
| 11700 | Canadian Imperial Bank of Commerce | 796539 |
| 5700 | Canadian Tire Corp. Ltd. – Class A | 724322 |
| 20400 | Empire Co. Ltd. – Class A | 787400 |
| 12300 | iA Financial Corp., Inc. | 1252272 |
| 14300 | IGM Financial, Inc. | 456504 |
| 7800 | Imperial Oil Ltd. <sup>(a)</sup> | 556887 |
| 14749 | Magna International, Inc. <sup>(b)</sup> | 535094 |
| 25100 | Magna International, Inc. <sup>(b)</sup> | 911198 |
| 81174 | Manulife Financial Corp. <sup>(b)</sup> | 2584580 |
| 124800 | Manulife Financial Corp. <sup>(b)</sup> | 3974030 |
| 2700 | National Bank of Canada | 265740 |
| 57600 | Parex Resources, Inc. | 569557 |
| 99800 | Power Corp. of Canada | 3862264 |
| 9700 | Russel Metals, Inc. | 290290 |
| 67772 | Sun Life Financial, Inc. <sup>(a) (b)</sup> | 4381460 |
| 71200 | Sun Life Financial, Inc. <sup>(b)</sup> | 4586352 |
| 217400 | Toronto-Dominion Bank | 15012932 |
|  | Total Canada | 56914696 |
|  | **Denmark — 0.8%** |  |
| 611 | AP Moller - Maersk AS – Class A | 1091302 |
| 1116 | AP Moller - Maersk AS – Class B | 2021796 |
| 51720 | H Lundbeck AS | 287033 |
|  | Total Denmark | 3400131 |
|  | **Finland — 0.5%** |  |
| 55254 | Nokia OYJ | 287558 |
| 58301 | Outokumpu OYJ | 225810 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **Finland — continued** |  |
| 12348 | TietoEVRY OYJ | 225295 |
| 36531 | Valmet OYJ | 1193631 |
|  | Total Finland | 1932294 |
|  | **France — 11.5%** |  |
| 2958 | Amundi SA | 241500 |
| 7507 | Aperam SA <sup>(a)</sup> | 228149 |
| 4936 | Arkema SA | 352705 |
| 21508 | AXA SA | 1013791 |
| 113707 | BNP Paribas SA | 9957826 |
| 69742 | Carrefour SA | 1042947 |
| 12472 | Cie de Saint-Gobain SA | 1404146 |
| 62603 | Credit Agricole SA | 1146209 |
| 2708 | Ipsen SA <sup>\*</sup> | 318840 |
| 264072 | Orange SA | 3941383 |
| 56893 | Sanofi SA | 5634734 |
| 80857 | Societe Generale SA | 4390346 |
| 82951 | STMicroelectronics NV – NY Shares | 2074604 |
| 4954 | Teleperformance SE | 500711 |
| 264293 | TotalEnergies SE | 15558445 |
| 119343 | Valeo SE | 1256936 |
|  | Total France | 49063272 |
|  | **Germany — 5.7%** |  |
| 10184 | Bayerische Motoren Werke AG | 903535 |
| 14792 | Continental AG | 1297279 |
| 76310 | Daimler Truck Holding AG | 3314403 |
| 141283 | Deutsche Bank AG (Registered) | 3912848 |
| 97213 | Deutsche Post AG | 4362225 |
| 4186 | DWS Group GmbH & Co. KGaA | 235121 |
| 4603 | Fresenius Medical Care AG | 261471 |
| 8626 | Henkel AG & Co. KGaA | 633364 |
| 68115 | Mercedes-Benz Group AG | 4073120 |
| 57253 | ProSiebenSat.1 Media SE | 460165 |
| 20774 | Siemens AG (Registered) | 4996629 |
|  | Total Germany | 24450160 |
|  | **Hong Kong — 2.2%** |  |
| 129000 | BOC Hong Kong Holdings Ltd. | 542511 |
| 329500 | CK Asset Holdings Ltd. | 1361080 |
| 440000 | CK Hutchison Holdings Ltd. | 2460354 |
| 66000 | Kerry Properties Ltd. | 158234 |
| 239000 | Sun Hung Kai Properties Ltd. | 2567259 |
| 54000 | Swire Pacific Ltd. – Class A | 459996 |
| 1800 | VTech Holdings Ltd. | 11963 |
| 1968000 | WH Group Ltd. | 1810082 |
|  | Total Hong Kong | 9371479 |
|  | **Italy — 2.0%** |  |
| 52688 | Banco BPM SpA | 605638 |
| 160003 | BPER Banca SpA | 1421254 |
| 276713 | Intesa Sanpaolo SpA | 1544813 |
| 315375 | Stellantis NV | 3214765 |

---

------

**GMO International Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Italy — continued** | |
| 20000 | Tenaris SA | 334950 |
| 11390 | Tenaris SA ADR | 380995 |
| 47397 | Unipol Assicurazioni SpA | 927641 |
|  | Total Italy | 8430056 |
|  | **Japan — 20.8%** |  |
| 74800 | Asahi Group Holdings Ltd. | 985865 |
| 107900 | Bridgestone Corp. | 4632692 |
| 62000 | Brother Industries Ltd. | 1058108 |
| 5700 | Credit Saison Co. Ltd. | 155100 |
| 20800 | Dai Nippon Printing Co. Ltd. | 306732 |
| 6700 | Daito Trust Construction Co. Ltd. | 754714 |
| 109200 | Daiwa House Industry Co. Ltd. | 3681781 |
| 14500 | Hitachi Construction Machinery Co. Ltd. | 440684 |
| 263800 | Honda Motor Co. Ltd. | 2679784 |
| 170424 | Honda Motor Co. Ltd. Sponsored ADR <sup>(a)</sup> | 5201341 |
| 170500 | Idemitsu Kosan Co. Ltd. | 1038523 |
| 303000 | Inpex Corp. | 4051645 |
| 95400 | Isuzu Motors Ltd. | 1289508 |
| 22700 | ITOCHU Corp. | 1204830 |
| 208700 | Kirin Holdings Co. Ltd. | 2994066 |
| 131500 | Komatsu Ltd. | 3996442 |
| 183300 | Kubota Corp. <sup>(a)</sup> | 2102778 |
| 17400 | Marubeni Corp. | 352686 |
| 38500 | Mazda Motor Corp. | 241500 |
| 29700 | Mitsubishi Corp. | 600785 |
| 292300 | Mitsui & Co. Ltd. | 6103559 |
| 17300 | Mitsui Mining & Smelting Co. Ltd. | 590043 |
| 62000 | Mitsui OSK Lines Ltd. | 2198019 |
| 6693900 | Nippon Telegraph & Telephone Corp. | 7452942 |
| 100900 | Nippon Yusen KK | 3679091 |
| 23000 | Niterra Co. Ltd. | 739038 |
| 76300 | Nitto Denko Corp. | 1387918 |
| 127200 | Ono Pharmaceutical Co. Ltd. | 1384988 |
| 135600 | ORIX Corp. | 2873614 |
| 459600 | Panasonic Holdings Corp. | 5267687 |
| 44300 | Renesas Electronics Corp. | 538042 |
| 68300 | Sekisui Chemical Co. Ltd. | 1186497 |
| 81600 | Sekisui House Ltd. | 1850453 |
| 164000 | Shionogi & Co. Ltd. | 2738394 |
| 29800 | Sojitz Corp. | 734986 |
| 27500 | Subaru Corp. | 504819 |
| 124500 | Sumitomo Corp. | 3170586 |
| 32700 | Sumitomo Electric Industries Ltd. | 685907 |
| 43700 | Sumitomo Forestry Co. Ltd. | 1268593 |
| 7100 | Sumitomo Heavy Industries Ltd. | 148476 |
| 21000 | Suntory Beverage & Food Ltd. <sup>(a)</sup> | 681892 |
| 41700 | Tosoh Corp. | 617140 |
| 20100 | Toyo Tire Corp. | 417165 |
| 134400 | Toyota Tsusho Corp. | 2840324 |
| 248100 | Yamaha Motor Co. Ltd. | 1903778 |
| 11600 | Yokohama Rubber Co. Ltd. | 291607 |
|  | Total Japan | 89025122 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Netherlands — 4.3%** | **Netherlands — 4.3%** |
| 233430 | ABN AMRO Bank NV | 6034035 |
| 5002 | Akzo Nobel NV | 341364 |
| 11935 | EXOR NV | 1149085 |
| 329412 | ING Groep NV | 6997419 |
| 24407 | JDE Peet's NV | 671663 |
| 25977 | Koninklijke Ahold Delhaize NV | 1096333 |
| 10325 | NN Group NV | 649666 |
| 63864 | Signify NV | 1560748 |
|  | Total Netherlands | 18500313 |
|  | **Norway — 2.5%** |  |
| 416379 | Equinor ASA | 9747770 |
| 94946 | Orkla ASA | 1076592 |
|  | Total Norway | 10824362 |
|  | **Portugal — 0.0%** |  |
| 4483 | Sonae SGPS SA | 6214 |
|  | **Russia — 0.0%** |  |
| 9800 | Surgutneftegas PAO <sup>(c) (d)</sup> |  |
|  | **Singapore — 1.2%** |  |
| 259900 | Oversea-Chinese Banking Corp. Ltd. | 3264380 |
| 75300 | United Overseas Bank Ltd. | 2068471 |
|  | Total Singapore | 5332851 |
|  | **Spain — 6.2%** |  |
| 48842 | Acerinox SA | 576937 |
| 562159 | Banco Bilbao Vizcaya Argentaria SA | 8439106 |
| 625265 | Banco de Sabadell SA | 1990518 |
| 1522631 | Banco Santander SA | 12147015 |
| 246449 | Repsol SA | 3320393 |
|  | Total Spain | 26473969 |
|  | **Sweden — 2.5%** |  |
| 12435 | Boliden AB <sup>\*</sup> | 388759 |
| 53231 | Investor AB – B Shares <sup>(a)</sup> | 1567541 |
| 12450 | SKF AB – B Shares | 273854 |
| 43071 | SSAB AB – B Shares | 255852 |
| 126729 | Swedbank AB – A Shares | 3431486 |
| 34054 | Telefonaktiebolaget LM Ericsson – B Shares | 289887 |
| 159517 | Volvo AB – B Shares | 4419998 |
|  | Total Sweden | 10627377 |
|  | **Switzerland — 7.6%** |  |
| 66052 | Adecco Group AG (Registered) | 1844891 |
| 2555 | Nestle SA (Registered) | 272202 |
| 49827 | Novartis AG (Registered) | 5751485 |
| 66431 | Novartis AG Sponsored ADR | 7690053 |
| 3267 | Roche Holding AG <sup>(b)</sup> | 1116315 |
| 40918 | Roche Holding AG <sup>(b)</sup> | 13255267 |
| 13024 | Sandoz Group AG ADR | 659535 |

---

------

**GMO International Opportunistic Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Switzerland — continued** | |
| 2545 | Swisscom AG (Registered) | 1750573 |
|  | Total Switzerland | 32340321 |
|  | **United Kingdom — 8.7%** |  |
| 27880 | 3i Group PLC | 1531313 |
| 224486 | Aberdeen Group PLC | 525372 |
| 22890 | Associated British Foods PLC | 643485 |
| 10351 | Berkeley Group Holdings PLC | 587113 |
| 1623644 | BT Group PLC | 3931113 |
| 13110 | Coca-Cola HBC AG | 683195 |
| 19278 | DCC PLC | 1205184 |
| 160101 | GSK PLC Sponsored ADR <sup>(a)</sup> | 6568944 |
| 88661 | HSBC Holdings PLC Sponsored ADR <sup>(a)</sup> | 5255824 |
| 57602 | IG Group Holdings PLC | 871332 |
| 1093396 | ITV PLC | 1151876 |
| 255217 | J Sainsbury PLC | 981565 |
| 13550 | Johnson Matthey PLC | 314347 |
| 556429 | Kingfisher PLC | 2082942 |
| 164361 | Rio Tinto PLC Sponsored ADR | 9767974 |
| 205909 | Schroders PLC | 987306 |
|  | Total United Kingdom | 37088885 |
|  | TOTAL COMMON STOCKS<br>(COST $366,948,095) | 414219114 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(e)</sup> — 1.2%** | **PREFERRED STOCKS <sup>(e)</sup> — 1.2%** |
| | **Germany — 1.2%** | |
| 4681 | Bayerische Motoren Werke AG | 387990 |
| 23886 | Henkel AG & Co. KGaA | 1913867 |
| 25636 | Volkswagen AG | 2775730 |
|  | Total Germany | 5077587 |
|  | TOTAL PREFERRED STOCKS<br>(COST $5,018,514) | 5077587 |
|  | **INVESTMENT FUNDS — 0.0%** | **INVESTMENT FUNDS — 0.0%** |
|  | **United States — 0.0%** | **United States — 0.0%** |
| 4289 | GMO U.S. Treasury Fund, Class VI <sup>(f)</sup> | 21486 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $21,486) | 21486 |
|  | **TOTAL INVESTMENTS — 98.1%**<br> (Cost $371,988,095) | **419318187** |
|  | Other Assets and Liabilities (net) — 1.9% | 8338309 |
|  | **TOTAL NET ASSETS — 100.0%** | $**427656496** |

---

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>May 31,<br>2025** |
|  Surgutneftegas PAO | 05/12/20 | $4974 | 0.0% | $— |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

(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.

**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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 96.6%** | **COMMON STOCKS — 96.6%** |
| | **Automobiles & Components — 5.9%** | |
| 425400 | Isuzu Motors Ltd. | 5750069 |
| 267900 | Stanley Electric Co. Ltd. | 5153254 |
|  | Total Automobiles & Components | 10903323 |
|  | **Banks — 8.1%** |  |
| 291700 | Sumitomo Mitsui Financial Group, Inc. | 7494043 |
| 276800 | Sumitomo Mitsui Trust Group, Inc. | 7490122 |
|  | Total Banks | 14984165 |
|  | **Capital Goods — 25.7%** |  |
| 185400 | EXEO Group, Inc. | 2362943 |
| 290800 | Fuji Corp. | 4654898 |
| 367300 | Kanematsu Corp. | 6944220 |
| 89100 | Kyudenko Corp. | 3273968 |
| 373900 | Mitsubishi Electric Corp. | 7461917 |
| 976900 | Penta-Ocean Construction Co. Ltd. | 5912341 |
| 182600 | THK Co. Ltd. | 4978791 |
| 233800 | TOTO Ltd. | 5979875 |
| 50500 | Toyota Industries Corp. | 6313841 |
|  | Total Capital Goods | 47882794 |
|  | **Consumer Durables & Apparel — 7.8%** | **Consumer Durables & Apparel — 7.8%** |
| 275500 | Mizuno Corp. | 5251166 |
| 241000 | Sega Sammy Holdings, Inc. | 4545704 |
| 662600 | Yamaha Corp. | 4624615 |
|  | Total Consumer Durables & Apparel | 14421485 |
|  | **Financial Services — 6.0%** |  |
| 237400 | Credit Saison Co. Ltd. | 6459790 |
| 214600 | Zenkoku Hosho Co. Ltd. | 4751527 |
|  | Total Financial Services | 11211317 |
|  | **Food, Beverage & Tobacco — 8.3%** |  |
| 280900 | Kirin Holdings Co. Ltd. | 4029867 |
| 210100 | Morinaga & Co. Ltd. | 3477845 |
| 227800 | NH Foods Ltd. | 8009723 |
|  | Total Food, Beverage & Tobacco | 15517435 |
|  | **Health Care Equipment & Services — 6.4%** | **Health Care Equipment & Services — 6.4%** |
| 555700 | H.U. Group Holdings, Inc. | 11930825 |
|  | **Insurance — 2.7%** |  |
| 218000 | T&D Holdings, Inc. | 4987321 |
|  | **Materials — 6.7%** |  |
| 260600 | Denka Co. Ltd. | 3709571 |
| 150800 | Maruichi Steel Tube Ltd. | 3622580 |
| 725000 | Tokai Carbon Co. Ltd. | 5194152 |
|  | Total Materials | 12526303 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Real Estate Management & Development — 1.0%** | **Real Estate Management & Development — 1.0%** |
| 106300 | Tosei Corp. | 1862624 |
|  | **Semiconductors & Semiconductor Equipment — 3.2%** | **Semiconductors & Semiconductor Equipment — 3.2%** |
| 467800 | SUMCO Corp. | 3162013 |
| 257800 | Towa Corp. | 2733549 |
|  | Total Semiconductors & Semiconductor Equipment | 5895562 |
|  | **Software & Services — 2.2%** |  |
| 155800 | NEC Corp. | 4066900 |
|  | **Technology Hardware & Equipment — 9.4%** | **Technology Hardware & Equipment — 9.4%** |
| 139000 | Amano Corp. | 4097631 |
| 272500 | Daiwabo Holdings Co. Ltd. | 4590719 |
| 179200 | FUJIFILM Holdings Corp. | 4045029 |
| 147200 | Macnica Holdings, Inc. | 1945728 |
| 230000 | Maxell Ltd. | 2867791 |
|  | Total Technology Hardware & Equipment | 17546898 |
|  | **Transportation — 3.2%** |  |
| 125100 | Sankyu, Inc. | 6017210 |
|  | TOTAL COMMON STOCKS<br>(COST $160,116,707) | 179754162 |
|  | **INVESTMENT FUNDS — 0.6%** |  |
|  | **United States — 0.6%** |  |
| 197336 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 988653 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $988,653) | 988653 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 18566 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 18566 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $18,566) | 18566 |
|  | **TOTAL INVESTMENTS — 97.2%**<br> (Cost $161,123,926) | **180761381** |
|  | Other Assets and Liabilities (net) — 2.8% | 5278180 |
|  | **TOTAL NET ASSETS — 100.0%** | **$186039561** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.0%** | **COMMON STOCKS — 99.0%** |
| | **Banks — 4.4%** | **Banks — 4.4%** |
| 5236951 | U.S. Bancorp | 228278694 |
| 3178386 | Wells Fargo & Co. | 237679705 |
|  | Total Banks | &nbsp;&nbsp;&nbsp;&nbsp;465958399 |
|  | **Capital Goods — 3.0%** |  |
| 466948 | Knorr-Bremse AG | 47248330 |
| 925302 | Safran SA | 273664409 |
|  | Total Capital Goods | 320912739 |
|  | **Consumer Discretionary Distribution & Retail — 3.8%** | **Consumer Discretionary Distribution & Retail — 3.8%** |
| 1186778 | Amazon.com, Inc. <sup>\*</sup> | 243301358 |
| 1231776 | TJX Cos., Inc. | 156312374 |
|  | Total Consumer Discretionary Distribution & Retail | 399613732 |
|  | **Consumer Durables & Apparel — 1.4%** | **Consumer Durables & Apparel — 1.4%** |
| 267188 | LVMH Moet Hennessy Louis Vuitton SE | 144924563 |
|  | **Consumer Services — 4.8%** |  |
| 1010325 | Amadeus IT Group SA | 84028835 |
| 7557966 | Compass Group PLC | 265759401 |
| 648499 | Hilton Worldwide Holdings, Inc. | 161113092 |
|  | Total Consumer Services | 510901328 |
|  | **Financial Services — 3.3%** |  |
| 372155 | Tradeweb Markets, Inc. – Class A | 53757790 |
| 822987 | Visa, Inc. – Class A | 300546622 |
|  | Total Financial Services | 354304412 |
|  | **Food, Beverage & Tobacco — 6.9%** |  |
| 2314993 | Coca-Cola Co. | 166910995 |
| 1250912 | Constellation Brands, Inc. – Class A | 223025101 |
| 5548651 | Diageo PLC | 150597178 |
| 1794756 | Nestle SA (Registered) | 191208036 |
|  | Total Food, Beverage & Tobacco | 731741310 |
|  | **Health Care Equipment & Services — 12.0%** | **Health Care Equipment & Services — 12.0%** |
| 2610422 | Abbott Laboratories | 348700171 |
| 482077 | Cigna Group | 152644861 |
| 662248 | Elevance Health, Inc. | 254197272 |
| 369537 | Intuitive Surgical, Inc. <sup>\*</sup> | 204110067 |
| 590036 | Quest Diagnostics, Inc. | 102276840 |
| 706264 | UnitedHealth Group, Inc. | 213228164 |
|  | Total Health Care Equipment & Services | 1275157375 |
|  | **Household & Personal Products — 2.4%** | **Household & Personal Products — 2.4%** |
| 3928458 | Unilever PLC | 250012261 |
|  | **Media & Entertainment — 8.8%** |  |
| 2762746 | Alphabet, Inc. – Class A | 474473998 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Media & Entertainment — continued** | **Media & Entertainment — continued** |
| 717828 | Meta Platforms, Inc. – Class A | 464786452 |
|  | Total Media & Entertainment | 939260450 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 11.0%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 11.0%** |
| 150650 | Eli Lilly & Co. | 111129985 |
| 44577870 | Haleon PLC | 248848011 |
| 2084112 | Johnson & Johnson | 323475024 |
| 1928845 | Merck & Co., Inc. | 148212450 |
| 1279248 | Novo Nordisk AS – Class B | 90887762 |
| 616610 | Thermo Fisher Scientific, Inc. | 248382840 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 1170936072 |
|  | **Semiconductors & Semiconductor Equipment — 12.6%** | **Semiconductors & Semiconductor Equipment — 12.6%** |
| 122527 | ASML Holding NV | 90270505 |
| 975820 | Broadcom, Inc. | 236216747 |
| 175957 | KLA Corp. | 133178334 |
| 3172516 | Lam Research Corp. | 256307568 |
| 10711426 | Taiwan Semiconductor Manufacturing Co. Ltd. | 341630342 |
| 1545200 | Texas Instruments, Inc. | 282539820 |
|  | Total Semiconductors & Semiconductor Equipment | 1340143316 |
|  | **Software & Services — 19.3%** |  |
| 874111 | Accenture PLC – Class A | 276935847 |
| 3119076 | Dassault Systemes SE | 116960495 |
| 1624390 | Microsoft Corp. | 747804180 |
| 2030665 | Oracle Corp. | 336135978 |
| 982693 | Salesforce, Inc. | 260777241 |
| 1043179 | SAP SE | 315582530 |
|  | Total Software & Services | 2054196271 |
|  | **Technology Hardware & Equipment — 3.8%** | **Technology Hardware & Equipment — 3.8%** |
| 1990493 | Apple, Inc. | 399790519 |
|  | **Transportation — 1.5%** |  |
| 1845212 | Uber Technologies, Inc.\* | 155293042 |
|  | TOTAL COMMON STOCKS<br>(COST $5,986,077,950) | 10513145789 |
|  | **INVESTMENT FUNDS — 0.9%** | **INVESTMENT FUNDS — 0.9%** |
|  | **United States — 0.9%** | **United States — 0.9%** |
| 19399955 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 97193777 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $97,192,766) | 97193777 |

---

------

**GMO Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
| | **Money Market Funds — 0.0%** | |
| 729050 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 729050 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $729,050) | 729050 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $6,083,999,766) | **10611068616** |
|  | Other Assets and Liabilities (net) — 0.1% | 11383578 |
|  | **TOTAL NET ASSETS — 100.0%** | **$10622452194** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO Resource Transition Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 88.9%** | **COMMON STOCKS — 88.9%** |
| | **Argentina — 0.2%** | **Argentina — 0.2%** |
| 22364 | Adecoagro SA | 205972 |
|  | **Australia — 0.6%** |  |
| 30852 | Mineral Resources Ltd. <sup>\*</sup> | 441087 |
| 578245 | Sunrise Energy Metals Ltd. <sup>\*</sup> | 165587 |
|  | Total Australia | 606674 |
|  | **Brazil — 6.2%** | **Brazil — 6.2%** |
| 202500 | Sao Martinho SA | 749174 |
| 217800 | Suzano SA | 1890684 |
| 375600 | Vale SA | 3421411 |
|  | Total Brazil | 6061269 |
|  | **Canada — 9.4%** | **Canada — 9.4%** |
| 273200 | Anaergia, Inc. <sup>\*</sup> | 260788 |
| 42100 | Enerflex Ltd. | 296650 |
| 85500 | First Quantum Minerals Ltd. <sup>\*</sup> | 1266598 |
| 290754 | Greenlane Renewables, Inc. <sup>\*</sup> | 20127 |
| 447500 | Ivanhoe Mines Ltd. – Class A<sup>\*</sup> <sup>(a)</sup> | 3466262 |
| 531300 | Largo, Inc. <sup>\*</sup> | 689120 |
| 469000 | NexGen Energy Ltd. <sup>\*</sup> | 2891201 |
| 6900 | Precision Drilling Corp. <sup>\*</sup> <sup>(a)</sup> | 298203 |
|  | Total Canada | 9188949 |
|  | **China — 1.2%** | **China — 1.2%** |
| 285500 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 652294 |
| 236269 | Western Mining Co. Ltd. – Class A | 516077 |
|  | Total China | 1168371 |
|  | **Denmark — 2.7%** | **Denmark — 2.7%** |
| 165119 | Vestas Wind Systems AS | 2611399 |
|  | **Finland — 3.2%** |  |
| 293628 | Neste OYJ | 3149861 |
|  | **France — 2.9%** |  |
| 3213 | Eramet SA <sup>(a)</sup> | 189176 |
| 76164 | Veolia Environnement SA | 2621306 |
|  | Total France | 2810482 |
|  | **Italy — 1.0%** | **Italy — 1.0%** |
| 56098 | Tenaris SA | 939500 |
|  | **Japan — 0.4%** |  |
| 10700 | Modec, Inc. | 373603 |
|  | **Mexico — 1.3%** |  |
| 229200 | Grupo Mexico SAB de CV – Series B | 1266532 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Netherlands — 0.7%** | |
| 28163 | SBM Offshore NV | 646178 |
|  | **Norway — 1.9%** |  |
| 110785 | Austevoll Seafood ASA | 1005741 |
| 55022 | DOF Group ASA | 479804 |
| 42230 | TGS ASA | 347438 |
|  | Total Norway | 1832983 |
|  | **South Africa — 3.0%** | **South Africa — 3.0%** |
| 44439 | African Rainbow Minerals Ltd. <sup>(a)</sup> | 393306 |
| 1641998 | Sibanye Stillwater Ltd. <sup>\*</sup> | 2500127 |
|  | Total South Africa | 2893433 |
|  | **United Kingdom — 13.7%** | **United Kingdom — 13.7%** |
| 91489 | Anglo American PLC | 2713501 |
| 1478758 | Glencore PLC <sup>\*</sup> | 5626584 |
| 84119 | Rio Tinto PLC | 4978328 |
|  | Total United Kingdom | 13318413 |
|  | **United States — 40.5%** | **United States — 40.5%** |
| 18400 | Advanced Drainage Systems, Inc. | 2023264 |
| 79919 | Aemetis, Inc. <sup>\*</sup> <sup>(a)</sup> | 136662 |
| 16600 | AGCO Corp. | 1626468 |
| 46100 | Albemarle Corp. | 2570536 |
| 162890 | Ameresco, Inc. – Class A <sup>\*</sup> | 2244624 |
| 484700 | Array Technologies, Inc. <sup>\*</sup> | 3199020 |
| 405420 | Clean Energy Fuels Corp. <sup>\*</sup> | 725702 |
| 28000 | Corteva, Inc. | 1982400 |
| 206400 | Darling Ingredients, Inc. <sup>\*</sup> | 6431424 |
| 27600 | Enphase Energy, Inc. <sup>\*</sup> | 1142364 |
| 17300 | First Solar, Inc. <sup>\*</sup> | 2734784 |
| 43400 | Freeport-McMoRan, Inc. | 1670032 |
| 120675 | GrafTech International Ltd. <sup>\*</sup> | 120216 |
| 233000 | Green Plains, Inc. <sup>\*</sup> | 969280 |
| 6700 | Helmerich & Payne, Inc. | 102175 |
| 40300 | Liberty Energy, Inc. | 467077 |
| 49700 | NEXTracker, Inc. – Class A <sup>\*</sup> | 2817493 |
| 50400 | ProPetro Holding Corp. <sup>\*</sup> | 272160 |
| 190800 | SolarEdge Technologies, Inc. <sup>\*</sup> | 3407688 |
| 533137 | Sunrun, Inc. <sup>\*</sup> | 3993196 |
| 1300 | Valmont Industries, Inc. | 413452 |
| 2900 | Veralto Corp. | 292987 |
|  | Total United States | 39343004 |
|  | TOTAL COMMON STOCKS<br>(COST $152,857,322) | 86416623 |
|  | **PREFERRED STOCKS <sup>(b)</sup> — 8.2%** | **PREFERRED STOCKS <sup>(b)</sup> — 8.2%** |
|  | **Brazil — 5.0%** | **Brazil — 5.0%** |
| 1771865 | Bradespar SA | 4832782 |

---

------

**GMO Resource Transition Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Chile — 3.2%** | |
| 101500 | Sociedad Quimica y Minera de Chile SA Sponsored ADR <sup>\*</sup> | 3088645 |
|  | TOTAL PREFERRED STOCKS<br>(COST $17,673,555) | 7921427 |
|  | **INVESTMENT FUNDS — 2.8%** | **INVESTMENT FUNDS — 2.8%** |
|  | **United States — 2.8%** | **United States — 2.8%** |
| 550118 | GMO U.S. Treasury Fund, Class VI <sup>(c)</sup> | 2756093 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $2,756,093) | 2756093 |
|  | **SHORT-TERM INVESTMENTS — 0.2%** | **SHORT-TERM INVESTMENTS — 0.2%** |
|  | **Money Market Funds — 0.2%** | **Money Market Funds — 0.2%** |
| 214401 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(d)</sup> | 214401 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $214,401) | 214401 |
|  | **TOTAL INVESTMENTS — 100.1%**<br> (Cost $173,501,371) | **97308544** |
|  | Other Assets and Liabilities (net) — (0.1)% | (64089) |
|  | **TOTAL NET ASSETS — 100.0%** | **$97244455** |

---

**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 May 31, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 91.0%** | **COMMON STOCKS — 91.0%** |
| | **Argentina — 6.7%** | **Argentina — 6.7%** |
| 180723 | Adecoagro SA <sup>(a)</sup> | 1664459 |
| 806408 | Vista Energy SAB de CV ADR <sup>\*</sup> | 39941388 |
| 1123067 | YPF SA Sponsored ADR <sup>\* (a)</sup> | 39734110 |
|  | Total Argentina | 81339957 |
|  | **Australia — 0.9%** | **Australia — 0.9%** |
| 735000 | Clean TeQ Water Ltd. <sup>\* (a)</sup> | 80554 |
| 264819 | Mineral Resources Ltd. <sup>\* (a)</sup> | 3786081 |
| 1627464 | Santos Ltd. | 6912461 |
| 1938657 | Sunrise Energy Metals Ltd. <sup>\*</sup> | 555157 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;11334253 |
|  | **Austria — 0.5%** | **Austria — 0.5%** |
| 118824 | OMV AG <sup>(a)</sup> | 6355727 |
|  | **Brazil — 4.1%** |  |
| 954500 | Petroreconcavo SA | 2414829 |
| 304570 | PRIO SA <sup>\*</sup> | 2074133 |
| 1538082 | Sao Martinho SA | 5690325 |
| 1698452 | Suzano SA | 14743971 |
| 2770280 | Vale SA | 25235001 |
|  | Total Brazil | 50158259 |
|  | **Canada — 7.3%** | **Canada — 7.3%** |
| 654900 | Anaergia, Inc. <sup>\*</sup> | 625146 |
| 368379 | ARC Resources Ltd. | 7698553 |
| 322900 | Enerflex Ltd. | 2275253 |
| 648777 | First Quantum Minerals Ltd. <sup>\*</sup> | 9610986 |
| 696749 | Greenlane Renewables, Inc. <sup>\*</sup> | 48232 |
| 3300682 | Ivanhoe Mines Ltd. – Class A <sup>\* (a)</sup> | 25566546 |
| 1273509 | Largo, Inc. <sup>\* (a)</sup> | 1651799 |
| 3688339 | NexGen Energy Ltd. <sup>\* (a)</sup> | 22737165 |
| 52800 | Precision Drilling Corp. <sup>\* (a)</sup> | 2281902 |
| 2033100 | Tamarack Valley Energy Ltd. <sup>(a)</sup> | 6474039 |
| 612175 | Vermilion Energy, Inc. <sup>(a)</sup> | 3985259 |
| 1001645 | Whitecap Resources, Inc. <sup>(a)</sup> | 6247736 |
|  | Total Canada | 89202616 |
|  | **China — 0.7%** | **China — 0.7%** |
| 2172100 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 4962691 |
| 1797445 | Western Mining Co. Ltd. – Class A | 3926113 |
|  | Total China | 8888804 |
|  | **Denmark — 1.7%** | **Denmark — 1.7%** |
| 1286769 | Vestas Wind Systems AS | 20350579 |
|  | **Finland — 1.9%** |  |
| 2167520 | Neste OYJ | 23251822 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **France — 1.7%** | |
| 24467 | Eramet SA <sup>(a)</sup> | 1440572 |
| 578519 | Veolia Environnement SA | 19910658 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;21351230 |
|  | **Hong Kong — 0.4%** | **Hong Kong — 0.4%** |
| 79830000 | United Energy Group Ltd. | 4776147 |
|  | **Hungary — 0.5%** |  |
| 667025 | MOL Hungarian Oil & Gas PLC <sup>\*</sup> | 5767838 |
|  | **Italy — 0.6%** |  |
| 425760 | Tenaris SA | 7130410 |
|  | **Japan — 0.6%** |  |
| 638100 | Japan Petroleum Exploration Co. Ltd. | 4420345 |
| 91900 | Modec, Inc. | 3208795 |
|  | Total Japan | 7629140 |
|  | **Mexico — 0.8%** | **Mexico — 0.8%** |
| 1739272 | Grupo Mexico SAB de CV – Series B <sup>(a)</sup> | 9611011 |
|  | **Netherlands — 0.4%** |  |
| 213991 | SBM Offshore NV | 4909857 |
|  | **Norway — 2.8%** |  |
| 859304 | Aker BP ASA | 19772932 |
| 841596 | Austevoll Seafood ASA | 7640273 |
| 417592 | DOF Group ASA | 3641493 |
| 340194 | TGS ASA | 2798872 |
|  | Total Norway | 33853570 |
|  | **Pakistan — 0.1%** | **Pakistan — 0.1%** |
| 1480085 | Oil & Gas Development Co. Ltd. | 1102573 |
|  | **Portugal — 4.1%** |  |
| 3092905 | Galp Energia SGPS SA | 49515207 |
|  | **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 — 1.8%** |  |
| 337276 | African Rainbow Minerals Ltd. <sup>(a)</sup> | 2985051 |

---

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Africa — continued** | |
| 12506008 | Sibanye Stillwater Ltd. <sup>\*</sup> | 19041803 |
|  | Total South Africa | 22026854 |
|  | **Ukraine — 0.2%** | **Ukraine — 0.2%** |
| 501341 | Kernel Holding SA <sup>\*</sup> | 2462122 |
|  | **United Kingdom — 17.5%** |  |
| 694944 | Anglo American PLC | 20611567 |
| 10557861 | BP PLC | 51333321 |
| 10916003 | Glencore PLC <sup>\*</sup> | 41534724 |
| 4142072 | Harbour Energy PLC | 9937679 |
| 1221000 | Lifezone Metals Ltd. <sup>\*</sup> | 4871790 |
| 623869 | Rio Tinto PLC | 36921796 |
| 1464017 | Shell PLC | 48305103 |
|  | Total United Kingdom | 213515980 |
|  | **United States — 35.7%** | **United States — 35.7%** |
| 139587 | Advanced Drainage Systems, Inc. | 15348986 |
| 610120 | Aemetis, Inc. <sup>\*</sup> <sup>(a)</sup> | 1043305 |
| 126196 | AGCO Corp. | 12364684 |
| 361098 | Albemarle Corp. | 20134824 |
| 1080185 | Ameresco, Inc. – Class A <sup>\*</sup> | 14884949 |
| 3579961 | Array Technologies, Inc. <sup>\*</sup> | 23627743 |
| 975460 | California Resources Corp. | 43086068 |
| 413500 | Civitas Resources, Inc. | 11317495 |
| 3083688 | Clean Energy Fuels Corp. <sup>\*</sup> | 5519801 |
| 145791 | ConocoPhillips | 12443262 |
| 213007 | Corteva, Inc. | 15080896 |
| 708633 | Crescent Energy Co. – Class A | 5945431 |
| 1524733 | Darling Ingredients, Inc. <sup>\*</sup> | 47510680 |
| 209381 | Enphase Energy, Inc. <sup>\*</sup> | 8666280 |
| 128100 | First Solar, Inc. <sup>\*</sup> | 20250048 |
| 329308 | Freeport-McMoRan, Inc. | 12671772 |
| 915811 | GrafTech International Ltd. <sup>\*</sup> | 912331 |
| 1770185 | Green Plains, Inc. <sup>\*</sup> | 7363970 |
| 36850 | Gulfport Energy Corp. <sup>\*</sup> | 7056775 |
| 57100 | Helmerich & Payne, Inc. | 870775 |
| 29823939 | Kosmos Energy Ltd. <sup>\*</sup> <sup>(d)</sup> | 49507739 |
| 307203 | Liberty Energy, Inc. | 3560483 |
| 367265 | NEXTracker, Inc. – Class A <sup>\*</sup> | 20820253 |
| 125797 | Northern Oil & Gas, Inc. | 3343684 |
| 384967 | ProPetro Holding Corp. <sup>\*</sup> | 2078822 |
| 229205 | SM Energy Co. | 5367981 |
| 1450759 | SolarEdge Technologies, Inc. <sup>\*</sup> <sup>(a)</sup> | 25910556 |
| 3965887 | Sunrun, Inc. <sup>\*</sup> | 29704494 |
| 9860 | Valmont Industries, Inc. | 3135874 |
| 22121 | Veralto Corp. | 2234885 |
| 71392 | Viper Energy, Inc. | 2833548 |
|  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;434598394 |
|  | TOTAL COMMON STOCKS<br>(COST $1,559,656,166) | 1109132352 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(e)</sup> — 8.1%** | |
| | **Brazil — 6.2%** | |
| 13079972 | Bradespar SA | 35675769 |
| 7306248 | Petroleo Brasileiro SA – Petrobras | 39472518 |
|  | Total Brazil | 75148287 |
|  | **Chile — 1.9%** |  |
| 748362 | Sociedad Quimica y Minera de Chile SA Sponsored ADR <sup>\*</sup> | 22772656 |
|  | **Russia — 0.0%** |  |
| 20237584 | Surgutneftegas PAO <sup>(b) (c)</sup> |  |
| 7494797 | Tatneft PJSC <sup>(b) (c)</sup> |  |
|  | Total Russia |  |
|  | TOTAL PREFERRED STOCKS<br>(COST $186,967,177) | 97920943 |
|  | **INVESTMENT FUNDS — 0.8%** |  |
|  | **United States — 0.8%** |  |
| 2019461 | GMO U.S. Treasury Fund, Class VI <sup>(d)</sup> | 10117502 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $10,117,502) | 10117502 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 378689 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(f)</sup> | 378689 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $378,689) | 378689 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $1,757,119,534) | **1217549486** |
|  | Other Assets and Liabilities (net) — 0.1% | 1106292 |
|  | **TOTAL NET ASSETS — 100.0%** | **$1218655778** |

---

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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>May 31, 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% |  |
| 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 May 31, 2025.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

------

**GMO Small Cap Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.6%** | **COMMON STOCKS — 97.6%** |
| | **Automobiles & Components — 0.9%** | **Automobiles & Components — 0.9%** |
| 134871 | XPEL, Inc. <sup>\*</sup> | 4851310 |
|  | **Capital Goods — 23.6%** |  |
| 201271 | AAON, Inc. | 19380385 |
| 141946 | Allegion PLC | 20255694 |
| 59139 | Curtiss-Wright Corp. | 26027665 |
| 25814 | Kadant, Inc. | 8103273 |
| 31929 | Preformed Line Products Co. | 4554353 |
| 44740 | RBC Bearings, Inc. <sup>\*</sup> | 16369024 |
| 229768 | Trex Co., Inc. <sup>\*</sup> | 12837138 |
| 111489 | Woodward, Inc. | 24118415 |
|  | Total Capital Goods | 131645947 |
|  | **Commercial & Professional Services — 6.2%** | **Commercial & Professional Services — 6.2%** |
| 144193 | Booz Allen Hamilton Holding Corp. | 15320506 |
| 117813 | FTI Consulting, Inc. <sup>\*</sup> | 19340182 |
|  | Total Commercial & Professional Services | 34660688 |
|  | **Consumer Discretionary Distribution & Retail — 1.7%** | **Consumer Discretionary Distribution & Retail — 1.7%** |
| 86096 | Ollie's Bargain Outlet Holdings, Inc. <sup>\*</sup> | 9595399 |
|  | **Consumer Durables & Apparel — 4.7%** | **Consumer Durables & Apparel — 4.7%** |
| 129002 | Acushnet Holdings Corp. | 8803097 |
| 55986 | Installed Building Products, Inc. | 8928647 |
| 292486 | Malibu Boats, Inc. – Class A <sup>\*</sup> | 8815528 |
|  | Total Consumer Durables & Apparel | 26547272 |
|  | **Consumer Services — 4.0%** | **Consumer Services — 4.0%** |
| 547366 | Aramark | 22168323 |
|  | **Consumer Staples Distribution & Retail — 3.1%** | **Consumer Staples Distribution & Retail — 3.1%** |
| 160833 | PriceSmart, Inc. | 17366747 |
|  | **Energy — 1.4%** |  |
| 189469 | Cactus, Inc. – Class A | 7768229 |
|  | **Financial Services — 10.0%** |  |
| 133534 | Cohen & Steers, Inc. | 10260753 |
| 98816 | Houlihan Lokey, Inc. | 17261179 |
| 77169 | Jack Henry & Associates, Inc. | 13980708 |
| 244530 | StepStone Group, Inc. – Class A | 14146060 |
|  | Total Financial Services | 55648700 |
|  | **Food, Beverage & Tobacco — 5.9%** | **Food, Beverage & Tobacco — 5.9%** |
| 115042 | J&J Snack Foods Corp. | 13249387 |
| 118830 | Lancaster Colony Corp. | 19892142 |
|  | Total Food, Beverage & Tobacco | 33141529 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Health Care Equipment & Services — 3.1%** | **Health Care Equipment & Services — 3.1%** |
| 290531 | Globus Medical, Inc. – Class A <sup>\*</sup> | 17193624 |
|  | **Materials — 8.8%** |  |
| 159034 | AptarGroup, Inc. | 25190986 |
| 145089 | Balchem Corp. | 24186336 |
|  | Total Materials | 49377322 |
|  | **Media & Entertainment — 4.8%** | **Media & Entertainment — 4.8%** |
| 468599 | New York Times Co. – Class A | 26766375 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 2.0%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 2.0%** |
| 191757 | Bruker Corp. | 7037482 |
| 13893 | Medpace Holdings, Inc. <sup>\*</sup> | 4097046 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 11134528 |
|  | **Semiconductors & Semiconductor<br>Equipment — 9.1%** | **Semiconductors & Semiconductor<br>Equipment — 9.1%** |
| 118865 | Axcelis Technologies, Inc. <sup>\*</sup> | 6696854 |
| 146958 | Cirrus Logic, Inc. <sup>\*</sup> | 14454789 |
| 238325 | Power Integrations, Inc. | 11851902 |
| 125511 | Universal Display Corp. | 17992002 |
|  | Total Semiconductors & Semiconductor Equipment | 50995547 |
|  | **Software & Services — 3.7%** | **Software & Services — 3.7%** |
| 274830 | Dolby Laboratories, Inc. – Class A | 20408876 |
|  | **Technology Hardware & Equipment — 4.6%** | **Technology Hardware & Equipment — 4.6%** |
| 37847 | Badger Meter, Inc. | 9394382 |
| 69008 | Fabrinet <sup>\*</sup> | 16069893 |
|  | Total Technology Hardware & Equipment | 25464275 |
|  | TOTAL COMMON STOCKS<br>(COST $526,239,463) | 544734691 |
|  | **INVESTMENT FUNDS — 3.0%** | **INVESTMENT FUNDS — 3.0%** |
|  | **United States — 3.0%** | **United States — 3.0%** |
| 3352309 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 16795071 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $16,795,071) | 16795071 |

---

------

**GMO Small Cap Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
| | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 138657 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 138657 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $138,657) | 138657 |
|  | **TOTAL INVESTMENTS — 100.6%**<br> (Cost $543,173,191) | **561668419** |
|  | Other Assets and Liabilities (net) — (0.6)% | (3607549) |
|  | **TOTAL NET ASSETS — 100.0%** | **$558060870** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.2%** | **COMMON STOCKS — 99.2%** |
| | **Automobiles & Components — 3.0%** | **Automobiles & Components — 3.0%** |
| 12961 | BorgWarner, Inc. | 428880 |
| 100379 | Ford Motor Co. | 1041934 |
| 79374 | General Motors Co. | 3937744 |
|  | Total Automobiles & Components | 5408558 |
|  | **Banks — 3.8%** | **Banks — 3.8%** |
| 32980 | Bank of America Corp. | 1455407 |
| 1900 | Capital City Bank Group, Inc. | 71706 |
| 37062 | Citigroup, Inc. | 2791510 |
| 5400 | Farmers National Banc Corp. | 71442 |
| 1500 | First Financial Corp. | 77760 |
| 5300 | Independent Bank Corp. | 167109 |
| 6468 | JPMorgan Chase & Co. | 1707552 |
| 2346 | PNC Financial Services Group, Inc. | 407758 |
| 3991 | U.S. Bancorp | 173968 |
|  | Total Banks | 6924212 |
|  | **Capital Goods — 2.7%** | **Capital Goods — 2.7%** |
| 690 | 3M Co. | 102362 |
| 296 | AGCO Corp. | 29002 |
| 2616 | Allison Transmission Holdings, Inc. | 270808 |
| 11596 | Cummins, Inc. | 3727882 |
| 4698 | Mueller Industries, Inc. | 365833 |
| 661 | Tennant Co. | 49192 |
| 313 | WW Grainger, Inc. | 340406 |
|  | Total Capital Goods | 4885485 |
|  | **Commercial & Professional Services — 2.4%** | **Commercial & Professional Services — 2.4%** |
| 47997 | ACCO Brands Corp. | 172309 |
| 3100 | Barrett Business Services, Inc. | 128108 |
| 287 | Brady Corp. – Class A | 20024 |
| 2223 | CACI International, Inc. – Class A <sup>\*</sup> | 951444 |
| 1470 | Cimpress PLC <sup>\*</sup> | 65062 |
| 12400 | Deluxe Corp. | 176948 |
| 19964 | Genpact Ltd. | 859450 |
| 3500 | Heidrick & Struggles International, Inc. | 152810 |
| 4481 | IBEX Holdings Ltd. <sup>\*</sup> | 129008 |
| 1799 | ICF International, Inc. | 154570 |
| 6080 | Leidos Holdings, Inc. | 903002 |
| 821 | Republic Services, Inc. | 211235 |
| 42682 | Resources Connection, Inc. | 222587 |
| 24598 | Steelcase, Inc. – Class A | 253605 |
| 3000 | TrueBlue, Inc. <sup>\*</sup> | 18000 |
|  | Total Commercial & Professional Services | &nbsp;&nbsp;&nbsp;&nbsp;4418162 |
|  | **Consumer Discretionary Distribution & Retail — 8.5%** | **Consumer Discretionary Distribution & Retail — 8.5%** |
| 48312 | Amazon.com, Inc. <sup>\*</sup> | 9904443 |
| 9728 | Best Buy Co., Inc. | 644772 |
| 51528 | eBay, Inc. | 3770304 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Consumer Discretionary Distribution & Retail —<br>continued** | **Consumer Discretionary Distribution & Retail —<br>continued** |
| 2622 | Ferguson Enterprises, Inc. | 478095 |
| 16493 | Kohl's Corp. | 134088 |
| 2534 | Signet Jewelers Ltd. | 168688 |
| 2865 | Urban Outfitters, Inc. <sup>\*</sup> | 200264 |
| 8089 | Victoria's Secret & Co. <sup>\*</sup> | 171568 |
|  | Total Consumer Discretionary Distribution & Retail | 15472222 |
|  | **Consumer Durables & Apparel — 1.9%** | **Consumer Durables & Apparel — 1.9%** |
| 3033 | Carter's, Inc. | 95145 |
| 4998 | Ethan Allen Interiors, Inc. | 130598 |
| 11020 | Garmin Ltd. | 2236729 |
| 2850 | MasterCraft Boat Holdings, Inc. <sup>\*</sup> | 48479 |
| 582 | Ralph Lauren Corp. | 161103 |
| 3470 | SharkNinja, Inc. <sup>\*</sup> | 318997 |
| 5139 | Taylor Morrison Home Corp. <sup>\*</sup> | 289223 |
| 2577 | Whirlpool Corp. | 201238 |
|  | Total Consumer Durables & Apparel | 3481512 |
|  | **Consumer Services — 2.3%** | **Consumer Services — 2.3%** |
| 7226 | Adtalem Global Education, Inc. <sup>\*</sup> | 954049 |
| 5316 | Frontdoor, Inc. <sup>\*</sup> | 292433 |
| 148 | Graham Holdings Co. – Class B | 141253 |
| 2178 | Grand Canyon Education, Inc. <sup>\*</sup> | 430907 |
| 21552 | H&R Block, Inc. | 1227386 |
| 30169 | Perdoceo Education Corp. | 1026953 |
| 139 | Stride, Inc. <sup>\*</sup> | 21043 |
| 2167 | Travel & Leisure Co. | 105251 |
|  | Total Consumer Services | &nbsp;&nbsp;&nbsp;&nbsp;4199275 |
|  | **Consumer Staples Distribution & Retail — 3.8%** | **Consumer Staples Distribution & Retail — 3.8%** |
| 40980 | Kroger Co. | 2796065 |
| 27114 | Maplebear, Inc. <sup>\*</sup> | 1238296 |
| 29048 | Walmart, Inc. | 2867619 |
|  | Total Consumer Staples Distribution & Retail | 6901980 |
|  | **Energy — 0.8%** | **Energy — 0.8%** |
| 48144 | Kinder Morgan, Inc. | 1349958 |
|  | **Financial Services — 11.8%** |  |
| 7505 | American Express Co. | 2206845 |
| 15559 | Bank of New York Mellon Corp. | 1378683 |
| 1084 | Berkshire Hathaway, Inc. – Class B <sup>\*</sup> | 546293 |
| 3628 | Capital One Financial Corp. | 686236 |
| 3680 | Enact Holdings, Inc. | 130272 |
| 7004 | Enova International, Inc. <sup>\*</sup> | 649061 |
| 3416 | Federated Hermes, Inc. | 144155 |
| 4316 | Goldman Sachs Group, Inc. | 2591542 |
| 24409 | Invesco Ltd. | 352954 |
| 3361 | Jackson Financial, Inc. – Class A | 275299 |

---

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Financial Services — continued** | |
| 14907 | Janus Henderson Group PLC | 541571 |
| 63328 | MGIC Investment Corp. | 1675026 |
| 6537 | Morgan Stanley | 836932 |
| 4689 | Mr. Cooper Group, Inc. <sup>\*</sup> | 607366 |
| 7870 | NMI Holdings, Inc. <sup>\*</sup> | 312596 |
| 5867 | PROG Holdings, Inc. | 169146 |
| 30805 | Radian Group, Inc. | 1051991 |
| 1273 | Raymond James Financial, Inc. | 187106 |
| 16169 | SLM Corp. | 523391 |
| 34901 | State Street Corp. | 3360268 |
| 51487 | Synchrony Financial | 2968226 |
| 2203 | Victory Capital Holdings, Inc. – Class A | 136608 |
| 2071 | Virtu Financial, Inc. – Class A | 83233 |
|  | Total Financial Services | 21414800 |
|  | **Food, Beverage & Tobacco — 6.0%** | **Food, Beverage & Tobacco — 6.0%** |
| 65257 | Altria Group, Inc. | 3955227 |
| 31731 | Coca-Cola Co. | 2287805 |
| 64359 | Keurig Dr. Pepper, Inc. | 2166968 |
| 2232 | Molson Coors Beverage Co. – Class B | 119613 |
| 5312 | PepsiCo, Inc. | 698262 |
| 7658 | Philip Morris International, Inc. | 1382958 |
| 3307 | Universal Corp. | 216245 |
|  | Total Food, Beverage & Tobacco | 10827078 |
|  | **Health Care Equipment & Services — 1.9%** | **Health Care Equipment & Services — 1.9%** |
| 2487 | Cardinal Health, Inc. | 384092 |
| 12023 | Centene Corp. <sup>\*</sup> | 678578 |
| 931 | Cigna Group | 294792 |
| 28823 | CVS Health Corp. | 1845825 |
| 416 | Elevance Health, Inc. | 159678 |
|  | Total Health Care Equipment & Services | 3362965 |
|  | **Insurance — 3.4%** | **Insurance — 3.4%** |
| 3869 | Aflac, Inc. | 400596 |
| 1649 | Allstate Corp. | 346076 |
| 3817 | Arch Capital Group Ltd. | 362768 |
| 6636 | CNO Financial Group, Inc. | 251903 |
| 2094 | Globe Life, Inc. | 255196 |
| 15149 | Hartford Insurance Group, Inc. | 1966946 |
| 5454 | Heritage Insurance Holdings, Inc. <sup>\*</sup> | 133459 |
| 6423 | Lincoln National Corp. | 212858 |
| 14725 | Old Republic International Corp. | 556605 |
| 513 | Progressive Corp. | 146169 |
| 19258 | Unum Group | 1573571 |
|  | Total Insurance | 6206147 |
|  | **Materials — 0.1%** | **Materials — 0.1%** |
| 6506 | Ryerson Holding Corp. | 135064 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Media & Entertainment — 10.6%** | |
| 32879 | Alphabet, Inc. – Class A | 5646639 |
| 20169 | Alphabet, Inc. – Class C | 3486212 |
| 32366 | Comcast Corp. – Class A | 1118893 |
| 10257 | Fox Corp. – Class A | 563520 |
| 3810 | Fox Corp. – Class B | 191567 |
| 12194 | Meta Platforms, Inc. – Class A | 7895493 |
| 289 | Netflix, Inc. <sup>\*</sup> | 348889 |
|  | Total Media & Entertainment | 19251213 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 4.9%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 4.9%** |
| 16311 | Johnson & Johnson | 2531631 |
| 48542 | Merck & Co., Inc. | 3729967 |
| 111582 | Pfizer, Inc. | 2621061 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 8882659 |
|  | **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** |
| 1474 | CBRE Group, Inc. – Class A <sup>\*</sup> | 184279 |
| 11965 | Newmark Group, Inc. – Class A | 131735 |
|  | Total Real Estate Management & Development | 316014 |
|  | **Semiconductors & Semiconductor Equipment — 8.1%** | **Semiconductors & Semiconductor Equipment — 8.1%** |
| 8466 | Applied Materials, Inc. | 1327046 |
| 1834 | Cirrus Logic, Inc. <sup>\*</sup> | 180392 |
| 137471 | Intel Corp. | 2687558 |
| 62307 | NVIDIA Corp. | 8419545 |
| 1365 | NXP Semiconductors NV | 260892 |
| 11731 | QUALCOMM, Inc. | 1703341 |
| 2760 | Skyworks Solutions, Inc. | 190523 |
|  | Total Semiconductors & Semiconductor Equipment | 14769297 |
|  | **Software & Services — 10.9%** | **Software & Services — 10.9%** |
| 8076 | Accenture PLC – Class A | 2558638 |
| 372 | Adobe, Inc. <sup>\*</sup> | 154414 |
| 2710 | Akamai Technologies, Inc. <sup>\*</sup> | 205770 |
| 787 | Amdocs Ltd. | 72215 |
| 25584 | Cognizant Technology Solutions Corp. – Class A | 2072048 |
| 233 | GoDaddy, Inc. – Class A <sup>\*</sup> | 42441 |
| 16657 | International Business Machines Corp. | 4315163 |
| 18172 | Microsoft Corp. | 8365662 |
| 5179 | Progress Software Corp. | 318819 |
| 20361 | Zoom Communications, Inc. – Class A <sup>\*</sup> | 1654331 |
|  | Total Software & Services | 19759501 |
|  | **Technology Hardware & Equipment — 7.7%** | **Technology Hardware & Equipment — 7.7%** |
| 45515 | Apple, Inc. | 9141687 |
| 62420 | Cisco Systems, Inc. | 3934957 |
| 11060 | Hewlett Packard Enterprise Co. | 191117 |
| 27749 | HP, Inc. | 690950 |
|  | Total Technology Hardware & Equipment | 13958711 |

---

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **Telecommunication Services — 2.3%** | |
| 96143 | Verizon Communications, Inc. | 4226446 |
|  | **Transportation — 1.3%** |  |
| 5573 | CH Robinson Worldwide, Inc. | 534841 |
| 14211 | CSX Corp. | 448926 |
| 10657 | Delta Air Lines, Inc. | 515692 |
| 1494 | Matson, Inc. | 168598 |
| 3173 | United Airlines Holdings, Inc. <sup>\*</sup> | 252079 |
| 4319 | United Parcel Service, Inc. – Class B | 421275 |
|  | Total Transportation | 2341411 |
|  | **Utilities — 0.8%** | **Utilities — 0.8%** |
| 804 | DTE Energy Co. | 109867 |
| 22081 | Exelon Corp. | 967589 |
| 11590 | UGI Corp. | 417935 |
|  | Total Utilities | 1495391 |
|  | TOTAL COMMON STOCKS (COST $167,477,666) | 179988061 |
|  | **DEBT OBLIGATIONS — 0.2%** | **DEBT OBLIGATIONS — 0.2%** |
|  | **U.S. Government — 0.2%** | **U.S. Government — 0.2%** |
| 25000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.48%, due 07/31/26 | 25033 |
| 400000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.51%, due 10/31/26 <sup>(a)</sup> | 400590 |
|  | Total U.S. Government | 425623 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $425,142) | 425623 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 0.3%** | **INVESTMENT FUNDS — 0.3%** |
| | **United States — 0.3%** | **United States — 0.3%** |
| 111811 | GMO U.S. Treasury Fund, Class VI <sup>(b)</sup> | 560172 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $560,172) | 560172 |
|  | **SHORT-TERM INVESTMENTS — 0.2%** | **SHORT-TERM INVESTMENTS — 0.2%** |
|  | **Money Market Funds — 0.2%** | **Money Market Funds — 0.2%** |
| 411025 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(c)</sup> | 411025 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $411,025) | 411025 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $168,874,005) | **181384881** |
|  | Other Assets and Liabilities (net) — 0.1% | 121239 |
|  | **TOTAL NET ASSETS — 100.0%** | **$181506120** |

---

A summary of outstanding financial instruments at May 31, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 1 | S&P 500 E-Mini | June 2025 | $295800 | $32181 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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 U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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 OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) Affiliated company.

(c) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.1%** | **COMMON STOCKS — 99.1%** |
| | **Automobiles & Components — 3.8%** | |
| 12791 | Aptiv PLC <sup>\*</sup> | 854567 |
| 1362 | Autoliv, Inc. | 140041 |
| 164282 | BorgWarner, Inc. | 5436091 |
| 244013 | Ford Motor Co. | 2532855 |
| 92715 | General Motors Co. | 4599591 |
| 24019 | Lear Corp. | 2171798 |
|  | Total Automobiles & Components | 15734943 |
|  | **Banks — 11.5%** | **Banks — 11.5%** |
| 195312 | Bank of America Corp. | 8619119 |
| 81093 | Citigroup, Inc. | 6107925 |
| 65070 | Huntington Bancshares, Inc. | 1017044 |
| 47505 | JPMorgan Chase & Co. | 12541320 |
| 14479 | M&T Bank Corp. | 2644445 |
| 34055 | PNC Financial Services Group, Inc. | 5919099 |
| 43836 | Regions Financial Corp. | 939844 |
| 38805 | Truist Financial Corp. | 1532797 |
| 130777 | U.S. Bancorp | 5700569 |
| 24646 | Wells Fargo & Co. | 1843028 |
|  | Total Banks | 46865190 |
|  | **Capital Goods — 4.5%** | **Capital Goods — 4.5%** |
| 2711 | AGCO Corp. | 265624 |
| 5667 | Atkore, Inc. | 368922 |
| 8545 | Carrier Global Corp. | 608404 |
| 6139 | Caterpillar, Inc. | 2136556 |
| 16319 | Cummins, Inc. | 5246232 |
| 3453 | EnerSys | 288774 |
| 5406 | Mueller Industries, Inc. | 420965 |
| 3316 | Northrop Grumman Corp. | 1607497 |
| 22784 | Oshkosh Corp. | 2259945 |
| 9651 | Owens Corning | 1292751 |
| 33014 | PACCAR, Inc. | 3098364 |
| 929 | Snap-on, Inc. | 297977 |
| 5328 | Timken Co. | 364915 |
| 2253 | UFP Industries, Inc. | 219803 |
|  | Total Capital Goods | 18476729 |
|  | **Commercial & Professional Services — 0.3%** | **Commercial & Professional Services — 0.3%** |
| 12194 | Concentrix Corp. | 682437 |
| 6994 | Genpact Ltd. | 301092 |
| 8215 | ManpowerGroup, Inc. | 344619 |
|  | Total Commercial & Professional Services | 1328148 |
|  | **Consumer Discretionary Distribution & Retail — 3.0%** | **Consumer Discretionary Distribution & Retail — 3.0%** |
| 26262 | Academy Sports & Outdoors, Inc. | 1074379 |
| 10181 | AutoNation, Inc. <sup>\*</sup> | 1871777 |
| 14834 | Bath & Body Works, Inc. | 417132 |
| 19027 | Best Buy Co., Inc. | 1261110 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Consumer Discretionary Distribution &<br>Retail — continued** | **Consumer Discretionary Distribution &<br>Retail — continued** |
| 53543 | eBay, Inc. | 3917741 |
| 4049 | Group 1 Automotive, Inc. | 1716452 |
| 10998 | LKQ Corp. | 445089 |
| 29398 | Macy's, Inc. | 349542 |
| 20434 | Signet Jewelers Ltd. | 1360291 |
|  | Total Consumer Discretionary Distribution & Retail | 12413513 |
|  | **Consumer Durables & Apparel — 4.2%** | **Consumer Durables & Apparel — 4.2%** |
| 24253 | Crocs, Inc. <sup>\*</sup> | 2473806 |
| 19333 | DR Horton, Inc. | 2282454 |
| 30376 | KB Home | 1566794 |
| 8526 | La-Z-Boy, Inc. | 357154 |
| 21458 | Lennar Corp. – Class A | 2276265 |
| 2314 | M/I Homes, Inc. <sup>\*</sup> | 246696 |
| 16029 | Meritage Homes Corp. | 1019605 |
| 2769 | Mohawk Industries, Inc. <sup>\*</sup> | 278589 |
| 21583 | Polaris, Inc. | 846485 |
| 12897 | PulteGroup, Inc. | 1264293 |
| 16188 | PVH Corp. | 1356069 |
| 5128 | Skechers USA, Inc. – Class A <sup>\*</sup> | 318141 |
| 11751 | Steven Madden Ltd. | 289662 |
| 4858 | Taylor Morrison Home Corp. <sup>\*</sup> | 273408 |
| 4627 | Toll Brothers, Inc. | 482365 |
| 20280 | Tri Pointe Homes, Inc. <sup>\*</sup> | 597854 |
| 11203 | Whirlpool Corp. | 874842 |
| 13556 | YETI Holdings, Inc. <sup>\*</sup> | 414271 |
|  | Total Consumer Durables & Apparel | 17218753 |
|  | **Consumer Services — 0.4%** | **Consumer Services — 0.4%** |
| 13704 | H&R Block, Inc. | 780443 |
| 21161 | Perdoceo Education Corp. | 720320 |
|  | Total Consumer Services | 1500763 |
|  | **Consumer Staples Distribution & Retail — 1.7%** | **Consumer Staples Distribution & Retail — 1.7%** |
| 7015 | Dollar General Corp. | 682209 |
| 23071 | Kroger Co. | 1574134 |
| 48210 | Target Corp. | 4532222 |
|  | Total Consumer Staples Distribution & Retail | 6788565 |
|  | **Energy — 8.1%** | **Energy — 8.1%** |
| 79019 | Chevron Corp. | 10801897 |
| 29158 | ConocoPhillips | 2488635 |
| 7178 | Devon Energy Corp. | 217206 |
| 52434 | EOG Resources, Inc. | 5692760 |
| 130662 | Exxon Mobil Corp. | 13366723 |
| 10186 | Kinder Morgan, Inc. | 285616 |
| 11699 | Ovintiv, Inc. | 419058 |
|  | Total Energy | 33271895 |

---

------

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

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Equity Real Estate Investment Trusts (REITs) — 2.1%** | **Equity Real Estate Investment Trusts (REITs) — 2.1%** |
| 264400 | VICI Properties, Inc. – (REIT) | 8384124 |
|  | **Financial Services — 13.2%** |  |
| 9068 | Affiliated Managers Group, Inc. | 1595968 |
| 15962 | American Express Co. | 4693626 |
| 33690 | Bank of New York Mellon Corp. | 2985271 |
| 27862 | Blue Owl Capital Corp. | 408178 |
| 4739 | Bread Financial Holdings, Inc. | 242826 |
| 24630 | Capital One Financial Corp. | 4658764 |
| 9843 | Enova International, Inc. <sup>\*</sup> | 912151 |
| 12055 | Federated Hermes, Inc. | 508721 |
| 60034 | Franklin Resources, Inc. | 1299136 |
| 9150 | Goldman Sachs Group, Inc. | 5494117 |
| 130015 | Invesco Ltd. | 1880017 |
| 27893 | Janus Henderson Group PLC | 1013353 |
| 155491 | MGIC Investment Corp. | 4112737 |
| 27250 | Morgan Stanley | 3488818 |
| 56685 | PayPal Holdings, Inc. <sup>\*</sup> | 3983822 |
| 79216 | Radian Group, Inc. | 2705226 |
| 23851 | Raymond James Financial, Inc. | 3505620 |
| 21838 | Sixth Street Specialty Lending, Inc. | 508607 |
| 56275 | SLM Corp. | 1821622 |
| 32257 | State Street Corp. | 3105704 |
| 26924 | Synchrony Financial | 1552169 |
| 15636 | T. Rowe Price Group, Inc. | 1463373 |
| 212971 | Western Union Co. | 1976371 |
|  | Total Financial Services | 53916197 |
|  | **Food, Beverage & Tobacco — 2.8%** | **Food, Beverage & Tobacco — 2.8%** |
| 25396 | Archer-Daniels-Midland Co. | 1225865 |
| 9089 | Bunge Global SA | 710305 |
| 2345 | Conagra Brands, Inc. | 53677 |
| 56720 | General Mills, Inc. | 3077627 |
| 11240 | Keurig Dr. Pepper, Inc. | 378451 |
| 80708 | Kraft Heinz Co. | 2157325 |
| 10287 | Mondelez International, Inc. – Class A | 694270 |
| 18469 | PepsiCo, Inc. | 2427750 |
| 10837 | Tyson Foods, Inc. – Class A | 608606 |
|  | Total Food, Beverage & Tobacco | 11333876 |
|  | **Health Care Equipment & Services — 7.7%** | **Health Care Equipment & Services — 7.7%** |
| 66226 | Centene Corp. <sup>\*</sup> | 3737795 |
| 25121 | Cigna Group | 7954314 |
| 127919 | CVS Health Corp. | 8191933 |
| 12236 | Elevance Health, Inc. | 4696666 |
| 30530 | GE HealthCare Technologies, Inc. | 2153586 |
| 11024 | Humana, Inc. | 2570025 |
| 22158 | Medtronic PLC | 1838671 |
| 17060 | Premier, Inc. – Class A | 392039 |
|  | Total Health Care Equipment & Services | 31535029 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Household & Personal Products — 0.3%** | **Household & Personal Products — 0.3%** |
| 11950 | Edgewell Personal Care Co. | 330059 |
| 7384 | Kimberly-Clark Corp. | 1061524 |
|  | Total Household & Personal Products | 1391583 |
|  | **Insurance — 3.6%** | **Insurance — 3.6%** |
| 25163 | Aflac, Inc. | 2605377 |
| 8087 | Allstate Corp. | 1697219 |
| 25583 | Arch Capital Group Ltd. | 2431408 |
| 7367 | Chubb Ltd. | 2189472 |
| 926 | Everest Group Ltd. | 321498 |
| 27456 | Hartford Insurance Group, Inc. | 3564887 |
| 10911 | Lincoln National Corp. | 361591 |
| 5988 | MetLife, Inc. | 470537 |
| 9672 | Old Republic International Corp. | 365602 |
| 10151 | Unum Group | 829438 |
|  | Total Insurance | 14837029 |
|  | **Materials — 1.5%** | **Materials — 1.5%** |
| 18360 | Commercial Metals Co. | 855393 |
| 9956 | FMC Corp. | 403815 |
| 10270 | LyondellBasell Industries NV – Class A | 580152 |
| 543 | NewMarket Corp. | 349725 |
| 16831 | Nucor Corp. | 1840638 |
| 7865 | PPG Industries, Inc. | 871442 |
| 33631 | Sealed Air Corp. | 1082918 |
|  | Total Materials | 5984083 |
|  | **Media & Entertainment — 5.6%** | **Media & Entertainment — 5.6%** |
| 24965 | Alphabet, Inc. – Class A | 4287489 |
| 20305 | Alphabet, Inc. – Class C | 3509719 |
| 264694 | Comcast Corp. – Class A | 9150472 |
| 1341 | Electronic Arts, Inc. | 192809 |
| 12919 | Fox Corp. – Class A | 709770 |
| 23515 | Fox Corp. – Class B | 1182334 |
| 5935 | Meta Platforms, Inc. – Class A | 3842853 |
|  | Total Media & Entertainment | 22875446 |
|  | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 10.8%** | **Pharmaceuticals, Biotechnology & Life<br>Sciences — 10.8%** |
| 106539 | Bristol-Myers Squibb Co. | 5143703 |
| 83975 | Johnson & Johnson | 13033760 |
| 119495 | Merck & Co., Inc. | 9181996 |
| 167524 | Organon & Co. | 1544571 |
| 389661 | Pfizer, Inc. | 9153137 |
| 12199 | Regeneron Pharmaceuticals, Inc. | 5980925 |
| 948 | United Therapeutics Corp. <sup>\*</sup> | 302270 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 44340362 |
|  | **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** |
| 6742 | CBRE Group, Inc. – Class A <sup>\*</sup> | 842885 |

---

------

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

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Semiconductors & Semiconductor Equipment — 3.3%** | **Semiconductors & Semiconductor Equipment — 3.3%** |
| 15662 | Applied Materials, Inc. | 2455019 |
| 18215 | Lam Research Corp. | 1471590 |
| 65802 | QUALCOMM, Inc. | 9554450 |
|  | Total Semiconductors & Semiconductor Equipment | 13481059 |
|  | **Software & Services — 1.3%** | **Software & Services — 1.3%** |
| 47611 | Cognizant Technology Solutions Corp. – Class A | 3856015 |
| 18051 | Zoom Communications, Inc. – Class A <sup>\*</sup> | 1466644 |
|  | Total Software & Services | 5322659 |
|  | **Technology Hardware & Equipment — 4.3%** | **Technology Hardware & Equipment — 4.3%** |
| 16919 | Arrow Electronics, Inc. <sup>\*</sup> | 2002871 |
| 56254 | Avnet, Inc. | 2813262 |
| 109812 | Cisco Systems, Inc. | 6922548 |
| 99743 | Hewlett Packard Enterprise Co. | 1723559 |
| 120874 | HP, Inc. | 3009763 |
| 3482 | TE Connectivity PLC | 557364 |
| 10113 | Vontier Corp. | 361540 |
|  | Total Technology Hardware & Equipment | 17390907 |
|  | **Telecommunication Services — 2.9%** | **Telecommunication Services — 2.9%** |
| 45246 | AT&T, Inc. | 1257839 |
| 236464 | Verizon Communications, Inc. | 10394957 |
|  | Total Telecommunication Services | 11652796 |
|  | **Transportation — 2.0%** | **Transportation — 2.0%** |
| 7041 | CH Robinson Worldwide, Inc. | 675725 |
| 14498 | Delta Air Lines, Inc. | 701558 |
| 11076 | FedEx Corp. | 2415676 |
| 46441 | United Parcel Service, Inc. – Class B | 4529855 |
|  | Total Transportation | 8322814 |
|  | TOTAL COMMON STOCKS<br>(COST $413,222,014) | 405209348 |
|  | **INVESTMENT FUNDS — 0.7%** | **INVESTMENT FUNDS — 0.7%** |
|  | **United States — 0.7%** | **United States — 0.7%** |
| 517759 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 2593974 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $2,593,974) | 2593974 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.3%** | **SHORT-TERM INVESTMENTS — 0.3%** |
| | **Money Market Funds — 0.3%** | **Money Market Funds — 0.3%** |
| 1447085 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 1447085 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,447,085) | 1447085 |
|  | **TOTAL INVESTMENTS — 100.1%**<br> (Cost $417,263,073) | **409250407** |
|  | Other Assets and Liabilities (net) — (0.1)% | (450913) |
|  | **TOTAL NET ASSETS — 100.0%** | **$408799494** |

---

**Notes to Schedule of Investments:** 

<sup>\*</sup> Non-income producing security.

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

**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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.3%** | **COMMON STOCKS — 99.3%** |
| | **Automobiles & Components — 3.2%** | **Automobiles & Components — 3.2%** |
| 2158 | Adient PLC <sup>\*</sup> | 33643 |
| 6302 | American Axle & Manufacturing Holdings, Inc. <sup>\*</sup> | 27666 |
| 22293 | BorgWarner, Inc. | 737676 |
| 13073 | Dana, Inc. | 217404 |
| 815 | Lear Corp. | 73692 |
|  | Total Automobiles & Components | 1090081 |
|  | **Banks — 8.1%** | **Banks — 8.1%** |
| 1921 | 1st Source Corp. | 116336 |
| 4458 | Amalgamated Financial Corp. | 134721 |
| 1366 | Arrow Financial Corp. | 35174 |
| 14241 | Associated Banc-Corp. | 329964 |
| 12221 | BankUnited, Inc. | 415269 |
| 794 | Banner Corp. | 48950 |
| 600 | Capital City Bank Group, Inc. | 22644 |
| 3623 | Central Pacific Financial Corp. | 96734 |
| 2452 | Community Trust Bancorp, Inc. | 125175 |
| 900 | Community West Bancshares | 16020 |
| 2420 | Customers Bancorp, Inc. <sup>\*</sup> | 123323 |
| 1205 | Eagle Bancorp, Inc. | 21208 |
| 525 | East West Bancorp, Inc. | 47880 |
| 1228 | Enterprise Financial Services Corp. | 65010 |
| 1004 | Financial Institutions, Inc. | 25923 |
| 11347 | First BanCorp | 226713 |
| 1441 | First Community Bankshares, Inc. | 54182 |
| 2252 | First Financial Corp. | 116744 |
| 400 | Great Southern Bancorp, Inc. | 22376 |
| 8589 | Hanmi Financial Corp. | 196860 |
| 1090 | Horizon Bancorp, Inc. | 16176 |
| 3074 | Independent Bank Corp. | 96923 |
| 221 | Northrim BanCorp, Inc. | 20244 |
| 2032 | OceanFirst Financial Corp. | 34158 |
| 3609 | OFG Bancorp | 148474 |
| 1222 | Old National Bancorp | 25491 |
| 613 | Republic Bancorp, Inc. – Class A | 42015 |
| 1715 | Simmons First National Corp. – Class A | 32173 |
| 1390 | Synovus Financial Corp. | 66484 |
| 1571 | Trustmark Corp. | 54137 |
|  | Total Banks | 2777481 |
|  | **Capital Goods — 10.1%** | **Capital Goods — 10.1%** |
| 3280 | AGCO Corp. | 321374 |
| 1788 | Allison Transmission Holdings, Inc. | 185094 |
| 3735 | Apogee Enterprises, Inc. | 144358 |
| 2387 | Atkore, Inc. | 155394 |
| 1207 | AZZ, Inc. | 109463 |
| 781 | BlueLinx Holdings, Inc. <sup>\*</sup> | 52264 |
| 780 | DXP Enterprises, Inc. <sup>\*</sup> | 64490 |
| 17170 | Gates Industrial Corp. PLC <sup>\*</sup> | 363145 |
| 1489 | Greenbrier Cos., Inc. | 67109 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Capital Goods — continued** | **Capital Goods — continued** |
| 7080 | Hudson Technologies, Inc. <sup>\*</sup> | 50622 |
| 1159 | Hyster-Yale, Inc. | 46545 |
| 7363 | JELD-WEN Holding, Inc. <sup>\*</sup> | 26875 |
| 11773 | Kennametal, Inc. | 253473 |
| 16589 | Masterbrand, Inc. <sup>\*</sup> | 169208 |
| 1621 | Matrix Service Co. <sup>\*</sup> | 19809 |
| 1340 | Miller Industries, Inc. | 60742 |
| 4224 | MRC Global, Inc. <sup>\*</sup> | 52420 |
| 309 | Mueller Industries, Inc. | 24062 |
| 1273 | Mueller Water Products, Inc. – Class A | 31227 |
| 832 | Oshkosh Corp. | 82526 |
| 1152 | Park-Ohio Holdings Corp. | 21082 |
| 539 | Preformed Line Products Co. | 76883 |
| 2641 | Primoris Services Corp. | 190442 |
| 15047 | Resideo Technologies, Inc. <sup>\*</sup> | 311473 |
| 300 | Rush Enterprises, Inc. – Class B | 15664 |
| 2081 | Tennant Co. | 154868 |
| 8510 | Terex Corp. | 383035 |
| 1059 | Worthington Enterprises, Inc. | 62386 |
|  | Total Capital Goods | 3496033 |
|  | **Commercial & Professional Services — 8.0%** | **Commercial & Professional Services — 8.0%** |
| 4981 | ABM Industries, Inc. | 262250 |
| 33149 | ACCO Brands Corp. | 119005 |
| 3200 | Barrett Business Services, Inc. | 132240 |
| 6053 | Brady Corp. – Class A | 422318 |
| 5361 | BrightView Holdings, Inc. <sup>\*</sup> | 83524 |
| 1935 | Cimpress PLC <sup>\*</sup> | 85643 |
| 3384 | Concentrix Corp. | 189386 |
| 1663 | CSG Systems International, Inc. | 109858 |
| 10995 | Deluxe Corp. | 156899 |
| 4971 | Heidrick & Struggles International, Inc. | 217034 |
| 1357 | HNI Corp. | 63141 |
| 1796 | IBEX Holdings Ltd. <sup>\*</sup> | 51707 |
| 9627 | Interface, Inc. | 193406 |
| 7365 | Kelly Services, Inc. – Class A | 86318 |
| 1307 | ManpowerGroup, Inc. | 54829 |
| 21414 | Pitney Bowes, Inc. | 220564 |
| 10690 | Resources Connection, Inc. | 55748 |
| 16536 | Steelcase, Inc. – Class A | 170486 |
| 5005 | TrueBlue, Inc. <sup>\*</sup> | 30030 |
| 2321 | Upwork, Inc. <sup>\*</sup> | 35952 |
|  | Total Commercial & Professional Services | 2740338 |
|  | **Consumer Discretionary Distribution & Retail — 5.2%** | **Consumer Discretionary Distribution & Retail — 5.2%** |
| 347 | AutoNation, Inc. <sup>\*</sup> | 63796 |
| 444 | Buckle, Inc. | 18919 |
| 2190 | Cato Corp. – Class A | 5606 |
| 1913 | Genesco, Inc. <sup>\*</sup> | 41570 |
| 360 | Group 1 Automotive, Inc. | 152611 |
| 1398 | Guess?, Inc. | 14651 |
| 42114 | Kohl's Corp. | 342387 |

---

------

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

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Consumer Discretionary Distribution & Retail —<br>continued** | **Consumer Discretionary Distribution & Retail —<br>continued** |
| 26775 | Macy's, Inc. | 318355 |
| 20316 | Sally Beauty Holdings, Inc. <sup>\*</sup> | 176952 |
| 3979 | Shoe Carnival, Inc. | 76476 |
| 2426 | Signet Jewelers Ltd. | 161499 |
| 3182 | Upbound Group, Inc. | 72995 |
| 1888 | Urban Outfitters, Inc. <sup>\*</sup> | 131971 |
| 9476 | Victoria's Secret & Co. <sup>\*</sup> | 200986 |
| 494 | Weyco Group, Inc. | 15492 |
|  | Total Consumer Discretionary Distribution & Retail | 1794266 |
|  | **Consumer Durables & Apparel — 6.1%** | **Consumer Durables & Apparel — 6.1%** |
| 1982 | Beazer Homes USA, Inc. <sup>\*</sup> | 40671 |
| 5802 | Carter's, Inc. | 182009 |
| 2361 | Century Communities, Inc. | 122465 |
| 5911 | Ethan Allen Interiors, Inc. | 154454 |
| 7622 | G-III Apparel Group Ltd. <sup>\*</sup> | 221419 |
| 926 | Helen of Troy Ltd. <sup>\*</sup> | 24900 |
| 1368 | Hooker Furnishings Corp. | 13434 |
| 1124 | Johnson Outdoors, Inc. – Class A | 30561 |
| 5558 | La-Z-Boy, Inc. | 232825 |
| 874 | Movado Group, Inc. | 14159 |
| 6524 | Polaris, Inc. | 255871 |
| 8381 | Sonos, Inc. <sup>\*</sup> | 86157 |
| 2065 | Steven Madden Ltd. | 50902 |
| 2694 | Taylor Morrison Home Corp. <sup>\*</sup> | 151618 |
| 3968 | Tri Pointe Homes, Inc. <sup>\*</sup> | 116977 |
| 2400 | Universal Electronics, Inc. <sup>\*</sup> | 15864 |
| 5034 | Whirlpool Corp. | 393105 |
|  | Total Consumer Durables & Apparel | 2107391 |
|  | **Consumer Services — 5.3%** | **Consumer Services — 5.3%** |
| 5912 | Adtalem Global Education, Inc. <sup>\*</sup> | 780561 |
| 753 | American Public Education, Inc. <sup>\*</sup> | 22176 |
| 1896 | Bloomin' Brands, Inc. | 14467 |
| 762 | Dine Brands Global, Inc. | 18334 |
| 185 | Graham Holdings Co. – Class B | 176566 |
| 116 | Grand Canyon Education, Inc. <sup>\*</sup> | 22950 |
| 2834 | H&R Block, Inc. | 161396 |
| 16861 | Perdoceo Education Corp. | 573948 |
| 1452 | Travel & Leisure Co. | 70524 |
|  | Total Consumer Services | 1840922 |
|  | **Consumer Staples Distribution & Retail — 2.6%** | **Consumer Staples Distribution & Retail — 2.6%** |
| 2161 | Ingles Markets, Inc. – Class A | 134630 |
| 4267 | Maplebear, Inc. <sup>\*</sup> | 194874 |
| 188 | PriceSmart, Inc. | 20300 |
| 5461 | SpartanNash Co. | 106271 |
| 9927 | United Natural Foods, Inc. <sup>\*</sup> | 303469 |
| 1140 | Village Super Market, Inc. – Class A | 43981 |
| 1396 | Weis Markets, Inc. | 105817 |
|  | Total Consumer Staples Distribution & Retail | 909342 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Energy — 1.1%** | |
| 2292 | Excelerate Energy, Inc. – Class A | 64474 |
| 9097 | FutureFuel Corp. | 35933 |
| 1005 | International Seaways, Inc. | 37235 |
| 8658 | World Kinect Corp. | 237143 |
|  | Total Energy | 374785 |
|  | **Equity Real Estate Investment Trusts (REITs) — 4.7%** | **Equity Real Estate Investment Trusts (REITs) — 4.7%** |
| 4094 | American Assets Trust, Inc. – (REIT) | 81634 |
| 5273 | Brandywine Realty Trust – (REIT) | 22305 |
| 8121 | Brixmor Property Group, Inc. – (REIT) | 206355 |
| 1973 | Broadstone Net Lease, Inc. – (REIT) | 31390 |
| 1484 | CareTrust REIT, Inc. | 42680 |
| 1861 | DiamondRock Hospitality Co. – (REIT) | 14218 |
| 23775 | Diversified Healthcare Trust – (REIT) | 74416 |
| 4735 | Douglas Emmett, Inc. – (REIT) | 67379 |
| 7801 | Empire State Realty Trust, Inc. – Class A, (REIT) | 59756 |
| 1954 | EPR Properties – (REIT) | 108818 |
| 13716 | Industrial Logistics Properties Trust – (REIT) | 45126 |
| 415 | Innovative Industrial Properties, Inc. – (REIT) | 22916 |
| 1581 | LTC Properties, Inc. – (REIT) | 55951 |
| 2492 | Millrose Properties, Inc. – Class A, (REIT) | 69452 |
| 21306 | Outfront Media, Inc. – (REIT) | 351975 |
| 2027 | Park Hotels & Resorts, Inc. – (REIT) | 21000 |
| 27400 | Piedmont Office Realty Trust, Inc. – Class A, (REIT) | 195088 |
| 1113 | Safehold, Inc. – (REIT) | 16773 |
| 5974 | Service Properties Trust – (REIT) | 13860 |
| 5027 | Summit Hotel Properties, Inc. – (REIT) | 22018 |
| 1132 | Urban Edge Properties – (REIT) | 20557 |
| 1519 | Veris Residential, Inc. – (REIT) | 23089 |
| 2995 | Whitestone – (REIT) | 36898 |
|  | Total Equity Real Estate Investment Trusts (REITs) | 1603654 |
|  | **Financial Services — 12.5%** | **Financial Services — 12.5%** |
| 2771 | Bread Financial Holdings, Inc. | 141986 |
| 3625 | Enact Holdings, Inc. | 128325 |
| 6519 | Enova International, Inc. <sup>\*</sup> | 604116 |
| 2659 | EZCORP, Inc. – Class A <sup>\*</sup> | 35764 |
| 133 | Federated Hermes, Inc. | 5613 |
| 9553 | Invesco Ltd. | 138136 |
| 5388 | Jackson Financial, Inc. – Class A | 441331 |
| 25877 | MGIC Investment Corp. | 684447 |
| 338 | Mr. Cooper Group, Inc. <sup>\*</sup> | 43781 |
| 8832 | Navient Corp. | 118702 |
| 8186 | NMI Holdings, Inc. <sup>\*</sup> | 325148 |
| 1054 | Oppenheimer Holdings, Inc. – Class A | 68816 |
| 6962 | PROG Holdings, Inc. | 200714 |
| 18606 | Radian Group, Inc. | 635395 |
| 1499 | Regional Management Corp. | 39649 |
| 17042 | SLM Corp. | 551649 |
| 2550 | Virtu Financial, Inc. – Class A | 102484 |

---

------

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

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Financial Services — continued** | **Financial Services — continued** |
| 2039 | Waterstone Financial, Inc. | 26344 |
| 588 | Westwood Holdings Group, Inc. | 8696 |
|  | Total Financial Services | 4301096 |
|  | **Food, Beverage & Tobacco — 4.3%** | **Food, Beverage & Tobacco — 4.3%** |
| 4583 | Cal-Maine Foods, Inc. | 439647 |
| 280 | Coca-Cola Consolidated, Inc. | 32102 |
| 3284 | Fresh Del Monte Produce, Inc. | 115991 |
| 528 | MGP Ingredients, Inc. | 15534 |
| 2892 | Pilgrim's Pride Corp. | 142171 |
| 953 | Seneca Foods Corp. – Class A <sup>\*</sup> | 89877 |
| 1025 | Simply Good Foods Co. <sup>\*</sup> | 35373 |
| 3075 | Turning Point Brands, Inc. | 228534 |
| 5353 | Universal Corp. | 350033 |
| 2608 | WK Kellogg Co. | 44127 |
|  | Total Food, Beverage & Tobacco | 1493389 |
|  | **Health Care Equipment & Services — 1.9%** | **Health Care Equipment & Services — 1.9%** |
| 5815 | AMN Healthcare Services, Inc. <sup>\*</sup> | 122755 |
| 834 | Electromed, Inc. <sup>\*</sup> | 16847 |
| 12331 | OraSure Technologies, Inc. <sup>\*</sup> | 35513 |
| 19502 | Premier, Inc. – Class A | 448156 |
| 944 | TruBridge, Inc. <sup>\*</sup> | 22590 |
|  | Total Health Care Equipment & Services | 645861 |
|  | **Household & Personal Products — 0.7%** | **Household & Personal Products — 0.7%** |
| 4505 | Edgewell Personal Care Co. | 124428 |
| 8391 | Herbalife Ltd. <sup>\*</sup> | 65534 |
| 6813 | Nu Skin Enterprises, Inc. – Class A | 58796 |
|  | Total Household & Personal Products | 248758 |
|  | **Insurance — 7.2%** |  |
| 9561 | CNO Financial Group, Inc. | 362936 |
| 2000 | Employers Holdings, Inc. | 97340 |
| 7863 | Genworth Financial, Inc. <sup>\*</sup> | 55434 |
| 1249 | Heritage Insurance Holdings, Inc. <sup>\*</sup> | 30563 |
| 94 | Investors Title Co. | 21998 |
| 15751 | Lincoln National Corp. | 521988 |
| 9961 | Old Republic International Corp. | 376526 |
| 3419 | Stewart Information Services Corp. | 206302 |
| 2723 | Universal Insurance Holdings, Inc. | 73902 |
| 8858 | Unum Group | 723787 |
|  | Total Insurance | 2470776 |
|  | **Materials — 2.0%** | **Materials — 2.0%** |
| 1514 | AdvanSix, Inc. | 35594 |
| 2371 | Commercial Metals Co. | 110465 |
| 241 | Hawkins, Inc. | 32171 |
| 1408 | Idaho Strategic Resources, Inc. <sup>\*</sup> | 18628 |
| 3519 | Koppers Holdings, Inc. | 108104 |
| 2981 | Radius Recycling, Inc. | 88267 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Materials — continued** | **Materials — continued** |
| 1808 | Ryerson Holding Corp. | 37534 |
| 2722 | Sealed Air Corp. | 87648 |
| 3789 | SunCoke Energy, Inc. | 30842 |
| 1818 | Sylvamo Corp. | 96300 |
| 1218 | Warrior Met Coal, Inc. | 55358 |
|  | Total Materials | 700911 |
|  | **Media & Entertainment — 2.2%** | **Media & Entertainment — 2.2%** |
| 3624 | Cars.com, Inc. <sup>\*</sup> | 37146 |
| 14785 | Eventbrite, Inc. – Class A <sup>\*</sup> | 34893 |
| 6121 | Gray Media, Inc. | 24300 |
| 240 | Lee Enterprises, Inc. <sup>\*</sup> | 1476 |
| 5832 | Shutterstock, Inc. | 107600 |
| 10118 | Yelp, Inc. <sup>\*</sup> | 386204 |
| 5576 | Ziff Davis, Inc. <sup>\*</sup> | 180886 |
|  | Total Media & Entertainment | 772505 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences —1.5%** | **Pharmaceuticals, Biotechnology & Life Sciences —1.5%** |
| 2790 | Jazz Pharmaceuticals PLC <sup>\*</sup> | 301515 |
| 700 | Phibro Animal Health Corp. – Class A | 17094 |
| 5264 | Supernus Pharmaceuticals, Inc. <sup>\*</sup> | 166869 |
| 3689 | Vanda Pharmaceuticals, Inc. <sup>\*</sup> | 16010 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 501488 |
|  | **Real Estate Management & Development — 1.8%** | **Real Estate Management & Development — 1.8%** |
| 12743 | Douglas Elliman, Inc. <sup>\*</sup> | 34661 |
| 1476 | Jones Lang LaSalle, Inc. <sup>\*</sup> | 328705 |
| 23236 | Newmark Group, Inc. – Class A | 255828 |
| 1889 | RE/MAX Holdings, Inc. – Class A <sup>\*</sup> | 14262 |
|  | Total Real Estate Management & Development | &nbsp;&nbsp;&nbsp;&nbsp;633456 |
|  | **Semiconductors & Semiconductor Equipment —2.2%** | **Semiconductors & Semiconductor Equipment —2.2%** |
| 1500 | Axcelis Technologies, Inc. <sup>\*</sup> | 84510 |
| 5032 | Cirrus Logic, Inc. <sup>\*</sup> | 494947 |
| 1582 | Diodes, Inc. <sup>\*</sup> | 70241 |
| 5494 | Photronics, Inc. <sup>\*</sup> | 91805 |
|  | Total Semiconductors & Semiconductor Equipment | 741503 |
|  | **Software & Services — 1.4%** | **Software & Services — 1.4%** |
| 1963 | ASGN, Inc. <sup>\*</sup> | 103666 |
| 3239 | Backblaze, Inc. – Class A <sup>\*</sup> | 18462 |
| 3338 | N-able, Inc. <sup>\*</sup> | 26003 |
| 8167 | Olo, Inc. – Class A <sup>\*</sup> | 71135 |
| 3370 | Progress Software Corp. | 207457 |
| 6386 | Unisys Corp. <sup>\*</sup> | 30461 |
| 2360 | Viant Technology, Inc. – Class A <sup>\*</sup> | 32545 |
|  | Total Software & Services | 489729 |

---

------

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

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Technology Hardware & Equipment — 2.7%** | **Technology Hardware & Equipment — 2.7%** |
| 8023 | Avnet, Inc. | 401230 |
| 3790 | Benchmark Electronics, Inc. | 138411 |
| 2139 | Kimball Electronics, Inc. <sup>\*</sup> | 38716 |
| 2537 | NETGEAR, Inc. <sup>\*</sup> | 74410 |
| 8158 | TTM Technologies, Inc. <sup>\*</sup> | 243598 |
| 2695 | Turtle Beach Corp. <sup>\*</sup> | 30939 |
|  | Total Technology Hardware & Equipment | 927304 |
|  | **Telecommunication Services — 0.3%** | **Telecommunication Services — 0.3%** |
| 5621 | Spok Holdings, Inc. | 91060 |
|  | **Transportation — 1.3%** | **Transportation — 1.3%** |
| 1456 | Alaska Air Group, Inc. <sup>\*</sup> | 74154 |
| 1141 | ArcBest Corp. | 71529 |
| 12243 | Hertz Global Holdings, Inc. <sup>\*</sup> | 80192 |
| 1753 | Matson, Inc. | 197826 |
| 3619 | Sun Country Airlines Holdings, Inc. <sup>\*</sup> | 41908 |
|  | Total Transportation | 465609 |
|  | **Utilities — 2.9%** | **Utilities — 2.9%** |
| 2619 | Avista Corp. | 100858 |
| 437 | Black Hills Corp. | 25551 |
| 6317 | MDU Resources Group, Inc. | 108589 |
| 1717 | Northwest Natural Holding Co. | 70346 |
| 1016 | Northwestern Energy Group, Inc. | 56215 |
| 544 | ONE Gas, Inc. | 40669 |
| 566 | Spire, Inc. | 42609 |
| 15077 | UGI Corp. | 543677 |
|  | Total Utilities | 988514 |
|  | TOTAL COMMON STOCKS<br>(COST $33,293,984) | 34206252 |
|  | **INVESTMENT FUNDS — 0.1%** |  |
|  | **United States — 0.1%** |  |
| 6865 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 34397 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $34,397) | 34397 |
|  | **SHORT-TERM INVESTMENTS — 0.6%** | **SHORT-TERM INVESTMENTS — 0.6%** |
|  | **Money Market Funds — 0.6%** |  |
| 215940 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 215940 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $215,940) | 215940 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $33,544,321) | **34456589** |
|  | Other Assets and Liabilities (net) — (0.0)% | (15832) |
|  | **TOTAL NET ASSETS — 100.0%** | **$34440757** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 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 May 31, 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 May 31, 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 | $— | $1565315 | $— | $1565315 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 5948972 |  | 5948972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 19480856 |  |  | 19480856 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 3049749 |  | 3049749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 22007665 |  | 22007665 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 11988084 |  | 11988084 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 47965948 |  | 47965948 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 18799174 |  | 18799174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 2485474 |  | 2485474 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 7488105 |  | 7488105 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 15367916 |  | 15367916 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 | $3687419 | $— | $— | $3687419 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 1432401 |  | 1432401 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 11930398 |  | 11930398 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 26417815 |  | 26417815 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 12403977 |  | 12403977 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 1340885 |  | 1340885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 1080406 |  | 1080406 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 1835400 | 2834654 |  | 4670054 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 218589573 |  |  | 218589573 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 243593248 | 194106938 | 0§ | 437700186 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 8225351 |  |  | 8225351 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 8225351 |  |  | 8225351 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 7438039 |  |  | 7438039 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 7438039 |  |  | 7438039 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 220062 |  |  | 220062 |
| &nbsp;&nbsp;&nbsp; Total Investments | 259476700 | 194106938 | 0§ | 453583638 |
| &nbsp;&nbsp;&nbsp; Total | $259476700 | $194106938 | $0§ | $453583638 |
| &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;**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; Brazil | $335500 | $2912585 | $— | $3248085 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 197848 |  | 197848 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 366283 |  | 366283 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 3539704 |  | 3539704 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 482496 | 13468004 | 9461 | 13959961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia | 30870 | 5432646 |  | 5463516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 45961 |  | 45961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 2755203 |  | 0§ | 2755203 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 83696 |  | 83696 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 255255 |  | 255255 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 946002 |  | 946002 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 581283 |  | 581283 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 10292177 |  | 10292177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 444636 | 20022305 |  | 20466941 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 4887297 |  | 4887297 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 2539664 |  | 2539664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 252811 |  | 252811 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 4048705 | 65823521 | 9461 | 69881687 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 2531785 |  | 2531785 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 59783 |  |  | 59783 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 59783 | 2531785 | 0§ | 2591568 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 549669 |  |  | 549669 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 549669 |  |  | 549669 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund (continued)** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund (continued)** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund (continued)** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund (continued)** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China 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; Short-Term Investments | $1261970 | $— | $— | $1261970 |
| &nbsp;&nbsp;&nbsp; Total Investments | 5920127 | 68355306 | 9461 | 74284894 |
| &nbsp;&nbsp;&nbsp; Total | $5920127 | $68355306 | $9461 | $74284894 |
| &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;**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; Brazil | $1734840 | $12922746 | $— | $14657586 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 19452999 | 91136304 | 1 | 110589304 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 27467 |  |  | 27467 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 640073 |  | 640073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 18490316 |  | 18490316 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 43575354 | 38103 | 43613457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 24269031 |  | 24269031 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 72093 |  | 72093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 10681006 |  | 0§ | 10681006 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 472912 |  | 472912 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 99625 |  | 99625 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 426297 |  | 426297 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 1456227 |  | 1456227 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 700036 |  | 700036 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 39147669 |  | 39147669 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sri Lanka |  |  | 312546 | 312546 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 1875397 | 81670274 |  | 83545671 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 24391065 |  | 24391065 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 9425824 |  | 9425824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 793914 |  | 793914 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 33771709 | 349689760 | 350650 | 383812119 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 139906 | 11593740 |  | 11733646 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 131292 |  |  | 131292 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 1298219 |  | 1298219 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 271198 | 12891959 | 0§ | 13163157 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 3530979 |  |  | 3530979 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 3530979 |  |  | 3530979 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1938292 |  |  | 1938292 |
| &nbsp;&nbsp;&nbsp; Total Investments | 39512178 | 362581719 | 350650 | 402444547 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 298875 |  |  | 298875 |
| &nbsp;&nbsp;&nbsp; Total | $39811053 | $362581719 | $350650 | $402743422 |
| &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;**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 | $— | $32279863 | $— | $32279863 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 9553215 |  | 9553215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 17496998 |  | 17496998 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 21733398 |  | 21733398 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 1953606 | 97333825 |  | 99287431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 68438224 |  | 68438224 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 29041604 | 13844 | 29055448 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 72057355 |  | 72057355 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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;**International Equity 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; Japan | $3681902 | $267669208 | $— | $271351110 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 86587988 |  | 86587988 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 13612384 |  | 13612384 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 3123020 |  | 3123020 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 50176389 |  | 50176389 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 76254974 |  | 76254974 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 6368236 |  | 6368236 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 2934740 | 59572739 |  | 62507479 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 67638516 | 84945454 |  | 152583970 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 76208764 | 996244874 | 13844 | 1072467482 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 1000209 |  | 1000209 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 1000209 |  | 1000209 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 62570555 |  |  | 62570555 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 62570555 |  |  | 62570555 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 1300964 |  |  | 1300964 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 1300964 |  |  | 1300964 |
| &nbsp;&nbsp;&nbsp; Total Investments | 140080283 | 997245083 | 13844 | 1137339210 |
| &nbsp;&nbsp;&nbsp; Total | $140080283 | $997245083 | $13844 | $1137339210 |
| &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;**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 | $— | $20400890 | $— | $20400890 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 5648319 |  | 5648319 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 4388403 |  | 4388403 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 56914696 |  |  | 56914696 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 3400131 |  | 3400131 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 1932294 |  | 1932294 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 2074604 | 46988668 |  | 49063272 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 24450160 |  | 24450160 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 9371479 |  | 9371479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 380995 | 8049061 |  | 8430056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 5201341 | 83823781 |  | 89025122 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 18500313 |  | 18500313 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 10824362 |  | 10824362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 6214 |  | 6214 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 5332851 |  | 5332851 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 26473969 |  | 26473969 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 10627377 |  | 10627377 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 8349588 | 23990733 |  | 32340321 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 21592742 | 15496143 |  | 37088885 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 94513966 | 319705148 | 0§ | 414219114 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 5077587 |  | 5077587 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 5077587 |  | 5077587 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 21486 |  |  | 21486 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 21486 |  |  | 21486 |
| &nbsp;&nbsp;&nbsp; Total Investments | 94535452 | 324782735 | 0§ | 419318187 |
| &nbsp;&nbsp;&nbsp; Total | $94535452 | $324782735 | $0§ | $419318187 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks | $— | $179754162 | $— | $179754162 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 988653 |  |  | 988653 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 18566 |  |  | 18566 |
| &nbsp;&nbsp;&nbsp; Total Investments | 1007219 | 179754162 |  | 180761381 |
| &nbsp;&nbsp;&nbsp; Total | $1007219 | $179754162 | $— | $180761381 |
| &nbsp;&nbsp;&nbsp;**Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark | $— | $90887762 | $— | $90887762 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 535549467 |  | 535549467 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 362830860 |  | 362830860 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 90270505 |  | 90270505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 84028835 |  | 84028835 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 191208036 |  | 191208036 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 341630342 |  | 341630342 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 915216851 |  | 915216851 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 7901523131 |  |  | 7901523131 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 7901523131 | 2611622658 |  | 10513145789 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 97193777 |  |  | 97193777 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 97193777 |  |  | 97193777 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 729050 |  |  | 729050 |
| &nbsp;&nbsp;&nbsp; Total Investments | 7999445958 | 2611622658 |  | 10611068616 |
| &nbsp;&nbsp;&nbsp; Total | $7999445958 | $2611622658 | $— | $10611068616 |
| &nbsp;&nbsp;&nbsp;**Resource Transition Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $205972 | $— | $— | $205972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 606674 |  | 606674 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 6061269 |  | 6061269 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 9188949 |  |  | 9188949 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 1168371 |  | 1168371 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 2611399 |  | 2611399 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 3149861 |  | 3149861 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 2810482 |  | 2810482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 939500 |  | 939500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 373603 |  | 373603 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 1266532 |  |  | 1266532 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 646178 |  | 646178 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 1832983 |  | 1832983 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 2893433 |  | 2893433 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 13318413 |  | 13318413 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 39343004 |  |  | 39343004 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 50004457 | 36412166 |  | 86416623 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 4832782 |  | 4832782 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 3088645 |  |  | 3088645 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 3088645 | 4832782 |  | 7921427 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 2756093 |  |  | 2756093 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 2756093 |  |  | 2756093 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Resource Transition Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | $214401 | $— | $— | $214401 |
| &nbsp;&nbsp;&nbsp; Total Investments | 56063596 | 41244948 |  | 97308544 |
| &nbsp;&nbsp;&nbsp; Total | $56063596 | $41244948 | $— | $97308544 |
| &nbsp;&nbsp;&nbsp;**Resources Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $81339957 | $— | $— | $81339957 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 11334253 |  | 11334253 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 6355727 |  | 6355727 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 50158259 |  | 50158259 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 89202616 |  |  | 89202616 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 8888804 |  | 8888804 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 20350579 |  | 20350579 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 23251822 |  | 23251822 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 21351230 |  | 21351230 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 4776147 |  | 4776147 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 5767838 |  | 5767838 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 7130410 |  | 7130410 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 7629140 |  | 7629140 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 9611011 |  |  | 9611011 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 4909857 |  | 4909857 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 33853570 |  | 33853570 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 1102573 |  | 1102573 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 49515207 |  | 49515207 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  |  | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 22026854 |  | 22026854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 2462122 |  | 2462122 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 4871790 | 208644190 |  | 213515980 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 434598394 |  |  | 434598394 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 619623768 | 489508582 | 2 | 1109132352 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 75148287 |  | 75148287 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 22772656 |  |  | 22772656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 22772656 | 75148287 | 0§ | 97920943 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 10117502 |  |  | 10117502 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 10117502 |  |  | 10117502 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 378689 |  |  | 378689 |
| &nbsp;&nbsp;&nbsp; Total Investments | 652892615 | 564656869 | 2 | 1217549486 |
| &nbsp;&nbsp;&nbsp; Total | $652892615 | $564656869 | $2 | $1217549486 |
| &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $544734691 | $— | $— | $544734691 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 16795071 |  |  | 16795071 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 138657 |  |  | 138657 |
| &nbsp;&nbsp;&nbsp; Total Investments | 561668419 |  |  | 561668419 |
| &nbsp;&nbsp;&nbsp; Total | $561668419 | $— | $— | $561668419 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks | $179988061 | $— | $— | $179988061 |
| &nbsp;&nbsp;&nbsp; Debt Obligations | 425623 |  |  | 425623 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 560172 |  |  | 560172 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 411025 |  |  | 411025 |
| &nbsp;&nbsp;&nbsp; Total Investments | 181384881 |  |  | 181384881 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 32181 |  |  | 32181 |
| &nbsp;&nbsp;&nbsp; Total | $181417062 | $— | $— | $181417062 |
| &nbsp;&nbsp;&nbsp;**U.S. Opportunistic Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $405209348 | $— | $— | $405209348 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 2593974 |  |  | 2593974 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1447085 |  |  | 1447085 |
| &nbsp;&nbsp;&nbsp; Total Investments | 409250407 |  |  | 409250407 |
| &nbsp;&nbsp;&nbsp; Total | $409250407 | $— | $— | $409250407 |
| &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $34206252 | $— | $— | $34206252 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 34397 |  |  | 34397 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 215940 |  |  | 215940 |
| &nbsp;&nbsp;&nbsp; Total Investments | 34456589 |  |  | 34456589 |
| &nbsp;&nbsp;&nbsp; Total | $34456589 | $— | $— | $34456589 |

---

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 May 31, 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 May 31, 2025 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | **Distributions<br>of Realized<br>Gains\*** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value,<br>end of<br>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;**Climate Change Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $11565483 | $40492556 | $44620000 | $93068 | $— | $84 | $(84) | $7438039 |
| &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;**Emerging Markets ex-China Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $344450 | $1205219 | $1000000 | $5202 | $— | $— | $— | $549669 |
| &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;**Emerging Markets Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; Anilana Hotels & Properties Ltd. | $316968 | $— | $— | $— | $— | $— | $(4422) | $312546 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 12532067 | 24573912 | 33575000 | 71515 |  |  |  | 3530979 |
| &nbsp;&nbsp;&nbsp; Totals | $12849035 | $24573912 | $33575000 | $71515 | $— | $— | $(4422) | $3843525 |
| &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;**International Equity Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $51870555 | $60700001 | $50000000 | $683270 | $— | $73394 | $(73395) | $62570555 |
| &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;**International Opportunistic Value Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $2486 | $28600000 | $28581000 | $52498 | $— | $— | $— | $21486 |
| &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;**Japan Value Creation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $5739519 | $8049134 | $12800000 | $50653 | $— | $7786 | $(7786) | $988653 |
| &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;**Quality Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $51968777 | $467800000 | $422575000 | $1406377 | $— | $— | $— | $97193777 |
| &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, Class VI | $1187313 | $4668780 | $3100000 | $18559 | $— | $150 | $(150) | $2756093 |
| &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; Kosmos Energy Ltd. | $76344437 | $12192906 | $4570631 | $— | $— | $(4067736) | $(30391237) | $49507739 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 26840502 | 161100000 | 177823000 | 231272 |  | 31855 | (31855) | 10117502 |
| &nbsp;&nbsp;&nbsp; Totals | $103184939 | $173292906 | $182393631 | $231272 | $— | $(4035881) | $(30423092) | $59625241 |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | **Distributions<br>of Realized<br>Gains\*** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value,<br>end of<br>period** |
| &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, Class VI | $9943792 | $39451278 | $32600000 | $150546 | $— | $6338 | $(6337) | $16795071 |
| &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, Class VI | $460172 | $3100000 | $3000000 | $14922 | $— | $— | $— | $560172 |
| &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, Class VI | $2208334 | $6435640 | $6050000 | $36218 | $— | $— | $— | $2593974 |
| &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, Class VI | $84397 | $300001 | $350000 | $1405 | $— | $168 | $(169) | $34397 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2025 through May 31, 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** 

Subsequent to May 31, 2025, GMO International Opportunistic Value Fund and GMO U.S. Opportunistic Value Fund received redemption requests in the amounts of $107,520,198 and $123,687,677, respectively.

\*\*\*

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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 20.4%** |  |
|  | **U.S. Government — 20.4%** | **U.S. Government — 20.4%** |
| 6910000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.48%, due 07/31/26 <sup>(a)</sup> | 6919155 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $6,909,948) | 6919155 |
|  | **SHORT-TERM INVESTMENTS — 92.4%** | **SHORT-TERM INVESTMENTS — 92.4%** |
|  | **Money Market Funds — 7.0%** | **Money Market Funds — 7.0%** |
| 2360345 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 2360345 |
|  | **Repurchase Agreements — 85.4%** | **Repurchase Agreements — 85.4%** |
| 28999360 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/30/25 maturing on 06/02/25 with a maturity value of $29,009,823 and an effective yield of 4.33%, collateralized by a U.S. Treasury Note with maturity date 07/15/27 and a market value of $29,627,591. | 28999360 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $31,359,705) | 31359705 |
|  | **TOTAL INVESTMENTS — 112.8%**<br> (Cost $38,269,653) | **38278860** |
|  | Other Assets and Liabilities (net) — (12.8)% | (4328898) |
|  | **TOTAL NET ASSETS — 100.0%** | **$33949962** |

---

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

A summary of outstanding financial instruments at May 31, 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 |  |  |  |  |
| 99 | U.S. Long Bond (CBT) | September 2025 | 11165344 | 63033 |
| 97 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 10742750 | 59059 |
| 55 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 11409063 | 14515 |
| 213 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 23043937 | 48962 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br>**Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 204 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2025 | 22959562 | 43703 |
| 67 | U.S. Ultra Bond (CBT) | September 2025 | 7776188 | 54883 |
|  |  |  | $87096844 | $284155 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

------

**GMO Asset Allocation Bond Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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 Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.EM.S43 | USD | 12200000 | 1.00% | 1.72% | N/A | 06/20/2030 | Quarterly | $431880 | $389997 | $(41883) |

---

---

| | |
|:---|:---|
| ^ | 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 May 31, 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. 

As of May 31, 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, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 2025, which are subject to change based on the terms of the security.

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

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 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 — 96.4%** | **DEBT OBLIGATIONS — 96.4%** |
|  | | **Albania — 2.4%** | **Albania — 2.4%** |
|  | | **Corporate Debt — 0.8%** | **Corporate Debt — 0.8%** |
|  EUR | 17500000 | Delphos Securities SARL - Compartment Bernina, 7.63%, due 04/08/35 | 19412420 |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.6%** | **Sovereign and Sovereign Agency Issuers — 1.6%** |
|  | 36649849 | Albania Government International Bonds, Zero Coupon, due 08/31/25 <sup>(a)</sup> <sup>(b)</sup> | 36247215 |
|  |  | Total Albania | 55659635 |
|  |  | **Angola — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17000000 | Angola Government International Bonds, Reg S, 9.38%, due 05/08/48 | 12469500 |
|  | 7200000 | Angola Government International Bonds, Reg S, 9.13%, due 11/26/49 | 5166000 |
|  |  | Total Angola | &nbsp;&nbsp;&nbsp;&nbsp;17635500 |
|  |  | **Argentina — 3.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.7%** | **Sovereign and Sovereign Agency Issuers — 3.7%** |
|  EUR | 2869273 | Argentina Government International Bonds, Step Up, 3.75%, due 07/09/46 | 2054116 |
|  | 8721642 | Argentina Republic Government International Bonds, 1.00%, due 07/09/29 | 7155777 |
|  | 21061474 | Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30 | 16480603 |
|  JPY | 270265556 | Argentina Republic Government International Bonds, 4.33%, due 12/31/33 <sup>(c)</sup> | 386912 |
|  EUR | 7800000 | Argentina Republic Government International Bonds, Step Up, 3.88%, due 07/09/35 | 5716878 |
|  EUR | 20160000 | Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38 | 15737339 |
|  JPY | 246273000 | Argentina Republic Government International Bonds, 0.67%, due 12/31/38 <sup>(c)</sup> | 215646 |
|  EUR | 6060000 | Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41 | 4167236 |
|  | 48987750 | Argentina Republic Government International Bonds, Step Up, 4.13%, due 07/09/46 | 32009575 |
|  |  | Total Argentina | 83924082 |
|  |  | **Armenia — 0.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 6900000 | Republic of Armenia International Bonds, Reg S, 3.60%, due 02/02/31 | 5854236 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Armenia — continued** | |
|  | | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
|  | 4100000 | Republic of Armenia International Bonds, Reg S, 6.75%, due 03/12/35 | 3904865 |
|  |  | Total Armenia | 9759101 |
|  |  | **Bahamas — 0.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.7%** | **Sovereign and Sovereign Agency Issuers — 0.7%** |
|  | 4000000 | Bahamas Government International Bonds, Reg S, 9.00%, due 06/16/29 | 4136800 |
|  | 11840000 | Bahamas Government International Bonds, Reg S, 8.95%, due 10/15/32 | 12313600 |
|  |  | Total Bahamas | &nbsp;&nbsp;&nbsp;&nbsp;16450400 |
|  |  | **Bahrain — 2.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.1%** | **Sovereign and Sovereign Agency Issuers — 2.1%** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37296000 | Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44 <sup>(d)</sup> | 30419736 |
|  | 22550000 | Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51 <sup>(d)</sup> | 18387721 |
|  |  | Total Bahrain | 48807457 |
|  |  | **Barbados — 0.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  | 12618000 | Barbados Government International Bonds, Reg S, 6.50%, due 10/01/29 | 12012967 |
|  |  | **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>(e)</sup> | 4277280 |
|  | 18400000 | Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 <sup>(c) (e)</sup> | 13984000 |
|  |  | Total Belarus | 18261280 |
|  |  | **Benin — 0.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  EUR | 3350000 | Benin Government International Bonds, Reg S, 6.88%, due 01/19/52 | 3044661 |
|  |  | **Bolivia — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 7600000 | Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 <sup>(d)</sup> | 5073000 |
|  |  | **Brazil — 1.5%** |  |
|  |  | **Corporate Debt — 0.9%** | **Corporate Debt — 0.9%** |
|  | 1800000 | Braskem Netherlands Finance BV, Reg S, 8.00%, due 10/15/34 | 1606500 |
|  | 12014797 | MV24 Capital BV, Reg S, 6.75%, due 06/01/34 | 11514141 |
|  | 7235614 | Yinson Boronia Production BV, Reg S, 8.95%, due 07/31/42 | 7538063 |
|  |  |  | 20658704 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 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** | |
|  | | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  | 9900000 | Brazil Government International Bonds, 4.75%, due 01/14/50 | 6817833 |
|  BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43205791 | Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 <sup>(f)</sup> | 7032349 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;13850182 |
|  |  | Total Brazil | 34508886 |
|  |  | **Bulgaria — 0.1%** |  |
|  |  | **Corporate Debt — 0.1%** |  |
|  EUR | 2500000 | Eastern European Electric Co. BV, 144A, 6.50%, due 05/15/30 | 2885196 |
|  |  | **Cameroon — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  EUR | 19550000 | Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32 | 17182622 |
|  |  | **Chile — 1.6%** |  |
|  |  | **Corporate Debt — 0.8%** |  |
|  | 15951000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 <sup>(a)</sup> | 13937984 |
|  | 4565000 | EnfraGen Energia Sur SA/EnfraGen Spain SA/Prime Energia SpA, Reg S, 5.38%, due 12/30/30 | 3942882 |
|  |  |  | 17880866 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 3720000 | Chile Electricity Lux MPC SARL, Reg S, 6.01%, due 01/20/33 | 3794400 |
|  | 4200000 | Chile Government International Bonds, 3.10%, due 05/07/41 | 3049200 |
|  | 4985275 | Chile Electricity Lux MPC II SARL, Reg S, 5.58%, due 10/20/35 | 4952871 |
|  | 1142000 | Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31 | 991542 |
|  | 8650000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 6357836 |
|  |  |  | 19145849 |
|  |  | Total Chile | 37026715 |
|  |  | **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>(e)</sup> | 127500 |
|  | 13000000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 <sup>(e)</sup> | 162500 |
|  | 6800000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 <sup>(e)</sup> | 85000 |
|  | 5500000 | Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 <sup>(e)</sup> | 68750 |
|  | 1900000 | Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 <sup>(e)</sup> | 23750 |

---

---

| | | | |
|:---|:---|:---|:---|
| &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** |
|  | 3300000 | Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 <sup>(e)</sup> | 41250 |
|  | 3700000 | Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 <sup>(e)</sup> | 46250 |
|  |  | Total China | 555000 |
|  |  | **Colombia — 4.5%** | **Colombia — 4.5%** |
|  |  | **Corporate Debt — 0.7%** | **Corporate Debt — 0.7%** |
|  | 10890000 | AI Candelaria Spain SA, Reg S, 5.75%, due 06/15/33 | 9059391 |
|  COP | 27228422992 | PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36 | 5439131 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;14498522 |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.8%** | **Sovereign and Sovereign Agency Issuers — 3.8%** |
|  | 992000 | Colombia Government International Bonds, 8.38%, due 02/15/27 <sup>(a)</sup> | 1021906 |
|  | 2800000 | Colombia Government International Bonds, 11.85%, due 03/09/28 <sup>(a)</sup> | 3168433 |
|  | 11000000 | Colombia Government International Bonds, 4.13%, due 02/22/42 | 6886000 |
|  | 60600000 | Colombia Government International Bonds, 5.63%, due 02/26/44 | 44101650 |
|  | 21970000 | Colombia Government International Bonds, 5.00%, due 06/15/45 | 14588080 |
|  | 8000000 | Colombia Government International Bonds, 5.20%, due 05/15/49 | 5264000 |
|  | 2850000 | Ecopetrol SA, 8.38%, due 01/19/36 | 2710464 |
|  | 7720000 | Ecopetrol SA, 5.88%, due 05/28/45 | 5196332 |
|  COP | 18236000000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 3993925 |
|  |  |  | 86930790 |
|  |  | Total Colombia | 101429312 |
|  |  | **Congo Republic (Brazzaville) — 1.0%** | **Congo Republic (Brazzaville) — 1.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
|  | 27565247 | Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 <sup>(c)</sup> | 22943382 |
|  |  | **Costa Rica — 1.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.2%** | **Sovereign and Sovereign Agency Issuers — 1.2%** |
|  | 4400000 | Costa Rica Government International Bonds, Reg S, 6.55%, due 04/03/34 | 4521000 |
|  | 21131000 | Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45 | 21617013 |
|  |  | Total Costa Rica | 26138013 |
|  |  | **Cote D'Ivoire — 0.8%** | **Cote D'Ivoire — 0.8%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  EUR | 21050000 | Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48 | 18142524 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 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 ($)** |
|  | | **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 | 3565263 |
|  |  | **Dominican Republic — 1.9%** |  |
|  |  | **Corporate Debt — 0.2%** |  |
|  | 3375000 | Polaris Renewable Energy, Inc., 9.50%, due 12/03/29 | 3455930 |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.7%** | **Sovereign and Sovereign Agency Issuers — 1.7%** |
|  DOP | 60500000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 1170554 |
|  DOP | &nbsp;&nbsp;&nbsp;&nbsp;230000000 | Dominican Republic International Bonds, Reg S, 10.75%, due 06/01/36 | 3857109 |
|  | 1000000 | Dominican Republic International Bonds, Reg S, 5.30%, due 01/21/41 | 844000 |
|  | 40654000 | Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60 | 33437915 |
|  |  |  | 39309578 |
|  |  | Total Dominican Republic | &nbsp;&nbsp;&nbsp;&nbsp;42765508 |
|  |  | **Ecuador — 3.0%** | **Ecuador — 3.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.0%** | **Sovereign and Sovereign Agency Issuers — 3.0%** |
|  | 5546892 | Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30 | 3472354 |
|  | 27126250 | Ecuador Government International Bonds, Reg S, Step Up, 6.90%, due 07/31/30 | 20968591 |
|  | 54193988 | Ecuador Government International Bonds, Reg S, Step Up, 5.50%, due 07/31/35 | 33700196 |
|  | 16603750 | Ecuador Government International Bonds, Reg S, Step Up, 5.00%, due 07/31/40 | 8916214 |
|  | 2196971 | Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35 | 1536913 |
|  |  | Total Ecuador | 68594268 |
|  |  | **Egypt — 3.2%** | **Egypt — 3.2%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.2%** | **Sovereign and Sovereign Agency Issuers — 3.2%** |
|  | 21270000 | Egypt Government International Bonds, Reg S, 8.50%, due 01/31/47 | 16266658 |
|  | 21800000 | Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49 | 16922250 |
|  | 22330000 | Egypt Government International Bonds, Reg S, 8.88%, due 05/29/50 | 17584875 |
|  | 31764000 | Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59 | 23038747 |
|  |  | Total Egypt | 73812530 |
|  |  | **El Salvador — 0.9%** | **El Salvador — 0.9%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.9%** | **Sovereign and Sovereign Agency Issuers — 0.9%** |
|  | 24000000 | El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50 | 19476000 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **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>(e)</sup> | 2394100 |
|  | **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 | 1894281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5800000 | Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31 | 4328250 |
| 9600000 | Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31 | 7140768 |
|  | Total Gabon | &nbsp;&nbsp;&nbsp;&nbsp;13363299 |
|  | **Ghana — 2.0%** | **Ghana — 2.0%** |
|  | **Sovereign and Sovereign Agency Issuers — 2.0%** | **Sovereign and Sovereign Agency Issuers — 2.0%** |
| 1896000 | Ghana Government International Bonds, Reg S, Zero Coupon, due 07/03/26 | 1834380 |
| 18118000 | Ghana Government International Bonds, Step Up, Reg S, 5.00%, due 07/03/29 | 16487380 |
| 4520990 | Ghana Government International Bonds, Reg S, Zero Coupon, due 01/03/30 | 3673304 |
| 27492000 | Ghana Government International Bonds, Step Up, Reg S, 5.00%, due 07/03/35 | 20275350 |
| 6469920 | Saderea DAC, Reg S, 12.50%, due 11/30/26 <sup>(e)</sup> | 4077926 |
|  | Total Ghana | 46348340 |
|  | **Grenada — 0.2%** | **Grenada — 0.2%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
| 3638684 | Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30 | 3507618 |
|  | **Guatemala — 1.2%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.2%** | **Sovereign and Sovereign Agency Issuers — 1.2%** |
| 3315000 | Guatemala Government Bonds, Reg S, 8.13%, due 10/06/34 | 3633240 |
| 4860000 | Guatemala Government Bonds, Reg S, 6.60%, due 06/13/36 | 4873820 |
| 4600000 | Guatemala Government Bonds, Reg S, 4.65%, due 10/07/41 | 3570894 |
| 16700000 | Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50 | 14762800 |
|  | Total Guatemala | 26840754 |
|  | **Honduras — 0.2%** | **Honduras — 0.2%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
| 2450000 | Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30 <sup>(d)</sup> | 2261963 |
| 2550000 | Honduras Government International Bonds, Reg S, 8.63%, due 11/27/34 <sup>(d)</sup> | 2586337 |
|  | Total Honduras | 4848300 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Hungary — 1.9%** | **Hungary — 1.9%** |
| | **Sovereign and Sovereign Agency Issuers — 1.9%** | **Sovereign and Sovereign Agency Issuers — 1.9%** |
| 32750000 | Hungary Government International Bonds, Reg S, 5.50%, due 03/26/36 | 30961850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22400000 | Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51 | 13011264 |
|  | Total Hungary | &nbsp;&nbsp;&nbsp;&nbsp;43973114 |
|  | **India — 0.9%** |  |
|  | **Corporate Debt — 0.9%** |  |
| 16088544 | Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.70%, due 03/12/42 <sup>(d)</sup> | 14359026 |
| 8851000 | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharashtra, Reg S, 4.63%, due 10/15/39 | 7080800 |
|  | Total India | 21439826 |
|  | **Indonesia — 0.9%** | **Indonesia — 0.9%** |
|  | **Corporate Debt — 0.3%** | **Corporate Debt — 0.3%** |
| 2908800 | LLPL Capital Pte. Ltd., Reg S,<br>6.88%, due 02/04/39 | 2883348 |
| 3980000 | Minejesa Capital BV, Reg S, 5.63%, due 08/10/37 | 3701400 |
|  |  | 6584748 |
|  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
| 6500000 | Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Reg S, 5.80%, due 05/15/50 | 5933720 |
| 2800000 | Indonesia Government International Bonds, 4.85%, due 01/11/33 | 2761500 |
| 3391000 | Indonesia Government International Bonds, 5.45%, due 09/20/52 | 3207886 |
| 2800000 | Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32 | 2748900 |
|  |  | 14652006 |
|  | Total Indonesia | 21236754 |
|  | **Iraq — 0.4%** | **Iraq — 0.4%** |
|  | **Corporate Debt — 0.4%** | **Corporate Debt — 0.4%** |
| 9350000 | Pearl Petroleum Co. Ltd., Reg S,<br>13.00%, due 05/15/28 | 9720447 |
|  | **Israel — 1.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 13983000 | Israel Electric Corp. Ltd., Reg S,<br>8.10%, due 12/15/96 | 18010803 |
| 11550000 | State of Israel, Reg S, 3.80%, due 05/13/60 | 7172550 |
|  | Total Israel | 25183353 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Jamaica — 0.3%** | **Jamaica — 0.3%** |
| | **Corporate Debt — 0.2%** | **Corporate Debt — 0.2%** |
| 5081315 | TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4639139 |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2675000 | Jamaica Government International Bonds, 7.88%, due 07/28/45 | 3063758 |
|  | Total Jamaica | 7702897 |
|  | **Jordan — 1.0%** | **Jordan — 1.0%** |
|  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
| 25745000 | Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47 | 22179317 |
|  | **Kazakhstan — 0.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
| 9680000 | KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48 | 8636399 |
|  | **Kenya — 1.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
| 10900000 | Republic of Kenya Government International Bonds, Reg S, 9.50%, due 03/05/36 | 9940800 |
| 27074000 | Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48 <sup>(d)</sup> | 21337832 |
|  | Total Kenya | 31278632 |
|  | **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 | 3786660 |
|  | **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 | 6729920 |
|  | **Lebanon — 1.0%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
| 6200000 | Lebanon Government International Bonds, Reg S, 6.85%, due 03/23/27 <sup>(e)</sup> | 1072600 |
| 5047000 | Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 <sup>(d)</sup> (e) | 873131 |
| 55005000 | Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 <sup>(e)</sup> | 9515865 |
| 19100000 | Lebanon Government International Bonds, Reg S, 8.20%, due 05/17/33 <sup>(e)</sup> | 3304300 |
| 51714000 | Lebanon Government International Bonds, Reg S, 8.25%, due 05/17/34 <sup>(d)</sup> (e) | 8946522 |
|  | Total Lebanon | 23712418 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 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 ($)** |
|  | | **Mexico — 6.6%** | **Mexico — 6.6%** |
|  | | **Corporate Debt — 0.4%** | **Corporate Debt — 0.4%** |
|  | 12140000 | Braskem Idesa SAPI, Reg S, 6.99%, due 02/20/32 <sup>(d)</sup> | 8965390 |
|  |  | **Sovereign and Sovereign Agency Issuers — 6.2%** | **Sovereign and Sovereign Agency Issuers — 6.2%** |
|  | 5000000 | Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49 | 4040000 |
|  | 2280000 | Mexico Government International Bonds, 5.75%, due 10/12/2110 | 1721685 |
|  GBP | 53906000 | Mexico Government International Bonds, 5.63%, due 03/19/2114 | 49679067 |
|  | 4700000 | Petroleos Mexicanos, Reg S, 6.63%, due 06/29/25 | 2961000 |
|  | 113500000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 83581400 |
|  |  |  | 141983152 |
|  |  | Total Mexico | 150948542 |
|  |  | **Mongolia — 0.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 8800000 | Development Bank of Mongolia LLC, 11.00%, due 03/07/26 | 8932000 |
|  |  | **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 | 1230300 |
|  |  | **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 | 3759150 |
|  |  | **Mozambique — 0.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 8276000 | Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31 | 6737161 |
|  |  | **Nigeria — 0.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.7%** | **Sovereign and Sovereign Agency Issuers — 0.7%** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20750000 | Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51 | 16166533 |
|  |  | **Oman — 1.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.5%** | **Sovereign and Sovereign Agency Issuers — 1.5%** |
|  | 34200000 | Oman Government International Bonds, Reg S, 6.75%, due 01/17/48 | &nbsp;&nbsp;&nbsp;&nbsp;34343298 |
|  |  | **Pakistan — 0.6%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  | 11300000 | Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36 | 8856375 |
|  | 2900000 | Pakistan Government International Bonds, Reg S, 8.88%, due 04/08/51 | 2273600 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Pakistan — continued** | |
| | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
| 4426000 | Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31 | 3385890 |
|  | Total Pakistan | &nbsp;&nbsp;&nbsp;&nbsp;14515865 |
|  | **Panama — 1.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
| 8937000 | Panama Government International Bonds, 8.13%, due 04/28/34 | 9473220 |
| 4600000 | Panama Government International Bonds, 4.50%, due 04/16/50 | 2925600 |
| 32500000 | Panama Government International Bonds, 4.50%, due 04/01/56 | 19950937 |
|  | Total Panama | 32349757 |
|  | **Peru — 2.4%** |  |
|  | **Corporate Debt — 0.4%** | **Corporate Debt — 0.4%** |
| 8967384 | Peru LNG SRL, Reg S, 5.38%, due 03/22/30 | 8272412 |
|  | **Sovereign and Sovereign Agency Issuers — 2.0%** | **Sovereign and Sovereign Agency Issuers — 2.0%** |
| 6200000 | Peru Government International Bonds, 5.88%, due 08/08/54 | 5849700 |
| 10800000 | Peru Government International Bonds, 3.60%, due 01/15/72 | 6528600 |
| 54145000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 32757725 |
|  |  | 45136025 |
|  | Total Peru | 53408437 |
|  | **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>(c)</sup> | 4733750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10400000 | Philippines Government International Bonds, 3.20%, due 07/06/46 | 7137000 |
|  | Total Philippines | 11870750 |
|  | **Poland — 3.5%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 3.5%** | **Sovereign and Sovereign Agency Issuers — 3.5%** |
| 36900000 | Republic of Poland Government International Bonds, 5.13%, due 09/18/34 | 36503325 |
| 30000000 | Republic of Poland Government International Bonds, 5.38%, due 02/12/35 | 29870700 |
| 1650000 | Republic of Poland Government International Bonds, 5.50%, due 04/04/53 | 1500263 |
| 11700000 | Republic of Poland Government International Bonds, 5.50%, due 03/18/54 | 10584112 |
|  | Total Poland | 78458400 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 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 ($)** |
|  | | **Republic of North Macedonia — 0.6%** | **Republic of North Macedonia — 0.6%** |
|  | | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  EUR | 11900000 | North Macedonia Government International Bonds, Reg S, 1.63%, due 03/10/28 | 12523869 |
|  |  | **Romania — 3.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.8%** | **Sovereign and Sovereign Agency Issuers — 3.8%** |
|  | 23258000 | Romania Government International Bonds, Reg S, 6.38%, due 01/30/34 | 22176736 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34450000 | Romania Government International Bonds, Reg S, 5.75%, due 03/24/35 | 30898205 |
|  EUR | 12300000 | Romania Government International Bonds, Reg S, 5.63%, due 02/22/36 | 13014670 |
|  | 10310000 | Romania Government International Bonds, Reg S, 7.50%, due 02/10/37 | 10351755 |
|  EUR | 4500000 | Romania Government International Bonds, Reg S, 2.88%, due 04/13/42 | 3147161 |
|  | 1900000 | Romania Government International Bonds, Reg S, 5.13%, due 06/15/48 | 1385100 |
|  EUR | 4500000 | Romania Government International Bonds, Reg S, 3.38%, due 01/28/50 | 3044383 |
|  | 2360000 | Romania Government International Bonds, Reg S, 7.63%, due 01/17/53 | 2279453 |
|  |  | Total Romania | &nbsp;&nbsp;&nbsp;&nbsp;86297463 |
|  |  | **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>(a) (e) (g)</sup> | 3435 |
|  | 5200000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 <sup>(a) (e) (g)</sup> | 2600 |
|  | 6800000 | GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 <sup>(a) (e) (g)</sup> | 3400 |
|  | 20000000 | Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 <sup>(a) (e) (g)</sup> | 10000 |
|  | 6400000 | Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 <sup>(a) (e) (g)</sup> | 3200 |
|  |  | Total Russia | 22635 |
|  |  | **Rwanda — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 5350000 | Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31 | 4500688 |
|  |  | **Saudi Arabia — 2.1%** |  |
|  |  | **Corporate Debt — 0.4%** |  |
|  | 9898756 | ACWA Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39 | 9805015 |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.7%** | **Sovereign and Sovereign Agency Issuers — 1.7%** |
|  | 8900000 | Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47 | 7236768 |
|  | 8400000 | Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53 | 6985104 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Saudi Arabia — continued** | |
|  | | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
|  | 11440000 | Saudi Government International Bonds, Reg S, 3.75%, due 01/21/55 | 7579000 |
|  | 28600000 | Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61 | 17082494 |
|  |  |  | 38883366 |
|  |  | Total Saudi Arabia | 48688381 |
|  |  | **Senegal — 0.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  EUR | 2400000 | Senegal Government International Bonds, Reg S, 4.75%, due 03/13/28 <sup>(d)</sup> | 2319725 |
|  | 13050000 | Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48 | 8156250 |
|  |  | Total Senegal | 10475975 |
|  |  | **Serbia — 0.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.7%** | **Sovereign and Sovereign Agency Issuers — 0.7%** |
|  | 9500000 | Serbia International Bonds, Reg S,<br>6.00%, due 06/12/34 | 9410985 |
|  EUR | 8100000 | Serbia International Bonds, Reg S,<br>2.05%, due 09/23/36 | 6808762 |
|  |  | Total Serbia | 16219747 |
|  |  | **South Africa — 2.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.2%** | **Sovereign and Sovereign Agency Issuers — 2.2%** |
|  ZAR | &nbsp;&nbsp;&nbsp;&nbsp;150350000 | Eskom Holdings SOC Ltd., Zero Coupon, due 12/31/32 | 2638284 |
|  | 51390000 | Republic of South Africa Government International Bonds, 5.75%, due 09/30/49 | &nbsp;&nbsp;&nbsp;&nbsp;37129275 |
|  | 8300000 | Transnet SOC Ltd., Reg S, 8.25%, due 02/06/28 | 8462348 |
|  ZAR | 20200000 | Transnet SOC Ltd., Reg S, 13.50%, due 04/18/28 | 1133312 |
|  |  | Total South Africa | 49363219 |
|  |  | **Sri Lanka — 1.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.7%** | **Sovereign and Sovereign Agency Issuers — 1.7%** |
|  | 4621404 | Sri Lanka Government International Bonds, Reg S, 4.00%, due 04/15/28 | 4307148 |
|  | 6217885 | Sri Lanka Government International Bonds, Step Up, 144A, 3.10%, due 01/15/30 <sup>(d)</sup> | 5386243 |
|  | 12196276 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.35%, due 03/15/33 | 9467359 |
|  | 8235292 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 06/15/35 | 5558822 |
|  | 5715484 | Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36 <sup>(d)</sup> | 4436645 |
|  | 11435771 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 02/15/38 | 8899889 |
|  |  | Total Sri Lanka | 38056106 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 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 ($)** |
|  | | **Suriname — 1.0%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
|  | 14787851 | Suriname Government International Bonds, Reg S, 7.95%, due 07/15/33 <sup>(d)</sup> | 13943465 |
|  | 8195000 | Suriname Government International Bonds, Reg S, Variable Rate,<br>9.00%, due 12/31/50 <sup>(d)</sup> | 8850600 |
|  |  | Total Suriname | 22794065 |
|  |  | **Tajikistan — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 4811667 | Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27 | 4729724 |
|  |  | **Trinidad And Tobago — 1.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
|  | 14025000 | Heritage Petroleum Co. Ltd., Reg S, 9.00%, due 08/12/29 | 14214337 |
|  | 11620000 | Port of Spain Waterfront Development, Reg S, 7.88%, due 02/19/40 | 11039000 |
|  | 6200000 | Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29 | 6218600 |
|  |  | Total Trinidad And Tobago | &nbsp;&nbsp;&nbsp;&nbsp;31471937 |
|  |  | **Tunisia — 1.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.7%** | **Sovereign and Sovereign Agency Issuers — 1.7%** |
|  JPY | 5411700000 | Tunisian Republic, 4.30%, due 08/02/30 <sup>(c)</sup> | 31591286 |
|  JPY | 380000000 | Tunisian Republic, 4.20%, due 03/17/31 <sup>(c)</sup> | 2205080 |
|  JPY | 730000000 | Tunisian Republic, 3.50%, due 02/03/33 | 3855589 |
|  |  | Total Tunisia | &nbsp;&nbsp;&nbsp;&nbsp;37651955 |
|  |  | **Turkey — 4.0%** |  |
|  |  | **Corporate Debt — 1.6%** | **Corporate Debt — 1.6%** |
|  | 40100000 | Zorlu Enerji Elektrik Uretim AS, Reg S, 11.00%, due 04/23/30 | 34909055 |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.4%** | **Sovereign and Sovereign Agency Issuers — 2.4%** |
|  | 27700000 | Turkiye Government International Bonds, 4.88%, due 04/16/43 | 18732125 |
|  | 50713000 | Turkiye Government International Bonds, 5.75%, due 05/11/47 | 36285151 |
|  |  |  | 55017276 |
|  |  | Total Turkey | 89926331 |
|  |  | **Ukraine — 1.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.5%** | **Sovereign and Sovereign Agency Issuers — 1.5%** |
|  | 5000000 | NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 <sup>(e)</sup> | 4062500 |
|  | 2211014 | Ukraine Government International Bonds, Step Up, 144A, Zero Coupon,<br>due 02/01/30 <sup>(d)</sup> | 1066814 |
|  | 4022412 | Ukraine Government International Bonds, Step Up, Reg S,<br> 1.75%, due 02/01/34 | 1960926 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Ukraine — continued** | |
| | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
| 18426157 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/34 | 6863744 |
| 13555124 | Ukraine Government International Bonds, Step Up, Reg S, 1.75%, due 02/01/35 | 6506460 |
| 6982158 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/35 | 3368891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14953917 | Ukraine Government International Bonds, Step Up, Reg S, 1.75%, due 02/01/36 <sup>(d)</sup> | 7028341 |
| 5818464 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/36 | 2801590 |
| 211141 | Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 <sup>(e)</sup> | 162650 |
|  | Total Ukraine | &nbsp;&nbsp;&nbsp;&nbsp;33821916 |
|  | **United Arab Emirates — 1.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 12700000 | Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49 | 8413750 |
| 10300000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 6437500 |
| 16400000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 10890584 |
|  | Total United Arab Emirates | 25741834 |
|  | **United States — 2.3%** |  |
|  | **Asset-Backed Securities — 0.2%** | **Asset-Backed Securities — 0.2%** |
| 402573 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 4.68%, due 12/15/35 | 387682 |
| 46978 | CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 4.68%, due 12/15/35 | 46937 |
| 337410 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 4.64%, due 05/15/36 | 323193 |
| 5654314 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%,<br>4.59%, due 11/25/36 | 1798140 |
| 5705254 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%,<br>4.66%, due 11/25/36 | 1814346 |
| 2918853 | WaMu Asset-Backed Certificates WaMu Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.80%, due 04/25/37 | 1061396 |
|  |  | 5431694 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 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 ($)** |
|  | | **United States — continued** | |
|  | | **U.S. Government — 2.1%** | |
|  | 15000000 | U.S. Treasury Bonds,<br>4.25%, due 08/15/54 <sup>(h)</sup> | 13413281 |
|  | 1900000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 4.40%, due 01/31/27 | 1900633 |
|  | 23100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 4.46%, due 04/30/27 | 23113278 |
|  | 8300000 | U.S. Treasury Notes,<br>3.88%, due 11/30/27 <sup>(h)</sup> | 8299352 |
|  |  |  | 46726544 |
|  |  | Total United States | 52158238 |
|  |  | **Uruguay — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers —<br>0.8%** | **Sovereign and Sovereign Agency Issuers —<br>0.8%** |
|  | 1900000 | Oriental Republic of Uruguay, 5.25%, due 09/10/60 | 1669150 |
|  UYU | &nbsp;&nbsp;&nbsp;&nbsp;622600000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 15335560 |
|  | 2218000 | Uruguay Government International Bonds, 5.10%, due 06/18/50 | 1989546 |
|  |  | Total Uruguay | &nbsp;&nbsp;&nbsp;&nbsp;18994256 |
|  |  | **Uzbekistan — 1.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers —<br>1.4%** | **Sovereign and Sovereign Agency Issuers —<br>1.4%** |
|  | 3300000 | Jscb Agrobank, Reg S, 9.25%, due 10/02/29 | 3417563 |
|  | 5200000 | Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30 | 4446000 |
|  | 600000 | Republic of Uzbekistan International Bonds, Reg S, 6.95%, due 05/25/32 | 594270 |
|  | 7200000 | Uzbek Industrial & Construction Bank ATB, Reg S, 8.95%, due 07/24/29 | 7402536 |
|  | 9850000 | Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28 | 8898859 |
|  | 7100000 | Uzbekneftegaz JSC, 144A, 8.75%, due 05/07/30 | 7149700 |
|  |  | Total Uzbekistan | 31908928 |
|  |  | **Venezuela — 3.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers —<br>3.4%** | **Sovereign and Sovereign Agency Issuers —<br>3.4%** |
|  | 101165000 | C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 <sup>(c)</sup> (e) | 8295530 |
|  | 137200000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 <sup>(e)</sup> | 16258200 |
|  | 14497000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 <sup>(e)</sup> | 1719707 |
|  | 64470000 | Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 <sup>(e)</sup> | 9090270 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | | **Venezuela — continued** | |
|  | | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
|  | 24228000 | Venezuela Government International Bonds, Reg S, 7.75%, due 10/13/19 <sup>(e)</sup> | 3452490 |
|  | 13200000 | Venezuela Government International Bonds, Reg S, 6.00%, due 12/09/20 <sup>(e)</sup> | 1782000 |
|  | 29650000 | Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 <sup>(e)</sup> | 5233225 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;134093000 | Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 <sup>(e)</sup> | 20985554 |
|  | 59200000 | Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 <sup>(e)</sup> | 10360000 |
|  |  | Total Venezuela | &nbsp;&nbsp;&nbsp;&nbsp;77176976 |
|  |  | **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%, 5.44%, due 03/13/28 | 7240868 |
|  |  | **Zambia — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 10060577 | Zambia Government International Bonds, Reg S, Step Up, 5.75%, due 06/30/33 | 9026853 |
|  | 14443974 | Zambia Government International Bonds, Reg S, 0.50%, due 12/31/53 | 8774714 |
|  |  | Total Zambia | 17801567 |
|  |  | TOTAL DEBT OBLIGATIONS<br>(COST $2,617,382,043) | 2192822321 |
|  |  | **LOAN ASSIGNMENTS — 1.1%** | **LOAN ASSIGNMENTS — 1.1%** |
|  |  | **Serbia — 0.6%** | **Serbia — 0.6%** |
|  | 12400000 | Telekom Srbija AD Beograd, 9.10%, due 06/13/29 <sup>(c)</sup> | 14009183 |
|  |  | **Turkey — 0.5%** |  |
|  | 9610714 | Meridiam Eastern Europe Investment S.à.r.l Loan Agreement, 8.85%, due 06/23/28 <sup>(a)</sup> | 10694237 |
|  |  | TOTAL LOAN ASSIGNMENTS<br>(COST $24,859,425) | 24703420 |
|  |  | **LOAN PARTICIPATIONS — 0.2%** | **LOAN PARTICIPATIONS — 0.2%** |
|  |  | **Angola — 0.2%** |  |
|  | 3514286 | Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 <sup>(c)</sup> | 3296207 |
|  |  | **Iraq — 0.0%** |  |
|  EUR | 336241 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 <sup>(a)</sup> | 347735 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 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 ($)** |
|  | | **LOAN PARTICIPATIONS — continued** | **LOAN PARTICIPATIONS — continued** |
|  | | **Russia — 0.0%** | |
|  EUR | 76893500 | Russian Foreign Trade Obligations, (Participation with GML International<br>Ltd.) <sup>(c) (e)</sup> | 3 |
|  |  | **Sudan — 0.0%** |  |
|  CHF | 11833578 | Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) <sup>(c) (e)</sup> | 575143 |
|  CHF | 5155077 | Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) <sup>(c) (e)</sup> | 219232 |
|  |  | Total Sudan | 794375 |
|  |  | TOTAL LOAN PARTICIPATIONS<br>(COST $24,254,942) | 4438320 |
|  |  | **INVESTMENT FUNDS — 0.6%** | **INVESTMENT FUNDS — 0.6%** |
|  |  | **Colombia — 0.6%** | **Colombia — 0.6%** |
|  | 9300000 | Bona Fide Investment Holdings II<br>LLC <sup>(a) (i) (j)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;13426857 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $9,300,000) | 13426857 |
|  |  | **RIGHTS/WARRANTS — 1.4%** | **RIGHTS/WARRANTS — 1.4%** |
|  |  | **Argentina — 1.1%** | **Argentina — 1.1%** |
|  EUR | 239989676 | Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 <sup>(k)</sup> | 23778027 |
|  JPY | 1723445000 | Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 <sup>(a) (k)</sup> | 186903 |
|  |  | Total Argentina | 23964930 |
|  |  | **Ukraine — 0.3%** |  |
|  | 10646000 | Ukraine Government International Bonds GDP Linked, Variable Rate, Reg S, Expires 08/01/41 <sup>(k)</sup> | 7691735 |
|  |  | TOTAL RIGHTS/WARRANTS<br>(COST $40,863,566) | 31656665 |
|  |  | **SHORT-TERM INVESTMENTS — 2.3%** | **SHORT-TERM INVESTMENTS — 2.3%** |
|  |  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
|  | 2050209 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(l)</sup> | 2050209 |
|  |  | **Repurchase Agreements — 2.2%** |  |
|  | 29999753 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/30/25, maturing on 06/02/25 with a maturity value of $30,010,578 and an effective yield of 4.33%, collateralized by a U.S. Treasury Note with maturity date 07/15/27 and a market value of $30,649,656. | 29999753 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — continued** | **SHORT-TERM INVESTMENTS — continued** |
| | **Repurchase Agreements — continued** | |
| 5395000 | Barclays Bank PLC Repurchase Agreement, dated 04/30/25, to be returned on demand at face value plus an effective yield of 4.20%, collateralized by a Angolan Government International Bonds, 8.00%, due 11/26/29 and a market value of $5,574,530. <sup>(m)</sup> | 5395000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3035244 | Morgan Stanley & Co. International PLC Repurchase Agreement, dated 03/04/25, to be returned on demand at face value plus an effective yield of 4.15%, collateralized by a Republic of Kenya Government International Bonds, 7.25%, due 02/28/28 and a market value of $3,063,358. <sup>(m)</sup> | 3035244 |
| 3038000 | Morgan Stanley & Co. International PLC Repurchase Agreement, dated 03/05/25, to be returned on demand at face value plus an effective yield of 4.15%, collateralized by a Republic of Kenya Government International Bonds, 7.25%, due 02/28/28 and a market value of $3,063,358. <sup>(m)</sup> | 3038000 |
| 9312500 | Nomura Securities International, Inc. Repurchase Agreement, dated 09/05/24, to be returned on demand at face value plus an effective yield of 3.70%, collateralized by a Egypt Government International Bonds, 6.59%, due 02/21/28 and a market value of $9,986,400. <sup>(m)</sup> | 9312500 |
|  | Total Repurchase Agreements | 50780497 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $52,830,706) | 52830706 |
|  | **TOTAL INVESTMENTS — 102.0%**<br> (Cost $2,769,490,682) | **2319878289** |
|  | **SECURITIES SOLD SHORT — (0.9)%** | **SECURITIES SOLD SHORT — (0.9)%** |
|  | **Sovereign and Sovereign Agency Issuers — (0.9)%** | **Sovereign and Sovereign Agency Issuers — (0.9)%** |
|  | **Angola — (0.2)%** |  |
| (6500000) | Angola Government International Bonds, 8.00%, due 11/26/29 | (5603650) |
|  | **Egypt — (0.4)%** |  |
| (10000000) | Egypt Government International Bonds, 6.59%, due 02/21/28 | (9825100) |
|  | **Kenya — (0.3)%** |  |
| (6200000) | Republic of Kenya Government International Bonds, 7.25%, due 02/28/28 | (6028074) |
|  | TOTAL SOVEREIGN AND SOVEREIGN AGENCY ISSUERS<br>(PROCEEDS $20,556,625) | (21456824) |
|  | **TOTAL SECURITIES SOLD SHORT — (0.9)%**<br> (PROCEEDS $(20556625)) | (21456824) |
|  | Other Assets and Liabilities (net) — (1.1)% | (23725863) |
|  | **TOTAL NET ASSETS — 100.0%** | **$2274695602** |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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>May 31, 2025** |
| Bona Fide Investment Holdings II LLC | 06/07/23 | $9300000 | 0.6% | $13426857 |
| GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 04/30/20 | 6683045 | 0.0% | 3435 |
| GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 03/12/21 | 5275241 | 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 | 6780989 | 0.0% | 3200 |
|  |  |  |  | $13449492 |

---

A summary of outstanding financial instruments at May 31, 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)($)** |
| 08/04/2025 | JPM | BRL | 25100000 | USD | 4364762 | 38817 |
| 07/14/2025 | MSCI | EUR | 700000 | USD | 798614 | 1680 |
| 06/04/2025 | MSCI | EUR | 5837000 | USD | 6628066 | 53 |
| 07/14/2025 | MSCI | USD | 5350556 | EUR | 4700000 | 285 |
| 07/14/2025 | SSB | USD | 1006877 | EUR | 900000 | 17752 |
| 06/04/2025 | SSB | USD | 8317943 | EUR | 7389000 | 72393 |
| 07/15/2025 | JPM | USD | 4191617 | IDR | 70000000000 | 80706 |
| 07/08/2025 | JPM | USD | 4591120 | PEN | 17000000 | 103274 |
| 07/03/2025 | BCLY | USD | 14852884 | TRY | 620000000 | 457043 |
| 06/03/2025 | JPM | BRL | 25100000 | USD | 4340383 | (48113) |
| 08/15/2025 | MSCI | COP | 112940000000 | USD | 26550378 | (403792) |
| 07/14/2025 | BOA | EUR | 1800000 | USD | 2037417 | (11841) |
| 07/14/2025 | BCLY | EUR | 170000000 | USD | 190126528 | (3414548) |
| 07/14/2025 | MSCI | EUR | 1900000 | USD | 2146923 | (16183) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
| 07/15/2025 | BCLY | GBP | 2400000 | USD | 3208157 | (26087) |
| 07/15/2025 | JPM | GBP | 39600000 | USD | 51962843 | (1402181) |
| 07/14/2025 | DB | JPY | 4120100000 | USD | 28750106 | (15531) |
| 06/03/2025 | JPM | USD | 4426808 | BRL | 25100000 | (38312) |
| 08/15/2025 | GS | USD | 765493 | COP | 3203000000 | (1068) |
| 08/15/2025 | MSCI | USD | 2608031 | COP | 10912000000 | (3781) |
| 07/14/2025 | DB | USD | 2050765 | EUR | 1800000 | (1506) |
| 07/14/2025 | MSCI | USD | 2622414 | EUR | 2300000 | (3917) |
| 07/14/2025 | SSB | USD | 4002159 | EUR | 3500000 | (17490) |
| 07/15/2025 | SSB | USD | 5671552 | GBP | 4200000 | (11625) |
| 06/27/2025 | MSCI | ZAR | 76700000 | USD | 4188639 | (69071) |
|  |  |  |  |  |  | $(4713043) |

---

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

---

| | | | |
|:---|:---|:---|:---|
| **Face Value** | **Face Value** | **Description** | **Value ($)** |
| EUR | (1775496) | Barclays Bank PLC, 2.20%, dated 04/23/25, (Collateral: Senegal Government International Bonds, Reg S, 4.75%, due 03/13/28), to be repurchased on demand at face value plus accrued interest. | (1775496) |
| USD | (2982851) | Barclays Bank PLC, 2.50%, dated 04/24/25, (Collateral: Braskem Idesa SAPI, Reg S, 6.99%, due 02/20/32), to be repurchased on demand at face value plus accrued interest. | (2982851) |
| USD | (13313300) | Barclays Bank PLC, 4.00%, dated 05/23/25, (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. | (13313300) |
| USD | (890683) | Morgan Stanley & Co. International PLC, 3.85%, dated 11/08/24, (Collateral: Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/30), to be repurchased on demand at face value plus accrued interest. | (890683) |
| USD | (903445) | Morgan Stanley & Co. International PLC, 3.60%, dated 11/14/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (903445) |
| USD | (2398515) | Morgan Stanley & Co. International PLC, 3.75%, dated 01/14/25, (Collateral: Sri Lanka Government International Bonds, Step Up, 144A, 3.10%, due 01/15/30), to be repurchased on demand at face value plus accrued interest. | (2398515) |
| USD | (4206855) | Morgan Stanley & Co. International PLC, 3.75%, dated 01/21/25, (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. | (4206855) |
| USD | (4484388) | Morgan Stanley & Co. International PLC, 3.85%, dated 01/27/25, (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. | (4484388) |
| USD | (2444020) | Morgan Stanley & Co. International PLC, 3.75%, dated 01/30/25, (Collateral: Sri Lanka Government International Bonds, Step Up, 144A, 3.10%, due 01/15/30), to be repurchased on demand at face value plus accrued interest. | (2444020) |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

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

---

| | | | |
|:---|:---|:---|:---|
| **Face Value** | **Face Value** | **Description** | **Value ($)** |
| USD | (1170309) | Morgan Stanley & Co. International PLC, 3.60%, dated 02/13/25, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (1170309) |
| USD | (1775970) | Morgan Stanley & Co. International PLC, 3.60%, dated 02/19/25, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (1775970) |
| USD | (5812946) | Morgan Stanley & Co. International PLC, 3.90%, dated 03/13/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (5812946) |
| USD | (300407) | Morgan Stanley & Co. International PLC, 3.50%, dated 03/26/25, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (300407) |
| USD | (624467) | Morgan Stanley & Co. International PLC, 3.00%, dated 03/26/25, (Collateral: Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (624467) |
| USD | (2110686) | Morgan Stanley & Co. International PLC, 3.85%, dated 03/28/25, (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. | (2110686) |
| USD | (830400) | Morgan Stanley & Co. International PLC, 3.00%, dated 04/01/25, (Collateral: Lebanon Government International Bonds, Reg S, 8.25%, due 05/17/34), to be repurchased on demand at face value plus accrued interest. | (830400) |
| USD | (127787) | Morgan Stanley & Co. International PLC, 3.00%, dated 04/08/25, (Collateral: Lebanon Government International Bonds, Reg S, 8.25%, due 05/17/34), to be repurchased on demand at face value plus accrued interest. | (127787) |
| USD | (9603112) | Morgan Stanley & Co. International PLC, 3.85%, dated 04/09/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44), to be repurchased on demand at face value plus accrued interest. | (9603112) |
| USD | (2006296) | Morgan Stanley & Co. International PLC, 1.74%, dated 04/09/25, (Collateral: Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30), to be repurchased on demand at face value plus accrued interest. | (2006296) |
| USD | (3770481) | 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. | (3770481) |
| USD | (5645274) | Morgan Stanley & Co. International PLC, 3.90%, dated 05/06/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (5645274) |
| USD | (2411992) | Morgan Stanley & Co. International PLC, 3.35%, dated 05/22/25, (Collateral: Honduras Government International Bonds, Reg S, 8.63%, due 11/27/34), to be repurchased on demand at face value plus accrued interest. | (2411992) |
| USD | (857855) | Morgan Stanley & Co. International PLC, 3.75%, dated 05/28/25, (Collateral: Ukraine Government International Bonds, Step Up, Reg S, 1.75%, due 02/01/36), to be repurchased on demand at face value plus accrued interest. | (857855) |
| USD | (2775468) | Morgan Stanley & Co. International PLC, 3.85%, dated 05/29/25, (Collateral: Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.75%, due 03/12/42), to be repurchased on demand at face value plus accrued interest. | (2775468) |
| USD | (295250) | Nomura International PLC, 3.75%, dated 10/17/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (295250) |
| USD | (403693) | Nomura International PLC, 3.00%, dated 01/29/25, (Collateral: Suriname Government International Bonds, Reg S, Variable Rate, 9.00%, due 12/31/50), to be repurchased on demand at face value plus accrued interest. | (403693) |
| USD | (555052) | Nomura International PLC, 3.75%, dated 05/15/25, (Collateral: Suriname Government International Bonds, Reg S, 7.95%, due 07/15/33), to be repurchased on demand at face value plus accrued interest. | (555052) |
| USD | (425212) | Nomura International PLC, 3.75%, dated 05/15/25, (Collateral: Suriname Government International Bonds, Reg S, 7.95%, due 07/15/33), to be repurchased on demand at face value plus accrued interest. | (425212) |
|  |  |  | $(74902210) |
|  |  | Average balance outstanding | $57656801 |
|  |  | Average interest rate (net) | (3.94)% |
|  |  | Maximum balance outstanding | $77497904 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

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.S42 | USD | 80000000 | 1.00% | 1.53% | N/A | 12/20/2029 | Quarterly | 2408000 | 1712800 | (695200) |
|  CDX.EM.S43 | USD | 76600000 | 1.00% | 1.72% | N/A | 06/20/2030 | Quarterly | 2343960 | 2448672 | 104712 |
|  |  |  |  |  |  |  |  | $4751960 | $4161472 | $(590488) |

---

**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 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^:** |
|  Commonwealth of Bahamas | DB | EUR | 6618453 | 1.00% | 3.74% | N/A | 06/20/2025 | Quarterly | 581416 | 1578 | (579838) |
|  Republic of Brazil | MORD | USD | 12700000 | 1.00% | 0.69% | N/A | 12/20/2026 | Quarterly | (63507) | (60340) | 3167 |
|  Republic of Colombia | MSCI | USD | 45300000 | 1.00% | 1.09% | N/A | 12/20/2026 | Quarterly | (125808) | 58563 | 184371 |
|  Republic of South Africa Government International Bonds | JPM | USD | 34300000 | 1.00% | 0.91% | N/A | 12/20/2026 | Quarterly | (234412) | (49191) | 185221 |
|  Republic of Egypt | CITI | USD | 2300000 | 1.00% | 4.33% | N/A | 12/20/2027 | Quarterly | 655500 | 176640 | (478860) |
|  Republic of Egypt | JPM | USD | 2500000 | 1.00% | 4.33% | N/A | 12/20/2027 | Quarterly | 690000 | 192000 | (498000) |
|  Republic of Egypt | JPM | USD | 2500000 | 1.00% | 4.33% | N/A | 12/20/2027 | Quarterly | 725000 | 192000 | (533000) |
|  Kingdom of Bahrain | MORD | USD | 5400000 | 1.00% | 1.62% | N/A | 06/20/2028 | Quarterly | 401901 | 95311 | (306590) |
|  Republic of Turkey | MORD | USD | 1600000 | 1.00% | 2.53% | N/A | 06/20/2028 | Quarterly | 350661 | 68590 | (282071) |
|  Israel Government International Bonds | BOA | USD | 9500000 | 1.00% | 0.95% | N/A | 12/20/2029 | Quarterly | 211213 | (18383) | (229596) |
|  Israel Government International Bonds | JPM | USD | 3800000 | 1.00% | 0.95% | N/A | 12/20/2029 | Quarterly | 76240 | (7353) | (83593) |
|  Republic of South Africa Government International Bonds | MSCI | USD | 21500000 | 1.00% | 1.89% | N/A | 12/20/2029 | Quarterly | 784878 | 778290 | (6588) |
|  United States of Mexico | MORD | USD | 29400000 | 1.00% | 1.1% | N/A | 12/20/2029 | Quarterly | 273879 | 118557 | (155322) |
|  United States of Mexico | GS | USD | 14700000 | 1.00% | 1.46% | N/A | 09/20/2031 | Quarterly | 1940879 | 365567 | (1575312) |
|  **Sell Protection**^: |  |  |  |  |  |  |  |  |  |  |  |
|  Commonwealth of Bahamas | DB | USD | 8813161 | 1.00% | 3.75% | 8,813,161 USD | 06/20/2025 | Quarterly | (724990) | (1595) | 723395 |
|  Turkiye Government International Bonds | CITI | USD | 10000000 | 1.00% | 2.87% | 10,000,000 USD | 06/20/2029 | Quarterly | (729758) | (669303) | 60455 |
|  |  |  |  |  |  |  |  |  | $4813092 | $1240931 | $(3572161) |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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 May 31, 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-COMPOUND | 4.01% | USD | 162500000 | 12/21/2027 | Annually | 155081 | 1528635 | 1373554 |
|  BRL-CDI | 15.00% | BRL | 360784572 | 01/02/2029 | At Maturity | 125820 | 3606108 | 3480288 |
|  2.68% | KRW-CD-KSDA-Bloomberg | KRW | 18467000000 | 03/19/2030 | Quarterly |  | (175313) | (175313) |
|  2.67% | KRW-CD-KSDA-Bloomberg | KRW | 17153000000 | 03/19/2030 | Quarterly |  | (153709) | (153709) |
|  2.70% | EURIBOR | EUR | 32400000 | 03/20/2034 | Semi-Annually | (451084) | (739408) | (288324) |
|  2.80% | THB-THOR | THB | 930000000 | 03/20/2034 | Quarterly | (86159) | (2686986) | (2600827) |
|  1.10% | JPY-TONA-OIS-COMPOUND | JPY | 7694000000 | 09/18/2034 | Annually | (96110) | 405274 | 501384 |
|  USD-SOFR-COMPOUND | 4.00% | USD | 29400000 | 09/18/2034 | Annually | 391697 | 407439 | 15742 |
|  ZAR-JIBAR-SAFEX | 9.15% | ZAR | 257800000 | 03/20/2039 | Quarterly | 117720 | 128398 | 10678 |
|  2.40% | EURIBOR | EUR | 27000000 | 03/20/2054 | Semi-Annually | (868269) | 1274692 | 2142961 |
|  4.60% | GBP-SONIA-COMPOUND | GBP | 22300000 | 09/17/2055 | Annually | (51068) | (337523) | (286455) |
|  |  |  |  |  |  | $(762372) | $3257607 | $4019979 |

---

**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 Emerging Markets Bond Index Global Core - Investment Grade | USD-SOFR-OIS COMPOUND | JPM | USD | 10760000 | 06/09/2025 | At Maturity | $(1019) | $(32454) | $(31435) |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

As of May 31, 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 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) Security is backed by U.S. Treasury Bonds.

(c) Investment valued using significant unobservable inputs.

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

(e) Security is in default.

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

(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, and/or written options, 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.

(l) The rate disclosed is the 7 day net yield as of May 31, 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 May 31, 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

KSDA - Korean Securities Dealers Association

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.

SAFEX - South African Futures Exchange

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 May 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.

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

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

**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.

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

IDR - Indonesian Rupiah

JPY - Japanese Yen

KRW - South Korean Won

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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 67.5%** | **DEBT OBLIGATIONS — 67.5%** |
| | **Corporate Debt — 19.8%** | |
|  | **Canada — 1.2%** |  |
| 350000 | Cascades, Inc./Cascades USA, Inc., 144A, 5.38%, due 01/15/28 | 344773 |
| 350000 | Parkland Corp., 144A, 4.50%, due 10/01/29 | 330511 |
| 300000 | RB Global Holdings, Inc., 144A, 6.75%, due 03/15/28 | 306392 |
| 350000 | Sagicor Financial Co. Ltd., 144A,<br>5.30%, due 05/13/28 | 344862 |
| 350000 | Superior Plus LP/Superior General Partner, Inc., 144A, 4.50%, due 03/15/29 | 332734 |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;1659272 |
|  | **Finland — 0.3%** |  |
| 350000 | Amer Sports Co., 144A, 6.75%, due 02/16/31 | 363901 |
|  | **France — 0.1%** |  |
| 200000 | Vallourec SACA, 144A, 7.50%, due 04/15/32 | 208686 |
|  | **Italy — 0.3%** |  |
| 350000 | Telecom Italia Capital SA, 7.20%, due 07/18/36 | 363888 |
|  | **Japan — 0.3%** |  |
| 350000 | Rakuten Group, Inc., 144A, 11.25%, due 02/15/27 | 377389 |
|  | **Macau — 0.2%** |  |
| 350000 | Wynn Macau Ltd., 144A, 5.13%, due 12/15/29 | 327565 |
|  | **United Kingdom — 1.1%** |  |
| 300000 | 180 Medical, Inc., 144A, 3.88%, due 10/15/29 | 284948 |
| 250000 | Belron U.K. Finance PLC, 144A,<br>5.75%, due 10/15/29 | 250936 |
| 400000 | Jaguar Land Rover Automotive PLC, 144A, 4.50%, due 10/01/27 | 390941 |
| 250000 | Vmed O2 U.K. Financing I PLC, 144A, 4.75%, due 07/15/31 | 229622 |
| 300000 | Zegona Finance PLC, 144A,<br>8.63%, due 07/15/29 | 319500 |
|  | Total United Kingdom | 1475947 |
|  | **United States — 16.3%** |  |
| 300000 | Adtalem Global Education, Inc., 144A,<br>5.50%, due 03/01/28 | 297633 |
| 350000 | AECOM, 5.13%, due 03/15/27 | 349693 |
| 400000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 144A,<br>3.50%, due 03/15/29 | 375812 |
| 350000 | Allegiant Travel Co., 144A,<br>7.25%, due 08/15/27 | 345665 |
| 350000 | Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 144A,<br>8.63%, due 06/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;365834 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **Corporate Debt — continued** | |
|  | **United States — continued** |  |
| 400000 | Allison Transmission, Inc., 144A, 3.75%, due 01/30/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;363099 |
| 300000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 6.63%, due 02/01/32 | 306466 |
| 300000 | Axon Enterprise, Inc., 144A,<br>6.13%, due 03/15/30 | 305970 |
| 200000 | Bath & Body Works, Inc., 6.75%, due 07/01/36 | 198073 |
| 350000 | Brandywine Operating Partnership LP, 8.88%, due 04/12/29 | 372707 |
| 350000 | Burford Capital Global Finance LLC, 144A, 6.25%, due 04/15/28 | 348334 |
| 350000 | BWX Technologies, Inc., 144A, 4.13%, due 06/30/28 | 340611 |
| 200000 | Carnival Corp., 144A, 5.75%, due 03/01/27 | 200500 |
| 400000 | CCO Holdings LLC/CCO Holdings Capital Corp., 144A, 4.25%, due 01/15/34 | 345293 |
| 350000 | Clearway Energy Operating LLC, 144A,<br>4.75%, due 03/15/28 | 342000 |
| 350000 | CNX Resources Corp., 144A,<br>6.00%, due 01/15/29 | 347456 |
| 350000 | Cogent Communications Group LLC, 144A, 3.50%, due 05/01/26 | 347066 |
| 250000 | Credit Acceptance Corp., 144A,<br>6.63%, due 03/15/30 | 249024 |
| 400000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29 | 374368 |
| 300000 | Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, due 02/01/26 | 299813 |
| 350000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 144A, 8.63%, due 03/15/29 | 362484 |
| 350000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 144A, 5.88%, due 08/15/27 | 344508 |
| 400000 | DT Midstream, Inc., 144A, 4.13%, due 06/15/29 | 380988 |
| 400000 | Dycom Industries, Inc., 144A,<br>4.50%, due 04/15/29 | 384852 |
| 350000 | Esab Corp., 144A, 6.25%, due 04/15/29 | 355898 |
| 350000 | Fair Isaac Corp., 144A, 5.25%, due 05/15/26 | 349422 |
| 350000 | FirstCash, Inc., 144A, 4.63%, due 09/01/28 | 340972 |
| 350000 | GFL Environmental, Inc., 144A,<br>4.00%, due 08/01/28 | 336460 |
| 350000 | Global Net Lease, Inc., 144A,<br>4.50%, due 09/30/28 | 335641 |
| 400000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 144A, 3.50%, due 03/01/29 | 373379 |
| 300000 | Graham Holdings Co., 144A,<br>5.75%, due 06/01/26 | 299560 |
| 350000 | Gulfport Energy Operating Corp., 144A,<br>6.75%, due 09/01/29 | 355059 |
| 350000 | Hess Midstream Operations LP, 144A,<br>6.50%, due 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;357311 |
| 400000 | Hilton Domestic Operating Co., Inc., 144A,<br>3.75%, due 05/01/29 | 377906 |
| 400000 | Howard Hughes Corp., 144A,<br>4.13%, due 02/01/29 | 376036 |

---

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **Corporate Debt — continued** | |
|  | **United States — continued** |  |
| 200000 | Life Time, Inc., 144A, 6.00%, due 11/15/31 | 200447 |
| 350000 | Live Nation Entertainment, Inc., 144A,<br> 3.75%, due 01/15/28 | 336033 |
| 350000 | Moog, Inc., 144A, 4.25%, due 12/15/27 | 339020 |
| 400000 | Mueller Water Products, Inc., 144A,<br>4.00%, due 06/15/29 | 379495 |
| 425000 | Murphy Oil USA, Inc., 144A,<br>3.75%, due 02/15/31 | 384977 |
| 150000 | Newell Brands, Inc., 7.00%, due 04/01/46 | 121962 |
| 450000 | Nordstrom, Inc., 4.38%, due 04/01/30 | 406008 |
| 400000 | Novelis Corp., 144A, 4.75%, due 01/30/30 | 380254 |
| 400000 | NRG Energy, Inc., 144A, 3.63%, due 02/15/31 | 362724 |
| 350000 | Patrick Industries, Inc., 144A,<br>6.38%, due 11/01/32 | 344978 |
| 300000 | Perrigo Finance Unlimited Co.,<br>4.90%, due 06/15/30 | 288813 |
| 150000 | PTC, Inc., 144A, 4.00%, due 02/15/28 | 145321 |
| 350000 | Range Resources Corp., 144A,<br>4.75%, due 02/15/30 | 336388 |
| 400000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., Reg S, 4.63%, due 04/16/29 | 350679 |
| 400000 | ROBLOX Corp., 144A, 3.88%, due 05/01/30 | 372038 |
| 300000 | Royal Caribbean Cruises Ltd., 144A,<br>4.25%, due 07/01/26 | 297001 |
| 250000 | SBA Communications Corp.,<br>3.88%, due 02/15/27 | 245116 |
| 350000 | Seagate HDD Cayman, 5.75%, due 12/01/34 | 343548 |
| 350000 | SLM Corp., 3.13%, due 11/02/26 | 341615 |
| 350000 | Somnigroup International, Inc., 144A,<br>4.00%, due 04/15/29 | 329652 |
| 300000 | Spirit AeroSystems, Inc., 144A,<br>9.38%, due 11/30/29 | 319441 |
| 350000 | StoneX Group, Inc., 144A,<br>7.88%, due 03/01/31 | 368667 |
| 350000 | Talen Energy Supply LLC, 144A,<br>8.63%, due 06/01/30 | 373783 |
| 400000 | TEGNA, Inc., 4.63%, due 03/15/28 | 387777 |
| 350000 | TransDigm, Inc., 144A, 6.00%, due 01/15/33 | 346329 |
| 400000 | Twilio, Inc., 3.63%, due 03/15/29 | 376449 |
| 350000 | U.S. Cellular Corp., 6.70%, due 12/15/33 | 376623 |
| 400000 | U.S. Foods, Inc., 144A, 4.63%, due 06/01/30 | 384744 |
| 700000 | Whirlpool Corp., 4.75%, due 02/26/29 | 678784 |
| 350000 | Wyndham Hotels & Resorts, Inc., 144A, 4.38%, due 08/15/28 | 338675 |
| 350000 | Yum! Brands, Inc., 144A,<br>4.75%, due 01/15/30 | 342273 |
|  | Total United States | 22405507 |
|  | Total Corporate Debt | 27182155 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Corporate Debt — continued** | |
|  | | **U.S. Government — 47.7%** | |
|  | 1845000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield +<br>0.25%, 4.55%, due 01/31/26 | 1847552 |
|  | 20793000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield +<br>0.15%, 4.45%, due 04/30/26 | 20808412 |
|  | 16230000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.48%, due 07/31/26 | 16251504 |
|  | 20965000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.51%, due 10/31/26 <sup>(a)</sup> | 20995885 |
|  | 2710000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 4.40%, due 01/31/27 <sup>(a)</sup> | 2710902 |
|  | 2825000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 4.46%, due 04/30/27 <sup>(a)</sup> | 2826624 |
|  |  | Total U.S. Government | 65440879 |
| | | TOTAL DEBT OBLIGATIONS<br>(COST $92,315,239) | 92623034 |
| | | **SHORT-TERM INVESTMENTS — 31.8%** | **SHORT-TERM INVESTMENTS — 31.8%** |
| | | **Money Market Funds — 2.3%** | **Money Market Funds — 2.3%** |
|  | 3135020 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 3135020 |
| | | **Repurchase Agreements — 16.0%** | **Repurchase Agreements — 16.0%** |
|  | 21999618 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/30/25, maturing on 06/02/25 with a maturity value of $22,007,556 and an effective yield of 4.33%, collateralized by a U.S. Treasury Note with maturity date 07/15/27 and a market value of $22,476,209. | 21999618 |
| | | **Sovereign and Sovereign Agency Issuers — 13.5%** | **Sovereign and Sovereign Agency Issuers — 13.5%** |
|  JPY | 2668000000 | Japan Treasury Discount Bills, Zero Coupon, due 06/30/25 | 18535748 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $43,161,255) | 43670386 |
|  |  | **TOTAL INVESTMENTS — 99.3%**<br> (Cost $135,476,494) | **136293420** |
|  |  | Other Assets and Liabilities (net) — 0.7% | 1028504 |
|  |  | **TOTAL NET ASSETS — 100.0%** | **$137321924** |

---

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

A summary of outstanding financial instruments at May 31, 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) ($)** |
| 06/30/2025 BBH | JPY | 1655000000 | USD | 11495530 | (41077) |
| 06/30/2025 DB | JPY | 1013000000 | USD | 6782648 | (278732) |
|  |  |  |  |  | $(319809) |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 32 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 3544000 | 19484 |
| 43 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 8919813 | 11348 |
| 80 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 8655000 | 18389 |
|  |  |  | $21118813 | $49221 |

---

+ 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) ($)** |
|  **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.44 | USD | 29375000 | 5.00% | 3.51% | 29,375,000 USD | 06/20/2030 | Quarterly | $1625744 | $1810646 | $184902 |

---

---

| | |
|:---|:---|
| ^ | 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 May 31, 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) ($)** |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | JPM | USD | 59467000 | 06/20/2025 | Quarterly | 484 | 1171902 | 1171418 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | BCLY | USD | 6928000 | 06/20/2025 | Quarterly | 60 | 121666 | 121606 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | BCLY | USD | 3175000 | 06/20/2025 | Quarterly | 4 | 134424 | 134420 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | JPM | USD | 1500000 | 06/20/2025 | Quarterly | 15 | 12744 | 12729 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | JPM | USD | 4778000 | 09/20/2025 | Quarterly | 48 | 19678 | 19630 |
|  |  |  |  |  |  |  | $611 | $1460414 | $1459803 |

---

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

As of May 31, 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, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 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:** 

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

**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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 67.8%** |  |
| | **Belgium — 0.2%** | |
| | **Corporate Debt — 0.2%** | |
| &nbsp;&nbsp;&nbsp;&nbsp;150000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, due 02/01/36 | &nbsp;&nbsp;&nbsp;&nbsp;144181 |
|  | **Canada — 0.8%** |  |
|  | **Corporate Debt — 0.8%** |  |
| 150000 | CI Financial Corp., 3.20%, due 12/17/30 | 130855 |
| 100000 | Emera U.S. Finance LP, 4.75%, due 06/15/46 | 80701 |
| 150000 | Toronto-Dominion Bank, 4.78%, due 12/17/29 | 150581 |
| 150000 | TransCanada PipeLines Ltd., 4.25%, due 05/15/28 | 148818 |
| 150000 | TransCanada PipeLines Ltd., 4.10%, due 04/15/30 | 145286 |
|  | Total Canada | 656241 |
|  | **China — 0.5%** |  |
|  | **Corporate Debt — 0.5%** |  |
| 200000 | Alibaba Group Holding Ltd., 2.70%, due 02/09/41 | 136308 |
| 200000 | Alibaba Group Holding Ltd., 3.15%, due 02/09/51 | 127678 |
| 250000 | Alibaba Group Holding Ltd., 3.25%, due 02/09/61 | 151762 |
|  | Total China | 415748 |
|  | **Finland — 0.2%** |  |
|  | **Corporate Debt — 0.2%** |  |
| 150000 | Nokia OYJ, 4.38%, due 06/12/27 | 148948 |
|  | **Germany — 0.6%** |  |
|  | **Corporate Debt — 0.6%** |  |
| 150000 | Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31 | 138226 |
| 200000 | Deutsche Bank AG, Variable Rate, 3.04%, due 05/28/32 | 176585 |
| 150000 | Deutsche Bank AG, Variable Rate, 5.40%, due 09/11/35 | 146381 |
|  | Total Germany | 461192 |
|  | **United Kingdom — 0.8%** |  |
|  | **Corporate Debt — 0.8%** |  |
| 100000 | BAT Capital Corp., 7.08%, due 08/02/43 | 108136 |
| 100000 | BAT Capital Corp., 4.54%, due 08/15/47 | 78941 |
| 150000 | BAT Capital Corp., 7.08%, due 08/02/53 | 162777 |
| 150000 | Marex Group PLC, 5.83%, due 05/08/28 | 150663 |
| 100000 | Marex Group PLC, 6.40%, due 11/04/29 | 101906 |
|  | Total United Kingdom | 602423 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — 64.7%** | |
| | **Corporate Debt — 20.2%** | |
| 150000 | 3M Co., 2.25%, due 09/19/26 | 145859 |
| 150000 | 3M Co., 2.88%, due 10/15/27 | 144682 |
| 150000 | 3M Co., 2.38%, due 08/26/29 | 138057 |
| 100000 | Altria Group, Inc., 6.88%, due 11/01/33 | 109878 |
| 100000 | Altria Group, Inc., 5.80%, due 02/14/39 | 98996 |
| 200000 | Altria Group, Inc., 3.40%, due 02/04/41 | 144676 |
| 150000 | Apple, Inc., 3.45%, due 02/09/45 | 114357 |
| 150000 | Apple, Inc., 4.38%, due 05/13/45 | 130216 |
| 150000 | Apple, Inc., 4.65%, due 02/23/46 | 134663 |
| 150000 | AppLovin Corp., 5.95%, due 12/01/54 | 143364 |
| 200000 | Aptiv Swiss Holdings Ltd., 4.15%, due 05/01/52 | 137318 |
| 150000 | Bank of New York Mellon Corp., Variable Rate, 3.44%, due 02/07/28 | 147827 |
| 150000 | Bank of New York Mellon Corp., Variable Rate, 5.83%, due 10/25/33 | 156969 |
| 150000 | Bank of New York Mellon Corp., Variable Rate, 6.47%, due 10/25/34 | 163191 |
| 100000 | Blue Owl Capital Corp., 2.88%, due 06/11/28 | 92259 |
| 150000 | Boeing Co., 3.90%, due 05/01/49 | 105131 |
| 150000 | Boeing Co., 5.93%, due 05/01/60 | 138871 |
| 150000 | Boeing Co., 7.01%, due 05/01/64 | 160234 |
| 150000 | Brighthouse Financial, Inc., 4.70%, due 06/22/47 | 113262 |
| 150000 | Capital One Financial Corp., Variable Rate, 5.82%, due 02/01/34 | 151960 |
| 150000 | Capital One Financial Corp., Variable Rate, 6.38%, due 06/08/34 | 156774 |
| 100000 | Capital One Financial Corp., Variable Rate, 7.96%, due 11/02/34 | 114443 |
| 100000 | Cencora, Inc., 3.45%, due 12/15/27 | 97616 |
| 100000 | Cencora, Inc., 4.85%, due 12/15/29 | 100769 |
| 100000 | Cencora, Inc., 2.70%, due 03/15/31 | 89216 |
| 150000 | CenterPoint Energy Houston Electric LLC, 4.80%, due 03/15/30 | 151463 |
| 150000 | CenterPoint Energy Houston Electric LLC, 4.95%, due 04/01/33 | 148630 |
| 150000 | CenterPoint Energy Houston Electric LLC, 5.05%, due 03/01/35 | 147616 |
| 150000 | CH Robinson Worldwide, Inc., 4.20%, due 04/15/28 | 147537 |
| 100000 | Citizens Financial Group, Inc., Variable Rate, 5.84%, due 01/23/30 | 102577 |
| 150000 | Coca-Cola Co., 2.60%, due 06/01/50 | 90177 |
| 150000 | Coca-Cola Co., 5.40%, due 05/13/64 | 142023 |
| 150000 | Corning, Inc., 5.35%, due 11/15/48 | 136247 |
| 200000 | Corning, Inc., 4.38%, due 11/15/57 | 152643 |
| 200000 | Discovery Communications LLC, 5.20%, due 09/20/47 | 139684 |
| 150000 | Enbridge Energy Partners LP, 7.38%, due 10/15/45 | 166625 |
| 100000 | Entergy Louisiana LLC, 5.35%, due 03/15/34 | 100327 |
| 100000 | Entergy Louisiana LLC, 5.15%, due 09/15/34 | 98934 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;150000 | Expand Energy Corp., 5.38%, due 03/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;149185 |
| 150000 | Expand Energy Corp., 4.75%, due 02/01/32 | 141409 |
| 150000 | Fiserv, Inc., 5.60%, due 03/02/33 | 152700 |
| 150000 | Fiserv, Inc., 5.45%, due 03/15/34 | 150368 |
| 100000 | Fox Corp., 6.50%, due 10/13/33 | 107088 |
| 100000 | Fox Corp., 5.48%, due 01/25/39 | 95737 |
| 150000 | Fox Corp., 5.58%, due 01/25/49 | 137628 |
| 300000 | FS KKR Capital Corp., 3.13%, due 10/12/28 | 271726 |
| 150000 | FS KKR Capital Corp., 6.13%, due 01/15/30 | 147698 |
| 250000 | GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35 | 237345 |
| 150000 | Gilead Sciences, Inc., 2.95%, due 03/01/27 | 147119 |
| 150000 | Goldman Sachs Bank USA, Variable Rate,<br>5.28%, due 03/18/27 | 150638 |
| 100000 | Goldman Sachs Group, Inc., Variable Rate,<br>3.62%, due 03/15/28 | 98212 |
| 150000 | Goldman Sachs Group, Inc., Variable Rate,<br>4.22%, due 05/01/29 | 148454 |
| 150000 | Howmet Aerospace, Inc., 3.00%, due 01/15/29 | 142509 |
| 150000 | Jacobs Engineering Group, Inc., 6.35%, due 08/18/28 | 156701 |
| 150000 | JPMorgan Chase & Co., Variable Rate, 4.91%, due 07/25/33 | 148655 |
| 150000 | Kinder Morgan, Inc., 5.20%, due 06/01/33 | 148038 |
| 150000 | Kinder Morgan, Inc., 5.05%, due 02/15/46 | 128105 |
| 150000 | Kroger Co., 5.00%, due 09/15/34 | 146096 |
| 150000 | Kroger Co., 5.40%, due 01/15/49 | 136189 |
| 100000 | Kroger Co., 5.65%, due 09/15/64 | 92329 |
| 150000 | Kyndryl Holdings, Inc., 2.05%, due 10/15/26 | 144659 |
| 150000 | Kyndryl Holdings, Inc., 3.15%, due 10/15/31 | 133007 |
| 150000 | Kyndryl Holdings, Inc., 6.35%, due 02/20/34 | 157402 |
| &nbsp;&nbsp;&nbsp;&nbsp;150000 | Lowe's Cos., Inc., 5.85%, due 04/01/63 | 141995 |
| 150000 | M&T Bank Corp., Variable Rate, 7.41%, due 10/30/29 | 161893 |
| 100000 | M&T Bank Corp., Variable Rate, 5.05%, due 01/27/34 | 96897 |
| 150000 | MasTec, Inc., 5.90%, due 06/15/29 | 153913 |
| 150000 | Morgan Stanley, Variable Rate, 3.77%, due 01/24/29 | 146782 |
| 150000 | Morgan Stanley, Variable Rate, 4.43%, due 01/23/30 | 148755 |
| 100000 | National Fuel Gas Co., 5.95%, due 03/15/35 | 100231 |
| 100000 | Netflix, Inc., 4.38%, due 11/15/26 | 100185 |
| 100000 | Netflix, Inc., 4.88%, due 04/15/28 | 101639 |
| 100000 | Netflix, Inc., 6.38%, due 05/15/29 | 107061 |
| 150000 | Northern Trust Corp., 1.95%, due 05/01/30 | 133009 |
| 200000 | Omega Healthcare Investors, Inc., 3.38%, due 02/01/31 | 180445 |
| 150000 | Omega Healthcare Investors, Inc., 3.25%, due 04/15/33 | 126810 |
| 150000 | ONEOK, Inc., 6.63%, due 09/01/53 | 151292 |
| 150000 | Paychex, Inc., 5.10%, due 04/15/30 | 151945 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | |
| 150000 | Paychex, Inc., 5.35%, due 04/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;152227 |
| 150000 | Paychex, Inc., 5.60%, due 04/15/35 | 152523 |
| 100000 | Philip Morris International, Inc., 2.75%, due 02/25/26 | 98709 |
| 150000 | Philip Morris International, Inc., 0.88%, due 05/01/26 | 145210 |
| 150000 | Philip Morris International, Inc., 4.75%, due 02/12/27 | 151112 |
| 150000 | Pilgrim's Pride Corp., 4.25%, due 04/15/31 | 141964 |
| 150000 | Pilgrim's Pride Corp., 3.50%, due 03/01/32 | 132851 |
| 100000 | Pilgrim's Pride Corp., 6.88%, due 05/15/34 | 107750 |
| 150000 | RTX Corp., 3.50%, due 03/15/27 | 147566 |
| 150000 | RTX Corp., 4.45%, due 11/16/38 | 135344 |
| 150000 | RTX Corp., 4.88%, due 10/15/40 | 137994 |
| 250000 | Sabra Health Care LP, 3.20%, due 12/01/31 | 217736 |
| 150000 | Santander Holdings USA, Inc., Variable Rate,<br>6.17%, due 01/09/30 | 154755 |
| 150000 | Santander Holdings USA, Inc., Variable Rate,<br>5.74%, due 03/20/31 | 151557 |
| 150000 | Santander Holdings USA, Inc., Variable Rate,<br>6.34%, due 05/31/35 | 153556 |
| 50000 | Simon Property Group LP, 5.85%, due 03/08/53 | 48765 |
| 150000 | Synovus Financial Corp., Variable Rate, 6.17%, due 11/01/30 | 151875 |
| 150000 | Take-Two Interactive Software, Inc., 4.95%, due 03/28/28 | 151566 |
| 150000 | Tapestry, Inc., 5.10%, due 03/11/30 | 149963 |
| 150000 | Tapestry, Inc., 5.50%, due 03/11/35 | 147131 |
| &nbsp;&nbsp;&nbsp;&nbsp;150000 | Targa Resources Corp., 6.13%, due 03/15/33 | 154494 |
| 150000 | Targa Resources Corp., 6.50%, due 02/15/53 | 147860 |
| 100000 | TC PipeLines LP, 3.90%, due 05/25/27 | 98576 |
| 150000 | Ventas Realty LP, 4.40%, due 01/15/29 | 148476 |
| 100000 | Ventas Realty LP, 3.00%, due 01/15/30 | 92651 |
| 100000 | Ventas Realty LP, 5.63%, due 07/01/34 | 101142 |
| 100000 | VeriSign, Inc., 2.70%, due 06/15/31 | 87879 |
| 150000 | VeriSign, Inc., 5.25%, due 06/01/32 | 151185 |
| 100000 | VMware LLC, 1.40%, due 08/15/26 | 96284 |
| 150000 | VMware LLC, 3.90%, due 08/21/27 | 147964 |
| 150000 | VMware LLC, 1.80%, due 08/15/28 | 137272 |
| 150000 | Walmart, Inc., 3.95%, due 06/28/38 | 134263 |
| 200000 | Walmart, Inc., 2.50%, due 09/22/41 | 138114 |
| 150000 | Walmart, Inc., 4.05%, due 06/29/48 | 121879 |
| 200000 | Warnermedia Holdings, Inc., 5.39%, due 03/15/62 | 128746 |
| 150000 | Westinghouse Air Brake Technologies Corp.,<br>5.61%, due 03/11/34 | 152903 |
| 150000 | Williams Cos., Inc., 5.15%, due 03/15/34 | 147324 |
|  |  | 15644086 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **U.S. Government — 23.1%** | |
| 1100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield +<br>0.25%, 4.55%, due 01/31/26 <sup>(a)</sup> | 1101521 |
| 500000 | U.S. Treasury Floating Rate Notes, Variable<br>Rate, 3 mo. Treasury money market yield + 0.15%, 4.45%, due 04/30/26 <sup>(a)</sup> | 500371 |
| 1250000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield +<br>0.18%, 4.48%, due 07/31/26 <sup>(a)</sup> | 1251656 |
| 15000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield +<br>0.16%, 4.46%, due 04/30/27 | 15008623 |
|  |  | 17862171 |
|  | **U.S. Government Agency — 21.4%** |  |
| 4800000 | Government National Mortgage Association, TBA, 3.50%, due 06/20/54 | 4269857 |
| 10100000 | Uniform Mortgage-Backed Security, TBA,<br>3.00%, due 06/01/54 | 8592485 |
| 3750000 | Uniform Mortgage-Backed Security, TBA,<br>5.50%, due 06/01/54 | 3712168 |
|  |  | 16574510 |
|  | Total United States | 50080767 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $52,785,725) | 52509500 |

---

---

| | | |
|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 24.1%** | |
| | **United States — 24.1%** | |
| 196141 | GMO Emerging Country Debt Fund, Class VI <sup>(b)</sup> | 4013040 |
| 602517 | GMO Opportunistic Income Fund, Class VI <sup>(b)</sup> | 14659233 |
|  | Total United States | 18672273 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $21,061,149) | 18672273 |
|  | **SHORT-TERM INVESTMENTS — 33.2%** | **SHORT-TERM INVESTMENTS — 33.2%** |
|  | **Repurchase Agreements — 31.0%** |  |
| 23999400 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/30/25 , maturing on 06/02/25 with a maturity value of $24,008,060 and an effective yield of 4.33%, collateralized by a U.S. Treasury Note with maturity date 07/15/27 and a market value of $24,519,315. | 23999400 |
|  | **Money Market Funds — 2.2%** | **Money Market Funds — 2.2%** |
| 1719517 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(c)</sup> | 1719517 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $25,718,917) | 25718917 |
|  | **TOTAL INVESTMENTS — 125.1%**<br> (Cost $99,565,791) | **96900690** |
|  | Other Assets and Liabilities (net) — (25.1%) | (19468009) |
|  | **TOTAL NET ASSETS — 100.0%** | **$77432681** |

---

A summary of outstanding financial instruments at May 31, 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)($)** |
| 08/12/2025 | BCLY | AUD | 230000 | USD | 149032 | 609 |
| 06/03/2025 | JPM | BRL | 1913667 | USD | 337507 | 2921 |
| 07/15/2025 | SSB | CHF | 1443976 | USD | 1792012 | 28289 |
| 08/18/2025 | CITI | CLP | 30000000 | USD | 31999 | 293 |
| 08/18/2025 | MSCI | CLP | 9728500 | USD | 10340 | 58 |
| 07/15/2025 | CITI | CZK | 800000 | USD | 36588 | 93 |
| 08/19/2025 | CITI | HUF | 20000000 | USD | 56085 | 75 |
| 07/15/2025 | GS | IDR | 600000000 | USD | 36796 | 176 |
| 07/14/2025 | BCLY | JPY | 49000000 | USD | 342150 | 43 |
| 07/15/2025 | GS | PHP | 1500000 | USD | 26860 | 5 |
| 07/15/2025 | SSB | PHP | 2000000 | USD | 35807 | 1 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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)($)** |
| 08/20/2025 | CITI | PLN | 100000 | USD | 26748 | 76 |
| 06/23/2025 | GS | RON | 281041 | USD | 63938 | 1013 |
| 06/12/2025 | CITI | SEK | 1400000 | USD | 147342 | 1232 |
| 06/20/2025 | CITI | THB | 2700000 | USD | 82602 | 259 |
| 08/12/2025 | CITI | USD | 134973 | AUD | 210000 | 545 |
| 08/12/2025 | SSB | USD | 141045 | AUD | 220000 | 926 |
| 06/03/2025 | JPM | USD | 287687 | BRL | 1663667 | 3189 |
| 06/13/2025 | BCLY | USD | 187974 | CAD | 260000 | 1586 |
| 06/13/2025 | MSCI | USD | 254111 | CAD | 360000 | 8356 |
| 08/15/2025 | GS | USD | 123176 | COP | 520000000 | 927 |
| 08/15/2025 | MSCI | USD | 225681 | COP | 960000000 | 3432 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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>**($)** |
| 07/15/2025 | BCLY | USD | 63316 | CZK | 1400000 | 550 |
| 07/15/2025 | BBH | USD | 27190 | CZK | 600000 | 181 |
| 08/14/2025 | MSCI | USD | 248507 | EUR | 220000 | 2479 |
| 07/15/2025 | BCLY | USD | 134671 | GBP | 100000 | 89 |
| 07/15/2025 | JPM | USD | 288682 | GBP | 220000 | 7790 |
| 07/15/2025 | MSCI | USD | 345500 | GBP | 260000 | 4876 |
| 08/19/2025 | GS | USD | 193206 | HUF | 69769900 | 2182 |
| 07/15/2025 | JPM | USD | 137368 | IDR | 2294041000 | 2645 |
| 08/12/2025 | DB | USD | 56611 | ILS | 200000 | 376 |
| 08/12/2025 | GS | USD | 56508 | ILS | 200000 | 480 |
| 06/26/2025 | SSB | USD | 162182 | INR | 14000000 | 1254 |
| 07/14/2025 | BCLY | USD | 241169 | JPY | 35000000 | 3193 |
| 07/14/2025 | DB | USD | 2204368 | JPY | 315902084 | 1191 |
| 07/14/2025 | MSCI | USD | 146552 | JPY | 21000000 | 65 |
| 07/15/2025 | CITI | USD | 50478 | MXN | 1000000 | 811 |
| 07/15/2025 | SSB | USD | 70084 | MXN | 1400000 | 1721 |
| 07/15/2025 | BCLY | USD | 2354224 | NOK | 25085429 | 103228 |
| 08/14/2025 | DB | USD | 254853 | NZD | 430000 | 2715 |
| 07/08/2025 | CITI | USD | 31894 | PEN | 120000 | 1243 |
| 07/08/2025 | JPM | USD | 356487 | PEN | 1320000 | 8019 |
| 07/15/2025 | SSB | USD | 89324 | PHP | 5000000 | 192 |
| 06/23/2025 | CITI | USD | 154574 | RON | 700000 | 2155 |
| 06/12/2025 | BOA | USD | 1194896 | SEK | 12002650 | 57751 |
| 06/12/2025 | CITI | USD | 160882 | SEK | 1600000 | 6101 |
| 06/12/2025 | GS | USD | 229504 | SEK | 2200000 | 97 |
| 06/20/2025 | JPM | USD | 125391 | THB | 4177700 | 2018 |
| 06/27/2025 | CITI | USD | 99355 | ZAR | 1800000 | 566 |
| 06/27/2025 | MSCI | USD | 76532 | ZAR | 1400000 | 1184 |
| 06/27/2025 | SSB | USD | 21600 | ZAR | 400000 | 604 |
| 08/12/2025 | SSB | AUD | 220000 | USD | 141338 | (633) |
| 06/03/2025 | CITI | BRL | 400000 | USD | 68198 | (1738) |
| 06/03/2025 | GS | BRL | 300000 | USD | 51495 | (958) |
| 06/13/2025 | BOA | CAD | 180000 | USD | 130748 | (485) |
| 06/13/2025 | CITI | CAD | 820000 | USD | 579072 | (18770) |
| 06/13/2025 | MSCI | CAD | 500000 | USD | 348586 | (15951) |
| 06/13/2025 | SSB | CAD | 370000 | USD | 267428 | (2329) |
| 07/15/2025 | SSB | CHF | 150000 | USD | 183196 | (19) |
| 07/15/2025 | CITI | CZK | 1600000 | USD | 72271 | (719) |
| 07/15/2025 | SSB | CZK | 1000000 | USD | 44993 | (626) |
| 08/14/2025 | BCLY | EUR | 680000 | USD | 760532 | (15243) |
| 07/15/2025 | JPM | GBP | 210000 | USD | 280139 | (2857) |
| 07/15/2025 | MSCI | GBP | 180000 | USD | 240768 | (1801) |
| 07/15/2025 | SSB | GBP | 100000 | USD | 132209 | (2551) |
| 08/19/2025 | SSB | HUF | 10000000 | USD | 27776 | (228) |
| 07/15/2025 | GS | IDR | 600000000 | USD | 36236 | (384) |
| 08/12/2025 | CITI | ILS | 250000 | USD | 70492 | (742) |
| 08/12/2025 | MSCI | ILS | 86203 | USD | 24145 | (417) |
| 06/26/2025 | CITI | INR | 29000000 | USD | 336183 | (2365) |
| 07/14/2025 | MSCI | JPY | 25000000 | USD | 173381 | (1163) |
| 08/18/2025 | MSCI | KRW | 74221675 | USD | 52513 | (1482) |
| 07/15/2025 | MSCI | MXN | 3180899 | USD | 154553 | (8593) |
| 07/15/2025 | CITI | NOK | 6700000 | USD | 644550 | (11804) |
| 07/15/2025 | DB | NOK | 1600000 | USD | 154355 | (2387) |
| 08/14/2025 | SSB | NZD | 910000 | USD | 536771 | (8316) |
| 07/08/2025 | CITI | PEN | 160000 | USD | 43528 | (654) |
| 07/08/2025 | GS | PEN | 240000 | USD | 65666 | (607) |
| 07/08/2025 | MSCI | PEN | 160000 | USD | 43829 | (354) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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>**($)** |
| 08/20/2025 | GS | PLN | 350000 | USD | 91743 | (1611) |
| 08/20/2025 | MSCI | PLN | 150000 | USD | 39576 | (433) |
| 08/20/2025 | SSB | PLN | 100000 | USD | 26340 | (333) |
| 06/12/2025 | CITI | SEK | 7800000 | USD | 787404 | (26635) |
| 06/12/2025 | GS | SEK | 3000000 | USD | 312263 | (830) |
| 07/22/2025 | BOA | SGD | 430000 | USD | 329472 | (4953) |
| 07/22/2025 | BBH | SGD | 90000 | USD | 69091 | (905) |
| 06/20/2025 | MSCI | THB | 1500000 | USD | 45503 | (243) |
| 07/15/2025 | SSB | TWD | 945600 | USD | 31449 | (517) |
| 06/03/2025 | BCLY | USD | 79520 | BRL | 450000 | (842) |
| 06/03/2025 | CITI | USD | 52746 | BRL | 300000 | (294) |
| 06/03/2025 | GS | USD | 35255 | BRL | 200000 | (287) |
| 08/04/2025 | JPM | USD | 332777 | BRL | 1913667 | (2960) |
| 08/18/2025 | GS | USD | 31918 | CLP | 30000000 | (212) |
| 08/15/2025 | CITI | USD | 28696 | COP | 120000000 | (57) |
| 07/15/2025 | CITI | USD | 45779 | CZK | 1000000 | (160) |
| 07/15/2025 | MSCI | USD | 176175 | GBP | 130000 | (987) |
| 06/26/2025 | CITI | USD | 35504 | INR | 3000000 | (482) |
| 06/26/2025 | MSCI | USD | 23380 | INR | 2000000 | (32) |
| 08/18/2025 | SSB | USD | 58652 | KRW | 80000000 | (453) |
| 07/15/2025 | MSCI | USD | 41198 | MXN | 800000 | (167) |
| 07/15/2025 | SSB | USD | 62059 | MXN | 1200000 | (512) |
| 06/23/2025 | BBH | USD | 57444 | RON | 250000 | (1470) |
| 06/23/2025 | CITI | USD | 22430 | RON | 100000 | (40) |
| 07/15/2025 | SSB | USD | 30494 | TWD | 900000 | (70) |
| 06/27/2025 | SSB | USD | 66999 | ZAR | 1200000 | (385) |
| 06/27/2025 | BBH | ZAR | 1400000 | USD | 74979 | (2737) |
| 06/27/2025 | SSB | ZAR | 1400000 | USD | 72302 | (5414) |
|  |  |  |  |  |  | $111663 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 28 | U.S. Long Bond (CBT) | September 2025 | 3157875 | 17827 |
| 30 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 3322500 | 18266 |
| 31 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 6430563 | 8181 |
| 103 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 11143312 | 23676 |
| 3 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2025 | 337641 | 643 |
| 28 | U.S. Ultra Bond (CBT) | September 2025 | 3249750 | 22936 |
|  |  |  | $27641641 | $91529 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

**Swap Contracts** 

**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) ($)** |
|  3.18% | 3 Month AUD BBSW | AUD | 10000000 | 06/18/2027 | Quarterly | 1052 | 5238 | 4186 |
|  3 Month AUD BBSW | 3.16% | AUD | 2000000 | 06/18/2027 | Quarterly |  | (1420) | (1420) |
|  3 Month AUD BBSW | 3.20% | AUD | 2000000 | 06/18/2027 | Quarterly |  | (390) | (390) |
|  3 Month AUD BBSW | 3.25% | AUD | 1500000 | 06/18/2027 | Quarterly |  | 656 | 656 |
|  CAD-CORRA-OIS-COMPOUND | 2.29% | CAD | 7500000 | 06/18/2027 | Annually | 6967 | (15813) | (22780) |
|  CAD-CORRA-OIS-COMPOUND | 2.36% | CAD | 1000000 | 06/18/2027 | Annually |  | (1182) | (1182) |
|  CAD-CORRA-OIS-COMPOUND | 2.39% | CAD | 1500000 | 06/18/2027 | Annually |  | (1021) | (1021) |
|  2.37% | CAD-CORRA-OIS-COMPOUND | CAD | 1500000 | 06/18/2027 | Annually |  | 1477 | 1477 |
|  2.42% | CAD-CORRA-OIS-COMPOUND | CAD | 1000000 | 06/18/2027 | Annually |  | 348 | 348 |
|  2.41% | CAD-CORRA-OIS-COMPOUND | CAD | 1500000 | 06/18/2027 | Annually |  | 682 | 682 |
|  CHF-SARON-OIS-COMPOUND | 0.14% | CHF | 12000000 | 06/18/2027 | Annually | (17154) | 121928 | 139082 |
|  (0.05)% | CHF-SARON-OIS-COMPOUND | CHF | 1000000 | 06/18/2027 | Annually |  | (5473) | (5473) |
|  (0.10)% | CHF-SARON-OIS-COMPOUND | CHF | 500000 | 06/18/2027 | Annually |  | (2085) | (2085) |
|  (0.19)% | CHF-SARON-OIS-COMPOUND | CHF | 1000000 | 06/18/2027 | Annually |  | (1876) | (1876) |
|  (0.29)% | CHF-SARON-OIS-COMPOUND | CHF | 1000000 | 06/18/2027 | Annually |  | 456 | 456 |
|  EUR-EuroSTR-COMPOUND | 1.65% | EUR | 1000000 | 06/18/2027 | Annually |  | (921) | (921) |
|  EUR-EuroSTR-COMPOUND | 1.70% | EUR | 1000000 | 06/18/2027 | Annually |  | 54 | 54 |
|  EUR-EuroSTR-COMPOUND | 1.79% | EUR | 1000000 | 06/18/2027 | Annually |  | 2128 | 2128 |
|  GBP-SONIA-COMPOUND | 3.63% | GBP | 500000 | 06/18/2027 | Annually |  | (2518) | (2518) |
|  3.93% | GBP-SONIA-COMPOUND | GBP | 4000000 | 06/18/2027 | Annually | (1293) | (10591) | (9298) |
|  3.81% | GBP-SONIA-COMPOUND | GBP | 1000000 | 06/18/2027 | Annually |  | 362 | 362 |
|  3 Month SEK STIBOR | 2.13% | SEK | 5000000 | 06/18/2027 | Quarterly |  | 487 | 487 |
|  3 Month SEK STIBOR | 2.23% | SEK | 20000000 | 06/18/2027 | Quarterly | (4339) | 5939 | 10278 |
|  3 Month SEK STIBOR | 2.52% | SEK | 10000000 | 06/18/2027 | Quarterly |  | 9007 | 9007 |
|  2.18% | 3 Month SEK STIBOR | SEK | 20000000 | 06/18/2027 | Quarterly |  | (4035) | (4035) |
|  2.11% | 3 Month SEK STIBOR | SEK | 10000000 | 06/18/2027 | Quarterly |  | (579) | (579) |
|  2.10% | 3 Month SEK STIBOR | SEK | 15000000 | 06/18/2027 | Quarterly | (187) | (656) | (469) |
|  3.51% | USD-SOFR-OIS-COMPOUND | USD | 1000000 | 06/18/2027 | Annually |  | 2930 | 2930 |
|  BRL-CDI | 14.0% | BRL | 2818663 | 01/02/2029 | At Maturity | 370 | 10557 | 10187 |
|  MXN-TIIE ON-OIS COMPOUND | 7.74% | MXN | 2900000 | 06/12/2030 | Monthly |  | 120 | 120 |
|  MXN-TIIE ON-OIS COMPOUND | 7.87% | MXN | 2700000 | 06/12/2030 | Monthly |  | 846 | 846 |
|  MXN-TIIE ON-OIS COMPOUND | 8.22% | MXN | 4000000 | 06/12/2030 | Monthly | 597 | 4215 | 3618 |
|  5.09% | CL-CLICP-Bloomberg | CLP | 90000000 | 06/18/2030 | Semi-Annually |  | (1839) | (1839) |
|  CNY-CNREPOFIX=CFXS-Reuters | 1.44% | CNY | 600000 | 06/18/2030 | Quarterly |  | (174) | (174) |
|  1.57% | CNY-CNREPOFIX=CFXS-Reuters | CNY | 6000000 | 06/18/2030 | Quarterly | 604 | (3634) | (4238) |
|  COP-IBR-OIS-COMPOUND | 8.25% | COP | 2400000000 | 06/18/2030 | Quarterly | 1600 | (5882) | (7482) |
|  COP-IBR-OIS-COMPOUND | 8.70% | COP | 560000000 | 06/18/2030 | Quarterly |  | 1062 | 1062 |
|  CZK-PRIBOR-PRBO | 3.44% | CZK | 3100000 | 06/18/2030 | Semi-Annually |  | 974 | 974 |
|  CZK-PRIBOR-PRBO | 3.50% | CZK | 6000000 | 06/18/2030 | Semi-Annually | (346) | 2536 | 2882 |
|  CZK-PRIBOR-PRBO | 3.56% | CZK | 11500000 | 06/18/2030 | Semi-Annually | 2591 | 6328 | 3737 |
|  3.21% | CZK-PRIBOR-PRBO | CZK | 2100000 | 06/18/2030 | Semi-Annually |  | 368 | 368 |
|  HKD-HIBOR-HKAB | 2.96% | HKD | 700000 | 06/18/2030 | Quarterly |  | 786 | 786 |
|  HKD-HIBOR-HKAB | 3.37% | HKD | 3000000 | 06/18/2030 | Quarterly | (1345) | 10712 | 12057 |
|  3.48% | HKD-HIBOR-HKAB | HKD | 600000 | 06/18/2030 | Quarterly |  | (2514) | (2514) |
|  ILS-SHIR-OIS COMPOUND | 4.19% | ILS | 900000 | 06/18/2030 | Annually | 2116 | 944 | (1172) |
|  5.97% | INR-FBIL-MIBOR-OIS-COMPOUND | INR | 90000000 | 06/18/2030 | Semi-Annually | (2695) | (12851) | (10156) |
|  KRW-CD-KSDA-Bloomberg | 2.33% | KRW | 320000000 | 06/18/2030 | Quarterly |  | (790) | (790) |
|  KRW-CD-KSDA-Bloomberg | 2.41% | KRW | 110000000 | 06/18/2030 | Quarterly |  | 21 | 21 |
|  KRW-CD-KSDA-Bloomberg | 2.62% | KRW | 260000000 | 06/18/2030 | Quarterly |  | 1961 | 1961 |
|  2.52% | KRW-CD-KSDA-Bloomberg | KRW | 1100000000 | 06/18/2030 | Quarterly | 4046 | (4481) | (8527) |
|  4.78% | PLN-WIBOR-WIBO | PLN | 2600000 | 06/18/2030 | Semi-Annually | 2859 | (22067) | (24926) |
|  3.81% | PLN-WIBOR-WIBO | PLN | 300000 | 06/18/2030 | Semi-Annually |  | 890 | 890 |
|  SGD-SORA-COMPOUND | 1.96% | SGD | 180000 | 06/18/2030 | Semi-Annually |  | 215 | 215 |
|  SGD-SORA-COMPOUND | 2.26% | SGD | 150000 | 06/18/2030 | Semi-Annually |  | 1895 | 1895 |
|  2.31% | SGD-SORA-COMPOUND | SGD | 900000 | 06/18/2030 | Semi-Annually | 1593 | (12952) | (14545) |
|  2.30% | SGD-SORA-COMPOUND | SGD | 200000 | 06/18/2030 | Semi-Annually |  | (2778) | (2778) |
|  2.01% | SGD-SORA-COMPOUND | SGD | 140000 | 06/18/2030 | Semi-Annually |  | (463) | (463) |
|  1.75% | THB-THOR | THB | 18600000 | 06/18/2030 | Quarterly | 1036 | (9550) | (10586) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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) ($)** |
|  1.68% | THB-THOR | THB | 3000000 | 06/18/2030 | Quarterly |  | (1255) | (1255) |
|  1.54% | THB-THOR | THB | 3000000 | 06/18/2030 | Quarterly |  | (604) | (604) |
|  1.40% | THB-THOR | THB | 2600000 | 06/18/2030 | Quarterly |  | (12) | (12) |
|  ZAR-JIBAR-SAFEX | 7.79% | ZAR | 19000000 | 06/18/2030 | Quarterly | 621 | 16023 | 15402 |
|  6 Month AUD BBSW | 4.13% | AUD | 500000 | 06/18/2035 | Semi-Annually |  | (180) | (180) |
|  6 Month AUD BBSW | 4.23% | AUD | 2300000 | 06/18/2035 | Semi-Annually | 989 | 11156 | 10167 |
|  6 Month AUD BBSW | 4.32% | AUD | 500000 | 06/18/2035 | Semi-Annually |  | 4818 | 4818 |
|  4.14% | 6 Month AUD BBSW | AUD | 400000 | 06/18/2035 | Semi-Annually |  | 38 | 38 |
|  4.15% | 6 Month AUD BBSW | AUD | 500000 | 06/18/2035 | Semi-Annually |  | (232) | (232) |
|  4.18% | 6 Month AUD BBSW | AUD | 300000 | 06/18/2035 | Semi-Annually |  | (642) | (642) |
|  CAD-CORRA-OIS-COMPOUND | 2.89% | CAD | 400000 | 06/18/2035 | Annually |  | (1164) | (1164) |
|  CAD-CORRA-OIS-COMPOUND | 2.91% | CAD | 400000 | 06/18/2035 | Annually |  | (796) | (796) |
|  CAD-CORRA-OIS-COMPOUND | 2.96% | CAD | 300000 | 06/18/2035 | Annually |  | 410 | 410 |
|  CAD-CORRA-OIS-COMPOUND | 2.98% | CAD | 200000 | 06/18/2035 | Annually |  | 508 | 508 |
|  CAD-CORRA-OIS-COMPOUND | 3.03% | CAD | 300000 | 06/18/2035 | Annually |  | 1712 | 1712 |
|  2.62% | CAD-CORRA-OIS-COMPOUND | CAD | 1700000 | 06/18/2035 | Annually | (4588) | 34074 | 38662 |
|  2.84% | CAD-CORRA-OIS-COMPOUND | CAD | 300000 | 06/18/2035 | Annually |  | 1871 | 1871 |
|  2.77% | CAD-CORRA-OIS-COMPOUND | CAD | 200000 | 06/18/2035 | Annually |  | 2197 | 2197 |
|  2.93% | CAD-CORRA-OIS-COMPOUND | CAD | 400000 | 06/18/2035 | Annually |  | 315 | 315 |
|  CHF-SARON-OIS-COMPOUND | 0.37% | CHF | 200000 | 06/18/2035 | Annually |  | (39) | (39) |
|  CHF-SARON-OIS-COMPOUND | 0.50% | CHF | 400000 | 06/18/2035 | Annually |  | 6232 | 6232 |
|  CHF-SARON-OIS-COMPOUND | 0.51% | CHF | 100000 | 06/18/2035 | Annually |  | 1700 | 1700 |
|  CHF-SARON-OIS-COMPOUND | 0.53% | CHF | 200000 | 06/18/2035 | Annually |  | 3932 | 3932 |
|  CHF-SARON-OIS-COMPOUND | 0.59% | CHF | 200000 | 06/18/2035 | Annually |  | 5466 | 5466 |
|  0.57% | CHF-SARON-OIS-COMPOUND | CHF | 2500000 | 06/18/2035 | Annually | 19204 | (61216) | (80420) |
|  0.56% | CHF-SARON-OIS-COMPOUND | CHF | 1180000 | 06/18/2035 | Annually | (1711) | (27872) | (26161) |
|  0.89% | CHF-SARON-OIS-COMPOUND | CHF | 400000 | 06/18/2035 | Annually |  | (25703) | (25703) |
|  EUR-EuroSTR-COMPOUND | 2.44% | EUR | 600000 | 06/18/2035 | Annually |  | 5975 | 5975 |
|  EUR-EuroSTR-COMPOUND | 2.47% | EUR | 200000 | 06/18/2035 | Annually |  | 2566 | 2566 |
|  EUR-EuroSTR-COMPOUND | 2.56% | EUR | 200000 | 06/18/2035 | Annually |  | 4451 | 4451 |
|  EUR-EuroSTR-COMPOUND | 2.65% | EUR | 500000 | 06/18/2035 | Annually |  | 15610 | 15610 |
|  2.27% | EUR-EuroSTR-COMPOUND | EUR | 1330000 | 06/18/2035 | Annually | 935 | 10807 | 9872 |
|  2.50% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 06/18/2035 | Annually |  | (3098) | (3098) |
|  2.31% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 06/18/2035 | Annually |  | 693 | 693 |
|  2.44% | EUR-EuroSTR-COMPOUND | EUR | 200000 | 06/18/2035 | Annually |  | (1982) | (1982) |
|  2.38% | EUR-EuroSTR-COMPOUND | EUR | 300000 | 06/18/2035 | Annually |  | (897) | (897) |
|  GBP-SONIA-COMPOUND | 3.87% | GBP | 200000 | 06/18/2035 | Annually |  | (5905) | (5905) |
|  GBP-SONIA-COMPOUND | 3.98% | GBP | 960000 | 06/18/2035 | Annually | 1313 | (16869) | (18182) |
|  GBP-SONIA-COMPOUND | 3.99% | GBP | 1000000 | 06/18/2035 | Annually | 61 | (16808) | (16869) |
|  GBP-SONIA-COMPOUND | 4.10% | GBP | 500000 | 06/18/2035 | Annually |  | (2237) | (2237) |
|  GBP-SONIA-COMPOUND | 4.13% | GBP | 200000 | 06/18/2035 | Annually |  | (174) | (174) |
|  GBP-SONIA-COMPOUND | 4.17% | GBP | 200000 | 06/18/2035 | Annually |  | 568 | 568 |
|  GBP-SONIA-COMPOUND | 4.25% | GBP | 200000 | 06/18/2035 | Annually |  | 2325 | 2325 |
|  4.00% | GBP-SONIA-COMPOUND | GBP | 200000 | 06/18/2035 | Annually |  | 2979 | 2979 |
|  3.99% | GBP-SONIA-COMPOUND | GBP | 300000 | 06/18/2035 | Annually |  | 5026 | 5026 |
|  4.18% | GBP-SONIA-COMPOUND | GBP | 300000 | 06/18/2035 | Annually |  | (1179) | (1179) |
|  3 Month NZD Bank Bill Rate | 4.05% | NZD | 2720000 | 06/18/2035 | Quarterly | (13666) | (12471) | 1195 |
|  3 Month SEK STIBOR | 2.65% | SEK | 3000000 | 06/18/2035 | Quarterly | 258 | 525 | 267 |
|  3 Month SEK STIBOR | 2.66% | SEK | 2000000 | 06/18/2035 | Quarterly |  | 552 | 552 |
|  3 Month SEK STIBOR | 2.73% | SEK | 5000000 | 06/18/2035 | Quarterly |  | 4805 | 4805 |
|  3 Month SEK STIBOR | 2.97% | SEK | 2000000 | 06/18/2035 | Quarterly |  | 6291 | 6291 |
|  2.64% | 3 Month SEK STIBOR | SEK | 4000000 | 06/18/2035 | Quarterly | 4938 | (294) | (5232) |
|  2.63% | 3 Month SEK STIBOR | SEK | 1000000 | 06/18/2035 | Quarterly | 19 | (9) | (28) |
|  2.96% | 3 Month SEK STIBOR | SEK | 2000000 | 06/18/2035 | Quarterly |  | (6134) | (6134) |
|  2.67% | 3 Month SEK STIBOR | SEK | 6000000 | 06/18/2035 | Quarterly |  | (2510) | (2510) |
|  2.66% | 3 Month SEK STIBOR | SEK | 2000000 | 06/18/2035 | Quarterly |  | (625) | (625) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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 | 3.76% | USD | 300000 | 06/18/2035 | Annually |  | (2280) | (2280) |
|  USD-SOFR-OIS-COMPOUND | 3.82% | USD | 300000 | 06/18/2035 | Annually |  | (873) | (873) |
|  3.73% | USD-SOFR-COMPOUND | USD | 500000 | 06/18/2035 | Annually | (1526) | 5232 | 6758 |
|  3.77% | USD-SOFR-COMPOUND | USD | 200000 | 06/18/2035 | Annually |  | 1437 | 1437 |
|  3.94% | USD-SOFR-OIS-COMPOUND | USD | 200000 | 06/18/2035 | Annually |  | (1492) | (1492) |
|  3.89% | USD-SOFR-OIS-COMPOUND | USD | 300000 | 06/18/2035 | Annually |  | (1019) | (1019) |
|  3.92% | USD-SOFR-OIS-COMPOUND | USD | 300000 | 06/18/2035 | Annually |  | (1666) | (1666) |
|  |  |  |  |  |  | $4919 | $29644 | $24725 |

---

**OTC Interest Rate 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) ($)** |
|  MYR-KLIBOR-BNM | 3.52% | BOA | MYR | 2500000 | 06/18/2030 | Quarterly | $530 | $8478 | $7948 |

---

As of May 31, 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 Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

**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, and/or written options, if any.

(b) Affiliated company.

(c) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 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

CLICP - Chilean Interbank Rate denominated in Chilean Peso.

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

PRIBOR - Prague Interbank Offered Rate

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:** 

BBH - Brown Brothers Harriman & Co.

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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 97.3%** |  |
| | **Asset-Backed Securities — 76.6%** | |
| | **Auto Retail Prime — 0.5%** | |
| 6847000 | Chase Auto Owner Trust, Series 24-4A, Class A3, 144A, 4.94%, due 07/25/29 | 6891634 |
|  | **Auto Retail Subprime — 2.7%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5402086 | GM Financial Consumer Automobile Receivables Trust, Series 21-3, Class A4, 0.73%, due 08/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5365979 |
| 6000000 | GM Financial Consumer Automobile Receivables Trust, Series 24-1, Class A3, 4.85%, due 12/18/28 | 6028218 |
| 7000000 | Hyundai Auto Receivables Trust, Series 24-A, Class A3, 4.99%, due 02/15/29 | 7052319 |
| 7000000 | Nissan Auto Receivables Owner Trust, Series 23-B, Class A3, 5.93%, due 03/15/28 | 7061214 |
| 3526000 | Volkswagen Auto Loan Enhanced Trust, Series 24-1, Class A3, 4.63%, due 07/20/29 | 3552191 |
| 6030000 | World Omni Auto Receivables Trust, Series 24-C, Class A3, 4.43%, due 12/17/29 | 6033174 |
|  | Total Auto Retail Subprime | 35093095 |
|  | **CMBS CDO — 0.0%** |  |
| 8586000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 8 |
|  | **Collateralized Loan Obligations — 7.1%** | **Collateralized Loan Obligations — 7.1%** |
| 6948916 | Anchorage Credit Funding 6 Ltd., Series 18-6A, Class A, 144A, 4.30%, due 07/25/36 | 6876627 |
| 9725000 | Apex Credit CLO LLC, Series 21-2A, Class A1A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.49%, 5.76%, due 10/20/34 | 9720118 |
| 5425000 | BlueMountain CLO Ltd., Series 13-2A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 6.13%, due 10/22/30 | 5430311 |
| 2760109 | Canyon Capital CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.59%, due 07/15/31 | 2761420 |
| 13452151 | Gallatin CLO VIII Ltd., Series 17-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.35%, 5.61%, due 07/15/31 | 13455392 |
| 3180845 | Man GLG U.S. CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.40%, 5.67%, due 04/22/30 | 3182451 |
| 4880777 | Marble Point CLO XIV Ltd., Series 18-2A, Class A12R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.20%, 5.47%, due 01/20/32 | 4875501 |
| 2339416 | MidOcean Credit CLO VI, Series 16-6A, Class ARRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 5.50%, due 04/20/33 | 2339730 |
| 2951774 | Mountain View CLO IX Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 5.64%, due 07/15/31 | 2953404 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 4000000 | Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 6.17%, due 10/12/30 | 4004364 |
| 3221457 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 5.59%, due 04/22/31 | 3222436 |
| 1083456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26 | 6759 |
| 3161423 | OZLM XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.54%, due 04/15/31 | 3162470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2190000 | OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 6.04%, due 01/17/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2195433 |
| 6000000 | Rockford Tower CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.98%, 6.30%, due 05/20/31 | 6013824 |
| 106645 | Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. USD LIBOR + 1.60%, 6.45%, due 06/22/30 | 106740 |
| 993523 | Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.66%, due 05/07/31 | 994337 |
| 831307 | Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 5.52%, due 04/15/31 | 831532 |
| 1159348 | Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 5.68%, due 04/18/31 | 1159342 |
| 308367 | Steele Creek CLO Ltd., Series 17-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 5.77%, due 10/15/30 | 308619 |
| 2761911 | Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 5.68%, due 06/15/31 | 2763093 |
| 2464003 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.63%, due 07/18/31 | 2465267 |
| 1488636 | Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 5.77%, due 10/15/31 | 1489756 |
| 4967955 | Zais CLO 13 Ltd., Series 19-13A, Class A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.30%, 5.56%, due 07/15/32 | 4968760 |
| 5368000 | Zais CLO 16 Ltd., Series 20-16A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.13%, 5.40%, due 10/20/34 | 5343774 |
|  | Total Collateralized Loan Obligations | 90631460 |
|  | **Commercial Mortgage-Backed Securities —23.6%** | **Commercial Mortgage-Backed Securities —23.6%** |
| 15387600 | BBCMS Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 5.25%, due 03/15/37 | 14492782 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Commercial Mortgage-Backed Securities —<br>continued** | **Commercial Mortgage-Backed Securities —<br>continued** |
| 11037000 | BBCMS Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38 | 9144110 |
| 5141320 | Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.86%, due 07/25/36 | 4763351 |
| 7760120 | Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52 | 7541863 |
| 16000000 | Benchmark Mortgage Trust, Series 19-B9, Class A5, 4.02%, due 03/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;15452002 |
| 6490722 | Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52 | 6131757 |
| 9635057 | Benchmark Mortgage Trust, Series 20-B19, Class A5, 1.85%, due 09/15/53 | 8243610 |
| 8167000 | Benchmark Mortgage Trust, Series 20-B20, Class A5, 2.03%, due 10/15/53 | 6976229 |
| 5266000 | Benchmark Mortgage Trust, Series 21-B27, Class A5, 2.39%, due 07/15/54 | 4503850 |
| 9604000 | Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55 | 8356032 |
| 5295000 | Benchmark Mortgage Trust, Series 22-B33, Class A5, 3.46%, due 03/15/55 | 4776024 |
| 14500000 | Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55 | 13150344 |
| 10395000 | Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72 | 9489822 |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7234048 |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44 | 7206995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | 7400594 |
| 4895000 | BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41 | 4559983 |
| 4570000 | BX Trust, Series 19-OC11, Class D, 144A, Variable Rate, 3.94%, due 12/09/41 | 4229068 |
| 9000000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41 | 8163454 |
| 15516000 | COMM Mortgage Trust, Series 24-277P, Class A, 144A, 6.34%, due 08/10/44 | 16149852 |
| 3031837 | COMM Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.34%, due 07/10/50 | 2943914 |
| 26327712 | COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51 | 25593348 |
| 8625000 | Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40 | 7475481 |
| 13916000 | Houston Galleria Mall Trust, Series 25-HGLR, Class A, 144A, Variable Rate, 5.46%, due 02/05/45 | 14051432 |
| 11393000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 24-OMNI, Class A, 144A, Variable Rate, 5.80%, due 10/05/39 | 11525362 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Commercial Mortgage-Backed Securities —<br>continued** | **Commercial Mortgage-Backed Securities —<br>continued** |
| 14600000 | MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40 | 12774852 |
| 9011741 | OBX Trust, Series 25-NQM7, Class A1, 144A, Step Up, 5.56%, due 05/25/55 | 9041784 |
| 8235000 | OBX Trust, Series 25-NQM8, Class A1, 144A, Step Up, 5.47%, due 03/25/65 | 8239374 |
| 7775000 | ROCK Trust, Series 24-CNTR, Class A, 144A, 5.39%, due 11/13/41 | 7873117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000000 | ROCK Trust, Series 24-CNTR, Class E, 144A, 8.82%, due 11/13/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4178255 |
| 1440342 | Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate,<br>3.38%, due 02/25/52 | 1275332 |
| 4550000 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 6.12%, due 11/23/43 | 4515069 |
| 11594960 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 6.88%, due 03/23/45 | 10179508 |
| 2285000 | Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52 | 2125045 |
| 2510238 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class B, Variable Rate,<br>4.21%, due 08/15/47 | 2431166 |
| 9814966 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class C, Variable Rate,<br>4.23%, due 08/15/47 | 9305569 |
|  | Total Commercial Mortgage-Backed Securities | 301494378 |
|  | **Credit Cards — 1.1%** |  |
| 13695000 | American Express Credit Account Master Trust, Series 24-3, Class A, 4.65%, due 07/15/29 | 13803696 |
|  | **Residential Mortgage-Backed Securities — Other<br>— 9.9%** | **Residential Mortgage-Backed Securities — Other<br>— 9.9%** |
| 742816 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%,<br>4.72%, due 02/25/36 | 58971 |
| 2145176 | ACE Securities Corp. Home Equity Loan Trust, Series 05-SD3, Class M2, Variable Rate, 1 mo. USD Term SOFR + 2.36%,<br>6.69%, due 08/25/45 | 1914796 |
| 17663707 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%,<br>4.80%, due 02/25/36 | 566652 |
| 2526363 | AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37 | 2487846 |
| 9002555 | Angel Oak Mortgage Trust, Series 25-5, Class A1, 144A, Step Up, 5.57%, due 04/25/70 | 8991596 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Residential Mortgage-Backed Securities — Other<br>— continued** | **Residential Mortgage-Backed Securities — Other<br>— continued** |
| 13743281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 1479779 |
| 2401230 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2366808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8834023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/17/29 | 641779 |
| 2928137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 230503 |
| 82351 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.76%, due 02/25/37 | 99253 |
| 1221880 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 1241897 |
| 1098524 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 1110615 |
| 4689174 | Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33 | 4703407 |
| 5110325 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 5270383 |
| 4068617 | Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33 | 3959881 |
| 620852 | CoreVest American Finance Ltd., Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 603531 |
| 6335054 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | 6098675 |
| 2372266 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%,<br>4.94%, due 10/25/34 | 2327792 |
| 1222171 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 1202554 |
| 4328989 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.34%, due 09/25/35 | 53804 |
| 7743207 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 1603846 |
| 8525345 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 966025 |
| 8485464 | Invitation Homes Trust, Series 24-SFR1, Class A, 144A, 4.00%, due 09/17/41 | 8209402 |
| 3325064 | Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40 | 3125395 |
| 3504129 | MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.76%, due 03/25/36 | 205900 |
| 97029 | Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%,<br>4.69%, due 02/26/34 | 89630 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Residential Mortgage-Backed Securities — Other<br>— continued** | **Residential Mortgage-Backed Securities — Other<br>— continued** |
| 784814 | New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 5.41%, due 10/25/33 | 779595 |
| &nbsp;&nbsp;&nbsp;&nbsp;13486319 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 4.64%, due 03/25/36 | 302067 |
| 7692873 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 4.78%, due 03/25/36 | 172218 |
| 20510046 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 4.84%, due 03/25/36 | 459041 |
| 10725 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.34%, due 08/25/35 <sup>(a)</sup> | 244966 |
| 1495187 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1402475 |
| 702216 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 697329 |
| 2403604 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 2381685 |
| 5977797 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 2639056 |
| 11752084 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 1676047 |
| 3897835 | Oakwood Mortgage Investors, Inc., Series 01-B, Class M1, 144A, Variable Rate, 7.92%, due 03/15/31 | 3805765 |
| 2546879 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 1085004 |
| 308812 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 294701 |
| 2070520 | Oakwood Mortgage Investors, Inc., Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32 | 2014475 |
| 1323019 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40 | 1226629 |
| 9307941 | Tricon American Homes, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38 | 9051429 |
| 11117952 | Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38 | 10931970 |
| 5424483 | Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39 | 5041548 |
| 9973083 | Tricon Residential Trust, Series 24-SFR4, Class A, 144A, 4.30%, due 11/17/41 | 9730184 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Residential Mortgage-Backed Securities — Other<br>— continued** | **Residential Mortgage-Backed Securities — Other<br>— continued** |
| 1666428 | UCFC Manufactured Housing Contract, Series 98-2, Class M1, 6.73%, due 10/15/29 | 1598700 |
| 4761669 | Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67 | 4590867 |
| 6632616 | Verus Securitization Trust, Series 25-3, Class A1, 144A, Step Up, 5.62%, due 05/25/70 | 6650156 |
|  | Total Residential Mortgage-Backed<br>Securities — Other | &nbsp;&nbsp;&nbsp;&nbsp;126386627 |
|  | **Residential Mortgage-Backed Securities —<br>Performing Loans — 1.4%** | **Residential Mortgage-Backed Securities —<br>Performing Loans — 1.4%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2087450 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 1842070 |
| 3657718 | COLT Trust, Series 21-RPL1, Class A1, 144A, Variable Rate, 1.67%, due 09/25/61 | 3324487 |
| 3926901 | CSMC Trust, Series 21-RPL2, Class A1A, 144A, Variable Rate, 1.11%, due 01/25/60 | 3287528 |
| 5875548 | CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66 | 5247149 |
| 4165408 | Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66 | 3774882 |
|  | Total Residential Mortgage-Backed<br>Securities — Performing Loans | 17476116 |
|  | **Residential Mortgage-Backed Securities — Prime<br>— 2.5%** | **Residential Mortgage-Backed Securities — Prime<br>— 2.5%** |
| 7533425 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 4.65%, due 10/25/46 | 3790514 |
| 357842 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 7.08%, due 10/25/35 | 337442 |
| 3673411 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 1948916 |
| 1049710 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.34%, due 12/25/36 | 809039 |
| 791289 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.12%, due 03/25/37 | 608159 |
| 6592382 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.88%, due 04/25/46 | 5931246 |
| 1601962 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 661917 |
| 50789310 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 6.23%, due 09/25/35 <sup>(a)</sup> |  |
| 3887206 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 5.90%, due 05/25/35 | 3134811 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Residential Mortgage-Backed Securities — Prime<br>— continued** | **Residential Mortgage-Backed Securities — Prime<br>— continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2975092 | Structured Asset Mortgage Investments II Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.76%, due 01/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2646044 |
| 608552 | WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 5.15%, due 09/25/35 | 563081 |
| 784851 | WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 5.75%, due 01/25/47 | 717610 |
| 1625254 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 4.89%, due 06/25/35 | 1401015 |
| 1717401 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.04%, due 12/25/35 | 1501826 |
| 3903432 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.12%, due 10/25/36 | 1304705 |
| 7730501 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37 | 7039801 |
|  | Total Residential Mortgage-Backed<br>Securities — Prime | 32396126 |
|  | **Residential Mortgage-Backed Securities —<br>Subprime — 1.8%** | **Residential Mortgage-Backed Securities —<br>Subprime — 1.8%** |
| 760922 | ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.17%, due 06/25/35 | 742863 |
| 625894 | BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 1.86%, due 05/26/37 | 611831 |
| 15401699 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.04%, due 07/25/36 | 13764586 |
| 347165 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.25%, 4.58%, due 12/25/36 | 341318 |
| 722066 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.93%, due 11/20/34 | 691843 |
| 1953637 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 4.54%, due 09/25/36 | 1845921 |
| 1888130 | Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 5.01%, due 05/25/36 | 1916840 |
| 715686 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.94%, due 08/25/37 | 698936 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Residential Mortgage-Backed Securities —<br>Subprime — continued** | **Residential Mortgage-Backed Securities —<br>Subprime — continued** |
| 2427239 | Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 0.91%, 5.64%, due 01/25/35 | 2326947 |
|  | Total Residential Mortgage-Backed<br>Securities — Subprime | &nbsp;&nbsp;&nbsp;&nbsp;22941085 |
|  | **Residential Mortgage-Backed Securities — Alt-A —<br>3.4%** | **Residential Mortgage-Backed Securities — Alt-A —<br>3.4%** |
| 1389403 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.34%, due 11/25/34 | 1384754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1667422 | Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.76%, due 01/25/47 | 1408626 |
| 1478464 | Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 1395394 |
| 3281602 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 5.05%, due 07/25/36 | 1819235 |
| 131259 | Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 130734 |
| 2075727 | Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35 | 2041697 |
| 1476523 | Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 5.14%, due 05/25/36 | 608586 |
| 1543830 | Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 5.14%, due 10/25/36 | 603280 |
| 2179455 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 06-AF1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.04%, due 04/25/36 | 2002383 |
| 7884838 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 07-AR2, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.41%, 4.74%, due 03/25/37 | 7298289 |
| 4160832 | Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 6.99%, due 10/25/35 | 2644487 |
| 10359112 | GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.76%, due 06/25/36 | 1929753 |
| 10369694 | GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.38%, due 06/25/47 | 6036938 |
| 5619992 | HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.66%, due 07/19/47 | 5334891 |
| 30888 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 30650 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Residential Mortgage-Backed Securities — Alt-A —<br>continued** | **Residential Mortgage-Backed Securities — Alt-A —<br>continued** |
| 1064931 | Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 7.44%, due 10/25/37 | 1029573 |
| 2491262 | Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35 | 1292862 |
| &nbsp;&nbsp;&nbsp;&nbsp;15301341 | Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36 | 3723239 |
| 7729816 | Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.98%, due 08/25/37 | 3348493 |
|  | Total Residential Mortgage-Backed<br>Securities — Alt-A | &nbsp;&nbsp;&nbsp;&nbsp;44063864 |
|  | **Small Balance Commercial Mortgages — 5.1%** | **Small Balance Commercial Mortgages — 5.1%** |
| 2112276 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 4.90%, due 08/25/35 | 2049766 |
| 1048341 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 5.02%, due 01/25/36 | 986374 |
| 1367208 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.98%, due 04/25/36 | 1273992 |
| 549587 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 5.01%, due 04/25/36 | 508469 |
| 764557 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.78%, due 07/25/36 | 730175 |
| 1563912 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.86%, due 07/25/36 | 1497400 |
| 3728375 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 4.81%, due 10/25/36 | 3560488 |
| 6013043 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.86%, due 01/25/37 | 5655729 |
| 1021085 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 4.77%, due 03/25/37 | 964690 |
| 1720257 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.80%, due 07/25/37 | 1625965 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Small Balance Commercial Mortgages — continued** | **Small Balance Commercial Mortgages — continued** |
| 4975959 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.52%, 4.84%, due 07/25/37 | 4569563 |
| 6759568 | Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.79%, 5.11%, due 09/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6309327 |
| 963824 | Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 6.69%, due 01/25/38 | 939339 |
| &nbsp;&nbsp;&nbsp;&nbsp;80665890 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 0.51%, due 05/25/30 | 2952436 |
| 99871750 | FRESB Mortgage Trust, Series 19-SB63, Class X1, Variable Rate, 1.26%, due 04/25/39 | 3770898 |
| 37878627 | FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 0.00, due 03/25/40 | 1365089 |
| 139853097 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.90%, due 06/25/40 | 4417484 |
| 1295000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M4, 144A, Variable Rate, 4.64%, due 09/25/46 | 1206130 |
| 3500000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46 | 3252837 |
| 3230000 | Harvest Commercial Capital Loan Trust, Series 20-1, Class M4, 144A, Variable Rate, 5.96%, due 04/25/52 | 3184512 |
| 1955372 | Harvest Commercial Capital Loan Trust, Series 24-1, Class A, 6.16%, due 10/25/56 | 2008407 |
| 2258633 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.94%, due 03/25/37 | 2081318 |
| 141438 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 4.84%, due 06/25/37 | 141333 |
| 5099339 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.55%, due 10/25/37 | 5018362 |
| 4651553 | Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51 | 4118767 |
| 1339357 | Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51 | 1150153 |
|  | Total Small Balance Commercial Mortgages | 65339003 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | |
| | **Student Loans — Federal Family Education Loan<br>Program — 4.7%** | **Student Loans — Federal Family Education Loan<br>Program — 4.7%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8236209 | AccessLex Institute, Series 04-2, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 4.96%, due 04/26/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8095787 |
| 3326313 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 5.32%, due 01/25/43 | 3038940 |
| 10384152 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 5.54%, due 06/15/40 | 10282666 |
| 8441207 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 6.27%, due 07/25/22 | 8460790 |
| 16685383 | SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 5.72%, due 07/25/23 | 16483984 |
| 9136470 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 6.32%, due 07/25/23 | 9172846 |
| 4480411 | SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 4.95%, due 01/25/49 | 4391453 |
|  | Total Student Loans - Federal Family Education Loan Program | 59926466 |
|  | **Student Loans - Private — 12.8%** |  |
| 733807 | Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 5.34%, due 07/25/34 | 728887 |
| 10096072 | ECMC Group Student Loan Trust, Series 24-1A, Class A, 144A, Variable Rate, 30 day USD SOFR Average + 1.15%, 5.47%, due 11/27/73 | 10112384 |
| 5334522 | KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 5.86%, due 12/27/38 | 5225192 |
| 4183460 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. USD LIBOR + 1.25%, 6.10%, due 07/28/42 | 4010081 |
| 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> | 1291807 |
| 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> | 1124687 |
| 1406082 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.75%, due 05/25/32 | 1392983 |
| 3354540 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 4.73%, due 01/25/33 | 3245429 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Student Loans — Private — continued** | **Student Loans — Private — continued** |
| 4048921 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.79%, due 03/25/33 | 3977639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1293450 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 4.81%, due 06/25/33 | 1272270 |
| 9272132 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.74%, due 10/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9067220 |
| 185048 | National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.98%, due 12/26/33 | 184784 |
| 24944 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 7.94%, due 03/25/38 <sup>(b)</sup> | 19442 |
| 75000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 7.95%, due 03/25/38 <sup>(b)</sup> | 58230 |
| 3872322 | Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70 | 3464128 |
| 1366361 | Navient Student Loan Trust, Series 23-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 6.03%, due 03/15/72 | 1377838 |
| 2364599 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 2202977 |
| 3567356 | Nelnet Student Loan Trust, Series 21-DA, Class AFL, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.80%, 5.13%, due 04/20/62 | 3497666 |
| 1939289 | SLM Private Credit Student Loan Trust, Series 03-A, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 6.16%, due 06/15/32 | 818306 |
| 1989000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate,<br>8.30%, due 06/15/32 <sup>(b)</sup> | 1984027 |
| 5400350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 6.16%, due 09/15/32 | 1478455 |
| 950000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate,<br>8.07%, due 09/15/32 <sup>(b)</sup> | 947625 |
| 3291308 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 4.96%, due 06/15/33 | 3278855 |
| 6248590 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 4.99%, due 09/15/33 | 6166742 |
| 13668521 | SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 4.87%, due 12/15/38 | 13423232 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Student Loans — Private — continued** | **Student Loans — Private — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;15441449 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 4.85%, due 06/15/39 | &nbsp;&nbsp;&nbsp;&nbsp;15030847 |
| 9997560 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 4.89%, due 06/15/39 | 9755442 |
| 1459639 | SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 4.76%, due 12/15/39 | 1418316 |
| 7421380 | SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 4.83%, due 12/15/39 | 7242868 |
| 2672291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 4.95%, due 12/15/39 | 2509825 |
| 10328590 | SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 4.80%, due 12/16/41 | 10096531 |
| 2275725 | SLM Private Education Loan Trust, Series 10-C, Class A5, 144A, Variable Rate, 1 mo. USD Term SOFR + 4.86%, 9.19%, due 10/15/41 | 2385226 |
| 6705619 | SLM Student Loan Trust, Series 08-2, Class A3, Variable Rate, 90 day USD SOFR Average + 1.01%, 5.37%, due 04/25/23 | 6699222 |
| 3029053 | SMB Private Education Loan Trust, Series 15-B, Class B, 144A, 3.50%, due 12/17/40 | 3007269 |
| 3193192 | SMB Private Education Loan Trust, Series 21-A, Class B, 144A, 2.31%, due 01/15/53 | 3089937 |
| 1000 | SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 <sup>(b)</sup> | 559524 |
| 574422 | South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 5.94%, due 01/25/36 | 574648 |
| 4206225 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 5.49%, due 01/25/46 | 4192431 |
| 17741000 | Towd Point Asset Trust, Series 21-SL1, Class C, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.51%, 5.84%, due 11/20/61 | 16840009 |
|  | Total Student Loans — Private | 163752981 |
|  | Total Asset-Backed Securities | 980196539 |
|  | **U.S. Government — 15.7%** |  |
| 45000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.55%, due 01/31/26 | 45062235 |
| 52000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.45%, due 04/30/26 <sup>(c)</sup> | 52038544 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
| | **U.S. Government — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;103900000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.48%, due 07/31/26 <sup>(c)</sup> | 104037661 |
|  | Total U.S. Government | &nbsp;&nbsp;&nbsp;&nbsp;201138440 |
|  | **U.S. Government Agency — 5.0%** |  |
| 13800000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 07/01/40 | 13980795 |
| 22575000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 07/01/54 | 22326970 |
| 26425000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 07/01/54 | 26649915 |
|  | Total U.S. Government Agency | 62957680 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $1,321,300,978) | 1244292659 |
|  | **INVESTMENT FUNDS — 0.9%** |  |
|  | **United States — 0.9%** |  |
| 2323242 | GMO U.S. Treasury Fund, Class VI <sup>(d)</sup> | 11639444 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $11,703,541) | &nbsp;&nbsp;&nbsp;&nbsp;11639444 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 4.2%** | **SHORT-TERM INVESTMENTS — 4.2%** |
| | **Money Market Funds — 0.3%** | |
| 3526298 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(e)</sup> | 3526298 |
|  | **Repurchase Agreements — 3.9%** |  |
| 50045415 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/30/25 maturing on 06/02/25 with a maturity value of $50,063,390 and an effective yield of 4.31%, collateralized by a U.S. Treasury Note with maturity date 06/30/29 and a market value of $51,190,700. | 50045415 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $53,571,713) | 53571713 |

---

**PURCHASED OPTIONS — 0.0%** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Value<br>($)** |
| **Equity Options — Puts — 0.0%** |  |  |  |  |  |
|  3-Month SOFR | 95.62 | 12/12/25 | 649 | USD 1,622,500 | 32450 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise**<br> **Rate** | **Expiration**<br> **Date** | **Principal/**<br> **Notional**<br> **Amount** | **Floating**<br> **Rate Index** | **Pay/Receive**<br> **Floating Rate** | **Value ($)** |
|  **Options on Credit Default Swaps — Puts — 0.0%** |  |  |  |  |  |  |  |
|  CDX.NA.HY.S44 | GS | 1.04% | 07/16/25 | USD 11,940,000 | Fixed Spread | Pay | 51589 |
|  CDX.NA.HY.S44 | JPM | 1.05% | 07/16/25 | USD 11,940,000 | Fixed Spread | Pay | 62282 |
|  | **Total Options on Credit Default Swaps — Puts** | **Total Options on Credit Default Swaps — Puts** | **Total Options on Credit Default Swaps — Puts** | **Total Options on Credit Default Swaps — Puts** | **Total Options on Credit Default Swaps — Puts** |  | **113871** |
|  | TOTAL PURCHASED OPTIONS<br>(COST $418,194) | TOTAL PURCHASED OPTIONS<br>(COST $418,194) | TOTAL PURCHASED OPTIONS<br>(COST $418,194) | TOTAL PURCHASED OPTIONS<br>(COST $418,194) | TOTAL PURCHASED OPTIONS<br>(COST $418,194) |  | 146321 |
|  | **TOTAL INVESTMENTS — 102.4%**<br>(Cost $1,386,994,426) | **TOTAL INVESTMENTS — 102.4%**<br>(Cost $1,386,994,426) | **TOTAL INVESTMENTS — 102.4%**<br>(Cost $1,386,994,426) | **TOTAL INVESTMENTS — 102.4%**<br>(Cost $1,386,994,426) | **TOTAL INVESTMENTS — 102.4%**<br>(Cost $1,386,994,426) |  | 1309650137 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **SECURITIES SOLD SHORT — (2.3)%** | **SECURITIES SOLD SHORT — (2.3)%** |
| | **DEBT OBLIGATIONS — (2.3)%** | **DEBT OBLIGATIONS — (2.3)%** |
| | **U.S. Government Agency — (2.3)%** | **U.S. Government Agency — (2.3)%** |
| (10500000) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 07/01/54 | (10591011) |

---

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

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **U.S. Government Agency — continued** | **U.S. Government Agency — continued** |
| (20000000) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 07/01/39 | (18482096) |
|  | Total U.S. Government Agency | (29073107) |
|  | TOTAL DEBT OBLIGATIONS<br>(PROCEEDS $28,987,754) | (29073107) |
|  | TOTAL SECURITIES SOLD SHORT<br>(PROCEEDS $28,987,754) | (29073107) |
|  | Other Assets and Liabilities (net) — (0.1)% | (1032447) |
|  | **TOTAL NET ASSETS — 100.0%** | **$1279544583** |

---

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

A summary of outstanding financial instruments at May 31, 2025 is as follows:

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

**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) ($)** |
| 07/30/2025 | CITI | EUR | 396000 | USD | 455868 | 4550 |
| 07/30/2025 | JPM | EUR | 1708000 | USD | 1951570 | 4976 |
| 07/30/2025 | MSCI | EUR | 4987000 | USD | 5695808 | 12164 |
| 07/30/2025 | BLCY | USD | 322613 | EUR | 286000 | 3338 |
| 07/30/2025 | CITI | USD | 935684 | EUR | 826000 | 5702 |
| 07/30/2025 | CITI | EUR | 311000 | USD | 351093 | (3352) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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) ($)** |
| 07/30/2025 | MSCI | EUR | 462000 | USD | 523546 | (2991) |
| 07/30/2025 | CITI | USD | 96070 | EUR | 84000 | (336) |
| 07/30/2025 | MSCI | USD | 75387 | EUR | 66000 | (167) |
|  |  |  |  |  |  | $23884 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration**<br>**Date** | **Notional**<br>**Amount ($)** | **Value/Net**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation) ($)** |
| Buys |  |  |  |  |
| 503 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 55707250 | 248428 |
| 799 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 165742563 | 210859 |
| 345 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2025 | 38828672 | 121495 |
|  |  |  | $260278485 | $580782 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration**<br>**Date** | **Notional**<br>**Amount ($)** | **Value/Net**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation) ($)** |
| Sales |  |  |  |  |
| 519 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 56149313 | (182772) |
| 2 | U.S. Ultra Bond (CBT) | September 2025 | 232125 | (1534) |
|  |  |  | $56381438 | $(184306) |

---

+ 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 ($)** |
|  **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** |
|  CDX.NA.IG.S43 | GS | 0.70% | 06/18/25 | USD | (32755000) | Fixed Spread | Pay | (4293) |
|  iTraxx Europe Senior Financials S43 | JPM | 0.80% | 06/18/25 | EUR | (52212000) | Fixed Spread | Pay | (13763) |
|  CDX.NA.HY.S44 | JPM | 0.99% | 07/16/25 | USD | (11940000) | Fixed Spread | Pay | (16400) |
|  CDX.NA.HY.S44 | JPM | 1.00% | 07/16/25 | USD | (11940000) | Fixed Spread | Pay | (19251) |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

**Written Options — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 ($)** |
|  iTraxx Europe Senior Financials S43 | JPM | 0.85% | 08/20/25 | EUR | (52212000) | Fixed Spread | Pay | (71655) |
|  |  |  |  | Total Written Options On Credit Default Swaps — Puts | Total Written Options On Credit Default Swaps — Puts | Total Written Options On Credit Default Swaps — Puts | Total Written Options On Credit Default Swaps — Puts | (125362) |
|  |  |  |  |  | **TOTAL WRITTEN OPTIONS**<br>(Premiums $382,010) | **TOTAL WRITTEN OPTIONS**<br>(Premiums $382,010) | **TOTAL WRITTEN OPTIONS**<br>(Premiums $382,010) | $(125362) |

---

**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^:** |
|  ITRAXX.XO.42 | EUR | 21747193 | 5.00% | 2.87% | N/A | 12/20/2029 | Quarterly | (1932704) | (2090867) | (158163) |
|  ITRAXX.EUR.42 | EUR | 47150000 | 1.00% | 0.54% | N/A | 12/20/2029 | Quarterly | (881120) | (1070141) | (189021) |
|  CDX.NA.IG.44 | USD | 132730000 | 1.00% | 0.56% | N/A | 06/20/2030 | Quarterly | (2380912) | (2658847) | (277935) |
|  ITRAXX.FINSR.43 | EUR | 104425000 | 1.00% | 0.62% | N/A | 06/20/2030 | Quarterly | (1740770) | (2159741) | (418971) |
|  |  |  |  |  |  |  |  | $(6935506) | $(7979596) | $(1044090) |

---

**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^:** |
|  CMBX.NA.A.7 | CGMI | USD | 333817 | 2.00% | 285.18% | N/A | 01/17/2047 | Monthly | 20964 | 72772 | 51808 |
|  CMBX.NA.A.7 | CGMI | USD | 2350825 | 2.00% | 285.18% | N/A | 01/17/2047 | Monthly | 139580 | 512480 | 372900 |
|  CMBX.NA.A.7 | GS | USD | 667634 | 2.00% | 285.18% | N/A | 01/17/2047 | Monthly | 36757 | 145544 | 108787 |
|  CMBX.NA.AS.7 | BOA | USD | 286936 | 1.00% | 2.77% | N/A | 01/17/2047 | Monthly | 3016 | 365 | (2651) |
|  CMBX.NA.AS.7 | DB | USD | 484574 | 1.00% | 2.77% | N/A | 01/17/2047 | Monthly | (7637) | 616 | 8253 |
|  CMBX.NA.AS.7 | DB | USD | 1062254 | 1.00% | 2.77% | N/A | 01/17/2047 | Monthly | 12570 | 1351 | (11219) |
|  CMBX.NA.AS.7 | GS | USD | 280248 | 1.00% | 2.77% | N/A | 01/17/2047 | Monthly | 7185 | 356 | (6829) |
|  CMBX.NA.AS.7 | MORD | USD | 845202 | 1.00% | 2.77% | N/A | 01/17/2047 | Monthly | 13107 | 1075 | (12032) |
|  CMBX.NA.AA.11 | CGMI | USD | 4000000 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (6041) | 29916 | 35957 |
|  CMBX.NA.AA.11 | CGMI | USD | 4626000 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (63740) | 34598 | 98338 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (67279) | 34587 | 101866 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (61371) | 34587 | 95958 |
|  CMBX.NA.BBB-.11 | CGMI | USD | 5215000 | 3.00% | 9.34% | N/A | 11/18/2054 | Monthly | 798547 | 681427 | (117120) |
|  CMBX.NA.BBB-.11 | CGMI | USD | 5752000 | 3.00% | 9.34% | N/A | 11/18/2054 | Monthly | 1213313 | 751595 | (461718) |
|  CMBX.NA.BBB-.11 | GS | USD | 9940000 | 3.00% | 9.34% | N/A | 11/18/2054 | Monthly | 1289094 | 1298827 | 9733 |
|  CMBX.NA.A.8 | CGMI | USD | 2928959 | 2.00% | 96.16% | N/A | 10/17/2057 | Monthly | 153770 | 185744 | 31974 |
|  CMBX.NA.A.8 | GS | USD | 1071413 | 2.00% | 96.16% | N/A | 10/17/2057 | Monthly | 18096 | 67945 | 49849 |
|  CMBX.NA.A.8 | MORD | USD | 1171583 | 2.00% | 96.16% | N/A | 10/17/2057 | Monthly | 62973 | 74298 | 11325 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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<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) ($)** |
|  CMBX.NA.BBB-.18 | GS | USD | 8160000 | 3.00% | 5.26% | N/A | 12/17/2057 | Monthly | 633175 | 645685 | 12510 |
|  CMBX.NA.BBB-.9 | MORD | USD | 3790000 | 3.00% | 65.37% | N/A | 09/17/2058 | Monthly | 433106 | 686938 | 253832 |
|  CMBX.NA.AA.12 | GS | USD | 6974000 | 1.50% | 1.9% | N/A | 08/17/2061 | Monthly | (61732) | 81545 | 143277 |
|  CMBX.NA.AA.6 | GS | USD | 499335 | 1.50% | 189.4% | N/A | 05/11/2063 | Monthly | 3703 | 59445 | 55742 |
|  CMBX.NA.BBB-.6 | CGMI | USD | 1680865 | 3.00% | 18.03% | N/A | 05/11/2063 | Monthly | 533815 | 149232 | (384583) |
|  CMBX.NA.BBB-.6 | GS | USD | 1604570 | 3.00% | 18.03% | N/A | 05/11/2063 | Monthly | 226646 | 142459 | (84187) |
|  CMBX.NA.A.15 | CGMI | USD | 5000000 | 2.00% | 3.18% | N/A | 11/18/2064 | Monthly | 600000 | 289829 | (310171) |
|  CMBX.NA.A.15 | MORD | USD | 3000000 | 2.00% | 3.18% | N/A | 11/18/2064 | Monthly | 287104 | 173897 | (113207) |
|  CMBX.NA.A.15 | MSCI | USD | 4560000 | 2.00% | 3.18% | N/A | 11/18/2064 | Monthly | 275394 | 264324 | (11070) |
|  CMBX.NA.BBB-.15 | CGMI | USD | 5000000 | 3.00% | 6.78% | N/A | 11/18/2064 | Monthly | 796875 | 843750 | 46875 |
|  CMBX.NA.BBB-.15 | GS | USD | 5000000 | 3.00% | 6.78% | N/A | 11/18/2064 | Monthly | 787500 | 843750 | 56250 |
|  CMBX.NA.BBB-.15 | MSCI | USD | 5000000 | 3.00% | 6.78% | N/A | 11/18/2064 | Monthly | 718500 | 843750 | 125250 |
|  CMBX.NA.A.14 | GS | USD | 2682000 | 2.00% | 3.57% | N/A | 12/16/2072 | Monthly | 349769 | 178272 | (171497) |
|  CMBX.NA.AA.13 | CGMI | USD | 2000000 | 1.50% | 2.02% | N/A | 12/16/2072 | Monthly | 147237 | 39302 | (107935) |
|  CMBX.NA.AA.13 | CGMI | USD | 3000000 | 1.50% | 2.02% | N/A | 12/16/2072 | Monthly | 138948 | 58954 | (79994) |
|  CMBX.NA.BBB-.14 | CGMI | USD | 3933500 | 3.00% | 7.98% | N/A | 12/16/2072 | Monthly | 1111214 | 748349 | (362865) |
|  CMBX.NA.BBB-.14 | GS | USD | 1360000 | 3.00% | 7.98% | N/A | 12/16/2072 | Monthly | 340000 | 258740 | (81260) |
|  **Sell Protection^:** | **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.43 | GS | USD | 3060000 | 5.00% | 1.66% | 3,060,000 USD | 12/20/2029 | Quarterly | 288677 | 425559 | 136882 |
|  CDX.NA.HY.43 | GS | USD | 3060000 | 5.00% | 3.94% | 3,060,000 USD | 12/20/2029 | Quarterly | (161755) | 131279 | 293034 |
|  ITRAXX.EUR.42 | BOA | EUR | 78580000 | 1.00% | 0.25% | 78,580,000 EUR | 12/20/2029 | Quarterly | 2735206 | 2920897 | 185691 |
|  ITRAXX.XO.42 | CITI | EUR | 16100000 | 5.00% | 0.59% | 16,100,000 EUR | 12/20/2029 | Quarterly | 3122806 | 3336111 | 213305 |
|  ITRAXX.XO.42 | JPM | EUR | 31770774 | 5.00% | 0.59% | 31,770,774 EUR | 12/20/2029 | Quarterly | 6728486 | 6583281 | (145205) |
|  CMBX.NA.AA.7 | CGMI | USD | 809116 | 1.50% | 193.59% | 809,116 USD | 01/17/2047 | Monthly | (20228) | (101167) | (80939) |
|  CMBX.NA.AAA.10 | GS | USD | 7540000 | 0.50% | 0.25% | 7,540,000 USD | 11/17/2059 | Monthly | 68960 | 23645 | (45315) |
|  CMBX.NA.AAA.15 | CGMI | USD | 10000000 | 0.50% | 0.62% | 10,000,000 USD | 11/18/2064 | Monthly | (373108) | (62242) | 310866 |
|  CMBX.NA.AAA.15 | GS | USD | 2825000 | 0.50% | 0.62% | 2,825,000 USD | 11/18/2064 | Monthly | (43465) | (17584) | 25881 |
|  CMBX.NA.AAA.15 | MSCI | USD | 9120000 | 0.50% | 0.62% | 9,120,000 USD | 11/18/2064 | Monthly | (131742) | (56765) | 74977 |
|  |  |  |  |  |  |  |  |  | $23097995 | $23419318 | $321323 |

---

---

| | |
|:---|:---|
| ^ | 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>

(1) As of May 31, 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.

(2) 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 Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.81% | USD - SOFR - COMPOUND | USD 26,000,000 | 08/31/2029 | Annually | (8601) | (251782) | (243181) |

---

As of May 31, 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 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 securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(d) Affiliated company.

(e) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 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

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

IO - Interest Only

LIBOR - London Interbank Offered Rate

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 May 31, 2025.

TBA - To Be Announced - Delayed Delivery Security

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

**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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares / Par<br>Value†** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 99.7%** | **SHORT-TERM INVESTMENTS — 99.7%** |
| | **Money Market Funds — 0.1%** | |
| 132554 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 4.22% <sup>(a)</sup> | 132554 |
|  | **Repurchase Agreements — 18.0%** |  |
| 17900919 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/30/25 maturing on 06/02/25 with a maturity value of $17,907,035 and an effective yield of 4.10%, collateralized by a U.S. Treasury Note with maturity date 09/15/27 and a market value of $18,267,302. | 17900919 |
| 40076610 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/30/25 maturing on 06/02/25 with a maturity value of $40,091,004 and an effective yield of 4.31%, collateralized by a U.S. Treasury Note with maturity date 06/30/29 and a market value of $40,993,760. | &nbsp;&nbsp;&nbsp;&nbsp;40076610 |
|  | Total Repurchase Agreements | 57977529 |
|  | **U.S. Government — 81.6%** |  |
| 14390000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.55%, due 01/31/26 | 14409901 |
| 23820000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.48%, due 07/31/26 | 23851560 |
| 37220000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.51%, due 10/31/26 | 37274832 |
| 36953000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 4.46%, due 04/30/27 | 36974241 |
| 5555625 | U.S. Treasury Inflation-Indexed Bonds, 2.00%, due 01/15/26 | 5576717 |
| 6296380 | U.S. Treasury Inflation-Indexed Notes, 0.38%, due 07/15/25 | 6292612 |
| 6319079 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/25 | 6302625 |
| 2841295 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 04/15/26 | 2811128 |
| 2828419 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/26 | 2804256 |
| 12050000 | U.S. Treasury Notes, 5.00%, due 10/31/25 | 12078430 |
| 17240000 | U.S. Treasury Notes, 4.25%, due 12/31/25 | 17236128 |
| 17239000 | U.S. Treasury Notes, 4.38%, due 07/31/26 | 17287485 |
| 17448000 | U.S. Treasury Notes, 3.75%, due 08/31/26 | 17377118 |
| 17253000 | U.S. Treasury Notes, 4.63%, due 09/15/26 | 17372288 |
| 15100000 | U.S. Treasury Notes, 4.25%, due 11/30/26 | 15151317 |
| 15150000 | U.S. Treasury Notes, 4.25%, due 12/31/26 | 15207404 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Par Value†** | **Description** | **Value ($)** |
| | **U.S. Government — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;15230000 | U.S. Treasury Notes, 4.13%, due 01/31/27 | 15264505 |
|  | Total U.S. Government | 263272547 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $321,179,006) | 321382630 |
|  | **TOTAL INVESTMENTS — 99.7%**<br> (Cost $321,179,006) | 321382630 |
|  | Other Assets and Liabilities (net) — 0.3% | 1098962 |
|  | **TOTAL NET ASSETS — 100.0%** | **$322481592** |

---

**Notes to Schedule of Investments:** 

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

(a) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 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.

Many of the Funds may invest without limitation in other GMO Funds ("underlying funds"). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission ("SEC"), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. 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 SEC's 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).

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"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 May 31, 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 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.

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The following is a summary of the respective levels assigned to the Funds' direct securities and derivatives, if any, as of May 31, 2025:

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | $6919155 | $— | $— | $6919155 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 6919155 |  |  | 6919155 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2360345 | 28999360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 31359705 |
| &nbsp;&nbsp;&nbsp; Total Investments | 9279500 | 28999360 |  | 38278860 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 284155 |  |  | 284155 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 389997 |  | 389997 |
| &nbsp;&nbsp;&nbsp; Total | $9563655 | $29389357 | $— | $38953012 |
| &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $5431694 | $— | $5431694 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt |  | 169744686 | 13937984 | 183682670 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers |  | 1832165638 | 124815775 | 1956981413 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 46726544 |  |  | 46726544 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 46726544 | 2007342018 | 138753759 | 2192822321 |
| &nbsp;&nbsp;&nbsp; Loan Assignments |  |  | 24703420 | 24703420 |
| &nbsp;&nbsp;&nbsp; Loan Participations |  |  | 4438320 | 4438320 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  | 13426857 | 13426857 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  | 31469762 | 186903 | 31656665 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2050209 | 50780497 |  | 52830706 |
| &nbsp;&nbsp;&nbsp; Total Investments | 48776753 | 2089592277 | 181509259 | 2319878289 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 772003 |  | 772003 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 6208568 |  | 6208568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 7350546 |  | 7350546 |
| &nbsp;&nbsp;&nbsp; Total | $48776753 | $2103923394 | $181509259 | $2334209406 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | $— | $(21456824) | $— | $(21456824) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (21456824) |  | (21456824) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (5485046) |  | (5485046) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (806165) |  | (806165) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (4125393) |  | (4125393) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(31873428) | $— | $(31873428) |
| &nbsp;&nbsp;&nbsp;**High Yield Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $27182155 | $— | $27182155 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 65440879 |  |  | 65440879 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 65440879 | 27182155 |  | 92623034 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 3135020 | 40535366 |  | 43670386 |
| &nbsp;&nbsp;&nbsp; Total Investments | 68575899 | 67717521 |  | 136293420 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**High Yield Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | $49221 | $— | $— | $49221 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 1810646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 1810646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 1460414 |  | 1460414 |
| &nbsp;&nbsp;&nbsp; Total | $68625120 | $70988581 | $— | $139613701 |
| &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 | $— | $(319809) | $— | $(319809) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(319809) | $— | $(319809) |
| &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $18072819 | $— | $18072819 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 17862171 |  |  | 17862171 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 16574510 |  | 16574510 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 17862171 | 34647329 |  | 52509500 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 18672273 |  |  | 18672273 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1719517 | 23999400 |  | 25718917 |
| &nbsp;&nbsp;&nbsp; Total Investments | 38253961 | 58646729 |  | 96900690 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 269860 |  | 269860 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 91529 |  |  | 91529 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 364894 |  | 364894 |
| &nbsp;&nbsp;&nbsp; Total | $38345490 | $59281483 | $— | $97626973 |
| &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 | $— | $(158197) | $— | $(158197) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (326772) |  | (326772) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(484969) | $— | $(484969) |
| &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $973966231 | $6230308 | $980196539 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 201138440 |  |  | 201138440 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 62957680 |  | 62957680 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 201138440 | 1036923911 | 6230308 | 1244292659 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 11639444 |  |  | 11639444 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 3526298 | 50045415 |  | 53571713 |
| &nbsp;&nbsp;&nbsp; Purchased Options | 32450 | 113871 |  | 146321 |
| &nbsp;&nbsp;&nbsp; Total Investments | 216336632 | 1087083197 | 6230308 | 1309650137 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Opportunistic Income 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 | $— | $30730 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $30730 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 580782 |  |  | 580782 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 23657076 |  | 23657076 |
| &nbsp;&nbsp;&nbsp; Total | $216917414 | $1110771003 | $6230308 | $1333918725 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency | $— | $(29073107) | $— | $(29073107) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (29073107) |  | (29073107) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (6846) |  | (6846) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (184306) |  |  | (184306) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (125362) |  | (125362) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (8217354) |  | (8217354) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (251782) |  | (251782) |
| &nbsp;&nbsp;&nbsp; Total | $(184306) | $(37674451) | $— | $(37858757) |
| &nbsp;&nbsp;&nbsp;**U.S. Treasury Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | $239617763 | $81764867 | $— | $321382630 |
| &nbsp;&nbsp;&nbsp; Total Investments | 239617763 | 81764867 |  | 321382630 |
| &nbsp;&nbsp;&nbsp; Total | $239617763 | $81764867 | $— | $321382630 |

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

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

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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 May 31, 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 the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, 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.

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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:

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **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> **May 31,**<br> **2025** | **Net Change in**<br> **Unrealized**<br> **Appreciation**<br> **(Depreciation)**<br> **from**<br> **Investments**<br> **Still Held as<br>of May 31,<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;**Debt Obligations** | &nbsp;&nbsp;&nbsp;**Debt Obligations** | &nbsp;&nbsp;&nbsp;**Debt Obligations** | &nbsp;&nbsp;&nbsp;**Debt Obligations** | &nbsp;&nbsp;&nbsp;**Debt Obligations** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $14400563 | $— | $— | $(458) | $— | $(462121) | $— | $— | $13937984 | $(462121) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 118110776 |  |  | 695271 |  | 6009728 |  |  | 124815775 | 6009728 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 13164429 |  |  |  |  | 262428 |  |  | 13426857 | 262428 |
| &nbsp;&nbsp;&nbsp; Loan Assignments | 25781502 |  | (3286952) | 21939 | 349414 | 1837517 |  |  | 24703420 | 2253035 |
| &nbsp;&nbsp;&nbsp; Loan Participations | 4496624 |  |  | 15164 |  | (73468) |  |  | 4438320 | (73468) |
| &nbsp;&nbsp;&nbsp; Rights/Warrants | 200239 |  |  |  |  | (13336) |  |  | 186903 | (13336) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Investments | 176154133 |  | (3286952) | 731916 | 349414 | 7560748 |  |  | 181509259 | 7976266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total | $176154133 | $— | $(3286952) | $731916 | $349414 | $7560748 | $— | $— | $181509259 | $7976266 |

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# Includes $3,286,952 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 May 31, 2025.

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

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| | | | | |
|:---|:---|:---|:---|:---|
| &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; Corporate Debt | 13937984 | Fair Value | Discount for lack of liquidity/marketability | 2.70% (N/A) |
| &nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 40437554 | Fair Value | Discount for lack of liquidity/marketability | 1.40% - 1.60% (1.42%) |
| &nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 22635 | Fair Value | Discount for lack of liquidity/marketability | 99% (N/A) |
| &nbsp;&nbsp;&nbsp; Loan Assignments | 10694237 | Fair Value | Vendor price of comparable loan | N/A |
| &nbsp;&nbsp;&nbsp; Loan Participations | 347735 | Fair Value | Discount for lack of liquidity/marketability | 5.00% (N/A) |
| &nbsp;&nbsp;&nbsp; Warrants | 186903 | Fair Value | Discount for lack of liquidity/marketability | 50% (N/A) |
| &nbsp;&nbsp;&nbsp; Investment Funds | 13426857 | Fair Value | Net asset value statement | (N/A) |

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\* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2025, the value of these securities and/or derivatives for Emerging Country Debt Fund was $102,455,354. The inputs for these investments are not readily available or cannot be reasonably estimated. 

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**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 May 31, 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\*** | **Distributions<br>of Realized<br>Gains\*** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>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 | $— | $— | $— | $— | $— | $262428 | $13426857 |
| &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 | $— | $— | $— | $— | $— | $(7845) | $4013040 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 14731536 |  |  | 247634 |  |  | (72303) | 14659233 |
| &nbsp;&nbsp;&nbsp; Totals | $18752421 | $— | $— | $247634 | $— | $— | $(80148) | $18672273 |
| &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 | $— | $— | $130068 | $— | $— | $— | $11639444 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2025 through May 31, 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. 

\*\*\*

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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 140.3%** | **COMMON STOCKS — 140.3%** |
| | **Australia — 1.2%** | **Australia — 1.2%** |
| 15819 | Aristocrat Leisure Ltd. <sup>(a)</sup> | 635647 |
| 94855 | BHP Group Ltd. <sup>(a)</sup> | 2330112 |
| &nbsp;&nbsp;&nbsp;&nbsp;114821 | BlueScope Steel Ltd. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1685448 |
| 129652 | Brambles Ltd. <sup>(a)</sup> | 1939368 |
| 74971 | Fortescue Ltd. <sup>(a)</sup> | 745871 |
| 188957 | Stockland – (REIT) <sup>(a)</sup> | 665476 |
|  | Total Australia | 8001922 |
|  | **Austria — 0.2%** |  |
| 8943 | Erste Group Bank AG <sup>(a)</sup> | 720175 |
| 13335 | OMV AG <sup>(a)</sup> | 713270 |
|  | Total Austria | 1433445 |
|  | **Belgium — 0.5%** |  |
| 44855 | Ageas SA <sup>(a)</sup> | 2928974 |
| 2019 | KBC Group NV <sup>(a)</sup> | 199605 |
|  | Total Belgium | 3128579 |
|  | **Canada — 6.7%** |  |
| 9800 | Alimentation Couche-Tard, Inc. <sup>(a)</sup> | 508085 |
| 22300 | Canadian Tire Corp. Ltd. – Class A <sup>(a)</sup> | 2833750 |
| 13200 | CCL Industries, Inc. – Class B <sup>(a)</sup> | 769772 |
| 1200 | Empire Co. Ltd. – Class A <sup>(a)</sup> | 46318 |
| 1400 | George Weston Ltd. <sup>(a)</sup> | 281867 |
| 4800 | iA Financial Corp., Inc. <sup>(a)</sup> | 488692 |
| 24700 | IGM Financial, Inc. <sup>(a)</sup> | 788507 |
| 1300 | Imperial Oil Ltd. <sup>(a)</sup> | 92814 |
| 324804 | MAG Silver Corp. <sup>(a)</sup> | 6093323 |
| 56583 | Magna International, Inc. <sup>(b)</sup> <sup>(c)</sup> | 2052831 |
| 6300 | Magna International, Inc. <sup>(a)</sup> <sup>(b)</sup> | 228707 |
| 53527 | Manulife Financial Corp. <sup>(a)</sup> <sup>(b)</sup> | 1704300 |
| 14100 | Manulife Financial Corp. <sup>(a)</sup> <sup>(b)</sup> | 448989 |
| 33804 | Nutrien Ltd. <sup>(a)</sup> <sup>(b)</sup> | 1995450 |
| 2500 | Nutrien Ltd. <sup>(a)</sup> <sup>(b)</sup> | 147703 |
| 9800 | Onex Corp. <sup>(a)</sup> | 727457 |
| 64467 | Open Text Corp. <sup>(a)</sup> <sup>(b)</sup> | 1825061 |
| 19900 | Open Text Corp. <sup>(a)</sup> <sup>(b)</sup> | 563496 |
| 579829 | Parkland Corp. <sup>(a)</sup> | 16367964 |
| 57600 | Power Corp. of Canada <sup>(a)</sup> | 2229122 |
| 61900 | Quebecor, Inc. – Class B | 1741508 |
| 13200 | TFI International, Inc. <sup>(a)</sup> <sup>(b) (d)</sup> | 1135596 |
| 2300 | TFI International, Inc. <sup>(a)</sup> <sup>(b)</sup> | 198584 |
| 14700 | West Fraser Timber Co. Ltd. <sup>(a)</sup> <sup>(b)</sup> | 1082938 |
| 8494 | West Fraser Timber Co. Ltd. <sup>(a)</sup> <sup>(b)</sup> | 624988 |
|  | Total Canada | 44977822 |
|  | **China — 0.9%** |  |
| 695000 | AviChina Industry & Technology Co. Ltd. – Class H | 349627 |
| 308000 | Bank of Communications Co. Ltd. – Class H | 268851 |
| 136000 | Beijing Enterprises Holdings Ltd. | 569836 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **China — continued** | |
| 410000 | China Communications Services Corp. Ltd. – Class H | 235508 |
| 2406000 | China Construction Bank Corp. – Class H | 2151148 |
| &nbsp;&nbsp;&nbsp;&nbsp;332000 | China National Building Material Co. Ltd. – Class H | &nbsp;&nbsp;&nbsp;&nbsp;147696 |
| 1137000 | China Railway Group Ltd. – Class H | 511340 |
| 87000 | China Resources Pharmaceutical Group Ltd. | 57057 |
| 308000 | China Zhongwang Holdings Ltd. \* <sup>(e)</sup> |  |
| 918000 | CITIC Ltd. | 1154539 |
| 15500 | Orient Overseas International Ltd. <sup>(a)</sup> | 266452 |
|  | Total China | 5712054 |
|  | **Denmark — 1.5%** |  |
| 732 | AP Moller - Maersk AS – Class A <sup>(a)</sup> | 1307419 |
| 996 | AP Moller - Maersk AS – Class B <sup>(a)</sup> | 1804398 |
| 41472 | Danske Bank AS <sup>(a)</sup> | 1589194 |
| 13616 | Genmab AS \* <sup>(a)</sup> | 2872426 |
| 16835 | Novo Nordisk AS – Class B <sup>(a)</sup> | 1196090 |
| 33410 | Rockwool AS – B Shares <sup>(a)</sup> | 1585380 |
|  | Total Denmark | 10354907 |
|  | **Finland — 0.4%** |  |
| 534736 | Nokia OYJ <sup>(a)</sup> | 2782926 |
|  | **France — 2.9%** |  |
| 901 | Amundi SA <sup>(a)</sup> | 73560 |
| 70873 | ArcelorMittal SA | 2148712 |
| 5292 | BioMerieux <sup>(a)</sup> | 709634 |
| 6461 | Cie de Saint-Gobain SA <sup>(a)</sup> | 727404 |
| 7792 | Cie Generale des Etablissements Michelin SCA <sup>(a)</sup> | 298114 |
| 41049 | Dassault Systemes SE <sup>(a)</sup> | 1539274 |
| 6649 | Ipsen SA \* | 782853 |
| 5888 | Legrand SA <sup>(a)</sup> | 715133 |
| 3516 | LVMH Moet Hennessy Louis Vuitton SE <sup>(a)</sup> | 1907102 |
| 37439 | Renault SA <sup>(a)</sup> | 1924911 |
| 12178 | Safran SA <sup>(a)</sup> | 3601727 |
| 20664 | Societe Generale SA <sup>(a)</sup> | 1122007 |
| 7686 | Sodexo SA <sup>(a)</sup> | 530812 |
| 27626 | STMicroelectronics NV | 693542 |
| 65170 | STMicroelectronics NV – NY Shares | 1629902 |
| 6598 | Teleperformance SE <sup>(a)</sup> | 666873 |
| 9991 | TotalEnergies SE <sup>(a)</sup> | 588152 |
|  | Total France | 19659712 |
|  | **Germany — 5.8%** |  |
| 49126 | Bayer AG (Registered) <sup>(a)</sup> | 1383070 |
| 18478 | Bayerische Motoren Werke AG <sup>(a)</sup> | 1639387 |
| 22119 | Continental AG <sup>(a)</sup> | 1939867 |
| 301390 | Covestro AG \* | 20709951 |
| 12398 | Daimler Truck Holding AG <sup>(a)</sup> | 538487 |
| 15835 | Deutsche Post AG <sup>(a)</sup> | 710562 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;131781 | E.ON SE <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2309606 |
| 3438 | Heidelberg Materials AG <sup>(a)</sup> | 673887 |
| 5158 | Henkel AG & Co. KGaA <sup>(a)</sup> | 378726 |
| 6146 | Knorr-Bremse AG <sup>(a)</sup> | 621885 |
| 38062 | Mercedes-Benz Group AG <sup>(a)</sup> | 2276020 |
| 55 | Rational AG <sup>(a)</sup> | 45223 |
| 13730 | SAP SE <sup>(a)</sup> | 4153600 |
| 5660 | Scout24 SE <sup>(a)</sup> | 771200 |
| 2431 | Siemens AG (Registered) <sup>(a)</sup> | 584712 |
| 18210 | Zalando SE \* <sup>(a)</sup> | 650637 |
|  | Total Germany | 39386820 |
|  | **Greece — 0.0%** |  |
| 24819 | Eurobank Ergasias Services & Holdings SA | 76444 |
|  | **Hong Kong — 2.8%** |  |
| 161500 | CK Asset Holdings Ltd. <sup>(a)</sup> | 667115 |
| 9771230 | ESR Group Ltd. | 15984148 |
| 166000 | HKT Trust & HKT Ltd. – Class SS <sup>(a)</sup> | 239087 |
| 254000 | SITC International Holdings Co. Ltd. | 810513 |
| 7000 | Sun Hung Kai Properties Ltd. <sup>(a)</sup> | 75192 |
| 57500 | Techtronic Industries Co. Ltd. <sup>(a)</sup> | 640453 |
| 755000 | WH Group Ltd. | 694417 |
|  | Total Hong Kong | 19110925 |
|  | **Ireland — 0.1%** |  |
| 7869 | Kingspan Group PLC | 675865 |
|  | **Israel — 1.2%** |  |
| 84900 | Bank Hapoalim BM | 1424314 |
| 186325 | Bank Leumi Le-Israel BM | 3006968 |
| 2734 | Check Point Software Technologies Ltd. \* | 625758 |
| 38023 | ICL Group Ltd. | 250983 |
| 39317 | Israel Discount Bank Ltd. – Class A | 334838 |
| 9302 | Nice Ltd. Sponsored ADR\* <sup>(a)</sup> | 1543481 |
| 4015 | Nice Ltd. \* | 680011 |
|  | Total Israel | 7866353 |
|  | **Italy — 1.1%** |  |
| 20936 | Enel SpA <sup>(a)</sup> | 192444 |
| 12735 | Leonardo SpA <sup>(a)</sup> | 787783 |
| 10188 | Prysmian SpA <sup>(a)</sup> | 655211 |
| 11600 | Recordati Industria Chimica e Farmaceutica SpA <sup>(a)</sup> | 696127 |
| 202739 | Stellantis NV <sup>(a)</sup> | 2066614 |
| 4062724 | Telecom Italia SpA \* <sup>(a)</sup> | 1738006 |
| 37012 | Tenaris SA <sup>(a)</sup> | 619858 |
| 12589 | Tenaris SA ADR <sup>(a)</sup> | 421102 |
|  | Total Italy | 7177145 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — 7.7%** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7800 | Amano Corp. | &nbsp;&nbsp;&nbsp;&nbsp;229939 |
| 3500 | Capcom Co. Ltd. <sup>(a)</sup> | 103833 |
| 13600 | Credit Saison Co. Ltd. <sup>(a)</sup> | 370064 |
| 600 | Dai Nippon Printing Co. Ltd. <sup>(a)</sup> | 8848 |
| 5900 | Daito Trust Construction Co. Ltd. <sup>(a)</sup> | 664599 |
| 13100 | Daiwa House Industry Co. Ltd. <sup>(a)</sup> | 441679 |
| 13800 | Daiwabo Holdings Co. Ltd. | 232484 |
| 15100 | Denka Co. Ltd. <sup>(a)</sup> | 214944 |
| 10400 | EXEO Group, Inc. | 132549 |
| 2100 | Fast Retailing Co. Ltd. <sup>(a)</sup> | 699488 |
| 16300 | Fuji Corp. | 260918 |
| 15800 | Fuji Electric Co. Ltd. <sup>(a)</sup> | 697915 |
| 10000 | FUJIFILM Holdings Corp. <sup>(a)</sup> | 225727 |
| 28100 | H.U. Group Holdings, Inc. | 603304 |
| 2500 | Hikari Tsushin, Inc. <sup>(a)</sup> | 680532 |
| 25900 | Hitachi Ltd. <sup>(a)</sup> | 721582 |
| 214100 | Honda Motor Co. Ltd. <sup>(a)</sup> | 2174912 |
| 143900 | Inpex Corp. <sup>(a)</sup> | 1924197 |
| 71100 | Isuzu Motors Ltd. <sup>(a)</sup> | 961048 |
| 10500 | ITOCHU Corp. <sup>(a)</sup> | 557300 |
| 20900 | Kanematsu Corp. | 395138 |
| 153000 | Kawasaki Kisen Kaisha Ltd. <sup>(a)</sup> | 2300894 |
| 13300 | Kirin Holdings Co. Ltd. | 190805 |
| 4800 | Konami Group Corp. <sup>(a)</sup> | 651563 |
| 11900 | Kubota Corp. <sup>(a)</sup> | 136514 |
| 2500 | Kyowa Kirin Co. Ltd. | 40858 |
| 5200 | Kyudenko Corp. | 191073 |
| 7400 | Macnica Holdings, Inc. | 97815 |
| 19800 | Makita Corp. <sup>(a)</sup> | 606618 |
| 8400 | Maruichi Steel Tube Ltd. <sup>(a)</sup> | 201788 |
| 11500 | Maxell Ltd. | 143390 |
| 56700 | Mitsubishi Electric Corp. <sup>(a)</sup> | 1131561 |
| 56100 | Mitsui OSK Lines Ltd. <sup>(a)</sup> | 1988852 |
| 16600 | Mizuno Corp. | 316404 |
| 10100 | Morinaga & Co. Ltd. | 167188 |
| 36500 | NEC Corp. <sup>(a)</sup> | 952772 |
| 11600 | NH Foods Ltd. | 407870 |
| 40300 | Nippon Telegraph & Telephone Corp. <sup>(a)</sup> | 44870 |
| 61100 | Nippon Yusen KK <sup>(a)</sup> | 2227873 |
| 733700 | Nissan Motor Co. Ltd. \* <sup>(a)</sup> | 1861244 |
| 36400 | Nitto Denko Corp. <sup>(a)</sup> | 662126 |
| 123400 | Nomura Holdings, Inc. <sup>(a)</sup> | 754081 |
| 114600 | Ono Pharmaceutical Co. Ltd. | 1247796 |
| 11600 | Otsuka Holdings Co. Ltd. <sup>(a)</sup> | 589744 |
| 250500 | Panasonic Holdings Corp. <sup>(a)</sup> | 2871096 |
| 51500 | Penta-Ocean Construction Co. Ltd. | 311686 |
| 10200 | Recruit Holdings Co. Ltd. <sup>(a)</sup> | 607514 |
| 15600 | Renesas Electronics Corp. <sup>(a)</sup> | 189468 |
| 6900 | Sankyu, Inc. | 331884 |
| 5200 | SCREEN Holdings Co. Ltd. <sup>(a)</sup> | 369964 |
| 24100 | SCSK Corp. <sup>(a)</sup> | 731491 |
| 12800 | Sega Sammy Holdings, Inc. | 241432 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55700 | SG Holdings Co. Ltd. <sup>(a)</sup> | 542126 |
| 128700 | Shionogi & Co. Ltd. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2148971 |
| 14800 | Stanley Electric Co. Ltd. | 284689 |
| 118700 | Subaru Corp. <sup>(a)</sup> | 2178983 |
| 24900 | SUMCO Corp. | 168307 |
| 13800 | Sumitomo Corp. <sup>(a)</sup> | 351438 |
| 41600 | Sumitomo Electric Industries Ltd. <sup>(a)</sup> | 872591 |
| 46000 | Sumitomo Mitsui Financial Group, Inc. <sup>(a)</sup> | 1181783 |
| 16500 | Sumitomo Mitsui Trust Group, Inc. <sup>(a)</sup> | 446485 |
| 2700 | Sumitomo Realty & Development Co. Ltd. <sup>(a)</sup> | 103429 |
| 55300 | Suzuki Motor Corp. <sup>(a)</sup> | 701815 |
| 12500 | T&D Holdings, Inc. <sup>(a)</sup> | 285970 |
| 10100 | THK Co. Ltd. <sup>(a)</sup> | 275388 |
| 40500 | Tokai Carbon Co. Ltd. <sup>(a)</sup> | 290156 |
| 17100 | Tokio Marine Holdings, Inc. <sup>(a)</sup> | 723198 |
| 21900 | Tokyo Gas Co. Ltd. <sup>(a)</sup> | 734364 |
| 13900 | TOPPAN Holdings, Inc. <sup>(a)</sup> | 369098 |
| 5500 | Tosei Corp. <sup>(a)</sup> | 96373 |
| 12000 | TOTO Ltd. <sup>(a)</sup> | 306923 |
| 14000 | Towa Corp. | 148447 |
| 2900 | Toyota Industries Corp. <sup>(a)</sup> | 362577 |
| 68700 | Toyota Tsusho Corp. <sup>(a)</sup> | 1451862 |
| 32700 | Yamaha Corp. | 228230 |
| 273500 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 2098683 |
| 15400 | Yokogawa Electric Corp. | 377546 |
| 11000 | Zenkoku Hosho Co. Ltd. <sup>(a)</sup> | 243555 |
| 33900 | ZOZO, Inc. <sup>(a)</sup> | 367314 |
|  | Total Japan | 52209535 |
|  | **Mexico — 0.1%** |  |
| 81682 | Cemex SAB de CV Sponsored ADR | 559522 |
|  | **Netherlands — 2.9%** |  |
| 23936 | ABN AMRO Bank NV <sup>(a)</sup> | 618732 |
| 1613 | ASML Holding NV <sup>(a)</sup> | 1188361 |
| 23906 | EXOR NV <sup>(a)</sup> | 2301635 |
| 102501 | ING Groep NV <sup>(a)</sup> | 2177342 |
| 33768 | JDE Peet's NV | 929272 |
| 273568 | Just Eat Takeaway.com NV \* <sup>(a)</sup> | 6048970 |
| 50054 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 2112479 |
| 46201 | NN Group NV <sup>(a)</sup> | 2907041 |
| 7528 | Randstad NV <sup>(a)</sup> | 315570 |
| 3891 | Wolters Kluwer NV <sup>(a)</sup> | 689990 |
|  | Total Netherlands | 19289392 |
|  | **New Zealand — 0.0%** |  |
| 65902 | Meridian Energy Ltd. <sup>(a)</sup> | 215770 |
|  | **Norway — 0.5%** |  |
| 87774 | Equinor ASA <sup>(a)</sup> | 2054860 |
| 60116 | Orkla ASA | 681655 |
| 20686 | Yara International ASA | 742136 |
|  | Total Norway | 3478651 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Poland — 0.4%** | |
| &nbsp;&nbsp;&nbsp;&nbsp;112423 | ORLEN SA | &nbsp;&nbsp;&nbsp;&nbsp;2209068 |
| 143893 | PGE Polska Grupa Energetyczna SA \* | 359123 |
|  | Total Poland | 2568191 |
|  | **Singapore — 0.3%** |  |
| 145500 | CapitaLand Integrated Commercial Trust – (REIT) | 235677 |
| 55700 | Oversea-Chinese Banking Corp. Ltd. | 699600 |
| 62200 | Singapore Exchange Ltd. | 675528 |
| 37500 | Wilmar International Ltd. | 88572 |
| 290100 | Yangzijiang Shipbuilding Holdings Ltd. | 475274 |
|  | Total Singapore | 2174651 |
|  | **South Korea — 1.7%** |  |
| 10546 | Doosan Bobcat, Inc. | 358457 |
| 2368 | GS Holdings Corp. | 74605 |
| 10383 | Hankook Tire & Technology Co. Ltd. | 289573 |
| 38235 | HMM Co. Ltd. | 589784 |
| 3375 | Hyundai Glovis Co. Ltd. | 276960 |
| 9211 | Hyundai Mobis Co. Ltd. | 1688525 |
| 7847 | Hyundai Motor Co. | 1051777 |
| 30483 | Kia Corp. | 1971423 |
| 6788 | LG Corp. | 348696 |
| 27506 | LG Electronics, Inc. | 1414714 |
| 1150 | POSCO Holdings, Inc. | 208332 |
| 1179 | POSCO Holdings, Inc. Sponsored ADR <sup>(a)</sup> | 53880 |
| 51854 | Samsung Electronics Co. Ltd. | 2104115 |
| 4901 | Shinhan Financial Group Co. Ltd. ADR <sup>(a)</sup> | 203195 |
| 3769 | Shinhan Financial Group Co. Ltd. | 157646 |
| 6384 | SK Square Co. Ltd. \* | 528028 |
|  | Total South Korea | 11319710 |
|  | **Spain — 1.5%** |  |
| 22356 | Amadeus IT Group SA <sup>(a)</sup> | 1859351 |
| 220266 | Banco Bilbao Vizcaya Argentaria SA <sup>(a)</sup> | 3306623 |
| 429668 | Banco Santander SA <sup>(a)</sup> | 3427740 |
| 37118 | Iberdrola SA <sup>(a)</sup> | 680364 |
| 34367 | Redeia Corp. SA <sup>(a)</sup> | 710971 |
| 26544 | Repsol SA <sup>(a)</sup> | 357626 |
|  | Total Spain | 10342675 |
|  | **Sweden — 0.9%** |  |
| 20953 | Assa Abloy AB – Class B <sup>(a)</sup> | 665060 |
| 14080 | Atlas Copco AB – B Shares <sup>(a)</sup> | 200440 |
| 107821 | Fastighets AB Balder – B Shares \* <sup>(a)</sup> | 755985 |
| 49323 | Investor AB – B Shares <sup>(a)</sup> | 1452458 |
| 30866 | Sandvik AB <sup>(a)</sup> | 673732 |
| 13898 | Skanska AB – B Shares <sup>(a)</sup> | 330638 |
| 8295 | SKF AB – B Shares <sup>(a)</sup> | 182460 |
| 900 | Spotify Technology SA \* <sup>(a)</sup> | 598626 |
| 126138 | Telefonaktiebolaget LM Ericsson – B Shares <sup>(a)</sup> | 1073758 |
|  | Total Sweden | 5933157 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Switzerland — 1.5%** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12475 | ABB Ltd. (Registered) <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;706680 |
| 55584 | Adecco Group AG (Registered) <sup>(a)</sup> | 1552510 |
| 1132 | BKW AG <sup>(a)</sup> | 238872 |
| 3878 | Holcim AG <sup>(a)</sup> | 429722 |
| 8930 | Logitech International SA (Registered) <sup>(a)</sup> | 744098 |
| 23621 | Nestle SA (Registered) <sup>(a)</sup> | 2516512 |
| 527 | Partners Group Holding AG <sup>(a)</sup> | 707428 |
| 6919 | Roche Holding AG <sup>(a)</sup> | 2241390 |
| 1991 | Schindler Holding AG (Registered) <sup>(a)</sup> | 684705 |
| 4698 | SGS SA (Registered) <sup>(a)</sup> | 490674 |
|  | Total Switzerland | 10312591 |
|  | **Taiwan — 0.8%** |  |
| 16100 | Silicon Motion Technology Corp. ADR <sup>(d)</sup> | 985320 |
| 140977 | Taiwan Semiconductor Manufacturing Co. Ltd. | 4496322 |
|  | Total Taiwan | 5481642 |
|  | **Thailand — 0.8%** |  |
| 432100 | Kasikornbank PCL NVDR | 2026718 |
| 2915300 | Krung Thai Bank PCL NVDR | 1968960 |
| 282600 | PTT Exploration & Production PCL NVDR | 842073 |
| 192200 | PTT PCL NVDR | 173995 |
| 154600 | SCB X PCL NVDR | 557955 |
|  | Total Thailand | 5569701 |
|  | **Turkey — 0.0%** |  |
| 40777 | Turk Hava Yollari AO \* | 284430 |
|  | **United Kingdom — 5.0%** |  |
| 53983 | 3i Group PLC <sup>(a)</sup> | 2965023 |
| 55925 | Auto Trader Group PLC <sup>(a)</sup> | 598934 |
| 7164 | Aviva PLC <sup>(a)</sup> | 59027 |
| 1271356 | BT Group PLC <sup>(a)</sup> | 3078165 |
| 13303 | Coca-Cola HBC AG | 693253 |
| 119202 | Compass Group PLC <sup>(a)</sup> | 4191478 |
| 73994 | Diageo PLC <sup>(a)</sup> | 2008288 |
| 56919 | GSK PLC Sponsored ADR <sup>(a)</sup> <sup>(c)</sup> | 2335387 |
| 35360 | GSK PLC <sup>(a)</sup> | 718301 |
| 586671 | Haleon PLC <sup>(a)</sup> | 3274986 |
| 14998 | Halma PLC <sup>(a)</sup> | 587982 |
| 2166 | Intertek Group PLC <sup>(a)</sup> | 139855 |
| 484516 | Kingfisher PLC <sup>(a)</sup> | 1813742 |
| 4210 | Next PLC <sup>(a)</sup> | 730633 |
| 43030 | Pearson PLC <sup>(a)</sup> | 675820 |
| 46300 | Rentokil Initial PLC ADR <sup>(a)</sup> <sup>(d)</sup> | 1100551 |
| 7176 | Rio Tinto PLC Sponsored ADR <sup>(c)</sup> | 426470 |
| 12761 | Shell PLC ADR <sup>(a)</sup> | 845033 |
| 27882 | Smiths Group PLC <sup>(a)</sup> | 810463 |
| 58956 | Unilever PLC <sup>(a)</sup> | 3752038 |
| 956047 | Vodafone Group PLC <sup>(a)</sup> | 991481 |
| 205189 | Vodafone Group PLC Sponsored ADR <sup>(a)</sup> | 2121654 |
|  | Total United Kingdom | 33918564 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — 90.9%** | |
| 7200 | A.O. Smith Corp. <sup>(a)</sup> | 463032 |
| 20988 | AAON, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2020935 |
| 34357 | Abbott Laboratories <sup>(a)</sup> | 4589408 |
| 11504 | Accenture PLC – Class A | 3644697 |
| 13452 | Acushnet Holdings Corp. <sup>(c)</sup> | 917964 |
| 100 | Adobe, Inc. \* <sup>(a)</sup> | 41509 |
| 17964 | Akamai Technologies, Inc. \* <sup>(a)</sup> | 1364007 |
| 82400 | Albertsons Cos., Inc. – Class A <sup>(a)</sup> <sup>(d)</sup> | 1831752 |
| 4161 | Align Technology, Inc. \* <sup>(a)</sup> | 752891 |
| 14518 | Allegion PLC <sup>(a)</sup> <sup>(c)</sup> | 2071719 |
| 71316 | Ally Financial, Inc. <sup>(a)</sup> | 2496060 |
| 43428 | Alphabet, Inc. – Class A <sup>(a)</sup> <sup>(d)</sup> | 7458325 |
| 2400 | Alphabet, Inc. – Class C <sup>(a)</sup> | 414840 |
| 19224 | Amazon.com, Inc. \* <sup>(a)</sup> | 3941112 |
| 54563 | Amedisys, Inc. \* | 5132741 |
| 7005 | Ameren Corp. <sup>(a)</sup> | 678644 |
| 6398 | American Electric Power Co., Inc. <sup>(a)</sup> | 662129 |
| 2467 | American Financial Group, Inc. <sup>(a)</sup> | 305859 |
| 1200 | Ameriprise Financial, Inc. <sup>(a)</sup> | 611088 |
| 3600 | AMETEK, Inc. <sup>(a)</sup> | 643464 |
| 29701 | Apple, Inc. <sup>(a)</sup> | 5965446 |
| 16518 | AptarGroup, Inc. <sup>(a)</sup> | 2616451 |
| 56966 | Aramark <sup>(a)</sup> | 2307123 |
| 19550 | Arch Capital Group Ltd. <sup>(a)</sup> | 1858032 |
| 4387 | Archer-Daniels-Midland Co. | 211760 |
| 3100 | Assurant, Inc. <sup>(a)</sup> | 629238 |
| &nbsp;&nbsp;&nbsp;&nbsp;410840 | AvidXchange Holdings, Inc. \* | &nbsp;&nbsp;&nbsp;&nbsp;4022124 |
| 12180 | Axcelis Technologies, Inc. \* | 686221 |
| 451989 | AZEK Co., Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 22377975 |
| 3873 | Badger Meter, Inc. | 961356 |
| 14832 | Balchem Corp. <sup>(a)</sup> | 2472494 |
| 54100 | Bank of America Corp. <sup>(a)</sup> | 2387433 |
| 5600 | Becton Dickinson & Co. <sup>(a)</sup> <sup>(d)</sup> | 966504 |
| 7800 | Best Buy Co., Inc. <sup>(a)</sup> | 516984 |
| 22880 | Block, Inc. \* <sup>(a)</sup> | 1412840 |
| 15241 | Booz Allen Hamilton Holding Corp. <sup>(a)</sup> | 1619356 |
| 12885 | Broadcom, Inc. <sup>(a)</sup> | 3119072 |
| 19716 | Bruker Corp. | 723577 |
| 18899 | Builders FirstSource, Inc. \* <sup>(a)</sup> | 2035044 |
| 794 | Bunge Global SA | 62051 |
| 19757 | Cactus, Inc. – Class A <sup>(a)</sup> <sup>(c)</sup> | 810037 |
| 17438 | Capital One Financial Corp. <sup>(a)</sup> | 3298398 |
| 38000 | Capri Holdings Ltd. \* <sup>(d)</sup> | 688560 |
| 20152 | Carnival Corp. \* <sup>(a)</sup> | 467929 |
| 50 | Cboe Global Markets, Inc. <sup>(a)</sup> | 11456 |
| 20579 | CBRE Group, Inc. – Class A \* <sup>(a)</sup> | 2572787 |
| 34071 | Centene Corp. \* <sup>(a)</sup> | 1922967 |
| 323460 | ChampionX Corp. <sup>(a)</sup> | 7785682 |
| 6345 | Cigna Group <sup>(a)</sup> | 2009081 |
| 15190 | Cirrus Logic, Inc. \* <sup>(a)</sup> | 1494088 |
| 11265 | Cisco Systems, Inc. <sup>(a)</sup> | 710146 |
| 43943 | Citigroup, Inc. <sup>(a)</sup> | 3309787 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 2000 | CMS Energy Corp. <sup>(a)</sup> | 140460 |
| &nbsp;&nbsp;&nbsp;&nbsp;109821 | CNH Industrial NV <sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1373861 |
| 30467 | Coca-Cola Co. <sup>(a)</sup> | 2196671 |
| 34408 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> | 2786704 |
| 13778 | Cohen & Steers, Inc. <sup>(a)</sup> <sup>(c)</sup> | 1058702 |
| 6700 | Colgate-Palmolive Co. <sup>(a)</sup> | 622698 |
| 63233 | Comcast Corp. – Class A <sup>(a)</sup> | 2185965 |
| 3200 | ConocoPhillips <sup>(a)</sup> <sup>(d)</sup> | 273120 |
| 6193 | Consolidated Edison, Inc. <sup>(a)</sup> | 647107 |
| 16611 | Constellation Brands, Inc. – Class A <sup>(a)</sup> | 2961575 |
| 11229 | Copart, Inc. \* <sup>(a)</sup> | 578069 |
| 21928 | Corebridge Financial, Inc. <sup>(a)</sup> | 715072 |
| 8804 | CoStar Group, Inc. \* <sup>(a)</sup> | 647622 |
| 700 | Costco Wholesale Corp. <sup>(a)</sup> | 728126 |
| 7273 | Cummins, Inc. <sup>(a)</sup> | 2338124 |
| 6020 | Curtiss-Wright Corp. <sup>(a)</sup> | 2649462 |
| 45630 | CVS Health Corp. <sup>(a)</sup> | 2922145 |
| 1800 | Darden Restaurants, Inc. <sup>(a)</sup> | 385578 |
| 52214 | Delta Air Lines, Inc. <sup>(a)</sup> | 2526635 |
| 30695 | Devon Energy Corp. <sup>(a)</sup> | 928831 |
| 3651 | Dick's Sporting Goods, Inc. <sup>(a)</sup> | 654770 |
| 8458 | Docusign, Inc. \* <sup>(a)</sup> | 749463 |
| 28102 | Dolby Laboratories, Inc. – Class A <sup>(a)</sup> | 2086855 |
| 9435 | Dollar General Corp. <sup>(a)</sup> | 917554 |
| 3587 | DoorDash, Inc. – Class A \* <sup>(a)</sup> | 748428 |
| 2000 | Dover Corp. <sup>(a)</sup> | 355500 |
| 19629 | DR Horton, Inc. <sup>(a)</sup> | 2317400 |
| 4961 | DTE Energy Co. <sup>(a)</sup> <sup>(c)</sup> | 677921 |
| 1785356 | Dun & Bradstreet Holdings, Inc. <sup>(a)</sup> | 16086058 |
| 17000 | DuPont de Nemours, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1135600 |
| 9400 | Dynatrace, Inc. \* <sup>(a)</sup> | 507694 |
| 33618 | eBay, Inc. <sup>(a)</sup> | 2459829 |
| 4422 | Electronic Arts, Inc. <sup>(a)</sup> | 635795 |
| 8715 | Elevance Health, Inc. <sup>(a)</sup> | 3345166 |
| 1983 | Eli Lilly & Co. <sup>(a)</sup> | 1462800 |
| 24990 | Enstar Group, Ltd. \* | 8371900 |
| 5710 | EOG Resources, Inc. <sup>(a)</sup> | 619935 |
| 10436 | EPAM Systems, Inc. \* <sup>(a)</sup> | 1820978 |
| 13508 | Equitable Holdings, Inc. <sup>(a)</sup> | 714168 |
| 16772 | Essential Utilities, Inc. <sup>(a)</sup> | 646225 |
| 3950 | Everest Group Ltd. <sup>(a)</sup> | 1371401 |
| 9875 | Evergy, Inc. <sup>(a)</sup> | 655799 |
| 14840 | Exelon Corp. <sup>(a)</sup> | 650289 |
| 13616 | Expedia Group, Inc. <sup>(a)</sup> | 2270468 |
| 7158 | Fabrinet \* | 1666883 |
| 142270 | FARO Technologies, Inc. \* | 6027980 |
| 2663 | FedEx Corp. <sup>(a)</sup> | 580800 |
| 3200 | Ferguson Enterprises, Inc. <sup>(a)</sup> | 583488 |
| 10871 | Fidelity National Financial, Inc. <sup>(a)</sup> | 595405 |
| 173634 | Foot Locker, Inc. \* | 4125544 |
| 207541 | Ford Motor Co. <sup>(a)</sup> | 2154276 |
| 10302 | Fortune Brands Innovations, Inc. <sup>(a)</sup> <sup>(c)</sup> | 519221 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 30888 | Fox Corp. – Class B <sup>(a)</sup> | 1553049 |
| &nbsp;&nbsp;&nbsp;&nbsp;136445 | Franklin Resources, Inc. <sup>(a)</sup> <sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2952670 |
| 435452 | Frontier Communications Parent, Inc. \* <sup>(a)</sup> | 15776426 |
| 12029 | FTI Consulting, Inc. \* <sup>(a)</sup> | 1974681 |
| 14100 | Gaming & Leisure Properties, Inc. – (REIT) <sup>(a)</sup> | 658470 |
| 3300 | Garmin Ltd. <sup>(a)</sup> | 669801 |
| 95635 | GCI Liberty, Inc. \* <sup>(c)</sup> <sup>(f)</sup> | 4782 |
| 43045 | GE HealthCare Technologies, Inc. <sup>(a)</sup> | 3036394 |
| 11579 | General Mills, Inc. <sup>(a)</sup> | 628277 |
| 46983 | General Motors Co. <sup>(a)</sup> | 2330827 |
| 45607 | Globus Medical, Inc. – Class A \* <sup>(d)</sup> | 2699022 |
| 1246 | Goldman Sachs Group, Inc. <sup>(a)</sup> | 748161 |
| 22067 | H&E Equipment Services, Inc. | 2088421 |
| 5382 | Hartford Insurance Group, Inc. <sup>(a)</sup> | 698799 |
| 186778 | Hess Corp. <sup>(a)</sup> <sup>(d)</sup> | 24690184 |
| 200340 | Hewlett Packard Enterprise Co. <sup>(a)</sup> <sup>(d)</sup> | 3461875 |
| 8534 | Hilton Worldwide Holdings, Inc. <sup>(a)</sup> | 2120187 |
| 8791 | Hormel Foods Corp. | 269708 |
| 46121 | Host Hotels & Resorts, Inc. – (REIT) <sup>(a)</sup> | 714414 |
| 10195 | Houlihan Lokey, Inc. <sup>(a)</sup> <sup>(c)</sup> | 1780863 |
| 8000 | Howard Hughes Holdings, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 546480 |
| 111186 | HP, Inc. <sup>(a)</sup> | 2768531 |
| 4300 | Humana, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1002459 |
| 41906 | Incyte Corp. \* <sup>(a)</sup> | 2726404 |
| 5777 | Installed Building Products, Inc. <sup>(c)</sup> | 921316 |
| 106334 | Intel Corp. <sup>(a)</sup> | 2078830 |
| 7258 | International Business Machines Corp. <sup>(a)</sup> | 1880257 |
| 76330 | International Paper Co. <sup>(a)</sup> <sup>(c) (d)</sup> | 3649337 |
| 6147 | Intuitive Surgical, Inc. \* <sup>(a)</sup> | 3395234 |
| 11779 | J&J Snack Foods Corp. | 1356587 |
| 8002 | Jack Henry & Associates, Inc. <sup>(a)</sup> | 1449722 |
| 27428 | Johnson & Johnson <sup>(a)</sup> | 4257100 |
| 2600 | JPMorgan Chase & Co. <sup>(a)</sup> | 686400 |
| 222549 | Juniper Networks, Inc. <sup>(a)</sup> | 7996186 |
| 2620 | Kadant, Inc. <sup>(c)</sup> | 822444 |
| 121302 | Kellanova <sup>(a)</sup> | 10023184 |
| 700 | Kimberly-Clark Corp. <sup>(a)</sup> | 100632 |
| 30400 | Kimco Realty Corp. – (REIT) <sup>(a)</sup> | 646304 |
| 2316 | KLA Corp. <sup>(a)</sup> | 1752934 |
| 75567 | Kraft Heinz Co. <sup>(a)</sup> <sup>(d)</sup> | 2019906 |
| 9501 | Kroger Co. <sup>(a)</sup> | 648253 |
| 41754 | Lam Research Corp. <sup>(a)</sup> | 3373306 |
| 12260 | Lancaster Colony Corp. | 2052324 |
| 225 | Leidos Holdings, Inc. <sup>(a)</sup> | 33417 |
| 22364 | Lennar Corp. – Class A <sup>(a)</sup> <sup>(c)</sup> | 2372373 |
| 1100 | Lennox International, Inc. <sup>(a)</sup> | 620895 |
| 253701 | Liberty Broadband Corp. – Class C \* <sup>(a)</sup> <sup>(d)</sup> | 23797154 |
| 38682 | LyondellBasell Industries NV – Class A <sup>(a) (c)</sup> | 2185146 |
| 29981 | Malibu Boats, Inc. – Class A \* | 903627 |
| 8400 | Masco Corp. <sup>(a)</sup> | 524328 |
| 56363 | Match Group, Inc. <sup>(a)</sup> | 1687508 |
| 1427 | Medpace Holdings, Inc. \* | 420822 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58738 | Merck & Co., Inc. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4513428 |
| 14044 | Meta Platforms, Inc. – Class A <sup>(a)</sup> <sup>(d)</sup> | 9093350 |
| 571 | Mettler-Toledo International, Inc. \* <sup>(a)</sup> | 659802 |
| 21375 | Micron Technology, Inc. <sup>(a)</sup> | 2019083 |
| 22979 | Microsoft Corp. <sup>(a)</sup> | 10578612 |
| 8300 | Middleby Corp. \* <sup>(a)</sup> <sup>(d)</sup> | 1212879 |
| 72790 | Moderna, Inc. \* | 1933302 |
| 2100 | Molina Healthcare, Inc. \* <sup>(a)</sup> | 640584 |
| 1406 | Molson Coors Beverage Co. – Class B | 75348 |
| 5774 | Morgan Stanley <sup>(a)</sup> | 739245 |
| 74000 | Mr. Cooper Group, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 9585220 |
| 7565 | NetApp, Inc. <sup>(a)</sup> | 750145 |
| 168 | Netflix, Inc. \* <sup>(a)</sup> | 202815 |
| 47829 | New York Times Co. – Class A <sup>(a)</sup> | 2731992 |
| 4700 | Norfolk Southern Corp. <sup>(a)</sup> <sup>(d)</sup> | 1161464 |
| 20745 | Nucor Corp. <sup>(a)</sup> | 2268673 |
| 8712 | Ollie's Bargain Outlet Holdings, Inc. \* <sup>(a)</sup> | 970952 |
| 165251 | Omnicom Group, Inc. <sup>(a)</sup> <sup>(d)</sup> | 12136033 |
| 40917 | ON Semiconductor Corp. \* <sup>(a)</sup> <sup>(c)</sup> | 1719332 |
| 26725 | Oracle Corp. <sup>(a)</sup> | 4423789 |
| 47190 | Ovintiv, Inc. <sup>(a)</sup> | 1690346 |
| 5274 | Owens Corning <sup>(a)</sup> | 706452 |
| 20364 | PACCAR, Inc. <sup>(a)</sup> | 1911161 |
| 471885 | Pacific Premier Bancorp, Inc. | 10003962 |
| 1104 | Parker-Hannifin Corp. <sup>(a)</sup> | 733829 |
| 185 | Paycom Software, Inc. <sup>(a)</sup> | 47932 |
| 40995 | PayPal Holdings, Inc. \* <sup>(a)</sup> | 2881129 |
| 53100 | Penn Entertainment, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 787473 |
| 600 | PepsiCo, Inc. <sup>(a)</sup> | 78870 |
| 116890 | Pfizer, Inc. <sup>(a)</sup> | 2745746 |
| 22003 | Pinterest, Inc. – Class A \* <sup>(a)</sup> | 684513 |
| 133966 | Playa Hotels & Resorts NV \* | 1803182 |
| 24157 | Power Integrations, Inc. | 1201328 |
| 6199 | PPG Industries, Inc. <sup>(a)</sup> | 686849 |
| 3294 | Preformed Line Products Co. | 469856 |
| 16593 | PriceSmart, Inc. | 1791712 |
| 1700 | Principal Financial Group, Inc. <sup>(a)</sup> | 132413 |
| 2400 | Public Storage – (REIT) <sup>(a)</sup> | 740184 |
| 18427 | PulteGroup, Inc. <sup>(a)</sup> | 1806399 |
| 901 | QUALCOMM, Inc. <sup>(a)</sup> | 130825 |
| 11834 | Quest Diagnostics, Inc. <sup>(a)</sup> <sup>(c)</sup> | 2051306 |
| 4518 | RBC Bearings, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 1653001 |
| 4478 | Regeneron Pharmaceuticals, Inc. <sup>(a)</sup> | 2195474 |
| 41900 | Rocket Cos., Inc. – Class A <sup>(a)</sup> <sup>(c) (d)</sup> | 534225 |
| 4800 | Ross Stores, Inc. <sup>(a)</sup> | 672432 |
| 1405 | RPM International, Inc. <sup>(a)</sup> | 159945 |
| 12933 | Salesforce, Inc. <sup>(a)</sup> | 3432030 |
| 8224 | SEI Investments Co. <sup>(a)</sup> | 701178 |
| 129083 | Skechers USA, Inc. – Class A \* <sup>(a)</sup> | 8008309 |
| 38032 | Skyworks Solutions, Inc. <sup>(c)</sup> | 2625349 |
| 38238 | Solventum Corp. \* <sup>(a)</sup> | 2794815 |
| 13372 | State Street Corp. <sup>(a)</sup> | 1287456 |
| 18063 | Steel Dynamics, Inc. <sup>(a)</sup> | 2223013 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24652 | StepStone Group, Inc. – Class A <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1426118 |
| 1792 | Stryker Corp. <sup>(a)</sup> | 685691 |
| 54427 | Synchrony Financial <sup>(a)</sup> | 3137717 |
| 18844 | T. Rowe Price Group, Inc. <sup>(c)</sup> | 1763610 |
| 14622 | Target Corp. <sup>(a)</sup> | 1374614 |
| 2835 | TE Connectivity PLC <sup>(a)</sup> | 453798 |
| 20336 | Texas Instruments, Inc. <sup>(a)</sup> | 3718438 |
| 8115 | Thermo Fisher Scientific, Inc. <sup>(a)</sup> | 3268884 |
| 16211 | TJX Cos., Inc. <sup>(a)</sup> | 2057176 |
| 5054 | Tradeweb Markets, Inc. – Class A <sup>(a)</sup> | 730050 |
| 1689 | Trane Technologies PLC <sup>(a)</sup> <sup>(c)</sup> | 726726 |
| 23662 | Trex Co., Inc. \* <sup>(a)</sup> | 1321996 |
| 389411 | Triumph Group, Inc. \* | 10042910 |
| 211091 | TXNM Energy, Inc. <sup>(a)</sup> | 11966749 |
| 12335 | Tyson Foods, Inc. – Class A | 692734 |
| 97150 | U.S. Bancorp <sup>(a)</sup> | 4234769 |
| 24286 | Uber Technologies, Inc. \* <sup>(a)</sup> <sup>(c)</sup> | 2043910 |
| 1000 | Union Pacific Corp. <sup>(a)</sup> | 221660 |
| 32368 | United Airlines Holdings, Inc. \* <sup>(a)</sup> | 2571476 |
| 23702 | United Parcel Service, Inc. – Class B <sup>(a)</sup> | 2311893 |
| 400 | United Rentals, Inc. <sup>(a)</sup> <sup>(d)</sup> | 283352 |
| 509 | United Therapeutics Corp. \* <sup>(a)</sup> | 162295 |
| 9600 | UnitedHealth Group, Inc. <sup>(a)</sup> | 2898336 |
| 12712 | Universal Display Corp. <sup>(a)</sup> <sup>(c)</sup> | 1822265 |
| 4535 | Universal Health Services, Inc. – Class B <sup>(a)</sup> | 863237 |
| 7099 | Veralto Corp. <sup>(a)</sup> | 717212 |
| 70799 | Verizon Communications, Inc. <sup>(a)</sup> | 3112324 |
| 231518 | Viatris, Inc. <sup>(a)</sup> | 2035043 |
| 21719 | VICI Properties, Inc. – (REIT) <sup>(c)</sup> | 688709 |
| 10831 | Visa, Inc. – Class A <sup>(a)</sup> <sup>(c)</sup> | 3955373 |
| 1646106 | Walgreens Boots Alliance, Inc. <sup>(a)</sup> <sup>(c)</sup> | 18518692 |
| 41831 | Wells Fargo & Co. <sup>(a)</sup> | 3128122 |
| 2039 | Williams-Sonoma, Inc. <sup>(a)</sup> | 329829 |
| 405234 | WillScot Holdings Corp. <sup>(a)</sup> <sup>(c) (d)</sup> | 10921056 |
| 11495 | Woodward, Inc. <sup>(a)</sup> | 2486713 |
| 11271 | WP Carey, Inc. – (REIT) <sup>(a)</sup> <sup>(c)</sup> | 707368 |
| 1687 | Xcel Energy, Inc. <sup>(a)</sup> | 118259 |
| 13915 | XPEL, Inc. \* <sup>(c)</sup> | 500523 |
| 4100 | Zoetis, Inc. <sup>(a)</sup> | 691383 |
| 37136 | Zoom Communications, Inc. – Class A \* <sup>(a)</sup> | 3017300 |
|  | Total United States | 614309758 |
|  | TOTAL COMMON STOCKS<br>(COST $932,567,542) | 948312859 |
|  | **PREFERRED STOCKS <sup>(g)</sup> — 0.5%** | **PREFERRED STOCKS <sup>(g)</sup> — 0.5%** |
|  | **Brazil — 0.0%** | **Brazil — 0.0%** |
| 129300 | Cia Energetica de Minas Gerais | 245059 |
|  | **Germany — 0.4%** |  |
| 7622 | Bayerische Motoren Werke AG <sup>(a)</sup> | 631759 |
| 20651 | Volkswagen AG <sup>(a)</sup> | 2235980 |
|  | Total Germany | 2867739 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares /<br>Par Value†** | **Shares /<br>Par Value†** | **Description** | **Value ($)** |
|  | | **South Korea — 0.1%** | |
|  | 1051 | Hyundai Motor Co. <sup>(b)</sup> | 112315 |
|  | 1038 | Hyundai Motor Co. <sup>(b)</sup> | 111081 |
|  | 2532 | Samsung Electronics Co. Ltd. | 84386 |
|  |  | Total South Korea | 307782 |
|  |  | TOTAL PREFERRED STOCKS<br>(COST $3,298,821) | 3420580 |
|  |  | **RIGHTS/WARRANTS — 0.1%** | **RIGHTS/WARRANTS — 0.1%** |
|  |  | **Canada — 0.0%** | **Canada — 0.0%** |
|  | 176256 | Resolute Forest Products, Inc. \* <sup>(f)</sup> | 264384 |
|  |  | **United States — 0.1%** |  |
|  | 13635 | ABIOMED, Inc. \* <sup>(f)</sup> | 21816 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;195149 | Bristol-Myers Squibb Co. \* <sup>(f)</sup> | 302481 |
|  | 38486 | Pershing Square Holdings Ltd. \* <sup>(f)</sup> | 11546 |
|  |  | Total United States | 335843 |
|  |  | TOTAL RIGHTS/WARRANTS<br> (COST $548,620) | 600227 |
|  |  | **INVESTMENT FUNDS — 5.6%** | **INVESTMENT FUNDS — 5.6%** |
|  |  | **United States — 5.6%** | **United States — 5.6%** |
|  | 9856086 | Altaba, Inc.\* <sup>(f)</sup> | 12812912 |
|  | 4990020 | GMO U.S. Treasury Fund, Class VI <sup>(h)</sup> | 25000000 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $37,090,464) | 37812912 |
|  |  | **DEBT OBLIGATIONS — 42.1%** | **DEBT OBLIGATIONS — 42.1%** |
|  |  | **Dominican Republic — 0.4%** | **Dominican Republic — 0.4%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  DOP | 131300000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 2540391 |
|  |  | **United States — 41.6%** | **United States — 41.6%** |
|  |  | **U.S. Government — 31.4%** | **U.S. Government — 31.4%** |
|  | 1065000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.45%, due 04/30/26 <sup>(a)</sup> <sup>(i)</sup> | 1065789 |
|  | 1700000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.48%, due 07/31/26 <sup>(a)</sup> <sup>(i)</sup> | 1702252 |
|  | 71040000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 4.40%, due 01/31/27 <sup>(a)</sup> <sup>(i)</sup> | 71063659 |
|  | 138185000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 4.46%, due 04/30/27 <sup>(a)</sup> <sup>(i)</sup> | 138264432 |
|  |  | Total U.S. Government | &nbsp;&nbsp;&nbsp;&nbsp;212096132 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
|  | | **United States — continued** | **United States — continued** |
|  | | **U.S. Government Agency — 10.2%** | **U.S. Government Agency — 10.2%** |
|  | 15000000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 07/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;15196516 |
|  | 1670000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 07/01/54 | 1651652 |
|  | 51700000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 07/01/54 | 52140042 |
|  |  | Total U.S. Government Agency | 68988210 |
|  |  | Total United States | 281084342 |
|  |  | **Uruguay — 0.1%** | **Uruguay — 0.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  UYU | 41000000 | Uruguay Government International Bonds, 8.25%, due 05/21/31 | 935712 |
|  |  | TOTAL DEBT OBLIGATIONS<br>(COST $284,485,751) | 284560445 |
|  |  | **SHORT-TERM INVESTMENTS — 6.8%** | **SHORT-TERM INVESTMENTS — 6.8%** |
|  |  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
|  | 2485917 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(j)</sup> | 2485917 |
|  |  | **Repurchase Agreements — 4.0%** | **Repurchase Agreements — 4.0%** |
|  | 27187650 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/30/25, maturing on 06/02/25 with a maturity value of $27,197,415 and an effective yield of 4.31%, collateralized by a U.S. Treasury Note with maturity date 06/30/29 and a market value of $27,809,837. | 27187650 |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.4%** | **Sovereign and Sovereign Agency Issuers — 2.4%** |
|  EGP | 50000000 | Egypt Treasury Bills, Zero Coupon, due 09/09/25 | 932986 |
|  JPY | 2000000000 | Japan Treasury Discount Bills, Zero Coupon, due 06/30/25 | 13894864 |
|  NGN | 1500000000 | Nigeria OMO Bills, Zero Coupon, due 08/26/25 | 887454 |
|  NGN | 1600000000 | Nigeria OMO Bills, Zero Coupon, due 12/30/25 | 867565 |
|  |  | Total Sovereign and Sovereign Agency Issuers | 16582869 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $46,064,066) | 46256436 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

**PURCHASED OPTIONS — 0.2%** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Notional<br>Amount** | **Value ($)** |
|  **Equity Options – Puts — 0.2%** |  |  |  |  |  |  |
|  Sunoco LP | 55.00 | 12/19/25 | 1531 | USD | 8258214 | 903290 |
|  Sunoco LP | 57.50 | 12/19/25 | 180 | USD | 970920 | 117000 |
|  Mr. Cooper Group, Inc. <sup>(d)</sup> | 95.00 | 01/16/26 | 670 | USD | 8678510 | 201000 |
|  Rocket Cos., Inc. | 9.20 | 01/16/26 | 81 | USD | 103275 | 5265 |
| Total Equity Options – Puts |  |  |  |  |  | 1226555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TOTAL PURCHASED OPTIONS (COST $1,591,463) |  |  |  |  |  | 1226555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS — 195.6%**<br>(Cost $1,305,646,727) |  |  |  |  |  | **1322190014** |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **SECURITIES SOLD SHORT — (89.7)%** | **SECURITIES SOLD SHORT — (89.7)%** |
| | **Common Stocks — (85.7)%** | **Common Stocks — (85.7)%** |
| | **Australia — (3.7)%** | **Australia — (3.7)%** |
| (28926) | ANZ Group Holdings Ltd. | (541299) |
| (142901) | APA Group | (763588) |
| (11383) | ASX Ltd. | (523012) |
| (31436) | CAR Group Ltd. | (720426) |
| (2390) | Cochlear Ltd. | (417900) |
| (6612) | Commonwealth Bank of Australia | (750256) |
| (16081) | Dexus – (REIT) | (72628) |
| (38376) | GPT Group – (REIT) | (118825) |
| (9956) | Insurance Australia Group Ltd. | (55452) |
| (367265) | James Hardie Industries PLC CDI\* | (8449648) |
| (193788) | Lottery Corp. Ltd. | (636799) |
| (1526) | Macquarie Group Ltd. | (210512) |
| (66561) | Mirvac Group – (REIT) | (99169) |
| (22666) | NEXTDC Ltd. \* | (191758) |
| (12695) | Pro Medicus Ltd. | (2301577) |
| (6445) | REA Group Ltd. | (995529) |
| (144227) | Santos Ltd. | (612587) |
| (74097) | Scentre Group – (REIT) | (175440) |
| (10271) | SEEK Ltd. | (160856) |
| (2623) | SGH Ltd. | (85776) |
| (4221) | Suncorp Group Ltd. | (56235) |
| (110245) | Transurban Group | (1007537) |
| (44903) | Vicinity Ltd. – (REIT) | (71315) |
| (17437) | Washington H Soul Pattinson & Co. Ltd. | (414956) |
| (35144) | WiseTech Global Ltd. | (2428211) |
| (2942) | Woodside Energy Group Ltd. | (42245) |
| (22474) | Woolworths Group Ltd. | (461536) |
| (22087) | Xero Ltd. \* | (2623680) |
|  | Total Australia | (24988752) |
|  | **Austria — (0.0)%** |  |
| (931) | Verbund AG | (72742) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Belgium — (0.4)%** | **Belgium — (0.4)%** |
| (10572) | Anheuser-Busch InBev SA | (746521) |
| (1967) | Argenx SE \* | (1128610) |
| (3172) | Groupe Bruxelles Lambert NV | (259537) |
| (56) | Lotus Bakeries NV | (579905) |
|  | Total Belgium | (2714573) |
|  | **Brazil — (0.4)%** |  |
| (9500) | Inter & Co., Inc. – Class A | (67640) |
| (214439) | NU Holdings Ltd. – Class A \* | (2575412) |
|  | Total Brazil | (2643052) |
|  | **Canada — (3.8)%** |  |
| (72200) | AltaGas Ltd. | (2017086) |
| (4200) | AtkinsRealis Group, Inc. | (275440) |
| (15262) | Brookfield Renewable Corp. <sup>(b)</sup> | (448550) |
| (2700) | Brookfield Renewable Corp. <sup>(b)</sup> | (79484) |
| (4500) | CAE, Inc. \* | (115849) |
| (38064) | Cameco Corp. | (2227886) |
| (2400) | Canadian Apartment Properties – (REIT) | (78277) |
| (14500) | Element Fleet Management Corp. | (345502) |
| (51906) | Enbridge, Inc. <sup>(b)</sup> | (2412591) |
| (1300) | Enbridge, Inc. <sup>(b)</sup> | (60503) |
| (14207) | Franco-Nevada Corp. | (2398142) |
| (42653) | GFL Environmental, Inc. <sup>(b)</sup> | (2150991) |
| (4400) | GFL Environmental, Inc. <sup>(b)</sup> | (222381) |
| (23000) | Keyera Corp. | (701053) |
| (6200) | National Bank of Canada | (610219) |
| (272732) | Pan American Silver Corp. <sup>(b)</sup> | (6651933) |
| (5100) | Pan American Silver Corp. <sup>(b)</sup> | (124383) |
| (54621) | Pembina Pipeline Corp. | (2047195) |
| (25556) | Restaurant Brands International, Inc. | (1824954) |
| (38100) | Saputo, Inc. | (734043) |
| (2100) | TC Energy Corp. | (106412) |
| (2400) | Teck Resources Ltd. – Class B | (88945) |
|  | Total Canada | (25721819) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
|  | **China — (0.2)%** |  |
| (10000) | Akeso, Inc. \* | (106463) |
| (5400) | BeOne Medicines Ltd. \* | (102988) |
| (4460) | Bilibili, Inc. – Class Z \* | (81770) |
| (82900) | China Vanke Co. Ltd. – Class H \* | (53880) |
| (38000) | Genscript Biotech Corp. \* | (62024) |
| (38200) | Guotai Haitong Securities Co. Ltd. – Class H | (53884) |
| (14000) | Innovent Biologics, Inc. \* | (110469) |
| (1400) | Legend Biotech Corp. ADR\* | (40530) |
| (25630) | NIO, Inc. – Class A \* | (90396) |
| (5700) | TAL Education Group ADR\* | (56031) |
| (15000) | XPeng, Inc. – Class A \* | (145316) |
| (17400) | Zai Lab Ltd. \* | (52983) |
| (14300) | Zhejiang Leapmotor Technology Co. Ltd. \* | (100357) |
|  | Total China | (1057091) |
|  | **Denmark — (0.8)%** |  |
| (17811) | Coloplast AS – Class B | (1731596) |
| (17011) | Orsted AS \* | (699092) |
| (81352) | Tryg AS | (2092863) |
| (10354) | Zealand Pharma AS \* | (719719) |
|  | Total Denmark | (5243270) |
|  | **Finland — (0.1)%** |  |
| (49688) | Nordea Bank Abp | (720381) |
|  | **France — (1.8)%** |  |
| (16410) | Aeroports de Paris SA | (2199765) |
| (26574) | Alstom SA \* | (600718) |
| (111007) | Bollore SE | (706081) |
| (267) | Dassault Aviation SA | (97113) |
| (20180) | Edenred SE | (630420) |
| (23385) | Engie SA | (504719) |
| (3426) | Euronext NV | (558366) |
| (1059) | Gecina SA – (REIT) | (116565) |
| (123544) | Getlink SE \* | (2363122) |
| (850) | Hermes International SCA | (2343886) |
| (1326) | Kering SA | (259163) |
| (12053) | Renault SA | (619700) |
| (6759) | Unibail-Rodamco-Westfield – (REIT) \* | (641025) |
| (4319) | Vinci SA | (617123) |
|  | Total France | (12257766) |
|  | **Germany — (2.4)%** |  |
| (1413) | adidas AG | (352421) |
| (12788) | BASF SE | (616663) |
| (27110) | Bayer AG (Registered) | (763242) |
| (5339) | CTS Eventim AG & Co. KGaA | (647602) |
| (71025) | Delivery Hero SE \* | (1963581) |
| (664) | Deutsche Boerse AG | (213907) |
| (3406) | LEG Immobilien SE | (289188) |
| (6498) | MTU Aero Engines AG | (2598999) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| (1056) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | (684153) |
| (1609) | Qiagen NV \* | (72629) |
| (583) | Rational AG | (479361) |
| (793) | Rheinmetall AG | (1699610) |
| (35044) | Siemens Energy AG \* | (3424693) |
| (10768) | Talanx AG | (1396940) |
| (21565) | Vonovia SE | (706567) |
|  | Total Germany | (15909556) |
|  | **Hong Kong — (0.5)%** |  |
| (33400) | AIA Group Ltd. | (278026) |
| (20500) | CLP Holdings Ltd. | (173602) |
| (45000) | Galaxy Entertainment Group Ltd. | (190292) |
| (59100) | Hongkong Land Holdings Ltd. | (305293) |
| (5200) | Jardine Matheson Holdings Ltd. | (231953) |
| (11000) | Link REIT | (58215) |
| (187000) | MTR Corp. Ltd. | (651963) |
| (306000) | Sands China Ltd. | (597281) |
| (64000) | Swire Pacific Ltd. – Class A | (545180) |
| (166000) | Wharf Real Estate Investment Co. Ltd. | (413932) |
|  | Total Hong Kong | (3445737) |
|  | **Israel — (1.1)%** |  |
| (7083) | CyberArk Software Ltd. \* | (2711231) |
| (7671) | Monday.com Ltd. \* | (2282046) |
| (32200) | Teva Pharmaceutical Industries Ltd. ADR\* | (540316) |
| (13227) | Wix.com Ltd. \* | (1970161) |
|  | Total Israel | (7503754) |
|  | **Italy — (1.3)%** |  |
| (49476) | Amplifon SpA | (1137292) |
| (4978) | Ferrari NV | (2382648) |
| (104312) | FinecoBank Banca Fineco SpA | (2255847) |
| (196530) | Infrastrutture Wireless Italiane SpA | (2307263) |
| (115021) | Nexi SpA | (692085) |
|  | Total Italy | (8775135) |
|  | **Japan — (5.8)%** |  |
| (98500) | Aeon Co. Ltd. | (3028199) |
| (22500) | AGC, Inc. | (667406) |
| (46500) | Aisin Corp. | (591681) |
| (92100) | ANA Holdings, Inc. | (1823677) |
| (63600) | Asics Corp. | (1532829) |
| (48700) | Astellas Pharma, Inc. | (481040) |
| (30200) | Chiba Bank Ltd. | (274463) |
| (15700) | Concordia Financial Group Ltd. | (100647) |
| (27700) | Dentsu Group, Inc. | (598302) |
| (6500) | Disco Corp. | (1456072) |
| (30700) | East Japan Railway Co. | (643404) |
| (8300) | FANUC Corp. | (221521) |
| (11700) | Fujikura Ltd. | (543083) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| (8100) | Japan Airlines Co. Ltd. | (163878) |
| (169400) | Japan Exchange Group, Inc. | (1855509) |
| (67700) | Japan Post Bank Co. Ltd. | (730118) |
| (8600) | Keisei Electric Railway Co. Ltd. | (82227) |
| (1400) | Keyence Corp. | (585998) |
| (51000) | Kobe Bussan Co. Ltd. | (1611562) |
| (1700) | Lasertec Corp. | (169539) |
| (1600) | McDonald's Holdings Co. Japan Ltd. | (67850) |
| (34100) | Mitsubishi HC Capital, Inc. | (250393) |
| (14100) | Mizuho Financial Group, Inc. | (392096) |
| (119800) | MonotaRO Co. Ltd. | (2471315) |
| (2900) | NIDEC Corp. | (56303) |
| (70900) | Nippon Paint Holdings Co. Ltd. | (534109) |
| (31400) | Nippon Steel Corp. | (631618) |
| (242700) | Nissan Motor Co. Ltd. \* | (615679) |
| (43800) | Obayashi Corp. | (660872) |
| (15400) | Omron Corp. | (398133) |
| (127800) | Oriental Land Co. Ltd. | (2839818) |
| (458600) | Rakuten Group, Inc. \* | (2524086) |
| (91300) | Resona Holdings, Inc. | (809200) |
| (51500) | Ricoh Co. Ltd. | (480196) |
| (26700) | SBI Holdings, Inc. | (808625) |
| (3200) | Seibu Holdings, Inc. | (84589) |
| (106500) | Shiseido Co. Ltd. | (1714093) |
| (1577100) | SoftBank Corp. | (2423304) |
| (10000) | SoftBank Group Corp. | (522384) |
| (58400) | Tokyu Corp. | (709072) |
| (37300) | Toyota Motor Corp. | (710125) |
| (66000) | Unicharm Corp. | (524998) |
| (7300) | West Japan Railway Co. | (157317) |
| (28400) | Zensho Holdings Co. Ltd. | (1551538) |
| (28600) | ZOZO, Inc. | (309887) |
|  | Total Japan | (39408755) |
|  | **Netherlands — (1.5)%** |  |
| (505) | Adyen NV \* | (967822) |
| (6372) | AerCap Holdings NV | (737432) |
| (19877) | BE Semiconductor Industries NV | (2402039) |
| (76058) | CVC Capital Partners PLC | (1415331) |
| (2045) | DSM-Firmenich AG | (227647) |
| (3367) | Heineken Holding NV | (262435) |
| (7049) | Heineken NV | (628859) |
| (51550) | InPost SA \* | (847260) |
| (77019) | Universal Music Group NV | (2464412) |
|  | Total Netherlands | (9953237) |
|  | **New Zealand — (0.1)%** |  |
| (125514) | Auckland International Airport Ltd. | (566257) |
| (28176) | Infratil Ltd. | (177301) |
|  | Total New Zealand | (743558) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
|  | **Norway — (0.3)%** |  |
| (13300) | Kongsberg Gruppen ASA \* | (2342398) |
|  | **Peru — (0.3)%** |  |
| (20185) | Southern Copper Corp. | (1835023) |
|  | **Portugal — (0.1)%** |  |
| (87591) | EDP Renovaveis SA | (884096) |
|  | **Singapore — (1.0)%** |  |
| (103081) | CapitaLand Integrated Commercial Trust – (REIT) | (166967) |
| (853700) | CapitaLand Investment Ltd. | (1664730) |
| (502549) | Grab Holdings Ltd. – Class A \* | (2447414) |
| (245600) | Keppel Ltd. | (1289632) |
| (2700) | Sea Ltd. ADR\* | (432999) |
| (76300) | Seatrium Ltd. | (120967) |
| (130800) | Singapore Airlines Ltd. | (721696) |
|  | Total Singapore | (6844405) |
|  | **Spain — (1.1)%** |  |
| (4336) | ACS Actividades de Construccion y Servicios SA | (284815) |
| (81095) | Cellnex Telecom SA \* | (3109206) |
| (66582) | Ferrovial SE | (3392003) |
| (43392) | Grifols SA \* | (466963) |
|  | Total Spain | (7252987) |
|  | **Sweden — (1.3)%** |  |
| (1873) | AddTech AB – B Shares | (64369) |
| (74573) | Beijer Ref AB | (1099696) |
| (5356) | Castellum AB | (66522) |
| (89154) | EQT AB | (2612349) |
| (7829) | Fastighets AB Balder – B Shares \* | (54893) |
| (11036) | Industrivarden AB – C Shares | (398882) |
| (790) | Lifco AB – B Shares | (32171) |
| (159517) | Nibe Industrier AB – B Shares | (654058) |
| (7902) | Sagax AB – Class B | (173052) |
| (8442) | Skandinaviska Enskilda Banken AB – Class A | (140856) |
| (3707) | Spotify Technology SA \* | (2465674) |
| (14211) | Svenska Cellulosa AB SCA – Class B | (192106) |
| (181103) | Telia Co. AB | (700329) |
|  | Total Sweden | (8654957) |
|  | **Switzerland — (1.3)%** |  |
| (2540) | Alcon AG | (218737) |
| (40210) | Avolta AG | (2156494) |
| (2517) | Bachem Holding AG | (158508) |
| (6146) | Banque Cantonale Vaudoise (Registered) | (712059) |
| (2) | Chocoladefabriken Lindt & Spruengli AG (Registered) | (314220) |
| (2203) | Cie Financiere Richemont SA – Class A (Registered) | (415722) |
| (1781) | Galderma Group AG | (233994) |
| (423) | Kuehne & Nagel International AG (Registered) | (95182) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
|  | **Switzerland — continued** |  |
| (1206) | Partners Group Holding AG | (1618896) |
| (67922) | SIG Group AG | (1388811) |
| (211) | Swatch Group AG | (35597) |
| (6420) | Swiss Prime Site AG (Registered) | (913006) |
| (3735) | Swiss Re AG | (659951) |
| (316) | VAT Group AG | (120557) |
|  | Total Switzerland | (9041734) |
|  | **United Kingdom — (4.2)%** |  |
| (16131) | Antofagasta PLC | (385095) |
| (10311) | Auto Trader Group PLC | (110427) |
| (63092) | Barratt Redrow PLC | (392148) |
| (115084) | BP PLC | (559549) |
| (66553) | Entain PLC | (674788) |
| (248340) | Informa PLC | (2633173) |
| (19394) | InterContinental Hotels Group PLC | (2222321) |
| (92068) | Land Securities Group PLC – (REIT) | (786181) |
| (194952) | Legal & General Group PLC | (654093) |
| (18510) | London Stock Exchange Group PLC | (2816421) |
| (34839) | LondonMetric Property PLC – (REIT) | (94591) |
| (25672) | M&G PLC | (82018) |
| (315030) | Melrose Industries PLC | (1995976) |
| (34495) | Ocado Group PLC \* | (122445) |
| (238200) | Phoenix Group Holdings PLC | (2038271) |
| (13740) | Prudential PLC | (156275) |
| (10819) | Reckitt Benckiser Group PLC | (735449) |
| (148015) | Rentokil Initial PLC | (702643) |
| (331274) | Rolls-Royce Holdings PLC | (3855028) |
| (24800) | Segro PLC – (REIT) | (233224) |
| (71786) | Severn Trent PLC | (2621658) |
| (61299) | United Utilities Group PLC | (970561) |
| (16813) | Whitbread PLC | (656840) |
| (164875) | Wise PLC – Class A \* | (2446167) |
| (44298) | WPP PLC | (357752) |
|  | Total United Kingdom | (28303094) |
|  | **United States — (52.2)%** |  |
| (14541) | AbbVie, Inc. | (2706226) |
| (4300) | ADMA Biologics, Inc. \* | (85312) |
| (3900) | Advanced Micro Devices, Inc. \* | (431847) |
| (6700) | AECOM | (735995) |
| (2300) | AeroVironment, Inc. \* | (409469) |
| (18700) | Affirm Holdings, Inc. \* | (970530) |
| (2100) | Alcoa Corp. | (56217) |
| (4300) | Alexandria Real Estate Equities, Inc. – (REIT) | (301817) |
| (13009) | Alnylam Pharmaceuticals, Inc. \* | (3962021) |
| (8396) | American International Group, Inc. | (710637) |
| (4645) | American Water Works Co., Inc. | (664096) |
| (17400) | Americold Realty Trust, Inc. – (REIT) | (288318) |
| (2221) | Amgen, Inc. | (640048) |
| (3114) | Analog Devices, Inc. | (666334) |
| (13500) | Annaly Capital Management, Inc. – (REIT) | (255825) |
| (11000) | Antero Resources Corp. \* | (411950) |
| (1500) | API Group Corp. \* | (70005) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (3600) | Apollo Global Management, Inc. | (470484) |
| (4244) | ARES Management Corp. – Class A | (702382) |
| (9303) | Arthur J Gallagher & Co. | (3232234) |
| (15000) | AT&T, Inc. | (417000) |
| (11900) | ATI, Inc. \* | (947716) |
| (239000) | Aurora Innovation, Inc. \* | (1448340) |
| (42666) | Avantor, Inc. \* | (550818) |
| (4019) | Axon Enterprise, Inc. \* | (3015697) |
| (10300) | Ball Corp. | (551874) |
| (600) | Bank of New York Mellon Corp. | (53166) |
| (20213) | Baxter International, Inc. | (616496) |
| (322) | Bentley Systems, Inc. – Class B | (15369) |
| (14700) | Bill Holdings, Inc. \* | (642096) |
| (3000) | Biogen, Inc. \* | (389370) |
| (9845) | BioMarin Pharmaceutical, Inc. \* | (571699) |
| (2000) | Bio-Rad Laboratories, Inc. – Class A \* | (453860) |
| (1119) | Blackstone, Inc. | (155272) |
| (31800) | Blue Owl Capital, Inc. | (594024) |
| (4500) | Blueprint Medicines Corp. \* | (456075) |
| (27085) | Boeing Co. \* | (5615262) |
| (2100) | Bright Horizons Family Solutions, Inc. \* | (271320) |
| (1300) | Bristol-Myers Squibb Co. | (62764) |
| (9369) | Burlington Stores, Inc. \* | (2138662) |
| (7300) | Cadence Bank | (221190) |
| (1300) | Carlisle Cos., Inc. | (494234) |
| (5400) | Carlyle Group, Inc. | (244080) |
| (2700) | Carpenter Technology Corp. | (634500) |
| (13027) | Carvana Co. \* | (4261913) |
| (3700) | Casella Waste Systems, Inc. – Class A \* | (433677) |
| (4800) | Cava Group, Inc. \* | (390096) |
| (3600) | CDW Corp. | (649296) |
| (2258) | Cencora, Inc. | (657620) |
| (8187) | Charles Schwab Corp. | (723240) |
| (500) | Chart Industries, Inc. \* | (78430) |
| (54217) | Charter Communications, Inc. – Class A \* | (21484571) |
| (176930) | Chevron Corp. | (24186331) |
| (4200) | Chewy, Inc. – Class A \* | (190050) |
| (20444) | Chipotle Mexican Grill, Inc. \* | (1023836) |
| (375) | Church & Dwight Co., Inc. | (36866) |
| (1100) | Churchill Downs, Inc. | (105017) |
| (11123) | Cintas Corp. | (2519359) |
| (4200) | Clorox Co. | (553896) |
| (34818) | Cloudflare, Inc. – Class A \* | (5775958) |
| (3100) | Coherent Corp. \* | (234453) |
| (12099) | Coinbase Global, Inc. – Class A \* | (2983855) |
| (431776) | Columbia Banking System, Inc. | (10094923) |
| (1600) | Constellation Energy Corp. | (489840) |
| (13157) | Corning, Inc. | (652456) |
| (1900) | Corpay, Inc. \* | (617709) |
| (1241) | CoStar Group, Inc. \* | (91288) |
| (127) | Costco Wholesale Corp. | (132103) |
| (7400) | Crown Holdings, Inc. | (728900) |
| (9700) | Cytokinetics, Inc. \* | (300894) |
| (1100) | Danaher Corp. | (208890) |
| (41615) | Dayforce, Inc. \* | (2458614) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (21781) | Dexcom, Inc. \* | (1868810) |
| (3700) | Diamondback Energy, Inc. | (497835) |
| (9000) | Digital Realty Trust, Inc. – (REIT) | (1543680) |
| (8146) | Dollar Tree, Inc. \* | (735258) |
| (11900) | Dominion Energy, Inc. | (674373) |
| (12859) | Dow, Inc. | (356709) |
| (80553) | DraftKings, Inc. – Class A \* | (2890242) |
| (17700) | DuPont de Nemours, Inc. | (1182360) |
| (8700) | Dutch Bros, Inc. – Class A \* | (628140) |
| (865) | Ecolab, Inc. | (229761) |
| (16700) | Elastic NV \* | (1350529) |
| (12077) | Entegris, Inc. | (830173) |
| (56171) | EQT Corp. | (3096707) |
| (1000) | Equifax, Inc. | (264190) |
| (28782) | Equitable Holdings, Inc. | (1521704) |
| (6316) | Erie Indemnity Co. – Class A | (2264349) |
| (3100) | Essential Utilities, Inc. | (119443) |
| (7200) | Estee Lauder Cos., Inc. – Class A | (481968) |
| (59976) | Exact Sciences Corp. \* | (3375449) |
| (2000) | Exxon Mobil Corp. | (204600) |
| (1146) | Fair Isaac Corp. \* | (1978317) |
| (67734) | Fastenal Co. | (2800124) |
| (45606) | Fidelity National Information Services, Inc. | (3630694) |
| (275) | First Citizens BancShares, Inc. – Class A | (508442) |
| (16015) | FirstEnergy Corp. | (671669) |
| (16182) | Fiserv, Inc. \* | (2634268) |
| (1700) | Fluor Corp. \* | (70686) |
| (8165) | Flutter Entertainment PLC \* <sup>(b)</sup> | (2067072) |
| (4529) | Flutter Entertainment PLC \* <sup>(b)</sup> | (1144478) |
| (3900) | Freshpet, Inc. \* | (312624) |
| (4000) | FTAI Aviation Ltd. | (468600) |
| (18600) | GameStop Corp. – Class A \* | (554280) |
| (1691) | GE Vernova, Inc. | (799809) |
| (403) | Gilead Sciences, Inc. | (44362) |
| (3800) | Glaukos Corp. \* | (358302) |
| (8719) | Global Payments, Inc. | (659244) |
| (9200) | Guardant Health, Inc. \* | (373704) |
| (9700) | Guidewire Software, Inc. \* | (2085694) |
| (6500) | Healthcare Realty Trust, Inc. – (REIT) | (94250) |
| (3200) | HealthEquity, Inc. \* | (321952) |
| (38400) | Healthpeak Properties, Inc. – (REIT) | (668544) |
| (548) | HEICO Corp. | (164203) |
| (2841) | Herc Holdings, Inc. | (352284) |
| (1500) | Hershey Co. | (241035) |
| (41536) | Hewlett Packard Enterprise Co. | (717742) |
| (3100) | Hologic, Inc. \* | (192727) |
| (1326) | Home Depot, Inc. | (488353) |
| (7805) | HubSpot, Inc. \* | (4604169) |
| (17454) | Hyatt Hotels Corp. – Class A | (2304452) |
| (3200) | Illumina, Inc. \* | (263168) |
| (6739) | Ingersoll Rand, Inc. | (550172) |
| (7200) | Insmed, Inc. \* | (502056) |
| (12862) | Insulet Corp. \* | (4180536) |
| (12000) | Intel Corp. | (234600) |
| (900) | Interactive Brokers Group, Inc. – Class A | (188712) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (19200) | International Flavors & Fragrances, Inc. | (1469952) |
| (35830) | International Paper Co. | (1713032) |
| (438228) | Interpublic Group of Cos., Inc. | (10499943) |
| (23900) | Invitation Homes, Inc. – (REIT) | (805430) |
| (5500) | Ionis Pharmaceuticals, Inc. \* | (184305) |
| (55500) | IonQ, Inc. \* | (2238870) |
| (2800) | Iron Mountain, Inc. – (REIT) | (276388) |
| (1700) | Jabil, Inc. | (285617) |
| (2500) | Jefferies Financial Group, Inc. | (121500) |
| (7952) | Johnson Controls International PLC | (806094) |
| (19600) | Keurig Dr. Pepper, Inc. | (659932) |
| (9200) | Kimco Realty Corp. – (REIT) | (195592) |
| (8300) | Kite Realty Group Trust – (REIT) | (183596) |
| (18289) | KKR & Co., Inc. | (2221382) |
| (18700) | Kraft Heinz Co. | (499851) |
| (2800) | Kyndryl Holdings, Inc. \* | (109312) |
| (37048) | Liberty Media Corp.-Liberty Formula One – Class C \* | (3576243) |
| (6413) | Linde PLC | (2998591) |
| (22376) | Live Nation Entertainment, Inc. \* | (3069763) |
| (2056) | LPL Financial Holdings, Inc. | (796001) |
| (800) | Lululemon Athletica, Inc. \* | (253336) |
| (5600) | Lumentum Holdings, Inc. \* | (404768) |
| (6900) | Lyft, Inc. – Class A \* | (105156) |
| (7843) | Manhattan Associates, Inc. \* | (1480602) |
| (44900) | MARA Holdings, Inc. \* | (633988) |
| (2800) | Marriott International, Inc. – Class A | (738724) |
| (38545) | Marvell Technology, Inc. | (2320024) |
| (1235) | Mastercard, Inc. – Class A | (723216) |
| (8900) | McCormick & Co., Inc. | (647297) |
| (3278) | McKesson Corp. | (2358554) |
| (350) | MercadoLibre, Inc. \* | (897151) |
| (10953) | Microchip Technology, Inc. | (635712) |
| (5200) | MicroStrategy, Inc. – Class A \* | (1919112) |
| (7800) | Moderna, Inc. \* | (207168) |
| (26161) | MongoDB, Inc. \* | (4939982) |
| (3015) | Moody's Corp. | (1445150) |
| (2300) | Morgan Stanley | (294469) |
| (1385) | Motorola Solutions, Inc. | (575301) |
| (4021) | MSCI, Inc. | (2267924) |
| (17017) | Natera, Inc. \* | (2684091) |
| (18440) | Newmont Corp. | (972157) |
| (11400) | NextEra Energy, Inc. | (805296) |
| (9558) | NIKE, Inc. – Class B | (579119) |
| (18800) | Nutanix, Inc. – Class A \* | (1441772) |
| (57) | NVR, Inc. \* | (405608) |
| (10800) | Occidental Petroleum Corp. | (440424) |
| (31716) | Okta, Inc. \* | (3272140) |
| (1900) | Omega Healthcare Investors, Inc. – (REIT) | (70300) |
| (23408) | ONEOK, Inc. | (1892303) |
| (25676) | Palantir Technologies, Inc. – Class A \* | (3383583) |
| (3700) | Palo Alto Networks, Inc. \* | (711954) |
| (20228) | Paychex, Inc. | (3194203) |
| (35200) | PG&E Corp. | (594176) |
| (2600) | Planet Fitness, Inc. – Class A \* | (267358) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (1797) | Pool Corp. | (540160) |
| (4000) | Primo Brands Corp. | (132280) |
| (10100) | Prologis, Inc. – (REIT) | (1096860) |
| (20400) | Pure Storage, Inc. – Class A \* | (1093236) |
| (3500) | Q2 Holdings, Inc. \* | (306320) |
| (21863) | Realty Income Corp. – (REIT) | (1237883) |
| (2800) | Regency Centers Corp. – (REIT) | (202020) |
| (2400) | Reinsurance Group of America, Inc. | (487896) |
| (10100) | REVOLUTION Medicines, Inc. \* | (397940) |
| (248586) | Rivian Automotive, Inc. – Class A \* | (3611955) |
| (24300) | Robinhood Markets, Inc. – Class A \* | (1607445) |
| (45493) | ROBLOX Corp. – Class A \* | (3956981) |
| (20100) | Rocket Lab Corp. \* | (538479) |
| (17708) | Roku, Inc. \* | (1283122) |
| (38788) | Rollins, Inc. | (2220613) |
| (3100) | Royal Caribbean Cruises Ltd. | (796607) |
| (5334) | RTX Corp. | (727984) |
| (6200) | Ryan Specialty Holdings, Inc. | (443734) |
| (500) | Ryman Hospitality Properties, Inc. – (REIT) | (48555) |
| (387) | S&P Global, Inc. | (198477) |
| (51843) | Samsara, Inc. – Class A \* | (2412773) |
| (3100) | Sarepta Therapeutics, Inc. \* | (116560) |
| (237745) | Schlumberger NV | (7857472) |
| (7206) | Seagate Technology Holdings PLC | (849876) |
| (2381) | ServiceNow, Inc. \* | (2407405) |
| (3300) | Shift4 Payments, Inc. – Class A \* | (312807) |
| (89849) | Snap, Inc. – Class A \* | (741254) |
| (15067) | Snowflake, Inc. – Class A \* | (3098830) |
| (60300) | SoFi Technologies, Inc. \* | (801990) |
| (126500) | SoundHound AI, Inc. – Class A \* | (1278915) |
| (7800) | Southern Co. | (702000) |
| (22300) | Southwest Airlines Co. | (744374) |
| (2195) | Starbucks Corp. | (184270) |
| (3600) | Starwood Property Trust, Inc. – (REIT) | (71100) |
| (3973) | STERIS PLC | (974219) |
| (8935) | Sun Communities, Inc. – (REIT) | (1102936) |
| (4300) | Sysco Corp. | (313900) |
| (17977) | Take-Two Interactive Software, Inc. \* | (4067836) |
| (6886) | Targa Resources Corp. | (1087506) |
| (21000) | TechnipFMC PLC | (654150) |
| (9170) | Tesla, Inc. \* | (3177038) |
| (1588) | Texas Pacific Land Corp. | (1769080) |
| (2708) | T-Mobile U.S., Inc. | (655878) |
| (77028) | Toast, Inc. – Class A \* | (3249041) |
| (13162) | Tractor Supply Co. | (637041) |
| (1650) | TransDigm Group, Inc. | (2422909) |
| (4100) | Twilio, Inc. – Class A \* | (482570) |
| (1852) | Tyler Technologies, Inc. \* | (1068585) |
| (22800) | UDR, Inc. – (REIT) | (944604) |
| (4972) | U-Haul Holding Co. NVDR | (283603) |
| (35800) | Unity Software, Inc. \* | (933664) |
| (19900) | Varonis Systems, Inc. \* | (948832) |

---

---

| | | |
|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (9400) | Vaxcyte, Inc. \* | (305406) |
| (25346) | Ventas, Inc. – (REIT) | (1629241) |
| (1400) | Verisk Analytics, Inc. | (439796) |
| (7900) | Vertiv Holdings Co. – Class A | (852647) |
| (6700) | Viking Therapeutics, Inc. \* | (179560) |
| (18036) | Vistra Corp. | (2896041) |
| (2000) | Vornado Realty Trust – (REIT) | (75340) |
| (4500) | Walt Disney Co. | (508680) |
| (3467) | Waste Connections, Inc. | (683311) |
| (2921) | Waste Management, Inc. | (703873) |
| (5330) | Watsco, Inc. | (2364228) |
| (12457) | Welltower, Inc. – (REIT) | (1921866) |
| (252) | West Pharmaceutical Services, Inc. | (53134) |
| (23241) | Western Digital Corp. \* | (1198074) |
| (636) | WEX, Inc. \* | (84543) |
| (64180) | Williams Cos., Inc. | (3883532) |
| (1001) | Workday, Inc. – Class A \* | (247958) |
| (8151) | Wynn Resorts Ltd. | (737992) |
| (1100) | XPO, Inc. \* | (125213) |
| (39907) | Zillow Group, Inc. – Class C \* | (2678159) |
| (6301) | Zimmer Biomet Holdings, Inc. | (580763) |
| (20401) | Zscaler, Inc. \* | (5624556) |
|  | Total United States | (353073306) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $558,112,739) | (579391178) |
|  | **PREFERRED STOCKS <sup>(g)</sup> — (0.2)%** | **PREFERRED STOCKS <sup>(g)</sup> — (0.2)%** |
|  | **Germany — (0.2)%** | **Germany — (0.2)%** |
| (7188) | Sartorius AG | (1724238) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $2,111,096) | (1724238) |
|  | **DEBT OBLIGATIONS — (3.8)%** | **DEBT OBLIGATIONS — (3.8)%** |
|  | **United States — (3.8)%** | **United States — (3.8)%** |
|  | **U.S. Government Agency — (3.8)%** | **U.S. Government Agency — (3.8)%** |
| (15000000) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 07/01/39 | (13861572) |
| (11500000) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 07/01/54 | (11599679) |
|  | Total United States | (25461251) |
|  | TOTAL DEBT OBLIGATIONS<br>(PROCEEDS $25,393,144) | (25461251) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $585,616,979) | **(606576667)** |
|  | Other Assets and Liabilities (net) — (5.9)% | (39676112) |
|  | **TOTAL NET ASSETS — 100.0%** | **$675937235** |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 2025 (Unaudited)** 

A summary of outstanding financial instruments at May 31, 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>($)** |
| 08/12/2025 | BCLY | AUD | 2450000 | USD | 1587520 | 6486 |
| 06/03/2025 | BCLY | BRL | 60351334 | USD | 10603913 | 52058 |
| 07/15/2025 | SSB | CHF | 15427275 | USD | 19145647 | 302236 |
| 08/18/2025 | CITI | CLP | 340000000 | USD | 362656 | 3325 |
| 08/18/2025 | BCLY | CLP | 646200000 | USD | 683614 | 674 |
| 07/15/2025 | CITI | CZK | 26900000 | USD | 1229265 | 2122 |
| 07/30/2025 | MSCI | EUR | 3724200 | USD | 4253887 | 9446 |
| 07/30/2025 | CITI | EUR | 670000 | USD | 767700 | 4107 |
| 07/30/2025 | JPM | EUR | 2130000 | USD | 2433750 | 6206 |
| 07/31/2025 | UBSA | GBP | 3632046 | USD | 4901922 | 7069 |
| 06/23/2025 | BCLY | HKD | 125510346 | USD | 16103495 | 64432 |
| 08/19/2025 | CITI | HUF | 190000000 | USD | 532804 | 715 |
| 07/15/2025 | GS | IDR | 6600000000 | USD | 404759 | 1940 |
| 07/15/2025 | CITI | IDR | 12326200000 | USD | 752806 | 499 |
| 07/14/2025 | BCLY | JPY | 502000000 | USD | 3505294 | 440 |
| 07/14/2025 | UBSA | KRW | 1232050917 | USD | 901163 | 7037 |
| 06/03/2025 | JPM | MXN | 69942366 | USD | 3613405 | 7385 |
| 06/03/2025 | MSCI | MXN | 157821079 | USD | 8156887 | 20102 |
| 06/03/2025 | BCLY | MXN | 157821079 | USD | 8158363 | 21578 |
| 07/15/2025 | CITI | MXN | 11400000 | USD | 584912 | 214 |
| 07/15/2025 | SSB | PHP | 17500000 | USD | 313315 | 7 |
| 07/15/2025 | GS | PHP | 15500000 | USD | 277549 | 48 |
| 08/20/2025 | CITI | PLN | 1500000 | USD | 401228 | 1136 |
| 06/23/2025 | GS | RON | 2741896 | USD | 623789 | 9883 |
| 06/12/2025 | CITI | SEK | 13600000 | USD | 1431323 | 11970 |
| 06/20/2025 | CITI | THB | 26700000 | USD | 816841 | 2566 |
| 06/27/2025 | MSCI | USD | 4479894 | AUD | 7086872 | 89874 |
| 06/27/2025 | BOA | USD | 1272638 | AUD | 1980495 | 4427 |
| 06/27/2025 | SSB | USD | 2525792 | AUD | 3943896 | 17317 |
| 08/12/2025 | SSB | USD | 1532259 | AUD | 2390000 | 10056 |
| 07/31/2025 | UBSA | USD | 8827605 | AUD | 13712507 | 19336 |
| 08/12/2025 | CITI | USD | 1465417 | AUD | 2280000 | 5913 |
| 06/03/2025 | BCLY | USD | 9633310 | BRL | 55751334 | 114279 |
| 06/03/2025 | JPM | USD | 23334392 | BRL | 134940453 | 258659 |
| 06/03/2025 | BOA | USD | 18050808 | CAD | 25731670 | 700192 |
| 06/13/2025 | MSCI | USD | 2696404 | CAD | 3820000 | 88663 |
| 06/13/2025 | BCLY | USD | 2038793 | CAD | 2820000 | 17198 |
| 06/03/2025 | JPM | USD | 2449825 | CAD | 3384274 | 16339 |
| 07/31/2025 | BOA | USD | 13037743 | CAD | 17980368 | 102966 |
| 08/15/2025 | MSCI | USD | 12275283 | COP | 52216600000 | 186689 |
| 08/15/2025 | GS | USD | 1326570 | COP | 5600000000 | 9921 |
| 07/15/2025 | BBH | USD | 308155 | CZK | 6800000 | 2051 |
| 07/15/2025 | BCLY | USD | 9397939 | CZK | 207800000 | 81617 |
| 07/14/2025 | JPM | USD | 784492 | EGP | 43100000 | 66191 |
| 08/07/2025 | CITI | USD | 887965 | EGP | 47000000 | 28831 |
| 08/14/2025 | MSCI | USD | 2688394 | EUR | 2380000 | 26817 |
| 07/15/2025 | JPM | USD | 3031166 | GBP | 2310000 | 81794 |
| 07/15/2025 | MSCI | USD | 3614461 | GBP | 2720000 | 51015 |
| 07/15/2025 | BCLY | USD | 1562181 | GBP | 1160000 | 1037 |
| 08/19/2025 | GS | USD | 2158642 | HUF | 779520539 | 24381 |
| 07/15/2025 | JPM | USD | 9293200 | IDR | 155196443000 | 178932 |
| 08/12/2025 | GS | USD | 607457 | ILS | 2150000 | 5157 |
| 08/12/2025 | DB | USD | 693488 | ILS | 2450000 | 4607 |
| 06/26/2025 | SSB | USD | 1622126 | INR | 140000000 | 12242 |
| 07/14/2025 | DB | USD | 23403659 | JPY | 3353915155 | 12643 |
| 07/14/2025 | MSCI | USD | 1709777 | JPY | 245000000 | 760 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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>($)** |
| 07/14/2025 | BCLY | USD | 2590844 | JPY | 376000000 | 34305 |
| 07/14/2025 | MSCI | USD | 4616202 | KRW | 6398725499 | 27496 |
| 06/03/2025 | BCLY | USD | 9532374 | MXN | 192792262 | 407421 |
| 06/03/2025 | MSCI | USD | 9534420 | MXN | 192792262 | 405375 |
| 07/15/2025 | MSCI | USD | 2648954 | MXN | 54518725 | 147275 |
| 07/15/2025 | SSB | USD | 770171 | MXN | 15400000 | 19685 |
| 07/15/2025 | CITI | USD | 1357846 | MXN | 26900000 | 21836 |
| 07/15/2025 | BCLY | USD | 25013164 | NOK | 266527768 | 1096778 |
| 08/14/2025 | DB | USD | 2761898 | NZD | 4660000 | 29427 |
| 07/08/2025 | JPM | USD | 14254078 | PEN | 52780000 | 320635 |
| 07/08/2025 | CITI | USD | 318943 | PEN | 1200000 | 12426 |
| 07/15/2025 | SSB | USD | 911109 | PHP | 51000000 | 1959 |
| 06/23/2025 | CITI | USD | 1667250 | RON | 7550000 | 23182 |
| 06/12/2025 | BOA | USD | 12569074 | SEK | 126255521 | 607481 |
| 06/12/2025 | CITI | USD | 1739533 | SEK | 17300000 | 65967 |
| 06/12/2025 | GS | USD | 2347198 | SEK | 22500000 | 996 |
| 06/20/2025 | JPM | USD | 9125767 | THB | 304047749 | 146838 |
| 07/03/2025 | BCLY | USD | 5266187 | TRY | 219200000 | 146613 |
| 06/27/2025 | MSCI | USD | 8910954 | ZAR | 165000000 | 248395 |
| 06/27/2025 | SSB | USD | 313207 | ZAR | 5800000 | 8758 |
| 06/24/2025 | JPM | USD | 990723 | ZAR | 18597039 | 41849 |
| 06/27/2025 | CITI | USD | 1015321 | ZAR | 18400000 | 6085 |
| 08/12/2025 | SSB | AUD | 2390000 | USD | 1535441 | (6875) |
| 06/03/2025 | GS | BRL | 3150000 | USD | 540534 | (10213) |
| 06/03/2025 | CITI | BRL | 3950000 | USD | 672358 | (18262) |
| 08/04/2025 | CITI | BRL | 5400000 | USD | 928458 | (2224) |
| 06/13/2025 | MSCI | CAD | 5400000 | USD | 3764731 | (172275) |
| 06/13/2025 | CITI | CAD | 8650000 | USD | 6108831 | (197669) |
| 06/03/2025 | BOA | CAD | 23384264 | USD | 16900921 | (139494) |
| 06/13/2025 | SSB | CAD | 4000000 | USD | 2891118 | (25182) |
| 06/03/2025 | MSCI | CAD | 1321902 | USD | 956871 | (6416) |
| 06/13/2025 | BOA | CAD | 1970000 | USD | 1430970 | (5308) |
| 06/03/2025 | BCLY | CAD | 4409777 | USD | 3168660 | (44801) |
| 08/15/2025 | SSB | CAD | 49975 | USD | 35922 | (629) |
| 08/15/2025 | MSCI | CAD | 7685548 | USD | 5563154 | (57994) |
| 07/15/2025 | SSB | CHF | 1640000 | USD | 2002944 | (210) |
| 08/04/2025 | BCLY | CHF | 49219519 | USD | 59963657 | (307626) |
| 08/15/2025 | CITI | COP | 4683900000 | USD | 1114741 | (3114) |
| 07/15/2025 | CITI | CZK | 31500000 | USD | 1428601 | (8387) |
| 07/15/2025 | SSB | CZK | 10800000 | USD | 485921 | (6760) |
| 07/14/2025 | JPM | EGP | 12100000 | USD | 238471 | (352) |
| 08/12/2025 | CITI | EUR | 24239611 | USD | 27564975 | (84916) |
| 08/14/2025 | BCLY | EUR | 7280000 | USD | 8142164 | (163188) |
| 07/30/2025 | CITI | EUR | 906000 | USD | 1022837 | (9724) |
| 07/30/2025 | MSCI | EUR | 654000 | USD | 737579 | (7779) |
| 07/31/2025 | BCLY | EUR | 39857454 | USD | 45267824 | (160423) |
| 07/15/2025 | SSB | GBP | 990000 | USD | 1308867 | (25258) |
| 07/15/2025 | MSCI | GBP | 2000000 | USD | 2675198 | (20005) |
| 07/15/2025 | JPM | GBP | 2180000 | USD | 2908110 | (29661) |
| 08/19/2025 | SSB | HUF | 125000000 | USD | 347204 | (2854) |
| 07/15/2025 | GS | IDR | 5800000000 | USD | 350284 | (3709) |
| 08/12/2025 | MSCI | ILS | 1067605 | USD | 299031 | (5168) |
| 08/12/2025 | CITI | ILS | 2800000 | USD | 789513 | (8309) |
| 06/26/2025 | CITI | INR | 305000000 | USD | 3535715 | (24874) |
| 06/30/2025 | BBH | JPY | 2000000000 | USD | 13891880 | (49640) |
| 07/14/2025 | MSCI | JPY | 254000000 | USD | 1761555 | (11817) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 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>($)** |
| 07/31/2025 | SSB | JPY | 1638913786 | USD | 11436611 | (27868) |
| 08/18/2025 | MSCI | KRW | 761169825 | USD | 538542 | (15199) |
| 07/15/2025 | CITI | NOK | 73200000 | USD | 7041258 | (129655) |
| 07/15/2025 | DB | NOK | 12600000 | USD | 1215542 | (18795) |
| 08/14/2025 | SSB | NZD | 9890000 | USD | 5833698 | (90381) |
| 07/31/2025 | SSB | NZD | 4193771 | USD | 2492325 | (18498) |
| 07/08/2025 | JPM | PEN | 500000 | USD | 132521 | (5550) |
| 07/08/2025 | GS | PEN | 5440000 | USD | 1494759 | (7447) |
| 07/08/2025 | CITI | PEN | 1720000 | USD | 467927 | (7035) |
| 07/08/2025 | MSCI | PEN | 1160000 | USD | 317758 | (2566) |
| 08/20/2025 | SSB | PLN | 1250000 | USD | 329249 | (4161) |
| 08/20/2025 | GS | PLN | 3800000 | USD | 996072 | (17494) |
| 08/20/2025 | MSCI | PLN | 1350000 | USD | 356182 | (3901) |
| 06/12/2025 | CITI | SEK | 81600000 | USD | 8240534 | (275582) |
| 07/21/2025 | BOA | SEK | 163904703 | USD | 16933952 | (213379) |
| 06/12/2025 | GS | SEK | 30300000 | USD | 3153857 | (8378) |
| 07/22/2025 | BOA | SGD | 4580000 | USD | 3509256 | (52758) |
| 07/22/2025 | BBH | SGD | 1070000 | USD | 821413 | (10761) |
| 06/20/2025 | MSCI | THB | 16500000 | USD | 500535 | (2668) |
| 06/20/2025 | CITI | THB | 21700000 | USD | 661147 | (642) |
| 07/03/2025 | BCLY | TRY | 22000000 | USD | 541739 | (1517) |
| 07/15/2025 | SSB | TWD | 11443349 | USD | 380582 | (6253) |
| 06/27/2025 | GS | USD | 570893 | AUD | 880837 | (2911) |
| 06/03/2025 | CITI | USD | 509876 | BRL | 2900000 | (2839) |
| 06/03/2025 | BCLY | USD | 812864 | BRL | 4600000 | (8598) |
| 06/03/2025 | GS | USD | 431880 | BRL | 2450000 | (3521) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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>($)** |
| 08/04/2025 | BCLY | USD | 9661439 | BRL | 55751334 | (52785) |
| 08/04/2025 | JPM | USD | 23961057 | BRL | 137790453 | (213090) |
| 08/18/2025 | MSCI | USD | 7809328 | CLP | 7347796500 | (43770) |
| 08/18/2025 | GS | USD | 340456 | CLP | 320000000 | (2262) |
| 08/15/2025 | CITI | USD | 506957 | COP | 2120000000 | (999) |
| 07/15/2025 | CITI | USD | 476099 | CZK | 10400000 | (1664) |
| 07/30/2025 | CITI | USD | 285922 | EUR | 250000 | (999) |
| 07/15/2025 | MSCI | USD | 1883721 | GBP | 1390000 | (10555) |
| 06/26/2025 | MSCI | USD | 339007 | INR | 29000000 | (459) |
| 06/26/2025 | CITI | USD | 390549 | INR | 33000000 | (5305) |
| 08/18/2025 | SSB | USD | 608518 | KRW | 830000000 | (4704) |
| 07/15/2025 | MSCI | USD | 411982 | MXN | 8000000 | (1668) |
| 07/15/2025 | SSB | USD | 755048 | MXN | 14600000 | (6224) |
| 08/04/2025 | MSCI | USD | 8095755 | MXN | 157821079 | (19885) |
| 08/04/2025 | BCLY | USD | 8097292 | MXN | 157821079 | (21422) |
| 07/28/2025 | UBSA | USD | 51003342 | NOK | 519185965 | (143130) |
| 06/23/2025 | BBH | USD | 528488 | RON | 2300000 | (13522) |
| 06/23/2025 | CITI | USD | 325235 | RON | 1450000 | (582) |
| 07/15/2025 | SSB | USD | 325269 | TWD | 9600000 | (747) |
| 06/27/2025 | SSB | USD | 815150 | ZAR | 14600000 | (4686) |
| 06/27/2025 | SSB | ZAR | 15000000 | USD | 774666 | (58002) |
| 06/27/2025 | BBH | ZAR | 15200000 | USD | 814058 | (29713) |
| 06/27/2025 | GS | ZAR | 21200000 | USD | 1156020 | (20817) |
| 06/27/2025 | CITI | ZAR | 14500000 | USD | 801450 | (3462) |
|  |  |  |  |  |  | $3364442 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 132 | Australia Government Bond 10 Yr. | June 2025 | 9711545 | 119063 |
| 158 | CAC40 10 Euro | June 2025 | 13902053 | (75452) |
| 326 | Cotton<sup>(i)</sup> | July 2025 | 10604780 | (278062) |
| 165 | Euro Bund | June 2025 | 24582098 | 269023 |
| 28 | Euro Bund | September 2025 | 4165467 | 2978 |
| 20 | FTSE MIB Index | June 2025 | 4563017 | 539890 |
| 193 | FTSE Taiwan Index | June 2025 | 13351084 | (460205) |
| 19 | Gold<sup>(i)</sup> | August 2025 | 6299260 | 6354 |
| 21 | Hang Seng Index | June 2025 | 3092736 | (16085) |
| 796 | Iron Ore<sup>(i)</sup> | July 2025 | 7612944 | (161501) |
| 238 | KOSPI 200 Index | June 2025 | 15529427 | 851022 |
| 177 | Lean Hogs<sup>(i)</sup> | July 2025 | 7428690 | 249664 |
| 92 | Montreal Exchange 10 Yr. Canadian Bonds | September 2025 | 8199453 | 61611 |
| 12 | Natural Gas<sup>(i)</sup> | June 2025 | 413640 | (4222) |
| 86 | NYMEX Platinum Futures<sup>(i)</sup> | July 2025 | 4536070 | 269794 |
| 7 | RBOB Gasoline<sup>(i)</sup> | June 2025 | 592439 | 16334 |
| 190 | Soybean Meal<sup>(i)</sup> | July 2025 | 5629700 | (71510) |
| 277 | Sugar<sup>(i)</sup> | June 2025 | 5289592 | (336850) |
| 5 | Swiss Market New Index Futures | June 2025 | 743787 | (8433) |
| 151 | TOPIX Index | June 2025 | 29159673 | 1422739 |
| 1 | U.S. Ultra Bond (CBT) | September 2025 | 116063 | 819 |
| 55 | UK Gilt Long Bond | September 2025 | 6779054 | 42000 |
|  |  |  | $182302572 | $2438971 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Sales |  |  |  |  |
| 43 | E-mini Technology Select Sector Futures | June 2025 | 10022010 | (907117) |
| 109 | CBOE Volatility Index<sup>(i)</sup> | June 2025 | 2182387 | (44978) |
| 53 | Cocoa<sup>(i)</sup> | July 2025 | 5189230 | (801908) |
| 92 | Coffee<sup>(i)</sup> | July 2025 | 11814525 | 240973 |
| 85 | Copper<sup>(i)</sup> | July 2025 | 9939688 | (406766) |
| 44 | DAX Index | June 2025 | 30071790 | (1587688) |
| 277 | E-mini Russell 2000 Index | June 2025 | 28645955 | (711543) |
| 34 | FTSE 100 Index | June 2025 | 4031681 | (98948) |
| 415 | IFSC NIFTY 50 Index | June 2025 | 20654744 | 61652 |
| 112 | Live Cattle Futures<sup>(i)</sup> | August 2025 | 9378880 | 50232 |
| 483 | MSCI Singapore | June 2025 | 15341541 | 78601 |
| 295 | OMX Stockholm 30 Index | June 2025 | 7675292 | 117968 |
| 7 | S&P 500 E-Mini | June 2025 | 2070600 | 4080 |
| 71 | S&P/TSX | June 2025 | 16224433 | (1184246) |
| 5 | Silver<sup>(i)</sup> | July 2025 | 825725 | (66334) |
| 57 | Soybean<sup>(i)</sup> | July 2025 | 2968988 | 55039 |
| 547 | Soybean Oil<sup>(i)</sup> | July 2025 | 15389298 | 320086 |
| 160 | SPI 200 Futures | June 2025 | 21805524 | (1152933) |
| 24 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 2701125 | (10132) |
| 87 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 18047063 | (20340) |
| 71 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 7681313 | (36285) |
| 277 | WCE Canola Futures<sup>(i)</sup> | July 2025 | 2870619 | (233226) |
| 153 | Wheat<sup>(i)</sup> | July 2025 | 4085100 | 129838 |
| 3 | WTI Crude<sup>(i)</sup> | June 2025 | 182370 | (3118) |
|  |  |  | $249799881 | $(6207093) |

---

+ 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)** 

**May 31, 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** |  |  |  |  |  |  |
|  Dick's Sporting Goods, Inc. | 210.00 | 09/19/25 | (194) | USD | (3479196) | (110580) |
|  Howard Hughes Holdings, Inc.<sup>(d)</sup> | 65.00 | 10/17/25 | (80) | USD | (546480) | (70400) |
|  Omnicom Group, Inc.<sup>(d)</sup> | 75.00 | 10/17/25 | (145) | USD | (1064880) | (63800) |
|  Rentokil Initial PLC<sup>(d)</sup> | 22.50 | 11/21/25 | (349) | USD | (829573) | (118660) |
|  Rentokil Initial PLC<sup>(d)</sup> | 25.00 | 11/21/25 | (114) | USD | (270978) | (23370) |
|  TFI International, Inc.<sup>(d)</sup> | 80.00 | 11/21/25 | (101) | USD | (868903) | (147460) |
|  TFI International, Inc.<sup>(d)</sup> | 85.00 | 11/21/25 | (31) | USD | (266693) | (36580) |
|  AZEK Co., Inc.<sup>(d)</sup> | 50.00 | 12/19/25 | (968) | USD | (4792568) | (629200) |
|  Globus Medical, Inc.<sup>(d)</sup> | 70.00 | 12/19/25 | (113) | USD | (668734) | (31640) |
|  Globus Medical, Inc.<sup>(d)</sup> | 60.00 | 12/19/25 | (46) | USD | (272228) | (37720) |
|  Liberty Broadband Corp.<sup>(d)</sup> | 75.00 | 12/19/25 | (240) | USD | (2251200) | (573600) |
|  Middleby Corp.<sup>(d)</sup> | 125.00 | 12/19/25 | (83) | USD | (1212879) | (265600) |
|  WillScot Holdings Corp.<sup>(d)</sup> | 25.00 | 12/19/25 | (3232) | USD | (8710240) | (1939200) |
|  Albertsons Cos., Inc.<sup>(d)</sup> | 22.00 | 01/16/26 | (824) | USD | (1831752) | (174688) |
|  Alphabet, Inc.<sup>(d)</sup> | 150.00 | 01/16/26 | (52) | USD | (893048) | (169520) |
|  Becton Dickinson & Co.<sup>(d)</sup> | 210.00 | 01/16/26 | (40) | USD | (690360) | (18400) |
|  Becton Dickinson & Co.<sup>(d)</sup> | 175.00 | 01/16/26 | (16) | USD | (276144) | (24000) |
|  Capri Holdings Ltd.<sup>(d)</sup> | 15.00 | 01/16/26 | (380) | USD | (688560) | (197600) |
|  ConocoPhillips<sup>(d)</sup> | 85.00 | 01/16/26 | (32) | USD | (273120) | (31680) |
|  DuPont de Nemours, Inc.<sup>(d)</sup> | 65.00 | 01/16/26 | (170) | USD | (1135600) | (164900) |
|  Hess Corp.<sup>(d)</sup> | 130.00 | 01/16/26 | (142) | USD | (1877098) | (228620) |
|  Hewlett Packard Enterprise Co.<sup>(d)</sup> | 15.00 | 01/16/26 | (520) | USD | (898560) | (192400) |
|  Hewlett Packard Enterprise Co.<sup>(d)</sup> | 18.00 | 01/16/26 | (154) | USD | (266112) | (32186) |
|  Humana, Inc.<sup>(d)</sup> | 270.00 | 01/16/26 | (31) | USD | (722703) | (62930) |
|  Humana, Inc.<sup>(d)</sup> | 230.00 | 01/16/26 | (12) | USD | (279756) | (47040) |
|  International Paper Co.<sup>(d)</sup> | 50.00 | 01/16/26 | (285) | USD | (1362585) | (133950) |
|  Kraft Heinz Co.<sup>(d)</sup> | 27.50 | 01/16/26 | (102) | USD | (272646) | (19278) |
|  Meta Platforms, Inc.<sup>(d)</sup> | 500.00 | 01/16/26 | (16) | USD | (1035984) | (286960) |
|  Mr. Cooper Group, Inc.<sup>(d)</sup> | 110.00 | 01/16/26 | (70) | USD | (906710) | (240800) |
|  Mr. Cooper Group, Inc.<sup>(d)</sup> | 130.00 | 01/16/26 | (670) | USD | (8678510) | (1621400) |
|  Norfolk Southern Corp.<sup>(d)</sup> | 230.00 | 01/16/26 | (36) | USD | (889632) | (127080) |
|  Norfolk Southern Corp.<sup>(d)</sup> | 250.00 | 01/16/26 | (11) | USD | (271832) | (24970) |
|  Penn Entertainment, Inc.<sup>(d)</sup> | 15.00 | 01/16/26 | (354) | USD | (524982) | (109740) |
|  Penn Entertainment, Inc.<sup>(d)</sup> | 16.00 | 01/16/26 | (177) | USD | (262491) | (38409) |
|  Rocket Cos., Inc.<sup>(d)</sup> | 13.00 | 01/16/26 | (419) | USD | (534225) | (77934) |
|  Silicon Motion Technology Corp.<sup>(d)</sup> | 55.00 | 01/16/26 | (161) | USD | (985320) | (231840) |
|  United Rentals, Inc.<sup>(d)</sup> | 720.00 | 01/16/26 | (4) | USD | (283352) | (34640) |
|  WillScot Holdings Corp.<sup>(d)</sup> | 22.50 | 01/16/26 | (820) | USD | (2209900) | (574000) |
|  | Total Equity Options – Calls | Total Equity Options – Calls | Total Equity Options – Calls | Total Equity Options – Calls | Total Equity Options – Calls | (8912775) |
|  **Index Options – Puts** | **Index Options – Puts** | **Index Options – Puts** | **Index Options – Puts** | **Index Options – Puts** | **Index Options – Puts** | **Index Options – Puts** |
|  S&P 500 Index | 5690.00 | 06/04/25 | (18) | USD | (10641042) | (3150) |
|  S&P 500 Index | 5680.00 | 06/04/25 | (20) | USD | (11823380) | (3000) |
|  S&P 500 Index | 5670.00 | 06/04/25 | (21) | USD | (12414549) | (2583) |
|  S&P 500 Index | 5695.00 | 06/04/25 | (17) | USD | (10049873) | (3145) |
|  S&P 500 Index | 5685.00 | 06/04/25 | (19) | USD | (11232211) | (3040) |
|  S&P 500 Index | 5675.00 | 06/04/25 | (20) | USD | (11823380) | (2760) |
|  S&P 500 Index | 5280.00 | 06/06/25 | (15) | USD | (8867535) | (375) |
|  S&P 500 Index | 5720.00 | 06/06/25 | (12) | USD | (7094028) | (7910) |
|  S&P 500 Index | 5705.00 | 06/06/25 | (13) | USD | (7685197) | (7139) |
|  S&P 500 Index | 5715.00 | 06/06/25 | (12) | USD | (7094028) | (7430) |
|  S&P 500 Index | 5730.00 | 06/06/25 | (11) | USD | (6502859) | (8241) |
|  S&P 500 Index | 5725.00 | 06/06/25 | (12) | USD | (7094028) | (8390) |
|  S&P 500 Index | 5710.00 | 06/06/25 | (13) | USD | (7685197) | (7529) |
|  S&P 500 Index | 5500.00 | 06/13/25 | (11) | USD | (6502859) | (6490) |
|  S&P 500 Index | 5685.00 | 06/20/25 | (10) | USD | (5911690) | (30300) |
|  S&P 500 Index | 5660.00 | 06/27/25 | (10) | USD | (5911690) | (37400) |
|  S&P 500 Index | 5800.00 | 07/03/25 | (10) | USD | (5911690) | (71800) |
|  S&P 500 Index | 5950.00 | 07/11/25 | (10) | USD | (5911690) | (132900) |
|  S&P 500 Index | 5910.00 | 07/18/25 | (10) | USD | (5911690) | (126812) |
|  | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | (470394) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 2025 (Unaudited)** 

**Written Options — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Rate** | **Expiration<br>Date** | **Principal/**<br>**Notional**<br>**Amount** | **Principal/**<br>**Notional**<br>**Amount** | **Floating<br>Rate Index** | **Pay/**<br> **Receive<br>Floating Rate** | **Value ($)** |
|  **Written Options on Credit Default Swaps - Puts** | **Written Options on Credit Default Swaps - Puts** | **Written Options on Credit Default Swaps - Puts** |  |  |  |  |  |  |
|  CDX.NA.IG.S43 | GS | 0.70% | 06/18/25 | USD | (6050000) | Fixed Spread | Pay | (793) |
|  CDX.NA.HY.S44 | GS | 1.03% | 07/16/25 | USD | (42470000) | Fixed Spread | Pay | (133088) |
|  CDX.NA.HY.S44 | GS | 1.04% | 06/18/25 | USD | (42470000) | Fixed Spread | Pay | (65966) |
|  |  |  | 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 | Total Written Option on Credit Default Swaps - Puts | (199847) |
|  |  |  | TOTAL WRITTEN OPTIONS<br>(Premiums $8,614,054) | TOTAL WRITTEN OPTIONS<br>(Premiums $8,614,054) | TOTAL WRITTEN OPTIONS<br>(Premiums $8,614,054) | TOTAL WRITTEN OPTIONS<br>(Premiums $8,614,054) |  | $(9583016) |

---

**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^:** |
|  ITRAXX.XO.42 | EUR | 13024044 | 5.00% | 2.87% | N/A | 12/20/2029 | Quarterly | (1138852) | (1252187) | (113335) |
|  ITRAXX.EUR.42 | EUR | 60000000 | 1.00% | 0.54% | N/A | 12/20/2029 | Quarterly | (1121256) | (1361791) | (240535) |
|  CDX.NA.HY.S44 | USD | 16261000 | 5.00% | 3.51% | N/A | 06/20/2030 | Quarterly | (795133) | (1002312) | (207179) |
|  CDX.NA.IG.44 | USD | 34583000 | 1.00% | 0.56% | N/A | 06/20/2030 | Quarterly | (494227) | (692767) | (198540) |
|  **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** |
|  ITRAXX.EUR.43 | EUR | 25561000 | 1.00% | 0.58% | 25,561,000 EUR | 06/20/2030 | Quarterly | 592884 | 583658 | (9226) |
|  ITRAXX.XO.43 | EUR | 6737000 | 5.00% | 3.00% | 6,737,000 EUR | 06/20/2030 | Quarterly | 658035 | 660644 | 2609 |
|  |  |  |  |  |  |  |  | $(2298549) | $(3064755) | $(766206) |

---

**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^:** |
|  CMBX.NA.BBB-.18 | GS | USD | 10000000 | 3.00% | 5.26% | N/A | 12/17/2057 | Monthly | 775950 | 791281 | 15331 |
|  CMBX.NA.A.15 | CGMI | USD | 2222000 | 2.00% | 3.18% | N/A | 11/18/2064 | Monthly | 266640 | 128800 | (137840) |
|  CMBX.NA.A.15 | MSCI | USD | 2222500 | 2.00% | 3.18% | N/A | 11/18/2064 | Monthly | 134225 | 128829 | (5396) |
|  **Sell Protection^:** | **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.43 | GS | USD | 3750000 | 5.00% | 1.66% | 3,750,000 USD | 12/20/2029 | Quarterly | 353771 | 521518 | 167747 |
|  CDX.NA.HY.43 | GS | USD | 3750000 | 5.00% | 3.94% | 3,750,000 USD | 12/20/2029 | Quarterly | (198229) | 160882 | 359111 |
|  ITRAXX.EUR.42 | BOA | EUR | 100000000 | 1.00% | 0.25% | 100,000,000 EUR | 12/20/2029 | Quarterly | 3480791 | 3717100 | 236309 |
|  ITRAXX.XO.42 | CGMI | EUR | 11110000 | 5.00% | 0.59% | 11,110,000 EUR | 12/20/2029 | Quarterly | 2219796 | 2302124 | 82328 |
|  ITRAXX.XO.42 | CITI | EUR | 10000000 | 5.00% | 0.59% | 10,000,000 EUR | 12/20/2029 | Quarterly | 1939631 | 2072118 | 132487 |
|  ITRAXX.XO.42 | JPM | EUR | 8771496 | 5.00% | 0.59% | 8,771,496 EUR | 12/20/2029 | Quarterly | 1857647 | 1817558 | (40089) |
|  CMBX.NA.AAA.10 | GS | USD | 4610000 | 0.50% | 0.25% | 4,610,000 USD | 11/17/2059 | Monthly | 42163 | 14457 | (27706) |
|  CMBX.NA.AAA.15 | CGMI | USD | 4445000 | 0.50% | 0.62% | 4,445,000 USD | 11/18/2064 | Monthly | (165846) | (27666) | 138180 |
|  CMBX.NA.AAA.15 | GS | USD | 1730000 | 0.50% | 0.62% | 1,730,000 USD | 11/18/2064 | Monthly | (26617) | (10768) | 15849 |
|  CMBX.NA.AAA.15 | MSCI | USD | 4445000 | 0.50% | 0.62% | 4,445,000 USD | 11/18/2064 | Monthly | (64209) | (27666) | 36543 |
|  |  |  |  |  |  |  |  |  | $10615713 | $11588567 | $972854 |

---

---

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

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 2025 (Unaudited)** 

**Swap Contracts — continued** 

**OTC Credit Default Swaps — continued** 

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 May 31, 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) ($)** |
|  3.18% | 3 Month AUD BBSW | AUD | 105500000 | 06/18/2027 | Quarterly | 11095 | 55258 | 44163 |
|  3 Month AUD BBSW | 3.16% | AUD | 18500000 | 06/18/2027 | Quarterly |  | (13131) | (13131) |
|  3 Month AUD BBSW | 3.20% | AUD | 22500000 | 06/18/2027 | Quarterly |  | (4391) | (4391) |
|  3 Month AUD BBSW | 3.25% | AUD | 14000000 | 06/18/2027 | Quarterly |  | 6122 | 6122 |
|  CAD-CORRA-OIS-COMPOUND  | 2.29% | CAD | 81000000 | 06/18/2027 | Annually | 75240 | (170788) | (246028) |
|  CAD-CORRA-OIS-COMPOUND  | 2.36% | CAD | 9500000 | 06/18/2027 | Annually |  | (11234) | (11234) |
|  CAD-CORRA-OIS-COMPOUND  | 2.39% | CAD | 14500000 | 06/18/2027 | Annually |  | (9869) | (9869) |
|  2.37% | CAD-CORRA-OIS-COMPOUND | CAD | 17000000 | 06/18/2027 | Annually |  | 16737 | 16737 |
|  2.42% | CAD-CORRA-OIS-COMPOUND | CAD | 11000000 | 06/18/2027 | Annually |  | 3832 | 3832 |
|  2.41% | CAD-CORRA-OIS-COMPOUND | CAD | 15000000 | 06/18/2027 | Annually |  | 6816 | 6816 |
|  CHF-SARON-OIS-COMPOUND  | 0.14% | CHF | 125000000 | 06/18/2027 | Annually | (178686) | 1270088 | 1448774 |
|  CHF-SARON-OIS-COMPOUND  | 0.25% | CHF | 6000000 | 06/18/2027 | Annually |  | 77410 | 77410 |
|  (0.05)% | CHF-SARON-OIS-COMPOUND | CHF | 10000000 | 06/18/2027 | Annually |  | (54725) | (54725) |
|  (0.10)% | CHF-SARON-OIS-COMPOUND | CHF | 6000000 | 06/18/2027 | Annually |  | (25021) | (25021) |
|  (0.19)% | CHF-SARON-OIS-COMPOUND | CHF | 12500000 | 06/18/2027 | Annually |  | (23447) | (23447) |
|  (0.29)% | CHF-SARON-OIS-COMPOUND | CHF | 10000000 | 06/18/2027 | Annually |  | 4560 | 4560 |
|  EUR-EuroSTR-COMPOUND | 1.65% | EUR | 11000000 | 06/18/2027 | Annually |  | (10130) | (10130) |
|  EUR-EuroSTR-COMPOUND | 1.70% | EUR | 9500000 | 06/18/2027 | Annually |  | 515 | 515 |
|  EUR-EuroSTR-COMPOUND | 1.79% | EUR | 8000000 | 06/18/2027 | Annually |  | 17024 | 17024 |
|  GBP-SONIA-COMPOUND | 3.63% | GBP | 8000000 | 06/18/2027 | Annually |  | (40291) | (40291) |
|  3.93% | GBP-SONIA-COMPOUND | GBP | 47500000 | 06/18/2027 | Annually | (15349) | (125761) | (110412) |
|  3.81% | GBP-SONIA-COMPOUND | GBP | 9000000 | 06/18/2027 | Annually |  | 3262 | 3262 |
|  3 Month SEK STIBOR | 2.13% | SEK | 80000000 | 06/18/2027 | Quarterly |  | 7793 | 7793 |
|  3 Month SEK STIBOR | 2.23% | SEK | 190000000 | 06/18/2027 | Quarterly | (41216) | 56425 | 97641 |
|  3 Month SEK STIBOR | 2.52% | SEK | 115000000 | 06/18/2027 | Quarterly |  | 103582 | 103582 |
|  2.18% | 3 Month SEK STIBOR | SEK | 240000000 | 06/18/2027 | Quarterly |  | (48420) | (48420) |
|  2.11% | 3 Month SEK STIBOR | SEK | 125000000 | 06/18/2027 | Quarterly |  | (7238) | (7238) |
|  2.10% | 3 Month SEK STIBOR | SEK | 135000000 | 06/18/2027 | Quarterly | (1679) | (5902) | (4223) |
|  3.51% | USD-SOFR-OIS-COMPOUND | USD | 12500000 | 06/18/2027 | Annually |  | 36626 | 36626 |
|  BRL-CDI | 14.0% | BRL | 30240212 | 01/02/2029 | At Maturity | (76389) | 113259 | 189648 |
|  MXN-TIIE ON-OIS COMPOUND | 7.74% | MXN | 34100000 | 06/12/2030 | Monthly |  | 1412 | 1412 |
|  MXN-TIIE ON-OIS COMPOUND | 7.87% | MXN | 29300000 | 06/12/2030 | Monthly |  | 9186 | 9186 |
|  MXN-TIIE ON-OIS COMPOUND | 8.22% | MXN | 41000000 | 06/12/2030 | Monthly | 6120 | 43204 | 37084 |
|  5.09% | CL-CLICP-Bloomberg | CLP | 1010000000 | 06/18/2030 | Semi-Annually |  | (20634) | (20634) |
|  CNY-CNREPOFIX=CFXS-Reuters | 1.44% | CNY | 6400000 | 06/18/2030 | Quarterly |  | (1857) | (1857) |
|  1.57% | CNY-CNREPOFIX=CFXS-Reuters | CNY | 64500000 | 06/18/2030 | Quarterly | 6490 | (39068) | (45558) |
|  COP-IBR-OIS-COMPOUND | 8.25% | COP | 25200000000 | 06/18/2030 | Quarterly | 16731 | (61767) | (78498) |
|  COP-IBR-OIS-COMPOUND | 8.70% | COP | 6640000000 | 06/18/2030 | Quarterly |  | 12588 | 12588 |
|  CZK-PRIBOR-PRBO | 3.44% | CZK | 28900000 | 06/18/2030 | Semi-Annually |  | 9078 | 9078 |
|  CZK-PRIBOR-PRBO | 3.50% | CZK | 68000000 | 06/18/2030 | Semi-Annually | (3923) | 28737 | 32660 |
|  CZK-PRIBOR-PRBO | 3.56% | CZK | 123500000 | 06/18/2030 | Semi-Annually | 29792 | 67954 | 38162 |
|  3.21% | CZK-PRIBOR-PRBO | CZK | 21900000 | 06/18/2030 | Semi-Annually |  | 3836 | 3836 |
|  HKD-HIBOR-HKAB | 2.96% | HKD | 8300000 | 06/18/2030 | Quarterly |  | 9315 | 9315 |
|  HKD-HIBOR-HKAB | 3.37% | HKD | 36000000 | 06/18/2030 | Quarterly | (16144) | 128542 | 144686 |
|  3.48% | HKD-HIBOR-HKAB | HKD | 10400000 | 06/18/2030 | Quarterly |  | (43570) | (43570) |
|  ILS-SHIR-OIS COMPOUND | 4.19% | ILS | 9700000 | 06/18/2030 | Annually | 22804 | 10170 | (12634) |
|  5.97% | INR-FBIL-MIBOR-OIS-COMPOUND | INR | 900000000 | 06/18/2030 | Semi-Annually | (26950) | (128506) | (101556) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 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 Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  KRW-CD-KSDA-Bloomberg | 2.33% | KRW | 3380000000 | 06/18/2030 | Quarterly |  | (8347) | (8347) |
|  KRW-CD-KSDA-Bloomberg | 2.41% | KRW | 1290000000 | 06/18/2030 | Quarterly |  | 244 | 244 |
|  KRW-CD-KSDA-Bloomberg | 2.62% | KRW | 2440000000 | 06/18/2030 | Quarterly |  | 18407 | 18407 |
|  2.52% | KRW-CD-KSDA-Bloomberg | KRW | 11500000000 | 06/18/2030 | Quarterly | 42297 | (46847) | (89144) |
|  4.78% | PLN-WIBOR-WIBO | PLN | 27200000 | 06/18/2030 | Semi-Annually | 29910 | (230853) | (260763) |
|  3.81% | PLN-WIBOR-WIBO | PLN | 4200000 | 06/18/2030 | Semi-Annually |  | 12458 | 12458 |
|  SGD-SORA-COMPOUND | 1.96% | SGD | 1820000 | 06/18/2030 | Semi-Annually |  | 2176 | 2176 |
|  SGD-SORA-COMPOUND | 2.26% | SGD | 1750000 | 06/18/2030 | Semi-Annually |  | 22106 | 22106 |
|  2.31% | SGD-SORA-COMPOUND | SGD | 10000000 | 06/18/2030 | Semi-Annually | 17706 | (143903) | (161609) |
|  2.30% | SGD-SORA-COMPOUND | SGD | 1900000 | 06/18/2030 | Semi-Annually |  | (26392) | (26392) |
|  2.01% | SGD-SORA-COMPOUND | SGD | 1460000 | 06/18/2030 | Semi-Annually |  | (4826) | (4826) |
|  1.75% | THB-THOR | THB | 199400000 | 06/18/2030 | Quarterly | 10361 | (102375) | (112736) |
|  1.68% | THB-THOR | THB | 33000000 | 06/18/2030 | Quarterly |  | (13803) | (13803) |
|  1.54% | THB-THOR | THB | 29000000 | 06/18/2030 | Quarterly |  | (5842) | (5842) |
|  1.40% | THB-THOR | THB | 33400000 | 06/18/2030 | Quarterly |  | (152) | (152) |
|  ZAR-JIBAR-SAFEX | 7.79% | ZAR | 204000000 | 06/18/2030 | Quarterly | 6667 | 172040 | 165373 |
|  6 Month AUD BBSW | 4.13% | AUD | 4900000 | 06/18/2035 | Semi-Annually |  | (1767) | (1767) |
|  6 Month AUD BBSW | 4.23% | AUD | 24700000 | 06/18/2035 | Semi-Annually | 10618 | 119807 | 109189 |
|  6 Month AUD BBSW | 4.32% | AUD | 5500000 | 06/18/2035 | Semi-Annually |  | 52999 | 52999 |
|  4.14% | 6 Month AUD BBSW | AUD | 4300000 | 06/18/2035 | Semi-Annually |  | 408 | 408 |
|  4.15% | 6 Month AUD BBSW | AUD | 5200000 | 06/18/2035 | Semi-Annually |  | (2410) | (2410) |
|  4.18% | 6 Month AUD BBSW | AUD | 3300000 | 06/18/2035 | Semi-Annually |  | (7057) | (7057) |
|  CAD-CORRA-OIS-COMPOUND  | 2.89% | CAD | 3900000 | 06/18/2035 | Annually |  | (11347) | (11347) |
|  CAD-CORRA-OIS-COMPOUND  | 2.91% | CAD | 4400000 | 06/18/2035 | Annually |  | (8761) | (8761) |
|  CAD-CORRA-OIS-COMPOUND  | 2.96% | CAD | 3400000 | 06/18/2035 | Annually |  | 4645 | 4645 |
|  CAD-CORRA-OIS-COMPOUND  | 2.98% | CAD | 2400000 | 06/18/2035 | Annually |  | 6091 | 6091 |
|  CAD-CORRA-OIS-COMPOUND  | 3.03% | CAD | 3200000 | 06/18/2035 | Annually |  | 18256 | 18256 |
|  2.62% | CAD-CORRA-OIS-COMPOUND | CAD | 18100000 | 06/18/2035 | Annually | (48846) | 362794 | 411640 |
|  2.84% | CAD-CORRA-OIS-COMPOUND | CAD | 3300000 | 06/18/2035 | Annually |  | 20576 | 20576 |
|  2.77% | CAD-CORRA-OIS-COMPOUND | CAD | 2100000 | 06/18/2035 | Annually |  | 23070 | 23070 |
|  2.93% | CAD-CORRA-OIS-COMPOUND | CAD | 4400000 | 06/18/2035 | Annually |  | 3465 | 3465 |
|  CHF-SARON-OIS-COMPOUND  | 0.37% | CHF | 2100000 | 06/18/2035 | Annually |  | (405) | (405) |
|  CHF-SARON-OIS-COMPOUND  | 0.50% | CHF | 4200000 | 06/18/2035 | Annually |  | 65434 | 65434 |
|  CHF-SARON-OIS-COMPOUND  | 0.51% | CHF | 1200000 | 06/18/2035 | Annually |  | 20403 | 20403 |
|  CHF-SARON-OIS-COMPOUND  | 0.53% | CHF | 2500000 | 06/18/2035 | Annually |  | 49155 | 49155 |
|  CHF-SARON-OIS-COMPOUND  | 0.59% | CHF | 2100000 | 06/18/2035 | Annually |  | 57397 | 57397 |
|  0.57% | CHF-SARON-OIS-COMPOUND | CHF | 25800000 | 06/18/2035 | Annually | 198181 | (631750) | (829931) |
|  0.56% | CHF-SARON-OIS-COMPOUND | CHF | 12440000 | 06/18/2035 | Annually | (18040) | (293839) | (275799) |
|  0.89% | CHF-SARON-OIS-COMPOUND | CHF | 4100000 | 06/18/2035 | Annually |  | (263458) | (263458) |
|  0.80% | CHF-SARON-OIS-COMPOUND | CHF | 1200000 | 06/18/2035 | Annually |  | (64195) | (64195) |
|  EUR-EuroSTR-COMPOUND | 2.44% | EUR | 6400000 | 06/18/2035 | Annually |  | 63738 | 63738 |
|  EUR-EuroSTR-COMPOUND | 2.47% | EUR | 1400000 | 06/18/2035 | Annually |  | 17959 | 17959 |
|  EUR-EuroSTR-COMPOUND | 2.56% | EUR | 3000000 | 06/18/2035 | Annually |  | 66764 | 66764 |
|  EUR-EuroSTR-COMPOUND | 2.65% | EUR | 4700000 | 06/18/2035 | Annually |  | 146735 | 146735 |
|  2.27% | EUR-EuroSTR-COMPOUND | EUR | 14040000 | 06/18/2035 | Annually | 9869 | 114085 | 104216 |
|  2.50% | EUR-EuroSTR-COMPOUND | EUR | 2100000 | 06/18/2035 | Annually |  | (32533) | (32533) |
|  2.31% | EUR-EuroSTR-COMPOUND | EUR | 2400000 | 06/18/2035 | Annually |  | 8313 | 8313 |
|  2.44% | EUR-EuroSTR-COMPOUND | EUR | 1700000 | 06/18/2035 | Annually |  | (16843) | (16843) |
|  2.38% | EUR-EuroSTR-COMPOUND | EUR | 2400000 | 06/18/2035 | Annually |  | (7180) | (7180) |
|  GBP-SONIA-COMPOUND | 3.87% | GBP | 3000000 | 06/18/2035 | Annually |  | (88571) | (88571) |
|  GBP-SONIA-COMPOUND | 3.98% | GBP | 10070000 | 06/18/2035 | Annually | 13777 | (176944) | (190721) |
|  GBP-SONIA-COMPOUND | 3.99% | GBP | 11000000 | 06/18/2035 | Annually | 676 | (184881) | (185557) |
|  GBP-SONIA-COMPOUND | 4.10% | GBP | 4600000 | 06/18/2035 | Annually |  | (20576) | (20576) |
|  GBP-SONIA-COMPOUND | 4.13% | GBP | 1900000 | 06/18/2035 | Annually |  | (1655) | (1655) |
|  GBP-SONIA-COMPOUND | 4.17% | GBP | 2100000 | 06/18/2035 | Annually |  | 5964 | 5964 |
|  GBP-SONIA-COMPOUND | 4.25% | GBP | 1900000 | 06/18/2035 | Annually |  | 22091 | 22091 |
|  4.00% | GBP-SONIA-COMPOUND | GBP | 1900000 | 06/18/2035 | Annually |  | 28305 | 28305 |
|  3.99% | GBP-SONIA-COMPOUND | GBP | 3000000 | 06/18/2035 | Annually |  | 50258 | 50258 |
|  4.18% | GBP-SONIA-COMPOUND | GBP | 2300000 | 06/18/2035 | Annually |  | (9043) | (9043) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 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 Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3 Month NZD Bank Bill Rate | 4.05% | NZD | 29450000 | 06/18/2035 | Quarterly | (147960) | (135021) | 12939 |
|  3 Month SEK STIBOR | 2.65% | SEK | 30000000 | 06/18/2035 | Quarterly | 2575 | 5240 | 2665 |
|  3 Month SEK STIBOR | 2.66% | SEK | 27000000 | 06/18/2035 | Quarterly |  | 7448 | 7448 |
|  3 Month SEK STIBOR | 2.73% | SEK | 53000000 | 06/18/2035 | Quarterly |  | 50934 | 50934 |
|  3 Month SEK STIBOR | 2.97% | SEK | 25000000 | 06/18/2035 | Quarterly |  | 78633 | 78633 |
|  2.64% | 3 Month SEK STIBOR | SEK | 42000000 | 06/18/2035 | Quarterly | 51853 | (3087) | (54940) |
|  2.63% | 3 Month SEK STIBOR | SEK | 10000000 | 06/18/2035 | Quarterly | 190 | (91) | (281) |
|  2.96% | 3 Month SEK STIBOR | SEK | 25000000 | 06/18/2035 | Quarterly |  | (76679) | (76679) |
|  2.67% | 3 Month SEK STIBOR | SEK | 62000000 | 06/18/2035 | Quarterly |  | (25941) | (25941) |
|  2.66% | 3 Month SEK STIBOR | SEK | 17000000 | 06/18/2035 | Quarterly |  | (5315) | (5315) |
|  USD-SOFR-OIS-COMPOUND  | 3.76% | USD | 3000000 | 06/18/2035 | Annually |  | (22801) | (22801) |
|  USD-SOFR-OIS-COMPOUND  | 3.82% | USD | 3100000 | 06/18/2035 | Annually |  | (9026) | (9026) |
|  3.73% | USD-SOFR-COMPOUND | USD | 5260000 | 06/18/2035 | Annually | (16054) | 55043 | 71097 |
|  3.77% | USD-SOFR-COMPOUND | USD | 2100000 | 06/18/2035 | Annually |  | 15091 | 15091 |
|  3.94% | USD-SOFR-OIS-COMPOUND | USD | 2300000 | 06/18/2035 | Annually |  | (17163) | (17163) |
|  3.89% | USD-SOFR-OIS-COMPOUND | USD | 3500000 | 06/18/2035 | Annually |  | (11885) | (11885) |
|  3.92% | USD-SOFR-OIS-COMPOUND | USD | 3400000 | 06/18/2035 | Annually |  | (18881) | (18881) |
|  |  |  |  |  |  | $(28284) | $293668 | $321952 |

---

**OTC Interest Rate 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) ($)** |
|  MYR-KLIBOR-BNM | 3.52% | BOA | MYR | 26700000 | 06/18/2030 | Quarterly | $5653 | $90545 | $84892 |

---

**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) ($)** |
|  MSCI Daily Trust Net Growth EAFE Index | USD-SOFR-COMPOUND | JPM | USD | 1860138 | 12/16/2025 | Monthly |  | (38150) | (38150) |
|  USD-SOFR-COMPOUND | MSCI Daily Total Return Net Value EAFE Index | JPM | USD | 1786785 | 12/16/2025 | Monthly |  | 41991 | 41991 |
|  1 Day Overnight Federal Funds Effective Rate plus 0.36% | MSCI Daily Total Return Net Value EAFE Index | UBSA | USD | 20872752 | 02/02/2026 | Monthly |  | 674368 | 674368 |
|  MSCI Daily Trust Net Growth EAFE Index | 1 Day Overnight Federal Funds Effective Rate plus 0.41% | UBSA | USD | 20002016 | 02/02/2026 | Monthly |  | (587116) | (587116) |
|  0.20% <sup>(i)</sup> | Total Return on Sprott Gold Miners ETF | SOCG | USD | 17586937 | 04/02/2026 | Quarterly |  | 249162 | 249162 |
|  0.20% <sup>(i)</sup> | Total Return on BNP Paribas Cross Asset Trend Index | BNP | USD | 16574710 | 04/02/2026 | Quarterly | 92 | (580821) | (580913) |
|  1 Day Overnight Federal Funds Effective Rate plus 0.13% | MSCI Daily Total Return Net Value EAFE Index | GS | USD | 1843525 | 04/30/2026 | Monthly |  |  |  |
|  MSCI Daily Trust Net Growth EAFE Index | 1 Day Overnight Federal Funds Effective Rate plus 0.23% | GS | USD | 3693821 | 04/30/2026 | Monthly |  |  |  |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 5527844 | 06/29/2026 | Monthly |  | 19016 | 19016 |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal Funds Rate minus 0.40% | GS | USD | 4452584 | 06/29/2026 | Monthly |  | (7858) | (7858) |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 233092 | 06/29/2026 | Monthly |  | 582 | 582 |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal Funds Rate minus 0.40% | GS | USD | 10321383 | 06/24/2026 | Monthly |  | 79735 | 79735 |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 10447781 | 06/28/2026 | Monthly |  | (625311) | (625311) |
|  |  |  |  |  |  |  | $92 | $(774402) | $(774494) |

---

As of May 31, 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 Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 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, and/or written options, if any.

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

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

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

(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) Investment valued using significant unobservable inputs.

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

(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 May 31, 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 May 31, 2025.

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with GS as the counterparty:** |  |  |
| (584700) | Airports Of Thailand PC NVDR | 5.8% | (591162) |
| (138998) | Allefro.eu.SA | 12.5% | (1278799) |
| (1375) | Budimex SA | 2.2% | (229372) |
| (11846) | Capitec Bank Holdings Ltd. | 22.2% | (2269962) |
| (41935) | Clicks Group Ltd. | 8.9% | (906051) |
| (7914) | Doosan Enerbility Co., Ltd. | 2.3% | (231010) |
| (9700) | Equatorial Energia SA | 0.6% | (62157) |
| (147) | Hanmi Pharm Co. Ltd. | 0.3% | (33152) |
| (169) | HD Hyundai Electric Co., Ltd. | 0.4% | (46272) |
| (1160) | HD Hyundai Heavy Industries Co., Ltd. | 3.3% | (339660) |
| (1490) | HLB, Inc. | 0.6% | (58734) |
| (652) | HYBE Co. Ltd. | 1.2% | (125747) |
| (4667) | Kakao Corp. | 1.4% | (144199) |
| (14000) | Kingdee International Software Group Co. Ltd. | 0.2% | (21789) |
| (888) | Korea Aerospace Industries Ltd. | 0.5% | (53797) |
| (175300) | Localiza Rent A Car ADR | 12.9% | (1316704) |
| (132) | LPP SA | 5.0% | (508785) |
| (1729) | Samsung Biologics Co. Ltd. | 12.6% | (1292388) |
| 51523 | Turk Hava Yollari AO | (3.5%) | 359386 |
| (44300) | WEG SA | 3.2% | (328019) |
| (10006) | Yuhan Corp. | 7.4% | (756360) |
|  | TOTAL COMMON STOCKS |  | $(10234733) |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with MORD as the counterparty:** |  |  |
| (235300) | Airports Of Thailand PC NVDR | 2.1% | (237900) |
| (2107) | Celltrion, Inc. | 2.2% | (245595) |
| (17830) | Doosan Enerbility Co., Ltd. | 4.7% | (520459) |
| (1) | Hanmi Pharm Co. Ltd. | 0.0% | (226) |
| (3758) | HYBE Co. Ltd. | 6.5% | (724780) |
| (295) | Hyundai Rotem Co. | 0.3% | (31225) |
| (257000) | Innovent Biologics, Inc. | 18.3% | (2027889) |
| (2341) | Kakao Corp. | 0.7% | (72331) |
| (897000) | Kingdee International Software Group Co. Ltd. | 12.5% | (1396032) |
| (24284) | Korea Aerospace Industries Ltd. | 13.3% | (1471170) |
| (571) | Samsung Biologics Co. Ltd. | 3.9% | (426809) |
| (201407) | Samsung Heavy Industries Co. Ltd. | 22.2% | (2459824) |
| (292250) | Shandong Gold Mining Co. Ltd.—Class H | 8.3% | (914710) |
| 59038 | Turk Hava Yollari AO | (3.7%) | 411805 |
| (91500) | Xpeng, Inc., Class A | 8.0% | (886431) |
| (11300) | Zhejiang Leapmotor Technology Co., Ltd. | 0.7% | (79303) |
|  | TOTAL COMMON STOCKS |  | $(11082879) |

---

The rates shown on variable rate notes are the current interest rates at May 31, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

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

CLICP - Chilean Interbank Rate denominated in Chilean Peso.

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

KLIBOR - Kuala Lumpur Interbank Offered Rate

KSDA - Korean Securities Dealers Association

MIBOR - Mumbai Interbank Offer Rate

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

OMO - Open Market Operations

PRIBOR - Prague Interbank Offered Rate

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 2025 (Unaudited)** 

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:** 

BBH - Brown Brothers Harriman & Co.

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

MXN - Mexican Peso

MYR - Malaysian Ringgit

NGN - Nigeria 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

------

**GMO Benchmark-Free Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** | **INVESTMENT FUNDS — 99.9%** |
| | **United States — 99.9%** | **United States — 99.9%** |
| 16477274 | GMO Alternative Allocation Fund, Class VI <sup>(a)</sup> | 291812522 |
| 1112297 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 19676537 |
| 2197176 | GMO Emerging Country Debt Fund, Class VI <sup>(a)</sup> | 44954216 |
| 1385305 | GMO High Yield Fund, Class VI <sup>(a)</sup> | 23896521 |
| 132784625 | GMO Implementation Fund <sup>(a)</sup> | 1821805062 |
| 1859321 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 45237269 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $2,196,649,101) | 2247382127 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 1775451 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 1775451 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,775,451) | 1775451 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $2,198,424,552) | **2249157578** |
|  | Other Assets and Liabilities (net) — (0.0%) | (907987) |
|  | **TOTAL NET ASSETS — 100.0%** | **$2248249591** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **COMMON STOCKS — 59.6%** | **COMMON STOCKS — 59.6%** |
| | **Australia — 1.1%** | **Australia — 1.1%** |
| 60270 | Accent Group Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147663 | AMP Ltd. | 118929 |
| 8369 | Ansell Ltd. | 170193 |
| 7330 | Aristocrat Leisure Ltd. <sup>(a)</sup> | 294538 |
| 59000 | Aurizon Holdings Ltd. | 112198 |
| 188803 | BHP Group Ltd. <sup>(a)</sup> | 4637944 |
| 131146 | BlueScope Steel Ltd. | 1925081 |
| 93570 | Brambles Ltd. <sup>(a)</sup> | 1399644 |
| 159664 | Fortescue Ltd. <sup>(a)</sup> | 1588464 |
| 7466 | GrainCorp Ltd. – Class A | 36955 |
| 95164 | Grange Resources Ltd. | 11665 |
| 57239 | Harvey Norman Holdings Ltd. | 193289 |
| 78161 | Helia Group Ltd. | 262069 |
| 40119 | HomeCo Daily Needs – (REIT) | 32979 |
| 16547 | JB Hi-Fi Ltd. | 1149546 |
| 2927 | NRW Holdings Ltd. | 5283 |
| 59370 | Perenti Ltd. | 60306 |
| 34516 | Ramelius Resources Ltd. | 64518 |
| 4933 | Rio Tinto Ltd. <sup>(a)</sup> | 358733 |
| 16858 | Southern Cross Media Group Ltd. \* | 7324 |
| 18735 | Super Retail Group Ltd. | 172886 |
|  | Total Australia | 12676339 |
|  | **Austria — 0.4%** | **Austria — 0.4%** |
| 27341 | Erste Group Bank AG | 2201757 |
| 13972 | OMV AG <sup>(b)</sup> | 747343 |
| 26954 | Raiffeisen Bank International AG <sup>(b)</sup> | 824118 |
| 737 | Strabag SE | 64900 |
| 3247 | UNIQA Insurance Group AG | 45049 |
| 852 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 41787 |
|  | Total Austria | 3924954 |
|  | **Belgium — 0.5%** | **Belgium — 0.5%** |
| 56563 | Ageas SA | 3693492 |
| 1665 | Bekaert SA | 67638 |
| 8441 | KBC Group NV | 834504 |
| 422 | Melexis NV | 28370 |
| 80732 | Proximus SADP | 704327 |
| 7368 | Syensqo SA <sup>(b)</sup> | 565499 |
|  | Total Belgium | 5893830 |
|  | **Brazil — 0.5%** | **Brazil — 0.5%** |
| 271100 | Ambev SA ADR | 661484 |
| 4400 | Cia de Saneamento Basico do Estado de Sao Paulo SABESP ADR <sup>(a)</sup> | 90376 |
| 159800 | Cia de Saneamento de Minas Gerais Copasa MG | 667195 |
| 35500 | Cia De Sanena Do Parana | 203398 |
| 102800 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 448801 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Brazil — continued** | **Brazil — continued** |
| 2700 | Embraer SA | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30916 |
| 1100 | Embraer SA Sponsored ADR | 50589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;275400 | JBS SA | 1931821 |
| 1800 | Neoenergia SA | 7884 |
| 305000 | Vibra Energia SA | 1076125 |
|  | Total Brazil | 5168589 |
|  | **Canada — 3.0%** | **Canada — 3.0%** |
| 5500 | Bank of Montreal <sup>(a)</sup> | 590618 |
| 36600 | Bank of Nova Scotia <sup>(c)</sup> | 1958347 |
| 18550 | Bank of Nova Scotia <sup>(c)</sup> | 992796 |
| 3900 | Canadian Imperial Bank of Commerce | 265513 |
| 23065 | Canadian Tire Corp. Ltd. – Class A | 2930962 |
| 6250 | Canfor Corp. \* | 59205 |
| 11914 | Centerra Gold, Inc. | 84947 |
| 1026 | CGI, Inc. <sup>(a)</sup> <sup>(c)</sup> | 110297 |
| 606 | CGI, Inc. <sup>(a)</sup> <sup>(c)</sup> | 65181 |
| 2400 | Cogeco Communications, Inc. | 120844 |
| 2456 | Cogeco, Inc. | 117382 |
| 2900 | DREAM Unlimited Corp. – Class A | 39072 |
| 24600 | Dundee Precious Metals, Inc. | 379123 |
| 14100 | Empire Co. Ltd. – Class A | 544232 |
| 87 | Fairfax Financial Holdings Ltd. <sup>(a)</sup> | 148032 |
| 500 | George Weston Ltd. <sup>(a)</sup> | 100667 |
| 4378 | Gildan Activewear, Inc. <sup>(c)</sup> | 204015 |
| 653 | Gildan Activewear, Inc. <sup>(c)</sup> | 30405 |
| 16000 | iA Financial Corp., Inc. | 1628972 |
| 23731 | IGM Financial, Inc. | 757573 |
| 2300 | Imperial Oil Ltd. <sup>(a)</sup> | 164210 |
| 5783 | Interfor Corp. \* | 52843 |
| 6143 | International Petroleum Corp. \* <sup>(b)</sup> | 86439 |
| 44223 | Magna International, Inc. <sup>(b)</sup> <sup>(c)</sup> | 1604411 |
| 12300 | Magna International, Inc. <sup>(c)</sup> | 446523 |
| 77120 | Manulife Financial Corp. <sup>(a)</sup> <sup>(c)</sup> | 2455501 |
| 70844 | Manulife Financial Corp. <sup>(a)</sup> <sup>(c)</sup> | 2255899 |
| 1400 | Metro, Inc. | 109197 |
| 1700 | National Bank of Canada | 167318 |
| 21946 | Nutrien Ltd. <sup>(a)</sup> <sup>(c)</sup> | 1295472 |
| 1900 | Nutrien Ltd. <sup>(a)</sup> <sup>(c)</sup> | 112254 |
| 6100 | Onex Corp. | 452805 |
| 72384 | Open Text Corp. <sup>(a)</sup> <sup>(c)</sup> | 2049191 |
| 12800 | Open Text Corp. <sup>(a)</sup> <sup>(c)</sup> | 362450 |
| 16300 | Parex Resources, Inc. | 161177 |
| 97324 | Power Corp. of Canada | 3766443 |
| 35000 | Quebecor, Inc. – Class B | 984698 |
| 9900 | Russel Metals, Inc. <sup>(b)</sup> | 296275 |
| 4845 | Spin Master Corp. | 84731 |
| 27300 | Sun Life Financial, Inc. <sup>(a)</sup> <sup>(c)</sup> | 1758531 |
| 4900 | Sun Life Financial, Inc. <sup>(a)</sup> <sup>(c)</sup> | 316785 |
| 44800 | Toronto-Dominion Bank <sup>(c)</sup> | 3093741 |
| 5044 | Toronto-Dominion Bank <sup>(b)</sup> <sup>(c)</sup> | 348288 |
| 8200 | Transcontinental, Inc. – Class A | 127749 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Canada — continued** | **Canada — continued** |
| 1119 | Wajax Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18338 |
| 9100 | West Fraser Timber Co. Ltd. <sup>(c)</sup> | 670390 |
| 5299 | West Fraser Timber Co. Ltd. <sup>(c)</sup> | 389901 |
|  | Total Canada | 34759743 |
|  | **China — 1.8%** | **China — 1.8%** |
| 3000 | 361 Degrees International Ltd. | 1644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113000 | 3SBio, Inc. | 271563 |
| 40300 | Alibaba Group Holding Ltd. | 573784 |
| 23048 | Alibaba Group Holding Ltd. Sponsored ADR <sup>(a)</sup> | 2623784 |
| 361000 | AviChina Industry & Technology Co. Ltd. – Class H | 181605 |
| 444500 | BAIC Motor Corp. Ltd. – Class H | 111983 |
| 301091 | Bank of Communications Co. Ltd. – Class H | 262820 |
| 85000 | Beijing Enterprises Holdings Ltd. | 356147 |
| 1264000 | China Communications Services Corp. Ltd. – Class H | 726054 |
| 1802000 | China Construction Bank Corp. – Class H | 1611126 |
| 868000 | China Feihe Ltd. | 670826 |
| 1058000 | China Greenfresh Group Co. Ltd. \* <sup>(d)</sup> |  |
| 462500 | China Hongqiao Group Ltd. <sup>(b)</sup> | 821847 |
| 54000 | China Lesso Group Holdings Ltd. | 26948 |
| 166000 | China National Building Material Co. Ltd. – Class H | 73848 |
| 750000 | China Railway Group Ltd. – Class H | 337295 |
| 2624000 | China Reinsurance Group Corp. – Class H | 336543 |
| 88500 | China Resources Pharmaceutical Group Ltd. | 58041 |
| 142000 | China State Construction International Holdings Ltd. | 199741 |
| 1776400 | China Zhongwang Holdings Ltd. \* <sup>(d)</sup> |  |
| 580000 | CITIC Ltd. | 729447 |
| 399000 | Consun Pharmaceutical Group Ltd. | 538892 |
| 808000 | CSPC Pharmaceutical Group Ltd. | 831926 |
| 12400 | ENN Energy Holdings Ltd. | 98319 |
| 112000 | Fufeng Group Ltd. | 97339 |
| 322000 | Geely Automobile Holdings Ltd. | 717679 |
| 30530 | JD.com, Inc. ADR <sup>(a)</sup> | 989477 |
| 22000 | Kunlun Energy Co. Ltd. | 21977 |
| 44500 | Legend Holdings Corp. – Class H \* | 44575 |
| 100000 | Lonking Holdings Ltd. | 23908 |
| 72400 | Midea Real Estate Holding Ltd. \* <sup>(b)</sup> | 34958 |
| 1100 | NetEase, Inc. | 26596 |
| 36000 | Orient Overseas International Ltd. | 618857 |
| 232000 | PICC Property & Casualty Co. Ltd. – Class H | 440826 |
| 110000 | Sino Biopharmaceutical Ltd. | 62047 |
| 398500 | Sinopec Engineering Group Co. Ltd. – Class H | 282394 |
| 92800 | Sinopharm Group Co. Ltd. – Class H | 223711 |
| 407000 | TCL Electronics Holdings Ltd. | 527452 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **China — continued** | **China — continued** |
| 78400 | Tencent Holdings Ltd. | 4942542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;172000 | Tianneng Power International Ltd. <sup>(b)</sup> | 133916 |
| 3000 | Vipshop Holdings Ltd. ADR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41370 |
| 10100 | Weibo Corp. Sponsored ADR <sup>(a)</sup> | 91405 |
| 16400 | Xiaomi Corp. – Class B \* | 105567 |
| 51500 | Zhongsheng Group Holdings Ltd. | 77268 |
|  | Total China | 20948047 |
|  | **Colombia — 0.0%** | **Colombia — 0.0%** |
| 3121 | Corp. Financiera Colombiana SA \* | 13896 |
|  | **Czech Republic — 0.0%** | **Czech Republic — 0.0%** |
| 137 | Philip Morris CR AS \* | 115341 |
|  | **Denmark — 0.5%** | **Denmark — 0.5%** |
| 416 | AP Moller – Maersk AS – Class A <sup>(a)</sup> | 743014 |
| 930 | AP Moller – Maersk AS – Class B <sup>(a)</sup> | 1684830 |
| 26858 | Danske Bank AS | 1029190 |
| 6262 | Genmab AS \* | 1321029 |
| 8541 | H Lundbeck AS | 47400 |
| 799 | Matas AS | 16456 |
| 22020 | Rockwool AS – B Shares | 1044899 |
| 4988 | Scandinavian Tobacco Group AS | 64618 |
|  | Total Denmark | 5951436 |
|  | **Egypt — 0.0%** | **Egypt — 0.0%** |
| 99262 | Eastern Co. SAE | 66527 |
| 23452 | ElSewedy Electric Co. | 38529 |
|  | Total Egypt | 105056 |
|  | **Finland — 0.3%** | **Finland — 0.3%** |
| 447319 | Nokia OYJ | 2327982 |
| 45823 | Outokumpu OYJ | 177481 |
| 15414 | TietoEVRY OYJ <sup>(a)</sup> | 281236 |
| 19437 | Valmet OYJ | 635093 |
|  | Total Finland | 3421792 |
|  | **France — 2.3%** | **France — 2.3%** |
| 1658 | Amundi SA | 135364 |
| 12450 | Aperam SA | 378374 |
| 46184 | ArcelorMittal SA | 1400196 |
| 1270 | Arkema SA | 90749 |
| 6433 | AXA SA <sup>(a)</sup> | 303223 |
| 27230 | BNP Paribas SA | 2384652 |
| 24118 | Carrefour SA | 360669 |
| 19414 | Cie de Saint-Gobain SA <sup>(a)</sup> | 2185703 |
| 1776 | Cie Generale des Etablissements Michelin SCA <sup>(a)</sup> | 67948 |
| 26561 | Coface SA | 496856 |
| 14955 | Credit Agricole SA | 273814 |
| 8028 | Derichebourg SA <sup>(a)</sup> | 54926 |
| 139 | Fnac Darty SA | 4796 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **France — continued** | **France — continued** |
| 5298 | Ipsen SA \* | 623786 |
| 3159 | IPSOS SA <sup>(a)</sup> | 161161 |
| 7536 | Metropole Television SA <sup>(a)</sup> | 106146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106787 | Orange SA <sup>(a)</sup> | 1593840 |
| 385 | Publicis Groupe SA <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41968 |
| 6239 | Quadient SA | 116612 |
| 24251 | Renault SA | 1246856 |
| 21568 | Rexel SA | 605815 |
| 12061 | Rubis SCA <sup>(a)</sup> | 392688 |
| 31617 | Sanofi SA | 3131376 |
| 114 | Schneider Electric SE <sup>(a)</sup> | 28764 |
| 3242 | Societe BIC SA | 200266 |
| 38412 | Societe Generale SA | 2085682 |
| 2720 | STMicroelectronics NV <sup>(b)</sup> | 68381 |
| 71621 | STMicroelectronics NV – NY Shares | 1791241 |
| 6370 | Teleperformance SE <sup>(a)</sup> | 643829 |
| 25176 | Television Francaise 1 SA <sup>(a)</sup> | 243451 |
| 65905 | TotalEnergies SE <sup>(a)</sup> | 3879707 |
| 34977 | Valeo SE | 368382 |
| 66990 | Vivendi SE \* <sup>(a)</sup> | 226061 |
|  | Total France | 25693282 |
|  | **Germany — 1.7%** | **Germany — 1.7%** |
| 4034 | 1&1 AG | 83615 |
| 714 | Allianz SE (Registered) <sup>(a)</sup> | 283182 |
| 102 | Amadeus Fire AG | 8654 |
| 33711 | Bayer AG (Registered) | 949083 |
| 13718 | Bayerische Motoren Werke AG | 1217075 |
| 18996 | Continental AG | 1665976 |
| 29469 | Daimler Truck Holding AG <sup>(a)</sup> | 1279939 |
| 105907 | Deutsche Bank AG (Registered) <sup>(a)</sup> | 2933106 |
| 24292 | Deutsche Post AG <sup>(a)</sup> | 1090051 |
| 141 | Draegerwerk AG & Co. KGaA | 8840 |
| 85350 | E.ON SE <sup>(a)</sup> | 1495852 |
| 5557 | Freenet AG | 183555 |
| 11693 | Fresenius Medical Care AG | 664216 |
| 7090 | Fresenius SE & Co. KGaA <sup>(a)</sup> | 347474 |
| 7557 | Heidelberg Materials AG <sup>(a)</sup> | 1481257 |
| 2496 | Henkel AG & Co. KGaA | 183269 |
| 340 | Hornbach Holding AG & Co. KGaA | 34320 |
| 13421 | Kloeckner & Co. SE | 95793 |
| 256 | Krones AG | 40323 |
| 40377 | Mercedes-Benz Group AG <sup>(a)</sup> | 2414451 |
| 21287 | ProSiebenSat.1 Media SE <sup>(a)</sup> | 171092 |
| 904 | RTL Group SA | 34664 |
| 2328 | Salzgitter AG | 55550 |
| 2852 | SAP SE <sup>(a)</sup> | 862787 |
| 6698 | Siemens AG (Registered) <sup>(a)</sup> | 1611024 |
|  | Total Germany | 19195148 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Greece — 0.0%** | **Greece — 0.0%** |
| 15269 | Eurobank Ergasias Services & Holdings SA | 47030 |
| 12055 | FF Group \* <sup>(d)</sup> |  |
| 19128 | National Bank of Greece SA | 227768 |
| 15062 | Piraeus Financial Holdings SA | 100341 |
| 776 | Sarantis SA | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11816 |
|  | Total Greece | 386955 |
|  | **Hong Kong — 0.7%** | **Hong Kong — 0.7%** |
| 26600 | Bank of East Asia Ltd. | 37421 |
| 73500 | BOC Hong Kong Holdings Ltd. | 309105 |
| 29000 | Chow Sang Sang Holdings International Ltd. | 29521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;234000 | CITIC Telecom International Holdings Ltd. | 67681 |
| 236500 | CK Asset Holdings Ltd. | 976921 |
| 290000 | CK Hutchison Holdings Ltd. | 1621597 |
| 18800 | Dah Sing Financial Holdings Ltd. | 70261 |
| 108000 | E-Commodities Holdings Ltd. | 10311 |
| 102000 | First Pacific Co. Ltd. | 70026 |
| 104000 | Giordano International Ltd. | 19227 |
| 34500 | Health & Happiness H&H International Holdings Ltd. | 56635 |
| 191000 | HKT Trust & HKT Ltd. – Class SS | 275095 |
| 200000 | IGG, Inc. | 89959 |
| 87500 | Johnson Electric Holdings Ltd. | 233356 |
| 52598 | K Wah International Holdings Ltd. | 12112 |
| 17500 | Kerry Properties Ltd. | 41956 |
| 9000 | KLN Logistics Group Ltd. | 8996 |
| 28800 | Luk Fook Holdings International Ltd. | 66566 |
| 58000 | Shun Tak Holdings Ltd. \* | 4358 |
| 16000 | SITC International Holdings Co. Ltd. | 51056 |
| 32500 | SmarTone Telecommunications Holdings Ltd. | 18148 |
| 34000 | Stella International Holdings Ltd. | 60654 |
| 63500 | Sun Hung Kai Properties Ltd. <sup>(a)</sup> | 682096 |
| 36500 | Swire Pacific Ltd. – Class A | 310923 |
| 3500 | Techtronic Industries Co. Ltd. | 38984 |
| 39000 | Texhong International Group Ltd. | 16900 |
| 46000 | Texwinca Holdings Ltd. | 3749 |
| 188000 | VSTECS Holdings Ltd. <sup>(b)</sup> | 149395 |
| 28600 | VTech Holdings Ltd. | 190082 |
| 2064000 | WH Group Ltd. | 1898379 |
| 98000 | Yue Yuen Industrial Holdings Ltd. | 147240 |
|  | Total Hong Kong | 7568710 |
|  | **Hungary — 0.4%** | **Hungary — 0.4%** |
| 57417 | Magyar Telekom Telecommunications PLC | 285396 |
| 50733 | MOL Hungarian Oil & Gas PLC \* | 438694 |
| 45215 | OTP Bank Nyrt | 3429843 |
| 22476 | Richter Gedeon Nyrt | 653987 |
|  | Total Hungary | 4807920 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **India — 1.1%** | **India — 1.1%** |
| 8594 | Ashapura Minechem Ltd. \* | 42502 |
| 51335 | Aurobindo Pharma Ltd. \* | 690666 |
| 6109 | Bajaj Finance Ltd. | 653581 |
| 39901 | Bharat Petroleum Corp. Ltd. | 148306 |
| 20608 | Chambal Fertilisers & Chemicals Ltd. | 132397 |
| 56256 | Cipla Ltd. | 963729 |
| 5692 | Dhampur Bio Organics Ltd. | 5064 |
| 1479 | Divi's Laboratories Ltd. | 114410 |
| 39560 | Dr. Reddy's Laboratories Ltd. ADR <sup>(b)</sup> | 582323 |
| 25965 | Dr. Reddy's Laboratories Ltd. | 380238 |
| 56997 | Federal Bank Ltd. | 134877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228336 | GAIL India Ltd. | 507465 |
| 2545 | GHCL Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18295 |
| 30361 | Glenmark Pharmaceuticals Ltd. | 518660 |
| 2209 | Goldiam International Ltd. | 9774 |
| 40698 | HDFC Bank Ltd. \* | 927107 |
| 5300 | HDFC Bank Ltd. ADR <sup>(a)</sup> | 399567 |
| 2434 | Hero MotoCorp Ltd. | 122668 |
| 56205 | Hindalco Industries Ltd. | 417134 |
| 22214 | ICICI Bank Ltd. | 376861 |
| 5538 | Indus Towers Ltd. \* | 24764 |
| 15939 | ITC Ltd. | 78113 |
| 4252 | LIC Housing Finance Ltd. | 29659 |
| 15206 | Lupin Ltd. | 348205 |
| 2638 | Mahindra & Mahindra Ltd. | 91699 |
| 372685 | Manappuram Finance Ltd. | 1036006 |
| 12017 | Muthoot Finance Ltd. | 310189 |
| 6592 | Natco Pharma Ltd. | 68008 |
| 88998 | NMDC Ltd. | 74160 |
| 438287 | Oil & Natural Gas Corp. Ltd. | 1226777 |
| 4488 | Oil India Ltd. | 22425 |
| 109605 | Petronet LNG Ltd. | 394297 |
| 420 | Pokarna Ltd. | 5260 |
| 31270 | Power Finance Corp. Ltd. | 148936 |
| 48885 | Power Grid Corp. of India Ltd. | 165744 |
| 2837 | Sammaan Capital Ltd. | 4110 |
| 77405 | Shriram Finance Ltd. | 579239 |
| 18897 | Siyaram Silk Mills Ltd. | 159186 |
| 15101 | Sun Pharmaceutical Industries Ltd. | 295984 |
| 1109 | Vadilal Industries Ltd. | 69646 |
| 88468 | Wipro Ltd. | 258402 |
| 42212 | Zydus Lifesciences Ltd. | 457746 |
|  | Total India | 12994179 |
|  | **Indonesia — 0.7%** | **Indonesia — 0.7%** |
| 5079700 | Aneka Tambang Tbk. PT \* | 968819 |
| 7175600 | Astra International Tbk. PT | 2133711 |
| 279300 | Astra Otoparts Tbk. PT | 36091 |
| 1252400 | Bank Negara Indonesia Persero Tbk. PT | 345416 |
| 1665900 | Bank Pembangunan Daerah Jawa Timur Tbk. PT \* | 57771 |
| 4511800 | Dharma Satya Nusantara Tbk. PT | 217530 |
| 2642800 | Erajaya Swasembada Tbk. PT | 90067 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Indonesia — continued** | **Indonesia — continued** |
| 14200 | Gudang Garam Tbk. PT \* | 8714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123500 | Indofood CBP Sukses Makmur Tbk. PT | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82530 |
| 3013600 | Indofood Sukses Makmur Tbk. PT | 1454699 |
| 633200 | Industri Jamu Dan Farmasi Sido Muncul Tbk. PT | 20012 |
| 2572100 | Japfa Comfeed Indonesia Tbk. PT | 253463 |
| 894500 | Kalbe Farma Tbk. PT \* | 83094 |
| 6119300 | Lippo Karawaci Tbk. PT \* | 32659 |
| 15969100 | Panin Financial Tbk. PT \* | 288081 |
| 4783800 | Perusahaan Gas Negara Tbk. PT | 533241 |
| 4315300 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 322646 |
| 2148700 | Saratoga Investama Sedaya Tbk. PT \* | 230801 |
| 5175300 | Surya Citra Media Tbk. PT | 51342 |
| 3261800 | Telkom Indonesia Persero Tbk. PT \* | 563873 |
| 518600 | Tempo Scan Pacific Tbk. PT | 82763 |
| 5210500 | Triputra Agro Persada PT | 289546 |
|  | Total Indonesia | 8146869 |
|  | **Ireland — 0.0%** | **Ireland — 0.0%** |
| 14284 | AIB Group PLC | 112697 |
| 15644 | Origin Enterprises PLC | 62712 |
| 9611 | Permanent TSB Group Holdings PLC \* | 19314 |
|  | Total Ireland | 194723 |
|  | **Israel — 0.4%** | **Israel — 0.4%** |
| 57249 | Bank Hapoalim BM | 960430 |
| 101073 | Bank Leumi Le-Israel BM | 1631146 |
| 1890 | Check Point Software Technologies Ltd. \* | 432583 |
| 23393 | ICL Group Ltd. | 154413 |
| 12147 | Israel Discount Bank Ltd. – Class A | 103448 |
| 5686 | Nice Ltd. Sponsored ADR\* <sup>(a)</sup> | 943478 |
| 252 | Nice Ltd. \* | 42681 |
| 81196 | Oil Refineries Ltd. | 20913 |
|  | Total Israel | 4289092 |
|  | **Italy — 1.2%** | **Italy — 1.2%** |
| 49335 | A2A SpA <sup>(a)</sup> | 128098 |
| 15170 | Banca IFIS SpA <sup>(b)</sup> | 399248 |
| 19321 | Banco BPM SpA | 222091 |
| 57057 | BPER Banca SpA <sup>(b)</sup> | 506819 |
| 17700 | Credito Emiliano SpA | 243238 |
| 4144 | Esprinet SpA <sup>(b)</sup> | 18633 |
| 22403 | Generali <sup>(a)</sup> | 815475 |
| 23095 | Hera SpA <sup>(a)</sup> | 114777 |
| 259153 | Intesa Sanpaolo SpA | 1446780 |
| 16609 | Iren SpA <sup>(a)</sup> | 51714 |
| 71267 | Italgas SpA <sup>(a)</sup> | 586316 |
| 6408 | Iveco Group NV <sup>(b)</sup> | 127602 |
| 30789 | Leonardo SpA <sup>(a)</sup> | 1904599 |
| 54627 | MFE-MediaForEurope NV – Class A <sup>(a)</sup> | 200879 |
| 7028 | MFE-MediaForEurope NV – Class B <sup>(a)</sup> | 33826 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Italy — continued** | **Italy — continued** |
| 8535 | Poste Italiane SpA <sup>(a)</sup> | 185313 |
| 203456 | Stellantis NV <sup>(a)</sup> | 2073923 |
| 2354851 | Telecom Italia SpA \* <sup>(b)</sup> | 1007390 |
| 10555 | Tenaris SA ADR | 353065 |
| 4102 | Tenaris SA | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68698 |
| 157 | UniCredit SpA <sup>(a)</sup> | 10096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;156858 | Unipol Assicurazioni SpA | 3069982 |
|  | Total Italy | 13568562 |
|  | **Japan — 15.5%** | **Japan — 15.5%** |
| 1600 | ADEKA Corp. | 29508 |
| 5100 | Aichi Corp. <sup>(b)</sup> | 48623 |
| 28200 | Air Water, Inc. | 393546 |
| 36200 | Amano Corp. | 1067153 |
| 2600 | AOKI Holdings, Inc. | 27108 |
| 3000 | Arata Corp. | 63012 |
| 35700 | Asahi Group Holdings Ltd. | 470527 |
| 11100 | Asahi Kasei Corp. | 77999 |
| 6500 | Asahi Yukizai Corp. | 175753 |
| 8800 | Axial Retailing, Inc. | 69722 |
| 43000 | Bandai Namco Holdings, Inc. | 1366175 |
| 3600 | Bando Chemical Industries Ltd. | 40472 |
| 27400 | Bridgestone Corp. <sup>(a)</sup> | 1176420 |
| 100000 | Brother Industries Ltd. | 1706626 |
| 900 | Buffalo, Inc. | 15036 |
| 5000 | Bunka Shutter Co. Ltd. | 74261 |
| 24100 | Canon Marketing Japan, Inc. | 894269 |
| 25900 | Canon, Inc. <sup>(b)</sup> | 791219 |
| 1800 | Central Glass Co. Ltd. <sup>(b)</sup> | 36294 |
| 1300 | Chiyoda Integre Co. Ltd. | 24555 |
| 129000 | Credit Saison Co. Ltd. | 3510164 |
| 69200 | Dai Nippon Printing Co. Ltd. <sup>(a)</sup> | 1020475 |
| 1100 | Dai Nippon Toryo Co. Ltd. | 8973 |
| 94900 | Daicel Corp. | 809209 |
| 3000 | Dai-Dan Co. Ltd. | 86656 |
| 2300 | Daido Steel Co. Ltd. | 15541 |
| 2400 | Daiichi Jitsugyo Co. Ltd. | 37048 |
| 2100 | Daito Trust Construction Co. Ltd. | 236552 |
| 27900 | Daiwa House Industry Co. Ltd. | 940675 |
| 135410 | Daiwabo Holdings Co. Ltd. | 2281208 |
| 97200 | Denka Co. Ltd. | 1383616 |
| 400 | Dowa Holdings Co. Ltd. | 12651 |
| 1500 | DTS Corp. <sup>(a)</sup> | 51440 |
| 700 | Elecom Co. Ltd. | 8286 |
| 18000 | en Japan, Inc. | 214571 |
| 20900 | ENEOS Holdings, Inc. | 99026 |
| 76200 | EXEO Group, Inc. | 971177 |
| 3200 | FCC Co. Ltd. | 62460 |
| 43100 | Ferrotec Holdings Corp. | 789232 |
| 105500 | Fuji Corp. | 1688761 |
| 9500 | Fuji Electric Co. Ltd. | 419633 |
| 400 | Fuji Media Holdings, Inc. <sup>(a)</sup> | 7945 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Japan — continued** | **Japan — continued** |
| 66000 | FUJIFILM Holdings Corp. | 1489798 |
| 27900 | Fujitsu Ltd. <sup>(a)</sup> | 638976 |
| 100 | Fukuda Denshi Co. Ltd. | 4575 |
| 23800 | Glory Ltd. | 508234 |
| 17200 | GS Yuasa Corp. | 313362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;188600 | H.U. Group Holdings, Inc. | 4049224 |
| 15000 | Haseko Corp. | 218466 |
| 21500 | Hitachi Construction Machinery Co. Ltd. | 653428 |
| 30200 | Hitachi Ltd. <sup>(a)</sup> | 841381 |
| 65000 | Hogy Medical Co. Ltd. | 1730477 |
| 184300 | Honda Motor Co. Ltd. | 1872192 |
| 48136 | Honda Motor Co. Ltd. Sponsored ADR | 1469111 |
| 12600 | Horiba Ltd. | 896524 |
| 9800 | Hosiden Corp. | 147583 |
| 68000 | Idemitsu Kosan Co. Ltd. | 414191 |
| 10800 | IDOM, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76558 |
| 300 | Inaba Denki Sangyo Co. Ltd. | 8059 |
| 41200 | Inabata & Co. Ltd. | 905097 |
| 239800 | Inpex Corp. | 3206549 |
| 226700 | Isuzu Motors Ltd. | 3064271 |
| 27500 | ITOCHU Corp. <sup>(a)</sup> | 1459595 |
| 15300 | Itochu Enex Co. Ltd. | 178919 |
| 500 | Itochu-Shokuhin Co. Ltd. | 34677 |
| 3200 | Itoham Yonekyu Holdings, Inc. | 111367 |
| 9500 | Iwatani Corp. | 97916 |
| 1000 | Japan Lifeline Co. Ltd. | 10055 |
| 21200 | Japan Petroleum Exploration Co. Ltd. | 146860 |
| 40600 | Japan Post Insurance Co. Ltd. | 893047 |
| 24800 | Japan Tobacco, Inc. | 760731 |
| 1400 | Jeol Ltd. | 38905 |
| 300 | Justsystems Corp. <sup>(a)</sup> | 7153 |
| 54200 | Kaga Electronics Co. Ltd. | 997971 |
| 2700 | Kamei Corp. | 44083 |
| 11600 | Kandenko Co. Ltd. | 238788 |
| 11800 | Kaneka Corp. | 320519 |
| 189900 | Kanematsu Corp. | 3590273 |
| 149300 | Kawasaki Kisen Kaisha Ltd. | 2245252 |
| 52400 | KDDI Corp. <sup>(a)</sup> | 907071 |
| 218900 | Kirin Holdings Co. Ltd. | 3140398 |
| 13100 | Kitz Corp. | 105549 |
| 10900 | Kohnan Shoji Co. Ltd. | 280834 |
| 800 | Kokuyo Co. Ltd. <sup>(a)</sup> | 16922 |
| 39300 | Komatsu Ltd. <sup>(a)</sup> | 1194374 |
| 7400 | Komeri Co. Ltd. | 147829 |
| 4400 | Konami Group Corp. <sup>(a)</sup> | 597266 |
| 125000 | Kubota Corp. | 1433973 |
| 101300 | Kumiai Chemical Industry Co. Ltd. | 567906 |
| 25900 | Kyudenko Corp. | 951692 |
| 73400 | LY Corp. <sup>(a)</sup> | 264672 |
| 58200 | Macnica Holdings, Inc. | 769303 |
| 11700 | Marubeni Corp. <sup>(a)</sup> | 237151 |
| 33200 | Maruha Nichiro Corp. | 717250 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Japan — continued** | **Japan — continued** |
| 51600 | Maruichi Steel Tube Ltd. | 1239556 |
| 1000 | Maruzen Showa Unyu Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43966 |
| 7100 | Matsuda Sangyo Co. Ltd. | 163278 |
| 2900 | MatsukiyoCocokara & Co. | 58487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;196700 | Maxell Ltd. | 2452585 |
| 42100 | Mazda Motor Corp. | 264082 |
| 23900 | MCJ Co. Ltd. | 218455 |
| 1000 | Medipal Holdings Corp. | 15639 |
| 13800 | Mitsubishi Corp. <sup>(a)</sup> | 279152 |
| 155500 | Mitsubishi Electric Corp. <sup>(a)</sup> | 3103311 |
| 2200 | Mitsubishi Research Institute, Inc. <sup>(a)</sup> | 70575 |
| 300 | Mitsubishi Shokuhin Co. Ltd. | 13146 |
| 76700 | Mitsui & Co. Ltd. <sup>(a)</sup> | 1601584 |
| 2400 | Mitsui DM Sugar Co. Ltd. | 52071 |
| 36700 | Mitsui Mining & Smelting Co. Ltd. | 1251710 |
| 103700 | Mitsui OSK Lines Ltd. | 3676364 |
| 8000 | MIXI, Inc. <sup>(a)</sup> | 185024 |
| 113100 | Mizuno Corp. | 2155742 |
| 69400 | Morinaga & Co. Ltd. | 1148798 |
| 3400 | Nagase & Co. Ltd. | 64567 |
| 109700 | NEC Corp. <sup>(a)</sup> | 2863536 |
| 62800 | NGK Insulators Ltd. | 781313 |
| 65200 | NH Foods Ltd. | 2292511 |
| 10000 | Nichias Corp. | 345449 |
| 2200 | Nichiha Corp. | 46678 |
| 2400 | Nichireki Group Co. Ltd. | 41811 |
| 2000 | Nippn Corp. | 30266 |
| 2000 | Nippon Densetsu Kogyo Co. Ltd. | 33302 |
| 2500 | Nippon Kayaku Co. Ltd. | 22593 |
| 28300 | Nippon Shinyaku Co. Ltd. | 698611 |
| 3400 | Nippon Soda Co. Ltd. | 69747 |
| 1650900 | Nippon Telegraph & Telephone Corp. <sup>(a)</sup> | 1838101 |
| 23600 | Nippon Television Holdings, Inc. <sup>(a)</sup> | 534075 |
| 83600 | Nippon Yusen KK | 3048285 |
| 455400 | Nissan Motor Co. Ltd. \* <sup>(b)</sup> | 1155255 |
| 1500 | Nissin Corp. | 84334 |
| 9500 | Niterra Co. Ltd. | 305255 |
| 1300 | Nittetsu Mining Co. Ltd. | 62933 |
| 22500 | Nitto Denko Corp. | 409281 |
| 51200 | Nojima Corp. | 976788 |
| 3700 | Nomura Holdings, Inc. | 22610 |
| 67100 | Nomura Real Estate Holdings, Inc. | 392912 |
| 3200 | Noritake Co. Ltd. | 82546 |
| 1700 | NS United Kaiun Kaisha Ltd. <sup>(b)</sup> | 44948 |
| 1100 | Obara Group, Inc. | 26740 |
| 25200 | Oji Holdings Corp. | 119542 |
| 50600 | Okamura Corp. | 771411 |
| 147400 | Ono Pharmaceutical Co. Ltd. | 1604931 |
| 2400 | Open House Group Co. Ltd. | 103698 |
| 31400 | ORIX Corp. | 665424 |
| 138400 | Pacific Industrial Co. Ltd. <sup>(b)</sup> | 1256325 |
| 900 | PALTAC Corp. | 26080 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Japan — continued** | **Japan — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320200 | Panasonic Holdings Corp. | 3669959 |
| 244600 | Penta-Ocean Construction Co. Ltd. | 1480355 |
| 6100 | Pilot Corp. <sup>(a)</sup> <sup>(b)</sup> | 168899 |
| 1800 | Prima Meat Packers Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28381 |
| 26200 | Recruit Holdings Co. Ltd. <sup>(a)</sup> | 1560477 |
| 9500 | Renesas Electronics Corp. | 115381 |
| 34000 | Rengo Co. Ltd. | 175283 |
| 500 | Restar Corp. | 8581 |
| 3200 | Rohto Pharmaceutical Co. Ltd. | 45095 |
| 4700 | S Foods, Inc. | 85030 |
| 5700 | Sakai Moving Service Co. Ltd. | 99536 |
| 18900 | Sakata INX Corp. | 251495 |
| 35800 | San-Ai Obbli Co. Ltd. | 431153 |
| 8800 | Sanki Engineering Co. Ltd. | 231382 |
| 9200 | Sankyo Co. Ltd. | 160458 |
| 48100 | Sankyu, Inc. | 2313571 |
| 20800 | Sanwa Holdings Corp. | 716087 |
| 9300 | SCSK Corp. <sup>(a)</sup> | 282277 |
| 126000 | Sega Sammy Holdings, Inc. | 2376592 |
| 8400 | Seiko Epson Corp. | 108684 |
| 132300 | Sekisui Chemical Co. Ltd. | 2298295 |
| 89500 | Sekisui House Ltd. | 2029603 |
| 2900 | Sekisui Jushi Corp. | 38660 |
| 900 | Shimamura Co. Ltd. | 62368 |
| 4200 | Shinagawa Refractories Co. Ltd. | 48916 |
| 2000 | Shinnihon Corp. | 22511 |
| 171900 | Shionogi & Co. Ltd. | 2870305 |
| 122600 | Ship Healthcare Holdings, Inc. | 1583961 |
| 700 | Sinanen Holdings Co. Ltd. | 30662 |
| 5000 | Sinko Industries Ltd. | 42014 |
| 67700 | Socionext, Inc. | 993575 |
| 21600 | Sohgo Security Services Co. Ltd. <sup>(a)</sup> | 150335 |
| 10400 | Sojitz Corp. | 256505 |
| 34500 | Sony Group Corp. <sup>(a)</sup> | 923425 |
| 104700 | Stanley Electric Co. Ltd. | 2013982 |
| 24900 | Starts Corp., Inc. | 730956 |
| 72300 | Subaru Corp. | 1327215 |
| 132200 | SUMCO Corp. | 893583 |
| 44300 | Sumitomo Corp. <sup>(a)</sup> | 1128168 |
| 73200 | Sumitomo Electric Industries Ltd. | 1535424 |
| 81900 | Sumitomo Forestry Co. Ltd. <sup>(b)</sup> | 2377524 |
| 18500 | Sumitomo Heavy Industries Ltd. | 386874 |
| 116000 | Sumitomo Mitsui Financial Group, Inc. | 2980147 |
| 89200 | Sumitomo Mitsui Trust Group, Inc. | 2413724 |
| 5400 | Sun Frontier Fudousan Co. Ltd. | 77360 |
| 20700 | Suntory Beverage & Food Ltd. | 672150 |
| 5500 | Suzuken Co. Ltd. | 202628 |
| 83900 | T&D Holdings, Inc. | 1919432 |
| 1100 | Takeuchi Manufacturing Co. Ltd. | 35448 |
| 5400 | Tamron Co. Ltd. | 129153 |
| 58800 | THK Co. Ltd. | 1603247 |
| 15000 | TIS, Inc. <sup>(a)</sup> | 491953 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Japan — continued** | **Japan — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;253500 | Tokai Carbon Co. Ltd. <sup>(b)</sup> | 1816162 |
| 23000 | Tokyo Gas Co. Ltd. <sup>(a)</sup> | 771250 |
| 32200 | Tokyo Steel Manufacturing Co. Ltd. | 343517 |
| 8400 | Tokyo Tatemono Co. Ltd. | 148778 |
| 19600 | Toray Industries, Inc. | 135216 |
| 102400 | Tosei Corp. | 1794287 |
| 59900 | Tosoh Corp. | 886492 |
| 89400 | TOTO Ltd. | 2286573 |
| 111800 | Towa Corp. | 1185457 |
| 9700 | Toyo Tire Corp. | 201319 |
| 19400 | Toyoda Gosei Co. Ltd. | 375737 |
| 1900 | Toyota Boshoku Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27086 |
| 15200 | Toyota Industries Corp. <sup>(a)</sup> | 1900403 |
| 108600 | Toyota Tsusho Corp. | 2295083 |
| 600 | Tsubakimoto Chain Co. | 7565 |
| 3800 | Tsugami Corp. | 49036 |
| 5100 | TV Asahi Holdings Corp. <sup>(a)</sup> | 92182 |
| 3400 | Wacoal Holdings Corp. | 116457 |
| 19500 | YAMABIKO Corp. | 284753 |
| 171900 | Yamaha Corp. | 1199776 |
| 476100 | Yamaha Motor Co. Ltd. <sup>(b)</sup> | 3653320 |
| 5300 | Yamazen Corp. | 48220 |
| 20700 | Yellow Hat Ltd. | 217497 |
| 68800 | Yokogawa Bridge Holdings Corp. | 1216208 |
| 35800 | Yokohama Rubber Co. Ltd. | 899961 |
| 6200 | Yuasa Trading Co. Ltd. | 194039 |
| 57300 | Zenkoku Hosho Co. Ltd. | 1268698 |
|  | Total Japan | 177029168 |
|  | **Kuwait — 0.0%** | **Kuwait — 0.0%** |
| 48006 | National Bank of Kuwait SAKP | 149497 |
| 76335 | Noor Financial Investment Co. KSC | 81243 |
|  | Total Kuwait | 230740 |
|  | **Mexico — 0.4%** | **Mexico — 0.4%** |
| 57086 | Arca Continental SAB de CV | 628370 |
| 98398 | Cemex SAB de CV Sponsored ADR | 674026 |
| 8470 | Coca-Cola Femsa SAB de CV Sponsored ADR <sup>(b)</sup> | 804650 |
| 495200 | Credito Real SAB de CV SOFOM ER \* <sup>(d)</sup> |  |
| 53629 | El Puerto de Liverpool SAB de CV – Class C1 | 260458 |
| 254200 | Genomma Lab Internacional SAB de CV – Class B | 293832 |
| 349800 | Gentera SAB de CV | 686399 |
| 165022 | Grupo Financiero Banorte SAB de CV – Class O | 1463554 |
| 815 | Unifin Financiera SAB de CV \* <sup>(d)</sup> |  |
|  | Total Mexico | 4811289 |
|  | **Netherlands — 1.6%** | **Netherlands — 1.6%** |
| 4840 | Aalberts NV | 168892 |
| 41032 | ABN AMRO Bank NV | 1060654 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Netherlands — continued** | **Netherlands — continued** |
| 1642 | Akzo Nobel NV | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112059 |
| 27555 | EXOR NV | 2652956 |
| 350 | ForFarmers NV | 1675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;128358 | ING Groep NV | 2726600 |
| 37818 | JDE Peet's NV | 1040725 |
| 70099 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 2958458 |
| 28461 | Koninklijke BAM Groep NV | 237968 |
| 94445 | Koninklijke KPN NV | 444030 |
| 59209 | NN Group NV | 3725526 |
| 38254 | Prosus NV | 1965038 |
| 8974 | Randstad NV <sup>(a)</sup> | 376186 |
| 42486 | Signify NV | 1038299 |
| 988 | Wolters Kluwer NV <sup>(a)</sup> | 175202 |
|  | Total Netherlands | 18684268 |
|  | **New Zealand — 0.0%** | **New Zealand — 0.0%** |
| 42555 | Meridian Energy Ltd. <sup>(a)</sup> | 139329 |
|  | **Norway — 0.6%** | **Norway — 0.6%** |
| 35540 | Aker Solutions ASA | 116016 |
| 17685 | BW LPG Ltd. | 180932 |
| 39484 | Elkem ASA | 76108 |
| 154529 | Equinor ASA <sup>(a)</sup> | 3617649 |
| 27357 | Europris ASA | 213027 |
| 38535 | Hoegh Autoliners ASA | 320740 |
| 1322 | Odfjell Drilling Ltd. | 8232 |
| 115968 | Orkla ASA | 1314960 |
| 1648 | Selvaag Bolig ASA | 5597 |
| 4613 | Stolt-Nielsen Ltd. | 115509 |
| 37409 | Storebrand ASA | 490104 |
| 25593 | Wallenius Wilhelmsen ASA | 199811 |
|  | Total Norway | 6658685 |
|  | **Peru — 0.0%** | **Peru — 0.0%** |
| 1900 | Credicorp Ltd. | 402439 |
|  | **Philippines — 0.0%** | **Philippines — 0.0%** |
| 44480 | China Banking Corp. | 60315 |
| 244100 | LT Group, Inc. | 53834 |
| 1530 | Manila Electric Co. | 15075 |
| 114800 | Manila Water Co., Inc. | 68550 |
| 1006080 | Megaworld Corp. | 32254 |
| 164500 | Synergy Grid & Development Phils, Inc. \* | 33744 |
|  | Total Philippines | 263772 |
|  | **Poland — 0.2%** | **Poland — 0.2%** |
| 75692 | ORLEN SA | 1487319 |
| 93044 | PGE Polska Grupa Energetyczna SA \* | 232216 |
| 270 | Powszechna Kasa Oszczednosci Bank Polski SA | 5432 |
| 25976 | Powszechny Zaklad Ubezpieczen SA | 424376 |
|  | Total Poland | 2149343 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Portugal — 0.1%** | **Portugal — 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;668522 | Banco Comercial Portugues SA – Class R | 521482 |
| 66581 | Navigator Co. SA | 260730 |
| 18732 | NOS SGPS SA | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82066 |
| 18782 | REN – Redes Energeticas Nacionais SGPS SA | 62761 |
| 183628 | Sonae SGPS SA | 254526 |
|  | Total Portugal | 1181565 |
|  | **Qatar — 0.1%** | **Qatar — 0.1%** |
| 19671 | Ooredoo QPSC | 66835 |
| 140687 | Qatar National Bank QPSC | 654321 |
|  | Total Qatar | 721156 |
|  | **Russia — 0.0%** | **Russia — 0.0%** |
| 3038020 | Alrosa PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 160792062 | Federal Grid Co-Rosseti PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 180610 | Gazprom Neft PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 2050858 | Gazprom PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 455400 | GMK Norilskiy Nickel PAO \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 6310100 | Inter RAO UES PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 19776 | LSR Group PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 1 | LSR Group PJSC GDR \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 74944 | LUKOIL PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 1863335 | Magnitogorsk Iron & Steel Works PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 25400 | Mechel PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 361420 | Moscow Exchange MICEX-RTS PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 3294000 | Mosenergo PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 75720 | Novatek PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 1212010 | Novolipetsk Steel PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 3466 | PhosAgro PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 67 | PhosAgro PJSC GDR \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 102150 | Polyus PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 1 | Polyus PJSC GDR \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 24471200 | RusHydro PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 3677652 | Sberbank of Russia PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 425 | Severstal PAO <sup>(d)</sup> <sup>(e)</sup> |  |
| 91185 | Severstal PAO GDR (Registered) \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 11580 | SFI PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 5940620 | Surgutneftegas PAO <sup>(d)</sup> <sup>(e)</sup> |  |
| 332388 | Tatneft PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 1300440 | Unipro PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 50950 | United Co. RUSAL International PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 0.2%** | **Saudi Arabia — 0.2%** |
| 3003 | Al Rajhi Bank | 72841 |
| 30653 | Arab National Bank | 176821 |
| 16923 | Etihad Etisalat Co. | 268781 |
| 67463 | Riyad Bank | 521928 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Saudi Arabia — continued** | **Saudi Arabia — continued** |
| 35405 | Saudi Awwal Bank | 318365 |
| 58624 | Saudi National Bank | 541755 |
| 61709 | Saudi Telecom Co. | 688566 |
|  | Total Saudi Arabia | 2589057 |
|  | **Singapore — 0.6%** | **Singapore — 0.6%** |
| 29900 | Bumitama Agri Ltd. | 16791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;262600 | ComfortDelGro Corp. Ltd. | 288921 |
| 18108 | DBS Group Holdings Ltd. | 624771 |
| 35500 | First Real Estate Investment Trust – (REIT) <sup>(b)</sup> | 7315 |
| 84500 | First Resources Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92752 |
| 481600 | Golden Agri-Resources Ltd. | 93226 |
| 175600 | Oversea-Chinese Banking Corp. Ltd. | 2205560 |
| 7800 | Sheng Siong Group Ltd. | 10948 |
| 74700 | StarHub Ltd. | 66008 |
| 41900 | United Overseas Bank Ltd. | 1150982 |
| 11800 | Venture Corp. Ltd. | 101145 |
| 27600 | Wilmar International Ltd. | 65189 |
| 264399 | Yangzijiang Financial Holding Ltd. | 148559 |
| 1148899 | Yangzijiang Shipbuilding Holdings Ltd. | 1882254 |
| 161100 | Yanlord Land Group Ltd. \* <sup>(b)</sup> | 57306 |
|  | Total Singapore | 6811727 |
|  | **South Africa — 0.2%** | **South Africa — 0.2%** |
| 23276 | Absa Group Ltd. | 224485 |
| 4078 | JSE Ltd. | 30044 |
| 7163 | Motus Holdings Ltd. | 35738 |
| 965 | Naspers Ltd. – N Shares | 277280 |
| 22629 | Nedbank Group Ltd. | 321481 |
| 623786 | Old Mutual Ltd. | 404871 |
| 16324 | Raubex Group Ltd. | 37095 |
| 74763 | Sanlam Ltd. | 368565 |
| 12648 | Tiger Brands Ltd. | 243133 |
|  | Total South Africa | 1942692 |
|  | **South Korea — 1.9%** | **South Korea — 1.9%** |
| 7680 | Coway Co. Ltd. | 493863 |
| 20592 | Doosan Bobcat, Inc. | 699919 |
| 6860 | GS Holdings Corp. | 216128 |
| 17765 | Hana Financial Group, Inc. | 934332 |
| 13227 | Hankook Tire & Technology Co. Ltd. | 368890 |
| 25725 | HMM Co. Ltd. | 396814 |
| 15780 | Hyundai Glovis Co. Ltd. | 1294941 |
| 501 | Hyundai Home Shopping Network Corp. | 19814 |
| 20552 | Hyundai Mobis Co. Ltd. | 3767514 |
| 5763 | Hyundai Motor Co. | 772447 |
| 5198 | KB Financial Group, Inc. | 391118 |
| 3654 | KB Financial Group, Inc. ADR | 273136 |
| 55413 | Kia Corp. | 3583718 |
| 4476 | Korea Electric Power Corp. | 97891 |
| 23661 | KT&G Corp. | 2057095 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **South Korea — continued** | **South Korea — continued** |
| 2285 | Kyung Dong Navien Co. Ltd. | 124376 |
| 6639 | LG Corp. | 341042 |
| 16924 | LG Electronics, Inc. | 870451 |
| 438 | LG Innotek Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45902 |
| 3552 | POSCO Holdings, Inc. Sponsored ADR | 162326 |
| 9194 | Samsung E&A Co. Ltd. | 144667 |
| 51086 | Samsung Electronics Co. Ltd. | 2072952 |
| 26 | Samsung Electronics Co. Ltd. GDR <sup>(a)</sup> | 26184 |
| 16801 | Shinhan Financial Group Co. Ltd. | 702736 |
| 5020 | SK Square Co. Ltd. \* | 415210 |
| 90739 | Woori Financial Group, Inc. | 1266155 |
| 3601 | Youngone Corp. | 158218 |
|  | Total South Korea | 21697839 |
|  | **Spain — 1.6%** | **Spain — 1.6%** |
| 68914 | Acerinox SA | 814034 |
| 17671 | Atresmedia Corp. de Medios de Comunicacion SA <sup>(a)</sup> | 119355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;382296 | Banco Bilbao Vizcaya Argentaria SA | 5739010 |
| 1159140 | Banco de Sabadell SA | 3690097 |
| 675291 | Banco Santander SA | 5387234 |
| 13989 | Iberdrola SA <sup>(a)</sup> | 256415 |
| 5131 | Indra Sistemas SA <sup>(a)</sup> | 211403 |
| 956 | Industria de Diseno Textil SA <sup>(a)</sup> | 51792 |
| 178668 | Mapfre SA | 675820 |
| 29927 | Prosegur Cia de Seguridad SA | 92739 |
| 73677 | Repsol SA | 992646 |
| 94125 | Unicaja Banco SA | 206897 |
|  | Total Spain | 18237442 |
|  | **Sweden — 0.5%** | **Sweden — 0.5%** |
| 4317 | Betsson AB – Class B <sup>(a)</sup> | 83547 |
| 4637 | Boliden AB \* | 144968 |
| 67217 | Fastighets AB Balder – B Shares \* <sup>(b)</sup> | 471291 |
| 52048 | Investor AB – B Shares <sup>(a)</sup> | 1532704 |
| 1508 | Inwido AB | 33165 |
| 1284 | Loomis AB <sup>(a)</sup> | 49672 |
| 8490 | Skanska AB – B Shares | 201980 |
| 9701 | SKF AB – B Shares <sup>(b)</sup> | 213386 |
| 14266 | SSAB AB – B Shares <sup>(b)</sup> | 84743 |
| 29569 | Swedbank AB – A Shares | 800650 |
| 93343 | Telefonaktiebolaget LM Ericsson – B Shares | 794589 |
| 42186 | Volvo AB – B Shares <sup>(a)</sup> | 1168916 |
|  | Total Sweden | 5579611 |
|  | **Switzerland — 1.3%** | **Switzerland — 1.3%** |
| 2452 | ABB Ltd. (Registered) <sup>(a)</sup> | 138900 |
| 64370 | Adecco Group AG (Registered) <sup>(a)</sup> <sup>(b)</sup> | 1797911 |
| 393 | Bobst Group SA (Registered) | 29606 |
| 1039 | Galenica AG | 107615 |
| 534 | Implenia AG (Registered) | 31433 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Switzerland — continued** | **Switzerland — continued** |
| 4069 | Logitech International SA (Registered) | 339052 |
| 2012 | Mobilezone Holding AG (Registered) | 28558 |
| 6244 | Nestle SA (Registered) <sup>(a)</sup> | 665217 |
| 15417 | Novartis AG (Registered) <sup>(a)</sup> | 1779570 |
| 14254 | Novartis AG Sponsored ADR <sup>(a)</sup> | 1650043 |
| 21853 | Roche Holding AG <sup>(c)</sup> | 7079216 |
| 901 | Roche Holding AG <sup>(c)</sup> | 307867 |
| 6200 | Sandoz Group AG ADR | 313968 |
| 654 | Swisscom AG (Registered) <sup>(a)</sup> | 449853 |
| 562 | u-blox Holding AG \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62747 |
|  | Total Switzerland | 14781556 |
|  | **Taiwan — 2.3%** | **Taiwan — 2.3%** |
| 88000 | Asustek Computer, Inc. | 1809264 |
| 2000 | Bizlink Holding, Inc. | 41990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;204000 | Cathay Financial Holding Co. Ltd. | 403552 |
| 39000 | Compal Electronics, Inc. | 36963 |
| 78000 | CTBC Financial Holding Co. Ltd. | 105294 |
| 2000 | Delta Electronics, Inc. | 24577 |
| 145000 | Eva Airways Corp. | 195900 |
| 452200 | Evergreen Marine Corp. Taiwan Ltd. | 3653348 |
| 200205 | Fubon Financial Holding Co. Ltd. | 527757 |
| 7080 | Fusheng Precision Co. Ltd. | 82116 |
| 291318 | Hon Hai Precision Industry Co. Ltd. | 1483577 |
| 10000 | Kung Long Batteries Industrial Co. Ltd. | 47894 |
| 45000 | MediaTek, Inc. | 1847637 |
| 99000 | Mitac Holdings Corp. \* | 193251 |
| 1403000 | Pou Chen Corp. | 1447401 |
| 169472 | Radiant Opto-Electronics Corp. | 827208 |
| 23000 | Realtek Semiconductor Corp. | 410121 |
| 25000 | Shinkong Insurance Co. Ltd. | 87116 |
| 18900 | Simplo Technology Co. Ltd. | 234644 |
| 298000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 9504415 |
| 800 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR <sup>(a)</sup> | 154656 |
| 2000 | TTY Biopharm Co. Ltd. | 5004 |
| 12000 | United Integrated Services Co. Ltd. | 220402 |
| 104000 | Wan Hai Lines Ltd. | 371995 |
| 669000 | Yang Ming Marine Transport Corp. | 1760028 |
| 117000 | Yuanta Financial Holding Co. Ltd. | 121253 |
| 64000 | YungShin Global Holding Corp. | 130645 |
| 6000 | Zhen Ding Technology Holding Ltd. | 20363 |
|  | Total Taiwan | 25748371 |
|  | **Thailand — 0.9%** | **Thailand — 0.9%** |
| 164400 | 3BB Internet Infrastructure Fund – Class F | 30022 |
| 5200 | Advanced Info Service PCL NVDR | 45229 |
| 21600 | AP Thailand PCL NVDR | 4470 |
| 304700 | Digital Telecommunications Infrastructure Fund – Class F | 75657 |
| 749800 | Kasikornbank PCL NVDR | 3516855 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Thailand — continued** | **Thailand — continued** |
| 4680000 | Krung Thai Bank PCL NVDR | 3160818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;374900 | PTT Exploration & Production PCL NVDR | 1117103 |
| 810000 | PTT PCL NVDR | 733277 |
| 63200 | Regional Container Lines PCL NVDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50454 |
| 500800 | SCB X PCL NVDR | 1807399 |
| 21400 | Somboon Advance Technology PCL NVDR | 7955 |
| 104700 | Sri Trang Gloves Thailand PCL NVDR | 20673 |
| 77100 | Thai Oil PCL NVDR | 69710 |
|  | Total Thailand | 10639622 |
|  | **Turkey — 0.0%** | **Turkey — 0.0%** |
| 17328 | Dogus Otomotiv Servis ve Ticaret AS | 76664 |
| 40872 | Turk Hava Yollari AO \* | 285092 |
|  | Total Turkey | 361756 |
|  | **United Arab Emirates — 0.4%** | **United Arab Emirates — 0.4%** |
| 88804 | Abu Dhabi Commercial Bank PJSC | 291897 |
| 10244 | Abu Dhabi Islamic Bank PJSC | 53475 |
| 107031 | Dubai Islamic Bank PJSC | 240370 |
| 89209 | Emaar Development PJSC | 325321 |
| 592647 | Emaar Properties PJSC | 2122241 |
| 128253 | Emirates NBD Bank PJSC | 781897 |
| 72686 | First Abu Dhabi Bank PJSC | 318535 |
| 35723 | Orascom Construction PLC | 185026 |
|  | Total United Arab Emirates | 4318762 |
|  | **United Kingdom — 3.1%** | **United Kingdom — 3.1%** |
| 91914 | 3i Group PLC <sup>(a)</sup> | 5048388 |
| 54388 | Aberdeen Group PLC | 127286 |
| 4387 | Associated British Foods PLC | 123328 |
| 1797 | Berkeley Group Holdings PLC | 101927 |
| 38825 | British American Tobacco PLC Sponsored ADR <sup>(a)</sup> | 1754890 |
| 2130327 | BT Group PLC | 5157876 |
| 25556 | Coca-Cola HBC AG | 1331788 |
| 5230 | DCC PLC | 326959 |
| 23265 | Evraz PLC \* <sup>(d)</sup> |  |
| 115285 | Ferrexpo PLC \* | 84065 |
| 1604 | Galliford Try Holdings PLC | 8875 |
| 74625 | GSK PLC Sponsored ADR <sup>(a)</sup> | 3061864 |
| 19945 | GSK PLC <sup>(a)</sup> | 405161 |
| 85622 | HSBC Holdings PLC | 1008714 |
| 87840 | IG Group Holdings PLC | 1328735 |
| 30114 | Imperial Brands PLC | 1142063 |
| 17373 | International Personal Finance PLC | 37878 |
| 11918 | Investec PLC | 85105 |
| 644780 | ITV PLC <sup>(a)</sup> | 679266 |
| 75004 | J Sainsbury PLC | 288466 |
| 3692 | Johnson Matthey PLC | 85651 |
| 4789 | Keller Group PLC | 99112 |
| 665282 | Kingfisher PLC | 2490423 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **United Kingdom — continued** | **United Kingdom — continued** |
| 4859 | Lion Finance Group PLC | 437408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36307 | MONY Group PLC <sup>(a)</sup> | 102142 |
| 6754 | Morgan Advanced Materials PLC | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19301 |
| 5953 | Morgan Sindall Group PLC | 310883 |
| 40739 | OSB Group PLC | 268771 |
| 20286 | Paragon Banking Group PLC | 247145 |
| 21329 | Pearson PLC Sponsored ADR <sup>(a)</sup> | 340197 |
| 20638 | Plus500 Ltd. | 947548 |
| 45865 | Rio Tinto PLC Sponsored ADR <sup>(b)</sup> | 2725757 |
| 2887 | Rio Tinto PLC <sup>(a)</sup> | 170858 |
| 55836 | Schroders PLC | 267726 |
| 7798 | Shell PLC ADR <sup>(a)</sup> | 516384 |
| 14146 | Spirent Communications PLC \* | 35923 |
| 1518 | TBC Bank Group PLC | 91428 |
| 58628 | TP ICAP Group PLC | 207223 |
| 5379 | Unilever PLC Sponsored ADR <sup>(a)</sup> | 343395 |
| 7576 | Vesuvius PLC | 36811 |
| 307460 | Vodafone Group PLC Sponsored ADR <sup>(a)</sup> | 3179136 |
| 112460 | Vodafone Group PLC <sup>(a)</sup> | 116628 |
| 35451 | Zigup PLC | 166163 |
|  | Total United Kingdom | 35308647 |
|  | **United States — 11.5%** | **United States — 11.5%** |
| 2837 | Academy Sports & Outdoors, Inc. <sup>(b)</sup> | 116062 |
| 1139 | Affiliated Managers Group, Inc. | 200464 |
| 3542 | Aflac, Inc. <sup>(a)</sup> | 366742 |
| 1413 | AGCO Corp. | 138446 |
| 6273 | Akamai Technologies, Inc. \* <sup>(a)</sup> | 476309 |
| 1094 | Allstate Corp. <sup>(a)</sup> | 229598 |
| 35052 | Ally Financial, Inc. | 1226820 |
| 3426 | Alphabet, Inc. – Class A <sup>(a)</sup> | 588381 |
| 2819 | Alphabet, Inc. – Class C <sup>(a)</sup> | 487264 |
| 1979 | American Express Co. <sup>(a)</sup> | 581925 |
| 2179 | Applied Materials, Inc. <sup>(a)</sup> | 341558 |
| 2030 | Aptiv PLC \* | 135624 |
| 12634 | Arch Capital Group Ltd. <sup>(a)</sup> | 1200735 |
| 6835 | Archer-Daniels-Midland Co. | 329925 |
| 2391 | Arrow Electronics, Inc. \* | 283047 |
| 5777 | AT&T, Inc. <sup>(a)</sup> | 160602 |
| 391 | Atkore, Inc. | 25454 |
| 635 | Autoliv, Inc. | 65291 |
| 1439 | AutoNation, Inc. \* | 264560 |
| 7774 | Avnet, Inc. | 388778 |
| 65560 | Bank of America Corp. <sup>(a)</sup> | 2893163 |
| 5050 | Bank of New York Mellon Corp. <sup>(a)</sup> | 447481 |
| 2449 | Bath & Body Works, Inc. | 68866 |
| 2866 | Best Buy Co., Inc. | 189958 |
| 15140 | Block, Inc. \* <sup>(a)</sup> | 934895 |
| 5174 | Blue Owl Capital Corp. | 75799 |
| 22218 | BorgWarner, Inc. | 735194 |
| 822 | Bread Financial Holdings, Inc. | 42119 |
| 13917 | Bristol-Myers Squibb Co. <sup>(a)</sup> | 671913 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **United States — continued** | **United States — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10035 | Builders FirstSource, Inc. \* | 1080569 |
| 2375 | Bunge Global SA | 185606 |
| 13674 | Capital One Financial Corp. <sup>(a)</sup> | 2586437 |
| 1056 | Carrier Global Corp. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75187 |
| 773 | Caterpillar, Inc. <sup>(a)</sup> | 269027 |
| 10683 | CBRE Group, Inc. – Class A \* <sup>(a)</sup> | 1335589 |
| 30523 | Centene Corp. \* <sup>(a)</sup> | 1722718 |
| 964 | CH Robinson Worldwide, Inc. | 92515 |
| 10485 | Chevron Corp. <sup>(a)</sup> | 1433299 |
| 911 | Chubb Ltd. <sup>(a)</sup> | 270749 |
| 3615 | Cigna Group <sup>(a)</sup> | 1144654 |
| 18549 | Cisco Systems, Inc. <sup>(a)</sup> | 1169329 |
| 33879 | Citigroup, Inc. <sup>(a)</sup> | 2551766 |
| 73564 | CNH Industrial NV <sup>(b)</sup> | 920286 |
| 24283 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> | 1966680 |
| 79151 | Comcast Corp. – Class A <sup>(a)</sup> | 2736250 |
| 3100 | Commercial Metals Co. | 144429 |
| 2345 | Conagra Brands, Inc. | 53677 |
| 1845 | Concentrix Corp. <sup>(a)</sup> <sup>(b)</sup> | 103255 |
| 4019 | ConocoPhillips <sup>(a)</sup> | 343022 |
| 3355 | Crocs, Inc. \* | 342210 |
| 5372 | Cummins, Inc. <sup>(a)</sup> | 1726991 |
| 39956 | CVS Health Corp. <sup>(a)</sup> | 2558782 |
| 26041 | Delta Air Lines, Inc. <sup>(a)</sup> | 1260124 |
| 17425 | Devon Energy Corp. | 527281 |
| 8140 | Dollar General Corp. | 791615 |
| 11910 | DR Horton, Inc. <sup>(a)</sup> | 1406095 |
| 28493 | eBay, Inc. <sup>(a)</sup> | 2084833 |
| 1876 | Edgewell Personal Care Co. | 51815 |
| 176 | Electronic Arts, Inc. <sup>(a)</sup> | 25305 |
| 2059 | Elevance Health, Inc. <sup>(a)</sup> | 790327 |
| 649 | EnerSys | 54276 |
| 1304 | Enova International, Inc. \* | 120842 |
| 6821 | EOG Resources, Inc. <sup>(a)</sup> | 740556 |
| 5711 | EPAM Systems, Inc. \* <sup>(a)</sup> | 996512 |
| 2214 | Everest Group Ltd. | 768679 |
| 8377 | Expedia Group, Inc. <sup>(a)</sup> | 1396865 |
| 18749 | Exxon Mobil Corp. <sup>(a)</sup> | 1918023 |
| 2182 | Federated Hermes, Inc. | 92080 |
| 1939 | FedEx Corp. <sup>(a)</sup> | 422896 |
| 1445 | FMC Corp. <sup>(b)</sup> | 58609 |
| 168023 | Ford Motor Co. <sup>(a)</sup> | 1744079 |
| 2218 | Fox Corp. – Class A <sup>(a)</sup> | 121857 |
| 23642 | Fox Corp. – Class B <sup>(a)</sup> | 1188720 |
| 69152 | Franklin Resources, Inc. <sup>(b)</sup> | 1496449 |
| 24216 | GE HealthCare Technologies, Inc. <sup>(a)</sup> | 1708197 |
| 8558 | General Mills, Inc. | 464357 |
| 40260 | General Motors Co. <sup>(a)</sup> | 1997299 |
| 1319 | Genpact Ltd. <sup>(a)</sup> | 56783 |
| 1346 | Goldman Sachs Group, Inc. <sup>(a)</sup> | 808206 |
| 512 | Group 1 Automotive, Inc. | 217047 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **United States — continued** | **United States — continued** |
| 2024 | H&R Block, Inc. <sup>(a)</sup> | 115267 |
| 3897 | Hartford Insurance Group, Inc. <sup>(a)</sup> | 505986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100430 | Hewlett Packard Enterprise Co. | 1735430 |
| 71363 | HP, Inc. | 1776939 |
| 1537 | Humana, Inc. <sup>(a)</sup> | 358321 |
| 8496 | Huntington Bancshares, Inc. | 132792 |
| 18781 | Incyte Corp. \* | 1221892 |
| 65419 | Intel Corp. <sup>(a)</sup> | 1278941 |
| 5143 | International Business Machines Corp. <sup>(a)</sup> | 1332346 |
| 18344 | Invesco Ltd. | 265254 |
| 4202 | Janus Henderson Group PLC | 152659 |
| 12436 | Johnson & Johnson <sup>(a)</sup> | 1930192 |
| 7590 | JPMorgan Chase & Co. <sup>(a)</sup> | 2003760 |
| 4284 | KB Home | 220969 |
| 3015 | Keurig Dr. Pepper, Inc. | 101515 |
| 707 | Kimberly-Clark Corp. <sup>(a)</sup> | 101638 |
| 1631 | Kinder Morgan, Inc. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45733 |
| 51608 | Kraft Heinz Co. | 1379482 |
| 3644 | Kroger Co. <sup>(a)</sup> | 248630 |
| 2279 | Lam Research Corp. <sup>(a)</sup> | 184120 |
| 2867 | Lear Corp. | 259234 |
| 13729 | Lennar Corp. – Class A <sup>(a)</sup> <sup>(b)</sup> | 1456372 |
| 1965 | Lincoln National Corp. | 65120 |
| 2173 | LKQ Corp. | 87941 |
| 20611 | LyondellBasell Industries NV – Class A | 1164315 |
| 1942 | M&T Bank Corp. | 354687 |
| 346 | M/I Homes, Inc. \* | 36887 |
| 2139 | Macy's, Inc. | 25433 |
| 568 | ManpowerGroup, Inc. | 23828 |
| 34169 | Match Group, Inc. <sup>(a)</sup> | 1023020 |
| 3546 | Medtronic PLC <sup>(a)</sup> | 294247 |
| 29567 | Merck & Co., Inc. <sup>(a)</sup> | 2271928 |
| 1950 | Meritage Homes Corp. | 124040 |
| 2114 | Meta Platforms, Inc. – Class A <sup>(a)</sup> | 1368794 |
| 900 | MetLife, Inc. <sup>(a)</sup> | 70722 |
| 23516 | MGIC Investment Corp. | 621998 |
| 14109 | Micron Technology, Inc. <sup>(a)</sup> | 1332736 |
| 44289 | Moderna, Inc. \* | 1176316 |
| 519 | Mohawk Industries, Inc. \* | 52217 |
| 1537 | Molson Coors Beverage Co. – Class B | 82368 |
| 2187 | Mondelez International, Inc. – Class A <sup>(a)</sup> | 147601 |
| 3883 | Morgan Stanley <sup>(a)</sup> | 497140 |
| 816 | Mueller Industries, Inc. | 63542 |
| 509 | Northrop Grumman Corp. <sup>(a)</sup> | 246748 |
| 13414 | Nucor Corp. <sup>(a)</sup> | 1466955 |
| 1721 | Old Republic International Corp. | 65054 |
| 27616 | ON Semiconductor Corp. \* | 1160424 |
| 23295 | Organon & Co. | 214780 |
| 3099 | Oshkosh Corp. | 307390 |
| 18327 | Ovintiv, Inc. | 656473 |
| 1349 | Owens Corning | 180699 |
| 17582 | PACCAR, Inc. <sup>(a)</sup> | 1650071 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **United States — continued** | **United States — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29430 | PayPal Holdings, Inc. \* <sup>(a)</sup> | 2068340 |
| 2567 | PepsiCo, Inc. <sup>(a)</sup> | 337432 |
| 2808 | Perdoceo Education Corp. <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95584 |
| 111552 | Pfizer, Inc. <sup>(a)</sup> | 2620356 |
| 4250 | PNC Financial Services Group, Inc. | 738692 |
| 1931 | Polaris, Inc. | 75734 |
| 1571 | PPG Industries, Inc. <sup>(a)</sup> | 174067 |
| 2492 | Premier, Inc. – Class A <sup>(b)</sup> | 57266 |
| 13242 | PulteGroup, Inc. | 1298113 |
| 2055 | PVH Corp. | 172147 |
| 9942 | QUALCOMM, Inc. <sup>(a)</sup> | 1443578 |
| 10934 | Radian Group, Inc. | 373396 |
| 2930 | Raymond James Financial, Inc. <sup>(a)</sup> | 430651 |
| 3843 | Regeneron Pharmaceuticals, Inc. | 1884146 |
| 5674 | Regions Financial Corp. | 121651 |
| 4907 | Sealed Air Corp. | 158005 |
| 2527 | Signet Jewelers Ltd. <sup>(b)</sup> | 168222 |
| 2970 | Sixth Street Specialty Lending, Inc. | 69171 |
| 512 | Skechers USA, Inc. – Class A \* | 31764 |
| 17086 | Skyworks Solutions, Inc. <sup>(b)</sup> | 1179447 |
| 6991 | SLM Corp. | 226299 |
| 173 | Snap-on, Inc. | 55490 |
| 17914 | Solventum Corp. \* | 1309334 |
| 10063 | State Street Corp. <sup>(a)</sup> | 968866 |
| 8960 | Steel Dynamics, Inc. | 1102707 |
| 2083 | Steven Madden Ltd. | 51346 |
| 30960 | Synchrony Financial | 1784844 |
| 10151 | T. Rowe Price Group, Inc. <sup>(b)</sup> | 950032 |
| 11801 | Target Corp. | 1109412 |
| 906 | Taylor Morrison Home Corp. \* | 50990 |
| 510 | TE Connectivity PLC | 81636 |
| 807 | Timken Co. | 55271 |
| 402 | Toll Brothers, Inc. | 41909 |
| 2663 | Tri Pointe Homes, Inc. \* | 78505 |
| 4811 | Truist Financial Corp. | 190035 |
| 3041 | Tyson Foods, Inc. – Class A | 170783 |
| 34817 | U.S. Bancorp | 1517673 |
| 681 | UFP Industries, Inc. | 66438 |
| 14699 | United Airlines Holdings, Inc. \* <sup>(a)</sup> | 1167762 |
| 19196 | United Parcel Service, Inc. – Class B <sup>(a)</sup> | 1872378 |
| 1518 | United Therapeutics Corp. \* | 484014 |
| 1997 | Universal Health Services, Inc. – Class B | 380129 |
| 1792 | Unum Group | 146424 |
| 67313 | Verizon Communications, Inc. <sup>(a)</sup> | 2959079 |
| 146082 | Viatris, Inc. | 1284061 |
| 33190 | VICI Properties, Inc. – (REIT) <sup>(b)</sup> | 1052455 |
| 1794 | Vontier Corp. | 64136 |
| 121815 | Walgreens Boots Alliance, Inc. | 1370419 |
| 3082 | Wells Fargo & Co. <sup>(a)</sup> | 230472 |
| 29641 | Western Union Co. | 275068 |
| 2161 | Whirlpool Corp. <sup>(b)</sup> | 168752 |
| 2322 | YETI Holdings, Inc. \* | 70960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19862 | Zoom Communications, Inc. – Class A \* <sup>(a)</sup> | 1613787 |
|  | Total United States | 131879901 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Vietnam — 0.0%** | **Vietnam — 0.0%** |
| 8900 | Binh Minh Plastics JSC | 46749 |
| 6529 | Masan Consumer Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31962 |
| 114400 | Quang Ngai Sugar JSC | 209078 |
| 4300 | Vietnam Dairy Products JSC | 9066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84300 | Vietnam Engine & Agricultural Machinery Corp. | 126879 |
|  | Total Vietnam | 423734 |
|  | TOTAL COMMON STOCKS<br>(COST $703,396,217) | 682416934 |
|  | **PREFERRED STOCKS <sup>(f)</sup> — 0.8%** | **PREFERRED STOCKS <sup>(f)</sup> — 0.8%** |
|  | **Brazil — 0.4%** | **Brazil — 0.4%** |
| 45200 | Bradespar SA | 123284 |
| 1264603 | Cia Energetica de Minas Gerais | 2396765 |
| 48160 | Gerdau SA | 128410 |
| 222775 | Gerdau SA Sponsored ADR <sup>(b)</sup> | 585898 |
| 72250 | Itau Unibanco Holding SA | 472824 |
| 48180 | Itau Unibanco Holding SA Sponsored ADR | 317506 |
| 161200 | Itausa SA | 312000 |
| 46811 | Petroleo Brasileiro SA – Petrobras Sponsored ADR <sup>(a)</sup> | 506495 |
|  | Total Brazil | 4843182 |
|  | **Colombia — 0.0%** | **Colombia — 0.0%** |
| 11359 | Grupo Cibest SA ADR | 470603 |
|  | **Germany — 0.3%** | **Germany — 0.3%** |
| 8211 | Bayerische Motoren Werke AG | 680579 |
| 981 | Draegerwerk AG & Co. KGaA | 74756 |
| 5116 | Henkel AG & Co. KGaA <sup>(a)</sup> | 409920 |
| 191 | Villeroy & Boch AG | 3600 |
| 20352 | Volkswagen AG | 2203606 |
|  | Total Germany | 3372461 |
|  | **Russia — 0.0%** | **Russia — 0.0%** |
| 12924 | Bashneft PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 56000 | Nizhnekamskneftekhim PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 20810 | Sberbank of Russia PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
| 9254300 | Surgutneftegas PAO <sup>(d)</sup> <sup>(e)</sup> |  |
| 16100 | Transneft PJSC <sup>(d)</sup> <sup>(e)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 0.1%** | **South Korea — 0.1%** |
| 1194 | LG Electronics, Inc. | 31514 |
| 18916 | Samsung Electronics Co. Ltd. | 630429 |
| 51 | Samsung Electronics Co. Ltd. GDR | 42219 |
|  | Total South Korea | 704162 |
|  | TOTAL PREFERRED STOCKS<br>(COST $15,840,853) | 9390408 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **RIGHTS/WARRANTS — 0.0%** | **RIGHTS/WARRANTS — 0.0%** |
| | **Canada — 0.0%** | **Canada — 0.0%** |
| 7900 | Resolute Forest Products, Inc. \* <sup>(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11850 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $8,690) | 11850 |
|  | **INVESTMENT FUNDS — 21.7%** | **INVESTMENT FUNDS — 21.7%** |
|  | **United States — 21.7%** |  |
| 8357349 | GMO Alternative Allocation Fund, Class VI <sup>(h)</sup> | 148008646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;592482 | GMO Climate Change Fund, Class III <sup>(h)</sup> | 10481012 |
| 1152748 | GMO Emerging Country Debt Fund, Class VI <sup>(h)</sup> | 23585218 |
| 675432 | GMO High Yield Fund, Class VI <sup>(h)</sup> | 11651203 |
| 956814 | GMO Opportunistic Income Fund, Class VI <sup>(h)</sup> | 23279275 |
| 1711707 | GMO Resources Fund, Class VI <sup>(h)</sup> | 28756685 |
| 579128 | GMO U.S. Treasury Fund, Class VI <sup>(h)</sup> <sup>(i)</sup> | 2901430 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $270,068,553) | 248663469 |
|  | **DEBT OBLIGATIONS — 21.1%** |  |
|  | **United States — 21.1%** |  |
|  | **U.S. Government — 21.1%** |  |
| 84610000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.45%, due 04/30/26 <sup>(a)</sup> | 84672715 |
| 34000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.51%, due 10/31/26 | 34050088 |
| 1135000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 4.40%, due 01/31/27 | 1135378 |
| 48865000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 4.46%, due 04/30/27 <sup>(a)</sup> | 48893089 |
| 11248740 | U.S. Treasury Inflation-Indexed Bonds, 2.38%, due 02/15/55 <sup>(a)</sup> | 10692575 |
| 32203560 | U.S. Treasury Inflation-Indexed Notes, 1.88%, due 07/15/34 <sup>(a)</sup> | 31949126 |
| 30195446 | U.S. Treasury Inflation-Indexed Notes, 2.13%, due 01/15/35 <sup>(a)</sup> | 30406500 |
|  | Total U.S. Government | 241799471 |
|  | Total United States | 241799471 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $241,238,115) | 241799471 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 10.6%** | **SHORT-TERM INVESTMENTS — 10.6%** |
| | **Money Market Funds — 0.5%** | **Money Market Funds — 0.5%** |
| &nbsp;&nbsp;&nbsp;&nbsp;5924300 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(j)</sup> | 5924300 |
|  | **Repurchase Agreements — 10.1%** | **Repurchase Agreements — 10.1%** |
| 115999446 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/30/2025, maturing on 06/02/25 with a maturity value of $116,041,303 and an effective yield of 4.33%, collateralized by a U.S. Treasury Note with maturity date 07/15/27 and a market value of $118,512,415. | 115999446 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $121,923,746) | 121923746 |
|  | **TOTAL INVESTMENTS — 113.8%**<br> (Cost $1,352,476,174) | **1304205878** |
|  | **SECURITIES SOLD SHORT — (14.1)%** | **SECURITIES SOLD SHORT — (14.1)%** |
|  | **Common Stocks — (14.0)%** | **Common Stocks — (14.0)%** |
|  | **Australia — (0.6)%** | **Australia — (0.6)%** |
| (7333) | ASX Ltd. | (336927) |
| (21552) | CAR Group Ltd. | (493912) |
| (1800) | Cochlear Ltd. | (314736) |
| (2018) | Computershare Ltd. | (52248) |
| (123123) | Lottery Corp. Ltd. | (404590) |
| (663) | Mineral Resources Ltd. \* | (9479) |
| (7865) | Pro Medicus Ltd. | (1425908) |
| (3885) | REA Group Ltd. | (600098) |
| (22647) | WiseTech Global Ltd. | (1564753) |
| (11269) | Xero Ltd. \* | (1338627) |
|  | Total Australia | (6541278) |
|  | **Austria — (0.0)%** | **Austria — (0.0)%** |
| (601) | Verbund AG | (46958) |
|  | **Belgium — (0.0)%** |  |
| (168) | Argenx SE \* | (96394) |
| (35) | Lotus Bakeries NV | (362440) |
|  | Total Belgium | (458834) |
|  | **Brazil — (0.1)%** |  |
| (119974) | NU Holdings Ltd. – Class A \* | (1440888) |
|  | **Canada — (1.0)%** |  |
| (1542) | Agnico Eagle Mines Ltd. | (181940) |
| (46900) | AltaGas Ltd. | (1310268) |
| (9321) | Brookfield Renewable Corp. | (273944) |
| (24496) | Cameco Corp. | (1433751) |
| (31235) | Enbridge, Inc. | (1451803) |
| (8714) | Franco-Nevada Corp. | (1470923) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Canada — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(27746) | GFL Environmental, Inc. | (1399231) |
| (50043) | Pan American Silver Corp. | (1220549) |
| (31564) | Pembina Pipeline Corp. | (1183019) |
| (16471) | Restaurant Brands International, Inc. | (1176194) |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;(11101622) |
|  | **Denmark — (0.2)%** |  |
| (11444) | Coloplast AS – Class B | (1112592) |
| (34822) | Tryg AS | (895832) |
|  | Total Denmark | (2008424) |
|  | **France — (0.3)%** |  |
| (6693) | Aeroports de Paris SA | (897198) |
| (1570) | Bureau Veritas SA | (53651) |
| (152) | Dassault Aviation SA | (55285) |
| (2352) | Euronext NV | (383327) |
| (56183) | Getlink SE \* | (1074656) |
| (516) | Hermes International SCA | (1422876) |
|  | Total France | (3886993) |
|  | **Germany — (0.6)%** |  |
| (933) | adidas AG | (232703) |
| (3441) | CTS Eventim AG & Co. KGaA | (417381) |
| (29333) | Delivery Hero SE \* | (810950) |
| (3793) | MTU Aero Engines AG | (1517083) |
| (3222) | Qiagen NV \* | (145438) |
| (375) | Rational AG | (308337) |
| (548) | Rheinmetall AG | (1174510) |
| (14850) | Siemens Energy AG \* | (1451224) |
| (6649) | Talanx AG | (862579) |
|  | Total Germany | (6920205) |
|  | **Israel — (0.4)%** |  |
| (3830) | CyberArk Software Ltd. \* | (1466047) |
| (4944) | Monday.com Ltd. \* | (1470791) |
| (7513) | Wix.com Ltd. \* | (1119061) |
|  | Total Israel | (4055899) |
|  | **Italy — (0.4)%** |  |
| (23126) | Amplifon SpA | (531591) |
| (2965) | Ferrari NV | (1419155) |
| (62415) | FinecoBank Banca Fineco SpA | (1349784) |
| (94272) | Infrastrutture Wireless Italiane SpA | (1106753) |
|  | Total Italy | (4407283) |
|  | **Japan — (1.2)%** |  |
| (48900) | Aeon Co. Ltd. | (1503339) |
| (35200) | ANA Holdings, Inc. | (696997) |
| (40100) | Asics Corp. | (966454) |
| (7400) | Dentsu Group, Inc. | (159835) |
| (3800) | Disco Corp. | (851242) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Japan — continued** | |
| (3800) | Fujikura Ltd. | (176386) |
| (97200) | Japan Exchange Group, Inc. | (1064672) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(27900) | Kobe Bussan Co. Ltd. | (881619) |
| (1100) | McDonald's Holdings Co. Japan Ltd. | (46647) |
| (7800) | Mitsubishi Heavy Industries Ltd. | (179606) |
| (51200) | MonotaRO Co. Ltd. | (1056188) |
| (61100) | Oriental Land Co. Ltd. | (1357691) |
| (208400) | Rakuten Group, Inc. \* | (1147012) |
| (40900) | Shiseido Co. Ltd. | (658276) |
| (1016600) | SoftBank Corp. | (1562064) |
| (9100) | Tokyu Corp. | (110489) |
| (6700) | West Japan Railway Co. | (144387) |
| (13000) | Zensho Holdings Co. Ltd. | (710211) |
| (21100) | ZOZO, Inc. | (228623) |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;(13501738) |
|  | **Netherlands — (0.4)%** |  |
| (348) | Adyen NV \* | (666935) |
| (159) | ASM International NV | (86535) |
| (8289) | BE Semiconductor Industries NV | (1001685) |
| (23220) | CVC Capital Partners PLC | (432091) |
| (497) | Heineken Holding NV | (38738) |
| (31933) | InPost SA \* | (524841) |
| (47949) | Universal Music Group NV | (1534246) |
|  | Total Netherlands | (4285071) |
|  | **Norway — (0.1)%** |  |
| (8326) | Kongsberg Gruppen ASA \* | (1466376) |
|  | **Peru — (0.1)%** |  |
| (13009) | Southern Copper Corp. | (1182648) |
|  | **Singapore — (0.2)%** |  |
| (8285) | CapitaLand Integrated Commercial Trust – (REIT) | (13420) |
| (266600) | CapitaLand Investment Ltd. | (519875) |
| (283530) | Grab Holdings Ltd. – Class A \* | (1380791) |
| (62700) | Keppel Ltd. | (329234) |
|  | Total Singapore | (2243320) |
|  | **Spain — (0.2)%** |  |
| (36934) | Cellnex Telecom SA \* | (1416060) |
| (29306) | Ferrovial SE | (1492987) |
|  | Total Spain | (2909047) |
|  | **Sweden — (0.3)%** |  |
| (2062) | AddTech AB – B Shares | (70864) |
| (32889) | Beijer Ref AB | (485000) |
| (40486) | EQT AB | (1186302) |
| (2395) | Spotify Technology SA \* | (1593010) |
|  | Total Sweden | (3335176) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **Switzerland — (0.2)%** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17063) | Avolta AG | (915102) |
| (1757) | Bachem Holding AG | (110647) |
| (777) | Partners Group Holding AG | (1043021) |
| (22805) | SIG Group AG | (466297) |
| (205) | VAT Group AG | (78210) |
|  | Total Switzerland | (2613277) |
|  | **United Kingdom — (0.9)%** |  |
| (10402) | Antofagasta PLC | (248327) |
| (7072) | Auto Trader Group PLC | (75738) |
| (12362) | Entain PLC | (125340) |
| (125138) | Informa PLC | (1326850) |
| (12014) | InterContinental Hotels Group PLC | (1376661) |
| (9699) | London Stock Exchange Group PLC | (1475768) |
| (61348) | M&G PLC | (195998) |
| (128643) | Melrose Industries PLC | (815060) |
| (100110) | Phoenix Group Holdings PLC | (856639) |
| (148154) | Rolls-Royce Holdings PLC | (1724064) |
| (30642) | Severn Trent PLC | (1119060) |
| (6398) | United Utilities Group PLC | (101301) |
| (90358) | Wise PLC – Class A \* | (1340596) |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;(10781402) |
|  | **United States — (6.8)%** |  |
| (6974) | AbbVie, Inc. | (1297931) |
| (1105) | AECOM | (121384) |
| (5089) | Alnylam Pharmaceuticals, Inc. \* | (1549906) |
| (163) | Amgen, Inc. | (46973) |
| (446) | Analog Devices, Inc. | (95435) |
| (4512) | Arthur J Gallagher & Co. | (1567649) |
| (1926) | Axon Enterprise, Inc. \* | (1445193) |
| (2039) | Bentley Systems, Inc. – Class B | (97322) |
| (7685) | Boeing Co. \* | (1593254) |
| (4809) | Burlington Stores, Inc. \* | (1097750) |
| (4487) | Carvana Co. \* | (1467967) |
| (266) | Cheniere Energy, Inc. | (63039) |
| (13176) | Chipotle Mexican Grill, Inc. \* | (659854) |
| (6891) | Cintas Corp. | (1560812) |
| (9097) | Cloudflare, Inc. – Class A \* | (1509101) |
| (1291) | CoStar Group, Inc. \* | (94966) |
| (84) | Costco Wholesale Corp. | (87375) |
| (21036) | Dayforce, Inc. \* | (1242807) |
| (9019) | Dexcom, Inc. \* | (773830) |
| (36959) | DraftKings, Inc. – Class A \* | (1326089) |
| (531) | Ecolab, Inc. | (141044) |
| (2506) | Entegris, Inc. | (172262) |
| (26321) | EQT Corp. | (1451077) |
| (18550) | Equitable Holdings, Inc. | (980739) |
| (3058) | Erie Indemnity Co. – Class A | (1096324) |
| (26467) | Exact Sciences Corp. \* | (1489563) |
| (756) | Fair Isaac Corp. \* | (1305068) |
| (32360) | Fastenal Co. | (1337762) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **United States — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(18017) | Fidelity National Information Services, Inc. | (1434333) |
| (3837) | Fiserv, Inc. \* | (624625) |
| (5106) | Flutter Entertainment PLC \* <sup>(c)</sup> | (1292648) |
| (1153) | Flutter Entertainment PLC \* <sup>(c)</sup> | (291363) |
| (477) | HEICO Corp. | (142928) |
| (2321) | HubSpot, Inc. \* | (1369158) |
| (9946) | Hyatt Hotels Corp. – Class A | (1313170) |
| (4682) | Insulet Corp. \* | (1521790) |
| (1568) | International Flavors & Fragrances, Inc. | (120046) |
| (3515) | Keurig Dr. Pepper, Inc. | (118350) |
| (14779) | Liberty Media Corp.-Liberty Formula One – Class C \* | (1426617) |
| (3133) | Linde PLC | (1464928) |
| (9960) | Live Nation Entertainment, Inc. \* | (1366412) |
| (5179) | Manhattan Associates, Inc. \* | (977692) |
| (3332) | Marvell Technology, Inc. | (200553) |
| (796) | Mastercard, Inc. – Class A | (466138) |
| (1582) | McKesson Corp. | (1138265) |
| (7472) | MongoDB, Inc. \* | (1410938) |
| (1943) | Moody's Corp. | (931319) |
| (757) | Motorola Solutions, Inc. | (314443) |
| (2491) | MSCI, Inc. | (1404974) |
| (8869) | Natera, Inc. \* | (1398907) |
| (12643) | Okta, Inc. \* | (1304378) |
| (15887) | ONEOK, Inc. | (1284305) |
| (12091) | Palantir Technologies, Inc. – Class A \* | (1593352) |
| (9449) | Paychex, Inc. | (1492092) |
| (99850) | Rivian Automotive, Inc. – Class A \* | (1450821) |
| (20364) | ROBLOX Corp. – Class A \* | (1771261) |
| (6901) | Roku, Inc. \* | (500046) |
| (25492) | Rollins, Inc. | (1459417) |
| (81) | S&P Global, Inc. | (41542) |
| (33910) | Samsara, Inc. – Class A \* | (1578171) |
| (1467) | ServiceNow, Inc. \* | (1483269) |
| (18181) | Snap, Inc. – Class A \* | (149993) |
| (7186) | Snowflake, Inc. – Class A \* | (1477945) |
| (545) | Starbucks Corp. | (45753) |
| (638) | STERIS PLC | (156444) |
| (6791) | Take-Two Interactive Software, Inc. \* | (1536668) |
| (4235) | Tesla, Inc. \* | (1467258) |
| (984) | Texas Pacific Land Corp. | (1096206) |
| (37934) | Toast, Inc. – Class A \* | (1600056) |
| (502) | Trade Desk, Inc. – Class A \* | (37760) |
| (1053) | TransDigm Group, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;(1546257) |
| (454) | Twilio, Inc. – Class A \* | (53436) |
| (1269) | Tyler Technologies, Inc. \* | (732200) |
| (801) | U-Haul Holding Co. NVDR | (45689) |
| (227) | Verisk Analytics, Inc. | (71310) |
| (8769) | Vistra Corp. | (1408038) |
| (234) | Waste Connections, Inc. | (46119) |
| (2482) | Watsco, Inc. | (1100941) |
| (811) | West Pharmaceutical Services, Inc. | (170999) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **United States — continued** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(24554) | Williams Cos., Inc. | (1485763) |
| (257) | Willis Towers Watson PLC | (81353) |
| (17238) | Zillow Group, Inc. – Class C \* | (1156842) |
| (6288) | Zscaler, Inc. \* | (1733602) |
|  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;(77561359) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $112,230,508) | (160747798) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** |
| | **Germany — (0.1)%** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3825) | Sartorius AG | (917531) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $1,225,590) | (917531) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $113,456,098) | **(161665329)** |
|  | Other Assets and Liabilities (net) — 0.3% | 3553004 |
|  | **TOTAL NET ASSETS — 100.0%** | **$1146093553** |

---

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>**May 31, 2025** |
| Alrosa PJSC | 12/06/17 | $4239436 | 0.0% | $— |
| Bashneft PJSC | 06/11/20 | 245233 | 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% |  |
| 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 | 07/22/20 | 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 PJSC | 01/13/21 | 50836 | 0.0% |  |
| United Co. RUSAL International PJSC | 11/12/21 | 51607 | 0.0% |  |
|  |  |  |  | $— |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

A summary of outstanding financial instruments at May 31, 2025 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration**<br>**Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 426 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 47179500 | 259374 |
| 426 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 88368375 | 112423 |
| 1071 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 115868812 | 246186 |
| 215 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2025 | 24197578 | 46059 |
| 57 | U.S. Ultra Bond (CBT) | September 2025 | 6615563 | 46692 |
|  |  |  | $282229828 | $710734 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration**<br>**Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Sales |  |  |  |  |
| 22 | MSCI EAFE Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;June 2025 | 2864950 | (12385) |
| 15 | TOPIX Index | June 2025 | 2896656 | 31693 |
|  |  |  | $5761606 | $19308 |

---

+ 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** | **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^:** |  |  |  |  |  |  |  |  |  |
|  CDX.EM.S43 | USD 22,800,000 | 1.00% | 1.72% | N/A | 06/20/2030 | Quarterly | 807120 | 728848 | (78272) |
|  CDX.NA.HY.S44 | USD 11,448,000 | 5.00% | 3.51% | N/A | 06/20/2030 | Quarterly | (678981) | (705643) | (26662) |
|  |  |  |  |  |  |  | $128139 | $23205 | $(104934) |

---

---

| | |
|:---|:---|
| ^ | 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>

(1) As of May 31, 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.

(2) 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 Funds<br>Rate minus 0.40% | GS | USD | 5868514 | 06/24/2026 | Monthly | – | 47015 | 47015 |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal Funds<br>Rate minus 0.40% | MORD | USD | 7362975 | 06/18/2027 | Monthly | – | (391577) | (391577) |
|  |  |  |  |  |  |  | $– $| (344562) | $(344562) |

---

As of May 31, 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 Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 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, and/or written options, if any. (b) All or a portion of this security is out on loan.

(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 May 31, 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.

The rates shown on variable rate notes are the current interest rates at May 31, 2025, which are subject to change based on the terms of the security.

**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

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

**Counterparty Abbreviations:** 

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

**Currency Abbreviations:** 

USD - United States Dollar

------

**GMO Global Asset Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** | **INVESTMENT FUNDS — 99.9%** |
| | **United States — 99.9%** | **United States — 99.9%** |
| 2825417 | GMO Alternative Allocation Fund, Class VI <sup>(a)</sup> | 50038131 |
| 1174237 | GMO Asset Allocation Bond Fund, Class VI <sup>(a)</sup> | 21300652 |
| 167262 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 2958870 |
| 615203 | GMO Emerging Country Debt Fund, Class VI <sup>(a)</sup> | 12587052 |
| 1006705 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 12563673 |
| 989552 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 24788289 |
| 2018646 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 60034526 |
| 1799735 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 29857612 |
| 1107186 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 25465289 |
| 2614530 | GMO Multi-Sector Fixed Income Fund, Class IV <sup>(a)</sup> | 45466680 |
| 156196 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 3800257 |
| 364549 | GMO Quality Fund, Class VI <sup>(a)</sup> | 12197806 |
| 412232 | GMO Resources Fund, Class VI <sup>(a)</sup> | 6925490 |
| 510027 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 11342997 |
| 2588821 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 33577015 |
| 1291989 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 27428919 |
| 374804 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 7413628 |
| 1691879 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 8476312 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $396,055,712) | 396223198 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 44492 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 44492 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $44,492) | 44492 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $396,100,204) | **396267690** |
|  | Other Assets and Liabilities (net) — 0.1% | 261498 |
|  | **TOTAL NET ASSETS — 100.0%** | **$396529188** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO Global Developed Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 100.0%** |  |
|  | **United States — 100.0%** |  |
| 33498 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 592580 |
| 137655 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 1717934 |
| 756796 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 22507111 |
| 564075 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 9358004 |
| 225789 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 5193148 |
| 363381 | GMO Quality Fund, Class VI <sup>(a)</sup> | 12158729 |
| 117867 | GMO Resources Fund, Class VI <sup>(a)</sup> | 1980171 |
| 182869 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 4067015 |
| 755762 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 9802233 |
| 571026 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 12122875 |
| 124987 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 2472235 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $71,579,201) | 81972035 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 79765 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 79765 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $79,765) | 79765 |
|  | **TOTAL INVESTMENTS — 100.1%**<br> (Cost $71,658,966) | **82051800** |
|  | Other Assets and Liabilities (net) — (0.1%) | (42263) |
|  | **TOTAL NET ASSETS — 100.0%** | **$82009537** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO Global Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** | **INVESTMENT FUNDS — 99.9%** |
| | **United States — 99.9%** | **United States — 99.9%** |
| 276898 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 4898324 |
| 865594 | GMO Emerging Markets ex-China Fund,<br>Class VI <sup>(a)</sup> | 10802620 |
| 2159351 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 54091748 |
| 4409943 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 131151699 |
| 3640079 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 60388907 |
| 1440488 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 33131226 |
| 1953046 | GMO Quality Fund, Class VI <sup>(a)</sup> | 65348913 |
| 890395 | GMO Resources Fund, Class VI <sup>(a)</sup> | 14958631 |
| 1221661 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 27169740 |
| 4199960 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 54473485 |
| 3321866 | GMO U.S. Opportunistic Value Fund,<br>Class VI <sup>(a)</sup> | 70523219 |
| 800116 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 15826294 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $503,599,152) | 542764806 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 345536 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 345536 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $345,536) | 345536 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $503,944,688) | **543110342** |
|  | Other Assets and Liabilities (net) — (0.0%) | (120495) |
|  | **TOTAL NET ASSETS — 100.0%** | **$542989847** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 76.2%** |  |
| | **Argentina — 0.2%** | |
| 9185 | Adecoagro SA | 84594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44900 | Vista Energy SAB de CV ADR\* | 2223897 |
| 62466 | YPF SA Sponsored ADR\* <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2210047 |
|  | Total Argentina | 4518538 |
|  | **Australia — 1.4%** |  |
| 141472 | Accent Group Ltd. | 173218 |
| 214007 | AMP Ltd. | 172363 |
| 18358 | Ansell Ltd. | 373331 |
| 13924 | Aristocrat Leisure Ltd. <sup>(b)</sup> | 559501 |
| 113075 | Aurizon Holdings Ltd. | 215031 |
| 396356 | BHP Group Ltd. <sup>(b)</sup> | 9736481 |
| 284993 | BlueScope Steel Ltd. | 4183388 |
| 189200 | Brambles Ltd. <sup>(b)</sup> | 2830102 |
| 332910 | Fortescue Ltd. | 3312053 |
| 391714 | Grange Resources Ltd. | 48014 |
| 125873 | Harvey Norman Holdings Ltd. | 425058 |
| 157176 | Helia Group Ltd. | 527002 |
| 49194 | HomeCo Daily Needs – (REIT) | 40438 |
| 33018 | JB Hi-Fi Ltd. | 2293813 |
| 12515 | Mineral Resources Ltd. \* <sup>(a)</sup> | 178925 |
| 99815 | Ramelius Resources Ltd. | 186577 |
| 7816 | Rio Tinto Ltd. <sup>(b)</sup> | 568387 |
| 88154 | Santos Ltd. | 374424 |
| 79010 | Southern Cross Media Group Ltd. \* | 34327 |
| 154510 | Sunrise Energy Metals Ltd. \* <sup>(a)</sup> | 44246 |
| 54798 | Super Retail Group Ltd. | 505675 |
|  | Total Australia | 26782354 |
|  | **Austria — 0.5%** |  |
| 57965 | Erste Group Bank AG | 4667892 |
| 38684 | OMV AG <sup>(a)</sup> | 2069152 |
| 53952 | Raiffeisen Bank International AG | 1649581 |
| 1869 | Strabag SE | 164583 |
| 6888 | UNIQA Insurance Group AG | 95565 |
| 1807 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 88627 |
|  | Total Austria | 8735400 |
|  | **Belgium — 0.6%** |  |
| 117843 | Ageas SA | 7694998 |
| 5795 | Bekaert SA | 235415 |
| 9542 | Econocom Group SA NV | 21524 |
| 16921 | KBC Group NV | 1672863 |
| 1487 | Melexis NV <sup>(a)</sup> | 99968 |
| 152692 | Proximus SADP | 1332125 |
| 13965 | Syensqo SA <sup>(a)</sup> | 1071823 |
|  | Total Belgium | 12128716 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Brazil — 0.7%** | |
| 500000 | Ambev SA ADR | 1220000 |
| 4300 | Cia de Saneamento Basico do Estado de Sao Paulo SABESP ADR <sup>(b)</sup> | 88322 |
| 315800 | Cia de Saneamento de Minas Gerais Copasa MG | 1318525 |
| 86500 | Cia De Sanena Do Parana | 495604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;206000 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;899348 |
| 7700 | Embraer SA | 88167 |
| 400 | Embraer SA Sponsored ADR | 18396 |
| 593400 | JBS SA | 4162463 |
| 62 | Petroleo Brasileiro SA – Petrobras Sponsored ADR <sup>(b)</sup> | 715 |
| 45100 | Petroreconcavo SA | 114100 |
| 16300 | PRIO SA \* | 111004 |
| 82326 | Sao Martinho SA | 304575 |
| 89200 | Suzano SA | 774330 |
| 154200 | Vale SA | 1404637 |
| 632700 | Vibra Energia SA | 2232343 |
|  | Total Brazil | 13232529 |
|  | **Canada — 4.0%** |  |
| 58000 | Anaergia, Inc. \* <sup>(a)</sup> | 55365 |
| 19900 | ARC Resources Ltd. | 415879 |
| 12800 | Bank of Montreal <sup>(b)</sup> | 1374530 |
| 87000 | Bank of Nova Scotia <sup>(c)</sup> | 4655088 |
| 30861 | Bank of Nova Scotia <sup>(c)</sup> | 1651681 |
| 7700 | Canadian Imperial Bank of Commerce | 524218 |
| 48000 | Canadian Tire Corp. Ltd. – Class A | 6099552 |
| 13478 | Canfor Corp. \* | 127674 |
| 21942 | Centerra Gold, Inc. | 156446 |
| 2300 | CGI, Inc. <sup>(b)</sup> <sup>(c)</sup> | 247254 |
| 750 | CGI, Inc. <sup>(b)</sup> <sup>(c)</sup> | 80670 |
| 3400 | Cogeco Communications, Inc. | 171195 |
| 6787 | Cogeco, Inc. | 324377 |
| 69680 | Dundee Precious Metals, Inc. | 1073875 |
| 25900 | Empire Co. Ltd. – Class A | 999689 |
| 17400 | Enerflex Ltd. | 122606 |
| 77 | Fairfax Financial Holdings Ltd. <sup>(b)</sup> | 131017 |
| 35100 | First Quantum Minerals Ltd. \* | 519972 |
| 1100 | George Weston Ltd. <sup>(b)</sup> | 221467 |
| 7618 | Gildan Activewear, Inc. | 354999 |
| 33300 | iA Financial Corp., Inc. | 3390298 |
| 49100 | IGM Financial, Inc. | 1567436 |
| 4400 | Imperial Oil Ltd. <sup>(b)</sup> | 314141 |
| 10963 | Interfor Corp. \* | 100176 |
| 12665 | International Petroleum Corp. \* <sup>(a)</sup> | 178211 |
| 183700 | Ivanhoe Mines Ltd. – Class A \* <sup>(a)</sup> | 1422910 |
| 6018 | Kinross Gold Corp. | 88766 |
| 110972 | Largo, Inc. \* <sup>(a)</sup> | 143936 |
| 86538 | Magna International, Inc. <sup>(a)</sup> <sup>(c)</sup> | 3139599 |
| 31000 | Magna International, Inc. <sup>(c)</sup> | 1125383 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Canada — continued** | |
| 199939 | Manulife Financial Corp. <sup>(b)</sup> <sup>(c)</sup> | 6366695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107536 | Manulife Financial Corp. <sup>(b)</sup> <sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3423946 |
| 2400 | Metro, Inc. | 187194 |
| 3100 | National Bank of Canada | 305109 |
| 192000 | NexGen Energy Ltd. \* <sup>(a)</sup> | 1183605 |
| 47905 | Nutrien Ltd. <sup>(c)</sup> | 2827832 |
| 1800 | Nutrien Ltd. <sup>(c)</sup> | 106346 |
| 13400 | Onex Corp. | 994686 |
| 150991 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 4274555 |
| 27600 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 781532 |
| 46500 | Parex Resources, Inc. | 459799 |
| 201856 | Power Corp. of Canada | 7811835 |
| 2800 | Precision Drilling Corp. \* <sup>(a)</sup> | 121010 |
| 72700 | Quebecor, Inc. – Class B | 2045358 |
| 18400 | Russel Metals, Inc. | 550653 |
| 6000 | Spin Master Corp. | 104930 |
| 56700 | Sun Life Financial, Inc. <sup>(b)</sup> <sup>(c)</sup> | 3652334 |
| 9308 | Sun Life Financial, Inc. <sup>(b)</sup> <sup>(c)</sup> | 601762 |
| 104400 | Tamarack Valley Energy Ltd. <sup>(a)</sup> | 332443 |
| 92100 | Toronto-Dominion Bank <sup>(c)</sup> | 6360125 |
| 12431 | Toronto-Dominion Bank <sup>(a)</sup> <sup>(b) (c)</sup> | 858361 |
| 18000 | Transcontinental, Inc. – Class A | 280424 |
| 33000 | Vermilion Energy, Inc. | 214830 |
| 2943 | Wajax Corp. | 48230 |
| 19000 | West Fraser Timber Co. Ltd. <sup>(c)</sup> | 1399716 |
| 11995 | West Fraser Timber Co. Ltd. <sup>(c)</sup> | 882592 |
| 53000 | Whitecap Resources, Inc. <sup>(a)</sup> | 330586 |
|  | Total Canada | 77284898 |
|  | **China — 2.3%** |  |
| 31000 | 361 Degrees International Ltd. | 16986 |
| 131500 | 3SBio, Inc. | 316022 |
| 90800 | Alibaba Group Holding Ltd. | 1292793 |
| 47328 | Alibaba Group Holding Ltd. Sponsored ADR <sup>(b)</sup> | 5387820 |
| 200 | Autohome, Inc. ADR <sup>(b)</sup> | 4904 |
| 810000 | AviChina Industry & Technology Co. Ltd. – Class H | 407478 |
| 1453500 | BAIC Motor Corp. Ltd. – Class H | 366179 |
| 578871 | Bank of Communications Co. Ltd. – Class H | 505292 |
| 179000 | Beijing Enterprises Holdings Ltd. | 750004 |
| 2606000 | China Communications Services Corp. Ltd.<br>– Class H | 1496913 |
| 3913000 | China Construction Bank Corp. – Class H | 3498522 |
| 1761000 | China Feihe Ltd. | 1360974 |
| 3659000 | China Greenfresh Group Co. Ltd. \* <sup>(d)</sup> |  |
| 975500 | China Hongqiao Group Ltd. <sup>(a)</sup> | 1733431 |
| 89000 | China Lesso Group Holdings Ltd. | 44414 |
| 348000 | China National Building Material Co. Ltd. – Class H | 154814 |
| 1658000 | China Railway Group Ltd. – Class H | 745648 |
| 4932000 | China Reinsurance Group Corp. – Class H | 632557 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **China — continued** | |
| 166000 | China Resources Pharmaceutical Group Ltd. | 108867 |
| 300000 | China State Construction International Holdings Ltd. | 421988 |
| &nbsp;&nbsp;&nbsp;&nbsp;4237600 | China Zhongwang Holdings Ltd. \* <sup>(a)</sup> <sup>(d)</sup> | 1 |
| 1156158 | CITIC Ltd. | 1454063 |
| 760000 | Consun Pharmaceutical Group Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;1026460 |
| 1616000 | CSPC Pharmaceutical Group Ltd. | 1663852 |
| 27200 | ENN Energy Holdings Ltd. | 215668 |
| 251000 | Fufeng Group Ltd. | 218145 |
| 736000 | Geely Automobile Holdings Ltd. | 1640410 |
| 117100 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 267543 |
| 125000 | Inkeverse Group Ltd. | 21255 |
| 61772 | JD.com, Inc. ADR <sup>(b)</sup> | 2002031 |
| 56000 | Kunlun Energy Co. Ltd. | 55942 |
| 151300 | Legend Holdings Corp. – Class H \* | 151554 |
| 221000 | Lonking Holdings Ltd. | 52836 |
| 90000 | Midea Real Estate Holding Ltd. \* <sup>(a)</sup> | 43457 |
| 6800 | NetEase, Inc. | 164412 |
| 78000 | Orient Overseas International Ltd. | 1340857 |
| 476000 | PICC Property & Casualty Co. Ltd. – Class H | 904454 |
| 194000 | Sino Biopharmaceutical Ltd. | 109428 |
| 851000 | Sinopec Engineering Group Co. Ltd. – Class H | 603055 |
| 218000 | Sinopharm Group Co. Ltd. – Class H | 525528 |
| 611000 | TCL Electronics Holdings Ltd. | 791826 |
| 166000 | Tencent Holdings Ltd. | 10465075 |
| 440000 | Tianneng Power International Ltd. <sup>(a)</sup> | 342575 |
| 7200 | Vipshop Holdings Ltd. ADR | 99288 |
| 23800 | Weibo Corp. Sponsored ADR <sup>(b)</sup> | 215390 |
| 96900 | Western Mining Co. Ltd. – Class A | 211656 |
| 35000 | Xiaomi Corp. – Class B \* | 225295 |
| 121000 | Zhongsheng Group Holdings Ltd. | 181541 |
|  | Total China | 44239203 |
|  | **Colombia — 0.0%** |  |
| 6818 | Corp. Financiera Colombiana SA \* | 30357 |
|  | **Czech Republic — 0.0%** |  |
| 711 | Moneta Money Bank AS | 4655 |
| 283 | Philip Morris CR AS \* | 238260 |
|  | Total Czech Republic | 242915 |
|  | **Denmark — 0.7%** |  |
| 862 | AP Moller - Maersk AS – Class A <sup>(b)</sup> | 1539611 |
| 1931 | AP Moller - Maersk AS – Class B <sup>(b)</sup> | 3498286 |
| 56080 | Danske Bank AS | 2148968 |
| 12944 | Genmab AS \* | 2730661 |
| 35952 | H Lundbeck AS | 199525 |
| 3998 | Matas AS | 82343 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Denmark — continued** | |
| 47200 | Rockwool AS – B Shares | 2239746 |
| 5913 | Scandinavian Tobacco Group AS | 76601 |
| 67599 | Vestas Wind Systems AS | 1069095 |
|  | Total Denmark | 13584836 |
|  | **Egypt — 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;237364 | Eastern Co. SAE | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;159085 |
| 421 | ElSewedy Electric Co. | 692 |
|  | Total Egypt | 159777 |
|  | **Finland — 0.4%** |  |
| 120614 | Neste OYJ | 1293873 |
| 831102 | Nokia OYJ | 4325304 |
| 49175 | Outokumpu OYJ | 190464 |
| 2141 | Sanoma OYJ <sup>(b)</sup> | 23197 |
| 32158 | TietoEVRY OYJ <sup>(b)</sup> | 586737 |
| 39584 | Valmet OYJ | 1293386 |
|  | Total Finland | 7712961 |
|  | **France — 2.8%** |  |
| 3261 | Amundi SA | 266238 |
| 27742 | Aperam SA | 843121 |
| 95473 | ArcelorMittal SA | 2894529 |
| 868 | Arkema SA | 62023 |
| 13350 | AXA SA <sup>(b)</sup> | 629260 |
| 58301 | BNP Paribas SA | 5105677 |
| 48812 | Carrefour SA | 729952 |
| 40897 | Cie de Saint-Gobain SA <sup>(b)</sup> | 4604343 |
| 2894 | Cie Generale des Etablissements Michelin SCA <sup>(b)</sup> | 110722 |
| 55647 | Coface SA | 1040946 |
| 36324 | Credit Agricole SA | 665062 |
| 15907 | Derichebourg SA | 108832 |
| 699 | Eiffage SA | 96144 |
| 1289 | Eramet SA <sup>(a)</sup> | 75894 |
| 307 | Fnac Darty SA | 10593 |
| 10711 | Ipsen SA \* | 1261112 |
| 4797 | IPSOS SA <sup>(b)</sup> | 244727 |
| 1650 | Mersen SA | 38325 |
| 14110 | Metropole Television SA <sup>(b)</sup> | 198742 |
| 216232 | Orange SA <sup>(b)</sup> | 3227352 |
| 14281 | Quadient SA | 266924 |
| 50643 | Renault SA | 2603790 |
| 44285 | Rexel SA | 1243904 |
| 23291 | Rubis SCA <sup>(b)</sup> | 758321 |
| 64478 | Sanofi SA <sup>(b)</sup> | 6385959 |
| 464 | Schneider Electric SE <sup>(b)</sup> | 117073 |
| 5321 | Societe BIC SA | 328690 |
| 82931 | Societe Generale SA | 4502959 |
| 5883 | STMicroelectronics NV <sup>(a)</sup> | 147899 |
| 146335 | STMicroelectronics NV - NY Shares <sup>(a)</sup> | 3659838 |
| 13125 | Teleperformance SE <sup>(b)</sup> | 1326571 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **France — continued** | |
| 52409 | Television Francaise 1 SA <sup>(b)</sup> | 506792 |
| 135110 | TotalEnergies SE <sup>(b)</sup> <sup>(c)</sup> | 7953678 |
| 1951 | TotalEnergies SE <sup>(c)</sup> | 114396 |
| 63581 | Valeo SE | 669643 |
| 31270 | Veolia Environnement SA <sup>(b)</sup> | 1076207 |
| 124805 | Vivendi SE \* <sup>(b)</sup> | 421161 |
|  | Total France | 54297399 |
|  | **Germany — 2.1%** |  |
| 19265 | 1&1 AG | 399319 |
| 1594 | Allianz SE (Registered) <sup>(b)</sup> | 632202 |
| 272 | Amadeus Fire AG | 23076 |
| 70393 | Bayer AG (Registered) | 1981811 |
| 28391 | Bayerische Motoren Werke AG | 2518879 |
| 37629 | Continental AG | 3300116 |
| 63484 | Daimler Truck Holding AG <sup>(b)</sup> | 2757326 |
| 221665 | Deutsche Bank AG (Registered) <sup>(b)</sup> | 6139036 |
| 49582 | Deutsche Post AG <sup>(b)</sup> | 2224886 |
| 354 | Draegerwerk AG & Co. KGaA | 22195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178213 | E.ON SE <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3123377 |
| 12589 | Freenet AG | 415830 |
| 23781 | Fresenius Medical Care AG | 1350870 |
| 14224 | Fresenius SE & Co. KGaA <sup>(b)</sup> | 697104 |
| 16106 | Heidelberg Materials AG | 3156957 |
| 5589 | Henkel AG & Co. KGaA | 410373 |
| 502 | Hornbach Holding AG & Co. KGaA | 50672 |
| 25590 | Kloeckner & Co. SE | 182650 |
| 82415 | Mercedes-Benz Group AG <sup>(b)</sup> | 4928227 |
| 45076 | ProSiebenSat.1 Media SE <sup>(b)</sup> | 362293 |
| 2366 | RTL Group SA | 90725 |
| 6338 | Salzgitter AG | 151234 |
| 5741 | SAP SE <sup>(b)</sup> | 1736767 |
| 14194 | Siemens AG (Registered) <sup>(b)</sup> | 3413986 |
| 4154 | Wacker Neuson SE | 105436 |
| 792 | Wuestenrot & Wuerttembergische AG | 12464 |
|  | Total Germany | 40187811 |
|  | **Greece — 0.0%** |  |
| 31565 | Eurobank Ergasias Services & Holdings SA | 97222 |
| 40858 | National Bank of Greece SA | 486520 |
| 28150 | Piraeus Financial Holdings SA | 187531 |
| 1779 | Sarantis SA | 27089 |
|  | Total Greece | 798362 |
|  | **Hong Kong — 0.8%** |  |
| 2665 | 3DG Holdings International Ltd. \* | 166 |
| 83000 | Bank of East Asia Ltd. | 116766 |
| 98500 | BOC Hong Kong Holdings Ltd. | 414243 |
| 65000 | Chow Sang Sang Holdings International Ltd. | 66167 |
| 833000 | CITIC Telecom International Holdings Ltd. | 240932 |
| 462000 | CK Asset Holdings Ltd. | 1908403 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Hong Kong — continued** | |
| 618500 | CK Hutchison Holdings Ltd. | 3458475 |
| 74000 | Dah Sing Banking Group Ltd. | 83796 |
| 44800 | Dah Sing Financial Holdings Ltd. | 167431 |
| 500000 | E-Commodities Holdings Ltd. | 47737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284000 | First Pacific Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;194974 |
| 230000 | Giordano International Ltd. | 42522 |
| 78000 | Health & Happiness H&H International Holdings Ltd. | 128044 |
| 362000 | HKT Trust & HKT Ltd. – Class SS | 521384 |
| 580000 | IGG, Inc. | 260880 |
| 146500 | Johnson Electric Holdings Ltd. | 390705 |
| 162002 | K Wah International Holdings Ltd. | 37304 |
| 24000 | KLN Logistics Group Ltd. | 23990 |
| 34000 | Luk Fook Holdings International Ltd. | 78585 |
| 443000 | Pacific Basin Shipping Ltd. | 109189 |
| 37000 | SITC International Holdings Co. Ltd. | 118067 |
| 39500 | SmarTone Telecommunications Holdings Ltd. | 22057 |
| 73000 | Stella International Holdings Ltd. | 130227 |
| 139500 | Sun Hung Kai Properties Ltd. <sup>(b)</sup> | 1498463 |
| 66000 | Swire Pacific Ltd. – Class A | 562217 |
| 3000 | Techtronic Industries Co. Ltd. | 33415 |
| 105500 | Texhong International Group Ltd. | 45718 |
| 4316000 | United Energy Group Ltd. | 258222 |
| 484000 | VSTECS Holdings Ltd. <sup>(a)</sup> | 384613 |
| 74200 | VTech Holdings Ltd. | 493150 |
| 4675500 | WH Group Ltd. | 4300325 |
| 182000 | Yue Yuen Industrial Holdings Ltd. | 273446 |
|  | Total Hong Kong | 16411613 |
|  | **Hungary — 0.6%** |  |
| 173024 | Magyar Telekom Telecommunications PLC | 860031 |
| 145172 | MOL Hungarian Oil & Gas PLC \* | 1255318 |
| 97265 | OTP Bank Nyrt | 7378164 |
| 45130 | Richter Gedeon Nyrt | 1313153 |
|  | Total Hungary | 10806666 |
|  | **India — 1.4%** |  |
| 18905 | Ashapura Minechem Ltd. \* | 93497 |
| 108377 | Aurobindo Pharma Ltd. \* | 1458114 |
| 11952 | Bajaj Finance Ltd. | 1278703 |
| 79020 | Bharat Petroleum Corp. Ltd. | 293707 |
| 102260 | Brightcom Group Ltd. \* <sup>(e)</sup> | 12284 |
| 32978 | Chambal Fertilisers & Chemicals Ltd. | 211869 |
| 113776 | Cipla Ltd. | 1949111 |
| 13297 | Dhampur Bio Organics Ltd. | 11830 |
| 3330 | Divi's Laboratories Ltd. | 257597 |
| 82955 | Dr. Reddy's Laboratories Ltd. ADR <sup>(a)</sup> | 1221098 |
| 55635 | Dr. Reddy's Laboratories Ltd. | 814734 |
| 105114 | Federal Bank Ltd. | 248741 |
| 467390 | GAIL India Ltd. | 1038750 |
| 23998 | GHCL Ltd. | 172514 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **India — continued** | |
| 58619 | Glenmark Pharmaceuticals Ltd. | 1001394 |
| 8492 | Goldiam International Ltd. | 37575 |
| 84989 | HDFC Bank Ltd. \* | 1936062 |
| 10600 | HDFC Bank Ltd. ADR <sup>(b)</sup> | 799134 |
| 5233 | Hero MotoCorp Ltd. | 263731 |
| 97591 | Hindalco Industries Ltd. | 724286 |
| 47327 | ICICI Bank Ltd. | 802904 |
| 1186 | Indian Oil Corp. Ltd. | 1971 |
| 9749 | Indraprastha Medical Corp. Ltd. | 50090 |
| 6422 | Indus Towers Ltd. \* | 28716 |
| 24844 | ITC Ltd. | 121754 |
| 6556 | LIC Housing Finance Ltd. | 45730 |
| 33751 | Lupin Ltd. | 772870 |
| 6297 | Mahindra & Mahindra Ltd. | 218890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;816390 | Manappuram Finance Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;2269436 |
| 23494 | Muthoot Finance Ltd. | 606439 |
| 13453 | Natco Pharma Ltd. | 138791 |
| 182859 | NMDC Ltd. | 152371 |
| 1003581 | Oil & Natural Gas Corp. Ltd. | 2809050 |
| 8576 | Oil India Ltd. | 42851 |
| 230684 | Petronet LNG Ltd. | 829871 |
| 2443 | Pokarna Ltd. | 30596 |
| 70055 | Power Finance Corp. Ltd. | 333664 |
| 92511 | Power Grid Corp. of India Ltd. | 313657 |
| 152962 | Shriram Finance Ltd. | 1144649 |
| 43585 | Siyaram Silk Mills Ltd. | 367155 |
| 37549 | Sun Pharmaceutical Industries Ltd. | 735971 |
| 2117 | Vadilal Industries Ltd. | 132949 |
| 162909 | Wipro Ltd. | 475833 |
| 84825 | Zydus Lifesciences Ltd. | 919840 |
|  | Total India | 27170779 |
|  | **Indonesia — 0.8%** |  |
| 196400 | AKR Corporindo Tbk. PT | 15333 |
| 10390500 | Aneka Tambang Tbk. PT \* | 1981713 |
| 14241700 | Astra International Tbk. PT | 4234862 |
| 811100 | Astra Otoparts Tbk. PT | 104811 |
| 2554100 | Bank Negara Indonesia Persero Tbk. PT | 704428 |
| 370200 | Bank OCBC Nisp Tbk. PT | 31034 |
| 96300 | Bank Pan Indonesia Tbk. PT \* | 7091 |
| 1558900 | Bank Pembangunan Daerah Jawa Timur Tbk. PT \* | 54060 |
| 8132400 | Dharma Satya Nusantara Tbk. PT | 392092 |
| 6943500 | Erajaya Swasembada Tbk. PT | 236636 |
| 50900 | Gudang Garam Tbk. PT \* | 31234 |
| 163000 | Hanjaya Mandala Sampoerna Tbk. PT \* | 6550 |
| 361700 | Indofood CBP Sukses Makmur Tbk. PT | 241708 |
| 6204100 | Indofood Sukses Makmur Tbk. PT | 2994790 |
| 488800 | Industri Jamu Dan Farmasi Sido Muncul Tbk. PT | 15449 |
| 5033500 | Japfa Comfeed Indonesia Tbk. PT | 496018 |
| 1618000 | Kalbe Farma Tbk. PT \* | 150304 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Indonesia — continued** | |
| 5243700 | Lippo Karawaci Tbk. PT \* | 27985 |
| 55900 | Pabrik Kertas Tjiwi Kimia Tbk. PT | 20677 |
| 35820400 | Panin Financial Tbk. PT \* | 646195 |
| &nbsp;&nbsp;&nbsp;&nbsp;9444700 | Perusahaan Gas Negara Tbk. PT | &nbsp;&nbsp;&nbsp;&nbsp;1052783 |
| 6597300 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 493267 |
| 4431500 | Saratoga Investama Sedaya Tbk. PT \* | 476007 |
| 14969700 | Surya Citra Media Tbk. PT | 148509 |
| 6058100 | Telkom Indonesia Persero Tbk. PT \* | 1047274 |
| 3400 | Telkom Indonesia Persero Tbk. PT ADR\* | 58310 |
| 1140500 | Tempo Scan Pacific Tbk. PT | 182012 |
| 9213000 | Triputra Agro Persada PT | 511964 |
|  | Total Indonesia | 16363096 |
|  | **Ireland — 0.0%** |  |
| 36192 | AIB Group PLC | 285545 |
| 33133 | Origin Enterprises PLC | 132820 |
| 24839 | Permanent TSB Group Holdings PLC \* | 49916 |
|  | Total Ireland | 468281 |
|  | **Israel — 0.5%** |  |
| 107566 | Bank Hapoalim BM | 1804567 |
| 215818 | Bank Leumi Le-Israel BM | 3482935 |
| 3992 | Check Point Software Technologies Ltd. \* | 913689 |
| 48358 | ICL Group Ltd. | 319202 |
| 41616 | Israel Discount Bank Ltd. – Class A | 354418 |
| 11802 | Nice Ltd. Sponsored ADR\* <sup>(b)</sup> | 1958306 |
| 577 | Nice Ltd. \* | 97725 |
| 272772 | Oil Refineries Ltd. | 70255 |
|  | Total Israel | 9001097 |
|  | **Italy — 1.5%** |  |
| 117508 | A2A SpA <sup>(b)</sup> | 305108 |
| 13609 | Arnoldo Mondadori Editore SpA <sup>(b)</sup> | 33275 |
| 32666 | Banca IFIS SpA | 859712 |
| 33332 | Banco BPM SpA | 383145 |
| 113896 | BPER Banca SpA | 1011701 |
| 45567 | Credito Emiliano SpA | 626195 |
| 10553 | Esprinet SpA <sup>(a)</sup> | 47450 |
| 45569 | Generali <sup>(b)</sup> | 1658724 |
| 41202 | Hera SpA <sup>(b)</sup> | 204765 |
| 541682 | Intesa Sanpaolo SpA | 3024062 |
| 47603 | Iren SpA <sup>(b)</sup> | 148218 |
| 146156 | Italgas SpA <sup>(b)</sup> | 1202431 |
| 13846 | Iveco Group NV | 275714 |
| 65454 | Leonardo SpA <sup>(b)</sup> | 4048967 |
| 105201 | MFE-MediaForEurope NV – Class A <sup>(b)</sup> | 386853 |
| 23898 | MFE-MediaForEurope NV – Class B <sup>(a)</sup> <sup>(b)</sup> | 115023 |
| 24676 | OVS SpA | 105845 |
| 16295 | Poste Italiane SpA <sup>(b)</sup> | 353799 |
| 416388 | Stellantis NV <sup>(a)</sup> <sup>(b)</sup> | 4244438 |
| 5166389 | Telecom Italia SpA \* <sup>(a)</sup> | 2210147 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Italy — continued** | |
| 30620 | Tenaris SA | 512808 |
| 22997 | Tenaris SA ADR <sup>(a)</sup> | 769250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;349971 | Unipol Assicurazioni SpA | &nbsp;&nbsp;&nbsp;&nbsp;6849537 |
|  | Total Italy | 29377167 |
|  | **Japan — 18.8%** |  |
| 12000 | Aichi Corp. <sup>(a)</sup> | 114407 |
| 49400 | Air Water, Inc. | 689404 |
| 76300 | Amano Corp. | 2249275 |
| 4300 | AOKI Holdings, Inc. | 44833 |
| 11200 | Arata Corp. | 235246 |
| 2400 | Artience Co. Ltd. | 49503 |
| 72400 | Asahi Group Holdings Ltd. | 954233 |
| 20400 | Asahi Yukizai Corp. | 551595 |
| 13600 | Axial Retailing, Inc. | 107752 |
| 89600 | Bandai Namco Holdings, Inc. | 2846727 |
| 8000 | Bando Chemical Industries Ltd. | 89937 |
| 56200 | Bridgestone Corp. <sup>(b)</sup> | 2412950 |
| 199700 | Brother Industries Ltd. | 3408131 |
| 1600 | Buffalo, Inc. | 26731 |
| 19900 | Bunka Shutter Co. Ltd. | 295560 |
| 5600 | Canon Electronics, Inc. | 106953 |
| 45200 | Canon Marketing Japan, Inc. | 1677218 |
| 52600 | Canon, Inc. | 1606877 |
| 4100 | Central Glass Co. Ltd. <sup>(a)</sup> | 82669 |
| 2900 | Chiyoda Integre Co. Ltd. | 54777 |
| 256900 | Credit Saison Co. Ltd. | 6990396 |
| 138100 | Dai Nippon Printing Co. Ltd. <sup>(b)</sup> | 2036525 |
| 12300 | Dai Nippon Toryo Co. Ltd. | 100330 |
| 191100 | Daicel Corp. | 1629502 |
| 8000 | Dai-Dan Co. Ltd. | 231084 |
| 14300 | Daido Steel Co. Ltd. | 96622 |
| 5300 | Daiichi Jitsugyo Co. Ltd. | 81815 |
| 5800 | Daito Trust Construction Co. Ltd. | 653334 |
| 61400 | Daiwa House Industry Co. Ltd. | 2070159 |
| 284900 | Daiwabo Holdings Co. Ltd. | 4799617 |
| 197300 | Denka Co. Ltd. | 2808513 |
| 4600 | Dowa Holdings Co. Ltd. | 145481 |
| 48100 | en Japan, Inc. | 573381 |
| 45000 | ENEOS Holdings, Inc. | 213214 |
| 156900 | EXEO Group, Inc. | 1999707 |
| 6000 | FCC Co. Ltd. | 117112 |
| 86400 | Ferrotec Holdings Corp. <sup>(a)</sup> | 1582127 |
| 1100 | FJ Next Holdings Co. Ltd. | 9354 |
| 224800 | Fuji Corp. | 3598422 |
| 14500 | Fuji Electric Co. Ltd. | 640492 |
| 140000 | FUJIFILM Holdings Corp. | 3160179 |
| 62800 | Fujitsu Ltd. <sup>(b)</sup> | 1438269 |
| 300 | Fukuda Denshi Co. Ltd. | 13724 |
| 1900 | G-7 Holdings, Inc. | 17646 |
| 53000 | Glory Ltd. | 1131782 |
| 39500 | GS Yuasa Corp. | 719640 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 387600 | H.U. Group Holdings, Inc. | 8321734 |
| 8700 | Haseko Corp. | 126711 |
| 38200 | Hitachi Construction Machinery Co. Ltd. | 1160975 |
| 64900 | Hitachi Ltd. <sup>(b)</sup> | 1808134 |
| 137400 | Hogy Medical Co. Ltd. | 3657963 |
| 389600 | Honda Motor Co. Ltd. | 3957710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94558 | Honda Motor Co. Ltd. Sponsored ADR | &nbsp;&nbsp;&nbsp;&nbsp;2885910 |
| 24400 | Horiba Ltd. | 1736125 |
| 1000 | Hosiden Corp. | 15059 |
| 98200 | Idemitsu Kosan Co. Ltd. | 598141 |
| 24000 | IDOM, Inc. | 170129 |
| 82300 | Inabata & Co. Ltd. | 1807996 |
| 495200 | Inpex Corp. | 6621698 |
| 487300 | Isuzu Motors Ltd. | 6586762 |
| 53800 | ITOCHU Corp. <sup>(b)</sup> | 2855499 |
| 21200 | Itochu Enex Co. Ltd. | 247915 |
| 1300 | Itochu-Shokuhin Co. Ltd. | 90159 |
| 400 | Itoham Yonekyu Holdings, Inc. | 13921 |
| 16900 | Iwatani Corp. | 174187 |
| 79500 | Japan Petroleum Exploration Co. Ltd. | 550725 |
| 81500 | Japan Post Insurance Co. Ltd. | 1792693 |
| 50300 | Japan Tobacco, Inc. | 1542935 |
| 2400 | Jeol Ltd. | 66695 |
| 400 | Justsystems Corp. <sup>(b)</sup> | 9537 |
| 109600 | Kaga Electronics Co. Ltd. | 2018038 |
| 7600 | Kamei Corp. | 124085 |
| 20400 | Kandenko Co. Ltd. | 419938 |
| 21200 | Kaneka Corp. | 575848 |
| 387600 | Kanematsu Corp. | 7328014 |
| 2900 | Kato Sangyo Co. Ltd. | 106443 |
| 305000 | Kawasaki Kisen Kaisha Ltd. | 4586750 |
| 105400 | KDDI Corp. <sup>(b)</sup> | 1824528 |
| 453200 | Kirin Holdings Co. Ltd. | 6501729 |
| 41700 | Kitz Corp. | 335984 |
| 29700 | Kohnan Shoji Co. Ltd. | 765207 |
| 78600 | Komatsu Ltd. <sup>(b)</sup> | 2388748 |
| 11145 | Komeri Co. Ltd. | 222642 |
| 9400 | Konami Group Corp. <sup>(b)</sup> | 1275978 |
| 2500 | Konishi Co. Ltd. | 19169 |
| 251500 | Kubota Corp. | 2885154 |
| 210600 | Kumiai Chemical Industry Co. Ltd. | 1180662 |
| 54100 | Kyudenko Corp. | 1987898 |
| 165000 | LY Corp. <sup>(b)</sup> | 594971 |
| 120100 | Macnica Holdings, Inc. | 1587513 |
| 32000 | Marubeni Corp. <sup>(b)</sup> | 648617 |
| 66500 | Maruha Nichiro Corp. | 1436660 |
| 112000 | Maruichi Steel Tube Ltd. | 2690510 |
| 4900 | Maruzen Showa Unyu Co. Ltd. | 215431 |
| 11700 | Matsuda Sangyo Co. Ltd. | 269063 |
| 4300 | MatsukiyoCocokara & Co. | 86722 |
| 406200 | Maxell Ltd. | 5064768 |
| 45200 | Mazda Motor Corp. | 283528 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 70500 | MCJ Co. Ltd. | 644398 |
| 31300 | Mitsubishi Corp. <sup>(b)</sup> | 633150 |
| 328800 | Mitsubishi Electric Corp. <sup>(b)</sup> | 6561857 |
| 3500 | Mitsubishi Research Institute, Inc. <sup>(b)</sup> | 112279 |
| 4300 | Mitsubishi Shokuhin Co. Ltd. | 188424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153600 | Mitsui & Co. Ltd. <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3207344 |
| 72700 | Mitsui Mining & Smelting Co. Ltd. | 2479546 |
| 222000 | Mitsui OSK Lines Ltd. | 7870325 |
| 13900 | MIXI, Inc. <sup>(b)</sup> | 321480 |
| 238000 | Mizuno Corp. | 4536397 |
| 9600 | Modec, Inc. | 335195 |
| 145900 | Morinaga & Co. Ltd. | 2415124 |
| 5200 | Nagase & Co. Ltd. | 98749 |
| 232500 | NEC Corp. <sup>(b)</sup> | 6069025 |
| 123700 | NGK Insulators Ltd. | 1538987 |
| 137200 | NH Foods Ltd. | 4824117 |
| 18900 | Nichias Corp. | 652899 |
| 6600 | Nichiha Corp. | 140034 |
| 6100 | Nichireki Group Co. Ltd. | 106269 |
| 19100 | Nippn Corp. | 289043 |
| 57800 | Nippon Shinyaku Co. Ltd. | 1426846 |
| 3460400 | Nippon Telegraph & Telephone Corp. <sup>(b)</sup> | 3852785 |
| 46400 | Nippon Television Holdings, Inc. <sup>(b)</sup> | 1050046 |
| 172100 | Nippon Yusen KK | 6275238 |
| 940300 | Nissan Motor Co. Ltd. \* | 2385346 |
| 3600 | Nisshin Oillio Group Ltd. | 120585 |
| 3800 | Nissin Corp. | 213646 |
| 19000 | Niterra Co. Ltd. | 610510 |
| 4200 | Nittetsu Mining Co. Ltd. | 203321 |
| 41400 | Nitto Denko Corp. | 753077 |
| 125400 | Nojima Corp. | 2392366 |
| 21200 | Nomura Holdings, Inc. | 129550 |
| 127300 | Nomura Real Estate Holdings, Inc. | 745421 |
| 6200 | Noritake Co. Ltd. | 159934 |
| 2600 | NS United Kaiun Kaisha Ltd. | 68744 |
| 9900 | Oji Holdings Corp. | 46963 |
| 100300 | Okamura Corp. | 1529102 |
| 295400 | Ono Pharmaceutical Co. Ltd. | 3216396 |
| 3900 | Open House Group Co. Ltd. | 168509 |
| 68700 | ORIX Corp. | 1455880 |
| 282500 | Pacific Industrial Co. Ltd. <sup>(a)</sup> | 2564392 |
| 500 | PALTAC Corp. | 14489 |
| 687500 | Panasonic Holdings Corp. <sup>(b)</sup> | 7879753 |
| 508000 | Penta-Ocean Construction Co. Ltd. | 3074490 |
| 8500 | Pilot Corp. <sup>(b)</sup> | 235351 |
| 55900 | Recruit Holdings Co. Ltd. <sup>(b)</sup> | 3329414 |
| 29300 | Renesas Electronics Corp. | 355861 |
| 43600 | Rengo Co. Ltd. | 224774 |
| 5700 | Rohto Pharmaceutical Co. Ltd. | 80325 |
| 10600 | S Foods, Inc. | 191771 |
| 15000 | Sakai Moving Service Co. Ltd. | 261937 |
| 52200 | Sakata INX Corp. | 694606 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 87000 | San-Ai Obbli Co. Ltd. | 1047774 |
| 800 | Sankyo Co. Ltd. | 13953 |
| 101300 | Sankyu, Inc. | 4872449 |
| 67100 | Sanwa Holdings Corp. | 2310069 |
| 16800 | SCSK Corp. <sup>(b)</sup> | 509919 |
| 261500 | Sega Sammy Holdings, Inc. | 4932372 |
| 27900 | Seiko Epson Corp. | 360985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;277700 | Sekisui Chemical Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;4824161 |
| 186400 | Sekisui House Ltd. | 4227016 |
| 5000 | Sekisui Jushi Corp. | 66656 |
| 1000 | Shibuya Corp. | 23000 |
| 1700 | Shimamura Co. Ltd. | 117806 |
| 23700 | Shinagawa Refractories Co. Ltd. | 276024 |
| 6700 | Shin-Etsu Polymer Co. Ltd. | 77988 |
| 18700 | Shinnihon Corp. | 210479 |
| 355600 | Shionogi & Co. Ltd. | 5937640 |
| 257900 | Ship Healthcare Holdings, Inc. | 3332002 |
| 27800 | Shizuoka Gas Co. Ltd. | 211237 |
| 1600 | Sinanen Holdings Co. Ltd. | 70084 |
| 2100 | Sinko Industries Ltd. | 17646 |
| 135900 | Socionext, Inc. | 1994488 |
| 37300 | Sohgo Security Services Co. Ltd. <sup>(b)</sup> | 259605 |
| 18500 | Sojitz Corp. | 456283 |
| 73600 | Sony Group Corp. <sup>(b)</sup> | 1969972 |
| 219900 | Stanley Electric Co. Ltd. | 4229939 |
| 52200 | Starts Corp., Inc. | 1532366 |
| 150500 | Subaru Corp. | 2762737 |
| 277000 | SUMCO Corp. <sup>(a)</sup> | 1872333 |
| 90100 | Sumitomo Corp. <sup>(b)</sup> | 2294537 |
| 145200 | Sumitomo Electric Industries Ltd. | 3045676 |
| 170200 | Sumitomo Forestry Co. Ltd. | 4940837 |
| 26100 | Sumitomo Heavy Industries Ltd. | 545807 |
| 243700 | Sumitomo Mitsui Financial Group, Inc. | 6260879 |
| 186400 | Sumitomo Mitsui Trust Group, Inc. | 5043926 |
| 45300 | Suntory Beverage & Food Ltd. <sup>(a)</sup> | 1470938 |
| 10800 | Suzuken Co. Ltd. | 397888 |
| 176700 | T&D Holdings, Inc. | 4042475 |
| 7200 | Tamron Co. Ltd. | 172204 |
| 123600 | THK Co. Ltd. | 3370091 |
| 30500 | TIS, Inc. <sup>(b)</sup> | 1000305 |
| 513800 | Tokai Carbon Co. Ltd. | 3681042 |
| 1000 | Token Corp. | 92921 |
| 45900 | Tokyo Gas Co. Ltd. <sup>(b)</sup> | 1539147 |
| 73300 | Tokyo Steel Manufacturing Co. Ltd. | 781982 |
| 22300 | Tokyo Tatemono Co. Ltd. | 394971 |
| 35800 | Toray Industries, Inc. | 246977 |
| 224300 | Tosei Corp. | 3930259 |
| 1900 | Toshiba TEC Corp. | 38885 |
| 126300 | Tosoh Corp. | 1869180 |
| 188000 | TOTO Ltd. | 4808454 |
| 230700 | Towa Corp. | 2446198 |
| 4600 | Towa Pharmaceutical Co. Ltd. | 97452 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 11300 | Toyo Tire Corp. | 234526 |
| 44000 | Toyoda Gosei Co. Ltd. | 852187 |
| 30800 | Toyota Industries Corp. <sup>(b)</sup> | 3850818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;218500 | Toyota Tsusho Corp. | &nbsp;&nbsp;&nbsp;&nbsp;4617640 |
| 8900 | TV Asahi Holdings Corp. <sup>(b)</sup> | 160867 |
| 5500 | Unipres Corp. | 37634 |
| 4100 | Wacoal Holdings Corp. | 140434 |
| 3000 | Warabeya Nichiyo Holdings Co. Ltd. | 47058 |
| 55800 | YAMABIKO Corp. | 814831 |
| 361300 | Yamaha Corp. | 2521692 |
| 1005000 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 7711796 |
| 23300 | Yamazen Corp. | 211986 |
| 42900 | Yellow Hat Ltd. | 450754 |
| 145500 | Yokogawa Bridge Holdings Corp. | 2572068 |
| 77000 | Yokohama Rubber Co. Ltd. | 1935670 |
| 14200 | Yuasa Trading Co. Ltd. | 444411 |
| 121900 | Zenkoku Hosho Co. Ltd. | 2699027 |
|  | Total Japan | 367756599 |
|  | **Kuwait — 0.0%** |  |
| 971 | Humansoft Holding Co. KSC | 8222 |
| 95125 | National Bank of Kuwait SAKP | 296231 |
| 189368 | Noor Financial Investment Co. KSC | 201544 |
|  | Total Kuwait | 505997 |
|  | **Mexico — 0.6%** |  |
| 128836 | Arca Continental SAB de CV | 1418153 |
| 31138 | Bolsa Mexicana de Valores SAB de CV | 68084 |
| 198844 | Cemex SAB de CV Sponsored ADR | 1362081 |
| 17691 | Coca-Cola Femsa SAB de CV Sponsored ADR | 1680645 |
| 1136700 | Credito Real SAB de CV SOFOM ER \* <sup>(d)</sup> |  |
| 112674 | El Puerto de Liverpool SAB de CV – Class C1 | 547221 |
| 533800 | Genomma Lab Internacional SAB de CV – Class B | 617024 |
| 715687 | Gentera SAB de CV | 1404364 |
| 200 | Grupo Aeroportuario del Centro Norte SAB de CV | 2471 |
| 358770 | Grupo Financiero Banorte SAB de CV – Class O | 3181873 |
| 94100 | Grupo Mexico SAB de CV – Series B | 519986 |
| 19685 | Unifin Financiera SAB de CV \* <sup>(d)</sup> |  |
|  | Total Mexico | 10801902 |
|  | **Netherlands — 2.0%** |  |
| 9733 | Aalberts NV | 339633 |
| 85610 | ABN AMRO Bank NV | 2212971 |
| 3930 | Akzo Nobel NV <sup>(a)</sup> | 268205 |
| 9661 | Brunel International NV <sup>(a)</sup> | 99005 |
| 60080 | EXOR NV | 5784416 |
| 263997 | ING Groep NV | 5607864 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Netherlands — continued** | |
| 78916 | JDE Peet's NV | 2171713 |
| 151369 | Koninklijke Ahold Delhaize NV <sup>(b)</sup> | 6388378 |
| 46607 | Koninklijke BAM Groep NV | 389690 |
| 191812 | Koninklijke KPN NV | 901798 |
| 123458 | NN Group NV | 7768176 |
| 79432 | Prosus NV | 4080277 |
| 18077 | Randstad NV <sup>(b)</sup> | 757779 |
| 11510 | SBM Offshore NV | 264088 |
| 93615 | Signify NV | 2287821 |
|  | Total Netherlands | 39321814 |
|  | **New Zealand — 0.0%** |  |
| 106452 | Meridian Energy Ltd. <sup>(b)</sup> | 348534 |
|  | **Norway — 0.8%** |  |
| 46469 | Aker BP ASA | 1069270 |
| 62660 | Aker Solutions ASA | 204545 |
| 51758 | Austevoll Seafood ASA | 469875 |
| 37830 | BW LPG Ltd. | 387032 |
| 22582 | DOF Group ASA | 196920 |
| 151723 | Elkem ASA | 292456 |
| 323279 | Equinor ASA <sup>(b)</sup> | 7568224 |
| 58949 | Europris ASA | 459032 |
| 90051 | Hoegh Autoliners ASA | 749525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;245878 | Orkla ASA | &nbsp;&nbsp;&nbsp;&nbsp;2788008 |
| 10505 | Stolt-Nielsen Ltd. | 263044 |
| 76128 | Storebrand ASA | 997371 |
| 17149 | TGS ASA | 141090 |
| 68707 | Wallenius Wilhelmsen ASA | 536414 |
|  | Total Norway | 16122806 |
|  | **Pakistan — 0.0%** |  |
| 69949 | Oil & Gas Development Co. Ltd. | 52108 |
|  | **Peru — 0.0%** |  |
| 4100 | Credicorp Ltd. | 868421 |
|  | **Philippines — 0.0%** |  |
| 98910 | China Banking Corp. | 134123 |
| 1100 | GT Capital Holdings, Inc. | 10733 |
| 710700 | LT Group, Inc. | 156738 |
| 15040 | Manila Electric Co. | 148183 |
| 254200 | Manila Water Co., Inc. | 151790 |
| 3935024 | Megaworld Corp. | 126153 |
| 119000 | Puregold Price Club, Inc. | 66116 |
| 32700 | Robinsons Retail Holdings, Inc. | 22164 |
| 375100 | Synergy Grid & Development Phils, Inc. \* | 76944 |
|  | Total Philippines | 892944 |
|  | **Poland — 0.2%** |  |
| 158751 | ORLEN SA | 3119396 |
| 184913 | PGE Polska Grupa Energetyczna SA \* | 461499 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Poland — continued** | |
| 200 | Powszechna Kasa Oszczednosci Bank Polski SA | 4024 |
| 53256 | Powszechny Zaklad Ubezpieczen SA | 870056 |
|  | Total Poland | 4454975 |
|  | **Portugal — 0.3%** |  |
| 1139859 | Banco Comercial Portugues SA – Class R | 889149 |
| 172004 | Galp Energia SGPS SA | 2753662 |
| 147446 | Navigator Co. SA | 577396 |
| 32897 | NOS SGPS SA | 144124 |
| 56924 | REN - Redes Energeticas Nacionais SGPS SA | 190213 |
| 440451 | Sonae SGPS SA | 610509 |
|  | Total Portugal | &nbsp;&nbsp;&nbsp;&nbsp;5165053 |
|  | **Qatar — 0.1%** |  |
| 78112 | Ooredoo QPSC | 265396 |
| 297309 | Qatar National Bank QPSC | 1382755 |
|  | Total Qatar | 1648151 |
|  | **Russia — 0.0%** |  |
| 10221010 | Alrosa PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 376870000 | Federal Grid Co-Rosseti PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 415363 | Gazprom Neft PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 4924596 | Gazprom PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 1279700 | GMK Norilskiy Nickel PAO \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 18204300 | Inter RAO UES PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 88304 | LSR Group PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 4 | LSR Group PJSC GDR \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 192855 | LUKOIL PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 5760219 | Magnitogorsk Iron & Steel Works PJSC <sup>(d) (f)</sup> |  |
| 71800 | Mechel PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 1472470 | Moscow Exchange MICEX-RTS PJSC <sup>(d) (f)</sup> |  |
| 7545000 | Mosenergo PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 191960 | Novatek PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 3493400 | Novolipetsk Steel PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 6115 | PhosAgro PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 118 | PhosAgro PJSC GDR \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 255520 | Polyus PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 1 | Polyus PJSC GDR \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 49974140 | RusHydro PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 8073970 | Sberbank of Russia PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 7395 | Severstal PAO <sup>(d)</sup> <sup>(f)</sup> |  |
| 261549 | Severstal PAO GDR (Registered) \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 29090 | SFI PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 27770670 | Surgutneftegas PAO <sup>(d)</sup> <sup>(f)</sup> |  |
| 986916 | Tatneft PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 725480 | Unipro PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 55470 | United Co. RUSAL International PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
| 150462 | VTB Bank PJSC \* <sup>(d)</sup> <sup>(f)</sup> |  |
|  | Total Russia |  |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Saudi Arabia — 0.3%** | |
| 6955 | Al Rajhi Bank | 168701 |
| 59751 | Arab National Bank | 344672 |
| 34859 | Etihad Etisalat Co. | 553651 |
| 140261 | Riyad Bank | 1085129 |
| 74771 | Saudi Awwal Bank | 672348 |
| 121507 | Saudi National Bank | 1122868 |
| 126809 | Saudi Telecom Co. | 1414970 |
|  | Total Saudi Arabia | 5362339 |
|  | **Singapore — 0.7%** |  |
| 72800 | Asian Pay Television Trust | 4572 |
| 92400 | Bumitama Agri Ltd. | 51890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885400 | ComfortDelGro Corp. Ltd. | 974146 |
| 36906 | DBS Group Holdings Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;1273348 |
| 122400 | First Real Estate Investment Trust – (REIT) | 25222 |
| 188800 | First Resources Ltd. | 207238 |
| 1207500 | Golden Agri-Resources Ltd. | 233743 |
| 353900 | Oversea-Chinese Banking Corp. Ltd. | 4445033 |
| 55900 | Sheng Siong Group Ltd. | 78459 |
| 106800 | StarHub Ltd. | 94373 |
| 81900 | United Overseas Bank Ltd. | 2249771 |
| 4100 | Venture Corp. Ltd. | 35144 |
| 58100 | Wilmar International Ltd. | 137227 |
| 315300 | Yangzijiang Financial Holding Ltd. | 177159 |
| 2379677 | Yangzijiang Shipbuilding Holdings Ltd. | 3898652 |
| 142000 | Yanlord Land Group Ltd. \* | 50512 |
|  | Total Singapore | 13936489 |
|  | **South Africa — 0.3%** |  |
| 52357 | Absa Group Ltd. | 504957 |
| 18239 | African Rainbow Minerals Ltd. | 161424 |
| 12895 | JSE Ltd. | 95003 |
| 395 | Motus Holdings Ltd. | 1971 |
| 2150 | Naspers Ltd. – N Shares | 617775 |
| 47744 | Nedbank Group Ltd. | 678280 |
| 1333012 | Old Mutual Ltd. | 865196 |
| 13558 | Raubex Group Ltd. | 30809 |
| 154910 | Sanlam Ltd. | 763672 |
| 2005 | Shoprite Holdings Ltd. | 32584 |
| 674967 | Sibanye Stillwater Ltd. \* | 1027713 |
| 21275 | Tiger Brands Ltd. | 408970 |
|  | Total South Africa | 5188354 |
|  | **South Korea — 2.4%** |  |
| 15081 | Coway Co. Ltd. | 969785 |
| 42814 | Doosan Bobcat, Inc. | 1455241 |
| 12622 | GS Holdings Corp. | 397663 |
| 36974 | Hana Financial Group, Inc. | 1944609 |
| 30361 | Hankook Tire & Technology Co. Ltd. | 846743 |
| 53911 | HMM Co. Ltd. | 831590 |
| 96 | Hyundai GF Holdings | 518 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Korea — continued** | |
| 32521 | Hyundai Glovis Co. Ltd. | 2668744 |
| 1408 | Hyundai Home Shopping Network Corp. | 55686 |
| 43366 | Hyundai Mobis Co. Ltd. | 7949689 |
| 12022 | Hyundai Motor Co. | 1611375 |
| 9393 | KB Financial Group, Inc. | 706766 |
| 8621 | KB Financial Group, Inc. ADR | 644420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115847 | Kia Corp. | &nbsp;&nbsp;&nbsp;&nbsp;7492158 |
| 5980 | Korea Electric Power Corp. | 130784 |
| 51785 | KT&G Corp. | 4502204 |
| 5463 | Kyung Dong Navien Co. Ltd. | 297359 |
| 13999 | LG Corp. | 719121 |
| 36669 | LG Electronics, Inc. | 1885994 |
| 783 | LG Innotek Co. Ltd. | 82058 |
| 7908 | POSCO Holdings, Inc. Sponsored ADR | 361396 |
| 17161 | Samsung E&A Co. Ltd. | 270027 |
| 109356 | Samsung Electronics Co. Ltd. | 4437413 |
| 246 | Samsung Electronics Co. Ltd. GDR <sup>(b)</sup> | 247745 |
| 32898 | Shinhan Financial Group Co. Ltd. | 1376026 |
| 12271 | SK Square Co. Ltd. \* | 1014949 |
| 187110 | Woori Financial Group, Inc. | 2610898 |
| 11388 | Youngone Corp. | 500358 |
|  | Total South Korea | 46011319 |
|  | **Spain — 2.0%** |  |
| 142755 | Acerinox SA | 1686267 |
| 50569 | Atresmedia Corp. de Medios de Comunicacion SA <sup>(b)</sup> | 341558 |
| 800513 | Banco Bilbao Vizcaya Argentaria SA | 12017265 |
| 2450979 | Banco de Sabadell SA | 7802639 |
| 1420830 | Banco Santander SA | 11334883 |
| 1514 | Faes Farma SA | 7506 |
| 36383 | Iberdrola SA <sup>(b)</sup> | 666891 |
| 10684 | Indra Sistemas SA <sup>(b)</sup> | 440193 |
| 1185 | Industria de Diseno Textil SA <sup>(b)</sup> | 64198 |
| 373497 | Mapfre SA <sup>(a)</sup> | 1412770 |
| 47480 | Prosegur Cia de Seguridad SA <sup>(b)</sup> | 147133 |
| 166213 | Repsol SA | 2239378 |
| 184829 | Unicaja Banco SA | 406273 |
|  | Total Spain | 38566954 |
|  | **Sweden — 0.6%** |  |
| 22582 | AcadeMedia AB <sup>(b)</sup> | 190449 |
| 19135 | Betsson AB – Class B <sup>(b)</sup> | 370320 |
| 9218 | Boliden AB \* | 288185 |
| 145593 | Fastighets AB Balder – B Shares \* <sup>(a)</sup> | 1020822 |
| 109339 | Investor AB – B Shares <sup>(b)</sup> | 3219802 |
| 488 | Inwido AB | 10732 |
| 1855 | Loomis AB <sup>(b)</sup> | 71761 |
| 15590 | Peab AB – Class B | 133760 |
| 17468 | Skanska AB – B Shares | 415569 |
| 25595 | SKF AB – B Shares <sup>(a)</sup> | 562996 |
| 25244 | SSAB AB – B Shares | 149956 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Sweden — continued** | |
| 62706 | Swedbank AB – A Shares | 1697913 |
| 194545 | Telefonaktiebolaget LM Ericsson – B Shares | 1656077 |
| 80782 | Volvo AB – B Shares <sup>(b)</sup> | 2238359 |
|  | Total Sweden | 12026701 |
|  | **Switzerland — 1.6%** |  |
| 1149 | ABB Ltd. (Registered) <sup>(b)</sup> | 65088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130942 | Adecco Group AG (Registered) <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3657326 |
| 1611 | Galenica AG | 166860 |
| 1096 | Implenia AG (Registered) | 64514 |
| 7939 | Logitech International SA (Registered) | 661523 |
| 4895 | Mobilezone Holding AG (Registered) | 69479 |
| 13245 | Nestle SA (Registered) <sup>(b)</sup> | 1411084 |
| 36435 | Novartis AG (Registered) <sup>(b)</sup> | 4205659 |
| 24988 | Novartis AG Sponsored ADR <sup>(b)</sup> | 2892611 |
| 46366 | Roche Holding AG <sup>(c)</sup> | 15020131 |
| 1976 | Roche Holding AG <sup>(c)</sup> | 675188 |
| 15780 | Sandoz Group AG ADR | 799099 |
| 1321 | Swisscom AG (Registered) <sup>(b)</sup> | 908647 |
| 1698 | u-blox Holding AG \* | 189580 |
|  | Total Switzerland | 30786789 |
|  | **Taiwan — 2.7%** |  |
| 181799 | Asustek Computer, Inc. | 3737754 |
| 4000 | Bizlink Holding, Inc. | 83981 |
| 417000 | Cathay Financial Holding Co. Ltd. | 824908 |
| 92000 | Compal Electronics, Inc. | 87194 |
| 139000 | CTBC Financial Holding Co. Ltd. | 187639 |
| 285000 | Eva Airways Corp. | 385046 |
| 943000 | Evergreen Marine Corp. Taiwan Ltd. | 7618547 |
| 397000 | Fubon Financial Holding Co. Ltd. | 1046524 |
| 9000 | Fusheng Precision Co. Ltd. | 104384 |
| 578406 | Hon Hai Precision Industry Co. Ltd. | 2945612 |
| 50000 | Kung Long Batteries Industrial Co. Ltd. | 239472 |
| 102000 | MediaTek, Inc. | 4187976 |
| 225000 | Mitac Holdings Corp. \* | 439208 |
| 2840566 | Pou Chen Corp. | 2930462 |
| 340263 | Radiant Opto-Electronics Corp. | 1660853 |
| 45000 | Realtek Semiconductor Corp. | 802411 |
| 64000 | Shinkong Insurance Co. Ltd. | 223018 |
| 43000 | Simplo Technology Co. Ltd. | 533847 |
| 621000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 19806188 |
| 1400 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR <sup>(b)</sup> | 270648 |
| 25000 | United Integrated Services Co. Ltd. | 459171 |
| 187000 | Wan Hai Lines Ltd. | 668876 |
| 1497000 | Yang Ming Marine Transport Corp. | 3938357 |
| 190000 | Yuanta Financial Holding Co. Ltd. | 196906 |
| 102000 | YungShin Global Holding Corp. | 208216 |
|  | Total Taiwan | 53587198 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Thailand — 1.1%** | |
| 212200 | 3BB Internet Infrastructure Fund – Class F | 38751 |
| 3100 | Advanced Info Service PCL NVDR | 26963 |
| 243900 | AP Thailand PCL NVDR | 50474 |
| 401500 | Digital Telecommunications Infrastructure Fund – Class F | 99693 |
| 1514100 | Kasikornbank PCL NVDR | 7101721 |
| &nbsp;&nbsp;&nbsp;&nbsp;9715800 | Krung Thai Bank PCL NVDR | &nbsp;&nbsp;&nbsp;&nbsp;6561940 |
| 9200 | Mega Lifesciences PCL NVDR | 7158 |
| 794700 | PTT Exploration & Production PCL NVDR | 2367995 |
| 1778700 | PTT PCL NVDR | 1610221 |
| 108400 | Regional Container Lines PCL NVDR | 86539 |
| 1061000 | SCB X PCL NVDR | 3829174 |
| 63900 | Sri Trang Gloves Thailand PCL NVDR | 12617 |
| 142700 | Thai Oil PCL NVDR | 129023 |
| 147500 | Thailand Future Fund | 26736 |
|  | Total Thailand | 21949005 |
|  | **Turkey — 0.0%** |  |
| 35180 | Dogus Otomotiv Servis ve Ticaret AS | 155647 |
| 91213 | Turk Hava Yollari AO \* | 636233 |
|  | Total Turkey | 791880 |
|  | **Ukraine — 0.0%** |  |
| 36516 | Kernel Holding SA \* | 179333 |
|  | **United Arab Emirates — 0.5%** |  |
| 199074 | Abu Dhabi Commercial Bank PJSC | 654351 |
| 16470 | Abu Dhabi Islamic Bank PJSC | 85976 |
| 211414 | Dubai Islamic Bank PJSC | 474794 |
| 149895 | Emaar Development PJSC | 546626 |
| 1221382 | Emaar Properties PJSC | 4373711 |
| 290978 | Emirates NBD Bank PJSC | 1773953 |
| 152284 | First Abu Dhabi Bank PJSC | 667361 |
| 67335 | Orascom Construction PLC | 348759 |
|  | Total United Arab Emirates | 8925531 |
|  | **United Kingdom — 4.4%** |  |
| 188369 | 3i Group PLC <sup>(b)</sup> | 10346192 |
| 141026 | Aberdeen Group PLC | 330048 |
| 37581 | Anglo American PLC | 1114627 |
| 6575 | Associated British Foods PLC | 184837 |
| 3728 | Berkeley Group Holdings PLC | 211454 |
| 587215 | BP PLC <sup>(b)</sup> | 2855095 |
| 82367 | British American Tobacco PLC Sponsored ADR <sup>(b)</sup> | 3722988 |
| 4661357 | BT Group PLC <sup>(a)</sup> | 11285922 |
| 55117 | Coca-Cola HBC AG | 2872286 |
| 10397 | DCC PLC | 649979 |
| 30601 | Evraz PLC \* <sup>(d)</sup> |  |
| 338518 | Ferrexpo PLC \* | 246846 |
| 607430 | Glencore PLC \* | 2311234 |
| 157179 | GSK PLC Sponsored ADR | 6449054 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United Kingdom — continued** | |
| 31833 | GSK PLC <sup>(b)</sup> | 646654 |
| 12278 | Halfords Group PLC | 27735 |
| 215830 | Harbour Energy PLC | 517820 |
| 202960 | HSBC Holdings PLC | 2391076 |
| 1629 | HSBC Holdings PLC Sponsored ADR <sup>(a)</sup> <sup>(b)</sup> | 96567 |
| 173909 | IG Group Holdings PLC | 2630681 |
| 67742 | Imperial Brands PLC | 2569092 |
| 27836 | International Personal Finance PLC | 60691 |
| 6309 | Investec PLC | 45052 |
| &nbsp;&nbsp;&nbsp;&nbsp;1218551 | ITV PLC <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1283724 |
| 164507 | J Sainsbury PLC | 632694 |
| 7407 | Johnson Matthey PLC | 171835 |
| 11440 | Keller Group PLC | 236759 |
| 1321314 | Kingfisher PLC | 4946219 |
| 68000 | Lifezone Metals Ltd. \* | 271320 |
| 12776 | Lion Finance Group PLC | 1150097 |
| 56836 | MONY Group PLC <sup>(b)</sup> | 159896 |
| 23013 | Morgan Sindall Group PLC | 1201808 |
| 76262 | OSB Group PLC | 503130 |
| 45981 | Paragon Banking Group PLC | 560188 |
| 40218 | Pearson PLC Sponsored ADR <sup>(b)</sup> | 641477 |
| 51612 | Plus500 Ltd. | 2369651 |
| 48441 | Reach PLC | 49502 |
| 92863 | Rio Tinto PLC Sponsored ADR <sup>(a)</sup> | 5518848 |
| 39903 | Rio Tinto PLC <sup>(b)</sup> | 2361538 |
| 111010 | Schroders PLC | 532278 |
| 81467 | Shell PLC <sup>(b)</sup> | 2687996 |
| 16084 | Shell PLC ADR <sup>(b)</sup> | 1065082 |
| 2318 | TBC Bank Group PLC | 139611 |
| 113525 | TP ICAP Group PLC | 401258 |
| 10540 | Unilever PLC Sponsored ADR <sup>(b)</sup> | 672874 |
| 17213 | Vesuvius PLC | 83637 |
| 631752 | Vodafone Group PLC Sponsored ADR <sup>(b)</sup> | 6532316 |
| 135577 | Vodafone Group PLC <sup>(b)</sup> | 140602 |
| 80576 | Zigup PLC | 377669 |
|  | Total United Kingdom | 86257939 |
|  | **United States — 15.5%** |  |
| 7780 | Academy Sports & Outdoors, Inc. <sup>(a)</sup> | 318280 |
| 7500 | Advanced Drainage Systems, Inc. | 824700 |
| 32698 | Aemetis, Inc. \* <sup>(a)</sup> | 55914 |
| 2364 | Affiliated Managers Group, Inc. | 416064 |
| 7578 | Aflac, Inc. <sup>(b)</sup> | 784626 |
| 9803 | AGCO Corp. | 960498 |
| 13099 | Akamai Technologies, Inc. \* <sup>(b)</sup> | 994607 |
| 18900 | Albemarle Corp. <sup>(a)</sup> | 1053864 |
| 2152 | Allstate Corp. <sup>(b)</sup> | 451640 |
| 68776 | Ally Financial, Inc. | 2407160 |
| 7224 | Alphabet, Inc. – Class A <sup>(b)</sup> | 1240650 |
| 6034 | Alphabet, Inc. – Class C <sup>(b)</sup> | 1042977 |
| 81993 | Ameresco, Inc. – Class A \* <sup>(a)</sup> | 1129864 |
| 4204 | American Express Co. <sup>(b)</sup> | 1236186 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 4544 | Applied Materials, Inc. <sup>(b)</sup> | 712272 |
| 3979 | Aptiv PLC \* | 265837 |
| 26500 | Arch Capital Group Ltd. <sup>(b)</sup> | 2518560 |
| 14890 | Archer-Daniels-Midland Co. | 718740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;199500 | Array Technologies, Inc. \* <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1316700 |
| 5093 | Arrow Electronics, Inc. \* | 602909 |
| 12726 | AT&T, Inc. <sup>(b)</sup> | 353783 |
| 1712 | Atkore, Inc. | 111451 |
| 619 | Autoliv, Inc. | 63646 |
| 3056 | AutoNation, Inc. \* | 561846 |
| 16508 | Avnet, Inc. | 825565 |
| 140235 | Bank of America Corp. <sup>(b)</sup> | 6188571 |
| 11141 | Bank of New York Mellon Corp. <sup>(b)</sup> | 987204 |
| 5202 | Bath & Body Works, Inc. | 146280 |
| 5781 | Best Buy Co., Inc. | 383165 |
| 35250 | Block, Inc. \* <sup>(b)</sup> | 2176687 |
| 11776 | Blue Owl Capital Corp. | 172518 |
| 47181 | BorgWarner, Inc. | 1561219 |
| 1769 | Bread Financial Holdings, Inc. | 90644 |
| 29106 | Bristol-Myers Squibb Co. <sup>(b)</sup> | 1405238 |
| 20954 | Builders FirstSource, Inc. \* | 2256327 |
| 7191 | Bunge Global SA | 561977 |
| 53400 | California Resources Corp. | 2358678 |
| 28385 | Capital One Financial Corp. <sup>(b)</sup> | 5369023 |
| 2229 | Carrier Global Corp. <sup>(b)</sup> | 158705 |
| 1622 | Caterpillar, Inc. <sup>(b)</sup> | 564505 |
| 22367 | CBRE Group, Inc. – Class A \* <sup>(b)</sup> | 2796322 |
| 64116 | Centene Corp. \* <sup>(b)</sup> | 3618707 |
| 2125 | CH Robinson Worldwide, Inc. | 203936 |
| 21989 | Chevron Corp. <sup>(a)</sup> <sup>(b)</sup> | 3005896 |
| 1935 | Chubb Ltd. <sup>(b)</sup> | 575082 |
| 7628 | Cigna Group <sup>(b)</sup> | 2415330 |
| 39401 | Cisco Systems, Inc. <sup>(b)</sup> | 2483839 |
| 70692 | Citigroup, Inc. <sup>(b)</sup> | 5324521 |
| 22100 | Civitas Resources, Inc. | 604877 |
| 166041 | Clean Energy Fuels Corp. \* <sup>(a)</sup> | 297213 |
| 155451 | CNH Industrial NV <sup>(a)</sup> | 1944692 |
| 50626 | Cognizant Technology Solutions Corp. – Class A <sup>(b)</sup> | 4100200 |
| 165809 | Comcast Corp. – Class A <sup>(b)</sup> | 5732017 |
| 6814 | Commercial Metals Co. | 317464 |
| 4979 | Conagra Brands, Inc. | 113969 |
| 3855 | Concentrix Corp. <sup>(a)</sup> <sup>(b)</sup> | 215745 |
| 15999 | ConocoPhillips <sup>(b)</sup> | 1365515 |
| 11500 | Corteva, Inc. | 814200 |
| 37200 | Crescent Energy Co. – Class A <sup>(a)</sup> | 312108 |
| 7124 | Crocs, Inc. \* | 726648 |
| 11707 | Cummins, Inc. <sup>(b)</sup> | 3763566 |
| 83477 | CVS Health Corp. <sup>(b)</sup> | 5345867 |
| 84800 | Darling Ingredients, Inc. \* | 2642368 |
| 55770 | Delta Air Lines, Inc. <sup>(b)</sup> | 2698710 |
| 36294 | Devon Energy Corp. | 1098256 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 17051 | Dollar General Corp. <sup>(a)</sup> | 1658210 |
| 25402 | DR Horton, Inc. <sup>(b)</sup> | 2998960 |
| 59730 | eBay, Inc. <sup>(b)</sup> | 4370444 |
| 3904 | Edgewell Personal Care Co. | 107828 |
| 594 | Electronic Arts, Inc. <sup>(b)</sup> | 85405 |
| 4303 | Elevance Health, Inc. <sup>(b)</sup> | 1651663 |
| 1379 | EnerSys | 115326 |
| 2873 | Enova International, Inc. \* | 266241 |
| 11300 | Enphase Energy, Inc. \* | 467707 |
| 14468 | EOG Resources, Inc. <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1570791 |
| 12325 | EPAM Systems, Inc. \* <sup>(b)</sup> | 2150589 |
| 4467 | Everest Group Ltd. | 1550898 |
| 16855 | Expedia Group, Inc. <sup>(b)</sup> | 2810571 |
| 39449 | Exxon Mobil Corp. <sup>(b)</sup> | 4035633 |
| 5568 | Federated Hermes, Inc. | 234970 |
| 3762 | FedEx Corp. <sup>(b)</sup> | 820492 |
| 7100 | First Solar, Inc. \* <sup>(a)</sup> | 1122368 |
| 3176 | FMC Corp. | 128819 |
| 341575 | Ford Motor Co. <sup>(b)</sup> | 3545548 |
| 4909 | Fox Corp. – Class A <sup>(b)</sup> | 269700 |
| 49364 | Fox Corp. – Class B <sup>(b)</sup> | 2482022 |
| 143989 | Franklin Resources, Inc. <sup>(a)</sup> | 3115922 |
| 17800 | Freeport-McMoRan, Inc. | 684944 |
| 201500 | GCI Liberty, Inc. \* <sup>(a)</sup> <sup>(e)</sup> | 10075 |
| 49809 | GE HealthCare Technologies, Inc. <sup>(b)</sup> | 3513527 |
| 17581 | General Mills, Inc. | 953945 |
| 83477 | General Motors Co. <sup>(b)</sup> | 4141294 |
| 2766 | Genpact Ltd. <sup>(b)</sup> | 119076 |
| 2859 | Goldman Sachs Group, Inc. <sup>(b)</sup> | 1716687 |
| 49380 | GrafTech International Ltd. \* | 49192 |
| 95314 | Green Plains, Inc. \* <sup>(a)</sup> | 396506 |
| 1218 | Group 1 Automotive, Inc. | 516335 |
| 2000 | Gulfport Energy Corp. \* | 383000 |
| 4299 | H&R Block, Inc. <sup>(b)</sup> | 244828 |
| 8278 | Hartford Insurance Group, Inc. <sup>(b)</sup> | 1074816 |
| 2700 | Helmerich & Payne, Inc. | 41175 |
| 210219 | Hewlett Packard Enterprise Co. | 3632584 |
| 148363 | HP, Inc. | 3694239 |
| 3484 | Humana, Inc. <sup>(b)</sup> | 812225 |
| 20816 | Huntington Bancshares, Inc. | 325354 |
| 38823 | Incyte Corp. \* | 2525824 |
| 135232 | Intel Corp. <sup>(b)</sup> | 2643786 |
| 10697 | International Business Machines Corp. <sup>(b)</sup> | 2771165 |
| 38953 | Invesco Ltd. | 563260 |
| 7896 | Janus Henderson Group PLC | 286862 |
| 26417 | Johnson & Johnson <sup>(b)</sup> | 4100183 |
| 16123 | JPMorgan Chase & Co. <sup>(b)</sup> | 4256472 |
| 9098 | KB Home | 469275 |
| 6643 | Keurig Dr. Pepper, Inc. | 223670 |
| 1936 | Kimberly-Clark Corp. <sup>(b)</sup> | 278319 |
| 3193 | Kinder Morgan, Inc. <sup>(b)</sup> | 89532 |
| 1645144 | Kosmos Energy Ltd. \* <sup>(a)</sup> | 2730939 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 110163 | Kraft Heinz Co. | 2944657 |
| 7609 | Kroger Co. <sup>(b)</sup> | 519162 |
| 4801 | Lam Research Corp. <sup>(b)</sup> | 387873 |
| 2129 | La-Z-Boy, Inc. <sup>(a)</sup> | 89184 |
| 5735 | Lear Corp. | 518559 |
| 28845 | Lennar Corp. – Class A <sup>(a)</sup> <sup>(b)</sup> | 3059878 |
| 16600 | Liberty Energy, Inc. | 192394 |
| 4172 | Lincoln National Corp. | 138260 |
| 3922 | LKQ Corp. | 158723 |
| 42699 | LyondellBasell Industries NV – Class A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2412066 |
| 4291 | M&T Bank Corp. | 783708 |
| 805 | M/I Homes, Inc. \* | 85821 |
| 8358 | Macy's, Inc. | 99377 |
| 2811 | ManpowerGroup, Inc. | 117921 |
| 69070 | Match Group, Inc. <sup>(b)</sup> | 2067956 |
| 7028 | Medtronic PLC <sup>(b)</sup> | 583183 |
| 61696 | Merck & Co., Inc. <sup>(a)</sup> <sup>(b)</sup> | 4740721 |
| 4199 | Meritage Homes Corp. | 267098 |
| 4583 | Meta Platforms, Inc. – Class A <sup>(b)</sup> | 2967447 |
| 1683 | MetLife, Inc. <sup>(b)</sup> | 132250 |
| 50047 | MGIC Investment Corp. | 1323743 |
| 31088 | Micron Technology, Inc. <sup>(b)</sup> | 2936572 |
| 91390 | Moderna, Inc. \* <sup>(a)</sup> | 2427318 |
| 1102 | Mohawk Industries, Inc. \* | 110872 |
| 3468 | Molson Coors Beverage Co. – Class B | 185850 |
| 4316 | Mondelez International, Inc. – Class A <sup>(b)</sup> | 291287 |
| 8503 | Morgan Stanley <sup>(b)</sup> | 1088639 |
| 2074 | Mueller Industries, Inc. | 161502 |
| 190 | NewMarket Corp. | 122371 |
| 20400 | NEXTracker, Inc. – Class A \* | 1156476 |
| 6700 | Northern Oil & Gas, Inc. <sup>(a)</sup> | 178086 |
| 1080 | Northrop Grumman Corp. <sup>(b)</sup> | 523552 |
| 28463 | Nucor Corp. | 3112714 |
| 3447 | Old Republic International Corp. | 130297 |
| 57666 | ON Semiconductor Corp. \* | 2423125 |
| 49468 | Organon & Co. | 456095 |
| 6582 | Oshkosh Corp. | 652869 |
| 41119 | Ovintiv, Inc. | 1472883 |
| 2866 | Owens Corning | 383901 |
| 38036 | PACCAR, Inc. <sup>(b)</sup> | 3569679 |
| 61623 | PayPal Holdings, Inc. \* <sup>(b)</sup> | 4330864 |
| 5399 | PepsiCo, Inc. <sup>(b)</sup> | 709699 |
| 3923 | Perdoceo Education Corp. <sup>(b)</sup> | 133539 |
| 234465 | Pfizer, Inc. <sup>(b)</sup> | 5507583 |
| 9028 | PNC Financial Services Group, Inc. | 1569157 |
| 4575 | Polaris, Inc. | 179431 |
| 2781 | PPG Industries, Inc. | 308135 |
| 5459 | Premier, Inc. – Class A <sup>(a)</sup> | 125448 |
| 20600 | ProPetro Holding Corp. \* <sup>(a)</sup> | 111240 |
| 28152 | PulteGroup, Inc. | 2759741 |
| 5030 | PVH Corp. | 421363 |
| 21273 | QUALCOMM, Inc. <sup>(b)</sup> | 3088840 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 23219 | Radian Group, Inc. | 792929 |
| 6223 | Raymond James Financial, Inc. <sup>(b)</sup> | 914657 |
| 8167 | Regeneron Pharmaceuticals, Inc. | 4004117 |
| 11518 | Regions Financial Corp. <sup>(a)</sup> | 246946 |
| 10423 | Sealed Air Corp. | 335621 |
| 5049 | Signet Jewelers Ltd. <sup>(a)</sup> | 336112 |
| 6729 | Sixth Street Specialty Lending, Inc. | 156718 |
| 1453 | Skechers USA, Inc. – Class A \* | 90144 |
| 35678 | Skyworks Solutions, Inc. | 2462852 |
| 15401 | SLM Corp. | 498530 |
| 12400 | SM Energy Co. | 290408 |
| 310 | Snap-on, Inc. | 99432 |
| 78100 | SolarEdge Technologies, Inc. \* <sup>(a)</sup> | 1394866 |
| 36724 | Solventum Corp. \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2684157 |
| 21951 | State Street Corp. <sup>(b)</sup> | 2113442 |
| 19175 | Steel Dynamics, Inc. | 2359867 |
| 4041 | Steven Madden Ltd. | 99611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;219148 | Sunrun, Inc. \* <sup>(a)</sup> | 1641419 |
| 64219 | Synchrony Financial | 3702225 |
| 20989 | T. Rowe Price Group, Inc. <sup>(a)</sup> | 1964360 |
| 25851 | Target Corp. | 2430252 |
| 1222 | Taylor Morrison Home Corp. \* | 68774 |
| 1126 | TE Connectivity PLC | 180239 |
| 1803 | Timken Co. | 123487 |
| 804 | Toll Brothers, Inc. | 83817 |
| 6002 | Tri Pointe Homes, Inc. \* | 176939 |
| 160204 | TRU Taj LLC/TRU Taj Finance, Inc. \* <sup>(d)</sup> | 146854 |
| 10656 | Truist Financial Corp. | 420912 |
| 6409 | Tyson Foods, Inc. – Class A | 359929 |
| 71076 | U.S. Bancorp | 3098203 |
| 1370 | UFP Industries, Inc. | 133657 |
| 30694 | United Airlines Holdings, Inc. \* <sup>(b)</sup> | 2438485 |
| 39792 | United Parcel Service, Inc. – Class B <sup>(b)</sup> | 3881312 |
| 3907 | United Therapeutics Corp. \* | 1245747 |
| 5030 | Universal Health Services, Inc. – Class B | 957460 |
| 3948 | Unum Group | 322591 |
| 500 | Valmont Industries, Inc. | 159020 |
| 1200 | Veralto Corp. <sup>(b)</sup> | 121236 |
| 142181 | Verizon Communications, Inc. <sup>(b)</sup> | 6250277 |
| 300706 | Viatris, Inc. | 2643206 |
| 70504 | VICI Properties, Inc. – (REIT) <sup>(a)</sup> | 2235682 |
| 3900 | Viper Energy, Inc. | 154791 |
| 3811 | Vontier Corp. | 136243 |
| 254371 | Walgreens Boots Alliance, Inc. | 2861674 |
| 6342 | Wells Fargo & Co. <sup>(b)</sup> | 474255 |
| 62943 | Western Union Co. | 584111 |
| 4479 | Whirlpool Corp. <sup>(a)</sup> | 349765 |
| 4932 | YETI Holdings, Inc. \* | 150722 |
| 41524 | Zoom Communications, Inc. – Class A \* <sup>(b)</sup> | 3373825 |
|  | Total United States | 302646311 |

---

---

| | | |
|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Description** | **Value ($)** |
| | **Vietnam — 0.0%** | |
| 17600 | Binh Minh Plastics JSC | 92447 |
| 24319 | Masan Consumer Corp. | 119051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;221200 | Quang Ngai Sugar JSC | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;404266 |
| 158900 | Vietnam Engine & Agricultural Machinery Corp. | 239158 |
|  | Total Vietnam | 854922 |
|  | TOTAL COMMON STOCKS<br>(COST $1,659,126,224) | 1488545123 |
|  | **PREFERRED STOCKS <sup>(g)</sup> —1.3%** | **PREFERRED STOCKS <sup>(g)</sup> —1.3%** |
|  | **Brazil — 0.7%** |  |
| 848000 | Bradespar SA | 2312930 |
| 2640550 | Cia Energetica de Minas Gerais | 5004557 |
| 53700 | Gerdau SA | 143181 |
| 517559 | Gerdau SA Sponsored ADR <sup>(a)</sup> | 1361180 |
| 97930 | Itau Unibanco Holding SA | 640881 |
| 131010 | Itau Unibanco Holding SA Sponsored ADR | 863356 |
| 300600 | Itausa SA | 581806 |
| 406400 | Petroleo Brasileiro SA - Petrobras | 2195605 |
| 90870 | Petroleo Brasileiro SA - Petrobras Sponsored ADR <sup>(b)</sup> | 983213 |
|  | Total Brazil | 14086709 |
|  | **Chile — 0.1%** |  |
| 41600 | Sociedad Quimica y Minera de Chile SA Sponsored ADR\* <sup>(a)</sup> | 1265888 |
|  | **Colombia — 0.1%** |  |
| 25210 | Grupo Cibest SA ADR | 1044450 |
| 4913 | Grupo Cibest SA | 50608 |
|  | Total Colombia | 1095058 |
|  | **Germany — 0.3%** |  |
| 17319 | Bayerische Motoren Werke AG | 1435507 |
| 11122 | Henkel AG & Co. KGaA <sup>(b)</sup> | 891151 |
| 39781 | Volkswagen AG | 4307275 |
|  | Total Germany | 6633933 |
|  | **Russia — 0.0%** |  |
| 15222 | Bashneft PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 79750 | Nizhnekamskneftekhim PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 49530 | Sberbank of Russia PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 20862000 | Surgutneftegas PAO <sup>(d)</sup> <sup>(f)</sup> |  |
| 12313 | Tatneft PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
| 33700 | Transneft PJSC <sup>(d)</sup> <sup>(f)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 0.1%** |  |
| 3452 | LG Electronics, Inc. | 91111 |
| 33261 | Samsung Electronics Co. Ltd. | 1108517 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **South Korea — continued** | |
| 114 | Samsung Electronics Co. Ltd. GDR | 94371 |
|  | Total South Korea | 1293999 |
|  | **United States — 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1288200 | NII Holdings, Inc. \* <sup>(e)</sup> | 450870 |
|  | TOTAL PREFERRED STOCKS<br>(COST $46,724,545) | 24826457 |
|  | **RIGHTS/WARRANTS — 0.1%** | **RIGHTS/WARRANTS — 0.1%** |
|  | **Canada — 0.1%** |  |
| 724783 | Resolute Forest Products, Inc. \* <sup>(e)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1087174 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $1,022,632) | 1087174 |
|  | **INVESTMENT FUNDS — 0.0%** | **INVESTMENT FUNDS — 0.0%** |
|  | **United States — 0.0%** |  |
| 56913 | GMO U.S. Treasury Fund, Class VI <sup>(h)</sup> <sup>(i)</sup> | 285133 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $285,344) | 285133 |
|  | **DEBT OBLIGATIONS — 28.8%** | **DEBT OBLIGATIONS — 28.8%** |
|  | **United States — 28.8%** |  |
|  | **U.S. Government — 28.8%** |  |
| 162500000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.45%, due 04/30/26 <sup>(b)</sup> | 162620450 |
| 121236000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.48%, due 07/31/26 | 121396630 |
| 66000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.51%, due 10/31/26 | 66097231 |
| 1135000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 4.40%, due 01/31/27 | 1135378 |
| 48865000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 4.46%, due 04/30/27 <sup>(b)</sup> | 48893089 |
| 22396140 | U.S. Treasury Inflation-Indexed Bonds, 2.38%, due 02/15/55 <sup>(b)</sup> | 21288820 |
| 73171380 | U.S. Treasury Inflation-Indexed Notes, 1.88%, due 07/15/34 <sup>(b)</sup> | 72593267 |
| 68598379 | U.S. Treasury Inflation-Indexed Notes, 2.13%, due 01/15/35 <sup>(b)</sup> | 69077853 |
|  | Total U.S. Government | 563102718 |
|  | Total United States | 563102718 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $561,780,472) | 563102718 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 9.9%** | **SHORT-TERM INVESTMENTS — 9.9%** |
| | **Money Market Funds — 0.3%** | |
| 212018 | State Street Global Advisors Liquidity PLC - U.S. Treasury Liquidity Fund – Class D Shares, 4.15% <sup>(j)</sup> <sup>(k)</sup> | 212018 |
| 6168988 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(j)</sup> | 6168988 |
|  | Total Money Market Funds | 6381006 |
|  | **Repurchase Agreements — 9.6%** |  |
| 186084360 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/30/25, maturing on 06/02/25 with a maturity value of $186,151,195 and an effective yield of 4.31%, collateralized by a U.S. Treasury Note with maturity date 06/30/29 and a market value of $190,342,884. | 186084360 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $192,465,366) | 192465366 |
|  | **TOTAL INVESTMENTS — 116.3%**<br> (Cost $2,461,404,583) | **2270311971** |
|  | **SECURITIES SOLD SHORT — (17.3)%** | **SECURITIES SOLD SHORT — (17.3)%** |
|  | **Common Stocks — (17.2)%** |  |
|  | **Australia — (0.7)%** |  |
| (15722) | ASX Ltd. | (722375) |
| (46655) | CAR Group Ltd. | (1069203) |
| (4041) | Cochlear Ltd. | (706583) |
| (4235) | Computershare Ltd. | (109647) |
| (258589) | Lottery Corp. Ltd. | (849739) |
| (4085) | Mineral Resources Ltd. \* | (58403) |
| (16212) | Pro Medicus Ltd. | (2939201) |
| (7947) | REA Group Ltd. | (1227536) |
| (47519) | WiseTech Global Ltd. | (3283239) |
| (23550) | Xero Ltd. \* | (2797468) |
|  | Total Australia | (13763394) |
|  | **Austria — (0.0)%** |  |
| (1354) | Verbund AG | (105793) |
|  | **Belgium — (0.0)%** |  |
| (378) | Argenx SE \* | (216886) |
| (72) | Lotus Bakeries NV | (745592) |
|  | Total Belgium | (962478) |
|  | **Brazil — (0.2)%** |  |
| (251749) | NU Holdings Ltd. – Class A \* | (3023505) |
|  | **Canada — (1.2)%** |  |
| (3236) | Agnico Eagle Mines Ltd. | (381816) |
| (100100) | AltaGas Ltd. | (2796542) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Canada — continued** | |
| (19550) | Brookfield Renewable Corp. | (574574) |
| (51333) | Cameco Corp. | (3004520) |
| (67264) | Enbridge, Inc. | (3126431) |
| (18193) | Franco-Nevada Corp. | (3070978) |
| (56330) | GFL Environmental, Inc. | (2840722) |
| (105622) | Pan American Silver Corp. | (2576121) |
| (67798) | Pembina Pipeline Corp. | (2541069) |
| (34659) | Restaurant Brands International, Inc. | (2474999) |
|  | Total Canada | (23387772) |
|  | **Denmark — (0.2)%** |  |
| (23592) | Coloplast AS – Class B | (2293628) |
| (71786) | Tryg AS | (1846768) |
|  | Total Denmark | (4140396) |
|  | **France — (0.4)%** |  |
| (13475) | Aeroports de Paris SA | (1806327) |
| (3369) | Bureau Veritas SA | (115127) |
| (313) | Dassault Aviation SA | (113844) |
| (4982) | Euronext NV | (811962) |
| (119277) | Getlink SE \* | (2281504) |
| (1080) | Hermes International SCA | (2978113) |
|  | Total France | (8106877) |
|  | **Germany — (0.7)%** |  |
| (2097) | adidas AG | (523020) |
| (7445) | CTS Eventim AG & Co. KGaA | (903052) |
| (61683) | Delivery Hero SE \* | (1705309) |
| (7904) | MTU Aero Engines AG | (3161356) |
| (6112) | Qiagen NV \* | (275890) |
| (787) | Rational AG | (647097) |
| (1150) | Rheinmetall AG | (2464756) |
| (30090) | Siemens Energy AG \* | (2940561) |
| (14499) | Talanx AG | (1880965) |
|  | Total Germany | (14502006) |
|  | **Israel — (0.4)%** |  |
| (7896) | CyberArk Software Ltd. \* | (3022431) |
| (10374) | Monday.com Ltd. \* | (3086161) |
| (15488) | Wix.com Ltd. \* | (2306938) |
|  | Total Israel | (8415530) |
|  | **Italy — (0.5)%** |  |
| (49091) | Amplifon SpA | (1128442) |
| (6212) | Ferrari NV | (2973284) |
| (127018) | FinecoBank Banca Fineco SpA | (2746886) |
| (199966) | Infrastrutture Wireless Italiane SpA | (2347601) |
|  | Total Italy | (9196213) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — (1.4)%** | |
| (102500) | Aeon Co. Ltd. | (3151172) |
| (73400) | ANA Holdings, Inc. | (1453397) |
| (84600) | Asics Corp. | (2038952) |
| (15200) | Dentsu Group, Inc. | (328310) |
| (8100) | Disco Corp. | (1814489) |
| (200) | Fast Retailing Co. Ltd. | (66618) |
| (7700) | Fujikura Ltd. | (357414) |
| (212800) | Japan Exchange Group, Inc. | (2330888) |
| (56100) | Kobe Bussan Co. Ltd. | (1772718) |
| (17800) | Mitsubishi Heavy Industries Ltd. | (409869) |
| (105200) | MonotaRO Co. Ltd. | (2170137) |
| (126000) | Oriental Land Co. Ltd. | (2799821) |
| (429600) | Rakuten Group, Inc. \* | (2364473) |
| (2100) | Secom Co. Ltd. | (76470) |
| (83800) | Shiseido Co. Ltd. | (1348742) |
| (2086700) | SoftBank Corp. | (3206333) |
| (24800) | Tokyu Corp. | (301113) |
| (10700) | West Japan Railway Co. | (230587) |
| (28200) | Zensho Holdings Co. Ltd. | (1540612) |
| (44200) | ZOZO, Inc. | (478917) |
|  | Total Japan | (28241032) |
|  | **Netherlands — (0.5)%** |  |
| (784) | Adyen NV \* | (1502519) |
| (283) | ASM International NV | (154022) |
| (17599) | BE Semiconductor Industries NV | (2126754) |
| (49230) | CVC Capital Partners PLC | (916100) |
| (1013) | Heineken Holding NV | (78956) |
| (65841) | InPost SA \* | (1082143) |
| (100451) | Universal Music Group NV | (3214176) |
|  | Total Netherlands | (9074670) |
|  | **Norway — (0.2)%** |  |
| (17973) | Kongsberg Gruppen ASA \* | (3165407) |
|  | **Peru — (0.1)%** |  |
| (27297) | Southern Copper Corp. | (2481570) |
|  | **Singapore — (0.2)%** |  |
| (17300) | CapitaLand Integrated Commercial Trust – (REIT) | (28022) |
| (556700) | CapitaLand Investment Ltd. | (1085575) |
| (594946) | Grab Holdings Ltd. – Class A \* | (2897387) |
| (131600) | Keppel Ltd. | (691024) |
|  | Total Singapore | (4702008) |
|  | **Spain — (0.3)%** |  |
| (73741) | Cellnex Telecom SA \* | (2827252) |
| (61491) | Ferrovial SE | (3132643) |
|  | Total Spain | (5959895) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Sweden — (0.4)%** | |
| (68719) | Beijer Ref AB | (1013370) |
| (82974) | EQT AB | (2431265) |
| (1401) | Lifco AB – B Shares | (57052) |
| (5025) | Spotify Technology SA \* | (3342328) |
|  | Total Sweden | (6844015) |
|  | **Switzerland — (0.3)%** |  |
| (34117) | Avolta AG | (1829722) |
| (5436) | Bachem Holding AG | (342332) |
| (1630) | Partners Group Holding AG | (2188061) |
| (45321) | SIG Group AG | (926685) |
| (462) | VAT Group AG | (176258) |
|  | Total Switzerland | (5463058) |
|  | **United Kingdom — (1.2)%** |  |
| (21826) | Antofagasta PLC | (521052) |
| (27790) | Auto Trader Group PLC | (297620) |
| (25940) | Entain PLC | (263009) |
| (247614) | Informa PLC | (2625475) |
| (24767) | InterContinental Hotels Group PLC | (2838002) |
| (20207) | London Stock Exchange Group PLC | (3074630) |
| (128689) | M&G PLC | (411143) |
| (268655) | Melrose Industries PLC | (1702152) |
| (206384) | Phoenix Group Holdings PLC | (1766022) |
| (317315) | Rolls-Royce Holdings PLC | (3692587) |
| (62289) | Severn Trent PLC | (2274823) |
| (18141) | United Utilities Group PLC | (287230) |
| (189235) | Wise PLC – Class A \* | (2807584) |
|  | Total United Kingdom | (22561329) |
|  | **United States — (8.3)%** |  |
| (14376) | AbbVie, Inc. | (2675517) |
| (3446) | AECOM | (378543) |
| (10690) | Alnylam Pharmaceuticals, Inc. \* | (3255746) |
| (822) | Amgen, Inc. | (236884) |
| (1115) | Analog Devices, Inc. | (238588) |
| (9514) | Arthur J Gallagher & Co. | (3305544) |
| (4036) | Axon Enterprise, Inc. \* | (3028453) |
| (6180) | Bentley Systems, Inc. – Class B | (294971) |
| (15847) | Boeing Co. \* | (3285400) |
| (10090) | Burlington Stores, Inc. \* | (2303244) |
| (9403) | Carvana Co. \* | (3076285) |
| (825) | Cheniere Energy, Inc. | (195517) |
| (27649) | Chipotle Mexican Grill, Inc. \* | (1384662) |
| (14205) | Cintas Corp. | (3217433) |
| (19063) | Cloudflare, Inc. – Class A \* | (3162361) |
| (3231) | CoStar Group, Inc. \* | (237672) |
| (273) | Costco Wholesale Corp. | (283969) |
| (43370) | Dayforce, Inc. \* | (2562300) |
| (18924) | Dexcom, Inc. \* | (1623679) |
| (76188) | DraftKings, Inc. – Class A \* | (2733625) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (1108) | Ecolab, Inc. | (294307) |
| (6691) | Entegris, Inc. | (459939) |
| (55075) | EQT Corp. | (3036285) |
| (38925) | Equitable Holdings, Inc. | (2057965) |
| (6416) | Erie Indemnity Co. – Class A | (2300200) |
| (54559) | Exact Sciences Corp. \* | (3070581) |
| (1559) | Fair Isaac Corp. \* | (2691271) |
| (68384) | Fastenal Co. | (2826995) |
| (36240) | Fidelity National Information Services, Inc. | (2885066) |
| (8051) | Fiserv, Inc. \* | (1310622) |
| (10407) | Flutter Entertainment PLC \* <sup>(c)</sup> | (2634662) |
| (2506) | Flutter Entertainment PLC \* <sup>(c)</sup> | (633266) |
| (97) | Gartner, Inc. \* | (42333) |
| (784) | HEICO Corp. | (234918) |
| (725) | Howmet Aerospace, Inc. | (123170) |
| (4869) | HubSpot, Inc. \* | (2872223) |
| (20502) | Hyatt Hotels Corp. – Class A | (2706879) |
| (10169) | Insulet Corp. \* | (3305230) |
| (411) | Interactive Brokers Group, Inc. – Class A | (86178) |
| (4056) | International Flavors & Fragrances, Inc. | (310527) |
| (10432) | Keurig Dr. Pepper, Inc. | (351245) |
| (29777) | Liberty Media Corp.-Liberty Formula One – Class C \* | (2874374) |
| (6344) | Linde PLC | (2966328) |
| (20532) | Live Nation Entertainment, Inc. \* | (2816785) |
| (10300) | Manhattan Associates, Inc. \* | (1944434) |
| (7337) | Marvell Technology, Inc. | (441614) |
| (1670) | Mastercard, Inc. – Class A | (977952) |
| (3190) | McKesson Corp. | (2295237) |
| (15403) | MongoDB, Inc. \* | (2908548) |
| (4078) | Moody's Corp. | (1954667) |
| (1588) | Motorola Solutions, Inc. | (659623) |
| (5136) | MSCI, Inc. | (2896807) |
| (18284) | Natera, Inc. \* | (2883935) |
| (26529) | Okta, Inc. \* | (2736997) |
| (32749) | ONEOK, Inc. | (2647429) |
| (24943) | Palantir Technologies, Inc. – Class A \* | (3286989) |
| (19880) | Paychex, Inc. | (3139251) |
| (214228) | Rivian Automotive, Inc. – Class A \* | (3112733) |
| (42005) | ROBLOX Corp. – Class A \* | (3653595) |
| (14821) | Roku, Inc. \* | (1073930) |
| (52457) | Rollins, Inc. | (3003163) |
| (710) | S&P Global, Inc. | (364131) |
| (69903) | Samsara, Inc. – Class A \* | (3253286) |
| (3024) | ServiceNow, Inc. \* | (3057536) |
| (41671) | Snap, Inc. – Class A \* | (343786) |
| (15060) | Snowflake, Inc. – Class A \* | (3097390) |
| (1275) | Starbucks Corp. | (107036) |
| (1338) | STERIS PLC | (328091) |
| (14334) | Take-Two Interactive Software, Inc. \* | (3243498) |
| (8875) | Tesla, Inc. \* | (3074833) |
| (2028) | Texas Pacific Land Corp. | (2259253) |
| (78198) | Toast, Inc. – Class A \* | (3298392) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (2538) | Trade Desk, Inc. – Class A \* | (190908) |
| (2171) | TransDigm Group, Inc. | (3187962) |
| (2663) | Tyler Technologies, Inc. \* | (1536524) |
| (295) | Verisk Analytics, Inc. | (92671) |
| (18375) | Vistra Corp. | (2950474) |
| (1181) | Waste Connections, Inc. | (232763) |
| (5044) | Watsco, Inc. | (2237367) |
| (1702) | West Pharmaceutical Services, Inc. | (358867) |
| (51998) | Williams Cos., Inc. | (3146399) |
| (316) | Willis Towers Watson PLC | (100030) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (35535) | Zillow Group, Inc. – Class C \* | (2384754) |
| (13194) | Zscaler, Inc. \* | (3637586) |
|  | Total United States | (162472183) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $230,926,648) | (336569131) |
|  | **PREFERRED STOCKS <sup>(g)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(g)</sup> — (0.1)%** |
|  | **Germany — (0.1)%** |  |
| (8121) | Sartorius AG | (1948043) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $2,399,215) | (1948043) |
|  | **TOTAL SECURITIES SOLD SHORT (PROCEEDS $233,325,863)** | **(338517174)** |
|  | Other Assets and Liabilities (net) — 1.0% | 20427848 |
|  | **TOTAL NET ASSETS — 100.0%** | **$1952222645** |

---

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>May 31,<br>2025** |
| Alrosa PJSC | 12/06/17 | $15372968 | 0.0% | $— |
| Bashneft PJSC | 03/29/18 | 444288 | 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% |  |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

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

**May 31, 2025 (Unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>May 31,<br>2025** |
| 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% |  |
| Surgutneftegas PAO | 11/02/18 | 12687089 | 0.0% |  |
| Tatneft PJSC | 11/02/18 | 8698468 | 0.0% |  |
| Tatneft PJSC | 12/15/21 | 71966 | 0.0% |  |
| Transneft PJSC | 08/12/21 | 683438 | 0.0% |  |
| Unipro PJSC | 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 May 31, 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 |  |  |  |  |
| 935 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 103551250 | 569282 |
| 925 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 191879688 | 244111 |
| 2321 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 251103187 | 533519 |
| 480 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2025 | 54022500 | 102830 |
| 115 | U.S. Ultra Bond (CBT) | September 2025 | 13347188 | 94203 |
|  |  |  | $613903813 | $1543945 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Sales |  |  |  |  |
| 47 | MSCI EAFE Index | June<br>2025 | $6120575 | $(26459) |
| 31 | TOPIX Index | June<br>2025 | 5986423 | 65380 |
|  |  |  | $12106998 | $38921 |

---

+ 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** | **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)<br>($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |
|  CDX.EM.S43 | USD 45,000,000 | 1.00% | 1.72% | N/A | 06/20/2030 | Quarterly | 1593000 | 1438515 | (154485) |
|  CDX.NA.HY.S44 | USD 24,992,000 | 5.00% | 3.51% | N/A | 06/20/2030 | Quarterly | (1482275) | (1540482) | (58207) |
|  |  |  |  |  |  |  | $110725 | $(101967) | $(212692) |

---

---

| | |
|:---|:---|
| ^ | 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)** 

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

**May 31, 2025 (Unaudited)** 

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>

(1) As of May 31, 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.

(2) 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 Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal Funds Rate<br>minus 0.40% | GS | USD | 13141111 | 06/24/2026 | Monthly |  | 75439 | 75439 |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal Funds Rate<br>minus 0.40% | MORD | USD | 14538749 | 06/18/2027 | Monthly |  | (774332) | (774332) |
|  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(698893) | $(698893) |

---

As of May 31, 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, and/or written options, 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) Investment valued using significant unobservable inputs.

(f) The security is restricted as to resale.

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

(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 May 31, 2025.

(k) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned
subsidiary of GMO Implementation Fund. (l) 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.

The rates shown on variable rate notes are the current interest rates at May 31, 2025, which are subject to change based on the terms of the security.

**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

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

**Counterparty Abbreviations:** 

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

**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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** | **INVESTMENT FUNDS — 99.9%** |
| | **United States — 99.9%** | **United States — 99.9%** |
| 8353633 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 248437055 |
| 4935581 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 81881278 |
| 1088366 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 25032421 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $280,657,436) | 355350754 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 280991 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 280991 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $280,991) | 280991 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $280,938,427) | **355631745** |
|  | Other Assets and Liabilities (net) — 0.0% | 65435 |
|  | **TOTAL NET ASSETS — 100.0%** | **$355697180** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO International Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** | **INVESTMENT FUNDS — 99.9%** |
| | **United States — 99.9%** | **United States — 99.9%** |
| 3765096 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 94315644 |
| 5046303 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 150077059 |
| 3568131 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 59195296 |
| 1008662 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 23199217 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $300,428,190) | 326787216 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 431373 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 431373 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $431,373) | 431373 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $300,859,563) | **327218589** |
|  | Other Assets and Liabilities (net) — (0.0%) | (65021) |
|  | **TOTAL NET ASSETS — 100.0%** | **$327153568** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

------

**GMO MAC Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **DEBT OBLIGATIONS — 137.9%** | **DEBT OBLIGATIONS — 137.9%** |
|  | **United States — 137.9%** | **United States — 137.9%** |
|  | **U.S. Government — 98.1%** |  |
| 2485000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 4.46%, due 04/30/27 <sup>(a)</sup> | 2486428 |
|  | **U.S. Government Agency — 39.8%** | **U.S. Government Agency — 39.8%** |
| 1000000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 07/01/54 | 1008512 |
|  | Total United States | 3494940 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $3,495,076) | 3494940 |
|  | **SHORT-TERM INVESTMENTS — 0.6%** | **SHORT-TERM INVESTMENTS — 0.6%** |
|  | **Money Market Funds — 0.6%** | **Money Market Funds — 0.6%** |
| 15852 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(b)</sup> | 15852 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $15,852) | 15852 |
|  | **TOTAL INVESTMENTS — 138.5%**<br> (Cost $3,510,928) | **3510792** |
|  | Other Assets and Liabilities (net) — (38.5)% | (975597) |
|  | **TOTAL NET ASSETS — 100.0%** | **$2535195** |

---

------

**GMO MAC Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

A summary of outstanding financial instruments at May 31, 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 |  |  |  |  |
| 11 | U.S. Treasury Note 10 Yr. (CBT) | September 2025 | 1218250 | 12876 |
| 17 | U.S. Treasury Note 2 Yr. (CBT) | September 2025 | 3526437 | 5230 |
| 3 | U.S. Treasury Note 5 Yr. (CBT) | September 2025 | 324563 | 1684 |
| 5 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2025 | 562734 | 7415 |
|  |  |  | $5631984 | $27205 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sales |  |  |  |  |
| 4 | U.S. Long Bond (CBT) | September 2025 | 451125 | (9131) |
| 2 | U.S. Ultra Bond (CBT) | September 2025 | 232125 | (5315) |
|  |  |  | $683250 | $(14446) |

---

+ 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** | **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) ($)** |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.44 | USD 20,000 | 5.00% | 3.51% | 20,000 USD | 06/20/2030 | Quarterly | 1210 | 1233 | 23 |
|  ITRAXX.XO.43 | EUR 86,000 | 5.00% | 3.00% | 86,000 EUR | 06/20/2030 | Quarterly | 8431 | 8433 | 2 |
|  |  |  |  |  |  |  | $9641 | $9666 | $25 |

---

---

| | |
|:---|:---|
| ^ | 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 May 31, 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** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  1 Day Overnight Federal Funds Effective Rate minus 0.45% | iShares iBoxx $ Investment Grade Corporate Bond ETF | GS | USD 750,046 | 06/20/2025 | At Maturity | $– $| 14906 | $14906 |

---

------

**GMO MAC Implementation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

As of May 31, 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, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

ETF - Exchange-Traded Fund

TBA - To Be Announced - Delayed Delivery Security

**Counterparty Abbreviations:** 

GS - Goldman Sachs International

**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)** 

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **INVESTMENT FUNDS — 100.0%** | **INVESTMENT FUNDS — 100.0%** |
|  | **United States — 100.0%** | **United States — 100.0%** |
| 73170 | GMO Emerging Country Debt Fund, Class VI <sup>(a)</sup> | 1497073 |
| 87617 | GMO High Yield Fund, Class VI <sup>(a)</sup> | 1511390 |
| 250075 | GMO MAC Implementation Fund <sup>(a)</sup> | 2535758 |
| 185928 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 4523627 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $10,019,025) | 10067848 |
|  | **TOTAL INVESTMENTS — 100.0%** (Cost $10,019,025) | **10067848** |
|  | Other Assets and Liabilities (net) — (0.0%) | (505) |
|  | **TOTAL NET ASSETS — 100.0%** | **$10067343** |

---

**Notes to Schedule of Investments:** 

(a) Affiliated company.

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**May 31, 2025 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Shares** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
|  | **COMMON STOCKS — 0.0%** | **COMMON STOCKS — 0.0%** |
| | **China — 0.0%** | **China — 0.0%** |
| 286000 | China Zhongwang Holdings Ltd. \* <sup>(a)</sup> |  |
|  | **Russia — 0.0%** |  |
| 2505 | LUKOIL PJSC \* <sup>(a)</sup> <sup>(b)</sup> |  |
| 5410 | Novatek PJSC <sup>(a)</sup> <sup>(b)</sup> |  |
|  | Total Russia |  |
|  | TOTAL COMMON STOCKS<br>(COST $284,812) |  |
|  | **INVESTMENT FUNDS — 103.1%** |  |
|  | **United States — 103.1%** |  |
| 773209 | GMO Alternative Allocation Fund, Class VI <sup>(c)</sup> | 13693536 |
| 297094 | GMO Asset Allocation Bond Fund, Class VI <sup>(c)</sup> | 5389294 |
| 54220 | GMO Climate Change Fund, Class III <sup>(c)</sup> | 959143 |
| 154578 | GMO Emerging Country Debt Fund, Class VI <sup>(c)</sup> | 3162660 |
| 166155 | GMO Emerging Markets ex-China Fund, Class VI <sup>(c)</sup> | 2073609 |
| 208413 | GMO Emerging Markets Fund, Class VI <sup>(c)</sup> | 5220747 |
| 529115 | GMO International Equity Fund, Class IV <sup>(c)</sup> | 15735869 |
| 456152 | GMO International Opportunistic Value Fund, Class IV <sup>(c)</sup> | 7567556 |
| 285906 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(c)</sup> | 6575845 |
| 183796 | GMO Multi-Sector Fixed Income Fund, Class IV <sup>(c)</sup> | 3196217 |
| 92468 | GMO Quality Fund, Class VI <sup>(c)</sup> | 3093989 |
| 117318 | GMO Resources Fund, Class VI <sup>(c)</sup> | 1970950 |
| 135280 | GMO Small Cap Quality Fund, Class VI <sup>(c)</sup> | 3008618 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> **Value ($)** |
| | **United States — continued** | |
| 570029 | GMO U.S. Equity Fund, Class VI <sup>(c)</sup> | 7393281 |
| 344884 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(c)</sup> | 7321888 |
| 1289380 | GMO U.S. Treasury Fund, Class VI <sup>(c)</sup> | 6459794 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $82,758,665) | 92822996 |
|  | **DEBT OBLIGATIONS — 0.1%** | **DEBT OBLIGATIONS — 0.1%** |
|  | **United States — 0.1%** |  |
|  | **U.S. Government — 0.1%** |  |
| 100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.45%, due 04/30/26 <sup>(d)</sup> | 100074 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $99,986) | 100074 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 139965 | State Street Institutional Treasury Money Market Fund – Premier Class, 4.22% <sup>(e)</sup> | 139965 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $139,965) | 139965 |
|  | **TOTAL INVESTMENTS — 103.3%**<br> (Cost $83,283,428) | **93063035** |
|  | Other Assets and Liabilities (net) — (3.3)% | (2994509) |
|  | **TOTAL NET ASSETS — 100.0%** | **$90068526** |

---

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>May 31, 2025** |
| LUKOIL PJSC | 04/03/20 | $175270 | 0.0% | $— |
| Novatek PJSC | 02/24/22 | 46169 | 0.0% |  |
|  |  |  |  | $— |

---

As of May 31, 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 Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**May 31, 2025 (Unaudited)** 

**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) 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, and/or written options, if any.

(e) The rate disclosed is the 7 day net yield as of May 31, 2025.

The rates shown on variable rate notes are the current interest rates at May 31, 2025, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

PJSC - Private Joint-Stock Company

**Currency Abbreviations:** 

USD - United States Dollar

------

**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 and Implementation Fund may also invest in GMO Alternative Allocation SPC Ltd. and GMO Implementation SPC Ltd. (each a "wholly-owned subsidiary"), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as "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 and Implementation Fund** 

Alternative Allocation Fund and Implementation Fund include the accounts of their wholly-owned subsidiaries and the accompanying Schedules of Investments have been consolidated for those accounts. The Consolidated Schedules of Investments include all of the assets and liabilities of each wholly-owned subsidiary. Alternative Allocation Fund and Implementation Fund are herein referred to as "Consolidated Alternative Allocation Fund" and "Consolidated Implementation Fund", respectively.

**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.

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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 May 31, 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 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 May 31, 2025:

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &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;**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 | $— | $8001922 | $— | $8001922 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 1433445 |  | 1433445 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 3128579 |  | 3128579 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 44977822 |  |  | 44977822 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 5712054 | 0§ | 5712054 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 10354907 |  | 10354907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 2782926 |  | 2782926 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 1629902 | 18029810 |  | 19659712 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 39386820 |  | 39386820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 76444 |  | 76444 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 19110925 |  | 19110925 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 675865 |  | 675865 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 2169239 | 5697114 |  | 7866353 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 421102 | 6756043 |  | 7177145 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 52209535 |  | 52209535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 559522 |  |  | 559522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 19289392 |  | 19289392 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 215770 |  | 215770 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 3478651 |  | 3478651 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 2568191 |  | 2568191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 2174651 |  | 2174651 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 257075 | 11062635 |  | 11319710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 10342675 |  | 10342675 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | 598626 | 5334531 |  | 5933157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 10312591 |  | 10312591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 985320 | 4496322 |  | 5481642 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 5569701 |  | 5569701 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 284430 |  | 284430 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 6829095 | 27089469 |  | 33918564 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 614304976 |  | 4782 | 614309758 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 672732679 | 275575398 | 4782 | 948312859 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 245059 |  | 245059 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 2867739 |  | 2867739 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 307782 |  | 307782 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 3420580 |  | 3420580 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 264384 | 264384 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 335843 | 335843 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 600227 | 600227 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&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 |  | 2540391 |  | 2540391 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 212096132 | 68988210 |  | 281084342 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uruguay |  | 935712 |  | 935712 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 212096132 | 72464313 |  | 284560445 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2485917 | 43770519 |  | 46256436 |
| &nbsp;&nbsp;&nbsp; Purchased Options | 1226555 |  |  | 1226555 |
| &nbsp;&nbsp;&nbsp; Total Investments | 913541283 | 395230810 | 13417921 | 1322190014 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| &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;**Consolidated Alternative Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation 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; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $6584367 | $— | $6584367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 4080 | 3071872 |  | 3075952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 495494 |  |  | 495494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | 1338314 |  |  | 1338314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 12898969 |  | 12898969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 1064854 |  | 1064854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 3962408 |  | 3962408 |
| &nbsp;&nbsp;&nbsp; Total | $915379171 | $422813280 | $13417921 | $1351610372 |
| &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; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(24988752) | $— | $(24988752) |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | (72742) |  | (72742) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (2714573) |  | (2714573) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (2643052) |  |  | (2643052) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (25721819) |  |  | (25721819) |
| &nbsp;&nbsp;&nbsp;&nbsp; China | (96561) | (960530) |  | (1057091) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (5243270) |  | (5243270) |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | (720381) |  | (720381) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (12257766) |  | (12257766) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (15909556) |  | (15909556) |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | (3445737) |  | (3445737) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (7503754) |  |  | (7503754) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | (8775135) |  | (8775135) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (39408755) |  | (39408755) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | (737432) | (9215805) |  | (9953237) |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | (743558) |  | (743558) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (2342398) |  | (2342398) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (1835023) |  |  | (1835023) |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | (884096) |  | (884096) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (2880413) | (3963992) |  | (6844405) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (7252987) |  | (7252987) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (2465674) | (6189283) |  | (8654957) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (9041734) |  | (9041734) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (28303094) |  | (28303094) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (351006234) | (2067072) |  | (353073306) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (394889962) | (184501216) |  | (579391178) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (1724238) |  | (1724238) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (1724238) |  | (1724238) |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  | (25461251) |  | (25461251) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (25461251) |  | (25461251) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (3219925) |  | (3219925) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (2847884) | (3399744) |  | (6247628) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (66757) |  |  | (66757) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | (2363497) |  |  | (2363497) |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| &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;**Consolidated Alternative Allocation Fund (continued)** | &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;**Liability Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** |
| &nbsp;&nbsp;&nbsp; Derivatives^ (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk | $— | $(199847) | $— | $(199847) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (9383169) |  |  | (9383169) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (4375157) |  | (4375157) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (1839256) |  | (1839256) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (3578195) |  | (3578195) |
| &nbsp;&nbsp;&nbsp; Total | $(409551269) | $(228298829) | $— | $(637850098) |
| &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;**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 | $2247382127 | $— | $— | $2247382127 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1775451 |  |  | 1775451 |
| &nbsp;&nbsp;&nbsp; Total Investments | 2249157578 |  |  | 2249157578 |
| &nbsp;&nbsp;&nbsp; Total | $2249157578 | $— | $— | $2249157578 |
| &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;**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 | $— | $12676339 | $— | $12676339 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 3924954 |  | 3924954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 5893830 |  | 5893830 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 802449 | 4366140 |  | 5168589 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 34673304 | 86439 |  | 34759743 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 3746036 | 17202011 | 0§ | 20948047 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 13896 |  |  | 13896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 115341 |  | 115341 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 5951436 |  | 5951436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 105056 |  | 105056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 3421792 |  | 3421792 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 1791241 | 23902041 |  | 25693282 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 19195148 |  | 19195148 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 386955 | 0§ | 386955 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 7568710 |  | 7568710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 4807920 |  | 4807920 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 981890 | 12012289 |  | 12994179 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 8146869 |  | 8146869 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 194723 |  | 194723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 1376061 | 2913031 |  | 4289092 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 353065 | 13215497 |  | 13568562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 1469111 | 175560057 |  | 177029168 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 230740 |  | 230740 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 4811289 |  | 0§ | 4811289 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 18684268 |  | 18684268 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 139329 |  | 139329 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 6658685 |  | 6658685 |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | 402439 |  |  | 402439 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 263772 |  | 263772 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 2149343 |  | 2149343 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 1181565 |  | 1181565 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 721156 |  | 721156 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 2589057 |  | 2589057 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 6811727 |  | 6811727 |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free 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 Africa | $— | $1942692 | $— | $1942692 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 435462 | 21262377 |  | 21697839 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 18237442 |  | 18237442 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 5579611 |  | 5579611 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 1964011 | 12817545 |  | 14781556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 154656 | 25593715 |  | 25748371 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 10639622 |  | 10639622 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 361756 |  | 361756 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 4318762 |  | 4318762 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 11921623 | 23387024 | 0§ | 35308647 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 131879901 |  |  | 131879901 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 423734 |  | 423734 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 196776434 | 485640500 | 0§ | 682416934 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 1409899 | 3433283 |  | 4843182 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 470603 |  |  | 470603 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 3372461 |  | 3372461 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 704162 |  | 704162 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 1880502 | 7509906 | 0§ | 9390408 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 11850 | 11850 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 11850 | 11850 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 248663469 |  |  | 248663469 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 248663469 |  |  | 248663469 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 168751270 | 73048201 |  | 241799471 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 168751270 | 73048201 |  | 241799471 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 5924300 | 115999446 |  | 121923746 |
| &nbsp;&nbsp;&nbsp; Total Investments | 621995975 | 682198053 | 11850 | 1304205878 |
| &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 31693 |  | 31693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 710734 |  |  | 710734 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 728848 |  | 728848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 47015 |  | 47015 |
| &nbsp;&nbsp;&nbsp; Total | $622706709 | $683005609 | $11850 | $1305724168 |
| &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; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(6541278) | $— | $(6541278) |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | (46958) |  | (46958) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (458834) |  | (458834) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (1440888) |  |  | (1440888) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (11101622) |  |  | (11101622) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (2008424) |  | (2008424) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (3886993) |  | (3886993) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (6920205) |  | (6920205) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (4055899) |  |  | (4055899) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | (4407283) |  | (4407283) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs (continued)** |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | $— | $(13501738) | $— | $(13501738) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (4285071) |  | (4285071) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (1466376) |  | (1466376) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (1182648) |  |  | (1182648) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (1380791) | (862529) |  | (2243320) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (2909047) |  | (2909047) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (1593010) | (1742166) |  | (3335176) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (2613277) |  | (2613277) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (10781402) |  | (10781402) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (76268711) | (1292648) |  | (77561359) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (97023569) | (63724229) |  | (160747798) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (917531) |  | (917531) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (917531) |  | (917531) |
| &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ | &nbsp;&nbsp;&nbsp; Derivatives^ |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (12385) |  |  | (12385) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (705643) |  | (705643) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (391577) |  | (391577) |
| &nbsp;&nbsp;&nbsp; Total | $(97035954) | $(65738980) | $— | $(162774934) |
| &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 | $396223198 | $— | $— | $396223198 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 44492 |  |  | 44492 |
| &nbsp;&nbsp;&nbsp; Total Investments | 396267690 |  |  | 396267690 |
| &nbsp;&nbsp;&nbsp; Total | $396267690 | $— | $— | $396267690 |
| &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 | $81972035 | $— | $— | $81972035 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 79765 |  |  | 79765 |
| &nbsp;&nbsp;&nbsp; Total Investments | 82051800 |  |  | 82051800 |
| &nbsp;&nbsp;&nbsp; Total | $82051800 | $— | $— | $82051800 |
| &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 | $542764806 | $— | $— | $542764806 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 345536 |  |  | 345536 |
| &nbsp;&nbsp;&nbsp; Total Investments | 543110342 |  |  | 543110342 |
| &nbsp;&nbsp;&nbsp; Total | $543110342 | $— | $— | $543110342 |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated 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 | $4518538 | $— | $— | $4518538 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 26782354 |  | 26782354 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 8735400 |  | 8735400 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 12128716 |  | 12128716 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 1327433 | 11905096 |  | 13232529 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated 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; Canada | $77106687 | $178211 | $— | $77284898 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 7709433 | 36529769 | 1 | 44239203 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 30357 |  |  | 30357 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 242915 |  | 242915 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 13584836 |  | 13584836 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 159777 |  | 159777 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 7712961 |  | 7712961 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 3659838 | 50637561 |  | 54297399 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 40187811 |  | 40187811 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 798362 |  | 798362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 16411613 |  | 16411613 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 10806666 |  | 10806666 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 2020232 | 25138263 | 12284 | 27170779 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia | 58310 | 16304786 |  | 16363096 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 468281 |  | 468281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 2871995 | 6129102 |  | 9001097 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 769250 | 28607917 |  | 29377167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 2885910 | 364870689 |  | 367756599 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 505997 |  | 505997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 10801902 |  | 0§ | 10801902 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 39321814 |  | 39321814 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 348534 |  | 348534 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 16122806 |  | 16122806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 52108 |  | 52108 |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | 868421 |  |  | 868421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 892944 |  | 892944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 4454975 |  | 4454975 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 5165053 |  | 5165053 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 1648151 |  | 1648151 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 5362339 |  | 5362339 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 13936489 |  | 13936489 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 5188354 |  | 5188354 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 1005816 | 45005503 |  | 46011319 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 38566954 |  | 38566954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 12026701 |  | 12026701 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 3691710 | 27095079 |  | 30786789 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 270648 | 53316550 |  | 53587198 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 21949005 |  | 21949005 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 791880 |  | 791880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 179333 |  | 179333 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 8925531 |  | 8925531 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 24970526 | 61287413 | 0§ | 86257939 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 302489382 |  | 156929 | 302646311 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 854922 |  | 854922 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 447056388 | 1041319521 | 169214 | 1488545123 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 3207749 | 10878960 |  | 14086709 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 1265888 |  |  | 1265888 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 1095058 |  |  | 1095058 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 6633933 |  | 6633933 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 1293999 |  | 1293999 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 450870 | 450870 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 5568695 | 18806892 | 450870 | 24826457 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated 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; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | $— | $— | $1087174 | $1087174 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 1087174 | 1087174 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 285133 |  |  | 285133 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 285133 |  |  | 285133 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 400142778 | 162959940 |  | 563102718 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 400142778 | 162959940 |  | 563102718 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 6168988 | 186296378 |  | 192465366 |
| &nbsp;&nbsp;&nbsp; Total Investments | 859221982 | 1409382731 | 1707258 | 2270311971 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 65380 |  | 65380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 1543945 |  |  | 1543945 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 1438515 |  | 1438515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 75439 |  | 75439 |
| &nbsp;&nbsp;&nbsp; Total | $860765927 | $1410962065 | $1707258 | $2273435250 |
| &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; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(13763394) | $— | $(13763394) |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | (105793) |  | (105793) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (962478) |  | (962478) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (3023505) |  |  | (3023505) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (23387772) |  |  | (23387772) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (4140396) |  | (4140396) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (8106877) |  | (8106877) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (14502006) |  | (14502006) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (8415530) |  |  | (8415530) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | (9196213) |  | (9196213) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (28241032) |  | (28241032) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (9074670) |  | (9074670) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (3165407) |  | (3165407) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (2481570) |  |  | (2481570) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (2897387) | (1804621) |  | (4702008) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (5959895) |  | (5959895) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (3342328) | (3501687) |  | (6844015) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (5463058) |  | (5463058) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (22561329) |  | (22561329) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (159837521) | (2634662) |  | (162472183) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (203385613) | (133183518) |  | (336569131) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (1948043) |  | (1948043) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (1948043) |  | (1948043) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (26459) |  |  | (26459) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (1540482) |  | (1540482) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (774332) |  | (774332) |
| &nbsp;&nbsp;&nbsp; Total | $(203412072) | $(137446375) | $— | $(340858447) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &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;**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 | $355350754 | $— | $— | $355350754 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 280991 |  |  | 280991 |
| &nbsp;&nbsp;&nbsp; Total Investments | 355631745 |  |  | 355631745 |
| &nbsp;&nbsp;&nbsp; Total | $355631745 | $— | $— | $355631745 |
| &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;**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 | $326787216 | $— | $— | $326787216 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 431373 |  |  | 431373 |
| &nbsp;&nbsp;&nbsp; Total Investments | 327218589 |  |  | 327218589 |
| &nbsp;&nbsp;&nbsp; Total | $327218589 | $— | $— | $327218589 |
| &nbsp;&nbsp;&nbsp;**MAC Implementation Fund** | &nbsp;&nbsp;&nbsp;**MAC Implementation Fund** | &nbsp;&nbsp;&nbsp;**MAC Implementation Fund** | &nbsp;&nbsp;&nbsp;**MAC Implementation Fund** | &nbsp;&nbsp;&nbsp;**MAC 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; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | $2486428 | $— | $— | $2486428 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 1008512 |  | 1008512 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 2486428 | 1008512 |  | 3494940 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 15852 |  |  | 15852 |
| &nbsp;&nbsp;&nbsp; Total Investments | 2502280 | 1008512 |  | 3510792 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 27205 |  |  | 27205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 9666 |  | 9666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 14906 |  | 14906 |
| &nbsp;&nbsp;&nbsp; Total | $2529485 | $1033084 | $— | $3562569 |
| &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 | $(14446) | $— | $— | $(14446) |
| &nbsp;&nbsp;&nbsp; Total | $(14446) | $— | $— | $(14446) |
| &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;**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 | $10067848 | $— | $— | $10067848 |
| &nbsp;&nbsp;&nbsp; Total Investments | 10067848 |  |  | 10067848 |
| &nbsp;&nbsp;&nbsp; Total | $10067848 | $— | $— | $10067848 |
| &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;**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; China | $— | $— | $0§ | $0§ |
| &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 | 92822996 |  |  | 92822996 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 92822996 |  |  | 92822996 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &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;**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; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $100074 | $— | $— | $100074 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 100074 |  |  | 100074 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 139965 |  |  | 139965 |
| &nbsp;&nbsp;&nbsp; Total Investments | 93063035 |  | 0§ | 93063035 |
| &nbsp;&nbsp;&nbsp; Total | $93063035 | $— | $0§ | $93063035 |

---

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 May 31, 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.

As of May 31, 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> **May 31,**<br> **2025** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as<br>of May 31,<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;**Consolidated Alternative Allocation Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $4782 | $— | $— | $— | $— | $— | $— | $— | $4782 | $— |
| &nbsp;&nbsp;&nbsp;**Rights/Warrants** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 264384 |  |  |  |  |  |  |  | 264384 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 335843 |  |  |  |  |  |  |  | 335843 |  |
| &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 | $— | $(1971217) | $— | $— | $— | $— | $— | $13417921 | $— |

---

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 May 31, 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 Value | Discount for lack of liquidity/marketability | $0 (N/A) |

---

\* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2025, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $13,417,921. 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 May 31, 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 May 31, 2025 is set forth below:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain (Loss)** | **Net<br>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;&nbsp; GMO U.S. Treasury Fund, Class VI | $25000000 | $— | $— | $282145 |  | $— | $— | $— | $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;&nbsp; GMO Alternative Allocation Fund, Class VI | $303421305 | $6496182 | $18370000 | $— |  | $— | $1012146 | $(747111) | $291812522 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 19164880 |  |  |  |  |  |  | 511657 | 19676537 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 53999642 |  | 8860000 |  |  |  | 385156 | (570582) | 44954216 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI | 23591753 |  |  |  |  |  |  | 304768 | 23896521 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Implementation Fund | 1870255937 | 42994060 | 166002606 |  |  |  | 10134832 | 64422839 | 1821805062 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 70152430 | 861322 | 25475000 | 861322 |  |  | (332529) | 31046 | 45237269 |
| &nbsp;&nbsp;&nbsp; Totals | $2340585947 | $50351564 | $218707606 | $861322 |  | $— | $11199605 | $63952617 | $2247382127 |
| &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 | $— | $— | $— |  | $— | $— | $(167146) | $148008646 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 10208470 |  |  |  |  |  |  | 272542 | 10481012 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 23631327 |  |  |  |  |  |  | (46109) | 23585218 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI | 11502608 |  |  |  |  |  |  | 148595 | 11651203 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 37539543 |  | 14099166 | 451684 |  |  | (1131676) | 970574 | 23279275 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 29715241 |  |  |  |  |  |  | (958556) | 28756685 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 5054182 | 68575397 | 70728149 |  | \*\* |  |  |  | 2901430 |
| &nbsp;&nbsp;&nbsp; Totals | $265827163 | $68575397 | $84827315 | $451684 |  | $— | $(1131676) | $219900 | $248663469 |
| &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 | $1837730 | $2300000 | $— |  | $— | $(279585) | $243559 | $50038131 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Asset Allocation Bond Fund, Class VI | 24036024 |  | 2000000 |  |  |  | (541189) | (194183) | 21300652 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 2881930 |  |  |  |  |  |  | 76940 | 2958870 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 12611660 |  |  |  |  |  |  | (24608) | 12587052 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 10519860 | 887667 |  |  |  |  |  | 1156146 | 12563673 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 21942738 | 855478 |  |  |  |  |  | 1990073 | 24788289 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 52529710 | 7000000 | 6406486 |  |  |  | 927155 | 5984147 | 60034526 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 27283990 |  |  |  |  |  |  | 2573622 | 29857612 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 22586604 |  |  |  |  |  |  | 2878685 | 25465289 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 46627580 |  | 1000000 |  |  |  | (246610) | 85710 | 45466680 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 6427946 | 74566 | 2675000 | 74566 |  |  | (271933) | 244678 | 3800257 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 11112775 | 2481333 | 10847077 | 25746 |  | 2455587 | (3103780) | 356749 |  |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &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 (Loss)** | **Net<br>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;&nbsp; GMO Quality Fund, Class VI | $11236917 | $992840 | $— | $— | $— | $— | $(31951) | $12197806 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 7156339 |  |  |  |  |  | (230849) | 6925490 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 10785331 | 798295 |  |  |  |  | (240629) | 11342997 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 21428020 | 12164259 |  |  |  |  | (15264) | 33577015 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 26227387 | 2372727 |  |  |  |  | (1171195) | 27428919 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 7679739 |  |  |  |  |  | (266111) | 7413628 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 4211034 | 13745278 | 9480000 | 44847 |  | 600 | (600) | 8476312 |
| &nbsp;&nbsp;&nbsp; Totals | $377822011 | $43210173 | $34708563 | $145159 | $2455587 | $(3515342) | $13414919 | $396223198 |
| &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 | $— | $— | $— | $— | $— | $15409 | $592580 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 1359983 | 200000 |  |  |  |  | 157951 | 1717934 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 20572375 | 1475000 | 1820000 |  |  | 512477 | 1767259 | 22507111 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 9323086 |  | 810000 |  |  | 132973 | 711945 | 9358004 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 4749824 |  | 155000 |  |  | 15711 | 582613 | 5193148 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 3837852 | 856940 | 3746091 | 8892 | 848049 | (1005892) | 57191 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 11898522 | 426001 |  |  |  |  | (165794) | 12158729 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 2046176 |  |  |  |  |  | (66005) | 1980171 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 3567931 | 575000 |  |  |  |  | (75916) | 4067015 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 6918488 | 2978343 |  |  |  |  | (94598) | 9802233 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 12011054 | 685000 |  |  |  |  | (573179) | 12122875 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 2356183 | 190000 |  |  |  |  | (73948) | 2472235 |
| &nbsp;&nbsp;&nbsp; Totals | $79218645 | $7386284 | $6531091 | $8892 | $848049 | $(344731) | $2242928 | $81972035 |
| &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 | $— | $— | $— | $— | $— | $127373 | $4898324 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 11099143 |  | 1430000 |  |  | (282727) | 1416204 | 10802620 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 58252269 |  | 9190000 |  |  | (3251314) | 8280793 | 54091748 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 129922729 | 6991790 | 20080000 |  |  | 2313504 | 12003676 | 131151699 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 66127288 |  | 11680000 |  |  | 2079002 | 3862617 | 60388907 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 36143874 |  | 7390000 |  |  | 661898 | 3715454 | 33131226 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 29259864 | 6533333 | 28560281 | 67789 | 6465544 | (7331550) | 98634 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 71083473 | 1210797 | 5950000 |  |  | 1551317 | (2546674) | 65348913 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 15457252 |  |  |  |  |  | (498621) | 14958631 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 26485454 | 3299999 | 2040000 |  |  | 210404 | (786117) | 27169740 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 40109263 | 20245535 | 5270000 |  |  | (483442) | (127871) | 54473485 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 77261885 | 2260000 | 5370000 |  |  | 342121 | (3970787) | 70523219 |

---

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | | **Distributions of<br>Realized<br>Gains\*** | **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 Equity Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund (continued)** |  | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | $16394376 | $— | $— | $— |  | $— | $— | $(568082) | $15826294 |
| &nbsp;&nbsp;&nbsp;&nbsp; Totals | $582367821 | $40541454 | $96960281 | $67789 |  | $6465544 | $(4190787) | $21006599 | $542764806 |
| &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $4043535 | $46989326 | $50747728 | $— | \*\* | $— | $— | $— | $285133 |
| &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 | $2810731 | $100000 | $— |  | $— | $29151 | $25126075 | $248437055 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 74374016 | 585000 | 100000 |  |  |  | 12615 | 7009647 | 81881278 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 22021978 | 200000 |  |  |  |  |  | 2810443 | 25032421 |
| &nbsp;&nbsp;&nbsp; Totals | $316967092 | $3595731 | $200000 | $— |  | $— | $41766 | $34946165 | $355350754 |
| &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 | $7785581 | $7714053 | $— |  | $— | $(2617781) | $10386637 | $94315644 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 152164318 | 1095000 | 18997974 |  |  |  | 3929678 | 11886037 | 150077059 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 60336245 | 300000 | 6708941 |  |  |  | 988724 | 4279268 | 59195296 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 21933281 |  | 1414060 |  |  |  | 63461 | 2616535 | 23199217 |
| &nbsp;&nbsp;&nbsp; Totals | $320909104 | $9180581 | $34835028 | $— |  | $— | $2364082 | $29168477 | $326787216 |
| &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 | $— | $1500000 | $— | $— |  | $— | $— | $(2927) | $1497073 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI |  | 1500000 |  |  |  |  |  | 11390 | 1511390 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO MAC Implementation Fund |  | 2750000 | 250000 |  |  |  | 748 | 35010 | 2535758 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI |  | 4518277 |  | 18277 |  |  |  | 5350 | 4523627 |
| &nbsp;&nbsp;&nbsp; Totals | $— | $10268277 | $250000 | $18277 |  | $— | $748 | $48823 | $10067848 |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | **Distributions of<br>Realized<br>Gains\*** | **Net<br>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** | &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 | $— | $12700000 | $— | $— | $265181 | $(287812) | $13693536 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Asset Allocation Bond Fund, Class VI | 10547466 |  | 4815000 |  |  | (63881) | (279291) | 5389294 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 1908199 |  | 1000000 |  |  | (248163) | 299107 | 959143 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 6687088 |  | 3500000 |  |  | (783739) | 759311 | 3162660 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 3837405 | 174230 | 2355000 |  |  | (324691) | 741665 | 2073609 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 10017128 |  | 5675000 |  |  | (1563609) | 2442228 | 5220747 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 29219632 | 2844941 | 19808686 |  |  | 3602614 | (122632) | 15735869 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 14814610 | 318074 | 8938121 |  |  | 1590003 | (217010) | 7567556 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 12298788 |  | 7216117 |  |  | 967056 | 526118 | 6575845 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 6438354 |  | 3220000 |  |  | 44290 | (66427) | 3196217 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 6328153 | 1412991 | 6176852 | 14661 | 1398330 | (1589284) | 24992 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 5954138 | 579742 | 3430000 |  |  | 605425 | (615316) | 3093989 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 3617649 |  | 1530000 |  |  | (586500) | 469801 | 1970950 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 5417916 | 1132444 | 3470000 |  |  | 45845 | (117587) | 3008618 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 9607701 | 6101775 | 8290000 |  |  | (281591) | 255396 | 7393281 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 13827042 | 1438209 | 7350000 |  |  | 174488 | (767851) | 7321888 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 3675432 | 6384363 | 3600000 | 32654 |  | 43 | (44) | 6459794 |
| &nbsp;&nbsp;&nbsp; Totals | $170612868 | $20386769 | $103074776 | $47315 | $1398330 | $1853487 | $3044648 | $92822996 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2025 through May 31, 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 $38,080 and $48,135 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period. 

**Subsequent events** 

Subsequent to May 31, 2025, GMO International Developed Equity Allocation Fund and GMO MAC Implementation Fund received redemption requests in the amounts of $203,825,614 and $766,800, respectively.

\*\*\*

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 Strategic Opportunities Allocation Fund

- **b. EDGAR series identifier (if any):** S000005489

- **c. LEI of Series:** 549300GFBONLYCZNPD85

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

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

- **b. Date as of which information is reported:** 2025-05-31

**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:** $177792281.93

**Total Liabilities:** $130935.74

**Net Assets:** $177661346.19

**Cash Not Reported:** $17047.91

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014937 | 0.12%                | 0.59%                | 2.97%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1013133.24             | $-106704.34                                |
| Month 2  | $320413.45               | $657846.55                                 |
| Month 3  | $37247.93                | $5060259.49                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GMO US Opportunistic Value Fund            | GMO US Opportunistic Value Fund                       | CUSIP: 36256V437<br>LEI: 549300D1IT1TGIT5NX36 | Long             | EC               | RF                | US        |    691092 | NS      | $14671888.30  | 8.26%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO International Opportunistic Value Fund | GMO International Opportunistic Value Fund            | CUSIP: 36262F509<br>LEI: 549300KLH1QUHZ9NXR88 | Long             | EC               | RF                | US        |    897381 | NS      | $14887556.10  | 8.38%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO US Equity Fund                         | GMO US Equity Fund                                    | CUSIP: 362013625<br>LEI: 5493004KYM8L0UCFW658 | Long             | EC               | RF                | US        |   1145145 | NS      | $14863981.44  | 8.37%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO International Equity Fund              | GMO International Equity Fund                         | CUSIP: 362008831<br>LEI: 549300GUNRPC30EDRZ54 | Long             | EC               | RF                | US        |   1073836 | NS      | $31935869.35  | 17.98%            |  |  |  | No            |                  1 | On Loan: No      |
| UNTRADE.CHINA ZHONGWANG                    | UNTRADE.CHINA ZHONGWANG                               | CUSIP: 000000000<br>LEI: 529900J21TD2P9K4YC63 | Long             | EC               | CORP              | HK        |    286000 | NS      | $0.04         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| United States Treasury                     | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CKM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $100074.12    | 0.06%             | 2026-04-30      | Floating      | 4.45%                 | No            |                  1 | On Loan: No      |
| GMO-Usonian Japan Value Creation Fund      | GMO-Usonian Japan Value Creation Fund                 | CUSIP: 36256V643<br>LEI: 549300000UZYKHHPND29 | Long             | EC               | RF                | US        |    572988 | NS      | $13172985.96  | 7.41%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Small Cap Quality Fund                 | GMO Small Cap Quality Fund                            | CUSIP: 36256V494<br>LEI: 549300BRUDL08K13VQ63 | Long             | EC               | RF                | US        |    291305 | NS      | $6478617.48   | 3.65%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Resources Fund                         | GMO Resources Fund                                    | CUSIP: 362014409<br>LEI: 549300RZ6MOU726M7F60 | Long             | EC               | RF                | US        |    208390 | NS      | $3500950.27   | 1.97%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Asset Allocation Bond Fund             | GMO Asset Allocation Bond Fund                        | CUSIP: 362013377<br>LEI: XMFQA7127YTH95F0NH19 | Long             | EC               | RF                | US        |    534967 | NS      | $9704294.11   | 5.46%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Climate Change Fund                    | GMO Climate Change Fund                               | CUSIP: 362014615<br>LEI: 549300YHGBL4FWUNIF94 | Long             | EC               | RF                | US        |    110749 | NS      | $1959143.02   | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Global Advisors               | State Street Institutional Treasury Money Market Fund | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |    139965 | NS      | $139964.79    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Quality Fund                           | GMO Quality Fund                                      | CUSIP: 362008229<br>LEI: 549300AFPJUDV7V43T32 | Long             | EC               | RF                | US        |    194979 | NS      | $6523988.81   | 3.67%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Multi-Sector Fixed Income Fund         | GMO Multi-Sector Fixed Income Fund                    | CUSIP: 362008120<br>LEI: BC8D6LTQTCM32RRYZ044 | Long             | EC               | RF                | US        |    368960 | NS      | $6416216.43   | 3.61%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Emerging Markets Fund                  | GMO Emerging Markets Fund                             | CUSIP: 362008278<br>LEI: DOSKAMXF8YE41HIDZR39 | Long             | EC               | RF                | US        |    434960 | NS      | $10895746.87  | 6.13%             |  |  |  | No            |                  1 | On Loan: No      |
| LUKOIL PJSC                                | LUKOIL PJSC                                           | CUSIP: 000000000<br>LEI: 549300LCJ1UJXHYBWI24 | Long             | EC               | CORP              | RU        |      2505 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Novatek PJSC                               | Novatek PJSC                                          | CUSIP: 000000000<br>LEI: 2138008R6GCRVBDFA581 | Long             | EC               | CORP              | RU        |      5410 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GMO Emerging Country Debt                  | GMO Emerging Country Debt                             | CUSIP: 36262F103<br>LEI: KCRGSH2QB4OQ3874HQ90 | Long             | EC               | RF                | US        |    253027 | NS      | $5176922.64   | 2.91%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Alternative Allocation Fund            | GMO Alternative Allocation Fund                       | CUSIP: 362014466<br>LEI: 549300NEZ72NVUM4S865 | Long             | EC               | RF                | US        |   1489914 | NS      | $26401268.04  | 14.86%            |  |  |  | No            |                  1 | On Loan: No      |
| GMO US Treasury Fund                       | GMO US Treasury Fund                                  | CUSIP: 362013369<br>LEI: 0NIBQB0NDRTFX04R2J69 | Long             | EC               | RF                | US        |   1286061 | NS      | $6443167.23   | 3.63%             |  |  |  | No            |                  1 | On Loan: No      |
| GMO Emerging Markets ex-China Fund         | GMO Emerging Markets ex-China Fund                    | CUSIP: 36256V551<br>LEI: 549300175HXW4M6BSD82 | Long             | EC               | RF                | US        |    354857 | NS      | $4428609.24   | 2.49%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-18

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer