# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-26-041724
**Filing Date:** 2026-4
**Character Count:** 7659
**Document Hash:** d75fa99e89b9197d5c3a3a66db220ec7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-041724.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0001410368-26-041724

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 26911182

**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 Asset Allocation Bond Fund (Series ID: S000025199)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000075103 | Class VI     | GABFX           |

## 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 Asset Allocation Bond Fund

- **b. EDGAR series identifier (if any):** S000025199

- **c. LEI of Series:** XMFQA7127YTH95F0NH19

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $106061020.24

**Total Liabilities:** $103389.18

**Net Assets:** $105957631.06

**Currency Risk Metrics (dv01):**

- 

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

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

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000075103 | -1.80%               | -0.75%               | 4.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $7088.48                                   |
| Month 2  | $0.00                    | $7132.17                                   |
| Month 3  | $0.00                    | $-124.24                                   |

**Designated Index Information**

- **Index Name:** BBG Treasury 20+ Yr Index

- **Index Identifier:** LTSY_20P

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Chicago Board of Trade                | US 5YR NOTE (CBT) JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       671 | NC      | $421211.53    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4855000 | PA      | $4860835.81   | 4.59%             | 2027-07-31      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| United States Treasury                | U.S. Treasury Floating Rate Notes                     | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4425000 | PA      | $4430268.63   | 4.18%             | 2027-04-30      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                | US 2YR NOTE (CBT) JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       121 | NC      | $49967.19     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                | US 10YR NOTE (CBT)JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       289 | NC      | $144447.69    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                | US 10YR ULTRA FUT JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       242 | NC      | $160910.64    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                | US ULTRA BOND CBT JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       162 | NC      | $164270.75    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                | US LONG BOND(CBT) JUN26                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       227 | NC      | $209671.50    | 0.20%             |  |  |  | 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        |   1952900 | NS      | $1952900.34   | 1.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Nomura Securities International, Inc. | NOMURA REPO                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |  93999193 | PA      | $93999193.08  | 88.71%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer