UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04347
GMO Trust
(Exact name of the registrant as specified in charter)
40 Rowes Wharf, Boston, MA 02110 | ||
(Address of principal executive offices) (Zip Code) |
Sheppard N. Burnett, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110
(Name and address of agent for services)
Registrant’s telephone number, including area code: 617-346-7646
Date of fiscal year end: 02/28/19
Date of reporting period: 08/31/18
Item 1. Reports to Stockholders.
The semi-annual reports for each series of the registrant for the period ended August 31, 2018 are filed herewith.
GMO Trust
Semiannual Report
August 31, 2018
Asset Allocation Bond Fund
Core Plus Bond Fund
Emerging Country Debt Fund
High Yield Fund
Opportunistic Income Fund
U.S. Treasury Fund
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at
www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
1 | ||||
2 | ||||
5 | ||||
6 | ||||
9 | ||||
10 | ||||
21 | ||||
22 | ||||
Opportunistic Income Fund | ||||
26 | ||||
27 | ||||
36 | ||||
37 | ||||
38 | ||||
39 | ||||
43 | ||||
45 | ||||
48 | ||||
54 | ||||
99 | ||||
106 |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 94.0 | % | ||
Mutual Funds | 4.9 | |||
Short-Term Investments | 3.9 | |||
Swap Contracts | 0.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Other | (2.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
^ | Rounds to 0.0%. |
1
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 94.0% | ||||||||||
U.S. Government — 86.4% | ||||||||||
36,951,627 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (a) | 36,729,527 | ||||||||
23,549,384 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a) | 22,816,921 | ||||||||
66,923,303 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a) | 66,229,364 | ||||||||
54,644,884 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a) | 52,830,504 | ||||||||
29,743,889 | U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a) | 28,915,088 | ||||||||
61,063,430 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a) | 66,209,028 | ||||||||
60,941,392 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a) | 70,995,721 | ||||||||
1,500,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19 | 1,500,926 | ||||||||
17,500,000 | U.S. Treasury Note, Variable Rate USBM + 0.00%, 2.09%, due 01/31/20 | 17,498,116 | ||||||||
10,000,000 | U.S. Treasury Note, Variable Rate USBM + 0.03%, 2.12%, due 04/30/20 (b) | 10,001,461 | ||||||||
|
| |||||||||
Total U.S. Government | 373,726,656 | |||||||||
|
| |||||||||
U.S. Government Agency — 7.6% | ||||||||||
15,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.08%, due 03/06/19 | 15,000,862 | ||||||||
18,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 2.13%, due 02/10/20 | 17,989,995 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 32,990,857 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $410,707,887) | 406,717,513 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 4.9% | ||||||||||
United States — 4.9% | ||||||||||
Affiliated Issuers — 4.9% | ||||||||||
855,913 | GMO U.S. Treasury Fund | 21,380,716 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $21,380,716) | 21,380,716 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.9% |
| |||||||||
Foreign Government Obligations — 3.5% |
| |||||||||
JPY | 1,682,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/09/18 | 15,139,938 | |||||||
|
|
Shares | Description | Value ($) | ||||||||
Money Market Funds — 0.4% | ||||||||||
1,516,027 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (c) | 1,516,027 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $16,748,995) | 16,655,965 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.8% (COST $448,837,598) | 444,754,194 | |||||||||
|
| |||||||||
Other Assets and Liabilities (net) — (2.8%) | (12,205,686 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $432,548,508 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement | Counter- | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/05/2018 | JPM | AUD | 1,380,000 | USD | 1,020,103 | 28,062 | ||||||||||||||||
10/05/2018 | MSCI | AUD | 20,660,000 | USD | 15,168,572 | 316,717 | ||||||||||||||||
09/04/2018 | GS | CAD | 7,646,590 | USD | 5,848,127 | (11,329 | ) | |||||||||||||||
09/04/2018 | JPM | CAD | 2,353,942 | USD | 1,790,000 | (13,787 | ) | |||||||||||||||
10/12/2018 | MSCI | CHF | 20,209,652 | USD | 20,494,216 | (423,494 | ) | |||||||||||||||
09/19/2018 | BCLY | EUR | 610,000 | USD | 718,174 | 9,395 | ||||||||||||||||
09/19/2018 | GS | EUR | 1,400,000 | USD | 1,635,131 | 8,424 | ||||||||||||||||
09/19/2018 | MSCI | EUR | 2,800,000 | USD | 3,270,628 | 17,213 | ||||||||||||||||
09/14/2018 | JPM | GBP | 10,370,000 | USD | 13,925,189 | 476,452 | ||||||||||||||||
09/07/2018 | GS | JPY | 236,477,704 | USD | 2,140,000 | 11,416 | ||||||||||||||||
09/07/2018 | JPM | JPY | 57,645,843 | USD | 520,000 | 1,118 | ||||||||||||||||
09/07/2018 | MSCI | JPY | 313,660,277 | USD | 2,850,000 | 26,679 | ||||||||||||||||
10/09/2018 | MSCI | JPY | 1,682,000,000 | USD | 15,302,316 | 127,822 | ||||||||||||||||
10/05/2018 | BCLY | NOK | 14,870,681 | USD | 1,780,000 | 4,638 | ||||||||||||||||
09/05/2018 | BCLY | NZD | 6,640,000 | USD | 4,663,829 | 270,804 | ||||||||||||||||
09/05/2018 | MSCI | NZD | 690,000 | USD | 469,688 | 13,184 | ||||||||||||||||
12/05/2018 | MSCI | NZD | 5,490,000 | USD | 3,637,921 | 4,913 | ||||||||||||||||
11/05/2018 | GS | SEK | 35,468,263 | USD | 3,900,000 | 2,693 | ||||||||||||||||
09/04/2018 | BCLY | USD | 790,000 | CAD | 1,030,409 | (415 | ) | |||||||||||||||
09/04/2018 | MSCI | USD | 6,939,677 | CAD | 8,970,123 | (66,020 | ) | |||||||||||||||
09/05/2018 | JPM | USD | 1,220,642 | NZD | 1,840,000 | (3,298 | ) | |||||||||||||||
09/05/2018 | MSCI | USD | 3,637,152 | NZD | 5,490,000 | (4,968 | ) | |||||||||||||||
09/07/2018 | GS | USD | 1,990,000 | JPY | 222,857,623 | 15,988 | ||||||||||||||||
09/07/2018 | JPM | USD | 3,800,605 | JPY | 416,267,408 | (53,696 | ) | |||||||||||||||
09/07/2018 | MSCI | USD | 1,380,000 | JPY | 153,452,936 | 1,261 | ||||||||||||||||
09/14/2018 | BCLY | USD | 1,578,451 | GBP | 1,210,000 | (9,216 | ) | |||||||||||||||
09/14/2018 | GS | USD | 2,546,609 | GBP | 1,980,000 | 21,231 | ||||||||||||||||
09/14/2018 | JPM | USD | 1,115,790 | GBP | 860,000 | (465 | ) | |||||||||||||||
09/14/2018 | MSCI | USD | 5,338,867 | GBP | 4,010,000 | (138,342 | ) | |||||||||||||||
09/19/2018 | GS | USD | 2,790,096 | EUR | 2,430,000 | 33,404 | ||||||||||||||||
09/19/2018 | JPM | USD | 559,050 | EUR | 480,000 | (1,322 | ) | |||||||||||||||
10/05/2018 | BCLY | USD | 280,354 | AUD | 380,000 | (7,183 | ) | |||||||||||||||
10/05/2018 | JPM | USD | 3,702,127 | AUD | 5,120,000 | (21,512 | ) | |||||||||||||||
10/05/2018 | JPM | USD | 11,769,113 | NOK | 95,799,993 | (331,865 | ) | |||||||||||||||
10/12/2018 | BOA | USD | 400,000 | CHF | 394,646 | 8,472 |
2 | See accompanying notes to the financial statements. |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Forward Currency Contracts — continued
Settlement | Counter- | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/12/2018 | JPM | USD | 4,530,000 | CHF | 4,366,729 | (10,280 | ) | |||||||||||||||
11/05/2018 | BCLY | USD | 17,583,213 | SEK | 155,508,409 | (495,711 | ) | |||||||||||||||
12/03/2018 | GS | USD | 3,683,279 | CAD | 4,801,338 | 2,004 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (191,013 | ) | ||||||||||||||||||||
|
|
Reverse Repurchase Agreements(1)
Average balance outstanding | $ | (41,051,668 | ) | |
Average interest rate | 0.22 | % | ||
Maximum balance outstanding | $ | (41,051,668 | ) |
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 reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.
Swap Contracts
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.37% | NZD | 126,240,000 | 09/19/2023 | Quarterly | 1,459 | 184,958 | 183,499 | ||||||||||||||||||||
2.37% | 3 Month NZD Bank Bill Rate | NZD | 31,178,500 | 09/19/2023 | Semi-Annually | — | (46,653 | ) | (46,653 | ) | ||||||||||||||||||
2.41% | 3 Month NZD Bank Bill Rate | NZD | 31,178,500 | 09/19/2023 | Semi-Annually | — | (82,147 | ) | (82,147 | ) | ||||||||||||||||||
1.72% | 6 Month GBP LIBOR | GBP | 16,041,000 | 06/21/2028 | Semi-Annually | 1,475 | 19,088 | 17,613 | ||||||||||||||||||||
2.85% | 6 Month AUD BBSW | AUD | 3,336,000 | 09/19/2028 | Semi-Annually | — | (34,042 | ) | (34,042 | ) | ||||||||||||||||||
2.84% | 6 Month AUD BBSW | AUD | 12,512,000 | 09/19/2028 | Semi-Annually | 768 | (120,356 | ) | (121,124 | ) | ||||||||||||||||||
2.88% | 6 Month AUD BBSW | AUD | 8,129,000 | 09/19/2028 | Semi-Annually | — | (98,813 | ) | (98,813 | ) | ||||||||||||||||||
2.76% | 6 Month AUD BBSW | AUD | 50,952,000 | 09/19/2028 | Semi-Annually | (41,250 | ) | (225,023 | ) | (183,773 | ) | |||||||||||||||||
3 Month NZD Bank Bill Rate | 3.16% | NZD | 7,665,000 | 09/19/2028 | Quarterly | — | 146,041 | 146,041 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 3.02% | NZD | 5,525,000 | 09/19/2028 | Quarterly | (819 | ) | 59,674 | 60,493 | |||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.88% | NZD | 13,266,500 | 09/19/2028 | Quarterly | — | 36,895 | 36,895 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.91% | NZD | 13,266,500 | 09/19/2028 | Quarterly | — | 58,482 | 58,482 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.92% | NZD | 15,344,000 | 09/19/2028 | Quarterly | 15,981 | 76,557 | 60,576 | ||||||||||||||||||||
2.90% | 3 Month NZD Bank Bill Rate | NZD | 3,199,000 | 09/19/2028 | Quarterly | — | (12,057 | ) | (12,057 | ) | ||||||||||||||||||
3 Month CAD LIBOR | 2.71% | CAD | 9,042,000 | 09/20/2028 | Semi-Annually | 4,687 | 52,518 | 47,831 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.74% | CAD | 8,105,000 | 09/20/2028 | Semi-Annually | — | 61,532 | 61,532 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.77% | CAD | 6,029,000 | 09/20/2028 | Semi-Annually | — | 59,007 | 59,007 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.76% | CAD | 11,427,000 | 09/20/2028 | Semi-Annually | — | 103,606 | 103,606 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.70% | CAD | 4,042,000 | 09/20/2028 | Semi-Annually | — | 21,258 | 21,258 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.61% | CAD | 11,242,000 | 09/20/2028 | Semi-Annually | — | (11,828 | ) | (11,828 | ) | ||||||||||||||||||
6 Month CHF LIBOR | 0.45% | CHF | 7,982,000 | 09/20/2028 | Semi-Annually | — | 40,583 | 40,583 | ||||||||||||||||||||
6 Month CHF LIBOR | 0.44% | CHF | 5,692,000 | 09/20/2028 | Semi-Annually | — | 22,439 | 22,439 | ||||||||||||||||||||
6 Month EURIBOR | 0.98% | EUR | 3,497,000 | 09/20/2028 | Semi-Annually | — | 38,340 | 38,340 | ||||||||||||||||||||
6 Month EURIBOR | 1.00% | EUR | 3,660,000 | 09/20/2028 | Semi-Annually | — | 51,172 | 51,172 | ||||||||||||||||||||
6 Month EURIBOR | 1.00% | EUR | 8,181,000 | 09/20/2028 | Semi-Annually | 5,262 | 110,190 | 104,928 | ||||||||||||||||||||
6 Month EURIBOR | 0.97% | EUR | 6,000,000 | 09/20/2028 | Semi-Annually | — | 63,049 | 63,049 |
See accompanying notes to the financial statements. | 3 |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
1.09% | 6 Month EURIBOR | EUR | 4,461,000 | 09/20/2028 | Semi-Annually | — | (108,093 | ) | (108,093 | ) | ||||||||||||||||||
0.93% | 6 Month EURIBOR | EUR | 2,999,000 | 09/20/2028 | Semi-Annually | — | (16,828 | ) | (16,828 | ) | ||||||||||||||||||
0.94% | 6 Month EURIBOR | EUR | 2,999,000 | 09/20/2028 | Semi-Annually | — | (18,707 | ) | (18,707 | ) | ||||||||||||||||||
1.01% | 6 Month EURIBOR | EUR | 2,788,000 | 09/20/2028 | Semi-Annually | — | (39,298 | ) | (39,298 | ) | ||||||||||||||||||
1.61% | 6 Month GBP LIBOR | GBP | 32,667,000 | 09/20/2028 | Semi-Annually | — | (227,869 | ) | (227,869 | ) | ||||||||||||||||||
1.58% | 6 Month GBP LIBOR | GBP | 3,900,000 | 09/20/2028 | Semi-Annually | — | (15,878 | ) | (15,878 | ) | ||||||||||||||||||
3 Month USD LIBOR | 3.04% | USD | 5,918,000 | 09/20/2028 | Quarterly | (1,160 | ) | 60,857 | 62,017 | |||||||||||||||||||
3 Month USD LIBOR | 2.99% | USD | 9,800,000 | 09/20/2028 | Quarterly | — | 58,245 | 58,245 | ||||||||||||||||||||
3 Month USD LIBOR | 2.98% | USD | 557,000 | 09/20/2028 | Quarterly | — | 2,431 | 2,431 | ||||||||||||||||||||
3 Month USD LIBOR | 2.99% | USD | 6,688,000 | 09/20/2028 | Quarterly | — | 20,686 | 20,686 | ||||||||||||||||||||
3 Month USD LIBOR | 2.96% | USD | 9,587,000 | 09/20/2028 | Quarterly | — | 30,082 | 30,082 | ||||||||||||||||||||
2.92% | 3 Month USD LIBOR | USD | 5,093,000 | 09/20/2028 | Quarterly | — | 1,657 | 1,657 | ||||||||||||||||||||
2.95% | 3 Month USD LIBOR | USD | 5,284,000 | 09/20/2028 | Quarterly | — | (9,168 | ) | (9,168 | ) | ||||||||||||||||||
2.94% | 3 Month USD LIBOR | USD | 4,757,000 | 09/20/2028 | Quarterly | — | (6,585 | ) | (6,585 | ) | ||||||||||||||||||
3.02% | 3 Month USD LIBOR | USD | 2,195,000 | 09/20/2028 | Quarterly | — | (17,761 | ) | (17,761 | ) | ||||||||||||||||||
2.77% | 6 Month AUD BBSW | AUD | 6,042,000 | 12/19/2028 | Semi-Annually | — | (18,756 | ) | (18,756 | ) | ||||||||||||||||||
2.83% | 6 Month AUD BBSW | AUD | 6,300,000 | 12/19/2028 | Semi-Annually | — | (43,394 | ) | (43,394 | ) | ||||||||||||||||||
3 Month SEK STIBOR | 1.20% | SEK | 22,165,000 | 12/19/2028 | Quarterly | — | (503 | ) | (503 | ) | ||||||||||||||||||
1.23% | 3 Month SEK STIBOR | SEK | 38,222,000 | 12/19/2028 | Quarterly | — | (9,141 | ) | (9,141 | ) | ||||||||||||||||||
6 Month EURIBOR | 0.97% | EUR | 3,642,000 | 12/20/2028 | Semi-Annually | — | 14,159 | 14,159 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (13,597 | ) | $ | 230,606 | $ | 244,203 | ||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(b) | 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 (Note 4). |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 38.
4 | See accompanying notes to the financial statements. |
GMO Core Plus Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 73.4 | % | ||
Short-Term Investments | 25.2 | |||
Mutual Funds | 15.0 | |||
Swap Contracts | 0.6 | |||
Loan Participations | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Written Options/Credit Linked Options | 0.0 | ^ | ||
Futures Contracts | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.1 | ) | ||
Other | (14.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
United States | 96.1 | % | ||
New Zealand | 17.0 | |||
Canada | 11.6 | |||
Other Emerging | 4.8 | ¥ | ||
Euro Region | 4.1 | § | ||
Switzerland | 3.4 | |||
Japan | 0.2 | |||
Sweden | (0.4 | ) | ||
United Kingdom | (17.4 | ) | ||
Australia | (19.4 | ) | ||
|
| |||
100.0 | % | |||
|
|
† | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
‡ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. |
¥ | “Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represents between (1.0)% and 1.0% of Investments. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
5
GMO Core Plus Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 49.0% | ||||||||||
United States — 49.0% | ||||||||||
Asset-Backed Securities — 3.0% | ||||||||||
322,361 | Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.78%, due 12/11/40 | 341,704 | ||||||||
16,740,000 | Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31 | 16,876,058 | ||||||||
5,000,000 | Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31 | 5,134,519 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 22,352,281 | |||||||||
|
| |||||||||
U.S. Government — 29.9% | ||||||||||
9,307,000 | U.S. Treasury Bond, 3.75%, due 11/15/43 | 10,500,550 | ||||||||
45,764,000 | U.S. Treasury Bond, 3.38%, due 05/15/44 (a) | 48,638,551 | ||||||||
30,399,000 | U.S. Treasury Note, 2.00%, due 02/28/21 | 29,902,641 | ||||||||
51,233,000 | U.S. Treasury Note, 1.75%, due 11/30/21 | 49,702,014 | ||||||||
4,745,000 | U.S. Treasury Note, 2.00%, due 02/15/23 | 4,597,646 | ||||||||
36,868,000 | U.S. Treasury Note, 2.50%, due 05/15/24 | 36,319,301 | ||||||||
27,877,000 | U.S. Treasury Note, 2.00%, due 08/15/25 | 26,430,881 | ||||||||
16,615,000 | U.S. Treasury Note, 2.25%, due 02/15/27 | 15,869,272 | ||||||||
|
| |||||||||
Total U.S. Government | 221,960,856 | |||||||||
|
| |||||||||
U.S. Government Agency — 16.1% | ||||||||||
15,217,000 | Federal Home Loan Mortgage Corp., TBA, 3.50%, due 02/15/48 | 15,126,620 | ||||||||
36,871,000 | Federal National Mortgage Association, TBA, 2.50%, due 05/25/32 | 35,850,702 | ||||||||
8,706,000 | Federal National Mortgage Association, TBA, 3.00%, due 06/25/47 | 8,418,207 | ||||||||
28,967,000 | Federal National Mortgage Association, TBA, 4.00%, due 04/25/48 | 29,487,925 | ||||||||
30,389,000 | Government National Mortgage Association, TBA, 3.50%, due 12/20/47 | 30,485,746 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 119,369,200 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $369,308,299) | 363,682,337 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 44.6% | ||||||||||
United States — 44.6% | ||||||||||
Affiliated Issuers — 29.6% | ||||||||||
1,481,448 | GMO Emerging Country Debt Fund, Class IV | 39,776,871 | ||||||||
6,095,739 | GMO Opportunistic Income Fund, Class VI | 162,817,183 | ||||||||
683,317 | GMO U.S. Treasury Fund | 17,069,267 | ||||||||
|
| |||||||||
Total Affiliated Issuers | 219,663,321 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
Exchange-Traded Funds — 15.0% | ||||||||||
964,362 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 111,325,949 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $334,127,572) | 330,989,270 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 20.6% |
| |||||||||
Foreign Government Obligations — 20.2% |
| |||||||||
JPY | 3,300,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/18/18 | 29,701,544 | |||||||
JPY | 5,600,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/25/18 | 50,403,881 | |||||||
JPY | 1,611,500,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/22/18 | 14,506,082 | |||||||
JPY | 2,850,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/05/18 | 25,656,053 | |||||||
JPY | 3,300,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/19/18 | 29,708,821 | |||||||
|
| |||||||||
Total Foreign Government Obligations | 149,976,381 | |||||||||
|
| |||||||||
Money Market Funds — 0.4% | ||||||||||
3,349,336 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (b) | 3,349,336 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $154,033,241) | 153,325,717 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 114.2% (Cost $857,469,112) | 847,997,324 | |||||||||
Other Assets and Liabilities (net) — (14.2%) | (105,687,078 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $742,310,246 | |||||||||
|
|
6 | See accompanying notes to the financial statements. |
GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement Date | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/05/2018 | JPM | AUD | 2,680,000 | USD | 1,981,070 | 54,498 | ||||||||||||||||
10/05/2018 | MSCI | AUD | 43,640,000 | USD | 32,040,488 | 669,000 | ||||||||||||||||
09/04/2018 | GS | CAD | 16,026,779 | USD | 12,250,747 | (30,308 | ) | |||||||||||||||
09/04/2018 | JPM | CAD | 696,977 | USD | 530,000 | (4,082 | ) | |||||||||||||||
10/12/2018 | MSCI | CHF | 41,118,217 | USD | 41,701,541 | (857,278 | ) | |||||||||||||||
09/19/2018 | BCLY | EUR | 1,170,000 | USD | 1,377,482 | 18,019 | ||||||||||||||||
09/19/2018 | GS | EUR | 2,780,000 | USD | 3,246,904 | 16,727 | ||||||||||||||||
09/19/2018 | MSCI | EUR | 5,770,000 | USD | 6,739,831 | 35,472 | ||||||||||||||||
09/14/2018 | JPM | GBP | 15,860,000 | USD | 21,297,347 | 728,691 | ||||||||||||||||
09/07/2018 | GS | JPY | 486,215,840 | USD | 4,400,000 | 23,471 | ||||||||||||||||
09/07/2018 | JPM | JPY | 24,388,626 | USD | 220,000 | 473 | ||||||||||||||||
09/07/2018 | MSCI | JPY | 492,549,333 | USD | 4,470,000 | 36,462 | ||||||||||||||||
09/18/2018 | JPM | JPY | 3,300,000,000 | USD | 30,099,048 | 372,902 | ||||||||||||||||
09/25/2018 | MSCI | JPY | 5,600,000,000 | USD | 51,205,618 | 735,569 | ||||||||||||||||
10/22/2018 | GS | JPY | 1,611,500,000 | USD | 14,458,102 | (94,149 | ) | |||||||||||||||
11/05/2018 | GS | JPY | 2,850,000,000 | USD | 25,700,798 | (61,728 | ) | |||||||||||||||
11/19/2018 | JPM | JPY | 3,300,000,000 | USD | 30,085,854 | 226,584 | ||||||||||||||||
10/05/2018 | BCLY | NOK | 12,447,929 | USD | 1,490,000 | 3,882 | ||||||||||||||||
09/05/2018 | BCLY | NZD | 10,800,000 | USD | 7,585,589 | 440,307 | ||||||||||||||||
09/05/2018 | JPM | NZD | 1,280,000 | USD | 868,018 | 21,170 | ||||||||||||||||
09/05/2018 | MSCI | NZD | 2,820,000 | USD | 1,919,594 | 53,881 | ||||||||||||||||
12/05/2018 | MSCI | NZD | 13,710,000 | USD | 9,084,863 | 12,269 | ||||||||||||||||
11/05/2018 | GS | SEK | 16,369,968 | USD | 1,800,000 | 1,243 | ||||||||||||||||
09/04/2018 | BCLY | USD | 1,570,000 | CAD | 2,047,774 | (825 | ) | |||||||||||||||
09/04/2018 | MSCI | USD | 11,353,978 | CAD | 14,675,982 | (108,015 | ) | |||||||||||||||
09/05/2018 | JPM | USD | 789,437 | NZD | 1,190,000 | (2,133 | ) | |||||||||||||||
09/05/2018 | MSCI | USD | 9,082,944 | NZD | 13,710,000 | (12,406 | ) | |||||||||||||||
09/07/2018 | GS | USD | 4,000,000 | JPY | 447,954,744 | 32,133 | ||||||||||||||||
09/07/2018 | JPM | USD | 6,452,457 | JPY | 707,380,487 | (85,179 | ) | |||||||||||||||
09/07/2018 | MSCI | USD | 2,730,000 | JPY | 303,569,939 | 2,495 | ||||||||||||||||
09/14/2018 | BCLY | USD | 1,532,239 | GBP | 1,170,000 | (14,880 | ) | |||||||||||||||
09/14/2018 | GS | USD | 5,537,912 | GBP | 4,300,000 | 38,710 | ||||||||||||||||
09/14/2018 | JPM | USD | 2,400,246 | GBP | 1,850,000 | (1,001 | ) | |||||||||||||||
09/14/2018 | MSCI | USD | 3,593,523 | GBP | 2,700,000 | (91,923 | ) | |||||||||||||||
09/19/2018 | GS | USD | 5,749,926 | EUR | 5,010,000 | 71,363 | ||||||||||||||||
09/19/2018 | JPM | USD | 267,878 | EUR | 230,000 | (633 | ) | |||||||||||||||
10/05/2018 | BCLY | USD | 1,674,744 | AUD | 2,270,000 | (42,910 | ) |
Settlement Date | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/05/2018 | JPM | USD | 2,451,213 | AUD | 3,390,000 | (14,243 | ) | |||||||||||||||
10/05/2018 | JPM | USD | 24,578,836 | NOK | 200,070,497 | (693,073 | ) | |||||||||||||||
10/12/2018 | BOA | USD | 1,850,000 | CHF | 1,825,236 | 39,184 | ||||||||||||||||
10/12/2018 | JPM | USD | 2,050,000 | CHF | 1,976,113 | (4,652 | ) | |||||||||||||||
11/05/2018 | BCLY | USD | 34,912,812 | SEK | 308,590,214 | (1,004,445 | ) | |||||||||||||||
12/03/2018 | GS | USD | 9,412,314 | CAD | 12,269,422 | 5,122 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 515,764 | |||||||||||||||||||||
|
|
Futures Contracts
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
72 | U.S. Long Bond (CBT) | December 2018 | 10,383,750 | (50,722 | ) | |||||||
393 | U.S. Treasury Note 2 Yr. (CBT) | December 2018 | 83,064,235 | (20,116 | ) | |||||||
118 | U.S. Treasury Note 5 Yr. (CBT) | December 2018 | 13,381,016 | (14,918 | ) | |||||||
25 | U.S. Treasury Note 10 Yr. (CBT) | December 2018 | 3,006,640 | (5,312 | ) | |||||||
185 | U.S. Treasury Ultra 10 Yr. (CBT) | December 2018 | 23,688,672 | (60,984 | ) | |||||||
12 | U.S. Ultra Bond (CBT) | December 2018 | 1,911,750 | (12,574 | ) | |||||||
|
|
|
| |||||||||
$ | 135,436,063 | $ | (164,626 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
2.85% | 6 Month AUD BBSW | AUD | 1,656,000 | 09/19/2028 | Semi-Annually | — | (16,899 | ) | (16,899 | ) | ||||||||||||||||||
2.84% | 6 Month AUD BBSW | AUD | 79,945,000 | 09/19/2028 | Semi-Annually | 4,905 | (769,010 | ) | (773,915 | ) | ||||||||||||||||||
2.88% | 6 Month AUD BBSW | AUD | 16,756,000 | 09/19/2028 | Semi-Annually | — | (203,680 | ) | (203,680 | ) | ||||||||||||||||||
2.76% | 6 Month AUD BBSW | AUD | 87,483,000 | 09/19/2028 | Semi-Annually | (70,825 | ) | (386,358 | ) | (315,533 | ) | |||||||||||||||||
2.77% | 6 Month AUD BBSW | AUD | 12,744,000 | 12/19/2028 | Semi-Annually | — | (39,560 | ) | (39,560 | ) | ||||||||||||||||||
2.83% | 6 Month AUD BBSW | AUD | 13,183,000 | 12/19/2028 | Semi-Annually | — | (90,804 | ) | (90,804 | ) | ||||||||||||||||||
3 Month CAD LIBOR | 2.71% | CAD | 41,705,000 | 09/20/2028 | Semi-Annually | 15,790 | 242,230 | 226,440 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.74% | CAD | 16,525,000 | 09/20/2028 | Semi-Annually | — | 125,455 | 125,455 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.77% | CAD | 10,885,000 | 09/20/2028 | Semi-Annually | — | 106,533 | 106,533 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.76% | CAD | 23,174,000 | 09/20/2028 | Semi-Annually | — | 210,114 | 210,114 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.70% | CAD | 6,033,000 | 09/20/2028 | Semi-Annually | — | 31,730 | 31,730 |
See accompanying notes to the financial statements. | 7 |
GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||
3 Month CAD LIBOR | 2.61% | CAD | 22,873,000 | 09/20/2028 | Semi-Annually | — | (24,065 | ) | (24,065 | ) | ||||||||||||||||||||
6 Month CHF LIBOR | 0.45% | CHF | 13,773,000 | 09/20/2028 | Annually | — | 70,027 | 70,027 | ||||||||||||||||||||||
6 Month CHF LIBOR | 0.44% | CHF | 13,107,000 | 09/20/2028 | Annually | — | 51,671 | 51,671 | ||||||||||||||||||||||
6 Month EURIBOR | 0.98% | EUR | 10,552,000 | 09/20/2028 | Annually | — | 115,689 | 115,689 | ||||||||||||||||||||||
6 Month EURIBOR | 1.00% | EUR | 5,896,000 | 09/20/2028 | Annually | — | 82,435 | 82,435 | ||||||||||||||||||||||
6 Month EURIBOR | 1.00% | EUR | 12,482,000 | 09/20/2028 | Annually | 8,028 | 168,120 | 160,092 | ||||||||||||||||||||||
6 Month EURIBOR | 0.97% | EUR | 20,000,000 | 09/20/2028 | Annually | — | 210,163 | 210,163 | ||||||||||||||||||||||
1.09% | 6 Month EURIBOR | EUR | 7,278,000 | 09/20/2028 | Annually | — | (176,350 | ) | (176,350 | ) | ||||||||||||||||||||
0.93% | 6 Month EURIBOR | EUR | 7,086,000 | 09/20/2028 | Annually | — | (39,762 | ) | (39,762 | ) | ||||||||||||||||||||
0.94% | 6 Month EURIBOR | EUR | 7,085,000 | 09/20/2028 | Annually | — | (44,194 | ) | (44,194 | ) | ||||||||||||||||||||
1.01% | 6 Month EURIBOR | EUR | 5,806,000 | 09/20/2028 | Annually | — | (81,838 | ) | (81,838 | ) | ||||||||||||||||||||
6 Month EURIBOR | 0.97% | EUR | 6,896,000 | 12/20/2028 | Annually | — | 26,809 | 26,809 | ||||||||||||||||||||||
1.72% | 6 Month GBP LIBOR | GBP | 22,061,000 | 06/21/2028 | Semi-Annually | 2,028 | 26,251 | 24,223 | ||||||||||||||||||||||
1.61% | 6 Month GBP LIBOR | GBP | 59,218,000 | 09/20/2028 | Semi-Annually | — | (413,076 | ) | (413,076 | ) | ||||||||||||||||||||
1.58% | 6 Month GBP LIBOR | GBP | 39,100,000 | 09/20/2028 | Semi-Annually | — | (159,186 | ) | (159,186 | ) | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.37% | NZD | 192,324,000 | 09/19/2023 | Semi-Annually | 2,223 | 281,779 | 279,556 | ||||||||||||||||||||||
3 Month NZD Bank | ||||||||||||||||||||||||||||||
2.37% | Bill Rate | NZD | 32,188,500 | 09/19/2023 | Semi-Annually | — | (48,164 | ) | (48,164 | ) | ||||||||||||||||||||
3 Month NZD Bank | ||||||||||||||||||||||||||||||
2.41% | Bill Rate | NZD | 32,188,500 | 09/19/2023 | Semi-Annually | — | (84,808 | ) | (84,808 | ) | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 3.16% | NZD | 12,070,000 | 09/19/2028 | Semi-Annually | — | 229,969 | 229,969 | ||||||||||||||||||||||
3 Month NZD Bank Bill Rate | 3.02% | NZD | 53,265,000 | 09/19/2028 | Semi-Annually | (7,893 | ) | 575,304 | 583,197 | |||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.88% | NZD | 13,696,000 | 09/19/2028 | Semi-Annually | — | 38,089 | 38,089 | ||||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.91% | NZD | 13,696,000 | 09/19/2028 | Semi-Annually | — | 60,375 | 60,375 | ||||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.93% | NZD | 35,924,000 | 09/19/2028 | Semi-Annually | 59,220 | 200,116 | 140,896 | ||||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.92% | NZD | 9,165,000 | 09/19/2028 | Semi-Annually | 9,545 | 45,728 | 36,183 | ||||||||||||||||||||||
3 Month SEK STIBOR | 1.20% | SEK | 44,195,000 | 12/19/2028 | Annually | — | (1,004 | ) | (1,004 | ) | ||||||||||||||||||||
1.23% | 3 Month SEK STIBOR | SEK | 76,148,000 | 12/19/2028 | Annually | — | (18,211 | ) | (18,211 | ) | ||||||||||||||||||||
3 Month USD LIBOR | 3.04% | USD | 14,243,000 | 09/20/2028 | Semi-Annually | (2,792 | ) | 146,464 | 149,256 | |||||||||||||||||||||
3 Month USD LIBOR | 2.99% | USD | 25,200,000 | 09/20/2028 | Semi-Annually | — | 149,773 | 149,773 | ||||||||||||||||||||||
3 Month USD LIBOR | 2.98% | USD | 1,215,000 | 09/20/2028 | Semi-Annually | — | 5,304 | 5,304 | ||||||||||||||||||||||
3 Month USD LIBOR | 2.99% | USD | 14,592,000 | 09/20/2028 | Semi-Annually | — | 45,134 | 45,134 | ||||||||||||||||||||||
3 Month USD LIBOR | 2.96% | USD | 19,519,000 | 09/20/2028 | Semi-Annually | — | 61,247 | 61,247 | ||||||||||||||||||||||
2.92% | 3 Month USD LIBOR | USD | 11,126,000 | 09/20/2028 | Semi-Annually | — | 3,620 | 3,620 | ||||||||||||||||||||||
2.95% | 3 Month USD LIBOR | USD | 11,347,000 | 09/20/2028 | Semi-Annually | — | (19,687 | ) | (19,687 | ) | ||||||||||||||||||||
2.94% | 3 Month USD LIBOR | USD | 10,214,000 | 09/20/2028 | Semi-Annually | — | (14,140 | ) | (14,140 | ) | ||||||||||||||||||||
3.02% | 3 Month USD LIBOR | USD | 5,131,000 | 09/20/2028 | Semi-Annually | — | (41,517 | ) | (41,517 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 20,229 | $ | 637,816 | $ | 617,587 | |||||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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 (Note 4). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 38.
8 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 89.2 | % | ||
Short-Term Investments | 7.5 | |||
Loan Participations | 1.3 | |||
Rights/Warrants | 0.8 | |||
Swap Contracts | 0.3 | |||
Loan Assignments | 0.2 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Written Options/Credit Linked Options | (0.1 | ) | ||
Reverse Repurchase Agreements | (1.0 | ) | ||
Other | 1.8 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
Mexico | 13.5 | % | ||
Other Emerging | 13.3 | • | ||
Russia | 5.8 | |||
Turkey | 5.8 | |||
Indonesia | 5.6 | |||
Argentina | 5.2 | |||
Brazil | 5.1 | |||
Ukraine | 3.3 | |||
Venezuela | 3.3 | |||
Tunisia | 2.9 | |||
China | 2.4 | |||
Philippines | 2.4 | |||
Pakistan | 2.1 | |||
Colombia | 2.0 | |||
Ecuador | 2.0 | |||
Israel | 2.0 | |||
Uruguay | 1.9 | |||
Dominican Republic | 1.8 | |||
Kazakhstan | 1.8 | |||
South Africa | 1.8 | |||
Costa Rica | 1.5 | |||
Egypt | 1.5 | |||
Chile | 1.5 | |||
Croatia | 1.3 | |||
Congo | 1.2 | |||
Hungary | 1.2 | |||
Ivory Coast | 1.2 | |||
Bahrain | 1.1 | |||
Saudi Arabia | 1.1 | |||
Sri Lanka | 1.1 | |||
Angola | 1.0 | |||
Morocco | 0.9 | |||
Peru | 0.9 | |||
Other Developed | 0.5 | ☐ | ||
|
| |||
100.0 | % | |||
|
| |||
† | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
‡ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security. |
• | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
☐ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
9
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 88.8% |
| |||||||||
Albania — 1.0% |
| |||||||||
Foreign Government Obligations | ||||||||||
49,649,849 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b) | 37,147,660 | ||||||||
|
| |||||||||
Angola — 0.5% |
| |||||||||
Foreign Government Obligations | ||||||||||
18,100,000 | Angolan Government International Bond, 144A, 9.38%, due 05/08/48 | 18,145,250 | ||||||||
|
| |||||||||
Argentina — 4.2% |
| |||||||||
Foreign Government Obligations | ||||||||||
JPY | 407,485,276 | Republic of Argentina, 4.33%, due 12/31/33 (c) | 2,539,716 | |||||||
EUR | 8,008,646 | Republic of Argentina Discount Bond, 7.82%, due 12/31/33 | 7,762,189 | |||||||
40,308,593 | Republic of Argentina Discount Bond, 8.28%, due 12/31/33 | 32,448,417 | ||||||||
10,786,557 | Republic of Argentina Discount Bond, 8.28%, due 12/31/33 | 9,006,775 | ||||||||
EUR | 59,150,000 | Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38 | 37,418,806 | |||||||
EUR | 112,130,000 | Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38 | 68,331,317 | |||||||
|
| |||||||||
Total Argentina | 157,507,220 | |||||||||
|
| |||||||||
Armenia — 0.1% |
| |||||||||
Foreign Government Obligations | ||||||||||
2,195,000 | Republic of Armenia, Reg S, 7.15%, due 03/26/25 | 2,310,238 | ||||||||
|
| |||||||||
Azerbaijan — 0.8% |
| |||||||||
Foreign Government Agency — 0.6% | ||||||||||
12,650,000 | Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26 | 13,677,813 | ||||||||
7,987,000 | State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30 | 8,416,301 | ||||||||
|
| |||||||||
22,094,114 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.2% |
| |||||||||
7,100,000 | Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29 | 6,789,375 | ||||||||
|
| |||||||||
Total Azerbaijan | 28,883,489 | |||||||||
|
| |||||||||
Bahrain — 0.8% |
| |||||||||
Foreign Government Obligations | ||||||||||
35,150,000 | Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47 | 30,800,187 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Belarus — 0.1% |
| |||||||||
Foreign Government Obligations | ||||||||||
3,700,000 | Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 | 3,482,625 | ||||||||
|
| |||||||||
Belize — 0.5% |
| |||||||||
Foreign Government Obligations | ||||||||||
33,578,000 | Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34 | 19,894,965 | ||||||||
|
| |||||||||
Brazil — 2.6% |
| |||||||||
Foreign Government Agency — 1.9% | ||||||||||
GBP | 12,895,000 | Petrobras Global Finance BV, 6.63%, due 01/16/34 | 16,383,371 | |||||||
65,739,000 | Petrobras Global Finance BV, 6.85%, due 06/05/2115 | 53,741,632 | ||||||||
|
| |||||||||
70,125,003 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.7% |
| |||||||||
16,897,000 | Republic of Brazil, 7.13%, due 01/20/37 | 17,741,850 | ||||||||
5,000,000 | Republic of Brazil, 5.00%, due 01/27/45 | 3,875,000 | ||||||||
6,340,000 | Republic of Brazil, 5.63%, due 02/21/47 | 5,300,240 | ||||||||
|
| |||||||||
26,917,090 | ||||||||||
|
| |||||||||
Total Brazil | 97,042,093 | |||||||||
|
| |||||||||
Cameroon — 0.1% |
| |||||||||
Foreign Government Obligations | ||||||||||
4,500,000 | Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25 | 4,590,000 | ||||||||
|
| |||||||||
Chile — 1.0% |
| |||||||||
Corporate Debt — 0.8% | ||||||||||
20,411,000 | Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c) | 26,456,738 | ||||||||
3,600,000 | Empresa Nacional del Petroleo, Reg. S, 4.50%, due 09/14/47 | 3,231,000 | ||||||||
|
| |||||||||
29,687,738 | ||||||||||
|
| |||||||||
Foreign Government Agency — 0.2% |
| |||||||||
7,300,000 | Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 08/01/47 | 7,026,250 | ||||||||
|
| |||||||||
Total Chile | 36,713,988 | |||||||||
|
| |||||||||
Colombia — 1.9% |
| |||||||||
Foreign Government Agency — 1.3% | ||||||||||
43,011,000 | Ecopetrol SA, 7.38%, due 09/18/43 | 48,441,139 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.6% |
| |||||||||
647,000 | Colombia Government International Bond, 8.38%, due 02/15/27 | 724,721 | ||||||||
15,200,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 16,476,800 |
10 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Colombia — continued | ||||||||||
Foreign Government Obligations — continued |
| |||||||||
3,800,000 | Republic of Colombia, 11.85%, due 03/09/28 (b) | 5,349,582 | ||||||||
|
| |||||||||
22,551,103 | ||||||||||
|
| |||||||||
Total Colombia | 70,992,242 | |||||||||
|
| |||||||||
Congo Republic (Brazzaville) — 1.7% |
| |||||||||
Foreign Government Obligations | ||||||||||
79,089,609 | Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c) | 64,133,764 | ||||||||
|
| |||||||||
Costa Rica — 1.1% |
| |||||||||
Foreign Government Agency — 0.1% | ||||||||||
5,500,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 4,593,875 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.0% |
| |||||||||
37,631,000 | Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 | 36,549,109 | ||||||||
|
| |||||||||
Total Costa Rica | 41,142,984 | |||||||||
|
| |||||||||
Dominican Republic — 1.9% |
| |||||||||
Asset-Backed Securities — 0.6% | ||||||||||
20,728,927 | Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 | 21,894,929 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.3% |
| |||||||||
17,687,000 | Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27 | 20,118,963 | ||||||||
29,811,000 | Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45 | 30,034,582 | ||||||||
|
| |||||||||
50,153,545 | ||||||||||
|
| |||||||||
Total Dominican Republic | 72,048,474 | |||||||||
|
| |||||||||
Ecuador — 1.6% |
| |||||||||
Foreign Government Obligations | ||||||||||
16,700,000 | Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27 | 15,823,250 | ||||||||
31,400,000 | Ecuador Government International Bond, 8.88%, due 10/23/27 | 28,495,500 | ||||||||
20,100,000 | Ecuador Government International Bond, 7.88%, due 01/23/28 | 17,185,500 | ||||||||
|
| |||||||||
Total Ecuador | 61,504,250 | |||||||||
|
| |||||||||
Egypt — 1.0% |
| |||||||||
Foreign Government Obligations | ||||||||||
1,400,000 | Egypt Government International Bond, Reg S, 8.50%, due 01/31/47 | 1,366,750 | ||||||||
39,000,000 | Egypt Government International Bond, 7.90%, due 02/21/48 | 35,880,000 | ||||||||
|
| |||||||||
Total Egypt | 37,246,750 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
El Salvador — 0.6% |
| |||||||||
Foreign Government Obligations | ||||||||||
24,275,000 | El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 | 23,668,125 | ||||||||
|
| |||||||||
Ethiopia — 0.1% |
| |||||||||
Foreign Government Obligations | ||||||||||
4,190,000 | Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24 | 4,085,250 | ||||||||
|
| |||||||||
Gabon — 0.4% |
| |||||||||
Foreign Government Obligations | ||||||||||
15,300,000 | Gabonese Republic, Reg S, 6.38%, due 12/12/24 | 13,903,875 | ||||||||
|
| |||||||||
Ghana — 1.0% |
| |||||||||
Foreign Government Agency — 0.4% | ||||||||||
14,700,626 | Saderea, Ltd., Reg S, 12.50%, due 11/30/26 | 15,564,288 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.6% |
| |||||||||
17,482,000 | Republic of Ghana, Reg S, 10.75%, due 10/14/30 (e) | 21,262,483 | ||||||||
|
| |||||||||
Total Ghana | 36,826,771 | |||||||||
|
| |||||||||
Greece — 0.2% |
| |||||||||
Foreign Government Obligations | ||||||||||
EUR | 5,800,000 | Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36 | 5,773,030 | |||||||
|
| |||||||||
Grenada — 0.2% |
| |||||||||
Foreign Government Obligations | ||||||||||
7,628,287 | Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30 | 6,751,034 | ||||||||
|
| |||||||||
Guatemala — 0.5% |
| |||||||||
Foreign Government Obligations | ||||||||||
16,195,000 | Republic of Guatemala, Reg S, 8.13%, due 10/06/34 | 20,243,750 | ||||||||
|
| |||||||||
Honduras — 0.3% |
| |||||||||
Foreign Government Obligations | ||||||||||
5,516,000 | Honduras Government International Bond, Reg S, 7.50%, due 03/15/24 | 5,922,805 | ||||||||
6,646,000 | Honduras Government International Bond, Reg S, 6.25%, due 01/19/27 | 6,795,535 | ||||||||
|
| |||||||||
Total Honduras | 12,718,340 | |||||||||
|
| |||||||||
Hungary — 0.4% |
| |||||||||
Foreign Government Obligations | ||||||||||
12,084,000 | Hungary Government International Bond, 7.63%, due 03/29/41 | 16,962,915 | ||||||||
|
|
See accompanying notes to the financial statements. | 11 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Indonesia — 3.5% |
| |||||||||
Foreign Government Agency — 0.6% | ||||||||||
14,400,000 | Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 | 15,778,512 | ||||||||
6,100,000 | Perusahaan Listrik Negara PT, 144A, 6.15%, due 05/21/48 | 6,458,375 | ||||||||
|
| |||||||||
22,236,887 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.9% |
| |||||||||
30,000,000 | Indonesia Government International Bond, 4.35%, due 01/11/48 | 27,862,500 | ||||||||
43,091,000 | Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37 | 51,246,299 | ||||||||
28,780,000 | Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42 | 29,844,860 | ||||||||
|
| |||||||||
108,953,659 | ||||||||||
|
| |||||||||
Total Indonesia | 131,190,546 | |||||||||
|
| |||||||||
Iraq — 0.4% |
| |||||||||
Foreign Government Obligations | ||||||||||
15,000,000 | Republic of Iraq, Reg S, 5.80%, due 01/15/28 | 13,687,500 | ||||||||
|
| |||||||||
Israel — 1.4% |
| |||||||||
Foreign Government Agency | ||||||||||
7,243,000 | Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26 | 8,836,460 | ||||||||
JPY | 2,500,000,000 | Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c) | 26,053,011 | |||||||
12,798,000 | Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96 | 16,701,390 | ||||||||
|
| |||||||||
Total Israel | 51,590,861 | |||||||||
|
| |||||||||
Ivory Coast — 0.9% |
| |||||||||
Foreign Government Obligations | ||||||||||
15,075,650 | Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32 | 13,568,085 | ||||||||
EUR | 19,500,000 | Ivory Coast Government International Bond, Reg. S, 6.63%, due 03/22/48 | 20,484,335 | |||||||
|
| |||||||||
Total Ivory Coast | 34,052,420 | |||||||||
|
| |||||||||
Jamaica — 0.6% |
| |||||||||
Foreign Government Agency — 0.1% | ||||||||||
4,000,000 | National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c) | 4,843,600 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.5% |
| |||||||||
16,875,000 | Jamaica Government International Bond, 7.88%, due 07/28/45 | 19,342,969 | ||||||||
|
| |||||||||
Total Jamaica | 24,186,569 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Jordan — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
6,887,000 | Jordan Government International Bond, Reg S, 5.75%, due 01/31/27 | 6,404,910 | ||||||||
15,000,000 | Jordan Government International Bond, Reg. S, 7.38%, due 10/10/47 | 13,762,500 | ||||||||
|
| |||||||||
Total Jordan | 20,167,410 | |||||||||
|
| |||||||||
Kazakhstan — 1.3% |
| |||||||||
Foreign Government Agency — 0.4% | ||||||||||
14,700,000 | KazMunayGas National Co JSC, 144A, 6.38%, due 10/24/48 | 15,269,625 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.9% |
| |||||||||
28,499,000 | Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45 | 35,196,265 | ||||||||
|
| |||||||||
Total Kazakhstan | 50,465,890 | |||||||||
|
| |||||||||
Kenya — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
11,600,000 | Kenya Government International Bond, Reg. S, 8.25%, due 02/28/48 | 10,759,000 | ||||||||
|
| |||||||||
Macedonia — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 7,300,000 | Macedonia Government International Bond, Reg S, 2.75%, due 01/18/25 | 8,399,332 | |||||||
EUR | 8,039,000 | Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23 | 10,700,679 | |||||||
|
| |||||||||
Total Macedonia | 19,100,011 | |||||||||
|
| |||||||||
Mexico — 9.2% |
| |||||||||
Foreign Government Agency — 3.8% | ||||||||||
4,000,000 | Petroleos Mexicanos, 6.38%, due 01/23/45 | 3,583,480 | ||||||||
84,087,000 | Petroleos Mexicanos, 6.75%, due 09/21/47 | 77,570,257 | ||||||||
68,851,000 | Petroleos Mexicanos, Reg. S, 6.35%, due 02/12/48 | 60,795,433 | ||||||||
|
| |||||||||
141,949,170 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 5.4% |
| |||||||||
138,478,000 | United Mexican States, 5.75%, due 10/12/2110 | 138,478,000 | ||||||||
GBP | 49,396,000 | United Mexican States, 5.63%, due 03/19/2114 | 66,219,997 | |||||||
|
| |||||||||
204,697,997 | ||||||||||
|
| |||||||||
Total Mexico | 346,647,167 | |||||||||
|
| |||||||||
Morocco — 0.6% |
| |||||||||
Foreign Government Agency | ||||||||||
20,800,000 | Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44 | 22,568,000 | ||||||||
|
|
12 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Mozambique — 0.1% |
| |||||||||
Foreign Government Obligations | ||||||||||
4,744,000 | Mozambique International Bond, Reg S, 10.50%, due 01/18/23 (d) | 3,990,890 | ||||||||
|
| |||||||||
Nigeria — 0.4% |
| |||||||||
Foreign Government Obligations | ||||||||||
10,750,000 | Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47 | 9,742,187 | ||||||||
7,200,000 | Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38 | 6,678,000 | ||||||||
|
| |||||||||
Total Nigeria | 16,420,187 | |||||||||
|
| |||||||||
Oman — 0.5% |
| |||||||||
Foreign Government Obligations | ||||||||||
21,700,000 | Oman Government International Bond, Reg S, 6.75%, due 01/17/48 | 20,289,500 | ||||||||
|
| |||||||||
Pakistan — 1.1% |
| |||||||||
Foreign Government Obligations | ||||||||||
39,562,000 | Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36 | 35,684,924 | ||||||||
6,000,000 | Pakistan Government International Bond, Reg S, 6.88%, due 12/05/27 | 5,422,500 | ||||||||
|
| |||||||||
Total Pakistan | 41,107,424 | |||||||||
|
| |||||||||
Panama — 0.6% |
| |||||||||
Foreign Government Agency — 0.2% | ||||||||||
9,300,000 | Aeropuerto Internacional de Tocumen SA, 144A, 6.00%, due 11/18/48 | 9,346,500 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.4% |
| |||||||||
7,851,000 | Panama Government International Bond, 8.13%, due 04/28/34 | 10,530,154 | ||||||||
4,252,000 | Panama Government International Bond, 4.30%, due 04/29/53 | 4,103,180 | ||||||||
|
| |||||||||
14,633,334 | ||||||||||
|
| |||||||||
Total Panama | 23,979,834 | |||||||||
|
| |||||||||
Paraguay — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
8,000,000 | Republic of Paraguay, Reg S, 6.10%, due 08/11/44 | 8,720,000 | ||||||||
|
| |||||||||
Peru — 1.1% |
| |||||||||
Foreign Government Agency — 1.0% | ||||||||||
14,304,000 | Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c) | 12,724,409 | ||||||||
25,895,000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 25,927,369 | ||||||||
|
| |||||||||
38,651,778 | ||||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Foreign Government Obligations — 0.1% |
| |||||||||
5,000,000 | Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (b) | 4,950,000 | ||||||||
|
| |||||||||
Total Peru | 43,601,778 | |||||||||
|
| |||||||||
Philippines — 2.8% |
| |||||||||
Foreign Government Agency | ||||||||||
9,000,000 | Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c) | 16,187,778 | ||||||||
23,300,000 | Central Bank of Philippines, Series A, 8.60%, due 06/15/27 | 29,884,580 | ||||||||
42,012,000 | National Power Corp., Global Bond, 9.63%, due 05/15/28 | 59,289,435 | ||||||||
|
| |||||||||
Total Philippines | 105,361,793 | |||||||||
|
| |||||||||
Qatar — 0.3% |
| |||||||||
Foreign Government Obligations | ||||||||||
11,000,000 | Qatar Government International Bond, 144A, 5.10%, due 04/23/48 | 11,302,500 | ||||||||
|
| |||||||||
Romania — 0.2% |
| |||||||||
Foreign Government Obligations | ||||||||||
EUR | 5,180,000 | Romanian Government International Bond, Reg S, 3.88%, due 10/29/35 | 6,175,027 | |||||||
|
| |||||||||
Russia — 4.4% |
| |||||||||
Foreign Government Agency — 2.1% | ||||||||||
13,575,000 | Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22 | 13,184,719 | ||||||||
41,067,000 | Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34 | 50,307,075 | ||||||||
15,700,000 | Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22 | 15,386,000 | ||||||||
|
| |||||||||
78,877,794 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.3% |
| |||||||||
26,000,000 | Russian Foreign Bond, 144A, 5.25%, due 06/23/47 | 24,700,000 | ||||||||
64,400,000 | Russian Foreign Bond, Reg S, 5.25%, due 06/23/47 | 61,180,000 | ||||||||
|
| |||||||||
85,880,000 | ||||||||||
|
| |||||||||
Total Russia | 164,757,794 | |||||||||
|
| |||||||||
Rwanda — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
5,487,000 | Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23 | 5,466,424 | ||||||||
|
| |||||||||
Saudi Arabia — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
21,000,000 | Saudi Government International Bond, 144A, 5.00%, due 04/17/49 | 20,763,750 | ||||||||
|
|
See accompanying notes to the financial statements. | 13 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Senegal — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
7,300,000 | Senegal Government International Bond, Reg S, 6.75%, due 03/13/48 | 6,232,375 | ||||||||
|
| |||||||||
South Africa — 1.3% |
| |||||||||
Foreign Government Agency — 0.3% | ||||||||||
3,500,000 | Eskom Holdings SOC, Ltd., 144A, 8.45%, due 08/10/28 | 3,495,387 | ||||||||
ZAR | 163,000,000 | Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32 | 1,560,412 | |||||||
4,975,000 | Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25 | 4,695,156 | ||||||||
ZAR | 27,300,000 | Transnet, Ltd., 13.50%, due 04/18/28 | 2,083,755 | |||||||
|
| |||||||||
11,834,710 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.0% |
| |||||||||
21,700,000 | Republic of South Africa Government International Bond, 5.65%, due 09/27/47 | 19,313,000 | ||||||||
19,900,000 | Republic of South Africa Government International Bond, 6.30%, due 06/22/48 | 18,805,500 | ||||||||
|
| |||||||||
38,118,500 | ||||||||||
|
| |||||||||
Total South Africa | 49,953,210 | |||||||||
|
| |||||||||
Sri Lanka — 0.9% |
| |||||||||
Foreign Government Obligations | ||||||||||
11,000,000 | Sri Lanka Government International Bond, 144A, 6.75%, due 04/18/28 | 10,587,500 | ||||||||
1,425,000 | Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25 | 1,362,656 | ||||||||
14,280,000 | Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 | 14,047,950 | ||||||||
7,144,000 | Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 | 6,706,430 | ||||||||
|
| |||||||||
Total Sri Lanka | 32,704,536 | |||||||||
|
| |||||||||
Suriname — 0.4% |
| |||||||||
Foreign Government Obligations | ||||||||||
16,178,000 | Republic of Suriname, Reg S, 9.25%, due 10/26/26 (e) | 15,955,552 | ||||||||
|
| |||||||||
Trinidad And Tobago — 0.4% |
| |||||||||
Foreign Government Agency | ||||||||||
6,736,000 | Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19 | 6,567,600 | ||||||||
7,292,000 | Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27 | 7,142,514 | ||||||||
|
| |||||||||
Total Trinidad And Tobago | 13,710,114 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Tunisia — 1.9% |
| |||||||||
Foreign Government Agency | ||||||||||
JPY | 7,340,000,000 | Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c) | 53,509,135 | |||||||
JPY | 2,500,000,000 | Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c) | 17,775,178 | |||||||
|
| |||||||||
Total Tunisia | 71,284,313 | |||||||||
|
| |||||||||
Turkey — 4.2% |
| |||||||||
Foreign Government Agency — 0.4% | ||||||||||
3,600,000 | Export Credit Bank of Turkey, 144A, 6.13%, due 05/03/24 | 2,736,000 | ||||||||
5,000,000 | TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23 | 3,712,500 | ||||||||
12,200,000 | Turkiye Vakiflar Bankasi TAO, Reg s, 5.75%, due 01/30/23 (e) | 8,723,000 | ||||||||
|
| |||||||||
15,171,500 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 3.8% |
| |||||||||
30,744,000 | Republic of Turkey, 6.75%, due 05/30/40 | 24,057,180 | ||||||||
83,302,000 | Republic of Turkey, 6.00%, due 01/14/41 | 59,977,440 | ||||||||
3,600,000 | Republic of Turkey, 6.63%, due 02/17/45 | 2,740,500 | ||||||||
84,513,000 | Republic of Turkey, 5.75%, due 05/11/47 | 58,947,817 | ||||||||
|
| |||||||||
145,722,937 | ||||||||||
|
| |||||||||
Total Turkey | 160,894,437 | |||||||||
|
| |||||||||
Ukraine — 2.2% |
| |||||||||
Foreign Government Agency — 0.3% | ||||||||||
8,189,000 | Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25 | 8,137,819 | ||||||||
3,700,000 | Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25 | 3,672,250 | ||||||||
|
| |||||||||
11,810,069 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.9% |
| |||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21 | 5,966,334 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22 | 5,913,667 | ||||||||
6,585,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23 | 6,387,450 | ||||||||
8,585,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24 | 8,241,600 | ||||||||
6,585,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25 | 6,181,669 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 | 5,537,480 |
14 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Ukraine — continued | ||||||||||
Foreign Government Obligations — continued |
| |||||||||
6,869,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 | 6,250,790 | ||||||||
33,100,000 | Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32 | 28,052,250 | ||||||||
|
| |||||||||
72,531,240 | ||||||||||
|
| |||||||||
Total Ukraine | 84,341,309 | |||||||||
|
| |||||||||
United States — 15.6% |
| |||||||||
Asset-Backed Securities — 0.5% | ||||||||||
3,916,051 | Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 2.30%, due 12/15/35 ◆ | 3,418,986 | ||||||||
2,078,992 | Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 2.30%, due 12/15/35 ◆ | 2,020,914 | ||||||||
2,664,973 | Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 05/15/36 ◆ | 2,504,094 | ||||||||
10,237,145 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 2.21%, due 11/25/36 ◆ | 5,124,629 | ||||||||
10,373,640 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 2.28%, due 11/25/36 ◆ | 5,226,485 | ||||||||
5,596,171 | Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 2.42%, due 04/25/37 ◆ | 3,042,590 | ||||||||
|
| |||||||||
21,337,698 | ||||||||||
|
| |||||||||
Corporate Debt — 0.1% |
| |||||||||
385,402 | AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20 | 522,220 | ||||||||
1,755,213 | AMBAC LSNI LLC, 144A 3 mo. LIBOR + 5.00%, 7.34%, due 02/12/23 | 1,777,153 | ||||||||
|
| |||||||||
2,299,373 | ||||||||||
|
| |||||||||
U.S. Government — 15.0% |
| |||||||||
77,930,300 | U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (f) | 76,288,589 | ||||||||
45,000,000 | U.S. Treasury Note 3 mo. USD LIBOR + 0.05%, 1.25%, due 11/30/18 (g) | 44,906,666 | ||||||||
200,000,000 | U.S. Treasury Note, 1.50%, due 12/31/18 | 199,563,206 | ||||||||
68,000,000 | U.S. Treasury Note, 1.25%, due 01/31/19 | 67,723,750 | ||||||||
27,000,000 | U.S. Treasury Note, 1.38%, due 02/28/19 | 26,881,875 | ||||||||
51,500,000 | U.S. Treasury Note, USBM + 0.03%, 2.12%, due 04/30/20 | 51,507,523 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
U.S. Government — continued | ||||||||||
100,000,000 | U.S. Treasury Note, USBM + 0.00%, 2.09%, due 01/31/20 | 99,989,232 | ||||||||
|
| |||||||||
566,860,841 | ||||||||||
|
| |||||||||
Total United States | 590,497,912 | |||||||||
|
| |||||||||
Uruguay — 1.4% |
| |||||||||
Foreign Government Obligations | ||||||||||
52,218,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 53,197,087 | ||||||||
|
| |||||||||
Venezuela — 3.4% |
| |||||||||
Foreign Government Agency — 1.4% | ||||||||||
111,465,000 | Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (d) | 11,146,500 | ||||||||
176,000,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (d) | 32,780,000 | ||||||||
61,967,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (d) | 11,154,060 | ||||||||
|
| |||||||||
55,080,560 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.0% |
| |||||||||
7,000,000 | Venezuela Government International Bond, 9.38%, due 01/13/34 (d) | 1,877,181 | ||||||||
19,028,000 | Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (d) (e) | 4,780,785 | ||||||||
55,350,000 | Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (d) | 13,525,293 | ||||||||
172,793,000 | Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (d) | 42,007,067 | ||||||||
51,500,000 | Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (d) | 13,325,625 | ||||||||
|
| |||||||||
75,515,951 | ||||||||||
|
| |||||||||
Total Venezuela | 130,596,511 | |||||||||
|
| |||||||||
Vietnam — 0.6% |
| |||||||||
Foreign Government Agency — 0.5% | ||||||||||
25,105,000 | Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 17,247,261 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.1% |
| |||||||||
6,428,000 | Socialist Republic of Vietnam, Series 30 Yr., Variable Rate, 6 Mo. LIBOR +0.81%, 3.13%, due 03/13/28 (c) | 5,528,080 | ||||||||
|
| |||||||||
Total Vietnam | 22,775,341 | |||||||||
|
| |||||||||
Zambia — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
11,300,000 | Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (e) | 8,136,000 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $3,600,965,233) | 3,361,150,241 | |||||||||
|
|
See accompanying notes to the financial statements. | 15 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
LOAN ASSIGNMENTS — 0.2% | ||||||||||
Indonesia — 0.0% | ||||||||||
408,070 | Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 1.25%, due 12/16/19 (b) | 378,036 | ||||||||
EUR | 540,685 | Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 (c) | 566,620 | |||||||
|
| |||||||||
944,656 | ||||||||||
|
| |||||||||
Kenya — 0.2% | ||||||||||
7,300,000 | Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (c) | 7,300,000 | ||||||||
|
| |||||||||
TOTAL LOAN ASSIGNMENTS (COST $8,339,796) | 8,244,656 | |||||||||
|
| |||||||||
LOAN PARTICIPATIONS — 1.4% |
| |||||||||
Angola — 0.8% |
| |||||||||
19,112,500 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/13/23 (c) | 17,392,375 | ||||||||
13,714,938 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23 (c) | 12,480,593 | ||||||||
|
| |||||||||
Total Angola | 29,872,968 | |||||||||
|
| |||||||||
Egypt — 0.0% |
| |||||||||
CHF | 65,516 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b) | 60,406 | |||||||
|
| |||||||||
Indonesia — 0.1% |
| |||||||||
2,346,716 | Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.33%, due 09/29/19 (c) | 2,173,998 | ||||||||
299,626 | Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 2.41%, due 10/14/19 (c) | 277,574 | ||||||||
|
| |||||||||
Total Indonesia | 2,451,572 | |||||||||
|
| |||||||||
Iraq — 0.5% |
| |||||||||
EUR | 1,063,115 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b) | 884,541 | |||||||
JPY | 152,901,473 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 826,048 |
Par Value† / Shares | Description | Value ($) | ||||||||
Iraq — continued | ||||||||||
JPY | 2,753,142,613 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 14,806,902 | |||||||
JPY | 359,728,676 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 1,934,691 | |||||||
|
| |||||||||
Total Iraq | 18,452,182 | |||||||||
|
| |||||||||
Russia — 0.0% |
| |||||||||
EUR | 76,893,500 | Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d) | 3 | |||||||
|
| |||||||||
TOTAL LOAN PARTICIPATIONS (COST $73,207,865) | 50,837,131 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.6% |
| |||||||||
United States — 2.6% |
| |||||||||
Affiliated Issuers — 2.6% | ||||||||||
568,012 | GMO Opportunistic Income Fund, Class VI | 15,171,593 | ||||||||
3,251,005 | GMO U.S. Treasury Fund | 81,210,113 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $93,156,925) | 96,381,706 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.8% |
| |||||||||
Argentina — 0.5% |
| |||||||||
JPY | 740,189,000 | Republic of Argentina GDP Linked, Expires 12/15/35 (c) (f) | 403,968 | |||||||
EUR | 335,089,675 | Republic of Argentina GDP Linked, Expires 12/15/35 (f) | 19,496,386 | |||||||
|
| |||||||||
Total Argentina | 19,900,354 | |||||||||
|
| |||||||||
Nigeria — 0.1% |
| |||||||||
28,000 | Central Bank of Nigeria Oil Warrants, Expires 11/15/20 (c) (f) | 1,624,000 | ||||||||
|
| |||||||||
Ukraine — 0.2% |
| |||||||||
14,446,000 | Government of Ukraine GDP Linked, Expires 05/31/40 (f) | 7,764,725 | ||||||||
|
| |||||||||
Uruguay — 0.0% |
| |||||||||
4,000,000 | Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (b) (f) | — | ||||||||
|
| |||||||||
Venezuela — 0.0% |
| |||||||||
1,080,062 | Republic of Venezuela Oil Warrants, Expires 04/15/20 (c) (f) | 1,620,093 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $55,515,266) | 30,909,172 | |||||||||
|
|
16 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 5.2% |
| |||||||||
Money Market Funds — 0.8% |
| |||||||||
31,342,999 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (h) | 31,342,999 | ||||||||
|
| |||||||||
U.S. Government — 4.4% |
| |||||||||
47,000,000 | U.S. Treasury Bill, 1.73%, due 10/04/18 (i) | 46,924,212 | ||||||||
53,000,000 | U.S. Treasury Bill, 1.88%, due 10/25/18 (i) | 52,850,584 | ||||||||
35,500,000 | U.S. Treasury Bill, 1.96%, due 11/08/18 (i) | 35,369,242 | ||||||||
23,000,000 | U.S. Treasury Bill, 2.04%, due 12/06/18 (i) | 22,875,968 | ||||||||
10,000,000 | U.S. Treasury Bill, 2.18%, due 01/31/19 (i) | 9,909,565 | ||||||||
|
| |||||||||
Total U.S. Government | 167,929,571 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $199,257,843) | 199,272,570 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.0% (Cost $4,030,442,928) | 3,746,795,476 | |||||||||
Other Assets and Liabilities (net) — 1.0% | 36,618,449 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $3,783,413,925 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
09/19/2018 | MSCI | EUR | 55,027,600 | USD | 64,276,727 | 338,289 | ||||||||||||||||
09/19/2018 | JPM | GBP | 12,000,000 | USD | 15,953,232 | 387,307 | ||||||||||||||||
09/18/2018 | JPM | USD | 13,682,449 | JPY | 1,500,000,000 | (170,564 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 555,032 | |||||||||||||||||||||
|
|
Reverse Repurchase Agreements
Face Value | Description | Value ($) | ||||||||
USD | 8,699,070 | JP Morgan Securities, Inc., 1.65%, dated 07/03/18 (collateral: Republic of Ghana, Reg S, 10.75%, 10/14/30), to be repurchased on demand at face value plus accrued interest. | (8,699,070 | ) | ||||||
USD | 11,796,571 | JP Morgan Securities, Inc., 1.65%, dated 07/03/18 (collateral: Republic of Suriname, Reg S, 9.25%, 10/26/26), to be repurchased on demand at face value plus accrued interest. | (11,796,571 | ) | ||||||
USD | 7,113,084 | JP Morgan Securities, Inc., 1.65%, dated 07/03/18 (collateral: Zambia Government International Bond, Reg S, 8.97%, 07/30/27), to be repurchased on demand at face value plus accrued interest. | (7,113,084 | ) | ||||||
USD | 6,948,507 | JP Morgan Securities, Inc., 1.30%, dated 08/23/18 (collateral: Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23), to be repurchased on demand at face value plus accrued interest. | (6,948,507 | ) | ||||||
USD | 2,375,834 | JP Morgan Securities, Inc., 1.00%, dated 07/19/18 (collateral: Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19), to be repurchased on demand at face value plus accrued interest. | (2,375,834 | ) | ||||||
|
| |||||||||
$ | (36,933,066 | ) | ||||||||
|
| |||||||||
Average balance outstanding | $ | (22,440,014 | ) | |||||||
Average interest rate | (1.97 | )% | ||||||||
Maximum balance outstanding | $ | (70,329,039 | ) |
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 reverse repurchase agreements.
See accompanying notes to the financial statements. | 17 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Credit Linked Options
Principal / Notional Amount | Expiration Date | Descriptions | Premiums ($) | Value ($) | ||||||||||||||
Put Sold | USD | 24,000,000 | 03/10/2020 | Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b) | (361,333 | ) | (305,746 | ) | ||||||||||
Put Sold | USD | 9,746,000 | 01/24/2024 | Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b) | (13,848 | ) | 23,480 | |||||||||||
Put Sold | USD | 45,000,000 | 01/20/2021 | Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b) | (472,813 | ) | 108,414 | |||||||||||
Put Sold | USD | 46,000,000 | 04/13/2021 | Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b) | (947,472 | ) | (1,067,938 | ) | ||||||||||
Put Sold | USD | 100,000,000 | 04/15/2024 | Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (b) | (2,598,444 | ) | (1,596,442 | ) | ||||||||||
Put Sold | USD | 50,797,000 | 04/15/2024 | Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (b) | (707,789 | ) | (230,655 | ) | ||||||||||
|
|
|
| |||||||||||||||
$ | (5,101,699 | ) | $ | (3,068,887 | ) | |||||||||||||
|
|
|
|
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional Amount | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||
CDX-EMS29V1-5Y | USD | 282,000,000 | 1.00% | 1.39% | N/A | 06/20/2023 | Quarterly | $ | 7,670,400 | $ | 16,168,752 | $ | 8,498,352 | |||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps
Reference Entity | Counterparty | Notional Amount | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||||||||
CDX-EM21 | BCLY | USD | 20,222,950 | 5.00% | 5.00% | N/A | 06/20/2019 | Quarterly | (504,450 | ) | (495,462 | ) | 8,988 | |||||||||||||||||||||||||||||
Republic of Brazil | JPM | USD | 50,000,000 | 1.00% | 0.19% | N/A | 06/20/2019 | Quarterly | 1,008,872 | 156,387 | (852,485 | ) | ||||||||||||||||||||||||||||||
Republic of Croatia | JPM | USD | 44,000,000 | 1.00% | 0.84% | N/A | 06/20/2019 | Quarterly | 3,659,820 | (284,514 | ) | (3,944,334 | ) | |||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | EUR | 51,746,000 | 1.00% | 1.72% | N/A | 12/20/2020 | Quarterly | 7,730,397 | 985,856 | (6,744,541 | ) | ||||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | EUR | 66,982,145 | 1.00% | 4.33% | N/A | 06/20/2025 | Quarterly | 9,635,537 | 3,114,978 | (6,520,559 | ) | ||||||||||||||||||||||||||||||
United States of Mexico | GS | USD | 20,000,000 | 1.00% | 2.00% | N/A | 09/20/2031 | Quarterly | 2,640,655 | 1,925,127 | (715,528 | ) | ||||||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 61,270,000 | 1.00% | 1.92% | 61,270,000 | USD | 12/20/2020 | Quarterly | (7,515,364 | ) | (1,232,797 | ) | 6,282,567 | ||||||||||||||||||||||||||||
Republic of Malaysia | JPM | USD | 10,000,000 | 1.00% | 1.02% | 10,000,000 | USD | 12/20/2022 | Quarterly | (826,278 | ) | 64,449 | 890,727 | |||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 3,487,000 | 1.00% | 2.05% | 3,487,000 | USD | 06/20/2023 | Quarterly | (641,463 | ) | (155,845 | ) | 485,618 | ||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 6,975,000 | 1.00% | 2.05% | 6,975,000 | USD | 06/20/2023 | Quarterly | (1,263,915 | ) | (311,735 | ) | 952,180 | ||||||||||||||||||||||||||||
Republic of Croatia | JPM | USD | 40,000,000 | 1.00% | 1.07% | 40,000,000 | USD | 06/20/2023 | Quarterly | (6,395,816 | ) | (35,254 | ) | 6,360,562 |
18 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
OTC Credit Default Swaps — continued
Reference Entity | Counterparty | Notional Amount | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||||
Peoples Republic of Malaysia | JPM | USD | 20,000,000 | 1.00% | 3.24% | 20,000,000 | USD | 03/20/2024 | Quarterly | (932,016 | ) | (69,776 | ) | 862,240 | ||||||||||||||||||||||||||||
Peoples Republic of China | JPM | USD | 4,873,000 | 1.00% | 3.85% | 4,873,000 | USD | 06/20/2024 | Quarterly | 3,073 | 69,149 | 66,076 | ||||||||||||||||||||||||||||||
Peoples Republic of China | JPM | USD | 60,000,000 | 1.00% | 0.73% | 60,000,000 | USD | 06/20/2024 | Quarterly | (2,413,417 | ) | 851,408 | 3,264,825 | |||||||||||||||||||||||||||||
Republic of Brazil | JPM | USD | 27,250,000 | 1.00% | 0.73% | 27,250,000 | USD | 06/20/2024 | Quarterly | (2,095,396 | ) | (2,986,537 | ) | (891,141 | ) | |||||||||||||||||||||||||||
Peoples Republic of China | GS | USD | 25,000,000 | 1.00% | 0.81% | 25,000,000 | USD | 03/20/2025 | Quarterly | (744,727 | ) | 279,261 | 1,023,988 | |||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 89,694,857 | 1.00% | 4.60% | 89,694,857 | USD | 06/20/2025 | Quarterly | (10,800,222 | ) | (3,875,726 | ) | 6,924,496 | ||||||||||||||||||||||||||||
Indonesia | GS | USD | 36,208,000 | 1.00% | 1.65% | 36,208,000 | USD | 06/20/2025 | Quarterly | (3,153,880 | ) | (1,385,130 | ) | 1,768,750 | ||||||||||||||||||||||||||||
Indonesia | GS | USD | 10,000,000 | 1.00% | 1.65% | 10,000,000 | USD | 06/20/2025 | Quarterly | (961,768 | ) | (382,548 | ) | 579,220 | ||||||||||||||||||||||||||||
Peoples Republic of China | GS | USD | 22,436,000 | 1.00% | 0.83% | 22,436,000 | USD | 06/20/2025 | Quarterly | (590,310 | ) | 227,557 | 817,867 | |||||||||||||||||||||||||||||
Republic of Brazil | BOA | USD | 4,873,000 | 1.00% | 3.51% | 4,873,000 | USD | 12/20/2025 | Quarterly | (726,704 | ) | (711,759 | ) | 14,945 | ||||||||||||||||||||||||||||
Russia | GS | USD | 2,436,000 | 1.00% | 2.03% | 2,436,000 | USD | 12/20/2025 | Quarterly | (238,041 | ) | (154,901 | ) | 83,140 | ||||||||||||||||||||||||||||
Russia | GS | USD | 8,487,000 | 1.00% | 2.13% | 8,487,000 | USD | 12/20/2026 | Quarterly | (1,059,663 | ) | (653,385 | ) | 406,278 | ||||||||||||||||||||||||||||
Republic of Brazil | JPM | USD | 40,000,000 | 1.00% | 3.85% | 40,000,000 | USD | 03/20/2030 | Quarterly | (5,674,358 | ) | (8,875,031 | ) | (3,200,673 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
$ | (21,859,434 | ) | $ | (13,936,228 | ) | $ | 7,923,206 | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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 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. |
(1) | As of August 31, 2018, 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 Cross-Currency Basis Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||
3 Month USD LIBOR plus a spread of (0.35)% | 3 Month USD LIBOR | JPM | EUR | 122,436,000 | 09/11/2020 | Quarterly | $ | — | $ | 4,242,662 | $ | 4,242,662 | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 19 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
OTC Cross-Currency Interest Rate Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||
(0.22)% | 3 Month USD LIBOR | GS | JPY | 14,852,761,000 | 04/28/2025 | Quarterly | — | (1,076,320 | ) | (1,076,320 | ) | |||||||||||||||||||
1.17% | 3 Month USD LIBOR | JPM | GBP | 53,411,000 | 03/10/2026 | Quarterly | — | 4,314,492 | 4,314,492 | |||||||||||||||||||||
1.26% | 3 Month USD LIBOR | JPM | EUR | 1,462,000 | 09/04/2035 | Annual | — | (33,671 | ) | (33,671 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | — | $ | 3,204,501 | $ | 3,204,501 | |||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
(1.53)% | EUR EURIBOR | EUR | 18,000,000 | 03/20/2048 | Annual | — | (351,788 | ) | (351,788 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | (351,788 | ) | $ | (351,788 | ) | |||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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. |
◆ | These securities are primarily backed by subprime mortgages. |
(a) | Security is backed by U.S. Treasury Bonds. |
(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 (Note 2). |
(c) | Investment valued using significant unobservable inputs (Note 2). |
(d) | Security is in default. |
(e) | All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2). |
(f) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(g) | 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 (Note 4). |
(h) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(i) | The rate shown represents yield-to-maturity. |
(j) | Reverse repurchase agreements have an open maturity date and can be closed by either party on demand. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 38.
20 | See accompanying notes to the financial statements. |
GMO High Yield Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 75.5 | % | ||
Short-Term Investments | 21.4 | |||
Mutual Funds | 0.6 | |||
Swap Contracts | 0.4 | |||
Forward Currency Contracts | 0.1 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 2.0 | |||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary(a) | % of Investments | |||
Communications | 20.2 | % | ||
Consumer Cyclical | 15.3 | |||
Energy | 13.4 | |||
Consumer Non-Cyclical | 12.4 | |||
Technology | 8.6 | |||
Capital Goods | 8.1 | |||
Basic Industry | 6.9 | |||
Finance Companies | 3.7 | |||
Electric | 3.1 | |||
Banking | 2.7 | |||
Insurance | 2.7 | |||
Transportation | 1.2 | |||
Industrial Other | 0.6 | |||
REITS | 0.5 | |||
Financial Other | 0.3 | |||
Cash/Cash Equivalents | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
(a) | The table excludes short-term investments and mutual funds, if any. The table includes exposure through the use of certain derivative financial instruments and excludes exposures through certain currency linked derivatives such as forward currency contracts. The table takes in account the market values of securities and the notional amounts of swaps. The table is not normalized, thus the table may not total to 100%. |
^ | Rounds to 0.0%. |
21
GMO High Yield Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 75.5% |
| |||||||||
Canada — 0.9% |
| |||||||||
Corporate Debt — 0.9% | ||||||||||
500,000 | Canbriam Energy Inc, 144A, 9.75%, due 11/15/19 | 500,000 | ||||||||
1,400,000 | Teck Resources Ltd, 6.13%, due 10/01/35 | 1,484,000 | ||||||||
|
| |||||||||
Total Canada | 1,984,000 | |||||||||
|
| |||||||||
France — 0.6% |
| |||||||||
Corporate Debt — 0.6% | ||||||||||
1,250,000 | Credit Agricole SA, 144A, Variable Rate, 3 mo. USD LIBOR + 6.98%, 8.38%, due 10/29/49 | 1,303,887 | ||||||||
|
| |||||||||
Germany — 0.5% | ||||||||||
Corporate Debt — 0.5% | ||||||||||
1,208,000 | Deutsche Bank AG, 4.50%, due 04/01/25 | 1,129,707 | ||||||||
|
| |||||||||
Hong Kong — 0.4% | ||||||||||
Corporate Debt — 0.4% | ||||||||||
750,000 | Studio City Co Ltd, 144A, 5.88%, due 11/30/19 | 762,000 | ||||||||
|
| |||||||||
Ireland — 0.5% | ||||||||||
Corporate Debt — 0.5% | ||||||||||
1,130,000 | Park Aerospace Holdings Ltd, 144A, 5.50%, due 02/15/24 | 1,161,075 | ||||||||
|
| |||||||||
Italy — 0.7% | ||||||||||
Corporate Debt — 0.7% | ||||||||||
500,000 | Telecom Italia Capital SA, 7.20%, due 07/18/36 | 533,750 | ||||||||
1,100,000 | Intesa Sanpaolo SPA, 144A, 5.02%, due 06/26/24 | 994,756 | ||||||||
|
| |||||||||
Total Italy | 1,528,506 | |||||||||
|
| |||||||||
United Kingdom — 1.5% | ||||||||||
Corporate Debt — 1.5% | ||||||||||
1,000,000 | Avon Products Inc, 7.00%, due 03/15/23 | 857,500 | ||||||||
500,000 | Virgin Media Secured Finance Plc, 5.25%, due 01/15/21 | 511,875 | ||||||||
2,000,000 | Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26 | 1,945,400 | ||||||||
|
| |||||||||
Total United Kingdom | 3,314,775 | |||||||||
|
| |||||||||
United States — 70.4% | ||||||||||
Corporate Debt — 19.9% | ||||||||||
900,000 | Allegheny Technologies, Inc., 5.95%, due 01/15/21 | 913,500 | ||||||||
500,000 | Ally Financial, Inc., 8.00%, due 11/01/31 | 611,250 | ||||||||
1,625,000 | Antero Resources Corp., 5.63%, due 06/01/23 | 1,672,206 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
150,000 | Arconic, Inc., 6.15%, due 08/15/20 | 156,000 | ||||||||
750,000 | Arconic, Inc., 6.75%, due 01/15/28 | 766,875 | ||||||||
2,875,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22 | 2,894,766 | ||||||||
900,000 | CenturyLink, Inc., 5.80%, due 03/15/22 | 919,980 | ||||||||
1,125,000 | CF Industries, Inc., 4.95%, due 06/01/43 | 987,750 | ||||||||
1,625,000 | CommScope Technologies LLC, 144A, 5.00%, due 03/15/27 | 1,580,312 | ||||||||
900,000 | DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37 | 969,750 | ||||||||
500,000 | Edgewell Personal Care Co., 4.70%, due 05/19/21 | 503,750 | ||||||||
1,000,000 | Embarq Corp., 8.00%, due 06/01/36 | 975,000 | ||||||||
1,550,000 | EMC Corp., 3.38%, due 06/01/23 | 1,462,386 | ||||||||
1,625,000 | Energy Transfer Equity LP, 5.50%, due 06/01/27 | 1,704,219 | ||||||||
750,000 | Ensco Plc, 5.75%, due 10/01/44 | 545,625 | ||||||||
375,000 | Equinix, Inc., REIT, 5.38%, due 01/01/22 | 386,175 | ||||||||
1,250,000 | Equinix, Inc., REIT, 5.75%, due 01/01/25 | 1,287,500 | ||||||||
750,000 | Freeport-McMoRan, Inc., 3.88%, due 03/15/23 | 721,875 | ||||||||
1,250,000 | Frontier Communications Corp., 8.50%, due 04/15/20 | 1,262,500 | ||||||||
750,000 | Genworth Holdings, Inc., 7.70%, due 06/15/20 | 780,000 | ||||||||
1,125,000 | Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26 | 1,056,094 | ||||||||
2,375,000 | HCA, Inc., 4.50%, due 02/15/27 | 2,351,250 | ||||||||
875,000 | KB Home, 8.00%, due 03/15/20 | 925,312 | ||||||||
1,000,000 | L Brands, Inc., 6.75%, due 07/01/36 | 815,000 | ||||||||
2,250,000 | LifePoint Health, Inc., 5.88%, due 12/01/23 | 2,357,460 | ||||||||
500,000 | Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22 | 488,073 | ||||||||
250,000 | Magellan Health, Inc., 4.40%, due 09/22/24 | 244,214 | ||||||||
600,000 | Murphy Oil Corp., 4.45%, due 12/01/22 | 598,597 | ||||||||
750,000 | Navient Corp., 5.50%, due 01/25/23 | 741,555 | ||||||||
542,000 | Nuance Communications, Inc., 144A, 5.38%, due 08/15/20 | 542,000 | ||||||||
500,000 | NuStar Logistics LP, 5.63%, due 04/28/27 | 498,125 | ||||||||
500,000 | Oceaneering International, Inc., 4.65%, due 11/15/24 | 475,431 | ||||||||
625,000 | Sirius XM Radio, Inc., 144A, 5.38%, due 07/15/26 | 623,438 | ||||||||
500,000 | Sprint Capital Corp., 8.75%, due 03/15/32 | 552,500 | ||||||||
2,450,000 | Standard Industries, Inc., 144A, 5.38%, due 11/15/24 | 2,462,250 | ||||||||
1,125,000 | Steel Dynamics, Inc., 5.25%, due 04/15/23 | 1,142,212 | ||||||||
1,500,000 | T-Mobile USA, Inc., 5.38%, due 04/15/27 | 1,507,800 | ||||||||
250,000 | Talen Energy Supply LLC, 4.60%, due 12/15/21 | 216,875 |
22 | See accompanying notes to the financial statements. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
875,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.75%, due 03/15/24 | 918,750 | ||||||||
750,000 | Transocean, Inc., 6.80%, due 03/15/38 | 617,813 | ||||||||
500,000 | USG Corp., 144A, 4.88%, due 06/01/27 | 506,105 | ||||||||
625,000 | VeriSign, Inc., 4.75%, due 07/15/27 | 602,344 | ||||||||
750,000 | Williams Cos., Inc. (The), 8.75%, due 03/15/32 | 1,005,000 | ||||||||
500,000 | Wyndham Destinations, Inc., 4.15%, due 04/01/24 | 494,000 | ||||||||
900,000 | Yum! Brands, Inc., 5.35%, due 11/01/43 | 776,250 | ||||||||
|
| |||||||||
Total Corporate Debt | 43,619,867 | |||||||||
|
| |||||||||
U.S. Government — 16.5% | ||||||||||
19,750,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 (a) | 19,752,885 | ||||||||
16,300,000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20 | 16,298,132 | ||||||||
|
| |||||||||
Total U.S. Government | 36,051,017 | |||||||||
|
| |||||||||
U.S. Government Agency — 34.0% | ||||||||||
54,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.22%, 2.12%, due 02/01/19 | 54,014,069 | ||||||||
3,300,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR - 0.11%, 1.96%, due 05/28/19 | 3,299,509 | ||||||||
17,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.14%, 2.20%, due 12/26/19 | 17,009,238 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 74,322,816 | |||||||||
|
| |||||||||
Total United States | 153,993,700 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $164,470,213) | 165,177,650 | |||||||||
|
|
Shares / | Description | Value ($) | ||||||||
MUTUAL FUNDS — 0.6% | ||||||||||
United States — 0.6% | ||||||||||
Affiliated Issuers — 0.6% | ||||||||||
52,717 | GMO U.S. Treasury Fund | 1,316,876 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,316,876) | 1,316,876 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 21.4% |
| |||||||||
Foreign Government Obligations — 21.4% |
| |||||||||
JPY | 1,731,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/10/18 | 15,579,420 | |||||||
JPY | 1,731,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/01/18 | 15,580,542 | |||||||
JPY | 1,731,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/05/18 | 15,582,677 | |||||||
|
| |||||||||
46,742,639 | ||||||||||
|
| |||||||||
Money Market Funds — 0.0% | ||||||||||
57,470 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (b) | 57,470 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $46,896,434) | 46,800,109 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.5% (Cost $212,683,523) | 213,294,635 | |||||||||
Other Assets and Liabilities (net) — 2.5% | 5,422,213 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $218,716,848 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement | Counter- | Currency Sold | Currency | Net | ||||||||||||||
09/10/2018 | GS | JPY | 1,731,000,000 | USD | 15,707,875 | 123,891 | ||||||||||||
10/01/2018 | BCLY | JPY | 1,731,000,000 | USD | 15,735,291 | 127,828 | ||||||||||||
11/05/2018 | GS | JPY | 1,731,000,000 | USD | 15,609,853 | (37,492 | ) | |||||||||||
|
| |||||||||||||||||
$ | 214,227 | |||||||||||||||||
|
|
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
178 | U.S. Treasury Note 10 Yr. (CBT) | December 2018 | 21,407,281 | 6,683 | ||||||||
77 | U.S. Treasury Note 2 Yr. (CBT) | December 2018 | 16,274,672 | 3,736 | ||||||||
377 | U.S. Treasury Note 5 Yr. (CBT) | December 2018 | 42,751,211 | 8,341 | ||||||||
|
|
|
| |||||||||
$ | 80,433,164 | $ | 18,760 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
45 | U.S. Long Bond (CBT) | December 2018 | $ | 6,489,844 | $ | 6,906 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 23 |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.30.V1-5Y | USD | 81,470,000 | 5.00% | 3.30% | 81,470,000 USD | 06/20/2023 | Quarterly | $ | 5,080,795 | $ | 5,629,088 | $ | 548,293 | |||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps
Reference Entity | Counterparty | Notional | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||||||
Sears Roebuck Acceptance Corp. | GS | USD | 240,000 | 5.00% | 23.52% | N/A | 06/20/2022 | Quarterly | 57,204 | 66,225 | 9,021 | |||||||||||||||||||||||||||||
Sears Roebuck Acceptance Corp. | GS | USD | 360,000 | 5.00% | 23.52% | N/A | 06/20/2022 | Quarterly | 85,806 | 99,338 | 13,532 | |||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 143,010 | $ | 165,563 | $ | 22,553 | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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 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. |
(1) | As of August 31, 2018, 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 Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||
1 Month USD LIBOR | Total Return on iBoxx High Yield Corp. ETF | BOA | USD | 22,438,630 | 09/14/2018 | At Maturity | — | 98,263 | 98,263 | |||||||||||||||||||||||
1 Month USD LIBOR | Total Return on iBoxx High Yield Corp. ETF | CITI | USD | 39,311,346 | 09/14/2018 | At Maturity | — | 167,237 | 167,237 | |||||||||||||||||||||||
1 Month USD LIBOR | Total Return on iBoxx High Yield Corp. ETF | CITI | USD | 7,845,532 | 09/21/2018 | At Maturity | — | 20,747 | 20,747 | |||||||||||||||||||||||
1 Month USD LIBOR | Total Return on iBoxx High Yield Corp. ETF | CITI | USD | 6,346,528 | 09/21/2018 | At Maturity | — | 8,765 | 8,765 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | — | $ | 295,012 | $ | 295,012 | |||||||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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.
24 | See accompanying notes to the financial statements. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (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 securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 38.
See accompanying notes to the financial statements. | 25 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 89.6 | % | ||
Mutual Funds | 4.5 | |||
Short-Term Investments | 3.5 | |||
Swap Contracts | 2.2 | |||
Purchased Options | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Written Options | (0.0 | )^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Sector Summary | % of Debt Obligations | |||
Student Loans – Private | 22.1 | % | ||
Small Balance Commercial Mortgages | 16.6 | |||
Commercial Mortgage-Backed Securities | 14.1 | |||
Collateralized Loan Obligations | 13.7 | |||
Residential Mortgage-Backed Securities – Other | 11.0 | |||
Student Loans – Federal Family Education Loan Program | 5.2 | |||
Mutual Funds | 4.8 | |||
Auto Retail Subprime | 2.5 | |||
Residential Mortgage-Backed Securities – Prime | 2.1 | |||
Residential Mortgage-Backed Securities – Alt-A | 2.1 | |||
CMBS Collateralized Debt Obligations | 2.1 | |||
U.S. Government Agency | 1.8 | |||
Residential Mortgage-Backed Securities – Subprime | 1.4 | |||
Time Share | 0.5 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
^ | Rounds to 0.0%. |
26
GMO Opportunistic Income Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 89.6% |
| |||||||||
Asset-Backed Securities — 87.9% |
| |||||||||
Auto Retail Subprime — 2.3% | ||||||||||
1,524,850 | CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20 | 1,525,980 | ||||||||
1,073,840 | CarFinance Capital Auto Trust, Series 13-2A, Class E, 144A, 7.86%, due 10/15/20 | 1,073,885 | ||||||||
4,130,000 | CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21 | 4,156,202 | ||||||||
6,265,989 | CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20 | 6,315,214 | ||||||||
1,049,647 | CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21 | 1,066,382 | ||||||||
2,250,000 | Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20 | 2,261,868 | ||||||||
2,159,341 | Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21 | 2,161,360 | ||||||||
5,377,425 | Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20 | 5,399,973 | ||||||||
1,400,000 | Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21 | 1,407,024 | ||||||||
|
| |||||||||
Total Auto Retail Subprime | 25,367,888 | |||||||||
|
| |||||||||
CMBS Collateralized Debt Obligations — 2.0% |
| |||||||||
2,852,541 | ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42 | 2,883,750 | ||||||||
8,586,000 | ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 3,687,229 | ||||||||
5,297,096 | Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 2.72%, due 01/20/37(a) | 5,230,882 | ||||||||
8,612,402 | GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.50%, due 03/21/46 | 7,923,413 | ||||||||
1,347,718 | Sorin Real Estate CDO IV Ltd., Series 06-4A, Class C, 144A, Variable Rate, 3 mo. LIBOR + .53%, 2.87%, due 10/28/46 | 1,342,298 | ||||||||
|
| |||||||||
Total CMBS Collateralized Debt Obligations | 21,067,572 | |||||||||
|
| |||||||||
Collateralized Loan Obligations — 12.9% |
| |||||||||
18,135,165 | ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 3.93%, due 05/01/27 | 18,157,816 | ||||||||
37,489,650 | Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 3.88%, due 04/18/27 | 37,583,112 | ||||||||
1,705,200 | Atrium VIII, Series 8A, Class CR, 144A, Variable Rate, 3 mo. LIBOR+ 2.50%, 4.85%, due 10/23/24 | 1,706,540 | ||||||||
1,543,140 | BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98 %, 3.32%, due 01/25/29 | 1,543,174 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Collateralized Loan Obligations — continued | ||||||||||
6,006,000 | BlueMountain CLO Ltd., Series 14-3A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.10%, 4.44%, due 10/15/26 | 6,010,541 | ||||||||
4,504,500 | Carlyle Global Market Strategies CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.05%, 4.39%, due 10/16/25 | 4,504,491 | ||||||||
8,573,000 | CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 3.12%, due 04/15/27 | 8,538,159 | ||||||||
3,001,600 | CIFC Funding Ltd., Series 12-2RA, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 01/20/28 | 2,979,532 | ||||||||
9,875,050 | Crown Point CLO II Ltd., Series 13-2A, Class A3LR, 144A, Variable Rate, 3 mo. LIBOR + 1.75%, 4.09%, due 12/31/23 | 9,873,549 | ||||||||
4,263,000 | Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 5.31%, due 08/15/23 | 4,269,586 | ||||||||
1,444,096 | JFIN Revolver CLO Ltd., Series 14-2A, Class C, 144A, Variable Rate 3 mo. LIBOR + 2.75%, 5.07%, due 02/20/22 | 1,446,487 | ||||||||
1,465,400 | Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.70%, due 07/20/26 | 1,466,360 | ||||||||
13,689,000 | Saratoga Investment CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 3.36%, 5.71%, due 10/20/25 | 13,716,145 | ||||||||
5,180,434 | Symphony CLO II Ltd., Series 06-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 3.81%, due 10/25/20 | 5,182,480 | ||||||||
2,156,750 | Symphony CLO VIII LP, Series 12-8A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 3.05%, 5.39%, due 01/09/23 | 2,160,755 | ||||||||
2,944,550 | Vibrant Clo III Ltd., Series 15-3A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.95%, 5.30%, due 04/20/26 | 2,948,664 | ||||||||
1,568,784 | Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR +1.90%, 4.24%, due 07/25/26 | 1,569,457 | ||||||||
13,519,825 | Zais CLO 1 Ltd., Series 14-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.4%, 3.74%, due 04/15/26 | 13,522,056 | ||||||||
2,762,417 | Zais CLO 1 Ltd., Series 14-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 4.19%, due 04/15/26 | 2,755,981 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations | 139,934,885 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 13.2% |
| |||||||||
3,144,747 | Commercial Mortgage Trust, Series 05-C6, Class G, 144A, Variable Rate, 5.85%, due 06/10/44 | 2,356,889 | ||||||||
4,175,780 | Core Industrial Trust, Series 15-TEXW, Class C, 144A, 3.73%, due 02/10/34 | 4,186,033 | ||||||||
1,454,200 | Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.98%, due 02/10/34 | 1,454,843 |
See accompanying notes to the financial statements. | 27 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Commercial Mortgage-Backed Securitiess — continued | ||||||||||
3,550,200 | Core Industrial Trust, Series 15-TEXW, Class E, 144A, Variable Rate, 3.98%, due 02/10/34 | 3,511,504 | ||||||||
5,151,600 | Core Industrial Trust, Series 15-WEST, Class C, 144A, 3.49%, due 02/10/37 | 5,040,047 | ||||||||
23,260,500 | Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37 | 22,839,350 | ||||||||
2,665,373 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 04/15/37 | 2,546,156 | ||||||||
1,223,732 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 1,208,757 | ||||||||
10,742,760 | GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29 | 10,582,975 | ||||||||
10,459,601 | GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49 | 8,550,965 | ||||||||
4,264,000 | GS Mortgage Securities Trust, Series 11-GC3, Class F, 144A, Variable Rate, 5.00%, due 03/10/44 | 3,681,544 | ||||||||
16,659,820 | GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.83%, due 03/10/44 | 16,955,490 | ||||||||
15,187,775 | Hyatt Hotel Portfolio Trust, Series 17-HYT2, Class G, 144A, Variable Rate, 1 mo. LIBOR + 4.15%, 6.21%, due 08/09/32 | 15,273,285 | ||||||||
2,432,859 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.47%, due 06/12/41 | 2,311,216 | ||||||||
5,389,564 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 6.01%, due 01/15/42 | 5,405,760 | ||||||||
1,488,623 | Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.86%, due 07/15/33 | 1,572,598 | ||||||||
8,543,000 | Union Station District of Columbia, Series 2018-USDC, Class E, 144A, 4.49%, due 05/09/38 | 8,304,480 | ||||||||
8,270,894 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.80%, due 03/23/45 | 8,260,775 | ||||||||
3,434,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35 | 3,328,835 | ||||||||
8,563,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35 | 7,952,250 | ||||||||
8,471,000 | West Town Mall Trust, Series 17-KNOX, Class E, 144A, Variable Rate, 4.49%, due 07/05/30 | 8,066,434 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 143,390,186 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Residential Mortgage-Backed Securities —Other — 10.3% |
| |||||||||
1,329,214 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 2.34%, due 02/25/36 | 706,857 | ||||||||
20,896,391 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + .36%, 2.42%, due 02/25/36 | 3,703,342 | ||||||||
5,860,949 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 5,425,681 | ||||||||
8,834,023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29 | 3,321,509 | ||||||||
2,928,137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 1,194,581 | ||||||||
754,330 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 2.38%, due 02/25/37 | 709,119 | ||||||||
5,579,386 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 5,267,650 | ||||||||
7,708,818 | Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 7,704,215 | ||||||||
3,097,697 | Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 2,875,439 | ||||||||
2,262,212 | Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 2.21%, due 06/15/37 | 2,065,896 | ||||||||
687,818 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.56%, due 10/25/34 | 643,827 | ||||||||
9,112,807 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 9,213,568 | ||||||||
7,309,036 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35 | 4,119,261 | ||||||||
31,563,134 | Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 2.32%, due 06/25/36 | 3,943,915 | ||||||||
16,133,972 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 5.93%, due 03/25/37 | 9,644,282 | ||||||||
4,308,431 | Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 2.38%, due 03/25/36 | 866,925 | ||||||||
732,284 | Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/26/34 | 692,299 | ||||||||
14,421,908 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 03/25/36 | 1,223,221 | ||||||||
8,226,552 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + .34%, 2.40%, due 03/25/36 | 697,622 | ||||||||
21,932,893 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + .40%, 2.46%, due 03/25/36 | 1,859,793 |
28 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Residential Mortgage-Backed Securities — Other — continued | ||||||||||
1,916,669 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + .90%, 2.96%, due 08/25/35 | 2,161,726 | ||||||||
8,613,755 | Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27 | 8,427,485 | ||||||||
1,592,175 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 1,678,737 | ||||||||
2,828,176 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 2,865,943 | ||||||||
5,998,408 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 5,512,756 | ||||||||
11,023,673 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 5,424,388 | ||||||||
1,436,566 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 1,248,100 | ||||||||
1,951,412 | PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, Step Up, 7.00%, due 12/25/27 | 2,230,946 | ||||||||
18,913,849 | Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 14,928,071 | ||||||||
1,503,492 | SACO I Trust, Series 05-10, Class 2A1, Variable Rate, 1 mo. LIBOR + .52%, 2.58%, due 01/25/36 | 1,503,499 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Other | 111,860,653 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Prime — 2.0% |
| |||||||||
2,217,405 | Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.38%, due 08/25/35 | 2,178,775 | ||||||||
2,122,321 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 4.73%, due 10/25/35 | 2,147,053 | ||||||||
1,295,603 | Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.35%, due 08/25/35 | 1,299,447 | ||||||||
3,090,279 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.80%, due 12/25/36 | 2,961,610 | ||||||||
2,319,796 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.75%, due 03/25/37 | 2,248,059 | ||||||||
3,443,553 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.57%, due 09/25/35 | 3,431,759 | ||||||||
2,262,785 | WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.11%, due 09/25/35 | 2,301,515 | ||||||||
1,968,499 | WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25, 2.18%, due 01/25/47 | 1,909,843 | ||||||||
3,222,489 | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37 | 3,224,386 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities —Prime | 21,702,447 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Residential Mortgage-Backed Securities — Subprime — 1.4% |
| |||||||||
1,788,863 | Asset Backed Funding Certificates, Step Up, 4.81%, due 06/25/35 | 1,831,877 | ||||||||
2,578,393 | BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.36%, due 05/26/37 | 2,496,824 | ||||||||
4,697,831 | Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 2.17%, due 04/25/31 | 6,273,195 | ||||||||
2,224,728 | Credit Suisse First Boston Mortgage Securities Corp., Series 02-22, Class 2M2, Variable Rate, due 06/25/32 | 2,291,211 | ||||||||
1,703,513 | Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 2.81%, due 11/25/35 | 1,727,462 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities —Subprime | 14,620,569 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Alt-A — 2.0% |
| |||||||||
2,061,073 | Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 3.11%, due 05/25/35 | 2,067,117 | ||||||||
2,522,050 | Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 2.76%, due 05/25/36 | 1,576,293 | ||||||||
2,532,862 | Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 2.76%, due 10/25/36 | 1,695,007 | ||||||||
5,166,936 | Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.87%, due 02/25/47 | 5,273,426 | ||||||||
3,788,505 | Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 3,878,452 | ||||||||
7,092,284 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.88%, due 07/25/36 | 5,277,865 | ||||||||
1,807,477 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 1,866,852 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Alt-A | 21,635,012 | |||||||||
|
| |||||||||
Small Balance Commercial Mortgages — 15.6% |
| |||||||||
8,448,000 | Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38 | 7,363,540 | ||||||||
638,897 | Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.56%, 2.90%, due 04/25/34 | 625,195 | ||||||||
355,303 | Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.20%, 3.86%, due 04/25/34 | 353,268 | ||||||||
619,141 | Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.90%, 4.91%, due 04/25/34 | 621,140 |
See accompanying notes to the financial statements. | 29 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Small Balance Commercial Mortgages — continued |
| |||||||||
6,135,214 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.37%, due 08/25/35 | 5,831,218 | ||||||||
3,296,700 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.45%, due 01/25/36 | 3,095,320 | ||||||||
1,880,236 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .38%, 2.44%, due 04/25/36 | 1,771,061 | ||||||||
2,578,414 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .23%, 2.29%, due 07/25/36 | 2,491,660 | ||||||||
5,274,178 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 2.34%, due 07/25/36 | 5,112,189 | ||||||||
7,493,056 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 10/25/36 | 7,140,938 | ||||||||
895,763 | Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 2.36%, due 10/25/36 | 855,667 | ||||||||
2,691,555 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 2.30%, due 07/25/37 | 2,566,571 | ||||||||
11,402,507 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 2.33%, due 07/25/37 | 10,973,774 | ||||||||
6,071,136 | Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .32%, 2.38%, due 07/25/37 | 5,709,478 | ||||||||
2,448,365 | Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + .85%, 2.91%, due 12/25/37 | 2,422,782 | ||||||||
20,953,338 | Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.31%, due 12/25/37 | 20,925,061 | ||||||||
3,300,000 | Core Industrial Trust, Series 15-WEST, Class D, 144A, Variable Rate, 4.37%, due 02/10/37 | 3,329,187 | ||||||||
21,022,087 | GE Business Loan Trust, Series 06-1X, Class A, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 05/15/34 | 20,394,517 | ||||||||
2,358,239 | GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.18%, 2.24%, due 11/15/34 | 2,316,208 | ||||||||
5,326,826 | GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.23%, due 04/15/35 | 5,222,966 | ||||||||
4,271,986 | GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.06%, due 04/16/35 | 3,877,957 | ||||||||
2,692,701 | Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.37%, due 04/25/31 | 2,692,538 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Small Balance Commercial Mortgages — continued | ||||||||||
7,540,867 | Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 2.35%, due 09/25/36 | 7,500,100 | ||||||||
2,585,627 | Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 12/25/36 | 2,565,984 | ||||||||
4,300,000 | Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.46%, due 06/25/37 | 4,104,353 | ||||||||
4,441,609 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/25/30 | 4,367,123 | ||||||||
1,744,539 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.46%, due 09/25/30 | 1,733,895 | ||||||||
2,002,843 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .52%, 2.58%, due 09/25/30 | 1,973,530 | ||||||||
5,445,606 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + .53%, 2.59%, due 04/25/31 | 5,238,332 | ||||||||
2,022,599 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.06%, due 04/25/31 | 1,923,102 | ||||||||
2,554,500 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.45%, due 09/25/36 | 2,453,854 | ||||||||
2,563,200 | Morgan Stanley Capital I Trust, Series 12-STAR, Class C, 144A, 3.85%, due 08/05/34 | 2,567,046 | ||||||||
854,400 | Morgan Stanley Capital I Trust, Series 12-STAR, Class D, 144A, 4.06%, due 08/05/34 | 855,110 | ||||||||
1,773,858 | Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 3.86%, due 10/25/46 | 1,788,172 | ||||||||
9,503,550 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.37%, due 12/27/49 | 9,501,429 | ||||||||
3,430,400 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.74%, due 12/27/49 | 3,438,414 | ||||||||
2,585,664 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.90%, due 12/27/49 | 2,582,718 | ||||||||
|
| |||||||||
Total Small Balance Commercial Mortgages | 168,285,397 | |||||||||
|
|
30 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Student Loans — Federal Family Education Loan Program — 4.9% |
| |||||||||
8,238,923 | AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + .19%, 2.53%, due 10/25/24 | 8,139,661 | ||||||||
18,185,119 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + .70%, 3.04%, due 01/25/43 | 16,363,714 | ||||||||
16,255,656 | AccessLex Institute, Series 07-1, Class A4, Variable Rate 3 mo. LIBOR + 0.06%, 2.40%, due 01/25/23 | 15,961,541 | ||||||||
5,357,926 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 2.66%, due 03/28/35(a) | 5,036,451 | ||||||||
6,648,426 | KeyCorp Student Loan Trust, Series 04-A, Class 1A2, Variable Rate, 3 mo. LIBOR + 0.24%, 2.58%, due 10/27/42 | 6,514,498 | ||||||||
1,255,232 | South Carolina Student Loan Corp., Series 14-1, Class A1, Variable Rate, 1 mo. LIBOR + .75%, 2.83%, due 05/01/30 | 1,260,751 | ||||||||
|
| |||||||||
Total Student Loans — Federal Family Education Loan Program | 53,276,616 | |||||||||
|
| |||||||||
Student Loans — Private — 20.8% |
| |||||||||
6,408,127 | Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 3.14%, due 07/25/34 | 6,174,823 | ||||||||
2,082,902 | Access Group, Inc., Series 03-A, Class A2, Variable Rate, 3 mo. USBM +1.20%, 3.28%, due 07/01/38 | 2,083,319 | ||||||||
6,063,317 | KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 3.07%, due 09/27/38 | 6,030,903 | ||||||||
31,059,920 | KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 2.82%, due 12/27/41 | 30,561,064 | ||||||||
3,123,725 | KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 04/28/42 | 3,037,153 | ||||||||
5,622,500 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.59%, due 07/28/42 | 4,702,163 | ||||||||
2,407,810 | L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.56%, due 10/15/28 | 2,325,450 | ||||||||
18,250,000 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 5.16%, due 03/31/38(a) | 8,942,500 | ||||||||
7,147,991 | National Collegiate Commutation Trust, Series 07-3, Class A3L, 144A, Variable Rate 1 mo. LIBOR + .84%, 2.92%, due 03/31/38 | 2,793,583 | ||||||||
5,300,541 | National Collegiate Student Loan Trust, Variable 1 mo. LIBOR + .38%, 2.44%, due 10/25/33 | 5,117,217 | ||||||||
870,416 | National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 2.27%, due 11/25/27 | 868,284 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Student Loans — Private — continued | ||||||||||
18,577 | National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate 1 mo. LIBOR + 0.25%, 2.31%, due 03/27/28 | 18,573 | ||||||||
1,371,631 | National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.33%, due 03/26/29 | 1,354,224 | ||||||||
3,050,355 | National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.33%, due 09/25/29 | 3,026,762 | ||||||||
16,597,764 | National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate 1 mo. LIBOR + 0.24%, 2.30%, due 07/25/30 | 16,369,621 | ||||||||
8,685,000 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 2.37%, due 05/25/32 | 7,980,486 | ||||||||
12,960,000 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + .35%, 2.41%, due 03/25/33 | 12,297,877 | ||||||||
12,763,500 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.43%, due 06/25/33 | 11,944,895 | ||||||||
8,514,000 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.37%, due 10/25/33 | 7,460,726 | ||||||||
25,000 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38 (a) | 23,000 | ||||||||
75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.50%, due 03/25/38 (a) | 70,500 | ||||||||
10,865,000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 4.28%, due 06/15/32 (a) | 10,862,827 | ||||||||
5,500,000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 4.34%, due 09/15/32 (a) | 5,499,450 | ||||||||
3,509,557 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 3.94%, due 09/15/32 | 1,199,540 | ||||||||
9,000,000 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 2.77%, due 09/15/33 | 8,651,794 | ||||||||
4,881,794 | SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 2.62%, due 12/15/38 | 4,821,541 | ||||||||
29,081,181 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 2.63%, due 06/15/39 | 28,391,474 | ||||||||
19,660,920 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 2.67%, due 06/15/39 | 19,200,033 | ||||||||
2,672,291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + .39%, 2.73%, due 12/15/39 | 2,100,851 |
See accompanying notes to the financial statements. | 31 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Student Loans — Private — continued | ||||||||||
11,296,810 | South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.56%, due 01/25/36 | 11,403,409 | ||||||||
|
| |||||||||
Total Student Loans — Private | 225,314,042 | |||||||||
|
| |||||||||
Time Share — 0.5% |
| |||||||||
533,206 | BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27 | 529,473 | ||||||||
1,942,050 | BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28 | 1,931,469 | ||||||||
1,125,036 | Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30 | 1,118,713 | ||||||||
1,770,700 | Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30 | 1,752,870 | ||||||||
|
| |||||||||
Total Time Share | 5,332,525 | |||||||||
|
| |||||||||
Total Asset-Backed Securities | 951,787,792 | |||||||||
|
| |||||||||
U.S. Government — 0.2% |
| |||||||||
2,800,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 (b) | 2,800,409 | ||||||||
|
| |||||||||
U.S. Government Agency — 1.5% |
| |||||||||
95,586 | Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 2.33%, due 10/01/18 (c) | 95,499 | ||||||||
6,418,750 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – .02%, 2.52%, due 02/01/25 (c) | 6,202,825 | ||||||||
6,375,000 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 2.69%, due 10/29/26 (c) | 6,157,818 |
Par Value† | Description | Value ($) | ||||||||
U.S. Government Agency — continued |
| |||||||||
3,525,000 | Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 2.54%, due 07/01/23(c) | 3,435,320 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 15,891,462 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $953,762,170) | 970,479,663 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 4.5% |
| |||||||||
United States — 4.5% |
| |||||||||
Affiliated Issuers — 4.5% | ||||||||||
1,952,608 | GMO U.S. Treasury Fund | 48,776,146 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $48,776,146) | 48,776,146 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.5% |
| |||||||||
Money Market Funds — 0.7% |
| |||||||||
7,129,966 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (d) | 7,129,966 | ||||||||
|
| |||||||||
Repurchase Agreements — 2.8% |
| |||||||||
29,978,268 | Barclays Bank plc Repurchase Agreement, dated 8/31/18, maturing on 9/4/18 with a maturity value of $29,984,830 and an effective yield of 1.97%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $30,581,994. | 29,978,268 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $37,108,234) | $ | 37,108,234 | ||||||||
|
|
PURCHASED OPTIONS — 0.0%
Description | Counterparty | Exercise Rate | Expiration Date | Principal/ Notional Amount | Floating Rate Index | Pay/Receive Floating Rate | Value ($) | |||||||||||
Options on Credit Default Swaps — Puts — 0.0% | ||||||||||||||||||
CDX.NA.HYS.30.V1-5Y | MSCS | 106.00 | % | 09/19/18 | USD 21,120,000 | Fixed Spread | Pay | 31,941 | ||||||||||
CDX.NA.HYS.30.V1-5Y | BOA | 106.50 | % | 09/19/18 | USD 25,344,000 | Fixed Spread | Pay | 75,115 | ||||||||||
CDX.NA.HYS.30.V1-5Y | BCLY | 106.00 | % | 09/19/18 | USD 21,115,000 | Fixed Spread | Pay | 31,934 | ||||||||||
CDX.NA.IGS.30.V1-5Y | MSCS | 62.50 | % | 09/19/18 | USD 84,480,000 | Fixed Spread | Pay | 60,818 | ||||||||||
CDX.NA.IGS.30.V1-5Y | GS | 62.50 | % | 09/19/18 | USD 84,460,000 | Fixed Spread | Pay | 60,804 | ||||||||||
|
Total Options on Credit Default Swaps – Puts | 260,612 | |||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (COST $314,869) | 260,612 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.6% | 1,056,624,655 | |||||||||
Other Assets and Liabilities (net) — 2.4% | 26,277,007 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,082,901,662 | |||||||||
|
|
32 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Buys | ||||||||||||||
652 | U.S. Treasury Note 2 Yr. (CBT) | December 2018 | 137,806,313 | 31,636 | ||||||||||
1,130 | U.S. Treasury Note 5 Yr. (CBT) | December 2018 | 128,140,235 | 25,000 | ||||||||||
178 | U.S. Treasury Ultra 10 Yr. (CBT) | December 2018 | 22,792,344 | (4,442 | ) | |||||||||
|
|
|
| |||||||||||
$ | 288,738,892 | $ | 52,194 | |||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Written Options
Description | Counterparty | Exercise Rate | Expiration Date | Principal/ | Floating Rate Index | Pay/Receive | Value ($) | |||||||||||||||||
Written Options on Credit Default Swaps — Puts | ||||||||||||||||||||||||
CDX-NA.HYS.30.V1-5Y | BOA | 101.00 | % | 09/19/18 | USD | (21,027,500 | ) | Fixed Spread | Pay | (3,195) | ||||||||||||||
CDX-NA.IGS.30.V1-5Y | MSCS | 85.00 | % | 09/19/18 | USD | (84,130,000 | ) | Fixed Spread | Pay | (4,541) | ||||||||||||||
CDX-NA.IGS.30.V1-5Y | BOA | 85.00 | % | 09/19/18 | USD | (84,130,000 | ) | Fixed Spread | Pay | (4,541) | ||||||||||||||
CDX-NA.HYS.30.V1-5Y | MSCS | 101.00 | % | 10/17/18 | USD | (21,120,000 | ) | Fixed Spread | Pay | (15,585) | ||||||||||||||
CDX-NA.IGS.30.V1-5Y | MSCS | 85.00 | % | 10/17/18 | USD | (84,480,000 | ) | Fixed Spread | Pay | (24,548) | ||||||||||||||
| ||||||||||||||||||||||||
| TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $163,443) | (52,410) | ||||||||||||||||||||||
|
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.27.V1-5Y | USD | 25,022,200 | 5.00% | 2.54% | N/A | 12/20/2021 | Quarterly | (1,825,591 | ) | (1,824,776 | ) | 815 | ||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||
CDX.NA.IGS.28.V1-5Y | USD | 17,200,000 | 1.00% | 0.49% | 17,200,000 USD | 06/20/2022 | Quarterly | 300,982 | 316,721 | 15,739 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (1,524,609 | ) | $ | (1,508,055 | ) | $ | 16,554 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 33 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
OTC Credit Default Swaps
Reference Entity | Counterparty | Notional Amount | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.25.V1-5Y | BOA | USD | 4,400,000 | 5.00% | 0.50% | N/A | 12/20/2020 | Quarterly | 369,771 | (428,013 | ) | (797,784 | ) | |||||||||||||||||||||||||||
CDX.NA.HYS.25.V1-5Y | JPM | USD | 4,343,000 | 5.00% | 0.69% | N/A | 12/20/2020 | Quarterly | (26,058 | ) | (422,468 | ) | (396,410 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.25.V1-5Y | JPM | USD | 8,543,000 | 5.00% | 0.69% | N/A | 12/20/2020 | Quarterly | (847,893 | ) | (831,026 | ) | 16,867 | |||||||||||||||||||||||||||
CDX.NA.IGS.25.V1-5Y | BOA | USD | 4,400,000 | 1.00% | 2.49% | N/A | 12/20/2020 | Quarterly | 710,600 | (29,153 | ) | (739,753 | ) | |||||||||||||||||||||||||||
CDX.NA.IGS.25.V1-5Y | CITI | USD | 4,300,000 | 1.00% | 0.71% | N/A | 12/20/2020 | Quarterly | 547,891 | (28,490 | ) | (576,381 | ) | |||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | GS | USD | 8,580,000 | 5.00% | 1.78% | N/A | 12/20/2021 | Quarterly | 21,450 | (874,793 | ) | (896,243 | ) | |||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | JPM | USD | 4,300,000 | 5.00% | 1.78% | N/A | 12/20/2021 | Quarterly | (11,825 | ) | (438,416 | ) | (426,591 | ) | ||||||||||||||||||||||||||
D.R. HORTON INC | BCLY | USD | 17,200,000 | 1.00% | 1.78% | N/A | 06/20/2022 | Quarterly | (165,250 | ) | (308,782 | ) | (143,532 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | JPM | USD | 6,425,250 | 5.00% | 3.35% | N/A | 12/20/2022 | Quarterly | (282,711 | ) | (423,623 | ) | (140,912 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | MSCS | USD | 3,450,800 | 5.00% | 3.35% | N/A | 12/20/2022 | Quarterly | (188,414 | ) | (227,515 | ) | (39,101 | ) | ||||||||||||||||||||||||||
Navient Corp. | BCLY | USD | 2,576,400 | 5.00% | 0.64% | N/A | 12/20/2022 | Quarterly | (208,665 | ) | (250,201 | ) | (41,536 | ) | ||||||||||||||||||||||||||
Navient Corp. | BCLY | USD | 2,576,400 | 5.00% | 2.49% | N/A | 12/20/2022 | Quarterly | (198,694 | ) | (250,201 | ) | (51,507 | ) | ||||||||||||||||||||||||||
Navient Corp. | BCLY | USD | 3,435,200 | 5.00% | 2.49% | N/A | 12/20/2022 | Quarterly | (264,646 | ) | (333,602 | ) | (68,956 | ) | ||||||||||||||||||||||||||
CMBX.NA.AS.7 | BOA | USD | 4,505,000 | 1.00% | 0.71% | N/A | 01/17/2047 | Monthly | 47,352 | (81,474 | ) | (128,826 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.7 | DB | USD | 16,677,794 | 1.00% | 0.62% | N/A | 01/17/2047 | Monthly | 197,705 | (301,620 | ) | (499,325 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.7 | GS | USD | 4,400,000 | 1.00% | 0.62% | N/A | 01/17/2047 | Monthly | 112,812 | (79,575 | ) | (192,387 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.7 | MSCS | USD | 13,270,000 | 1.00% | 0.62% | N/A | 01/17/2047 | Monthly | 205,782 | (239,990 | ) | (445,772 | ) | |||||||||||||||||||||||||||
CMBX.NA.AA.8 | CSI | USD | 8,892,000 | 1.50% | 1.40% | N/A | 10/17/2057 | Monthly | 247,717 | (46,305 | ) | (294,022 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.8 | MSCS | USD | 3,384,000 | 1.00% | 0.72% | N/A | 10/17/2057 | Monthly | 140,432 | (53,060 | ) | (193,492 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.8 | CGMI | USD | 8,892,000 | 1.00% | 0.72% | N/A | 10/17/2057 | Monthly | 73,095 | (139,424 | ) | (212,519 | ) | |||||||||||||||||||||||||||
CMBX.NA.BBB-.8 | CGMI | USD | 4,223,000 | 3.00% | 4.80% | N/A | 10/17/2057 | Monthly | 392,728 | 376,128 | (16,600 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.8 | GS | USD | 4,224,000 | 3.00% | 4.80% | N/A | 10/17/2057 | Monthly | 400,908 | 376,217 | (24,691 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.8 | GS | USD | 8,650,000 | 3.00% | 4.80% | N/A | 10/17/2057 | Monthly | 1,299,082 | 770,425 | (528,657 | ) | ||||||||||||||||||||||||||||
CMBX.NA.AAA.9 | DB | USD | 4,292,500 | 0.50% | 0.45% | N/A | 09/17/2058 | Monthly | (5,380 | ) | (15,081 | ) | (9,701 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.9 | DB | USD | 21,462,500 | 0.50% | 0.45% | N/A | 09/17/2058 | Monthly | (23,012 | ) | (75,403 | ) | (52,391 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.9 | GS | USD | 874,200 | 0.50% | 0.45% | N/A | 09/17/2058 | Monthly | 48,015 | (3,071 | ) | (51,086 | ) | |||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | DB | USD | 4,400,000 | 3.00% | 4.42% | N/A | 09/17/2058 | Monthly | 950,085 | 352,982 | (597,103 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | MSCS | USD | 8,528,000 | 3.00% | 4.42% | N/A | 09/17/2058 | Monthly | 974,545 | 684,143 | (290,402 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | DB | USD | 4,263,000 | 3.00% | 4.42% | N/A | 09/17/2058 | Monthly | 517,160 | 341,991 | (175,169 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | GS | USD | 1,760,000 | 3.00% | 4.42% | N/A | 09/17/2058 | Monthly | 346,611 | 141,193 | (205,418 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.10 | GS | USD | 2,551,200 | 3.00% | 4.12% | N/A | 11/17/2059 | Monthly | 236,632 | 179,718 | (56,914 | ) | ||||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||||||
CDX-NA.HYS.27.V3-5Y | JPM | USD | 8,543,000 | 5.00% | 0.64% | 8,543,000 USD | 12/20/2021 | Quarterly | 1,230,192 | 1,190,271 | (39,921 | ) | ||||||||||||||||||||||||||||
CDX-NA.HYS.27.V3-5Y | JPM | USD | 12,672,000 | 5.00% | 0.64% | 12,672,000 USD | 12/20/2021 | Quarterly | 1,795,622 | 1,765,553 | (30,069 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | GS | USD | 12,870,000 | 5.00% | 0.64% | 12,870,000 USD | 12/20/2021 | Quarterly | 1,657,013 | 1,793,140 | 136,127 | |||||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | JPM | USD | 8,600,000 | 5.00% | 0.64% | 8,600,000 USD | 12/20/2021 | Quarterly | 1,143,800 | 1,198,213 | 54,413 | |||||||||||||||||||||||||||||
CDX.NA.HYS.27.V3-5Y | BOA | USD | 8,545,000 | 5.00% | 2.49% | 8,545,000 USD | 12/20/2021 | Quarterly | 1,369,764 | 1,190,550 | (179,214 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | BOA | USD | 25,885,000 | 5.00% | 2.49% | 25,885,000 USD | 12/20/2022 | Quarterly | 4,283,968 | 3,829,000 | (454,968 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | MSCS | USD | 10,233,600 | 5.00% | 1.35% | 10,233,600 USD | 12/20/2022 | Quarterly | 1,547,320 | 1,513,790 | (33,530 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | JPM | USD | 42,835,000 | 5.00% | 0.40% | 42,835,000 USD | 12/20/2022 | Quarterly | 9,136,706 | 7,832,831 | (1,303,875 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | BOA | USD | 5,115,600 | 5.00% | 1.37% | 5,115,600 USD | 12/20/2022 | Quarterly | 742,274 | 756,718 | 14,444 | |||||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | MSCS | USD | 21,567,500 | 5.00% | 0.40% | 21,567,500 USD | 12/20/2022 | Quarterly | 4,121,549 | 3,943,845 | (177,704 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 32,646,033 | $ | 22,355,422 | $ | (10,290,611 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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 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. |
34 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
(1) | As of August 31, 2018, 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. |
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
1.27% | 3 Month USD LIBOR | USD | 10,495,000 | 03/10/2021 | Quarterly | — | 403,154 | 403,154 | ||||||||||||||||||
2.55% | 3 Month USD LIBOR | USD | 21,181,000 | 03/16/2021 | Quarterly | 144,649 | 156,077 | 11,428 | ||||||||||||||||||
2.10% | 3 Month USD LIBOR | USD | 8,447,000 | 11/24/2021 | Quarterly | 149,033 | 201,071 | 52,038 | ||||||||||||||||||
2.59% | 3 Month USD LIBOR | USD | 3,584,000 | 02/09/2022 | Quarterly | 462 | 33,621 | 33,159 | ||||||||||||||||||
2.90% | 3 Month USD LIBOR | USD | 7,624,000 | 06/22/2022 | Quarterly | — | (9,313 | ) | (9,313 | ) | ||||||||||||||||
2.06% | 3 Month USD LIBOR | USD | 11,981,000 | 11/10/2022 | Quarterly | 163,222 | 384,135 | 220,913 | ||||||||||||||||||
2.15% | 3 Month USD LIBOR | USD | 8,477,000 | 10/13/2024 | Quarterly | 164,029 | 345,830 | 181,801 | ||||||||||||||||||
2.00% | 3 Month USD LIBOR | USD | 19,668,000 | 04/16/2025 | Quarterly | (91,173 | ) | 1,072,950 | 1,164,123 | |||||||||||||||||
1.65% | 3 Month USD LIBOR | USD | 9,022,000 | 05/19/2026 | Quarterly | 252,588 | 794,875 | 542,287 | ||||||||||||||||||
2.88% | 3 Month USD LIBOR | USD | 7,356,000 | 06/04/2028 | Quarterly | — | 23,934 | 23,934 | ||||||||||||||||||
3.00% | 3 Month USD LIBOR | USD | 6,581,000 | 07/30/2028 | Quarterly | — | (47,727 | ) | (47,727 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 782,810 | $ | 3,358,607 | $ | 2,575,797 | |||||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||
Total Return on iBoxx USD Liquid Leverage Loans Index | 3 Month USD LIBOR | JPM | USD | 40,000,000 | 12/20/2018 | Quarterly | — | (218,064 | ) | (218,064 | ) | |||||||||||||||||||||
Total Return on iBoxx USD Liquid Leverage Loans Index | 3 Month USD LIBOR | MSCS | USD | 25,000,000 | 12/20/2018 | Quarterly | — | (143,837 | ) | (143,837 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | — | $ | (361,901 | ) | $ | (361,901 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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 using significant unobservable inputs (Note 2). |
(b) | 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 (Note 4). |
(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 (Note 2). |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 38.
See accompanying notes to the financial statements. | 35 |
GMO U.S. Treasury Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Short-Term Investments | 102.2 | % | ||
Other | (2.2 | ) | ||
|
| |||
100.0 | % | |||
|
|
36
GMO U.S. Treasury Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 102.2% |
| |||||||||
U.S. Government — 78.4% |
| |||||||||
1,000,000 | U.S. Treasury Bill, 0.64%, due 09/06/18 (a) | 999,895 | ||||||||
28,024,000 | U.S. Treasury Bill, 1.65%, due 09/27/18 (a) | 27,989,937 | ||||||||
56,815,300 | U.S. Treasury Bill, 1.73%, due 10/04/18 (a) | 56,723,685 | ||||||||
109,426,900 | U.S. Treasury Bill, 1.80%, due 10/11/18 (a) | 109,206,185 | ||||||||
7,562,000 | U.S. Treasury Bill, 2.18%, due 01/31/19 (a) | 7,493,613 | ||||||||
19,127,500 | U.S. Treasury Bill, 2.18%, due 02/07/19 (a) | 18,946,291 | ||||||||
22,241,200 | U.S. Treasury Note, 0.75%, due 10/31/18 | 22,196,719 | ||||||||
44,482,500 | U.S. Treasury Note, 1.00%, due 11/30/18 | 44,364,083 | ||||||||
31,137,700 | U.S. Treasury Note, 1.25%, due 11/30/18 | 31,073,117 | ||||||||
22,241,200 | U.S. Treasury Note, 1.50%, due 12/31/18 | 22,192,626 | ||||||||
17,793,000 | U.S. Treasury Note, 0.75%, due 02/15/19 | 17,674,148 | ||||||||
22,241,200 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19 | 22,254,924 | ||||||||
101,108,700 | U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20 | 101,097,813 | ||||||||
145,902,600 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 | 145,923,913 | ||||||||
22,241,200 | U.S. Treasury Note, Variable Rate USBM + 0.04%, 2.13%, due 07/31/20 | 22,238,651 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT (COST $650,322,827) | 650,375,600 | |||||||||
|
| |||||||||
U.S. Government Agency — 18.0% |
| |||||||||
22,240,000 | Federal Home Loan Banks, 0.88%, due 10/01/18 | 22,218,227 | ||||||||
11,120,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .09%, 1.98%, due 01/14/19 | 11,120,737 | ||||||||
44,480,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.18%, due 01/28/19 | 44,503,203 | ||||||||
11,120,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .08%, 1.99%, due 04/26/19 | 11,120,579 | ||||||||
24,470,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.18%, due 02/07/20 | 24,473,942 | ||||||||
35,590,000 | Federal Home Loan Banks, Variable Rate 3 mo. USD LIBOR – .23%, 2.11%, due 05/04/20 | 35,569,854 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCY (COST $149,010,286) | 149,006,542 | |||||||||
|
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
1,277,616 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (b) | 1,277,616 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Repurchase Agreements — 5.7% |
| |||||||||
47,000,628 | Barclays Bank plc Repurchase Agreement, dated 8/31/18, maturing on 9/4/18 with a maturity value of $47,010,916 and an effective yield of 1.97%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $47,947,163. | 47,000,628 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $847,611,357) | 847,660,386 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.2% (Cost $847,611,357) | 847,660,386 | |||||||||
Other Assets and Liabilities (net) — (2.2%) | (18,477,042 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $829,183,344 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | The rate shown represents yield-to-maturity. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 38.
See accompanying notes to the financial statements. | 37 |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
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.
AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollars.
CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollars.
CDO - Collateralized Debt Obligation
CHF LIBOR - London Interbank Offered Rate denominated in Swiss Francs.
CJSC - Closed Joint-Stock Company
CLO - Collateralized Loan Obligation
CMBS - Commercial Mortgage Backed Security
CMT - Constant Maturity Treasury
COFI - Cost of Funds Index
CP - Counterparty
ETF - Exchange-Traded Fund
EURIBOR - Euro Interbank Offered Rate
FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDP - Gross Domestic Product
JSC - Joint-Stock Company
LIBOR - London Interbank Offered Rate
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollars.
OTC - Over-the-Counter
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
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona
TBA - To Be Announced-Delayed Delivery Security
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
VRRB - Variable Rate Reduction Bond
XLCA - Insured as to the payment of principal and interest by XL Capital Assurance Inc.
The rates shown on variable rate notes are the current interest rates at August 31, 2018, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BCLY - Barclays Bank plc
BOA - Bank of America, N.A.
CITI - Citibank N.A.
CGMI - Citigroup Global Markets Inc.
CSI - Credit Suisse International
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co. International PLC
MSCS - Morgan Stanley Capital Services LLC
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
USD - United States Dollar
ZAR - South African Rand
38 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited)
Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 21,380,716 | $ | 219,663,321 | $ | 96,381,706 | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 423,373,478 | 628,334,003 | 3,650,413,770 | |||||||||
Foreign currency, at value (Note 2)(c) | — | 10 | — | |||||||||
Cash | — | 65 | 252 | |||||||||
Receivable for investments sold | 79,618,699 | 48,842,593 | — | |||||||||
Receivable for Fund shares sold | — | — | 64,230,445 | |||||||||
Receivable for closed swap contracts (Note 4) | 418,197 | 200,654 | — | |||||||||
Dividends and interest receivable | 725,534 | 1,208,990 | 50,818,474 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 1,401,890 | 3,639,627 | 725,596 | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 54,547 | — | |||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 170,817 | — | 419,388 | |||||||||
Due from broker (Note 2) | 2,010,378 | 5,318,333 | 8,651,776 | |||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 16,231,326 | |||||||||
Interest receivable for open OTC swap contracts (Note 4) | — | — | 959,118 | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 21,137 | 103,084 | 5,857 | |||||||||
Receivable for options (Note 4)(d) | — | — | 131,894 | |||||||||
Miscellaneous receivable | — | — | 184,864 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 529,120,846 | 907,365,227 | 3,889,154,466 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: |
| |||||||||||
Due to custodian | 180 | — | — | |||||||||
Payable for investments purchased | 47,325 | — | — | |||||||||
Payable for Fund shares repurchased | 94,261,936 | 42,053,036 | 40,000,000 | |||||||||
Payable for purchases of delayed delivery securities | — | 118,710,843 | — | |||||||||
Payable to affiliate for (Note 5): |
| |||||||||||
Management fee | 112,390 | 167,310 | 1,129,777 | |||||||||
Shareholder service fee | 39,002 | 68,771 | 375,116 | |||||||||
Payable to agents unaffiliated with GMO | 191 | 168 | 727 | |||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | 645,147 | — | |||||||||
Payable for closed swap contracts (Note 4) | 325,868 | 158,538 | — | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 1,592,903 | 3,123,863 | 170,564 | |||||||||
Interest payable for open OTC swap contracts (Note 4) | — | — | 715,901 | |||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 22,720,391 | |||||||||
Payable for reverse repurchase agreements (Note 2) | — | — | 36,933,066 | |||||||||
Payable for options (Note 4)(d) | — | — | 3,200,781 | |||||||||
Payable to Trustees and related expenses | 5,041 | 2,587 | 11,079 | |||||||||
Accrued expenses | 187,502 | 124,718 | 483,139 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 96,572,338 | 165,054,981 | 105,740,541 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 432,548,508 | $ | 742,310,246 | $ | 3,783,413,925 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 21,380,716 | $ | 219,026,965 | $ | 93,156,925 | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 427,456,882 | $ | 638,442,147 | $ | 3,937,286,003 | ||||||
(c) Cost of foreign currency: | $ | — | $ | 10 | $ | — | ||||||
(d) Premiums on options: | $ | — | $ | — | $ | 5,101,699 |
See accompanying notes to the financial statements. | 39 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund | ||||||||||
Net assets consist of: |
| |||||||||||
Paid-in capital | $ | 489,954,073 | $ | 772,576,330 | $ | 4,170,084,165 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 17,471,244 | 9,395,007 | (27,272,676 | ) | ||||||||
Accumulated net realized gain (loss) | (70,846,595 | ) | (31,158,028 | ) | (101,689,090 | ) | ||||||
Net unrealized appreciation (depreciation) | (4,030,214 | ) | (8,503,063 | ) | (257,708,474 | ) | ||||||
|
|
|
|
|
| |||||||
$ | 432,548,508 | $ | 742,310,246 | $ | 3,783,413,925 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: |
| |||||||||||
Class III | $ | 83,097,382 | $ | 43,441,899 | $ | 1,223,579,794 | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | 698,868,347 | $ | 2,559,834,131 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 349,451,126 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: |
| |||||||||||
Class III | 3,730,363 | 2,047,184 | 45,498,905 | |||||||||
|
|
|
|
|
| |||||||
Class IV | — | 32,843,694 | 95,321,929 | |||||||||
|
|
|
|
|
| |||||||
Class VI | 15,630,115 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: |
| |||||||||||
Class III | $ | 22.28 | $ | 21.22 | $ | 26.89 | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | 21.28 | $ | 26.85 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 22.36 | $ | — | $ | — | ||||||
|
|
|
|
|
|
40 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
High Yield Fund | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 1,316,876 | $ | 48,776,146 | $ | — | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 211,977,759 | 1,007,848,509 | 847,660,386 | |||||||||
Cash | — | 58,767 | 21 | |||||||||
Receivable for Fund shares sold | 60,462,236 | — | — | |||||||||
Receivable for closed swap contracts (Note 4) | — | 488,287 | — | |||||||||
Dividends and interest receivable | 1,186,569 | 3,442,622 | 1,140,911 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 251,719 | — | — | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | 64,977 | 189,782 | — | |||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 120,859 | — | — | |||||||||
Due from broker (Note 2) | 3,626,822 | 1,824,000 | — | |||||||||
Receivable for open OTC swap contracts (Note 4) | 460,575 | 28,236,708 | — | |||||||||
Interest receivable for open OTC swap contracts (Note 4) | — | 1,591,458 | — | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 80,971 | 35,085 | 130,968 | |||||||||
Receivable for options (Note 4)(d) | — | — | — | |||||||||
Miscellaneous receivable | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 279,549,363 | 1,092,491,364 | 848,932,286 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: |
| |||||||||||
Payable for investments purchased | 11,244 | 49,638 | — | |||||||||
Payable for Fund shares repurchased | 60,589,214 | — | 19,087,500 | |||||||||
Payable to affiliate for (Note 5): |
| |||||||||||
Management fee | 64,770 | 367,264 | 109,117 | |||||||||
Shareholder service fee | 10,178 | 50,500 | — | |||||||||
Payable to agents unaffiliated with GMO | 38 | 206 | 420 | |||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | 125,002 | — | |||||||||
Payable for closed swap contracts (Note 4) | — | 1,920,702 | — | |||||||||
Dividend payable | — | — | 406,682 | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 37,492 | — | — | |||||||||
Interest payable for open OTC swap contracts (Note 4) | 6,083 | 583,196 | — | |||||||||
Payable for open OTC swap contracts (Note 4) | — | 6,243,187 | — | |||||||||
Written options outstanding, at value (Note 4)(c) | — | 52,410 | — | |||||||||
Payable to Trustees and related expenses | 529 | 3,466 | 5,373 | |||||||||
Accrued expenses | 112,967 | 194,131 | 139,850 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 60,832,515 | 9,589,702 | 19,748,942 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 218,716,848 | $ | 1,082,901,662 | $ | 829,183,344 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 1,316,876 | $ | 48,776,146 | $ | — | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 211,366,647 | $ | 991,185,273 | $ | 847,611,357 | ||||||
(c) Premiums on written options: | $ | — | $ | 163,443 | $ | — |
See accompanying notes to the financial statements. | 41 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
High Yield Fund | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 214,419,851 | $ | 1,148,417,155 | $ | 831,170,353 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | | 830,243 | | 19,474,044 | — | |||||||
Accumulated net realized gain (loss) | 1,749,891 | (93,755,839 | ) | (2,036,038 | ) | |||||||
Net unrealized appreciation (depreciation) | 1,716,863 | 8,766,302 | 49,029 | |||||||||
|
|
|
|
|
| |||||||
$ | 218,716,848 | $ | 1,082,901,662 | $ | 829,183,344 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Core Class | $ | — | $ | — | $ | 829,183,344 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 218,716,848 | $ | 1,082,901,662 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Core Class | — | — | 33,197,421 | |||||||||
|
|
|
|
|
| |||||||
Class VI | 10,721,117 | 40,540,085 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Core Class | $ | — | $ | — | $ | 24.98 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 20.40 | $ | 26.71 | $ | — | ||||||
|
|
|
|
|
|
42 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2018 (Unaudited)
Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund | ||||||||||
Investment Income: | ||||||||||||
Interest | $ | 17,051,461 | $ | 3,623,403 | $ | 101,282,657 | ||||||
Dividends from affiliated issuers (Note 10) | 237,627 | 2,153,754 | 906,174 | |||||||||
Dividends from unaffiliated issuers | 28,773 | 2,420,938 | 563,534 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 17,317,861 | 8,198,095 | 102,752,365 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 1,101,678 | 1,105,922 | 7,021,258 | |||||||||
Shareholder service fee – Class III (Note 5) | 145,166 | 29,826 | 949,378 | |||||||||
Shareholder service fee – Class IV (Note 5) | — | 422,486 | 1,373,155 | |||||||||
Shareholder service fee – Class VI (Note 5) | 189,142 | — | — | |||||||||
Audit and tax fees | 44,001 | 45,147 | 79,903 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 82,736 | 81,589 | 346,813 | |||||||||
Legal fees | 14,276 | 15,709 | 28,937 | |||||||||
Registration fees | 1,488 | 2,771 | 7,836 | |||||||||
Trustees’ fees and related expenses (Note 5) | 12,952 | 10,290 | 45,441 | |||||||||
Interest expense (Note 2) | — | 3,631 | 214,800 | |||||||||
Miscellaneous | 5,332 | 5,488 | 33,839 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,596,771 | 1,722,859 | 10,101,360 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (138,208 | ) | (140,314 | ) | — | |||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | — | (448,084 | ) | (30,452 | ) | |||||||
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) | — | (73,701 | ) | (4,187 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 1,458,563 | 1,060,760 | 10,066,721 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 15,859,298 | 7,137,335 | 92,685,644 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | (9,425,171 | ) | (2,910,536 | ) | 5,388,334 | |||||||
Investments in affiliated issuers | (15,659 | ) | 737,344 | — | ||||||||
Futures contracts | — | 1,264,909 | — | |||||||||
Options | — | — | 70,000 | |||||||||
Swap contracts | 666,232 | 1,089,740 | 7,401,897 | |||||||||
Forward currency contracts | 1,184,981 | 1,719,992 | 7,902,011 | |||||||||
Foreign currency and foreign currency related transactions | 43,881 | 100,942 | 277,071 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (7,545,736 | ) | 2,002,391 | 21,039,313 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 6,502,743 | (3,601,084 | ) | (323,937,912 | ) | |||||||
Investments in affiliated issuers | — | (1,674,383 | ) | 202,914 | ||||||||
Investments in securities sold short | — | — | — | |||||||||
Futures contracts | — | (435,317 | ) | — | ||||||||
Written options | — | — | (3,210,846 | ) | ||||||||
Swap contracts | 1,505,460 | 2,913,646 | 19,526,095 | |||||||||
Forward currency contracts | 1,446,179 | 9,352,266 | (1,402,074 | ) | ||||||||
Foreign currency and foreign currency related transactions | 14,352 | — | (414,909 | ) | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 9,468,734 | 6,555,128 | (309,236,732 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 1,922,998 | 8,557,519 | (288,197,419 | ) | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 17,782,296 | $ | 15,694,854 | $ | (195,511,775 | ) | |||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 43 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)
High Yield Fund(a) | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Investment Income: | ||||||||||||
Interest | $ | 1,033,664 | $ | 23,250,811 | $ | 19,492,631 | ||||||
Dividends from affiliated issuers (Note 10) | 17,539 | 383,902 | — | |||||||||
Dividends from unaffiliated issuers | 2,357 | 54,595 | 6,579 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 1,053,560 | 23,689,308 | 19,499,210 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 138,886 | 2,261,458 | 844,545 | |||||||||
Shareholder service fee – Class III (Note 5) | — | — | — | |||||||||
Shareholder service fee – Class IV (Note 5) | — | — | — | |||||||||
Shareholder service fee – Class VI (Note 5) | 21,825 | 310,950 | — | |||||||||
Organizational expenses | 138,574 | — | — | |||||||||
Audit and tax fees | 23,145 | 62,465 | 18,367 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 12,059 | 108,546 | 111,444 | |||||||||
Legal fees | 1,811 | 71,666 | 13,759 | |||||||||
Registration fees | 4,588 | 1,028 | 704 | |||||||||
Trustees’ fees and related expenses (Note 5) | 942 | 13,131 | 24,781 | |||||||||
Interest expense (Note 2) | 20,638 | 18,889 | — | |||||||||
Miscellaneous | 5,026 | 19,635 | 7,919 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 367,494 | 2,867,768 | 1,021,519 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (144,177 | ) | (198,590 | ) | (992,445 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 223,317 | 2,669,178 | 29,074 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 830,243 | 21,020,130 | 19,470,136 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | 33,851 | 12,322,261 | (709,175 | ) | ||||||||
Investments in affiliated issuers | — | (40,186 | ) | — | ||||||||
Investments in securities sold short | — | 333,555 | — | |||||||||
Futures contracts | 22,520 | 604,530 | — | |||||||||
Written options | — | 583,963 | — | |||||||||
Swap contracts | 1,509,108 | 499,477 | — | |||||||||
Forward currency contracts | 108,242 | (5,155 | ) | — | ||||||||
Foreign currency and foreign currency related transactions | 76,170 | (6,443 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 1,749,891 | 14,292,002 | (709,175 | )* | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 611,112 | (9,879,427 | ) | 1,256,117 | ||||||||
Investments in affiliated issuers | — | 23,383 | — | |||||||||
Investments in securities sold short | — | (494,647 | ) | — | ||||||||
Futures contracts | 25,666 | 17,161 | — | |||||||||
Written options | — | (152,176 | ) | — | ||||||||
Swap contracts | 865,858 | (4,202,294 | ) | — | ||||||||
Forward currency contracts | 214,227 | 17,898 | — | |||||||||
Foreign currency and foreign currency related transactions | — | (34 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 1,716,863 | (14,670,136 | ) | 1,256,117 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 3,466,754 | (378,134 | ) | 546,942 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 4,296,997 | $ | 20,641,996 | $ | 20,017,078 | ||||||
|
|
|
|
|
| |||||||
(a) Period from June 25, 2018 (commencement of operations) through August 31, 2018. | ||||||||||||
* For the details related to in-kind redemption realized gain (loss) please refer to Note 6. |
44 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Asset Allocation Bond Fund | Core Plus Bond Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 15,859,298 | $ | 20,940,318 | $ | 7,137,335 | $ | 17,999,886 | ||||||||
Net realized gain (loss) | (7,545,736 | ) | 694,506 | 2,002,391 | 8,423,203 | |||||||||||
Change in net unrealized appreciation (depreciation) | 9,468,734 | (19,218,760 | ) | 6,555,128 | (17,657,057 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 17,782,296 | 2,416,064 | 15,694,854 | 8,766,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (1,443,569 | ) | (2,024,013 | ) | (174,777 | ) | (332,939 | ) | ||||||||
Class IV | — | — | (3,055,497 | ) | (23,549,157 | ) | ||||||||||
Class VI | (5,659,469 | ) | (10,978,139 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (7,103,038 | ) | (13,002,152 | ) | (3,230,274 | ) | (23,882,096 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (126,632,696 | ) | (73,760,828 | ) | 8,189,800 | 12,381,895 | ||||||||||
Class IV | — | — | (233,621,573 | ) | 369,406,029 | |||||||||||
Class VI | (677,641,164 | ) | (181,503,566 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (804,273,860 | ) | (255,264,394 | ) | (225,431,773 | ) | 381,787,924 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (793,594,602 | ) | (265,850,482 | ) | (212,967,193 | ) | 366,671,860 | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 1,226,143,110 | 1,491,993,592 | 955,277,439 | 588,605,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 432,548,508 | $ | 1,226,143,110 | $ | 742,310,246 | $ | 955,277,439 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 17,471,244 | $ | 8,714,984 | $ | 9,395,007 | $ | 5,487,946 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 45 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Country Debt Fund | High Yield Fund | |||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Period from June 25, 2018 (commencement of operations) through August 31, 2018 (Unaudited) | ||||||||||
Increase (decrease) in net assets: |
| |||||||||||
Operations: |
| |||||||||||
Net investment income (loss) | $ | 92,685,644 | $ | 190,864,386 | $ | 830,243 | ||||||
Net realized gain (loss) | 21,039,313 | 86,872,155 | 1,749,891 | |||||||||
Change in net unrealized appreciation (depreciation) | (309,236,732 | ) | (51,980,538 | ) | 1,716,863 | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets from operations | (195,511,775 | ) | 225,756,003 | 4,296,997 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | ||||||||||||
Class III | (17,088,236 | ) | (72,600,877 | ) | — | |||||||
Class IV | (35,795,942 | ) | (207,887,262 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | (52,884,178 | ) | (280,488,139 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net share transactions (Note 9): | ||||||||||||
Class III | 27,875,371 | 220,374,650 | — | |||||||||
Class IV | (134,223,114 | ) | (118,629,623 | ) | — | |||||||
Class VI | — | — | 214,419,851 | |||||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets resulting from net share transactions | (106,347,743 | ) | 101,745,027 | 214,419,851 | ||||||||
|
|
|
|
|
| |||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||
Class III | 637,514 | 1,028,334 | — | |||||||||
Class IV | 1,354,875 | 2,878,920 | — | |||||||||
|
|
|
|
|
| |||||||
Increase in net assets resulting from purchase premiums and redemption fees | 1,992,389 | 3,907,254 | — | |||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (104,355,354 | ) | 105,652,281 | 214,419,851 | ||||||||
|
| �� |
|
|
|
| ||||||
Total increase (decrease) in net assets | (352,751,307 | ) | 50,920,145 | 218,716,848 | ||||||||
Net assets: |
| |||||||||||
Beginning of period | 4,136,165,232 | 4,085,245,087 | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 3,783,413,925 | $ | 4,136,165,232 | $ | 218,716,848 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (27,272,676 | ) | $ | (67,074,142 | ) | $ | 830,243 | ||||
|
|
|
|
|
|
46 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Opportunistic Income Fund | U.S. Treasury Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 21,020,130 | $ | 55,173,815 | $ | 19,470,136 | $ | 24,320,611 | ||||||||
Net realized gain (loss) | 14,292,002 | (3,342,915 | ) | (709,175 | ) | (1,278,414 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (14,670,136 | ) | 10,426,708 | 1,256,117 | (1,139,646 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 20,641,996 | 62,257,608 | 20,017,078 | 21,902,551 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Core Class | — | — | (19,470,136 | ) | (24,320,611 | ) | ||||||||||
Class VI | (8,575,128 | ) | (32,473,748 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (8,575,128 | ) | (32,473,748 | ) | (19,470,136 | ) | (24,320,611 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | — | — | (1,496,069,163 | ) | (339,573,514 | ) | ||||||||||
Class VI | (136,292,026 | ) | (336,644,785 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (136,292,026 | ) | (336,644,785 | ) | (1,496,069,163 | ) | (339,573,514 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class VI | 1,172,551 | 1,921,360 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 1,172,551 | 1,921,360 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (135,119,475 | ) | (334,723,425 | ) | (1,496,069,163 | ) | (339,573,514 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (123,052,607 | ) | (304,939,565 | ) | (1,495,522,221 | ) | (341,991,574 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 1,205,954,269 | 1,510,893,834 | 2,324,705,565 | 2,666,697,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,082,901,662 | $ | 1,205,954,269 | $ | 829,183,344 | $ | 2,324,705,565 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 19,474,044 | $ | 7,029,042 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 47 |
GMO Trust Funds
(For a share outstanding throughout each period)
ASSET ALLOCATION BOND FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.95 | $ | 22.15 | $ | 22.16 | $ | 26.36 | $ | 24.57 | $ | 24.43 | $ | 22.02 | $ | 22.23 | $ | 22.21 | $ | 26.40 | $ | 24.60 | $ | 24.46 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.39 | 0.33 | 0.18 | 0.01 | 0.38 | 0.00 | (b) | 0.40 | 0.36 | 0.21 | 0.06 | 0.22 | 0.03 | |||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.12 | (0.31 | ) | (0.19 | ) | (2.58 | ) | 2.48 | 0.17 | 0.12 | (0.33 | ) | (0.19 | ) | (2.61 | ) | 2.68 | 0.16 | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.51 | 0.02 | (0.01 | ) | (2.57 | ) | 2.86 | 0.17 | 0.52 | 0.03 | 0.02 | (2.55 | ) | 2.90 | 0.19 | |||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.18 | ) | (0.22 | ) | — | (1.63 | ) | (0.67 | ) | (0.03 | ) | (0.18 | ) | (0.24 | ) | — | (1.64 | ) | (0.70 | ) | (0.05 | ) | ||||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | — | (0.40 | ) | — | — | — | — | — | (0.40 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.18 | ) | (0.22 | ) | — | (1.63 | ) | (1.07 | ) | (0.03 | ) | (0.18 | ) | (0.24 | ) | — | (1.64 | ) | (1.10 | ) | (0.05 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 22.28 | $ | 21.95 | $ | 22.15 | $ | 22.16 | $ | 26.36 | $ | 24.57 | $ | 22.36 | $ | 22.02 | $ | 22.23 | $ | 22.21 | $ | 26.40 | $ | 24.60 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(c) | 2.33 | %** | 0.07 | % | (0.05 | )% | (9.88 | )% | 11.92 | % | 0.72 | % | 2.38 | %** | 0.12 | % | 0.09 | % | (9.79 | )% | 12.05 | % | 0.79 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 83,097 | $ | 207,008 | $ | 282,272 | $ | 352,828 | $ | 421,910 | $ | 260,775 | $ | 349,451 | $ | 1,019,135 | $ | 1,209,721 | $ | 1,888,505 | $ | 4,652,197 | $ | 2,849,433 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets | 0.41 | %*(e) | 0.41 | % | 0.41 | %(e) | 0.40 | %(e) | 0.40 | %(e) | 0.40 | %(d)(e) | 0.31 | %*(e) | 0.31 | % | 0.31 | %(e) | 0.31 | %(e) | 0.31 | %(e) | 0.31 | %(d)(e) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets | — | 0.00 | %(f)(g) | 0.00 | %(f)(g) | 0.02 | %(f) | 0.01 | %(f) | 0.00 | %(f)(g) | — | 0.00 | %(f)(g) | 0.00 | %(f)(g) | 0.02 | %(f) | 0.01 | %(f) | 0.00 | %(f)(g) | ||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets | 0.41 | %*(e) | 0.41 | % | 0.41 | %(e) | 0.42 | %(e) | 0.41 | %(e) | 0.40 | %(e) | 0.31 | %*(e) | 0.31 | % | 0.31 | %(e) | 0.33 | %(e) | 0.32 | %(e) | 0.31 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.47 | %* | 1.50 | % | 0.81 | % | 0.03 | % | 1.49 | % | 0.01 | % | 3.63 | %* | 1.59 | % | 0.94 | % | 0.27 | % | 0.84 | % | 0.13 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 42 | %**(h) | 89 | % | 130 | %(h) | 177 | % | 177 | % | 32 | % | 42 | %**(h) | 89 | % | 130 | %(h) | 177 | % | 177 | % | 32 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.02 | % | 0.02 | % | 0.03 | % | 0.02 | % | 0.02 | % | 0.03 | %* | 0.02 | % | 0.02 | % | 0.03 | % | 0.02 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | Net investment income (loss) was less than $0.01 per share. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | Ratio is less than 0.01%. |
(h) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the year ended February 28, 2017, including transactions in USTF, was 57% and 126%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
48 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CORE PLUS BOND FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.93 | $ | 21.10 | $ | 21.39 | $ | 23.43 | $ | 22.35 | $ | 22.23 | $ | 20.98 | $ | 21.15 | $ | 21.45 | $ | 23.49 | $ | 22.41 | $ | 22.29 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.17 | 0.41 | 0.26 | 0.24 | 0.21 | 0.21 | 0.17 | 0.46 | 0.24 | 0.27 | 0.21 | 0.21 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.21 | (0.06 | ) | 0.25 | (1.14 | ) | 1.83 | 0.24 | 0.21 | (0.10 | ) | 0.29 | (1.17 | ) | 1.83 | 0.27 | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.38 | 0.35 | 0.51 | (0.90 | ) | 2.04 | 0.45 | 0.38 | 0.36 | 0.53 | (0.90 | ) | 2.04 | 0.48 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.52 | ) | (0.80 | ) | (1.14 | ) | (0.96 | ) | (0.33 | ) | (0.08 | ) | (0.53 | ) | (0.83 | ) | (1.14 | ) | (0.96 | ) | (0.36 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.09 | ) | (0.52 | ) | (0.80 | ) | (1.14 | ) | (0.96 | ) | (0.33 | ) | (0.08 | ) | (0.53 | ) | (0.83 | ) | (1.14 | ) | (0.96 | ) | (0.36 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 21.22 | $ | 20.93 | $ | 21.10 | $ | 21.39 | $ | 23.43 | $ | 22.35 | $ | 21.28 | $ | 20.98 | $ | 21.15 | $ | 21.45 | $ | 23.49 | $ | 22.41 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(c) | 1.80 | %** | 1.61 | % | 2.44 | % | (3.93 | )% | 9.25 | % | 2.15 | % | 1.84 | %** | 1.68 | % | 2.55 | % | (3.91 | )% | 9.32 | % | 2.15 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 43,442 | $ | 34,641 | $ | 22,172 | $ | 52,187 | $ | 51,045 | $ | 48,632 | $ | 698,868 | $ | 920,637 | $ | 566,433 | $ | 215,060 | $ | 191,054 | $ | 191,571 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.29 | %* | 0.29 | % | 0.35 | % | 0.35 | % | 0.37 | % | 0.38 | % | 0.24 | %* | 0.24 | % | 0.30 | % | 0.30 | % | 0.32 | % | 0.33 | % | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(e) | 0.00 | %(f)* | 0.00 | %(f) | 0.00 | %(f) | 0.01 | % | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f)* | 0.00 | %(f) | 0.00 | %(f) | 0.01 | % | 0.00 | %(f) | 0.00 | %(f) | ||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(d) | 0.29 | %* | 0.29 | % | 0.35 | % | 0.36 | % | 0.37 | % | 0.38 | % | 0.24 | %* | 0.24 | % | 0.30 | % | 0.31 | % | 0.32 | % | 0.33 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.63 | %* | 1.91 | % | 1.21 | % | 1.14 | % | 0.89 | % | 0.95 | % | 1.61 | %* | 2.14 | % | 1.10 | % | 1.17 | % | 0.94 | % | 0.99 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 100 | %(g)** | 198 | %(g) | 216 | %(g) | 21 | % | 128 | % | 87 | % | 100 | %(g)** | 198 | %(g) | 216 | %(g) | 21 | % | 128 | % | 87 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h) | 0.15 | %* | 0.14 | % | 0.30 | % | 0.21 | % | 0.15 | % | 0.12 | % | 0.15 | %* | 0.14 | % | 0.26 | % | 0.21 | % | 0.15 | % | 0.12 | % |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(f) | Ratio is less than 0.01%. |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 118%, 221% and 325%, respectively, of the average value of its portfolio. |
(h) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 49 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING COUNTRY DEBT FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.62 | $ | 28.99 | $ | 26.01 | $ | 28.47 | $ | 29.31 | $ | 31.02 | $ | 28.57 | $ | 28.95 | $ | 25.98 | $ | 28.44 | $ | 29.28 | $ | 30.99 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.65 | 1.36 | 1.94 | 1.53 | 1.77 | (c) | 1.80 | 0.65 | 1.39 | 1.95 | 1.53 | 1.80 | (c) | 1.80 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.00 | ) | 0.32 | 3.01 | (d) | (2.04 | ) | (0.03 | ) | (1.77 | ) | (1.99 | ) | 0.29 | 3.01 | (d) | (2.01 | ) | (0.06 | ) | (1.74 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (1.35 | ) | 1.68 | 4.95 | (0.51 | ) | 1.74 | 0.03 | (1.34 | ) | 1.68 | 4.96 | (0.48 | ) | 1.74 | 0.06 | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.38 | ) | (2.05 | ) | (1.97 | ) | (1.95 | ) | (2.58 | ) | (1.74 | ) | (0.38 | ) | (2.06 | ) | (1.99 | ) | (1.98 | ) | (2.58 | ) | (1.77 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.38 | ) | (2.05 | ) | (1.97 | ) | (1.95 | ) | (2.58 | ) | (1.74 | ) | (0.38 | ) | (2.06 | ) | (1.99 | ) | (1.98 | ) | (2.58 | ) | (1.77 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.89 | $ | 28.62 | $ | 28.99 | $ | 26.01 | $ | 28.47 | $ | 29.31 | $ | 26.85 | $ | 28.57 | $ | 28.95 | $ | 25.98 | $ | 28.44 | $ | 29.28 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(e) | (4.75 | )%** | 5.81 | % | 19.47 | % | (1.77 | )% | 6.03 | % | 0.27 | % | (4.71 | )%** | 5.83 | % | 19.50 | % | (1.73 | )% | 6.07 | % | 0.33 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,223,580 | $ | 1,273,188 | $ | 1,067,086 | $ | 827,667 | $ | 746,182 | $ | 582,639 | $ | 2,559,834 | $ | 2,862,977 | $ | 3,018,159 | $ | 3,099,809 | $ | 3,262,104 | $ | 2,465,331 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(f) | 0.53 | %* | 0.53 | % | 0.54 | % | 0.54 | % | 0.56 | % | 0.56 | %(g) | 0.48 | %* | 0.48 | % | 0.49 | % | 0.49 | % | 0.51 | % | 0.51 | %(g) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(h) | 0.01 | % | 0.00 | %(i) | — | 0.00 | %(i) | — | — | 0.01 | % | 0.00 | %(i) | — | 0.00 | %(i) | — | — | ||||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(f) | 0.54 | %* | 0.53 | % | 0.54 | % | 0.54 | % | 0.56 | % | 0.56 | %(g) | 0.49 | %* | 0.48 | % | 0.49 | % | 0.49 | % | 0.51 | % | 0.51 | %(g) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 4.59 | %* | 4.57 | % | 6.76 | % | 5.58 | % | 5.86 | %(j) | 5.99 | % | 4.63 | %* | 4.67 | % | 6.81 | % | 5.60 | % | 5.93 | %(j) | 6.02 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %(k)** | 34 | %(k) | 21 | %(k) | 20 | % | 18 | % | 27 | % | 9 | %(k)** | 34 | %(k) | 21 | %(k) | 20 | % | 18 | % | 27 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(l) | 0.00 | %*(i) | 0.00 | %(i) | 0.00 | %(i) | 0.00 | %(i) | 0.00 | %(i) | — | 0.00 | %*(i) | 0.00 | %(i) | 0.00 | %(i) | 0.00 | %(i) | 0.00 | %(i) | — | ||||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.03 | $ | 0.04 | (a) | $ | 0.04 | (a) | $ | 0.06 | (a) | $ | 0.05 | (a) | $ | 0.01 | $ | 0.03 | $ | 0.04 | (a) | $ | 0.04 | (a) | $ | 0.06 | (a) | $ | 0.05 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | Includes income per share of $0.06 and $0.09, respectively, as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income per share would have been $1.71 and $1.71, respectively. These per share amounts have been adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(d) | Includes realized gain per share of $0.23 and $0.23, respectively, as a result of litigation on Argentinian sovereign debt. Excluding this income, the Fund’s realized gain per share would have been $2.78 and $2.78, respectively. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(i) | Ratio is less than 0.01%. |
(j) | Includes income of $0.24 and $0.24, respectively, of average daily net assets as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income to average daily net assets would have been 5.62% and 5.69%, respectively. |
(k) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 9%, 33% and 23%, respectively, of the average value of its portfolio. |
(l) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
50 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
HIGH YIELD FUND
Class VI Shares | |||||
Period from June 25, 2018 (commencement of operations) through August 31, 2018 (Unaudited) | |||||
Net asset value, beginning of period | $ | 20.00 | |||
|
| ||||
Income (loss) from investment operations: | |||||
Net investment income (loss)(a)† | 0.08 | ||||
Net realized and unrealized gain (loss) | 0.32 | ||||
|
| ||||
Total from investment operations | 0.40 | ||||
|
| ||||
Net asset value, end of period | $ | 20.40 | |||
|
| ||||
Total Return(b) | 2.00 | %** | |||
Ratios/Supplemental Data: | |||||
Net assets, end of period (000’s) | $ | 218,717 | |||
Net operating expenses to average daily net assets(c) | 0.51 | %* | |||
Interest and/or dividend expenses to average daily net assets(d) | 0.05 | %* | |||
Total net expenses to average daily net assets(c) | 0.56 | %* | |||
Net investment income (loss) to average daily net assets(a) | 2.09 | %* | |||
Portfolio turnover rate(e) | 17 | %** | |||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.36 | %* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018, including transactions in USTF, was 32% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 51 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
OPPORTUNISTIC INCOME FUND
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015(a) | 2014(a)(b) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.41 | $ | 25.78 | $ | 24.57 | $ | 24.80 | $ | 24.22 | $ | 24.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(c)† | 0.50 | 1.15 | 0.96 | 0.53 | 0.54 | 0.84 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | 0.18 | 0.89 | (0.34 | ) | 0.42 | 0.14 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.53 | 1.33 | 1.85 | 0.19 | 0.96 | 0.98 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.23 | ) | (0.70 | ) | (0.64 | ) | (0.42 | ) | (0.38 | ) | (0.56 | ) | ||||||||||||||||||
From net realized gains | — | — | — | — | — | (0.42 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.23 | ) | (0.70 | ) | (0.64 | ) | (0.42 | ) | (0.38 | ) | (0.98 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 26.71 | $ | 26.41 | $ | 25.78 | $ | 24.57 | (d) | $ | 24.80 | $ | 24.22 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(e) | 2.00 | %** | 5.18 | % | 7.62 | % | 0.77 | % | 3.98 | % | 4.27 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,082,902 | $ | 1,205,954 | $ | 1,510,894 | $ | 1,648,019 | $ | 1,790,805 | $ | 2,111,080 | ||||||||||||||||||
Net operating expenses to average daily net assets(f) | 0.47 | %* | 0.47 | % | 0.33 | % | 0.31 | % | 0.31 | % | 0.31 | %(g) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(i) | 0.00 | %*(h) | 0.00 | %(h) | 0.00 | %(h) | 0.00 | %(h) | 0.00 | %(h) | — | |||||||||||||||||||
Total net expenses to average daily net assets(f) | 0.47 | %* | 0.47 | % | 0.33 | % | 0.31 | % | 0.31 | % | 0.31 | %(g) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(c) | 3.72 | %* | 4.39 | % | 3.82 | % | 2.13 | % | 2.18 | % | 3.51 | % | ||||||||||||||||||
Portfolio turnover rate | 48 | %**(j) | 152 | %(j) | 66 | %(j) | 66 | % | 37 | % | 30 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | % | 0.03 | % | 0.04 | % | 0.03 | % | 0.03 | % | 0.02 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.03 | $ | 0.04 | $ | 0.03 | $ | 0.04 | $ | 0.03 | $ | 0.05 |
(a) | Per share amounts were adjusted to reflect a 1:7 reverse stock split effective May 15, 2014. |
(b) | Effective February 12, 2014, GMO Debt Opportunities Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund (the “Acquiring Fund”) and the surviving entity was renamed GMO Debt Opportunities Fund. For accounting and financial reporting purposes, the Acquired Fund is the surviving entity, meaning the combined entity adopted the historical financial reporting history of the Acquired Fund. Share and per share information have been adjusted to reflect the effects of the merger. |
(c) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(d) | Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which resulted in an increase in the December 21, 2015 net asset value of the Fund by $0.04 per share. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Ratio is less than 0.01%. |
(i) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(j) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 57%, 175% and 75%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
52 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. TREASURY FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.97 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.23 | 0.26 | 0.12 | 0.04 | 0.01 | 0.02 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.01 | (0.03 | ) | 0.01 | 0.00 | 0.00 | (a) | 0.01 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.24 | 0.23 | 0.13 | 0.04 | 0.01 | 0.03 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.23 | ) | (0.26 | ) | (0.12 | ) | (0.03 | ) | (0.01 | ) | (0.02 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.01 | ) | (0.01 | ) | (0.00 | )(b) | (0.01 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.23 | ) | (0.26 | ) | (0.13 | ) | (0.04 | ) | (0.01 | ) | (0.03 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 24.98 | $ | 24.97 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 1.00 | %** | 0.96 | % | 0.54 | % | 0.19 | % | 0.06 | % | 0.11 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 829,183 | $ | 2,324,706 | $ | 2,666,697 | $ | 4,033,504 | $ | 2,243,931 | $ | 1,909,864 | ||||||||||||||||||
Net expenses to average daily net assets | 0.00 | %(d)* | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d)(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 1.85 | %* | 1.06 | % | 0.47 | % | 0.16 | % | 0.05 | % | 0.08 | % | ||||||||||||||||||
Portfolio turnover rate(f) | 0 | %** | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %* | 0.09 | % | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % |
(a) | Net realized and unrealized gain (loss) was less than $0.01 per share. |
(b) | Distributions from net realized gains were less than $0.01 per share. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Ratio is less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Portfolio turnover rate calculation excludes short-term investments. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
August 31, 2018 (Unaudited)
1. | Organization |
Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Emerging Country Debt Fund, High Yield Fund (commenced operations on June 25, 2018), 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.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Asset Allocation Bond Fund | FTSE 3-Month Treasury Bill Index | Total return in excess of benchmark | ||
Core Plus Bond Fund | Bloomberg Barclays U.S. Aggregate Index | Total return in excess of benchmark | ||
Emerging Country Debt Fund | J.P. Morgan EMBI Global | Total return in excess of benchmark | ||
High Yield Fund | Markit iBoxx USD Liquid High Yield Index | Total return in excess of benchmark | ||
Opportunistic Income Fund | Not Applicable | Capital appreciation and current income | ||
U.S. Treasury Fund | Not Applicable | Liquidity and safety of principal with current income as a secondary objective |
Asset Allocation Bond Fund and U.S. Treasury Fund currently limit subscriptions.
Emerging Country Debt Fund is currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
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. See the table below for information about securities for which no alternative pricing source was available.
54
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
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 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 generally valued at the price determined by an industry standard model. Unlisted 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. 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 pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
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 the value of 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, the price 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, if any, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2018. 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) in the table below.
“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.
As discussed above, certain of the Funds and 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 valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized
55
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2018 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Single source; No alternative pricing source was available | ||||||
Asset Allocation Bond Fund | — | — | ||||||
Core Plus Bond Fund | < 1% | 3% | ||||||
Emerging Country Debt Fund | 1% | † | 3% | |||||
Opportunistic Income Fund | 1% | ‡ | 11% | |||||
High Yield Fund | — | — | ||||||
U.S. Treasury Fund | — | — |
† | Includes the Republic of Albania Par Bond, due 08/31/25 which represents 1.0% of the Fund’s total net assets and is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 08/15/25. |
‡ | Consists of four U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations. |
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.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor) or as described in the footnotes to the Securities and derivatives table above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2018.
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.
56
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
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 are 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; 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; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2018:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 29,000,503 | $ | 344,726,153 | $ | — | $ | 373,726,656 | ||||||||
U.S. Government Agency | 32,990,857 | — | — | 32,990,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 61,991,360 | 344,726,153 | — | 406,717,513 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 21,380,716 | — | — | 21,380,716 | ||||||||||||
Short-Term Investments | 1,516,027 | 15,139,938 | — | 16,655,965 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 84,888,103 | 359,866,091 | — | 444,754,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,401,890 | — | 1,401,890 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 1,393,506 | — | 1,393,506 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 84,888,103 | $ | 362,661,487 | $ | — | $ | 447,549,590 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,592,903 | ) | $ | — | $ | (1,592,903 | ) | ||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (1,162,900 | ) | — | (1,162,900 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (2,755,803 | ) | $ | — | $ | (2,755,803 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 22,352,281 | $ | — | $ | 22,352,281 | ||||||||
U.S. Government | 221,960,856 | — | — | 221,960,856 | ||||||||||||
U.S. Government Agency | — | 119,369,200 | — | 119,369,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 221,960,856 | 141,721,481 | — | 363,682,337 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 330,989,270 | — | — | 330,989,270 | ||||||||||||
Short-Term Investments | 3,349,336 | 149,976,381 | — | 153,325,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 556,299,462 | 291,697,862 | — | 847,997,324 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
57
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Core Plus Bond Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) |
| |||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 3,639,627 | $ | — | $ | 3,639,627 | ||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 3,310,129 | — | 3,310,129 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 556,299,462 | $ | 298,647,618 | $ | — | $ | 854,947,080 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (3,123,863 | ) | $ | — | $ | (3,123,863 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (164,626 | ) | — | — | (164,626 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (2,672,313 | ) | — | (2,672,313 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (164,626 | ) | $ | (5,796,176 | ) | $ | — | $ | (5,960,802 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 43,232,627 | $ | — | $ | 43,232,627 | ||||||||
Corporate Debt | — | 5,530,373 | 26,456,738 | 31,987,111 | ||||||||||||
Foreign Government Agency | — | 723,586,093 | 131,093,111 | 854,679,204 | ||||||||||||
Foreign Government Obligations | — | 1,744,741,656 | 119,648,802 | 1,864,390,458 | ||||||||||||
U.S. Government | 490,572,252 | 76,288,589 | — | 566,860,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 490,572,252 | 2,593,379,338 | 277,198,651 | 3,361,150,241 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Assignments | — | — | 8,244,656 | 8,244,656 | ||||||||||||
Loan Participations | — | — | 50,837,131 | 50,837,131 | ||||||||||||
Mutual Funds | 96,381,706 | — | — | 96,381,706 | ||||||||||||
Rights/Warrants | — | 27,261,111 | 3,648,061 | 30,909,172 | ||||||||||||
Short-Term Investments | 199,272,570 | — | — | 199,272,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 786,226,528 | 2,620,640,449 | 339,928,499 | 3,746,795,476 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 725,596 | — | 725,596 | ||||||||||||
Options | ||||||||||||||||
Credit Risk | — | — | 131,894 | 131,894 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 23,842,924 | — | 23,842,924 | ||||||||||||
Interest Rate Risk | — | 8,557,154 | — | 8,557,154 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 786,226,528 | $ | 2,653,766,123 | $ | 340,060,393 | $ | 3,780,053,044 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (170,564 | ) | $ | — | $ | (170,564 | ) | ||||||
Options | ||||||||||||||||
Credit Risk | — | — | (3,200,781 | ) | (3,200,781 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (21,610,400 | ) | — | (21,610,400 | ) | ||||||||||
Interest Rate Risk | — | (1,461,779 | ) | — | (1,461,779 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (23,242,743 | ) | $ | (3,200,781 | ) | $ | (26,443,524 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
58
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
High Yield Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 54,803,817 | $ | — | $ | 54,803,817 | ||||||||
U.S. Government | 36,051,017 | — | — | 36,051,017 | ||||||||||||
U.S. Government Agency | 74,322,816 | — | — | 74,322,816 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 110,373,833 | 54,803,817 | — | 165,177,650 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 1,316,876 | — | — | 1,316,876 | ||||||||||||
Short-Term Investments | 57,470 | 46,742,639 | — | 46,800,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 111,748,179 | 101,546,456 | — | 213,294,635 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 251,719 | — | 251,719 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 25,666 | — | — | 25,666 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 5,794,651 | — | 5,794,651 | ||||||||||||
Interest Rate Risk | — | 295,012 | — | 295,012 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 111,773,845 | $ | 107,887,838 | $ | — | $ | 219,661,683 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (37,492 | ) | $ | — | $ | (37,492 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (37,492 | ) | $ | — | $ | (37,492 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Opportunistic Income Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 916,122,182 | $ | 35,665,610 | $ | 951,787,792 | ||||||||
U.S. Government | 2,800,409 | — | — | 2,800,409 | ||||||||||||
U.S. Government Agency | — | — | 15,891,462 | 15,891,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 2,800,409 | 916,122,182 | 51,557,072 | 970,479,663 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 48,776,146 | — | — | 48,776,146 | ||||||||||||
Short-Term Investments | 7,129,966 | 29,978,268 | — | 37,108,234 | ||||||||||||
Purchased Options | — | 260,612 | — | 260,612 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 58,706,521 | 946,361,062 | 51,557,072 | 1,056,624,655 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 56,636 | — | — | 56,636 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 28,553,429 | — | 28,553,429 | ||||||||||||
Interest Rate Risk | — | 3,415,647 | — | 3,415,647 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 58,763,157 | $ | 978,330,138 | $ | 51,557,072 | $ | 1,088,650,367 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (4,442 | ) | $ | — | $ | — | $ | (4,442 | ) | ||||||
Written Options | ||||||||||||||||
Credit Risk | — | (52,410 | ) | — | (52,410 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (7,706,062 | ) | — | (7,706,062 | ) | ||||||||||
Interest Rate Risk | — | (418,941 | ) | — | (418,941 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (4,442 | ) | $ | (8,177,413 | ) | $ | — | $ | (8,181,855 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
59
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Short-Term Investments | $ | 800,659,758 | $ | 47,000,628 | $ | — | $ | 847,660,386 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 800,659,758 | 47,000,628 | — | 847,660,386 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 800,659,758 | $ | 47,000,628 | $ | — | $ | 847,660,386 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
^ | The tables above are based on market values or unrealized appreciation/(depreciation), in the case of forward currency contracts, rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options and rights/warrants, if any, which are included in investments. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ summary of levels above.
For all Funds for the period ended August 31, 2018, there were no significant transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2018 | Purchases | Sales | Accrued Discounts/ Premiums | Total Gain/ | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3† | Transfer out of Level 3† | Balances as of August 31, 2018 | Net Change in Investments of August 31, | |||||||||||||||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 26,126,080 | $ | — | $ | — | $ | (711 | ) | $ | — | $ | 331,369 | $ | — | $ | — | $ | 26,456,738 | $ | 331,369 | |||||||||||||||||||
Foreign Government Agency | 134,381,263 | — | — | 788,504 | — | (4,076,656 | ) | — | — | 131,093,111 | (4,076,656 | ) | ||||||||||||||||||||||||||||
Foreign Government Obligations | 123,199,974 | — | (3,206,336 | ) | 2,257,459 | — | (2,602,295 | ) | — | — | 119,648,802 | (2,602,295 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Debt Obligations | 283,707,317 | — | (3,206,336 | ) | 3,045,252 | — | (6,347,582 | ) | — | — | 277,198,651 | (6,347,582 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Loan Assignments | 1,110,398 | 7,300,000 | (224,630 | ) | 7,443 | — | 51,445 | — | — | 8,244,656 | 51,445 | |||||||||||||||||||||||||||||
Loan Participations | 59,670,207 | — | (5,496,530 | ) | 1,061,483 | — | (4,398,029 | ) | — | — | 50,837,131 | (4,398,029 | ) | |||||||||||||||||||||||||||
Rights/Warrants | 6,474,227 | — | — | — | — | (2,826,166 | ) | — | — | 3,648,061 | (2,826,166 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | 350,962,149 | 7,300,000 | (8,927,496 | ) | 4,114,178 | — | (13,520,332 | ) | — | — | 339,928,499 | (13,520,332 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||
Options | (912,233 | ) | — | (70,000 | ) | — | 1,124,194 | (3,210,848 | ) | — | — | (3,068,887 | ) | (1,751,774 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 350,049,916 | $ | 7,300,000 | $ | (8,997,496 | )# | $ | 4,114,178 | $ | 1,124,194 | $ | (16,731,180 | ) | $ | — | $ | — | $ | 336,859,612 | $ | (15,272,106 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
60
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Balances as of February 28, 2018 | Purchases | Sales | Accrued Discounts/ Premiums | Total Gain/ | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3† | Transfer out of Level 3† | Balances as of August 31, 2018 | Net Change in Investments of August 31, | |||||||||||||||||||||||||||||||
Opportunistic Income Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 37,555,550 | $ | — | $ | (2,019,705 | ) | $ | 91,828 | $ | — | $ | 37,937 | $ | — | $ | — | $ | 35,665,610 | $ | 37,937 | |||||||||||||||||||
U.S. Government Agency | 17,123,540 | — | (1,318,639 | ) | 16,997 | — | 69,564 | — | — | 15,891,462 | 69,564 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 54,679,090 | $ | — | $ | (3,338,344 | )## | $ | 108,825 | $ | — | $ | 107,501 | $ | — | $ | — | $ | 51,557,072 | $ | 107,501 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
† | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
# | Includes $8,927,495 of proceeds received from principal paydowns. |
## | Includes $3,338,344 of proceeds received from principal paydowns. |
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2018 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Asset Allocation Bond Fund | — | |||
Core Plus Bond Fund | 2% | |||
Emerging Country Debt Fund | 9% | |||
High Yield Fund | — | |||
Opportunistic Income Fund | 5% | |||
U.S. Treasury Fund | — |
Cash
Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Indexed investments
Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of
61
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.
Loan assignments and participations
The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. As of August 31, 2018, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Fund Name | Counterparty | Gross Value | Net Value (with related collateral) | Weighted Average Maturity (days) | ||||||||||||
Opportunistic Income Fund | Barclays Bank plc | $29,978,268 | $30,581,994 | 4.0 | ||||||||||||
U.S. Treasury Fund | Barclays Bank plc | $47,000,628 | $47,947,163 | 4.0 |
Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2018, the Funds listed below had entered into reverse repurchase agreements.
Fund Name | Received from reverse repurchase agreements ($) | Market value of securities plus accrued interest ($) | ||||||
Emerging Country Debt Fund | $36,933,066 | $35,548,608 |
As of August 31, 2018, Emerging Country Debt Fund had investments in reverse repurchase agreements with JP Morgan Securities, Inc. with a gross value of $36,933,066. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2018, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.
62
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:
August 31, 2018 | ||||||||||||||||||||||||
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||||||
Overnight and Continuous | Up to 30 days | Between 30-90 days | Greater Than 90 days | Demand | Total | |||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||||||
Non-U.S. Government Debt Obligations | $ | — | $ | — | $ | — | $ | — | $ | 36,933,066 | $ | 36,933,066 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total borrowings | $ | — | $ | — | $ | — | $ | — | $ | 36,933,066 | $ | 36,933,066 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Inflation-indexed bonds
The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Delayed delivery commitments and when-issued securities
The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Taxes and distributions
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 (the “Code”). 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
63
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
With the exception of U.S. Treasury Fund, the policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available. U.S. Treasury Fund will generally pay dividends on the first business day following the end of each month in which dividends were declared. Accrued dividends in respect of a shareholder’s partial redemption of U.S. Treasury Fund shares redeemed between monthly payment dates will be paid on the first business day following the end of the month in which redemptions are made. Accrued dividends in respect of a shareholder’s complete redemption of U.S. Treasury Fund shares between monthly payment dates will be paid with the redemption proceeds. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2018, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.
Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 28, 2018, certain Funds elected to defer to March 1, 2018 post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Post-October Capital Losses ($) | |||
Asset Allocation Bond Fund | (1,850,864) | |||
Core Plus Bond Fund | (5,029,797) | |||
Emerging Country Debt Fund | (980,792) | |||
High Yield Fund | N/A | |||
Opportunistic Income Fund | (1,668,698) | |||
U.S. Treasury Fund | (586,886) |
As of February 28, 2018, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to
64
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2018, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Long-Term ($) | |||||||||||||||
Fund Name | Expiration Date 2/28/2019 | No Expiration Date | Total Short- Term ($) | No Expiration Date | ||||||||||||
Asset Allocation Bond Fund | — | (24,215,916) | (24,215,916) | (36,964,291) | ||||||||||||
Core Plus Bond Fund | — | (291,118) | (291,118) | (27,549,806) | ||||||||||||
Emerging Country Debt Fund | (66,474,254) | (47,525,714) | (113,999,968) | — | ||||||||||||
High Yield Fund | — | — | — | — | ||||||||||||
Opportunistic Income Fund | — | — | — | (101,703,005) | ||||||||||||
U.S. Treasury Fund | — | (739,977) | (739,977) | — |
As of August 31, 2018, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:
Total Investments | Outstanding Financial Instruments | |||||||||||||||||||
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Asset Allocation Bond Fund | 449,115,206 | 254,523 | (4,615,535) | (4,361,012) | 53,190 | |||||||||||||||
Core Plus Bond Fund | 857,481,228 | 4,827,620 | (14,311,524) | (9,483,904) | 968,725 | |||||||||||||||
Emerging Country Debt Fund | 4,119,824,523 | 215,171,756 | (588,200,803) | (373,029,047) | (22,693,045) | |||||||||||||||
High Yield Fund | 212,669,038 | 921,606 | (296,009) | 625,597 | 823,391 | |||||||||||||||
Opportunistic Income Fund | 1,044,637,825 | 29,885,632 | (17,898,802) | 11,986,830 | (7,896,934) | |||||||||||||||
U.S. Treasury Fund | 847,611,357 | 115,526 | (66,497) | 49,029 | — |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend
65
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
Expenses and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).
If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.
GMO also may waive or reduce the purchase premium or redemption fee for a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).
66
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
As of August 31, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:
Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund(1) | High Yield Fund | Opportunistic Income Fund | U.S. Treasury Fund | |||||||
Purchase Premium | — | — | 0.75% | — | 0.40% | — | ||||||
Redemption Fee | — | — | 0.75% | — | 0.40% | — |
(1) | Prior to February 1, 2016, the premiums on purchases and the fee on redemptions were each 0.50% of the amount invested or redeemed. |
Recently-issued accounting guidance
In March 2017, the Financial Accounting Standards Board (“FASB”) issued an amendment to U.S. GAAP, which amends the required amortization period for purchased callable debt securities that have been purchased at a premium. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the security. This amendment does not apply to debt securities purchased at a discount and is effective for fiscal years beginning after December 15, 2018. GMO is currently evaluating the impact, if any, of this guidance on the Fund’s financial statements and disclosures.
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund | High Yield Fund | Opportunistic Income Fund | U.S. Treasury Fund | |||||||
Commodities Risk | X | |||||||||||
Counterparty Risk | X | X | X | X | X | X | ||||||
Credit Risk | X | X | X | X | X | X | ||||||
Currency Risk | X | X | X | X | X | |||||||
Derivatives and Short Sales Risk | X | X | X | X | X | |||||||
Focused Investment Risk | X | X | X | X | X | |||||||
Fund of Funds Risk | X | X | X | X | X | |||||||
Futures Contracts Risk | X | X | X | |||||||||
Illiquidity Risk | X | X | X | X | X | |||||||
Large Shareholder Risk | X | X | X | X | X | X | ||||||
Leveraging Risk | X | X | X | X | X |
67
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund | High Yield Fund | Opportunistic Income Fund | U.S. Treasury Fund | |||||||
Management and Operational Risk | X | X | X | X | X | X | ||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | ||||||
Market Risk – Asset-Backed Securities | X | X | X | X | ||||||||
Market Risk – Equities | X | X | ||||||||||
Market Risk – Fixed Income | X | X | X | X | X | X | ||||||
Non-Diversified Funds | X | X | X | X | X | |||||||
Non-U.S. Investment Risk | X | X | X | X | X | |||||||
Small Company Risk | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms
68
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government
69
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.
As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as
70
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.
The use of derivatives involves risks that are potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.
Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, inaccurate valuations may result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of a Fund’s net asset value.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
71
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear.
The SEC has proposed a rule under the 1940 Act, regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate
72
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.
73
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”
• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, and may incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.
Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
74
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.
A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have to sell other investments at disadvantageous times. A Fund may be unable to reenter or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.
The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates may prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.
Futures contracts traded on markets outside the United States generally are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.
Historically, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.
A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the
75
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.
To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.
• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated to compensate for the decline.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and may cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong.
76
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
GMO relies on quantitative models in making investment decisions. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the
77
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. Considerable uncertainty exists over the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond. War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market price of their holdings will decline. Market risks include:
Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income,” but to other market risks as well.
Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.
As described under “Market Risk — Fixed Income” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The issuance of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” for more information about credit risk.
When worldwide economic and liquidity conditions deteriorated in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many asset-backed (as well as others) fixed income securities. These events reduced liquidity and contributed to
78
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
substantial declines in the market prices of asset-backed (and other) fixed income securities and may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.
The market price of an asset-backed security depends in part on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.
The existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.
The risk of investing in asset-backed securities has increased since 2008 because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on the many asset-backed securities it services. The risks associated with asset-backed securities are particularly pronounced for Opportunistic Income Fund, which has invested a substantial portion of its assets in asset-backed securities, and for the Funds that have invested a substantial portion of their assets in Opportunistic Income Fund.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.
79
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The extent to which the market price of a fixed income investment changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk.”
In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. However, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.
• NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.
In addition, each of the Funds (other than U.S. Treasury Fund) may invest in shares of one or more other GMO Funds that are not diversified investment companies within the meaning of the 1940 Act.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that it will be received. In
80
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information.
Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).
The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.
• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions.
The Funds (other than Emerging Country Debt Fund and U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions.
To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
81
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, options, or other derivatives on an index, an ETF, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.
Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Opportunistic Income Fund and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
82
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
For Funds that held derivatives during the period ended August 31, 2018, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund | High Yield Fund | Opportunistic Income Fund | |||||
Forward currency contracts | ||||||||||
Adjust currency exchange rate risk | X | X | X | |||||||
Adjust exposure to foreign currencies | X | X | X | X | X | |||||
Futures contracts | ||||||||||
Adjust exposure to certain markets | ||||||||||
Adjust interest rate exposure | X | X | X | |||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | |||||||
Options (Purchased) | ||||||||||
Adjust currency exchange rate risk | ||||||||||
Adjust exposure to foreign currencies | ||||||||||
Adjust interest rate exposure | X | |||||||||
Achieve exposure to a reference entity’s credit | X | |||||||||
Adjust exposure to equity markets | ||||||||||
Provide a measure of protection against default loss | X | |||||||||
Options (Written) | ||||||||||
Achieve exposure to a reference entity’s credit | X | |||||||||
Adjust currency exchange rate risk | ||||||||||
Adjust exposure to foreign currencies | ||||||||||
Adjust interest rate exposure | X | |||||||||
Maintain the diversity and liquidity of the portfolio | ||||||||||
Provide a measure of protection against default loss | X | |||||||||
Options (Credit linked) | ||||||||||
Achieve exposure to a reference entity’s credit | X | |||||||||
Swap contracts | ||||||||||
Achieve exposure to a reference entity’s credit | X | X | X | |||||||
Adjust exposure to certain markets | X | X | ||||||||
Adjust interest rate exposure | X | X | X | X | ||||||
Provide a measure of protection against default loss | X | X | X | |||||||
Provide exposure to the Fund’s benchmark | X | |||||||||
Adjust exposure to foreign currencies | X | |||||||||
Rights and/or warrants | ||||||||||
Achieve exposure to a reference commodity/economic statistic | X |
83
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Forward currency contracts
The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid
84
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.
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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Funds value OTC options using industry models and inputs provided by primary pricing sources.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
85
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
86
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 and the Statements of Operations for the period ended August 31, 2018^:
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 1,401,890 | $ | — | $ | — | $ | 1,401,890 | ||||||||||||
Swap Contracts, at value¤ | — | — | — | 1,393,506 | — | 1,393,506 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | $ | $ | 1,401,890 | $ | 1,393,506 | $ | $ | 2,795,396 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 1,401,890 | $ | 1,393,506 | $ | — | $ | 2,795,396 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (1,592,903 | ) | $ | — | $ | — | $ | (1,592,903 | ) | ||||||||||
Swap Contracts, at value¤ | — | — | — | (1,162,900 | ) | — | (1,162,900 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (1,592,903 | ) | $ | (1,162,900 | ) | $ | — | $ | (2,755,803 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (1,592,903 | ) | $ | (1,162,900 | ) | $ | — | $ | (2,755,803 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 1,184,981 | $ | — | $ | — | $ | 1,184,981 | ||||||||||||
Swap Contracts | — | — | — | 666,232 | — | 666,232 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 1,184,981 | $ | 666,232 | $ | — | $ | 1,851,213 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 1,446,179 | $ | — | $ | — | $ | 1,446,179 | ||||||||||||
Swap Contracts | — | — | — | 1,505,460 | — | 1,505,460 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 1,446,179 | $ | 1,505,460 | $ | — | $ | 2,951,639 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 3,639,627 | $ | — | $ | — | $ | 3,639,627 | ||||||||||||
Swap Contracts, at value¤ | — | — | — | 3,310,129 | — | 3,310,129 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 3,639,627 | $ | 3,310,129 | $ | — | $ | 6,949,756 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 3,639,627 | $ | 3,310,129 | $ | — | $ | 6,949,756 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (3,123,863 | ) | $ | — | $ | — | $ | (3,123,863 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | — | (164,626 | ) | — | (164,626 | ) | ||||||||||||||||
Swap Contracts, at value¤ | — | — | — | (2,672,313 | ) | — | (2,672,313 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (3,123,863 | ) | $ | (2,836,939 | ) | $ | — | $ | (5,960,802 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (3,123,863 | ) | $ | (2,836,939 | ) | $ | — | $ | (5,960,802 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 1,719,992 | $ | — | $ | — | $ | 1,719,992 | ||||||||||||
Futures Contracts | — | — | — | 1,264,909 | — | 1,264,909 | ||||||||||||||||||
Swap Contracts | — | — | — | 1,089,740 | — | 1,089,740 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 1,719,992 | $ | 2,354,649 | $ | — | $ | 4,074,641 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
87
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Core Plus Bond Fund (Continued) | ||||||||||||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 9,352,266 | $ | — | $ | — | $ | 9,352,266 | ||||||||||||
Futures Contracts | — | — | — | (435,317 | ) | — | (435,317 | ) | ||||||||||||||||
Swap Contracts | — | — | — | 2,913,646 | — | 2,913,646 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 9,352,266 | $ | 2,478,329 | $ | — | $ | 11,830,595 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | — | $ | — | $ | 30,909,172 | $ | 30,909,172 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 725,596 | — | — | 725,596 | ||||||||||||||||||
Options, at value | 131,894 | — | — | — | — | 131,894 | ||||||||||||||||||
Swap Contracts, at value¤ | 23,842,924 | — | — | 8,557,154 | — | 32,400,078 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 23,974,818 | $ | — | $ | 725,596 | $ | 8,557,154 | $ | 30,909,172 | $ | 64,166,740 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | 30,909,172 | $ | 30,909,172 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | 23,974,818 | $ | — | $ | 725,596 | $ | 8,557,154 | $ | — | $ | 33,257,568 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (170,564 | ) | $ | — | $ | — | $ | (170,564 | ) | ||||||||||
Options, at value | (3,200,781 | ) | — | — | — | — | (3,200,781 | ) | ||||||||||||||||
Swap Contracts, at value¤ | (21,610,400 | ) | — | — | (1,461,779 | ) | — | (23,072,179 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (24,811,181 | ) | $ | — | $ | (170,564 | ) | $ | (1,461,779 | ) | $ | — | $ | (26,443,524 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | (24,811,181 | ) | $ | — | $ | (170,564 | ) | $ | (1,461,779 | ) | $ | — | $ | (26,443,524 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 7,902,011 | $ | — | $ | — | $ | 7,902,011 | ||||||||||||
Options | 70,000 | — | — | — | — | 70,000 | ||||||||||||||||||
Swap Contracts | 3,515,410 | — | — | 3,886,487 | — | 7,401,897 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 3,585,410 | $ | — | $ | 7,902,011 | $ | 3,886,487 | $ | — | $ | 15,373,908 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (20,972,817 | ) | $ | — | $ | — | $ | — | $ | (20,972,817 | ) | ||||||||||
Forward Currency Contracts | — | — | (1,402,074 | ) | — | — | (1,402,074 | ) | ||||||||||||||||
Options | (3,210,846 | ) | — | — | — | — | (3,210,846 | ) | ||||||||||||||||
Swap Contracts | 1,238,904 | — | — | 18,287,191 | — | 19,526,095 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (1,971,942 | ) | $ | (20,972,817 | ) | $ | (1,402,074 | ) | $ | 18,287,191 | $ | — | $ | (6,059,642 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 251,719 | $ | — | $ | — | $ | 251,719 | ||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | — | 25,666 | — | 25,666 | ||||||||||||||||||
Swap Contracts, at value¤ | 5,794,651 | — | — | 295,012 | — | 6,089,663 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 5,794,651 | $ | — | $ | 251,719 | $ | 320,678 | $ | — | $ | 6,367,048 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | 5,794,651 | $ | — | $ | 251,719 | $ | 320,678 | $ | — | $ | 6,367,048 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (37,492 | ) | $ | — | $ | — | $ | (37,492 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (37,492 | ) | $ | — | $ | — | $ | (37,492 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (37,492 | ) | $ | — | $ | — | $ | (37,492 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
88
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
High Yield Fund (Continued) | ||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 108,242 | $ | — | $ | — | $ | 108,242 | ||||||||||||
Futures Contracts | — | — | — | 22,520 | — | 22,520 | ||||||||||||||||||
Swap Contracts | 759,732 | — | — | 749,376 | — | 1,509,108 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 759,732 | $ | — | $ | 108,242 | $ | 771,896 | $ | — | $ | 1,639,870 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 214,227 | $ | — | $ | — | $ | 214,227 | ||||||||||||
Futures Contracts | — | — | — | 25,666 | — | 25,666 | ||||||||||||||||||
Swap Contracts | 570,846 | — | — | 295,012 | — | 865,858 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 570,846 | $ | — | $ | 214,227 | $ | 320,678 | $ | — | $ | 1,105,751 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Opportunistic Income Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | 260,612 | $ | — | $ | — | $ | — | $ | — | $ | 260,612 | ||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | — | 56,636 | — | 56,636 | ||||||||||||||||||
Swap Contracts, at value¤ | 28,553,429 | — | — | 3,415,647 | — | 31,969,076 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | 28,814,041 | $ | — | $ | — | $ | 3,472,283 | $ | — | $ | 32,286,324 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | — | $ | — | $ | (4,442 | ) | $ | — | $ | (4,442 | ) | ||||||||||
Written Options, at value | (52,410 | ) | — | — | — | — | (52,410 | ) | ||||||||||||||||
Swap Contracts, at value¤ | (7,706,062 | ) | — | — | (418,941 | ) | — | (8,125,003 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (7,758,472 | ) | $ | — | $ | — | $ | (423,383 | ) | $ | $ | (8,181,855 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | (7,758,472 | ) | $ | — | $ | — | $ | (423,383 | ) | $ | — | $ | (8,181,855 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | (876,784 | ) | $ | — | $ | — | $ | — | $ | — | $ | (876,784 | ) | ||||||||||
Forward Currency Contracts | — | — | (5,155 | ) | — | — | (5,155 | ) | ||||||||||||||||
Futures Contracts | — | — | — | 604,530 | — | 604,530 | ||||||||||||||||||
Written Options | 583,963 | — | — | — | — | 583,963 | ||||||||||||||||||
Swap Contracts | (361,054 | ) | — | — | 860,531 | — | 499,477 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (653,875 | ) | $ | — | $ | (5,155 | ) | $ | 1,465,061 | $ | — | $ | 806,031 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | 226,941 | $ | — | $ | — | $ | — | $ | — | $ | 226,941 | ||||||||||||
Forward Currency Contracts | — | — | 17,898 | — | — | 17,898 | ||||||||||||||||||
Futures Contracts | — | — | — | 17,161 | — | 17,161 | ||||||||||||||||||
Written Options | (152,176 | ) | — | — | — | — | (152,176 | ) | ||||||||||||||||
Swap Contracts | (3,338,493 | ) | — | — | (863,801 | ) | — | (4,202,294 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (3,263,728 | ) | $ | — | $ | 17,898 | $ | (846,640 | ) | $ | — | $ | (4,092,470 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
¤ | The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities. |
89
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2018, if any.
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2018:
Asset Allocation Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 8,472 | $ | — | $ | — | $ | 8,472 | ||||||||
Barclays Bank plc | 284,837 | — | 284,837 | — | ||||||||||||
Goldman Sachs International | 95,160 | (44,316 | ) | (11,329 | ) | 39,515 | ||||||||||
JPMorgan Chase Bank, N.A. | 505,632 | (69,407 | ) | (436,225 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 507,789 | — | 507,789 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,401,890 | $ | (113,723 | ) | $ | 345,072 | $ | 47,987 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank plc | $ | 512,525 | $ | (227,688 | ) | $ | (284,837 | ) | $ | — | * | |||||
Goldman Sachs International | 11,329 | — | 11,329 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 436,225 | — | 436,225 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 632,824 | (125,035 | ) | (507,789 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,592,903 | $ | (352,723 | ) | $ | (345,072 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
90
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Core Plus Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 39,184 | $ | — | $ | — | $ | 39,184 | ||||||||
Barclays Bank plc | 462,208 | — | 462,208 | — | ||||||||||||
Goldman Sachs International | 188,769 | — | (186,185 | ) | 2,584 | |||||||||||
JPMorgan Chase Bank, N.A. | 1,404,318 | (599,322 | ) | (804,996 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 1,545,148 | (475,526 | ) | (1,069,622 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,639,627 | $ | (1,074,848 | ) | $ | (1,598,595 | ) | $ | 41,768 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank plc | $ | 1,063,060 | $ | (600,852 | ) | $ | (462,208 | ) | $ | — | * | |||||
Goldman Sachs International | 186,185 | — | 186,185 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 804,996 | — | 804,996 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 1,069,622 | — | 1,069,622 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,123,863 | $ | (600,852 | ) | $ | 1,598,595 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Deutsche Bank AG | $ | 4,232,728 | $ | — | $ | 4,232,728 | $ | — | ||||||||
Goldman Sachs International | 2,431,945 | — | 2,431,945 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 10,085,854 | — | 10,085,854 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 338,289 | (35,000 | ) | — | 303,289 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 17,088,816 | $ | (35,000 | ) | $ | 16,750,527 | $ | 303,289 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/ Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 711,759 | $ | (698,482 | ) | $ | — | $ | 13,277 | |||||||
Barclays Bank plc | 495,462 | (495,462 | ) | — | — | * | ||||||||||
Deutsche Bank AG | 8,776,884 | (3,365,686 | ) | (4,232,728 | ) | 1,178,470 | ||||||||||
Goldman Sachs International | 3,652,284 | (567,766 | ) | (2,431,945 | ) | 652,573 | ||||||||||
JPMorgan Chase Bank, N.A. | 12,455,347 | (2,369,493 | ) | (10,085,854 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 26,091,736 | $ | (7,496,889 | ) | $ | (16,750,527 | ) | $ | 1,844,320 | ||||||
|
|
|
|
|
|
|
| |||||||||
91
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
High Yield Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 98,263 | $ | — | $ | — | $ | 98,263 | ||||||||
Barclays Bank plc | 127,828 | (127,828 | ) | — | — | * | ||||||||||
Citibank N.A. | 196,749 | (30,000 | ) | — | 166,749 | |||||||||||
Goldman Sachs International | 289,454 | (251,962 | ) | (37,492 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 712,294 | $ | (409,790 | ) | $ | (37,492 | ) | $ | 265,012 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Goldman Sachs International | $ | 37,492 | $ | — | $ | 37,492 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 37,492 | $ | — | $ | 37,492 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Opportunistic Income Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 5,851,383 | $ | (5,305,007 | ) | $ | (546,376 | ) | $ | — | * | |||||
Barclays Bank plc | 31,934 | — | 31,934 | — | ||||||||||||
Citigroup Global Markets Inc. | 376,128 | (236,704 | ) | (139,424 | ) | — | * | |||||||||
Deutsche Bank AG | 694,973 | (302,869 | ) | (392,104 | ) | — | * | |||||||||
Goldman Sachs International | 3,321,497 | (2,364,058 | ) | (957,439 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 11,986,868 | (8,715,853 | ) | (2,333,597 | ) | 937,418 | ||||||||||
Morgan Stanley Capital Services LLC | 6,234,537 | (5,525,461 | ) | (709,076 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 28,497,320 | $ | (22,449,952 | ) | $ | (5,046,082 | ) | $ | 937,418 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 546,376 | $ | — | $ | 546,376 | $ | — | ||||||||
Barclays Bank plc | 1,142,786 | (1,110,852 | ) | (31,934 | ) | — | * | |||||||||
Citibank N.A. | 28,490 | (28,490 | ) | — | — | * | ||||||||||
Citigroup Global Markets Inc. | 139,424 | — | 139,424 | — | ||||||||||||
Credit Suisse International | 46,305 | — | — | 46,305 | ||||||||||||
Deutsche Bank AG | 392,104 | — | 392,104 | — | ||||||||||||
Goldman Sachs International | 957,439 | — | 957,439 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 2,333,597 | — | 2,333,597 | — | ||||||||||||
Morgan Stanley Capital Services LLC | 709,076 | — | 709,076 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,295,597 | $ | (1,139,342 | ) | $ | 5,046,082 | $ | 46,305 | |||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
92
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2018:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options (Principal) | Rights and/or Warrants ($) | |||||||||||||||
Asset Allocation Bond Fund | 181,145,907 | — | 522,706,349 | — | — | |||||||||||||||
Core Plus Bond Fund | 425,475,109 | 126,921,917 | 910,759,689 | — | — | |||||||||||||||
Emerging Country Debt Fund | 110,302,663 | — | 1,447,933,900 | 287,209,667 | 39,754,209 | |||||||||||||||
High Yield Fund | 46,833,328 | 90,022,935 | 146,103,578 | — | — | |||||||||||||||
Opportunistic Income Fund | 752,892 | 289,304,906 | 536,426,727 | 494,741,187 | — |
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Asset Allocation Bond Fund | Core Plus Bond Fund | Emerging Country Debt Fund | High Yield Fund | Opportunistic Income Fund | U.S. Treasury Fund | |||||||
Management Fee | 0.25% | 0.25% | 0.35% | 0.35% | 0.40%(a) | 0.08%(b) |
(a) | Prior to January 1, 2017, the management fee was 0.25%. |
(b) | GMO has voluntarily waived the Fund’s entire management fee. |
In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:
Fund Name | Class III | Class IV | Class V | Class VI | ||||||||||||
Asset Allocation Bond Fund | 0.15% | 0.055% | ||||||||||||||
Core Plus Bond Fund | 0.15% | 0.10% | ||||||||||||||
Emerging Country Debt Fund | 0.15% | 0.10% | ||||||||||||||
High Yield Fund | 0.15% | * | 0.10% | * | 0.085%* | 0.055% | ||||||||||
Opportunistic Income Fund | 0.15% | * | 0.055% |
* | Class is offered but has no shareholders as of August 31, 2018. |
For each Fund, other than Emerging Country Debt Fund and High Yield Fund, GMO has contractually agreed to reimburse each Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. GMO has contractually agreed to reimburse High Yield Fund for the portion of its “Specified Operating Expenses” that exceeds 0.10% of the Fund’s average net assets (“Expense Threshold Amount”).
93
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
For High Yield Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Funds’ “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.
For the period ended August 31, 2018, GMO did not recoup any previously recorded waivers and/or reimbursements from High Yield Fund.
On August 31, 2018, the waivers and/or reimbursements subject to possible future recoupment are as follows:
Expiring the year ending February 28, 2019 | Expiring the year ending February 29, 2020 | Expiring the year ending February 28, 2021 | ||||||||||
High Yield Fund, Class VI | $— | $— | $144,175 |
For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2019 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
In addition to the contractual waivers and reimbursements described above, GMO has voluntarily agreed to waive U.S. Treasury Fund’s entire management fee. GMO may change or terminate this waiver at any time.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2018 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Asset Allocation Bond Fund | 12,952 | 1,246 | ||||||
Core Plus Bond Fund | 10,290 | 940 | ||||||
Emerging Country Debt Fund | 45,441 | 4,255 | ||||||
High Yield Fund | 942 | 82 | ||||||
Opportunistic Income Fund | 13,131 | 1,270 | ||||||
U.S. Treasury Fund | 24,781 | 2,148 |
94
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2018 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Indirect Interest Expense | Total Indirect Expenses | ||||||||||||
Asset Allocation Bond Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Core Plus Bond Fund | 0.106% | 0.017% | 0.001% | 0.124% | ||||||||||||
Emerging Country Debt Fund | 0.002% | 0.000% | 0.000% | 0.002% | ||||||||||||
High Yield Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Opportunistic Income Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
U.S. Treasury Fund | 0.000% | 0.000% | 0.000% | 0.000% |
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2018, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2018 are noted in the table below:
Fund Name | Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | ||||||||||||
U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | |||||||||||||
Asset Allocation Bond Fund | 320,530,271 | 127,296,375 | 971,393,623 | 105,900,000 | ||||||||||||
Core Plus Bond Fund | 804,037,153 | 192,709,480 | 969,211,118 | 254,044,756 | ||||||||||||
Emerging Country Debt Fund | 58,803,335 | 241,068,495 | 78,595,445 | 225,169,825 | ||||||||||||
High Yield Fund | 109,487,380 | 105,884,483 | — | 49,710,304 | ||||||||||||
Opportunistic Income Fund | 292,361,719 | 325,258,262 | 331,674,043 | 441,444,035 | ||||||||||||
U.S. Treasury Fund | — | — | — | — |
Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, in accordance with U.S. GAAP for the period ended August 31, 2018. In-kind transactions are noted in the table below:
Fund Name | Purchases ($) | Sales ($) | ||||||
High Yield Fund | 210,796,589* | — | ||||||
U.S. Treasury Fund | — | 1,017,970,052** |
* | Amount represents contribution of assets by sole shareholder to launch High Yield Fund on June 25, 2018. |
** | The redemption in-kind was redeemed by an affiliate. |
For the period ended August 31, 2018, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:
Fund Name | Net realized gains/(losses) attributed to redemption in-kind transactions ($) | |||
U.S. Treasury Fund | $(67,064) |
95
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
8. | Principal shareholders and related parties as of August 31, 2018 |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Asset Allocation Bond Fund | 2 | ‡ | 72.74 | % | < 0.01 | % | 99.98% | |||||||||
Core Plus Bond Fund | 3 | # | 70.33 | % | < 0.01 | % | 98.03% | |||||||||
Emerging Country Debt Fund | — | — | 0.16 | % | 17.93% | |||||||||||
High Yield Fund | 2 | ‡ | 96.46 | % | — | 100.00% | ||||||||||
Opportunistic Income Fund | 3 | § | 85.34 | % | 0.63 | % | 98.97% | |||||||||
U.S. Treasury Fund | 2 | # | 26.56 | % | 0.42 | % | 92.00% |
‡ | One of the shareholders is another fund of the Trust. |
# | Two of the shareholders are other funds of the Trust. |
§ | Three of the shareholders are other funds of the Trust. |
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 254,508 | $ | 5,606,697 | 1,573,475 | $ | 34,917,836 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 65,557 | 1,443,569 | 91,336 | 2,024,013 | ||||||||||||
Shares repurchased | (6,021,941 | ) | (133,682,962 | ) | (4,973,988 | ) | (110,702,677 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,701,876 | ) | $ | (126,632,696 | ) | (3,309,177 | ) | $ | (73,760,828 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 196,736 | $ | 4,365,538 | 2,580,795 | $ | 57,553,648 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 243,367 | 5,375,974 | 470,101 | 10,450,335 | ||||||||||||
Shares repurchased | (31,096,021 | ) | (687,382,676 | ) | (11,188,462 | ) | (249,507,549 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (30,655,918 | ) | $ | (677,641,164 | ) | (8,137,566 | ) | $ | (181,503,566 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
96
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Core Plus Bond Fund | ||||||||||||||||
Class III:# | ||||||||||||||||
Shares sold | 446,727 | $ | 9,349,844 | 1,511,400 | $ | 31,905,214 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 8,268 | 174,777 | 15,651 | 332,939 | ||||||||||||
Shares repurchased | (63,078 | ) | (1,334,821 | ) | (922,673 | ) | (19,856,258 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 391,917 | $ | 8,189,800 | 604,378 | $ | 12,381,895 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:# | ||||||||||||||||
Shares sold | 9,197,186 | $ | 192,901,009 | 23,678,705 | $ | 510,328,333 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 139,474 | 2,955,446 | 1,076,119 | 22,940,052 | ||||||||||||
Shares repurchased | (20,381,554 | ) | (429,478,028 | ) | (7,650,117 | ) | (163,862,356 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (11,044,894 | ) | $ | (233,621,573 | ) | 17,104,707 | $ | 369,406,029 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,435,583 | $ | 39,827,655 | 11,880,407 | (a) | $ | 347,049,633 | (a) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 543,203 | 14,905,500 | 2,305,305 | 66,786,479 | ||||||||||||
Shares repurchased | (973,147 | ) | (26,857,784 | ) | (6,501,002 | ) | (193,461,462 | ) | ||||||||
Purchase premiums | — | 135,321 | — | 245,786 | ||||||||||||
Redemption fees | — | 502,193 | — | 782,548 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,005,639 | $ | 28,512,885 | 7,684,710 | $ | 221,402,984 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 3,700,771 | $ | 100,955,303 | 22,750,109 | (b) | $ | 673,666,225 | (b) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 1,153,964 | 31,618,617 | 6,058,977 | 175,314,884 | ||||||||||||
Shares repurchased | (9,733,306 | ) | (266,797,034 | ) | (32,863,719 | ) | (967,610,732 | ) | ||||||||
Purchase premiums | — | 289,457 | — | 638,653 | ||||||||||||
Redemption fees | — | 1,065,418 | — | 2,240,267 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,878,571 | ) | $ | (132,868,239 | ) | (4,054,633 | ) | $ | (115,750,703 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Class VI:* | ||||||||||||||||
Shares sold | 24,418,519 | (c) | $ | 489,555,915 | (c) | |||||||||||
Shares repurchased | (13,697,402 | ) | (275,136,064 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 10,721,117 | $ | 214,419,851 | |||||||||||||
|
|
|
| |||||||||||||
Opportunistic Income Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 3,162,405 | $ | 84,106,425 | 5,326,894 | $ | 139,877,903 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 259,216 | 6,879,585 | 1,013,058 | 26,556,559 | ||||||||||||
Shares repurchased | (8,540,372 | ) | (227,278,036 | ) | (19,292,435 | ) | (503,079,247 | ) | ||||||||
Purchase premiums | — | 300,590 | — | 234,774 | ||||||||||||
Redemption fees | — | 871,961 | — | 1,686,586 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,118,751 | ) | $ | (135,119,475 | ) | (12,952,483 | ) | $ | (334,723,425 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
97
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
U.S. Treasury Fund | ||||||||||||||||
Core Class: | ||||||||||||||||
Shares sold | 135,653,776 | $ | 3,388,126,231 | 328,805,953 | $ | 8,215,411,179 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 596,748 | 14,905,641 | 793,804 | 19,832,371 | ||||||||||||
Shares repurchased | (196,143,011 | )(d) | (4,899,101,035 | )(d) | (343,182,979 | ) | (8,574,817,064 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (59,892,487 | ) | $ | (1,496,069,163 | ) | (13,583,222 | ) | $ | (339,573,514 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
* | The period under the heading “Six Months Ended August 31, 2018 (Unaudited)” represents the period from June 25, 2018 (commencement of operations) through August 31, 2018. |
# | Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(a) | 856,877 shares and $24,671,277 were purchased in-kind. |
(b) | 4,131,686 shares and $118,797,723 were purchased in-kind. $15,552,985 of the purchases in-kind were contributed by affiliates. |
(c) | 10,546,955 shares and $210,939,097 were a contribution of assets by sole shareholder to launch High Yield Fund on June 25, 2018. |
(d) | 40,751,403 shares and $1,017,970,052 were redeemed in-kind by an affiliate. |
10. | 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 August 31, 2018 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | |||||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | — | $ | 127,296,375 | $ | 105,900,000 | $ | 237,627 | $ (15,659 | ) | $ | — | $ | 21,380,716 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 50,741,626 | $ | — | $ | 8,000,000 | $ | 566,358 | $ | (261,785 | ) | $ | (2,702,970 | ) | $ | 39,776,871 | ||||||||||||
GMO Opportunistic Income Fund, Class VI | 193,785,692 | — | 33,000,000 | 1,389,828 | 1,010,318 | 1,021,173 | 162,817,183 | |||||||||||||||||||||
GMO U.S. Treasury Fund | 18,513,042 | 176,550,000 | 177,990,000 | 197,568 | (11,189 | ) | 7,414 | 17,069,267 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ | 263,040,360 | $ | 176,550,000 | $ | 218,990,000 | $ | 2,153,754 | $ | 737,344 | $ | (1,674,383 | ) | $ | 219,663,321 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | $ | 15,001,189 | $ | — | $ | — | $ | 129,507 | $ | — | $ | 170,404 | $ | 15,171,593 | ||||||||||||||
GMO U.S. Treasury Fund | 81,177,603 | — | — | 776,667 | — | 32,510 | 81,210,113 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ | 96,178,792 | $ | — | $ | — | $ | 906,174 | $ | — | $ | 202,914 | $ | 96,381,706 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | — | $ | 24,516,876 | $ | 23,200,000 | $ | 17,539 | $ | — | $ | — | $ | 1,316,876 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Opportunistic Income Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 58,387,949 | $ | 111,870,000 | $ | 121,465,000 | $ | 383,902 | $ | (40,186 | ) | $ | 23,383 | $ | 48,776,146 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through August 31, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019. |
98
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2018 (Unaudited)
GMO Asset Allocation Bond Fund
Approval of renewal of management agreement for GMO Asset Allocation Bond Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against the fees the Fund pays to the Manager the management fees, shareholder servicing fees and most other expenses of those underlying GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
99
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Core Plus Bond Fund
Approval of renewal of management agreement for GMO Core Plus Bond Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
100
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against the fees the Fund pays to the Manager the management fees, shareholder servicing fees and most other expenses of those underlying GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Emerging Country Debt Fund
Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics.
101
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against the fees the Fund pays to the Manager the management fees, shareholder servicing fees and most other expenses of those underlying GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO High Yield Fund
Approval of initial management agreement for GMO High Yield Fund (the “Fund”). At a meeting on March 8, 2018, the Trustees of GMO Trust (the “Trust”) approved the management agreement between the Trust, on behalf of the Fund, and Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) for an initial two-year term commencing April 13, 2018. In approving the initial management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
At meetings on November 30, 2017 and March 8, 2018, the Trustees discussed materials provided by the Manager for purposes of considering the Manager’s proposal to establish the Fund as a new series of the Trust and a proposed management agreement between the Trust, on behalf of the Fund, and the Manager. During these meetings, the Trustees met with members of the investment division of the Manager that was expected to be primarily responsible for the investment management of the Fund, as well as a member of the Manager’s Asset Allocation Team, the investment division primarily responsible for the investment management of GMO funds that might in the future invest in the Fund.
102
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees did, however, consider the performance of an investment sleeve within GMO Benchmark-Free Allocation Fund that used an investment strategy substantially similar to the strategy the Manager intended to pursue for the Fund.
The Trustees considered the Fund’s estimated total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of other GMO funds and funds managed by other managers determined by the Manager to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees to be paid to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered a comparison furnished to them by the Manager of the management fees to be paid by the Fund as compared to the management fees of other GMO funds and of funds managed by other managers determined by the Manager to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by the Manager to different share classes of the Fund in light of the services to be provided by the Manager and the comparable fees charged by other GMO fixed-income funds.
The Trustees also noted that the non-portfolio management-related services to be provided by the Manager to the Fund including, but not limited to valuation, legal and compliance, board governance, accounting and operational services, were the same as the services provided by the Manager under its current management contracts with other GMO funds.
Since the Fund had not yet commenced operations, the Trustees were unable to review information regarding the Manager’s profitability with respect to the Fund. The Trustees did, however, consider how the proposed fees compared to fees paid by other GMO funds and took note of various “fallout benefits” to the Manager that would result from its management of the Fund. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to the Manager associated with managing the Fund.
The Trustees considered the fact that Fund shares are expected to be principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the Manager’s other departments, such as legal and compliance) and the resources the Manager would employ in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources and other matters concerning the Manager’s business and organization and the nature and quality of its services to be provided to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s initial management agreement, that the fees to be paid by the Fund to the Manager were reasonable.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.
GMO Opportunistic Income Fund
Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request.
103
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against the fees the Fund pays to the Manager the management fees, shareholder servicing fees and most other expenses of those underlying GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO U.S. Treasury Fund
Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the
104
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management agreement. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
105
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2018 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2018.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2018 through August 31, 2018.
Actual Expenses
This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Asset Allocation Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,023.30 | $2.09 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,023.80 | $1.58 | $1,000.00 | $1,023.64 | $1.58 | 0.31% | |||||||||||||||||||||
Core Plus Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,018.00 | $2.09 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,018.40 | $1.83 | $1,000.00 | $1,023.39 | $1.84 | 0.36% | |||||||||||||||||||||
Emerging Country Debt Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $ 952.50 | $2.66 | $1,000.00 | $1,022.48 | $2.75 | 0.54% | |||||||||||||||||||||
Class IV | $1,000.00 | $ 952.90 | $2.41 | $1,000.00 | $1,022.74 | $2.50 | 0.49% | |||||||||||||||||||||
High Yield Fund** |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,020.00 | $1.04 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
Opportunistic Income Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,020.00 | $2.39 | $1,000.00 | $1,022.84 | $2.40 | 0.47% | |||||||||||||||||||||
U.S. Treasury Fund |
| |||||||||||||||||||||||||||
Core | $1,000.00 | $1,010.00 | $0.00 | $1,000.00 | $1,025.21 | $0.00 | 0.00% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2018, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
** | For the period June 25, 2018 (commencement of operations) through August 31, 2018, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2018, multiplied by the average account value over the period, multiplied by 67 days in the period, divided by 365 days in the year. |
106
GMO Trust
Semiannual Report
August 31, 2018
Climate Change Fund
Emerging Domestic Opportunities Fund
Emerging Markets Fund
Foreign Small Companies Fund
International Equity Fund
International Large/Mid Cap Equity Fund
Quality Fund
Resources Fund
Risk Premium Fund
Tax-Managed International Equities Fund
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
1 | ||||
2 | ||||
5 | ||||
6 | ||||
9 | ||||
10 | ||||
18 | ||||
19 | ||||
23 | ||||
24 | ||||
29 | ||||
30 | ||||
33 | ||||
34 | ||||
36 | ||||
37 | ||||
40 | ||||
41 | ||||
43 | ||||
44 | ||||
50 | ||||
51 | ||||
55 | ||||
56 | ||||
62 | ||||
65 | ||||
71 | ||||
88 | ||||
144 | ||||
158 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 94.2 | % | ||
Preferred Stocks | 3.6 | |||
Mutual Funds | 1.9 | |||
Short-Term Investments | 0.3 | |||
Other | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
United States | 28.8 | % | ||
Japan | 9.2 | |||
France | 7.5 | |||
Norway | 6.2 | |||
China | 5.3 | |||
Russia | 4.9 | |||
Germany | 4.6 | |||
Denmark | 4.5 | |||
Chile | 3.6 | |||
Spain | 3.0 | |||
United Kingdom | 2.8 | |||
Italy | 2.4 | |||
Poland | 2.0 | |||
Australia | 1.7 | |||
Netherlands | 1.7 | |||
Other Developed | 1.6 | ‡ | ||
Canada | 1.6 | |||
Israel | 1.6 | |||
Brazil | 1.5 | |||
South Korea | 1.5 | |||
Other Emerging | 1.4 | † | ||
Sweden | 1.0 | |||
Pakistan | 0.9 | |||
Ukraine | 0.7 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Clean Energy | 41.5 | % | ||
Agriculture | 20.9 | |||
Energy Efficiency | 16.0 | |||
Copper | 9.0 | |||
Smart Grid | 6.6 | |||
Water | 6.0 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
1
GMO Climate Change Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.2% |
| |||||||||
Argentina — 1.0% |
| |||||||||
107,853 | Adecoagro SA * | 863,903 | ||||||||
|
| |||||||||
Australia — 1.7% |
| |||||||||
392,362 | Neometals Ltd | 83,273 | ||||||||
83,606 | OZ Minerals Ltd | 543,593 | ||||||||
53,371 | Quintis Ltd * (a) | — | ||||||||
144,469 | Sandfire Resources NL | 736,668 | ||||||||
54,840 | Tassal Group Ltd | 175,311 | ||||||||
|
| |||||||||
Total Australia | 1,538,845 | |||||||||
|
| |||||||||
Austria — 0.2% |
| |||||||||
21,804 | Zumtobel Group AG * | 175,196 | ||||||||
|
| |||||||||
Brazil — 1.5% |
| |||||||||
69,300 | Cosan SA | 592,090 | ||||||||
56,100 | Duratex SA | 133,050 | ||||||||
91,000 | Sao Martinho SA | 423,375 | ||||||||
13,300 | SLC Agricola SA | 215,511 | ||||||||
|
| |||||||||
Total Brazil | 1,364,026 | |||||||||
|
| |||||||||
Canada — 1.6% |
| |||||||||
20,763 | Canadian Solar Inc * | 298,157 | ||||||||
289,871 | Capstone Mining Corp * | 184,362 | ||||||||
17,062 | Nutrien Ltd | 958,871 | ||||||||
|
| |||||||||
Total Canada | 1,441,390 | |||||||||
|
| |||||||||
China — 5.3% |
| |||||||||
3,875,000 | Century Sunshine Group Holdings Ltd * | 113,621 | ||||||||
509,000 | Chaowei Power Holdings Ltd | 245,713 | ||||||||
726,000 | China Datang Corp Renewable Power Co Ltd – Class H | 110,277 | ||||||||
658,000 | China High Speed Transmission Equipment Group Co Ltd | 731,964 | ||||||||
1,645,000 | China Singyes Solar Technologies Holdings Ltd | 520,035 | ||||||||
780,000 | China Suntien Green Energy Corp Ltd – Class H | 236,892 | ||||||||
1,052,000 | Huaneng Renewables Corp Ltd – Class H | 336,698 | ||||||||
350,000 | Tianneng Power International Ltd | 435,040 | ||||||||
376,000 | Wasion Holdings Ltd | 189,762 | ||||||||
734,000 | Xinjiang Goldwind Science & Technology Co Ltd – Class H | 786,546 | ||||||||
2,246,000 | Xinyi Solar Holdings Ltd | 669,909 | ||||||||
140,914 | Zhengzhou Yutong Bus Co Ltd – Class A | 312,869 | ||||||||
|
| |||||||||
Total China | 4,689,326 | |||||||||
|
| |||||||||
Denmark — 4.5% |
| |||||||||
57,328 | Vestas Wind Systems A/S | 4,020,894 | ||||||||
|
| |||||||||
Finland — 0.2% |
| |||||||||
15,815 | Kemira Oyj | 209,687 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
France — 7.5% |
| |||||||||
15,537 | Albioma SA | 346,873 | ||||||||
67,911 | Electricite de France SA | 1,111,608 | ||||||||
7,226 | Nexans SA | 230,724 | ||||||||
11,680 | Schneider Electric SE | 949,174 | ||||||||
76,375 | Suez | 1,105,376 | ||||||||
23,305 | Valeo SA | 1,057,733 | ||||||||
65,766 | Veolia Environnement SA | 1,385,371 | ||||||||
6,838 | Vilmorin & Cie SA | 474,395 | ||||||||
|
| |||||||||
Total France | 6,661,254 | |||||||||
|
| |||||||||
Germany — 4.6% |
| |||||||||
11,326 | CENTROTEC Sustainable AG | 168,552 | ||||||||
29,193 | CropEnergies AG | 156,360 | ||||||||
46,048 | E.ON SE | 491,590 | ||||||||
13,378 | K+S AG (Registered) | 304,326 | ||||||||
35,979 | Nordex SE * | 372,622 | ||||||||
2,066 | OSRAM Licht AG | 92,731 | ||||||||
100,454 | PNE AG | 330,542 | ||||||||
38,933 | Senvion SA * | 317,452 | ||||||||
14,245 | Siemens AG (Registered) | 1,849,056 | ||||||||
|
| |||||||||
Total Germany | 4,083,231 | |||||||||
|
| |||||||||
Israel — 1.6% |
| |||||||||
236,049 | Israel Chemicals Ltd | 1,379,270 | ||||||||
|
| |||||||||
Italy — 2.4% |
| |||||||||
9,748 | CNH Industrial NV | 116,637 | ||||||||
209,636 | Enel SPA | 1,036,428 | ||||||||
21,087 | Prysmian SPA | 543,798 | ||||||||
77,920 | Terna Rete Elettrica Nazionale SPA | 409,330 | ||||||||
|
| |||||||||
Total Italy | 2,106,193 | |||||||||
|
| |||||||||
Japan — 9.2% |
| |||||||||
4,100 | Central Japan Railway Co | 823,186 | ||||||||
6,000 | East Japan Railway Co | 542,535 | ||||||||
23,300 | Ebara Corp | 796,282 | ||||||||
132,000 | GS Yuasa Corp | 650,729 | ||||||||
116,700 | Hitachi Zosen Corp | 501,813 | ||||||||
41,000 | Kubota Corp | 640,858 | ||||||||
10,500 | Kurita Water Industries Ltd | 311,669 | ||||||||
4,700 | Odelic Co Ltd | 183,718 | ||||||||
6,300 | Organo Corp | 177,569 | ||||||||
39,400 | Osaki Electric Co Ltd | 289,418 | ||||||||
87,800 | Panasonic Corp | 1,045,920 | ||||||||
38,500 | Sumitomo Forestry Co Ltd | 621,874 | ||||||||
37,400 | Takuma Co Ltd | 460,762 | ||||||||
8,300 | West Japan Railway Co | 556,543 | ||||||||
27,400 | Yokogawa Electric Corp | 561,795 | ||||||||
|
| |||||||||
Total Japan | 8,164,671 | |||||||||
|
|
2 | See accompanying notes to the financial statements. |
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — 1.7% |
| |||||||||
28,777 | Arcadis NV | 510,891 | ||||||||
23,539 | SIF Holding NV | 463,480 | ||||||||
18,100 | Signify NV | 510,213 | ||||||||
|
| |||||||||
Total Netherlands | 1,484,584 | |||||||||
|
| |||||||||
Norway — 6.1% |
| |||||||||
120,938 | Austevoll Seafood ASA | 1,591,354 | ||||||||
11,322 | Bakkafrost P/F | 645,914 | ||||||||
25,320 | Grieg Seafood ASA | 291,297 | ||||||||
28,011 | Marine Harvest ASA | 604,973 | ||||||||
19,829 | Salmar ASA | 954,691 | ||||||||
29,843 | Yara International ASA | 1,373,175 | ||||||||
|
| |||||||||
Total Norway | 5,461,404 | |||||||||
|
| |||||||||
Pakistan — 0.9% |
| |||||||||
534,500 | Engro Fertilizers Ltd | 340,099 | ||||||||
327,000 | Fauji Fertilizer Co Ltd | 257,718 | ||||||||
19,140 | Millat Tractors Ltd | 193,402 | ||||||||
|
| |||||||||
Total Pakistan | 791,219 | |||||||||
|
| |||||||||
Poland — 1.9% |
| |||||||||
70,581 | KGHM Polska Miedz SA * | 1,726,781 | ||||||||
|
| |||||||||
Portugal — 1.0% |
| |||||||||
221,429 | EDP – Energias de Portugal SA | 864,622 | ||||||||
|
| |||||||||
Russia — 4.8% |
| |||||||||
129,260 | MMC Norilsk Nickel PJSC ADR | 2,145,115 | ||||||||
66,867 | PhosAgro PJSC GDR (Registered) | 886,033 | ||||||||
124,517 | Ros Agro Plc GDR (Registered) | 1,274,483 | ||||||||
|
| |||||||||
Total Russia | 4,305,631 | |||||||||
|
| |||||||||
South Africa — 0.1% |
| |||||||||
13,387 | Tongaat Hulett Ltd | 72,025 | ||||||||
|
| |||||||||
South Korea — 1.5% |
| |||||||||
3,922 | LG Chem Ltd | 1,288,376 | ||||||||
|
| |||||||||
Spain — 3.0% |
| |||||||||
6,318 | Acciona SA | 555,757 | ||||||||
34,007 | Endesa SA | 760,850 | ||||||||
15,951 | Fomento de Construcciones y Contratas SA * | 222,909 | ||||||||
151,511 | Iberdrola SA | 1,125,792 | ||||||||
|
| |||||||||
Total Spain | 2,665,308 | |||||||||
|
| |||||||||
Sweden — 1.0% |
| |||||||||
11,941 | Holmen AB | 307,378 | ||||||||
53,268 | Svenska Cellulosa AB SCA – Class B | 620,104 | ||||||||
|
| |||||||||
Total Sweden | 927,482 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Switzerland — 0.2% |
| |||||||||
239 | Gurit Holding AG | 203,781 | ||||||||
|
| |||||||||
Taiwan — 0.2% |
| |||||||||
45,000 | Delta Electronics Inc | 180,441 | ||||||||
|
| |||||||||
Thailand — 0.1% |
| |||||||||
177,500 | SPCG PCL | 112,820 | ||||||||
|
| |||||||||
Ukraine — 0.7% |
| |||||||||
43,428 | Kernel Holding SA | 579,102 | ||||||||
|
| |||||||||
United Kingdom — 2.8% |
| |||||||||
47,381 | Antofagasta Plc | 496,317 | ||||||||
21,298 | Go-Ahead Group Plc | 463,606 | ||||||||
64,822 | National Grid Plc | 681,542 | ||||||||
74,108 | Polypipe Group Plc | 356,091 | ||||||||
227,686 | Stagecoach Group Plc | 480,759 | ||||||||
|
| |||||||||
Total United Kingdom | 2,478,315 | |||||||||
|
| |||||||||
United States — 26.9% |
| |||||||||
4,500 | AGCO Corp. | 268,470 | ||||||||
22,600 | Albemarle Corp. | 2,158,752 | ||||||||
25,200 | BorgWarner, Inc. | 1,103,004 | ||||||||
23,400 | Darling Ingredients, Inc. * | 462,852 | ||||||||
3,600 | Deere & Co. | 517,680 | ||||||||
10,500 | Delphi Technologies Plc | 369,915 | ||||||||
15,400 | Eaton Corp Plc | 1,280,356 | ||||||||
1,900 | Emerson Electric Co. | 145,787 | ||||||||
8,800 | EnerSys | 730,312 | ||||||||
25,600 | Exelon Corp. | 1,118,976 | ||||||||
49,600 | First Solar, Inc. * | 2,583,168 | ||||||||
292,951 | Freeport-McMoRan, Inc. | 4,115,962 | ||||||||
5,000 | Mosaic Co. (The) | 156,350 | ||||||||
8,600 | Owens Corning | 486,932 | ||||||||
40,300 | PG&E Corp. * | 1,861,054 | ||||||||
1,900 | PotlatchDeltic Corp. (REIT) | 91,770 | ||||||||
2,800 | Rayonier, Inc. (REIT) | 97,524 | ||||||||
26,100 | Renewable Energy Group, Inc. * | 703,395 | ||||||||
7,400 | Rexnord Corp. * | 214,822 | ||||||||
22,300 | Shiloh Industries, Inc. * | 200,254 | ||||||||
99,500 | SolarEdge Technologies, Inc. * | 4,771,025 | ||||||||
4,600 | TE Connectivity Ltd. | 421,728 | ||||||||
|
| |||||||||
Total United States | 23,860,088 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $86,142,258) | 83,699,865 | |||||||||
|
|
See accompanying notes to the financial statements. | 3 |
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS (b) — 3.6% |
| |||||||||
Chile — 3.6% |
| |||||||||
75,800 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 3,229,838 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $3,792,984) | 3,229,838 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.9% |
| |||||||||
United States — 1.9% |
| |||||||||
Affiliated Issuers — 1.9% | ||||||||||
66,660 | GMO U.S. Treasury Fund | 1,665,159 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,665,159) | 1,665,159 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% |
| |||||||||
Money Market Fund — 0.3% |
| |||||||||
253,712 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (c) | 253,712 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $253,712) | 253,712 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $91,854,113) | 88,848,574 | |||||||||
Other Assets and Liabilities (net) — 0.0% | 28,514 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $88,877,088 | |||||||||
|
|
Notes to Schedule of Investments:
* | 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 (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
4 | See accompanying notes to the financial statements. |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 70.9 | % | ||
Investment Funds | 18.4 | |||
Mutual Funds | 3.5 | |||
Short-Term Investments | 3.3 | |||
Preferred Stocks | 2.4 | |||
Debt Obligations | 1.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Swap Contracts | (0.1 | ) | ||
Other | 0.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
China | 18.6 | % | ||
India | 17.5 | |||
Taiwan | 14.5 | |||
United States | 11.7 | * | ||
Thailand | 6.9 | |||
United Kingdom | 6.5 | * | ||
Brazil | 5.3 | |||
Hong Kong | 4.4 | |||
Philippines | 3.2 | |||
Switzerland | 2.6 | |||
Mexico | 2.1 | |||
France | 2.0 | |||
Indonesia | 1.1 | |||
Russia | 1.1 | |||
Peru | 0.7 | |||
Belgium | 0.6 | |||
South Korea | 0.6 | |||
South Africa | 0.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Banks | 30.0 | % | ||
Software & Services | 13.5 | |||
Household & Personal Products | 13.5 | |||
Insurance | 9.8 | |||
Food, Beverage & Tobacco | 9.0 | |||
Diversified Financials | 5.2 | |||
Capital Goods | 4.6 | |||
Consumer Durables & Apparel | 3.5 | |||
Real Estate | 2.5 | |||
Materials | 1.9 | |||
Food & Staples Retailing | 1.8 | |||
Transportation | 1.7 | |||
Media | 0.9 | |||
Consumer Services | 0.8 | |||
Telecommunication Services | 0.5 | |||
Energy | 0.4 | |||
Automobiles & Components | 0.4 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
* | Includes companies that derive more than 50% of their revenues or profits from emerging markets. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
5
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 70.9% |
| |||||||||
Belgium — 0.6% |
| |||||||||
99,400 | Anheuser-Busch InBev SA Sponsored ADR | 9,267,062 | ||||||||
|
| |||||||||
Brazil — 2.0% |
| |||||||||
2,734,239 | Banco BTG Pactual SA | 13,761,484 | ||||||||
1,135,000 | Localiza Rent a Car SA | 5,999,496 | ||||||||
1,633,158 | LPS Brasil Consultoria de Imoveis SA * | 1,178,828 | ||||||||
3,265,100 | Rumo SA * | 11,407,128 | ||||||||
|
| |||||||||
Total Brazil | 32,346,936 | |||||||||
|
| |||||||||
China — 15.6% |
| |||||||||
457,776 | Alibaba Group Holding Ltd Sponsored ADR * | 80,115,378 | ||||||||
1,028,379 | Anhui Conch Cement Co Ltd – Class H | 6,273,552 | ||||||||
36,886,004 | China Construction Bank Corp – Class H | 32,486,838 | ||||||||
5,232,766 | China International Capital Corp Ltd – Class H | 9,591,666 | ||||||||
1,290,098 | Haitian International Holdings Ltd | 2,589,018 | ||||||||
711,819 | Huayu Automotive Systems Co Ltd – Class A | 2,133,391 | ||||||||
97,994 | Kweichow Moutai Co Ltd – Class A | 9,462,244 | ||||||||
556,738 | Midea Group Co Ltd – Class A | 3,393,457 | ||||||||
621,410 | Minth Group Ltd | 2,548,282 | ||||||||
66,120 | New Oriental Education & Technology Group Inc Sponsored ADR | 5,197,032 | ||||||||
1,051,905 | Ping An Insurance Group Co of China Ltd – Class H | 10,146,510 | ||||||||
136,668 | TAL Education Group ADR * | 4,045,373 | ||||||||
1,841,884 | Tencent Holdings Ltd | 79,177,313 | ||||||||
3,620,274 | Weichai Power Co Ltd – Class H | 3,839,528 | ||||||||
|
| |||||||||
Total China | 250,999,582 | |||||||||
|
| |||||||||
France — 1.9% |
| |||||||||
130,717 | L’Oreal SA | 31,294,420 | ||||||||
|
| |||||||||
Hong Kong — 4.2% |
| |||||||||
7,847,241 | AIA Group Ltd | 67,755,077 | ||||||||
|
| |||||||||
India — 16.8% |
| |||||||||
1,335,735 | Action Construction Equipment Ltd | 2,558,207 | ||||||||
499,595 | Amber Enterprises India Ltd * (a) (b) | 6,920,854 | ||||||||
482,227 | Asian Granito India Ltd | 1,596,392 | ||||||||
355,440 | Asian Paints Ltd | 6,888,526 | ||||||||
546,076 | Axis Bank Ltd * | 5,006,555 | ||||||||
60,971 | Bajaj Finserv Ltd | 5,816,343 | ||||||||
551,221 | Bombay Burmah Trading Co | 14,500,031 | ||||||||
44,027 | Britannia Industries Ltd | 4,191,838 | ||||||||
333,007 | CCL Products India Ltd | 1,365,830 | ||||||||
1,201,247 | CMI Ltd (b) | 3,030,642 | ||||||||
632,608 | Dabur India Ltd | 4,269,528 | ||||||||
339,751 | Dixon Technologies India Ltd (a) (b) | 14,389,774 | ||||||||
10,683,040 | Gayatri Highways Ltd * | 316,306 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
11,052,457 | Gayatri Projects Ltd * (c) | 32,473,377 | ||||||||
1,487,940 | HDFC Bank Ltd | 43,451,185 | ||||||||
580,572 | Hindustan Unilever Ltd | 14,551,214 | ||||||||
1,977,361 | ICICI Bank Ltd | 9,537,219 | ||||||||
862,961 | IndusInd Bank Ltd | 23,248,354 | ||||||||
1,382,793 | Kotak Mahindra Bank Ltd | 25,116,964 | ||||||||
1,608,076 | Mahindra & Mahindra Financial Services Ltd | 11,104,961 | ||||||||
976,854 | Marico Ltd | 5,108,317 | ||||||||
3,821,923 | MEP Infrastructure Developers Ltd | 2,749,440 | ||||||||
1,503,690 | Sangam India Ltd | 1,762,788 | ||||||||
1,040,279 | Srikalahasthi Pipes Ltd | 3,255,776 | ||||||||
611,689 | Sun TV Network Ltd | 6,632,667 | ||||||||
474,860 | TCNS Clothing Co Ltd * | 4,539,294 | ||||||||
784,579 | Titan Co Ltd | 9,895,276 | ||||||||
86,624 | UltraTech Cement Ltd | 5,458,011 | ||||||||
|
| |||||||||
Total India | 269,735,669 | |||||||||
|
| |||||||||
Indonesia — 1.1% |
| |||||||||
6,386,264 | Bank Central Asia Tbk PT | 10,756,280 | ||||||||
27,141,400 | Telekomunikasi Indonesia Persero Tbk PT | 6,446,708 | ||||||||
|
| |||||||||
Total Indonesia | 17,202,988 | |||||||||
|
| |||||||||
Mexico — 1.0% |
| |||||||||
2,281,107 | Grupo Financiero Banorte SAB de CV – Class O | 15,558,606 | ||||||||
|
| |||||||||
Peru — 0.7% |
| |||||||||
49,682 | Credicorp Ltd | 10,831,670 | ||||||||
|
| |||||||||
Philippines — 3.1% |
| |||||||||
5,488,982 | Bank of the Philippine Islands | 9,627,409 | ||||||||
5,213,872 | BDO Unibank Inc | 12,693,926 | ||||||||
9,025,466 | Concepcion Industrial Corp | 7,762,009 | ||||||||
823,089 | Philippine Seven Corp | 1,690,067 | ||||||||
14,830,140 | Puregold Price Club Inc | 12,759,864 | ||||||||
9,819,848 | Semirara Mining & Power Corp | 5,326,392 | ||||||||
|
| |||||||||
Total Philippines | 49,859,667 | |||||||||
|
| |||||||||
Russia — 1.1% |
| |||||||||
1,567,987 | Sberbank of Russia Sponsored ADR | 17,075,814 | ||||||||
|
| |||||||||
South Africa — 0.5% |
| |||||||||
1,784,767 | FirstRand Ltd | 8,586,130 | ||||||||
|
| |||||||||
South Korea — 0.5% |
| |||||||||
227,431 | Shinhan Financial Group Co Ltd | 8,932,802 | ||||||||
|
| |||||||||
Switzerland — 2.5% |
| |||||||||
483,538 | Nestle SA (Registered) | 40,533,572 | ||||||||
|
|
6 | See accompanying notes to the financial statements. |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — 7.9% |
| |||||||||
18,730,000 | Cathay Financial Holding Co Ltd | 32,103,405 | ||||||||
55,885,000 | CTBC Financial Holding Co Ltd | 39,300,812 | ||||||||
27,832,245 | E.Sun Financial Holding Co Ltd | 20,484,203 | ||||||||
10,991,000 | Fubon Financial Holding Co Ltd | 18,222,542 | ||||||||
6,767,366 | Uni-President Enterprises Corp | 17,124,069 | ||||||||
|
| |||||||||
Total Taiwan | 127,235,031 | |||||||||
|
| |||||||||
Thailand — 4.3% |
| |||||||||
3,265,000 | Bangkok Bank Pcl NVDR | 20,449,975 | ||||||||
3,392,578 | CP ALL Pcl (Foreign Registered) | 6,997,626 | ||||||||
51,064,124 | Land & Houses Pcl (Foreign Registered) | 17,634,367 | ||||||||
100,911,662 | Quality Houses Pcl (Foreign Registered) | 10,669,027 | ||||||||
3,924,812 | Tisco Financial Group Pcl (Foreign Registered) | 9,836,157 | ||||||||
2,968,323 | Workpoint Entertainment Pcl (Foreign Registered) | 3,650,439 | ||||||||
|
| |||||||||
Total Thailand | 69,237,591 | |||||||||
|
| |||||||||
United Kingdom — 6.2% |
| |||||||||
212,793 | British American Tobacco Plc | 10,290,085 | ||||||||
1,573,687 | Unilever Plc | 89,676,133 | ||||||||
|
| |||||||||
Total United Kingdom | 99,966,218 | |||||||||
|
| |||||||||
United States — 0.9% |
| |||||||||
215,966 | Colgate-Palmolive Co. | 14,342,302 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,204,065,217) | 1,140,761,137 | |||||||||
|
| |||||||||
PREFERRED STOCKS (d) — 2.4% |
| |||||||||
Brazil — 2.4% |
| |||||||||
1,132,200 | Banco Bradesco SA | 7,888,791 | ||||||||
3,005,100 | Itau Unibanco Holding SA | 31,186,462 | ||||||||
|
| |||||||||
Total Brazil | 39,075,253 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $54,811,297) | 39,075,253 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 18.4% |
| |||||||||
Brazil — 0.7% |
| |||||||||
319,508 | iShares MSCI Brazil Capped ETF | 10,368,035 | ||||||||
|
| |||||||||
China — 2.1% |
| |||||||||
689,600 | Hang Seng Investment Index Funds Series – Hang Seng CEI ETF | 9,846,832 | ||||||||
576,200 | iShares China Large-Cap ETF | 24,425,118 | ||||||||
|
| |||||||||
Total China | 34,271,950 | |||||||||
|
| |||||||||
Mexico — 1.0% |
| |||||||||
321,800 | iShares MSCI Mexico Capped ETF | 16,199,412 | ||||||||
|
|
Shares/ Par Value† | Description | Value ($) | ||||||||
Taiwan — 6.0% |
| |||||||||
2,531,993 | iShares MSCI Taiwan Capped ETF | 96,038,494 | ||||||||
|
| |||||||||
Thailand — 2.3% |
| |||||||||
80,389,901 | Digital Telecommunication Infrastructure Fund | 36,827,694 | ||||||||
|
| |||||||||
United States — 6.3% |
| |||||||||
2,362,669 | iShares MSCI Emerging Markets ETF | 101,996,421 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $298,554,355) | 295,702,006 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 1.1% |
| |||||||||
Brazil — 1.1% |
| |||||||||
17,632,000 | Itau Unibanco Holding SA, Reg. S, 5.65%, due 03/19/22 | 17,630,237 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $17,885,634) | 17,630,237 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 3.5% |
| |||||||||
United States — 3.5% |
| |||||||||
Affiliated Issuers — 3.5% |
| |||||||||
2,236,018 | GMO U.S. Treasury Fund | 55,855,727 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $55,855,727) | 55,855,727 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.3% |
| |||||||||
Money Market Fund — 3.1% |
| |||||||||
49,960,540 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (e) | 49,960,540 | ||||||||
|
| |||||||||
U.S. Government — 0.2% |
| |||||||||
4,000,000 | U.S. Treasury Bill, 2.10%, due 01/03/19 (f) (g) | 3,971,464 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $53,935,197) | 53,932,004 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.6% (Cost $1,685,107,427) | 1,602,956,364 | |||||||||
Other Assets and Liabilities (net) — 0.4% | 6,193,345 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,609,149,709 | |||||||||
|
|
See accompanying notes to the financial statements. | 7 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Additional information on each restricted security is as follows:
Issuer Description | Acquisition Date | Acquisition Cost | Value as a Percentage of Fund’s Net Assets | Value as of August 31, 2018 | ||||||||
Amber Enterprises India Ltd | 12/11/2017 | $ | 6,214,810 | 0.43% | $ | 6,920,854 | ||||||
Dixon Technologies India Ltd | 8/04/2017 | 9,417,811 | 0.89% | 14,389,774 | ||||||||
|
| |||||||||||
$ | 21,310,628 | |||||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement | Counter- | Currency | Currency | Net | ||||||||||||||
01/24/2019 | MSCI | PHP | 1,999,356,086 | USD | 38,279,841 | 1,371,680 | ||||||||||||
02/20/2019 | MSCI | PHP | 1,020,320,426 | USD | 19,069,628 | 269,367 | ||||||||||||
01/22/2019 | MSCI | THB | 2,788,249,378 | USD | 83,847,242 | (1,714,274 | ) | |||||||||||
01/24/2019 | MSCI | USD | 31,122,291 | PHP | 1,664,115,700 | (402,676 | ) | |||||||||||
|
| |||||||||||||||||
$ | (475,903 | ) | ||||||||||||||||
|
|
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
139 | Mini MSCI Emerging Markets | September 2018 | $ | 7,331,555 | $ | (512,178 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||
Total return on MSCI Daily TR Gross Emerging Markets Philippines USD | 1 Month LIBOR plus 0.50% | GS | USD | 9,465,489 | 04/12/2019 | Monthly | — | (331,768 | ) | (331,768 | ) | |||||||||||||||||||||
Total return on MSCI Daily TR Gross Emerging Markets Philippines USD | 1 Month LIBOR | GS | USD | 10,909,506 | 06/20/2019 | Monthly | — | (583,583 | ) | (583,583 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | — | $ | (915,351 | ) | $ | (915,351 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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) | The security is restricted as to resale. |
(b) | Investment valued using significant unobservable inputs (Note 2). |
(c) | Affiliated company (Note 10). |
(d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(f) | 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 (Note 4). |
(g) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
8 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 92.5 | % | ||
Preferred Stocks | 2.4 | |||
Mutual Funds | 2.3 | |||
Investment Funds | 2.1 | |||
Short-Term Investments | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.5 | ) | ||
Other | 1.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Taiwan | 19.5 | % | ||
China | 18.3 | |||
Russia | 13.5 | |||
United States | 10.8 | * | ||
South Korea | 6.7 | |||
Thailand | 5.4 | |||
South Africa | 4.4 | |||
Turkey | 4.1 | |||
India | 3.5 | |||
Mexico | 2.8 | |||
Indonesia | 2.5 | |||
Poland | 2.2 | |||
Brazil | 2.1 | |||
Qatar | 1.2 | |||
Philippines | 1.0 | |||
United Arab Emirates | 0.7 | |||
United Kingdom | 0.6 | |||
Colombia | 0.2 | |||
Czech Republic | 0.1 | |||
Pakistan | 0.1 | |||
Malaysia | 0.1 | |||
Chile | 0.1 | |||
Peru | 0.1 | |||
Sri Lanka | 0.0 | ^ | ||
Egypt | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Banks | 17.1 | % | ||
Energy | 14.2 | |||
Materials | 7.8 | |||
Technology Hardware & Equipment | 7.5 | |||
Real Estate | 6.1 | |||
Semiconductors & Semiconductor Equipment | 6.1 | |||
Telecommunication Services | 5.6 | |||
Diversified Financials | 5.0 | |||
Software & Services | 3.9 | |||
Insurance | 3.9 | |||
Capital Goods | 3.8 | |||
Food, Beverage & Tobacco | 3.3 | |||
Utilities | 2.7 | |||
Consumer Durables & Apparel | 2.2 | |||
Food & Staples Retailing | 1.9 | |||
Transportation | 1.9 | |||
Retailing | 1.7 | |||
Consumer Services | 1.4 | |||
Automobiles & Components | 1.2 | |||
Household & Personal Products | 0.9 | |||
Health Care Equipment & Services | 0.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.7 | |||
Media | 0.3 | |||
Commercial & Professional Services | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
* | Includes companies that derive more than 50% of their revenues or profits from emerging markets. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
9
GMO Emerging Markets Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.5% |
| |||||||||
Brazil — 1.8% |
| |||||||||
3,181,000 | Ambev SA ADR | 14,791,650 | ||||||||
868,046 | Banco BTG Pactual SA | 4,368,894 | ||||||||
421,800 | BB Seguridade Participacoes SA | 2,535,087 | ||||||||
389,000 | Cia de Saneamento Basico do Estado de Sao Paulo | 2,330,313 | ||||||||
455,600 | Cia de Saneamento Basico do Estado de Sao Paulo ADR | 2,738,156 | ||||||||
1,538,500 | Cielo SA | 5,703,604 | ||||||||
208,200 | Cosan SA | 1,778,832 | ||||||||
236,700 | Equatorial Energia SA | 3,312,440 | ||||||||
417,900 | Estacio Participacoes SA | 2,312,604 | ||||||||
1,173,400 | Kroton Educacional SA | 2,944,231 | ||||||||
338,200 | Localiza Rent a Car SA | 1,787,691 | ||||||||
1,628,205 | LPS Brasil Consultoria de Imoveis SA * | 1,175,253 | ||||||||
488,300 | Petrobras Distribuidora SA | 2,371,308 | ||||||||
173,300 | QGEP Participacoes SA | 519,079 | ||||||||
66,700 | Qualicorp Consultoria e Corretora de Seguros SA | 258,082 | ||||||||
938,735 | Rumo SA * | 3,279,615 | ||||||||
175,400 | Smiles Fidelidade SA | 2,235,401 | ||||||||
1,352,751 | Transmissora Alianca de Energia Eletrica SA | 6,675,578 | ||||||||
538,500 | Ultrapar Participacoes SA | 5,443,040 | ||||||||
228,600 | Ultrapar Participacoes SA Sponsored ADR | 2,336,292 | ||||||||
|
| |||||||||
Total Brazil | 68,897,150 | |||||||||
|
| |||||||||
Chile — 0.1% |
| |||||||||
1,769,109 | AES Gener SA | 444,320 | ||||||||
150,418 | Inversiones La Construccion SA | 2,452,539 | ||||||||
|
| |||||||||
Total Chile | 2,896,859 | |||||||||
|
| |||||||||
China — 19.7% |
| |||||||||
4,426,000 | 361 Degrees International Ltd | 1,270,283 | ||||||||
75,286,290 | Agricultural Bank of China Ltd – Class H | 36,481,940 | ||||||||
5,163,946 | Aier Eye Hospital Group Co Ltd – Class A | 23,724,823 | ||||||||
658,759 | Aisino Corp – Class A | 2,740,811 | ||||||||
118,526 | Alibaba Group Holding Ltd Sponsored ADR * | 20,743,235 | ||||||||
1,031,400 | Anhui Conch Cement Co Ltd – Class H | 6,291,981 | ||||||||
774,000 | Anhui Expressway Co Ltd – Class H | 448,942 | ||||||||
80,864,682 | Bank of China Ltd – Class H | 36,337,134 | ||||||||
1,896,000 | Baoye Group Co Ltd – Class H * | 1,119,397 | ||||||||
1,572,819 | Cangzhou Mingzhu Plastic Co Ltd – Class A | 1,077,482 | ||||||||
576,300 | Changyou.com Ltd ADR | 7,774,287 | ||||||||
6,994,560 | China Communications Services Corp Ltd – Class H | 5,794,930 | ||||||||
118,430,606 | China Construction Bank Corp – Class H | 104,306,118 | ||||||||
1,167,300 | China International Capital Corp Ltd – Class H | 2,139,662 | ||||||||
2,127,368 | China International Travel Service Corp Ltd – Class A | 19,745,371 | ||||||||
21,803,000 | China Machinery Engineering Corp – Class H | 10,617,349 | ||||||||
3,064,837 | China Mobile Ltd | 28,826,375 |
Shares | Description | Value ($) | ||||||||
China — continued |
| |||||||||
148,200 | China Mobile Ltd Sponsored ADR | 7,112,118 | ||||||||
4,942,000 | China Overseas Land & Investment Ltd | 15,663,795 | ||||||||
29,000 | China Petroleum & Chemical Corp ADR | 2,879,990 | ||||||||
9,138,536 | China Petroleum & Chemical Corp – Class A | 9,166,134 | ||||||||
24,350,000 | China Petroleum & Chemical Corp – Class H | 24,500,640 | ||||||||
4,166,000 | China Resources Land Ltd | 14,532,057 | ||||||||
1,228,544 | China Shenhua Energy Co Ltd – Class A | 3,334,599 | ||||||||
7,278,000 | China Shenhua Energy Co Ltd – Class H | 16,255,417 | ||||||||
885,100 | China Vanke Co Ltd – Class H | 3,070,767 | ||||||||
3,508,310 | China Yangtze Power Co Ltd – Class A | 8,136,707 | ||||||||
1,199,406 | Chongqing Department Store Co Ltd – Class A | 5,045,128 | ||||||||
2,881,000 | Country Garden Holdings Co Ltd | 4,294,987 | ||||||||
430,114 | Country Garden Services Holdings Co Ltd * | 726,652 | ||||||||
6,984,766 | Daqin Railway Co Ltd – Class A | 8,830,968 | ||||||||
633,269 | Dashang Co Ltd – Class A | 2,657,660 | ||||||||
3,056,981 | Fangda Special Steel Technology Co Ltd – Class A | 4,971,359 | ||||||||
1,919,256 | Gree Electric Appliances Inc of Zhuhai – Class A * | 10,965,814 | ||||||||
9,584,000 | Guangdong Investment Ltd | 17,014,279 | ||||||||
292,300 | Haitian International Holdings Ltd | 586,599 | ||||||||
557,922 | Hangzhou Robam Appliances Co Ltd – Class A | 1,800,464 | ||||||||
3,599,534 | Heilan Home Co Ltd – Class A | 5,260,227 | ||||||||
1,534,836 | Henan Shuanghui Investment & Development Co Ltd – Class A | 5,228,794 | ||||||||
10,248,000 | Hua Han Health Industry Holdings Ltd * (a) | 678,957 | ||||||||
10,213,000 | Huabao International Holdings Ltd | 6,018,104 | ||||||||
187,212 | Huayu Automotive Systems Co Ltd – Class A | 561,093 | ||||||||
1,194,074 | Huolinhe Opencut Coal Industry Corp Ltd of Inner Mongolia – Class A | 1,491,992 | ||||||||
84,359,947 | Industrial & Commercial Bank of China Ltd – Class H | 62,308,055 | ||||||||
23,531 | Kweichow Moutai Co Ltd – Class A | 2,272,140 | ||||||||
137,228 | Kweichow Moutai Co Ltd – Class A | 13,250,657 | ||||||||
2,322,000 | Logan Property Holdings Co Ltd | 2,905,268 | ||||||||
773,500 | Longfor Properties Co Ltd | 2,151,510 | ||||||||
144,957 | Midea Group Co Ltd – Class A | 883,549 | ||||||||
1,168,555 | Midea Group Co Ltd – Class A | 7,122,635 | ||||||||
162,090 | Minth Group Ltd | 664,700 | ||||||||
19,600 | New Oriental Education & Technology Group Inc Sponsored ADR | 1,540,560 | ||||||||
12,369,000 | PICC Property & Casualty Co Ltd – Class H | 13,946,858 | ||||||||
267,000 | Ping An Insurance Group Co of China Ltd – Class H | 2,575,440 | ||||||||
5,152,400 | Qingling Motors Co Ltd – Class H | 1,405,415 | ||||||||
2,227,600 | SAIC Motor Corp Ltd – Class A | 9,522,766 | ||||||||
6,529,720 | Shanghai Smi Holding Co Ltd – Class A | 5,481,968 | ||||||||
3,344,000 | Shenzhen Investment Ltd | 1,095,728 | ||||||||
871,500 | Shimao Property Holdings Ltd | 2,602,623 | ||||||||
11,025,850 | Suning Universal Co Ltd – Class A | 5,459,602 | ||||||||
40,400 | TAL Education Group ADR * | 1,195,840 | ||||||||
1,757,865 | Tencent Holdings Ltd | 75,565,576 |
10 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued |
| |||||||||
300,800 | Tencent Holdings Ltd ADR | 12,976,512 | ||||||||
923,000 | Weichai Power Co Ltd – Class H | 978,900 | ||||||||
6,669,900 | Yangzijiang Shipbuilding Holdings Ltd | 5,201,103 | ||||||||
10,352,000 | Zhejiang Expressway Co Ltd – Class H * | 8,219,034 | ||||||||
500,573 | Zhejiang Supor Cookware Co Ltd – Class A | 3,674,824 | ||||||||
2,088,421 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 5,181,388 | ||||||||
|
| |||||||||
Total China | 738,408,072 | |||||||||
|
| |||||||||
Colombia — 0.2% |
| |||||||||
2,802,331 | Ecopetrol SA | 3,146,257 | ||||||||
135,300 | Ecopetrol SA Sponsored ADR | 3,057,780 | ||||||||
|
| |||||||||
Total Colombia | 6,204,037 | |||||||||
|
| |||||||||
Czech Republic — 0.2% |
| |||||||||
483,861 | Moneta Money Bank AS | 1,691,269 | ||||||||
6,261 | Philip Morris CR AS | 4,197,115 | ||||||||
|
| |||||||||
Total Czech Republic | 5,888,384 | |||||||||
|
| |||||||||
Egypt — 0.0% |
| |||||||||
1,581,356 | Global Telecom Holding SAE * | 376,942 | ||||||||
|
| |||||||||
India — 3.8% |
| |||||||||
23,510 | ACC Ltd | 545,456 | ||||||||
317,300 | Action Construction Equipment Ltd | 607,695 | ||||||||
125,042 | Asian Granito India Ltd | 413,946 | ||||||||
91,677 | Asian Paints Ltd | 1,776,726 | ||||||||
1,070,235 | Aurobindo Pharma Ltd | 10,770,002 | ||||||||
140,821 | Axis Bank Ltd * | 1,291,080 | ||||||||
14,189 | Bajaj Finserv Ltd | 1,353,563 | ||||||||
122,465 | Bombay Burmah Trading Co | 3,221,478 | ||||||||
11,222 | Britannia Industries Ltd | 1,068,454 | ||||||||
74,792 | CCL Products India Ltd | 306,760 | ||||||||
293,346 | CMI Ltd | 740,086 | ||||||||
161,246 | Dabur India Ltd | 1,088,264 | ||||||||
574,247 | Divi’s Laboratories Ltd | 10,611,165 | ||||||||
38,430 | Dixon Technologies India Ltd | 1,627,660 | ||||||||
16,772,852 | Gayatri Highways Ltd * (b) | 496,614 | ||||||||
16,772,852 | Gayatri Projects Ltd * (b) | 49,280,549 | ||||||||
385,897 | HDFC Bank Ltd | 11,269,058 | ||||||||
146,940 | Hindustan Unilever Ltd | 3,682,843 | ||||||||
518,191 | ICICI Bank Ltd | 2,499,342 | ||||||||
753,918 | IDFC Bank Ltd | 507,571 | ||||||||
219,342 | IndusInd Bank Ltd | 5,909,121 | ||||||||
3,013,682 | Jai Balaji Industries Ltd * | 396,241 | ||||||||
1,322,083 | Kiri Industries Ltd * | 10,557,537 | ||||||||
349,068 | Kotak Mahindra Bank Ltd | 6,340,449 | ||||||||
432,592 | Mahindra & Mahindra Financial Services Ltd | 2,987,370 | ||||||||
250,395 | Marico Ltd | 1,309,404 | ||||||||
917,800 | MEP Infrastructure Developers Ltd | 660,253 | ||||||||
765,633 | Power Finance Corp Ltd | 912,840 |
Shares | Description | Value ($) | ||||||||
India — continued |
| |||||||||
528,333 | Sangam India Ltd | 619,369 | ||||||||
253,494 | Srikalahasthi Pipes Ltd | 793,364 | ||||||||
176,187 | Sun TV Network Ltd | 1,910,431 | ||||||||
180,790 | Tata Motors Ltd – Class A * | 362,901 | ||||||||
239,116 | Titan Co Ltd | 3,015,781 | ||||||||
21,600 | UltraTech Cement Ltd | 1,360,974 | ||||||||
1,706,236 | Vakrangee Ltd | 927,922 | ||||||||
|
| |||||||||
Total India | 141,222,269 | |||||||||
|
| |||||||||
Indonesia — 2.7% |
| |||||||||
45,024,200 | Adaro Energy Tbk PT | 5,708,652 | ||||||||
8,877,300 | Astra International Tbk PT | 4,372,209 | ||||||||
6,089,500 | Bank Central Asia Tbk PT | 10,256,445 | ||||||||
14,906,200 | Bank Mandiri Persero Tbk PT | 6,945,349 | ||||||||
7,593,200 | Bank Negara Indonesia Persero Tbk PT | 4,022,190 | ||||||||
92,101,000 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 4,188,941 | ||||||||
127,885,600 | Bank Rakyat Indonesia Persero Tbk PT | 27,631,785 | ||||||||
14,648,000 | Bukit Asam Tbk PT | 4,028,392 | ||||||||
5,280,100 | Bumi Serpong Damai Tbk PT * | 430,680 | ||||||||
610,800 | Delta Dunia Makmur Tbk PT * | 28,637 | ||||||||
6,293,991 | Indo Tambangraya Megah Tbk PT | 12,094,308 | ||||||||
1,797,200 | Link Net Tbk PT | 524,838 | ||||||||
810,200 | Matahari Department Store Tbk PT | 412,712 | ||||||||
359,900 | Medco Energi Internasional Tbk PT * | 21,261 | ||||||||
83,219,300 | Modernland Realty Tbk PT | 1,436,603 | ||||||||
168,492,900 | Panin Financial Tbk PT * | 2,335,448 | ||||||||
3,611,400 | PP Persero Tbk PT | 466,289 | ||||||||
5,468,700 | Ramayana Lestari Sentosa Tbk PT | 471,601 | ||||||||
41,760,900 | Surya Semesta Internusa Tbk PT | 1,378,351 | ||||||||
33,315,700 | Telekomunikasi Indonesia Persero Tbk PT | 7,913,247 | ||||||||
40,972 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 969,807 | ||||||||
1,764,700 | United Tractors Tbk PT | 4,122,620 | ||||||||
20,147,800 | Waskita Beton Precast Tbk PT | 533,892 | ||||||||
2,807,800 | XL Axiata Tbk PT * | 606,014 | ||||||||
|
| |||||||||
Total Indonesia | 100,900,271 | |||||||||
|
| |||||||||
Malaysia — 0.1% |
| |||||||||
4,911,988 | KSL Holdings Berhad * | 1,015,019 | ||||||||
21,400 | Petron Malaysia Refining & Marketing Bhd | 44,180 | ||||||||
2,890,200 | Sapura Energy Berhad * | 237,304 | ||||||||
3,472,967 | UOA Development Berhad | 2,051,141 | ||||||||
2,230,100 | YTL Power International Berhad | 618,214 | ||||||||
|
| |||||||||
Total Malaysia | 3,965,858 | |||||||||
|
| |||||||||
Mexico — 3.0% |
| |||||||||
731,930 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B | 1,159,656 | ||||||||
4,217,100 | Cemex SAB de CV CPO * | 2,988,683 | ||||||||
1,085,600 | Cemex SAB de CV Sponsored ADR * | 7,696,904 |
See accompanying notes to the financial statements. | 11 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — continued |
| |||||||||
20,700 | Concentradora Fibra Danhos SA de CV (REIT) | 34,303 | ||||||||
2,553,000 | Corp Inmobiliaria Vesta SAB de CV | 3,614,642 | ||||||||
519,000 | Credito Real SAB de CV SOFOM ER | 671,255 | ||||||||
1,466,000 | Fibra Uno Administracion SA de CV (REIT) | 1,918,321 | ||||||||
662,900 | Fomento Economico Mexicano SAB de CV | 6,349,600 | ||||||||
121,200 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 11,620,656 | ||||||||
2,763,100 | Gentera SAB de CV | 2,804,282 | ||||||||
917,800 | Grupo Aeroportuario del Centro Norte SAB de CV | 6,033,237 | ||||||||
11,300 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 595,623 | ||||||||
20,900 | Grupo Aeroportuario del Pacifico SAB de CV ADR | 2,159,179 | ||||||||
218,700 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 2,259,775 | ||||||||
9,600 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,800,864 | ||||||||
73,750 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 1,382,992 | ||||||||
2,079,600 | Grupo Financiero Banorte SAB de CV – Class O | 14,184,199 | ||||||||
153,900 | Grupo Financiero Inbursa SAB de CV – Class O | 244,883 | ||||||||
779,000 | Grupo Lala SAB de CV | 828,938 | ||||||||
1,728,400 | Grupo Mexico SAB de CV – Series B | 5,058,026 | ||||||||
27,200 | Industrias Bachoco SAB de CV – Series B | 132,133 | ||||||||
1,252,000 | Kimberly-Clark de Mexico SAB de CV – Class A | 2,203,832 | ||||||||
13,000 | Megacable Holdings SAB de CV CPO | 61,274 | ||||||||
688,900 | Mexichem SAB de CV | 2,324,669 | ||||||||
315,670 | Promotora y Operadora de Infraestructura SAB de CV | 3,354,931 | ||||||||
9,900 | Rassini SAB de CV | 37,273 | ||||||||
543,500 | Unifin Financiera SAB de CV SOFOM ENR | 1,386,540 | ||||||||
11,278,300 | Wal-Mart de Mexico SAB de CV | 31,228,174 | ||||||||
|
| |||||||||
Total Mexico | 114,134,844 | |||||||||
|
| |||||||||
Pakistan — 0.1% |
| |||||||||
504,200 | Engro Corp Ltd | 1,336,144 | ||||||||
1,725,000 | Engro Fertilizers Ltd | 1,097,605 | ||||||||
1,221,700 | Oil & Gas Development Co Ltd | 1,496,036 | ||||||||
285,250 | Pakistan Oilfields Ltd | 1,478,031 | ||||||||
|
| |||||||||
Total Pakistan | 5,407,816 | |||||||||
|
| |||||||||
Peru — 0.1% |
| |||||||||
13,000 | Credicorp Ltd | 2,834,260 | ||||||||
|
| |||||||||
Philippines — 1.0% |
| |||||||||
1,379,433 | Bank of the Philippine Islands | 2,419,459 | ||||||||
1,211,034 | BDO Unibank Inc | 2,948,438 | ||||||||
8,932,000 | Belle Corp | 514,553 | ||||||||
1,523,810 | Concepcion Industrial Corp | 1,310,495 |
Shares | Description | Value ($) | ||||||||
Philippines — continued |
| |||||||||
2,524,800 | DMCI Holdings Inc | 604,712 | ||||||||
1,587,500 | Eagle Cement Corp | 482,141 | ||||||||
2,748,677 | First Gen Corp | 874,217 | ||||||||
60,760 | GT Capital Holdings Inc | 995,849 | ||||||||
8,672,100 | LT Group Inc | 2,789,242 | ||||||||
1,229,850 | Manila Electric Co | 8,587,152 | ||||||||
7,115,000 | Manila Water Co Inc | 3,247,625 | ||||||||
20,677,000 | Megaworld Corp | 1,775,728 | ||||||||
12,133,000 | Metro Pacific Investments Corp | 1,237,768 | ||||||||
18,042,966 | Nickel Asia Corp | 1,833,309 | ||||||||
4,380,775 | Petron Corp | 742,403 | ||||||||
1,326,965 | Pilipinas Shell Petroleum Corp | 1,426,989 | ||||||||
3,996,538 | Puregold Price Club Inc | 3,438,624 | ||||||||
6,630,000 | Semirara Mining & Power Corp | 3,596,184 | ||||||||
|
| |||||||||
Total Philippines | 38,824,888 | |||||||||
|
| |||||||||
Poland — 2.4% |
| |||||||||
232,159 | Bank Millennium SA * | 563,458 | ||||||||
359,019 | Bank Polska Kasa Opieki SA | 11,312,145 | ||||||||
9,417 | Bank Zachodni WBK SA | 957,323 | ||||||||
78,078 | Budimex SA | 2,399,358 | ||||||||
100,668 | CD Projekt SA * | 5,608,497 | ||||||||
1,755 | Dino Polska SA * | 43,128 | ||||||||
28,308 | Grupa Lotos SA | 532,204 | ||||||||
68,297 | KRUK SA | 3,811,414 | ||||||||
1,192 | LPP SA | 2,969,251 | ||||||||
671,083 | Polski Koncern Naftowy ORLEN SA | 17,790,613 | ||||||||
7,809,765 | Polskie Gornictwo Naftowe i Gazownictwo SA * | 12,234,607 | ||||||||
828,549 | Powszechna Kasa Oszczednosci Bank Polski SA | 9,441,421 | ||||||||
1,521,722 | Powszechny Zaklad Ubezpieczen SA | 18,325,687 | ||||||||
21,869 | Stalprodukt SA | 2,734,130 | ||||||||
51,809 | Warsaw Stock Exchange | 578,611 | ||||||||
|
| |||||||||
Total Poland | 89,301,847 | |||||||||
|
| |||||||||
Qatar — 1.3% |
| |||||||||
909,394 | Barwa Real Estate Co | 8,992,361 | ||||||||
251,370 | Doha Bank QPSC | 1,773,979 | ||||||||
156,718 | Masraf Al Rayan QSC | 1,623,163 | ||||||||
36,401 | Ooredoo QPSC | 731,379 | ||||||||
35,383 | Qatar Electricity & Water Co QSC | 1,858,593 | ||||||||
288,376 | Qatar Gas Transport Co Ltd Nakilat | 1,385,264 | ||||||||
210,512 | Qatar Insurance Co SAQ | 2,128,772 | ||||||||
63,708 | Qatar International Islamic Bank QSC | 980,409 | ||||||||
43,481 | Qatar Islamic Bank SAQ | 1,672,124 | ||||||||
564,866 | Qatar National Bank QPSC | 27,620,808 | ||||||||
27,944 | Qatar National Cement Co QSC | 440,477 | ||||||||
237,288 | United Development Co QSC | 905,571 | ||||||||
|
| |||||||||
Total Qatar | 50,112,900 | |||||||||
|
|
12 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — 14.1% |
| |||||||||
5,660,800 | Aeroflot PJSC | 9,696,435 | ||||||||
16,802,000 | Alrosa PJSC | 25,273,099 | ||||||||
13,861 | Etalon Group Plc GDR | 32,292 | ||||||||
523,850 | Gazprom Neft PJSC | 2,608,576 | ||||||||
4,516 | Gazprom Neft PJSC Sponsored ADR | 111,320 | ||||||||
16,978,392 | Gazprom PJSC Sponsored ADR | 74,889,819 | ||||||||
785,069 | Globaltrans Investment Plc Sponsored GDR (Registered) | 8,641,605 | ||||||||
118,764,000 | Inter RAO UES PJSC | 7,118,251 | ||||||||
1,047,683 | LUKOIL PJSC Sponsored ADR | 72,397,622 | ||||||||
717,027 | M.Video PJSC * | 4,605,735 | ||||||||
2,932,900 | Magnitogorsk Iron & Steel OJSC | 2,111,442 | ||||||||
5,587 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 53,349 | ||||||||
1,977,307 | MMC Norilsk Nickel PJSC ADR | 32,814,112 | ||||||||
4,191,715 | Mobile TeleSystems PJSC Sponsored ADR | 32,485,791 | ||||||||
12,195,717 | Moscow Exchange MICEX-RTS PJSC | 17,714,126 | ||||||||
323,250 | Novatek PJSC | 5,195,810 | ||||||||
334,258 | Novatek PJSC Sponsered GDR (Registered) | 55,896,612 | ||||||||
1,584,950 | Novolipetsk Steel PJSC | 3,888,993 | ||||||||
908,781 | Novolipetsk Steel PJSC GDR | 22,070,860 | ||||||||
50,881 | Polyus PJSC | 3,301,678 | ||||||||
176,056 | Polyus PJSC GDR (Registered) | 5,706,464 | ||||||||
570,715 | QIWI Plc Sponsored ADR * | 8,104,153 | ||||||||
21,440 | Raspadskaya OJSC * | 31,651 | ||||||||
8,118,075 | Rostelecom PJSC | 8,137,262 | ||||||||
33,228 | Rostelecom PJSC Sponsored ADR | 199,762 | ||||||||
16,500 | Safmar Financial Investment | 196,195 | ||||||||
3,294,690 | Sberbank of Russia PJSC | 8,856,049 | ||||||||
4,681,680 | Sberbank of Russia Sponsored ADR | 50,984,797 | ||||||||
49,860 | Severstal PJSC | 803,362 | ||||||||
788,544 | Severstal PJSC GDR (Registered) | 12,688,626 | ||||||||
2,878,707 | Surgutneftegas OJSC Sponsored ADR | 11,981,803 | ||||||||
827,420 | Tatneft PJSC | 9,617,477 | ||||||||
373,731 | Tatneft PJSC Sponsored ADR | 25,912,896 | ||||||||
226,235 | TCS Group Holding Plc GDR (Registered) | 4,164,689 | ||||||||
7,524 | TMK PJSC GDR (Registered) | 31,686 | ||||||||
16,747,000 | Unipro PJSC | 662,467 | ||||||||
|
| |||||||||
Total Russia | 528,986,866 | |||||||||
|
| |||||||||
South Africa — 4.7% |
| |||||||||
271,282 | Absa Group Ltd | 3,000,416 | ||||||||
6,075 | AECI Ltd | 43,019 | ||||||||
510,548 | Alviva Holdings Ltd | 632,241 | ||||||||
40,145 | Astral Foods Ltd | 707,018 | ||||||||
1,012,841 | AVI Ltd | 7,992,009 | ||||||||
217,873 | Barloworld Ltd | 1,853,016 | ||||||||
140,940 | BID Corp Ltd | 3,007,223 | ||||||||
285,827 | Brait SE * | 725,964 | ||||||||
38,782 | Capitec Bank Holdings Ltd | 2,648,594 | ||||||||
611,067 | Clicks Group Ltd | 8,439,449 |
Shares | Description | Value ($) | ||||||||
South Africa — continued |
| |||||||||
418,056 | Coronation Fund Managers Ltd | 1,637,715 | ||||||||
229,912 | Discovery Ltd | 2,739,562 | ||||||||
63,541 | Distell Group Holdings Ltd * | 527,412 | ||||||||
867,972 | Exxaro Resources Ltd | 8,797,818 | ||||||||
2,490,384 | FirstRand Ltd | 11,980,702 | ||||||||
259,689 | Foschini Group Ltd (The) | 3,085,219 | ||||||||
5,176,049 | Growthpoint Properties Ltd (REIT) | 8,960,486 | ||||||||
29,881 | Hyprop Investments Ltd (REIT) | 207,418 | ||||||||
216,059 | Imperial Holdings Ltd | 3,027,420 | ||||||||
128,946 | JSE Ltd | 1,420,893 | ||||||||
329,630 | Kumba Iron Ore Ltd | 5,942,265 | ||||||||
1,013,121 | Lewis Group Ltd | 1,951,400 | ||||||||
340,553 | Liberty Holdings Ltd | 2,694,328 | ||||||||
555,094 | Metair Investments Ltd | 660,010 | ||||||||
121,935 | Mondi Ltd | 3,402,244 | ||||||||
1,074,651 | Mr Price Group Ltd | 16,474,438 | ||||||||
290,782 | MTN Group Ltd | 1,760,610 | ||||||||
91,724 | Nedbank Group Ltd | 1,735,030 | ||||||||
3,721,399 | Old Mutual Ltd * | 7,698,573 | ||||||||
402,894 | Rand Merchant Investment Holdings Ltd | 1,119,956 | ||||||||
205,378 | Reinet Investments SCA | 3,976,735 | ||||||||
1,948,183 | RMB Holdings Ltd | 11,181,153 | ||||||||
1,137,457 | Sanlam Ltd | 6,139,026 | ||||||||
279,307 | Sappi Ltd | 1,907,729 | ||||||||
125,094 | Sasol Ltd | 4,899,848 | ||||||||
18,500 | Sasol Ltd Sponsored ADR | 726,310 | ||||||||
304,621 | Shoprite Holdings Ltd | 4,228,760 | ||||||||
742,409 | Sibanye Gold Ltd * | 429,497 | ||||||||
197,091 | SPAR Group Ltd (The) | 2,749,582 | ||||||||
220,444 | Standard Bank Group Ltd | 2,794,010 | ||||||||
8,794,688 | Steinhoff International Holdings NV * | 1,676,281 | ||||||||
222,227 | Tiger Brands Ltd | 4,326,345 | ||||||||
2,249,108 | Truworths International Ltd | 13,163,273 | ||||||||
201,908 | Wilson Bayly Holmes-Ovcon Ltd | 2,059,064 | ||||||||
|
| |||||||||
Total South Africa | 175,130,061 | |||||||||
|
| |||||||||
South Korea — 5.5% | ||||||||||
2,217,118 | BNK Financial Group Inc | 16,618,449 | ||||||||
8,626 | Celltrion Pharm Inc * | 621,042 | ||||||||
6,777 | Cuckoo Holdings Co Ltd | 1,071,508 | ||||||||
170,225 | Daou Data Corp | 1,773,610 | ||||||||
338,594 | Daou Technology Inc | 6,902,202 | ||||||||
412,451 | DB Insurance Co Ltd | 23,713,426 | ||||||||
13,124 | Dong Ah Tire & Rubber Co Ltd | 418,047 | ||||||||
1,626,839 | Dongwon Development Co Ltd | 6,113,801 | ||||||||
234,189 | Grand Korea Leisure Co Ltd | 5,079,611 | ||||||||
13,804 | GS Home Shopping Inc | 2,571,534 | ||||||||
2,765 | Hankook Shell Oil Co Ltd | 841,774 | ||||||||
698,815 | Hankook Tire Worldwide Co Ltd | 11,425,818 | ||||||||
14,845 | Hanwha Aerospace Co Ltd * | 333,341 | ||||||||
5,862 | HLB Inc * | 547,330 |
See accompanying notes to the financial statements. | 13 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued |
| |||||||||
45,819 | Hyundai Home Shopping Network Corp | 4,670,880 | ||||||||
486,003 | Hyundai Hy Communications & Network Co Ltd | 1,786,025 | ||||||||
473,650 | Hyundai Marine & Fire Insurance Co Ltd | 15,823,833 | ||||||||
53,484 | Hyundai Mobis Co Ltd | 10,762,819 | ||||||||
9,577 | Hyundai Wia Corp | 366,836 | ||||||||
67,809 | iMarketKorea Inc | 426,282 | ||||||||
561,278 | Kangwon Land Inc | 14,600,275 | ||||||||
693,792 | Korea Asset In Trust Co Ltd 9 (REIT) | 3,371,957 | ||||||||
23,836 | Korea Zinc Co Ltd | 8,678,118 | ||||||||
273,001 | KT Skylife Co Ltd | 3,261,598 | ||||||||
269,151 | KT&G Corp | 24,414,102 | ||||||||
210,245 | Kyobo Securities Co Ltd | 1,851,064 | ||||||||
132,605 | LF Corp | 3,163,258 | ||||||||
48,514 | Maeil Holdings Co Ltd | 620,876 | ||||||||
152,407 | Meritz Financial Group Inc | 1,683,334 | ||||||||
35,592 | Meritz Fire & Marine Insurance Co Ltd | 583,490 | ||||||||
39,220 | Samsung Card Co Ltd | 1,241,689 | ||||||||
14,427 | Samsung Electronics Co Ltd GDR | 15,405,802 | ||||||||
42,753 | Samsung Engineering Co Ltd * | 646,682 | ||||||||
15,647 | Samsung Fire & Marine Insurance Co Ltd | 3,724,717 | ||||||||
58,643 | Shinhan Financial Group Co Ltd | 2,303,320 | ||||||||
45,363 | Sindoh Co Ltd | 2,090,747 | ||||||||
31,520 | SK Innovation Co Ltd | 5,464,384 | ||||||||
98,870 | SK Networks Co Ltd | 397,768 | ||||||||
3,551 | ViroMed Co Ltd * | 756,624 | ||||||||
|
| |||||||||
Total South Korea | 206,127,973 | |||||||||
|
| |||||||||
Sri Lanka — 0.0% |
| |||||||||
103,983,101 | Anilana Hotels & Properties Ltd * (b) | 834,693 | ||||||||
|
| |||||||||
Taiwan — 20.3% |
| |||||||||
11,453,000 | AcBel Polytech Inc | 7,550,784 | ||||||||
1,252,000 | Actron Technology Corp | 4,079,641 | ||||||||
1,505,532 | Advantech Co Ltd | 10,251,471 | ||||||||
11,408,740 | AmTRAN Technology Co Ltd * | 4,791,895 | ||||||||
1,605,000 | Asia Pacific Telecom Co Ltd * | 382,627 | ||||||||
3,277,620 | Asustek Computer Inc | 27,930,807 | ||||||||
175,200 | Aurora Corp | 621,660 | ||||||||
3,663,000 | Catcher Technology Co Ltd | 44,888,353 | ||||||||
18,768,000 | Cathay Financial Holding Co Ltd | 32,168,538 | ||||||||
8,248,740 | Chailease Holding Co Ltd | 28,062,815 | ||||||||
119,000 | Chaun-Choung Technology Corp | 371,629 | ||||||||
281,254 | Chicony Electronics Co Ltd | 591,937 | ||||||||
259,089 | Chicony Power Technology Co Ltd | 372,883 | ||||||||
3,469,100 | Chin-Poon Industrial Co Ltd | 4,288,716 | ||||||||
799,000 | China Motor Corp | 670,834 | ||||||||
9,984,259 | Chunghwa Telecom Co Ltd | 35,288,236 | ||||||||
138,121 | Chunghwa Telecom Co Ltd Sponsored ADR | 4,860,478 | ||||||||
317,000 | Cleanaway Co Ltd | 1,873,140 | ||||||||
4,786,400 | Coretronic Corp | 9,004,834 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
66,579,720 | CTBC Financial Holding Co Ltd | 46,821,814 | ||||||||
2,587,000 | CTCI Corp | 3,963,219 | ||||||||
1,870,000 | Dynapack International Technology Corp | 2,441,663 | ||||||||
13,129,189 | E.Sun Financial Holding Co Ltd | 9,662,927 | ||||||||
159,500 | Elite Advanced Laser Corp | 385,684 | ||||||||
469,000 | Everlight Electronics Co Ltd | 485,376 | ||||||||
7,911,084 | Far EasTone Telecommunications Co Ltd | 18,870,176 | ||||||||
3,564,000 | Farglory Land Development Co Ltd | 3,655,328 | ||||||||
699,000 | FLEXium Interconnect Inc | 2,249,858 | ||||||||
1,581,000 | Formosa Chemicals & Fibre Corp | 6,335,752 | ||||||||
2,154,000 | Formosa Petrochemical Corp | 8,844,969 | ||||||||
3,442,000 | Formosa Plastics Corp | 12,617,963 | ||||||||
3,162,303 | Formosan Rubber Group Inc | 1,467,689 | ||||||||
11,024,075 | Foxconn Technology Co Ltd | 28,028,406 | ||||||||
24,804,200 | Fubon Financial Holding Co Ltd | 41,124,155 | ||||||||
5,839,200 | Gigabyte Technology Co Ltd | 9,963,299 | ||||||||
357,000 | Greatek Electronics Inc | 607,731 | ||||||||
1,599,700 | Green Seal Holding Ltd | 1,809,701 | ||||||||
7,642,754 | Highwealth Construction Corp | 12,416,458 | ||||||||
1,500,000 | Holtek Semiconductor Inc | 4,138,295 | ||||||||
2,351,000 | Huaku Development Co Ltd | 4,987,740 | ||||||||
3,248,900 | IEI Integration Corp | 4,020,879 | ||||||||
3,668,700 | Inventec Corp | 3,292,821 | ||||||||
235,000 | King’s Town Bank Co Ltd | 236,412 | ||||||||
195,000 | Kung Long Batteries Industrial Co Ltd | 917,892 | ||||||||
539,785 | Makalot Industrial Co Ltd | 2,798,740 | ||||||||
523,000 | Mercuries Life Insurance Co Ltd | 271,608 | ||||||||
176,000 | Merida Industry Co Ltd | 845,313 | ||||||||
4,938,810 | Novatek Microelectronics Corp | 24,216,425 | ||||||||
263,853 | OptoTech Corp | 196,111 | ||||||||
5,220,000 | Pou Chen Corp | 5,755,570 | ||||||||
1,211,000 | Quanta Storage Inc | 1,021,053 | ||||||||
11,076,870 | Radiant Opto-Electronics Corp | 24,330,494 | ||||||||
4,884,720 | Realtek Semiconductor Corp | 23,707,253 | ||||||||
947,000 | Rechi Precision Co Ltd | 925,867 | ||||||||
2,025,151 | Ruentex Development Co Ltd | 2,280,539 | ||||||||
7,368,000 | Ruentex Industries Ltd | 15,115,457 | ||||||||
811,000 | Sercomm Corp | 1,425,691 | ||||||||
1,947,068 | Simplo Technology Co Ltd | 14,269,392 | ||||||||
303,000 | Sinbon Electronics Co Ltd | 860,104 | ||||||||
2,184,200 | Sitronix Technology Corp | 6,889,594 | ||||||||
2,951,000 | Syncmold Enterprise Corp | 5,635,868 | ||||||||
580,000 | Taiwan Mobile Co Ltd | 2,020,933 | ||||||||
476,000 | Taiwan PCB Techvest Co Ltd | 448,234 | ||||||||
8,122,000 | Taiwan Semiconductor Manufacturing Co Ltd | 68,051,710 | ||||||||
1,340,010 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 58,424,436 | ||||||||
3,357,269 | Taiwan Surface Mounting Technology Corp | 3,611,238 | ||||||||
379,000 | Test Research Inc | 665,287 | ||||||||
326,000 | Tong Hsing Electronic Industries Ltd | 897,720 | ||||||||
424,981 | Topco Scientific Co Ltd | 1,079,676 |
14 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
1,149,000 | Transcend Information Inc | 2,779,994 | ||||||||
1,716,160 | Tripod Technology Corp | 5,297,601 | ||||||||
1,905,000 | TXC Corp | 2,212,079 | ||||||||
5,658,812 | Uni-President Enterprises Corp | 14,318,996 | ||||||||
5,201,000 | United Integrated Services Co Ltd | 10,497,479 | ||||||||
3,216,000 | Waterland Financial Holdings Co Ltd | 1,110,129 | ||||||||
284,214 | Wistron NeWeb Corp | 634,846 | ||||||||
5,939,000 | Yuanta Financial Holding Co Ltd | 3,009,199 | ||||||||
167,000 | Yulon Finance Corp | 560,265 | ||||||||
3,873,670 | Yungtay Engineering Co Ltd | 5,907,450 | ||||||||
275,000 | Zeng Hsing Industrial Co Ltd | 1,280,040 | ||||||||
|
| |||||||||
Total Taiwan | 760,749,876 | |||||||||
|
| |||||||||
Thailand — 5.6% |
| |||||||||
2,312,500 | Advanced Info Service Pcl (Foreign Registered) | 14,274,632 | ||||||||
5,220,200 | Amata Corp Pcl (Foreign Registered) | 3,398,972 | ||||||||
2,245,200 | AP Thailand Pcl (Foreign Registered) | 645,003 | ||||||||
590,700 | Bangkok Bank Pcl (Foreign Registered) (c) | 3,753,932 | ||||||||
1,618,700 | Bangkok Bank Pcl NVDR | 10,138,553 | ||||||||
8,027,500 | Central Pattana Pcl (Foreign Registered) | 20,232,877 | ||||||||
872,700 | CP ALL Pcl (Foreign Registered) | 1,800,055 | ||||||||
1,077,000 | Delta Electronics Thailand Pcl (Foreign Registered) | 2,295,379 | ||||||||
3,790,701 | Glow Energy Pcl (Foreign Registered) | 10,886,357 | ||||||||
2,744,200 | Hana Microelectronics Pcl (Foreign Registered) | 3,231,754 | ||||||||
5,672,900 | Intouch Holdings Pcl (Foreign Registered) (c) | 9,838,457 | ||||||||
5,201,400 | Intouch Holdings Pcl NVDR (c) | 8,822,036 | ||||||||
840,900 | KCE Electronics Pcl | 1,164,446 | ||||||||
48,236,700 | Land & Houses Pcl (Foreign Registered) | 16,657,951 | ||||||||
15,769,750 | LPN Development Pcl (Foreign Registered) | 4,771,866 | ||||||||
3,025,300 | MC Group Pcl (Foreign Registered) | 1,210,924 | ||||||||
2,484,500 | Platinum Group Pcl (The) | 596,130 | ||||||||
4,105,800 | Pruksa Holding Pcl (Foreign Registered) | 2,533,744 | ||||||||
1,021,400 | PTT Exploration & Production Pcl (Foreign Registered) | 4,450,266 | ||||||||
5,950,200 | PTT Global Chemical Pcl (Foreign Registered) | 14,871,529 | ||||||||
10,393,000 | PTT Pcl (Foreign Registered) | 16,686,397 | ||||||||
52,431,592 | Quality Houses Pcl (Foreign Registered) | 5,543,403 | ||||||||
5,095,202 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) | 8,134,124 | ||||||||
30,340,823 | Sansiri Pcl (Foreign Registered) | 1,493,282 | ||||||||
8,279,800 | Siamgas & Petrochemicals Pcl (Foreign Registered) | 3,037,177 | ||||||||
24,922,100 | Star Petroleum Refining Pcl (Foreign Registered) | 11,348,442 | ||||||||
2,275,600 | STP & I Pcl (Foreign Registered) * | 321,384 | ||||||||
5,390,175 | Supalai Pcl (Foreign Registered) | 3,985,590 | ||||||||
3,476,800 | Thai Oil Pcl (Foreign Registered) | 8,952,802 | ||||||||
142,900 | Thai Vegetable Oil Pcl (Foreign Registered) | 128,819 | ||||||||
870,500 | Tisco Financial Group Pcl (Foreign Registered) | 2,181,601 |
Shares | Description | Value ($) | ||||||||
Thailand — continued |
| |||||||||
28,005,650 | TTW Pcl (Foreign Registered) | 10,608,660 | ||||||||
669,700 | Workpoint Entertainment Pcl (Foreign Registered) | 823,596 | ||||||||
|
| |||||||||
Total Thailand | 208,820,140 | |||||||||
|
| |||||||||
Turkey — 4.4% |
| |||||||||
1,831,223 | Adana Cimento Sanayii TAS – Class C | 394,434 | ||||||||
1,181,263 | Akbank Turk AS | 1,039,220 | ||||||||
325,642 | Aksa Akrilik Kimya Sanayii AS | 554,567 | ||||||||
556,662 | Alarko Holding AS | 405,792 | ||||||||
3,591,836 | Albaraka Turk Katilim Bankas AS | 689,996 | ||||||||
634,355 | Aselsan Elektronik Sanayi Ve Ticaret AS | 2,503,184 | ||||||||
356,823 | Aygaz AS | 651,563 | ||||||||
1,194,507 | BIM Birlesik Magazalar AS | 13,306,328 | ||||||||
4,119,907 | EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 2,327,999 | ||||||||
63,672,567 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) | 17,831,606 | ||||||||
105,143 | Enerjisa Enerji AS | 83,213 | ||||||||
4,898,523 | Enka Insaat ve Sanayi AS | 3,831,993 | ||||||||
14,015,132 | Eregli Demir ve Celik Fabrikalari TAS | 25,306,491 | ||||||||
228,649 | Ford Otomotiv Sanayi AS | 2,332,073 | ||||||||
5,194,966 | Haci Omer Sabanci Holding AS | 5,644,797 | ||||||||
8,213,630 | Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS * | 6,110,557 | ||||||||
3,402,129 | Is Gayrimenkul Yatirim Ortakligi AS (REIT) | 482,392 | ||||||||
65,006 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 250,770 | ||||||||
173,402 | Otokar Otomotiv Ve Savunma Sanayi AS | 1,884,900 | ||||||||
17,775,348 | Soda Sanayii AS | 21,943,546 | ||||||||
847,137 | TAV Havalimanlari Holding AS | 4,262,244 | ||||||||
1,812,109 | Tekfen Holding AS | 5,661,282 | ||||||||
407,420 | Tofas Turk Otomobil Fabrikasi AS | 1,424,579 | ||||||||
1,469,612 | Trakya Cam Sanayii AS | 969,945 | ||||||||
956,882 | Tupras Turkiye Petrol Rafineriler AS | 17,204,570 | ||||||||
644,466 | Turk Telekomunikasyon AS * | 359,080 | ||||||||
76,596 | Turk Traktor ve Ziraat Makineleri AS | 531,367 | ||||||||
2,898,100 | Turkcell Iletisim Hizmetleri AS | 4,664,177 | ||||||||
12,122,795 | Turkiye Garanti Bankasi AS | 11,015,722 | ||||||||
7,594,630 | Turkiye Halk Bankasi AS | 7,107,094 | ||||||||
2,720,379 | Turkiye Is Bankasi – Class C | 1,656,487 | ||||||||
21,659,210 | Turkiye Sinai Kalkinma Bankasi AS | 2,512,167 | ||||||||
1,812,649 | Turkiye Vakiflar Bankasi TAO – Class D | 958,098 | ||||||||
|
| |||||||||
Total Turkey | 165,902,233 | |||||||||
|
| |||||||||
United Arab Emirates — 0.8% |
| |||||||||
284,027 | Abu Dhabi Commercial Bank PJSC | 548,935 | ||||||||
6,550,402 | Air Arabia PJSC | 1,801,016 | ||||||||
3,500,178 | Aldar Properties PJSC | 1,837,639 | ||||||||
12,945,725 | DAMAC Properties Dubai Co PJSC | 7,397,484 | ||||||||
3,717,796 | Dana Gas PJSC | 1,122,272 | ||||||||
80,966 | DP World Ltd | 1,731,735 |
See accompanying notes to the financial statements. | 15 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Arab Emirates — continued |
| |||||||||
1,357,672 | Dubai Investments PJSC | 735,147 | ||||||||
794,823 | Dubai Islamic Bank PJSC | 1,107,555 | ||||||||
4,024,325 | DXB Entertainments PJSC * | 378,936 | ||||||||
497,984 | Emaar Development PJSC * | 716,855 | ||||||||
2,503,796 | Emaar Properties PJSC | 3,412,171 | ||||||||
939,591 | Emirates Telecommunications Group Co PJSC | 4,332,971 | ||||||||
288,555 | First Abu Dhabi Bank PJSC | 1,162,651 | ||||||||
14,291,786 | RAK Properties PJSC | 2,412,778 | ||||||||
|
| |||||||||
Total United Arab Emirates | 28,698,145 | |||||||||
|
| |||||||||
United Kingdom — 0.6% |
| |||||||||
409,901 | Unilever Plc | 23,358,099 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $3,471,742,515) | 3,467,984,483 | |||||||||
|
| |||||||||
PREFERRED STOCKS (d) — 2.4% |
| |||||||||
Brazil — 0.4% |
| |||||||||
336,900 | Banco Bradesco SA | 2,347,406 | ||||||||
1,477,600 | Companhia Energetica de Minas Gerais | 2,706,267 | ||||||||
903,640 | Itau Unibanco Holding SA | 9,377,836 | ||||||||
|
| |||||||||
Total Brazil | 14,431,509 | |||||||||
|
| |||||||||
Colombia — 0.0% |
| |||||||||
584,788 | Grupo Aval Acciones y Valores SA | 230,371 | ||||||||
|
| |||||||||
Russia — 0.3% |
| |||||||||
195,603 | Bashneft PJSC | 4,903,223 | ||||||||
3,944 | Transneft PJSC | 8,336,436 | ||||||||
|
| |||||||||
Total Russia | 13,239,659 | |||||||||
|
| |||||||||
South Korea — 1.7% |
| |||||||||
1,747,590 | Samsung Electronics Co Ltd | 62,268,870 | ||||||||
|
| |||||||||
Taiwan — 0.0% |
| |||||||||
605,412 | CTBC Financial Holding Co Ltd | 1,224,107 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $79,520,833) | 91,394,516 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
INVESTMENT FUNDS — 2.1% |
| |||||||||
Russia — 0.0% |
| |||||||||
3,214,692 | NCH Eagle Fund LP * (e) (f) | 99,022 | ||||||||
|
| |||||||||
Thailand — 0.2% |
| |||||||||
20,378,500 | Digital Telecommunication Infrastructure Fund | 9,335,665 | ||||||||
|
| |||||||||
United States — 1.9% |
| |||||||||
1,627,307 | iShares MSCI Emerging Markets ETF | 70,250,843 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $82,620,125) | 79,685,530 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.3% |
| |||||||||
United States — 2.3% |
| |||||||||
Affiliated Issuers — 2.3% | ||||||||||
3,383,053 | GMO U.S. Treasury Fund | 84,508,659 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $84,508,659) | 84,508,659 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
Money Market Fund — 0.1% |
| |||||||||
5,016,432 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (g) | 5,016,432 | ||||||||
|
| |||||||||
Total Money Market Funds | 5,016,432 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $5,016,432) | 5,016,432 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.4% (Cost $3,723,408,564) | 3,728,589,620 | |||||||||
Other Assets and Liabilities (net) — 0.6% | 21,178,396 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $3,749,768,016 | |||||||||
|
|
Additional information on each restricted security is as follows:
Issuer Description | Acquisition Date | Acquisition Cost | Value as a Percentage of Fund’s Net Assets | Value as of August 31, 2018 | ||||||||
NCH Eagle Fund LP | 4/6/09 | $ | 5,452,004 | 0.00% | $ | 99,022 | ||||||
|
|
16 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
5,320 | Mini MSCI Emerging Markets | September 2018 | $ | 280,603,400 | $ | (20,827,310 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales | - Fund is short the futures contract. |
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) | Value ($) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Depreciation of Total Return on Asustek Computer Inc + ( Daily Fed Funds Rate minus 0.25%) | Appreciation of Total Return on Asustek Computer Inc | MSCI | USD | 21,860,777 | 09/27/2018 | At Maturity | $ | — | $ | 770,262 | $ | 770,262 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | 770,262 | $ | 770,262 | |||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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) | Investment valued using significant unobservable inputs (Note 2). |
(b) | Affiliated company (Note 10). |
(c) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(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 (Note 2). |
(f) | Private placement security; restricted as to resale. |
(g) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
See accompanying notes to the financial statements. | 17 |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.2 | % | ||
Mutual Funds | 3.1 | |||
Short-Term Investments | 0.2 | |||
Preferred Stocks | 0.2 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 23.8 | % | ||
United Kingdom | 13.9 | |||
South Korea | 6.8 | |||
Germany | 5.8 | |||
Canada | 5.6 | |||
Switzerland | 5.2 | |||
France | 5.1 | |||
Australia | 3.1 | |||
United States | 3.0 | |||
Taiwan | 2.6 | |||
Sweden | 2.6 | |||
Italy | 2.6 | |||
India | 2.1 | |||
Singapore | 2.1 | |||
China | 2.1 | |||
Spain | 2.1 | |||
European Union | 1.9 | |||
Hong Kong | 1.8 | |||
Malaysia | 1.6 | |||
Austria | 1.2 | |||
Belgium | 1.1 | |||
Finland | 1.1 | |||
Other Emerging | 1.1 | † | ||
Norway | 1.0 | |||
Other Developed | 0.7 | ‡ | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 17.1 | % | ||
Materials | 11.7 | |||
Consumer Durables & Apparel | 7.3 | |||
Technology Hardware & Equipment | 7.1 | |||
Transportation | 5.8 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 5.7 | |||
Software & Services | 5.5 | |||
Real Estate | 5.5 | |||
Automobiles & Components | 5.2 | |||
Food, Beverage & Tobacco | 5.1 | |||
Diversified Financials | 4.9 | |||
Retailing | 3.5 | |||
Energy | 2.9 | |||
Household & Personal Products | 2.5 | |||
Media | 2.1 | |||
Health Care Equipment & Services | 1.9 | |||
Insurance | 1.8 | |||
Commercial & Professional Services | 1.5 | |||
Semiconductors & Semiconductor Equipment | 1.3 | |||
Utilities | 0.8 | |||
Consumer Services | 0.5 | |||
Food & Staples Retailing | 0.3 | |||
Banks | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
18
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.2% |
| |||||||||
Australia — 3.2% |
| |||||||||
14,433 | Australian Pharmaceutical Industries Ltd | 19,152 | ||||||||
3,653 | Brickworks Ltd | 45,970 | ||||||||
35,442 | Codan Ltd | 79,392 | ||||||||
1,941 | Costa Group Holdings Ltd | 10,104 | ||||||||
5,140 | Folkestone Education Trust (REIT) | 10,190 | ||||||||
164,024 | GDI Property Group (REIT) | 149,676 | ||||||||
3,404 | IDP Education Ltd | 26,630 | ||||||||
14,469 | Mineral Resources Ltd | 157,609 | ||||||||
15,087 | Nine Entertainment Co Holdings Ltd | 26,214 | ||||||||
25,546 | Sandfire Resources NL | 130,263 | ||||||||
|
| |||||||||
Total Australia | 655,200 | |||||||||
|
| |||||||||
Austria — 1.3% |
| |||||||||
9,238 | FACC AG | 233,170 | ||||||||
1,476 | S IMMO AG | 31,014 | ||||||||
|
| |||||||||
Total Austria | 264,184 | |||||||||
|
| |||||||||
Belgium — 1.1% |
| |||||||||
51,060 | AGFA-Gevaert NV * | 224,223 | ||||||||
97 | Barco NV | 13,348 | ||||||||
|
| |||||||||
Total Belgium | 237,571 | |||||||||
|
| |||||||||
Brazil — 0.3% |
| |||||||||
3,100 | Estacio Participacoes SA | 17,155 | ||||||||
1,800 | Mahle-Metal Leve SA | 11,150 | ||||||||
7,900 | Via Varejo SA | 32,778 | ||||||||
|
| |||||||||
Total Brazil | 61,083 | |||||||||
|
| |||||||||
Canada — 5.7% |
| |||||||||
10,590 | BRP Inc Sub Voting | 552,790 | ||||||||
1,800 | Canaccord Genuity Group Inc | 9,724 | ||||||||
14,000 | Canfor Corp * | 322,805 | ||||||||
3,400 | Canfor Pulp Products Inc | 71,309 | ||||||||
2,800 | Cogeco Inc | 133,177 | ||||||||
8,200 | Martinrea International Inc | 88,723 | ||||||||
300 | Wajax Corp | 6,365 | ||||||||
|
| |||||||||
Total Canada | 1,184,893 | |||||||||
|
| |||||||||
China — 2.1% |
| |||||||||
16,000 | Central China Real Estate Ltd | 6,691 | ||||||||
577,000 | Powerlong Real Estate Holdings Ltd | 295,101 | ||||||||
77,000 | Road King Infrastructure Ltd | 130,826 | ||||||||
4,000 | Tianneng Power International Ltd | 4,972 | ||||||||
|
| |||||||||
Total China | 437,590 | |||||||||
|
| |||||||||
Finland — 1.1% |
| |||||||||
27,172 | Finnair Oyj | 237,031 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
France — 5.2% |
| |||||||||
997 | Alten SA | 103,237 | ||||||||
235 | Aubay | 11,302 | ||||||||
14,525 | Coface SA | 136,275 | ||||||||
6,624 | Gaztransport Et Technigaz SA | 453,202 | ||||||||
1,474 | Kaufman & Broad SA | 77,622 | ||||||||
13,335 | Metropole Television SA | 264,018 | ||||||||
163 | Trigano SA | 23,891 | ||||||||
299 | Worldline SA * | 18,250 | ||||||||
|
| |||||||||
Total France | 1,087,797 | |||||||||
|
| |||||||||
Germany — 5.7% |
| |||||||||
60 | Amadeus Fire AG | 6,917 | ||||||||
4,696 | Bauer AG | 87,450 | ||||||||
13,683 | Deutsche Lufthansa AG (Registered) | 357,503 | ||||||||
5,335 | Elmos Semiconductor AG | 137,809 | ||||||||
13,607 | Wacker Neuson SE | 376,191 | ||||||||
9,512 | Wuestenrot & Wuerttembergische AG | 219,725 | ||||||||
|
| |||||||||
Total Germany | 1,185,595 | |||||||||
|
| |||||||||
Hong Kong — 1.8% |
| |||||||||
116,000 | Johnson Electric Holdings Ltd | 340,133 | ||||||||
250,000 | Singamas Container Holdings Ltd | 32,202 | ||||||||
|
| |||||||||
Total Hong Kong | 372,335 | |||||||||
|
| |||||||||
India — 2.1% |
| |||||||||
6,591 | Larsen & Toubro Infotech Ltd | 166,160 | ||||||||
1,682 | Mindtree Ltd | 26,499 | ||||||||
2,998 | Mphasis Ltd | 53,516 | ||||||||
4,641 | NIIT Technologies Ltd | 92,223 | ||||||||
85,932 | PTC India Ltd | 101,603 | ||||||||
948 | Sonata Software Ltd | 4,714 | ||||||||
|
| |||||||||
Total India | 444,715 | |||||||||
|
| |||||||||
Indonesia — 0.1% |
| |||||||||
10,300 | Indo Tambangraya Megah Tbk PT | 19,792 | ||||||||
|
| |||||||||
Italy — 2.6% |
| |||||||||
14,541 | ASTM SPA | 296,782 | ||||||||
5,377 | La Doria SPA | 61,701 | ||||||||
400 | Massimo Zanetti Beverage Group SPA | 3,139 | ||||||||
242 | SAES Getters SPA | 5,816 | ||||||||
12,535 | Societa Iniziative Autostradali e Servizi SPA | 174,747 | ||||||||
|
| |||||||||
Total Italy | 542,185 | |||||||||
|
| |||||||||
Japan — 24.1% |
| |||||||||
7,900 | Arakawa Chemical Industries Ltd | 120,202 | ||||||||
3,800 | Arisawa Manufacturing Co Ltd | 36,067 | ||||||||
100 | Azbil Corp | 4,358 | ||||||||
1,000 | Dai-ichi Seiko Co Ltd | 15,024 | ||||||||
200 | Daito Pharmaceutical Co Ltd | 5,731 |
See accompanying notes to the financial statements. | 19 |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
500 | Daitron Co Ltd | 8,896 | ||||||||
1,200 | Daiwabo Holdings Co Ltd | 71,561 | ||||||||
9,400 | Denka Co Ltd | 321,659 | ||||||||
1,000 | DKS Co Ltd | 6,620 | ||||||||
1,200 | DTS Corp | 49,181 | ||||||||
1,200 | ESPEC Corp | 24,565 | ||||||||
9,400 | Fancl Corp | 482,873 | ||||||||
200 | Fujibo Holdings Inc | 5,615 | ||||||||
5,700 | Fujitsu Frontech Ltd | 62,994 | ||||||||
5,200 | Fuyo General Lease Co Ltd | 312,142 | ||||||||
200 | Hagiwara Electric Holdings Co Ltd | 5,985 | ||||||||
300 | Hakuto Co Ltd | 4,397 | ||||||||
200 | Hamakyorex Co Ltd | 6,720 | ||||||||
2,000 | Haseko Corp | 25,910 | ||||||||
600 | Horiba Ltd | 37,155 | ||||||||
11,700 | House Foods Group Inc | 346,875 | ||||||||
700 | Innotech Corp | 8,657 | ||||||||
15,700 | Ishihara Sangyo Kaisha Ltd * | 233,684 | ||||||||
200 | Kaga Electronics Co Ltd | 3,873 | ||||||||
1,300 | Kanematsu Corp | 19,279 | ||||||||
200 | Kato Sangyo Co Ltd | 6,495 | ||||||||
5,500 | Keihin Corp | 115,579 | ||||||||
19,200 | Kyosan Electric Manufacturing Co Ltd | 112,381 | ||||||||
1,300 | Marubun Corp | 10,165 | ||||||||
200 | Maruwa Co Ltd | 14,934 | ||||||||
200 | Mitsui Sugar Co Ltd | 5,451 | ||||||||
1,800 | Nippon Systemware Co Ltd | 33,378 | ||||||||
8,100 | Nisshinbo Holdings Inc | 90,823 | ||||||||
200 | NuFlare Technology Inc | 11,117 | ||||||||
53,000 | Prima Meat Packers Ltd | 263,098 | ||||||||
4,200 | Rion Co Ltd | 88,881 | ||||||||
14,400 | Rohto Pharmaceutical Co Ltd | 460,020 | ||||||||
300 | Sanyo Denki Co Ltd | 15,998 | ||||||||
300 | Shindengen Electric Manufacturing Co Ltd | 15,085 | ||||||||
24,000 | Showa Corp | 382,300 | ||||||||
41,300 | Sojitz Corp | 143,718 | ||||||||
3,600 | T-Gaia Corp | 94,738 | ||||||||
1,000 | Takasago Thermal Engineering Co Ltd | 17,672 | ||||||||
1,100 | Tamura Corp | 7,960 | ||||||||
19,200 | Tatsuta Electric Wire and Cable Co Ltd | 104,810 | ||||||||
1,200 | Tokyo Seimitsu Co Ltd | 37,289 | ||||||||
4,500 | Tokyu Construction Co Ltd | 41,346 | ||||||||
10,500 | TS Tech Co Ltd | 396,175 | ||||||||
12,200 | Ube Industries Ltd | 310,422 | ||||||||
200 | Wacoal Holdings Corp | 5,918 | ||||||||
600 | Yokowo Co Ltd | 8,274 | ||||||||
200 | Zeon Corp | 2,144 | ||||||||
|
| |||||||||
Total Japan | 5,016,194 | |||||||||
|
| |||||||||
Malaysia — 1.6% |
| |||||||||
188,600 | Padini Holdings Berhad | 274,468 |
Shares | Description | Value ($) | ||||||||
Malaysia — continued |
| |||||||||
66,600 | Supermax Corp Berhad | 54,353 | ||||||||
|
| |||||||||
Total Malaysia | 328,821 | |||||||||
|
| |||||||||
Norway — 1.0% |
| |||||||||
6,122 | Austevoll Seafood ASA | 80,556 | ||||||||
187 | Entra ASA | 2,711 | ||||||||
1,214 | Grieg Seafood ASA | 13,967 | ||||||||
3,813 | Kongsberg Automotive ASA * | 4,436 | ||||||||
61,366 | Kvaerner ASA * | 113,459 | ||||||||
|
| |||||||||
Total Norway | 215,129 | |||||||||
|
| |||||||||
Poland — 0.2% |
| |||||||||
2,659 | Asseco Poland SA | 32,942 | ||||||||
|
| |||||||||
Portugal — 0.8% |
| |||||||||
10,394 | Navigator Co SA (The) | 51,937 | ||||||||
2,540 | Semapa-Sociedade de Investimento e Gestao | 52,525 | ||||||||
51,764 | Sonae SGPS SA | 55,069 | ||||||||
|
| |||||||||
Total Portugal | 159,531 | |||||||||
|
| |||||||||
Singapore — 2.1% |
| |||||||||
7,700 | China Sunsine Chemical Holdings Ltd | 6,681 | ||||||||
112,800 | UMS Holdings Ltd | 61,356 | ||||||||
336,600 | Yanlord Land Group Ltd | 372,984 | ||||||||
|
| |||||||||
Total Singapore | 441,021 | |||||||||
|
| |||||||||
South Africa — 0.5% |
| |||||||||
2,009 | Astral Foods Ltd | 35,382 | ||||||||
20,150 | Blue Label Telecoms Ltd | 9,816 | ||||||||
12,490 | Metair Investments Ltd | 14,851 | ||||||||
3,022 | Reunert Ltd | 15,654 | ||||||||
3,235 | Wilson Bayly Holmes-Ovcon Ltd | 32,991 | ||||||||
|
| |||||||||
Total South Africa | 108,694 | |||||||||
|
| |||||||||
South Korea — 6.9% |
| |||||||||
874 | Chong Kun Dang Pharmaceutical Corp | 85,159 | ||||||||
156 | Cuckoo Holdings Co Ltd | 24,665 | ||||||||
1,899 | Daihan Pharmaceutical Co Ltd | 81,359 | ||||||||
2,360 | DongKook Pharmaceutical Co Ltd | 146,971 | ||||||||
1,418 | Dongwha Pharm Co Ltd | 14,765 | ||||||||
12,914 | Dongwon Development Co Ltd | 48,532 | ||||||||
580 | Green Cross Holdings Corp | 15,961 | ||||||||
133 | GS Home Shopping Inc | 24,776 | ||||||||
343 | HwaSung Industrial Co Ltd | 4,450 | ||||||||
4,040 | Hyundai Corp | 103,970 | ||||||||
319 | KC Co Ltd | 6,247 | ||||||||
968 | Korea United Pharm Inc | 24,854 | ||||||||
1,310 | Korean Reinsurance Co | 12,244 | ||||||||
15,927 | Kwang Dong Pharmaceutical Co Ltd | 107,586 | ||||||||
528 | Kwangju Bank Co Ltd | 5,359 |
20 | See accompanying notes to the financial statements. |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued |
| |||||||||
9,331 | Kyungdong Pharm Co Ltd | 108,585 | ||||||||
7,498 | LF Corp | 178,863 | ||||||||
4,315 | LOTTE Himart Co Ltd | 277,403 | ||||||||
391 | Nice Information & Telecommunication Inc | 8,096 | ||||||||
1,752 | Samjin Pharmaceutical Co Ltd | 86,724 | ||||||||
19,728 | Seohan Co Ltd | 37,899 | ||||||||
3,347 | Seoyon E-Hwa Co Ltd | 18,250 | ||||||||
391 | SL Corp | 7,060 | ||||||||
194 | Spigen Korea Co Ltd | 9,063 | ||||||||
|
| |||||||||
Total South Korea | 1,438,841 | |||||||||
|
| |||||||||
Spain — 2.1% |
| |||||||||
45,066 | Ence Energia y Celulosa SA | 422,677 | ||||||||
652 | Papeles y Cartones de Europa SA | 12,623 | ||||||||
|
| |||||||||
Total Spain | 435,300 | |||||||||
|
| |||||||||
Sweden — 2.6% |
| |||||||||
1,826 | Fabege AB | 24,400 | ||||||||
6,871 | Granges AB | 80,486 | ||||||||
3,459 | Kindred Group Plc SDR | 42,538 | ||||||||
13,352 | Klovern AB – B Shares | 18,297 | ||||||||
1,421 | KNOW IT AB | 28,378 | ||||||||
1,235 | Mr. Green & Co AB * | 5,724 | ||||||||
7,091 | Nobina AB | 52,289 | ||||||||
3,300 | Nolato AB – B Shares | 233,136 | ||||||||
850 | Oriflame Holding AG | 24,732 | ||||||||
4,850 | Resurs Holding AB | 35,435 | ||||||||
|
| |||||||||
Total Sweden | 545,415 | |||||||||
|
| |||||||||
Switzerland — 5.3% |
| |||||||||
2,728 | ALSO Holding AG (Registered) * | 324,646 | ||||||||
768 | BKW AG | 54,477 | ||||||||
3,231 | Bobst Group SA (Registered) | 276,816 | ||||||||
324 | Georg Fischer AG (Registered) | 424,084 | ||||||||
11 | LEM Holding SA (Registered) | 13,988 | ||||||||
119 | Zehnder Group AG – Class RG | 5,633 | ||||||||
|
| |||||||||
Total Switzerland | 1,099,644 | |||||||||
|
| |||||||||
Taiwan — 2.6% |
| |||||||||
207,000 | Coretronic Corp | 389,437 | ||||||||
14,000 | Gigabyte Technology Co Ltd | 23,888 | ||||||||
76,000 | Wah Lee Industrial Corp | 137,156 | ||||||||
|
| |||||||||
Total Taiwan | 550,481 | |||||||||
|
| |||||||||
Turkey — 0.0% |
| |||||||||
7,850 | Selcuk Ecza Deposu Ticaret ve Sanayi AS | 3,730 | ||||||||
|
| |||||||||
United Kingdom — 14.1% |
| |||||||||
23,791 | Computacenter Plc | 418,323 | ||||||||
12,213 | Games Workshop Group Plc | 564,439 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued |
| |||||||||
20,001 | IG Group Holdings Plc | 234,865 | ||||||||
20,121 | Morgan Sindall Group Plc | 383,457 | ||||||||
19,241 | Plus500 Ltd | 384,398 | ||||||||
2,289 | Safestore Holdings Plc (REIT) | 15,782 | ||||||||
5,845 | Softcat Plc | 64,420 | ||||||||
60,647 | SThree Plc | 277,419 | ||||||||
78,268 | Stock Spirits Group Plc | 195,983 | ||||||||
48,305 | Vesuvius Plc | 389,156 | ||||||||
|
| |||||||||
Total United Kingdom | 2,928,242 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $20,394,677) | 20,033,956 | |||||||||
|
| |||||||||
PREFERRED STOCKS (a) — 0.2% |
| |||||||||
Germany — 0.2% |
| |||||||||
447 | Sixt SE | 37,353 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $35,748) | 37,353 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 3.1% |
| |||||||||
United States — 3.1% |
| |||||||||
Affiliated Issuers — 3.1% | ||||||||||
25,594 | GMO U.S. Treasury Fund | 639,328 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $639,328) | 639,328 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% |
| |||||||||
Money Market Fund — 0.2% |
| |||||||||
45,712 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (b) | 45,712 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $45,712) | 45,712 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $21,115,465) | 20,756,349 | |||||||||
Other Assets and Liabilities (net) — 0.3% | 62,025 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $20,818,374 | |||||||||
|
|
See accompanying notes to the financial statements. | 21 |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
4 | Mini MSCI EAFE | September 2018 | $ | 391,760 | $ | (4,801 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2018, 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) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
22 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.3 | % | ||
Preferred Stocks | 0.6 | |||
Mutual Funds | 0.6 | |||
Short-Term Investments | 0.2 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 27.9 | % | ||
United Kingdom | 15.6 | |||
Germany | 12.4 | |||
France | 8.0 | |||
Sweden | 5.8 | |||
Switzerland | 5.2 | |||
Australia | 4.9 | |||
Italy | 4.7 | |||
Other Developed | 3.8 | ‡ | ||
Norway | 3.8 | |||
Hong Kong | 3.4 | |||
Netherlands | 2.8 | |||
Denmark | 1.7 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 14.0 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 12.6 | |||
Materials | 11.5 | |||
Automobiles & Components | 8.2 | |||
Banks | 7.6 | |||
Food, Beverage & Tobacco | 6.5 | |||
Technology Hardware & Equipment | 5.1 | |||
Consumer Durables & Apparel | 5.0 | |||
Insurance | 4.7 | |||
Diversified Financials | 4.3 | |||
Energy | 2.9 | |||
Semiconductors & Semiconductor | 2.8 | |||
Transportation | 2.7 | |||
Household & Personal Products | 2.5 | |||
Telecommunication Services | 2.4 | |||
Software & Services | 1.8 | |||
Utilities | 1.2 | |||
Real Estate | 1.2 | |||
Retailing | 1.1 | |||
Commercial & Professional Services | 0.7 | |||
Consumer Services | 0.5 | |||
Media | 0.3 | |||
Food & Staples Retailing | 0.2 | |||
Health Care Equipment & Services | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
23
GMO International Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.3% |
| |||||||||
Australia — 4.9% |
| |||||||||
281,212 | Abacus Property Group (REIT) | 705,255 | ||||||||
53,956 | Altium Ltd | 1,089,978 | ||||||||
184,450 | Appen Ltd | 2,037,961 | ||||||||
564,515 | Caltex Australia Ltd | 12,267,071 | ||||||||
1,938,303 | Costa Group Holdings Ltd | 10,090,190 | ||||||||
112,623 | Credit Corp Group Ltd | 1,869,487 | ||||||||
160,897 | Crown Resorts Ltd | 1,645,395 | ||||||||
245,236 | CSL Ltd | 40,203,110 | ||||||||
2,493,489 | CSR Ltd | 7,730,346 | ||||||||
4,338,670 | Downer EDI Ltd | 24,137,201 | ||||||||
110,271 | Elders Ltd | 528,927 | ||||||||
543,852 | Macquarie Group Ltd | 50,868,224 | ||||||||
740,772 | Metcash Ltd | 1,474,991 | ||||||||
1,547,774 | Mineral Resources Ltd | 16,859,728 | ||||||||
2,676 | Monadelphous Group Ltd | 27,666 | ||||||||
3,016,700 | Nine Entertainment Co Holdings Ltd | 5,241,595 | ||||||||
1,713,099 | OZ Minerals Ltd | 11,138,295 | ||||||||
509,074 | Pact Group Holdings Ltd | 1,507,768 | ||||||||
162,922 | Qantas Airways Ltd | 754,224 | ||||||||
557,202 | Sandfire Resources NL | 2,841,252 | ||||||||
1,030,174 | Shopping Centres Australasia Property Group (REIT) | 1,788,211 | ||||||||
345,301 | Sigma Healthcare Ltd | 141,635 | ||||||||
252,701 | Southern Cross Media Group Ltd | 251,607 | ||||||||
319,432 | Tassal Group Ltd | 1,021,151 | ||||||||
17,335 | Virtus Health Ltd | 72,547 | ||||||||
|
| |||||||||
Total Australia | 196,293,815 | |||||||||
|
| |||||||||
Austria — 0.8% |
| |||||||||
69,286 | Oesterreichische Post AG | 3,061,649 | ||||||||
393,728 | OMV AG | 20,874,269 | ||||||||
183,920 | voestalpine AG | 8,266,892 | ||||||||
|
| |||||||||
Total Austria | 32,202,810 | |||||||||
|
| |||||||||
Belgium — 0.5% |
| |||||||||
538,793 | AGFA-Gevaert NV * | 2,366,041 | ||||||||
1,001 | Barco NV | 137,743 | ||||||||
40,732 | D’ieteren SA/NV | 1,806,172 | ||||||||
6,577 | Elia System Operator SA/NV | 410,780 | ||||||||
129,378 | KBC Group NV | 9,198,746 | ||||||||
79,421 | Orange Belgium SA | 1,200,501 | ||||||||
60,701 | UCB SA | 5,556,529 | ||||||||
|
| |||||||||
Total Belgium | 20,676,512 | |||||||||
|
| |||||||||
Denmark — 1.7% |
| |||||||||
417,927 | Novo Nordisk A/S Sponsored ADR | 20,549,471 | ||||||||
753,240 | Novo Nordisk A/S – Class B | 37,079,113 | ||||||||
11,091 | Per Aarsleff Holding A/S | 442,295 | ||||||||
3,090 | Rockwool International A/S – Class B | 1,342,707 |
Shares | Description | Value ($) | ||||||||
Denmark — continued | ||||||||||
74,784 | Royal Unibrew A/S | 6,444,633 | ||||||||
7,566 | Schouw & Co AB | 598,218 | ||||||||
9,210 | SimCorp A/S | 872,361 | ||||||||
|
| |||||||||
Total Denmark | 67,328,798 | |||||||||
|
| |||||||||
Finland — 0.2% |
| |||||||||
40,363 | DNA Oyj | 858,825 | ||||||||
9,776 | Neste Oyj | 848,778 | ||||||||
23,933 | Tieto Oyj | 776,817 | ||||||||
152,223 | UPM-Kymmene Oyj | 5,871,922 | ||||||||
|
| |||||||||
Total Finland | 8,356,342 | |||||||||
|
| |||||||||
France — 7.9% |
| |||||||||
18,695 | AXA SA | 471,129 | ||||||||
822,598 | BNP Paribas SA | 48,428,770 | ||||||||
114,196 | Christian Dior SE | 49,270,394 | ||||||||
618,691 | CNP Assurances | 14,299,660 | ||||||||
15,143 | IPSOS | 480,012 | ||||||||
237,634 | L’Oreal SA | 56,890,979 | ||||||||
208,823 | Metropole Television SA | 4,134,466 | ||||||||
195,296 | Sanofi | 16,770,723 | ||||||||
233,828 | Sanofi ADR | 10,019,530 | ||||||||
74,811 | SCOR SE | 3,024,251 | ||||||||
777,512 | Societe Generale SA | 31,837,007 | ||||||||
1,788,022 | STMicroelectronics NV – NY Shares | 36,994,175 | ||||||||
2,093,439 | STMicroelectronics NV | 43,193,054 | ||||||||
|
| |||||||||
Total France | 315,814,150 | |||||||||
|
| |||||||||
Germany — 11.7% |
| |||||||||
114,812 | ADVA Optical Networking SE * | 919,255 | ||||||||
494,023 | Allianz SE (Registered) | 105,296,944 | ||||||||
131,681 | BASF SE | 12,168,053 | ||||||||
114,966 | Bayer AG (Registered) | 10,729,123 | ||||||||
946,197 | Bayerische Motoren Werke AG | 91,598,235 | ||||||||
71,737 | Bechtle AG | 7,471,236 | ||||||||
5,166 | Cewe Stiftung & Co KGAA | 474,955 | ||||||||
317,337 | Covestro AG | 27,018,522 | ||||||||
1,331,483 | Daimler AG (Registered Shares) | 86,107,435 | ||||||||
2,490,576 | Deutsche Lufthansa AG (Registered) | 65,072,672 | ||||||||
402,663 | Deutsche Pfandbriefbank AG | 5,894,704 | ||||||||
8,615 | Diebold Nixdorf AG | 571,328 | ||||||||
43,776 | Henkel AG & Co KGaA | 4,884,780 | ||||||||
6,074 | Indus Holding AG | 391,304 | ||||||||
50,576 | Jenoptik AG | 1,989,746 | ||||||||
1,899 | Koenig & Bauer AG | 131,717 | ||||||||
49,705 | Leoni AG | 2,144,444 | ||||||||
188,953 | RHOEN-KLINIKUM AG | 4,961,950 | ||||||||
19,485 | Siltronic AG | 2,824,742 | ||||||||
105,206 | Software AG | 5,188,042 | ||||||||
45,692 | Talanx AG | 1,725,387 |
24 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
173,865 | Volkswagen AG | 27,986,842 | ||||||||
|
| |||||||||
Total Germany | 465,551,416 | |||||||||
|
| |||||||||
Hong Kong — 3.4% |
| |||||||||
6,161,073 | BOC Hong Kong Holdings Ltd | 30,089,408 | ||||||||
2,523,640 | Champion (REIT) | 1,856,177 | ||||||||
2,067,814 | Dah Sing Banking Group Ltd | 4,265,078 | ||||||||
411,515 | Dah Sing Financial Holdings Ltd | 2,559,506 | ||||||||
4,603,096 | Esprit Holdings Ltd * | 1,091,418 | ||||||||
291,645 | Fortune Real Estate Investment Trust | 349,349 | ||||||||
3,809,645 | Global Brands Group Holding Ltd * | 184,657 | ||||||||
2,171,001 | Hysan Development Co Ltd | 11,140,074 | ||||||||
4,988,469 | I-CABLE Communications Ltd * | 56,583 | ||||||||
2,395,913 | Kerry Properties Ltd | 9,086,076 | ||||||||
803,257 | Luk Fook Holdings International Ltd | 2,795,100 | ||||||||
1,419,647 | Pacific Textiles Holdings Ltd | 1,076,457 | ||||||||
9,434,916 | SJM Holdings Ltd | 10,682,322 | ||||||||
1,336,673 | SmarTone Telecommunications Holdings Ltd | 1,352,501 | ||||||||
381,680 | Television Broadcasts Ltd | 1,133,618 | ||||||||
47,968,920 | WH Group Ltd | 36,227,540 | ||||||||
2,404,477 | Wharf Holdings Ltd (The) | 6,866,592 | ||||||||
599,310 | Wharf Real Estate Investment Co Ltd | 3,976,329 | ||||||||
1,137,045 | Wheelock & Co Ltd | 7,139,606 | ||||||||
740,122 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 180,155 | ||||||||
1,776,297 | Yue Yuen Industrial Holdings Ltd | 4,924,320 | ||||||||
|
| |||||||||
Total Hong Kong | 137,032,866 | |||||||||
|
| |||||||||
Ireland — 0.2% |
| |||||||||
52,811 | ICON Plc * | 7,869,895 | ||||||||
|
| |||||||||
Israel — 0.2% |
| |||||||||
707,790 | Bank Leumi Le-Israel BM | 4,754,463 | ||||||||
1,390,486 | Israel Discount Bank Ltd – Class A | 4,859,562 | ||||||||
|
| |||||||||
Total Israel | 9,614,025 | |||||||||
|
| |||||||||
Italy — 4.7% |
| |||||||||
68,883 | De’ Longhi SPA | 2,252,115 | ||||||||
6,475,585 | Enel SPA | 32,014,899 | ||||||||
99,551 | ERG SPA | 2,062,043 | ||||||||
669,237 | EXOR NV | 43,546,650 | ||||||||
4,553,824 | Fiat Chrysler Automobiles NV * | 77,915,929 | ||||||||
16,211 | Fiat Chrysler Automobiles NV * | 274,449 | ||||||||
860,308 | Hera SPA | 2,699,001 | ||||||||
1,952,528 | Iren SPA | 4,579,424 | ||||||||
45,129 | La Doria SPA | 517,855 | ||||||||
259,151 | Mediobanca Banca di Credito Finanziario SPA | 2,413,117 | ||||||||
206,405 | Poste Italiane SPA | 1,589,992 | ||||||||
153,652 | Recordati SPA | 5,382,728 | ||||||||
8,580 | Reply SPA | 567,627 |
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
1,457,711 | Societa Cattolica di Assicurazioni SC | 11,830,479 | ||||||||
|
| |||||||||
Total Italy | 187,646,308 | |||||||||
|
| |||||||||
Japan — 27.8% |
| |||||||||
17,213 | ADEKA Corp | 284,635 | ||||||||
123,314 | Alpine Electronics Inc | 2,738,003 | ||||||||
73,353 | AOKI Holdings Inc | 989,389 | ||||||||
3,394,376 | Asahi Kasei Corp | 49,739,575 | ||||||||
2,006,550 | Astellas Pharma Inc | 34,018,246 | ||||||||
111,927 | Autobacs Seven Co Ltd | 1,901,152 | ||||||||
1,741,921 | Brother Industries Ltd | 35,734,324 | ||||||||
644,304 | Canon Inc | 20,673,520 | ||||||||
45,636 | Cawachi Ltd | 871,313 | ||||||||
3,900 | Central Japan Railway Co | 783,030 | ||||||||
188,457 | CKD Corp | 2,783,575 | ||||||||
10,946 | Computer Engineering & Consulting Ltd | 239,261 | ||||||||
251,633 | Cosmo Energy Holdings Co Ltd | 9,271,597 | ||||||||
25,934 | Daikyo Inc | 530,134 | ||||||||
62,319 | Daiwabo Holdings Co Ltd | 3,716,325 | ||||||||
709,162 | DCM Holdings Co Ltd | 6,477,016 | ||||||||
249,909 | Denka Co Ltd | 8,551,647 | ||||||||
81,385 | Dexerials Corp | 894,559 | ||||||||
61,878 | Doutor Nichires Holdings Co Ltd | 1,088,434 | ||||||||
15,183 | DTS Corp | 622,262 | ||||||||
6,621 | Ehime Bank Ltd (The) | 73,017 | ||||||||
331,696 | Fancl Corp | 17,039,056 | ||||||||
1,687,225 | Fuji Electric Co Ltd | 13,591,263 | ||||||||
5,928,957 | Fujitsu Ltd | 43,351,459 | ||||||||
13,418 | Fuji Oil Holdings Inc | 407,888 | ||||||||
30,189 | Fuyo General Lease Co Ltd | 1,812,162 | ||||||||
148,912 | Geo Holdings Corp | 2,165,826 | ||||||||
20,435 | Gunze Ltd | 1,068,488 | ||||||||
52,300 | Hakuhodo DY Holdings Inc | 882,391 | ||||||||
244,367 | Hanwa Co Ltd | 8,237,605 | ||||||||
19,400 | Hitachi High-Technologies Corp | 761,099 | ||||||||
13,041,391 | Hitachi Ltd | 85,128,557 | ||||||||
2,031 | Hokuetsu Bank Ltd (The) | 40,911 | ||||||||
26,600 | Honda Motor Co Ltd | 787,977 | ||||||||
11,300 | Horiba Ltd | 699,748 | ||||||||
255,849 | House Foods Group Inc | 7,585,267 | ||||||||
5,701,968 | ITOCHU Corp | 99,635,339 | ||||||||
17,051 | Itochu Techno-Solutions Corp | 377,167 | ||||||||
161,711 | Kanematsu Corp | 2,398,232 | ||||||||
29,300 | KDDI Corp | 774,687 | ||||||||
132,317 | Keihin Corp | 2,780,569 | ||||||||
1,500 | Keyence Corp | 849,162 | ||||||||
9,975 | Kobayashi Pharmaceutical Co Ltd | 715,811 | ||||||||
53,669 | Kohnan Shoji Co Ltd | 1,237,583 | ||||||||
13,171 | Kokuyo Co Ltd | 228,485 | ||||||||
37,295 | Kose Corp | 6,876,579 | ||||||||
50,667 | Mandom Corp | 1,521,926 |
See accompanying notes to the financial statements. | 25 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
5,773,212 | Marubeni Corp | 47,302,554 | ||||||||
2,119 | Maruwa Co Ltd | 158,224 | ||||||||
9,448,156 | Mitsubishi Chemical Holdings Corp | 84,653,041 | ||||||||
728,316 | Mitsubishi Corp | 20,769,426 | ||||||||
2,480,387 | Mitsubishi Electric Corp | 33,483,919 | ||||||||
716,841 | Mitsubishi Gas Chemical Co Inc | 14,901,604 | ||||||||
226,607 | Mitsubishi Tanabe Pharma Corp | 3,779,575 | ||||||||
1,279,033 | Mitsui & Co Ltd | 21,307,127 | ||||||||
344,314 | Mitsui Chemicals Inc | 8,898,848 | ||||||||
3,178 | Mitsui Sugar Co Ltd | 86,612 | ||||||||
80,150 | Modec Inc | 2,425,719 | ||||||||
76,266 | Namura Shipbuilding Co Ltd | 342,344 | ||||||||
376,472 | NET One Systems Co Ltd | 8,719,615 | ||||||||
303,914 | Nichias Corp | 3,950,765 | ||||||||
111,309 | Nippo Corp | 2,065,929 | ||||||||
2,039,544 | Nippon Telegraph & Telephone Corp | 90,741,292 | ||||||||
68,233 | Nippon Signal Co Ltd | 699,447 | ||||||||
104,512 | Nishi-Nippon Financial Holdings Inc | 1,215,541 | ||||||||
88,887 | Nisshin Seifun Group Inc | 1,777,832 | ||||||||
83,680 | Nisshinbo Holdings Inc | 938,279 | ||||||||
31,300 | NTT DOCOMO Inc | 811,162 | ||||||||
707 | NuFlare Technology Inc | 39,298 | ||||||||
134,392 | Okinawa Electric Power Co (The) | 2,701,095 | ||||||||
235,946 | Pola Orbis Holdings Inc | 8,315,160 | ||||||||
94,802 | Press Kogyo Co Ltd | 496,443 | ||||||||
1,219,980 | Prima Meat Packers Ltd | 6,056,115 | ||||||||
139,600 | Resona Holdings Inc | 791,842 | ||||||||
199,486 | Rohto Pharmaceutical Co Ltd | 6,372,749 | ||||||||
37,957 | San-A Co Ltd | 1,770,284 | ||||||||
6,003 | Sankyu Inc | 318,407 | ||||||||
100,187 | Seiko Holdings Corp | 2,801,419 | ||||||||
1,235,828 | Sekisui Chemical Co Ltd | 21,469,023 | ||||||||
53,200 | Showa Corp | 847,432 | ||||||||
33,455 | Softbank Technology Corp | 738,979 | ||||||||
11,724,287 | Sojitz Corp | 40,798,939 | ||||||||
8,910,063 | Sumitomo Chemical Co Ltd | 50,571,861 | ||||||||
52,700 | Sumitomo Dainippon Pharma Co Ltd | 1,121,409 | ||||||||
66,227 | Sumitomo Forestry Co Ltd | 1,069,736 | ||||||||
234,005 | Sumitomo Heavy Industries Ltd | 7,613,855 | ||||||||
27,200 | Suntory Beverage & Food Ltd | 1,114,132 | ||||||||
142,203 | T-Gaia Corp | 3,742,236 | ||||||||
156,350 | Tokyo Electron Ltd | 26,618,548 | ||||||||
43,361 | Tokyo Seimitsu Co Ltd | 1,347,423 | ||||||||
151,295 | Tokyu Construction Co Ltd | 1,390,114 | ||||||||
1,126,904 | Tosoh Corp | 17,681,394 | ||||||||
48,637 | Towa Pharmaceutical Co Ltd | 3,385,641 | ||||||||
1,019,254 | Toyota Tsusho Corp | 34,723,643 | ||||||||
27,982 | TPR Co Ltd | 656,327 | ||||||||
228,267 | TS Tech Co Ltd | 8,612,722 | ||||||||
76,619 | TSI Holdings Co Ltd | 507,962 | ||||||||
422,116 | Ube Industries Ltd | 10,740,488 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
6,003 | UKC Holdings Corp | 132,246 | ||||||||
197,814 | Valor Holdings Co Ltd | 4,196,379 | ||||||||
23,304 | Warabeya Nichiyo Holdings Co Ltd | 458,509 | ||||||||
26,746 | Yahagi Construction Co Ltd | 199,467 | ||||||||
547,363 | Zeon Corp | 5,867,430 | ||||||||
|
| |||||||||
Total Japan | 1,107,233,813 | |||||||||
|
| |||||||||
Malta — 0.0% |
| |||||||||
15,858,986 | BGP Holdings Plc * (a) | — | ||||||||
|
| |||||||||
Netherlands — 2.7% |
| |||||||||
77,343 | ASR Nederland NV | 3,697,707 | ||||||||
91,694 | BinckBank NV | 591,807 | ||||||||
16,849 | Corbion NV | 529,779 | ||||||||
171,411 | Heineken Holding NV | 16,354,915 | ||||||||
6,431,127 | ING Groep NV | 87,359,018 | ||||||||
31,461 | Koninklijke Ahold Delhaize NV | 766,371 | ||||||||
|
| |||||||||
Total Netherlands | 109,299,597 | |||||||||
|
| |||||||||
New Zealand — 0.1% |
| |||||||||
481,967 | Air New Zealand Ltd | 1,052,189 | ||||||||
208,052 | Chorus Ltd | 636,030 | ||||||||
|
| |||||||||
Total New Zealand | 1,688,219 | |||||||||
|
| |||||||||
Norway — 3.7% |
| |||||||||
33,335 | Aker ASA – A Shares | 2,611,733 | ||||||||
10,483 | Austevoll Seafood ASA | 137,940 | ||||||||
157,490 | Bakkafrost P/F | 8,984,724 | ||||||||
437,753 | BW LPG Ltd * | 1,707,782 | ||||||||
2,877,863 | DNB ASA | 58,506,982 | ||||||||
2,399,926 | Equinor ASA | 61,558,590 | ||||||||
303,618 | Leroy Seafood Group ASA | 2,308,739 | ||||||||
52,097 | Salmar ASA | 2,508,271 | ||||||||
10,853 | SpareBank 1 Nord Norge | 84,892 | ||||||||
1,203,318 | Storebrand ASA | 10,652,929 | ||||||||
|
| |||||||||
Total Norway | 149,062,582 | |||||||||
|
| |||||||||
Portugal — 0.1% |
| |||||||||
130,405 | Altri SGPS SA | 1,202,551 | ||||||||
291,299 | CTT-Correios de Portugal SA | 1,132,521 | ||||||||
156,727 | Navigator Co SA (The) | 783,139 | ||||||||
639,463 | REN-Redes Energeticas Nacionais SGPS SA | 1,811,204 | ||||||||
|
| |||||||||
Total Portugal | 4,929,415 | |||||||||
|
| |||||||||
Singapore — 0.4% |
| |||||||||
237,535 | DBS Group Holdings Ltd | 4,318,155 | ||||||||
1,208,946 | Mapletree North Asia Commercial Trust (REIT) | 1,021,617 | ||||||||
681,886 | Venture Corp Ltd | 9,002,425 | ||||||||
81,474 | Yanlord Land Group Ltd | 90,280 | ||||||||
|
| |||||||||
Total Singapore | 14,432,477 | |||||||||
|
|
26 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Spain — 0.7% |
| |||||||||
439,475 | Ebro Foods SA | 9,456,523 | ||||||||
330,696 | Ence Energia y Celulosa SA | 3,101,624 | ||||||||
1,769,921 | International Consolidated Airlines Group SA | 15,886,639 | ||||||||
492,850 | Unicaja Banco SA | 771,071 | ||||||||
|
| |||||||||
Total Spain | 29,215,857 | |||||||||
|
| |||||||||
Sweden — 5.8% |
| |||||||||
187,013 | Atlas Copco AB – A Shares | 5,331,291 | ||||||||
294,522 | Epiroc AB – Class A * | 3,059,500 | ||||||||
5,748 | Granges AB | 67,331 | ||||||||
308,414 | Kindred Group Plc SDR | 3,792,835 | ||||||||
52,970 | Klovern AB – B Shares | 72,589 | ||||||||
101,687 | Oriflame Holding AG | 2,958,699 | ||||||||
2,955,839 | Sandvik AB | 51,740,876 | ||||||||
374,746 | SAS AB * | 829,682 | ||||||||
101,246 | Securitas AB – B Shares | 1,801,842 | ||||||||
50,275 | SKF AB – B Shares | 966,413 | ||||||||
3,643,925 | Svenska Cellulosa AB SCA – Class B | 42,419,710 | ||||||||
29,328 | Swedish Orphan Biovitrum AB * | 934,632 | ||||||||
490,329 | Swedish Match AB | 26,212,269 | ||||||||
5,216,803 | Volvo AB – B Shares | 89,869,310 | ||||||||
94,381 | Wihlborgs Fastigheter AB | 1,138,351 | ||||||||
|
| |||||||||
Total Sweden | 231,195,330 | |||||||||
|
| |||||||||
Switzerland — 5.2% |
| |||||||||
51,443 | Ascom Holding AG (Registered) | 1,014,244 | ||||||||
6,111 | Autoneum Holding AG | 1,452,148 | ||||||||
1,566 | Banque Cantonale Vaudoise (Registered) | 1,173,482 | ||||||||
5,028 | BKW AG | 356,654 | ||||||||
303 | Bobst Group SA (Registered) | 25,960 | ||||||||
13,954 | Bucher Industries AG (Registered) | 4,889,322 | ||||||||
3,009 | Emmi AG (Registered) | 2,298,591 | ||||||||
15,301 | Galenica AG * | 907,275 | ||||||||
250,496 | GAM Holding AG * | 1,934,406 | ||||||||
20,698 | Georg Fischer AG (Registered) | 27,091,633 | ||||||||
10,879 | Implenia AG (Registered) | 692,823 | ||||||||
8,453 | Kardex AG (Registered) * | 1,515,047 | ||||||||
4,802 | Komax Holding AG (Registered) | 1,611,669 | ||||||||
453,393 | Logitech International SA (Registered) | 22,362,480 | ||||||||
270,392 | Novartis AG (Registered) | 22,432,291 | ||||||||
41,399 | Roche Holding AG | 10,379,721 | ||||||||
96,993 | Roche Holding AG | 24,049,760 | ||||||||
351,880 | Sika AG (Registered) | 52,115,577 | ||||||||
274,704 | Swiss Re AG | 24,715,213 | ||||||||
1,448 | Valora Holding AG (Registered) * | 419,805 | ||||||||
53,896 | Vontobel Holding AG (Registered) | 3,845,774 | ||||||||
4,556 | Zehnder Group AG – Class RG | 215,675 | ||||||||
|
| |||||||||
Total Switzerland | 205,499,550 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
United Kingdom — 15.6% |
| |||||||||
2,947,306 | 3i Group Plc | 34,318,928 | ||||||||
275,233 | Ashtead Group Plc | 8,445,960 | ||||||||
1,415,066 | AstraZeneca Plc | 106,800,345 | ||||||||
331,507 | Bellway Plc | 12,558,881 | ||||||||
665,385 | Berkeley Group Holdings Plc (The) | 31,473,468 | ||||||||
197,953 | Bovis Homes Group Plc | 2,893,030 | ||||||||
1,314,640 | British American Tobacco Plc | 63,572,378 | ||||||||
679,748 | Cairn Energy Plc * | 2,110,215 | ||||||||
904,161 | Coca-Cola HBC AG * | 30,958,559 | ||||||||
3,780,523 | Debenhams Plc | 641,761 | ||||||||
57,199 | Diageo Plc Sponsored ADR | 7,974,113 | ||||||||
40,126 | easyJet Plc | 794,917 | ||||||||
1,316,673 | Electrocomponents Plc | 12,691,378 | ||||||||
3,064,322 | Ferrexpo Plc | 6,185,609 | ||||||||
72,590 | Fevertree Drinks Plc | 3,509,380 | ||||||||
6,564,594 | Firstgroup Plc * | 7,576,734 | ||||||||
363,350 | Galliford Try Plc | 4,582,327 | ||||||||
5,996,209 | GlaxoSmithKline Plc | 121,440,441 | ||||||||
117,113 | Halfords Group Plc | 500,771 | ||||||||
17,200 | HSBC Holdings Plc Sponsored ADR | 756,972 | ||||||||
294,196 | Hunting Plc * | 3,186,743 | ||||||||
1,148,371 | IG Group Holdings Plc | 13,484,914 | ||||||||
911,779 | Inchcape Plc | 8,190,951 | ||||||||
2,271,486 | Indivior Plc * | 7,986,030 | ||||||||
32,426 | Intermediate Capital Group Plc | 442,075 | ||||||||
1,996,658 | Legal & General Group Plc | 6,598,236 | ||||||||
356,328 | National Express Group Plc | 1,832,059 | ||||||||
171,024 | Next Plc | 12,210,935 | ||||||||
419,548 | Nomad Foods Ltd * | 8,747,576 | ||||||||
2,029,114 | Persimmon Plc | 64,194,967 | ||||||||
744,267 | Plus500 Ltd | 14,869,036 | ||||||||
218,521 | QinetiQ Group Plc | 769,520 | ||||||||
1,044,964 | Royal Mail Plc | 6,076,692 | ||||||||
61,871 | Savills Plc | 642,460 | ||||||||
171,300 | Spectris Plc | 5,237,020 | ||||||||
39,179 | TUI AG | 723,181 | ||||||||
313,257 | Vesuvius Plc | 2,523,667 | ||||||||
806,134 | William Hill Plc | 2,693,416 | ||||||||
|
| |||||||||
Total United Kingdom | 620,195,645 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $3,746,997,683) | 3,921,139,422 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 0.6% |
| |||||||||
Germany — 0.6% |
| |||||||||
12,419 | Bayerische Motoren Werke AG | 1,041,423 | ||||||||
143,742 | Jungheinrich AG | 5,183,491 | ||||||||
115,318 | Volkswagen AG | 18,850,775 | ||||||||
|
| |||||||||
Total Germany | 25,075,689 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $22,817,543) | 25,075,689 | |||||||||
|
|
See accompanying notes to the financial statements. | 27 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 0.6% |
| |||||||||
United States — 0.6% |
| |||||||||
Affiliated Issuers — 0.6% |
| |||||||||
894,473 | GMO U.S. Treasury Fund | 22,343,940 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $22,343,940) | 22,343,940 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% |
| |||||||||
Money Market Fund — 0.2% |
| |||||||||
9,905,611 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (c) | 9,905,611 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $9,905,611) | 9,905,611 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $3,802,064,777) | 3,978,464,662 | |||||||||
Other Assets and Liabilities (net) — 0.3% | 11,536,457 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $3,990,001,119 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
124 | Mini MSCI EAFE | September 2018 | $ | 12,144,560 | $ | (323,533 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2018, 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) | 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 (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
28 | See accompanying notes to the financial statements. |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 93.6 | % | ||
Mutual Funds | 2.5 | |||
Preferred Stocks | 1.5 | |||
Short-Term Investments | 0.4 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 2.0 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 27.1 | % | ||
United Kingdom | 16.0 | |||
Germany | 9.9 | |||
France | 8.8 | |||
Hong Kong | 5.8 | |||
Switzerland | 5.6 | |||
Italy | 4.2 | |||
Sweden | 4.0 | |||
Netherlands | 3.7 | |||
Australia | 3.5 | |||
United States | 2.5 | |||
Other Developed | 2.3 | ‡ | ||
Austria | 1.9 | |||
Finland | 1.8 | |||
European Union | 1.5 | |||
Denmark | 1.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 13.2 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 12.8 | |||
Materials | 12.2 | |||
Automobiles & Components | 8.0 | |||
Banks | 7.2 | |||
Food, Beverage & Tobacco | 7.0 | |||
Consumer Durables & Apparel | 6.8 | |||
Technology Hardware & Equipment | 5.9 | |||
Diversified Financials | 5.4 | |||
Real Estate | 4.6 | |||
Insurance | 3.6 | |||
Energy | 2.8 | |||
Transportation | 2.5 | |||
Telecommunication Services | 2.3 | |||
Household & Personal Products | 2.0 | |||
Semiconductors & Semiconductor Equipment | 1.7 | |||
Software & Services | 1.0 | |||
Consumer Services | 0.3 | |||
Utilities | 0.3 | |||
Commercial & Professional Services | 0.2 | |||
Retailing | 0.2 | |||
Media | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
29
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.6% |
| |||||||||
Australia — 3.5% |
| |||||||||
6,941 | Caltex Australia Ltd | 150,830 | ||||||||
7,780 | Downer EDI Ltd | 43,282 | ||||||||
5,949 | Fairfax Media Ltd | 3,780 | ||||||||
3,637 | Macquarie Group Ltd | 340,180 | ||||||||
6,387 | Mineral Resources Ltd | 69,573 | ||||||||
3,309 | Westpac Banking Corp | 67,960 | ||||||||
|
| |||||||||
Total Australia | 675,605 | |||||||||
|
| |||||||||
Austria — 1.9% |
| |||||||||
6,976 | OMV AG | 369,846 | ||||||||
85 | voestalpine AG | 3,821 | ||||||||
|
| |||||||||
Total Austria | 373,667 | |||||||||
|
| |||||||||
Belgium — 0.0% |
| |||||||||
361 | bpost SA | 5,471 | ||||||||
|
| |||||||||
Denmark — 1.4% |
| |||||||||
1,500 | Novo Nordisk A/S Sponsored ADR | 73,755 | ||||||||
3,969 | Novo Nordisk A/S – Class B | 195,379 | ||||||||
|
| |||||||||
Total Denmark | 269,134 | |||||||||
|
| |||||||||
Finland — 1.8% |
| |||||||||
9,138 | UPM – Kymmene Oyj | 352,494 | ||||||||
|
| |||||||||
France — 8.7% |
| |||||||||
4,915 | AXA SA | 123,862 | ||||||||
7,464 | BNP Paribas SA | 439,428 | ||||||||
548 | Christian Dior SE | 236,437 | ||||||||
1,526 | L’Oreal SA | 365,333 | ||||||||
800 | Sanofi ADR | 34,280 | ||||||||
818 | SCOR SE | 33,068 | ||||||||
4,240 | Societe Generale SA | 173,616 | ||||||||
13,100 | STMicroelectronics NV – NY Shares | 271,039 | ||||||||
1,016 | STMicroelectronics NV | 20,963 | ||||||||
|
| |||||||||
Total France | 1,698,026 | |||||||||
|
| |||||||||
Germany — 8.3% |
| |||||||||
2,383 | Allianz SE (Registered) | 507,917 | ||||||||
4,392 | Bayerische Motoren Werke AG | 425,175 | ||||||||
3,686 | Daimler AG (Registered Shares) | 238,375 | ||||||||
11,919 | Deutsche Lufthansa AG (Registered) | 311,414 | ||||||||
773 | Volkswagen AG | 124,429 | ||||||||
|
| |||||||||
Total Germany | 1,607,310 | |||||||||
|
| |||||||||
Hong Kong — 5.8% |
| |||||||||
6,000 | BOC Hong Kong Holdings Ltd | 29,303 | ||||||||
54,000 | SJM Holdings Ltd | 61,139 | ||||||||
257,000 | WH Group Ltd | 194,094 | ||||||||
62,000 | Wharf Holdings Ltd (The) | 177,057 |
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
61,000 | Wharf Real Estate Investment Co Ltd | 404,725 | ||||||||
41,000 | Wheelock & Co Ltd | 257,443 | ||||||||
|
| |||||||||
Total Hong Kong | 1,123,761 | |||||||||
|
| |||||||||
Ireland — 0.6% |
| |||||||||
800 | ICON Plc * | 119,216 | ||||||||
|
| |||||||||
Israel — 0.0% |
| |||||||||
400 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 9,164 | ||||||||
|
| |||||||||
Italy — 4.2% |
| |||||||||
293 | ASTM SPA | 5,980 | ||||||||
10,069 | Enel SPA | 49,781 | ||||||||
5,405 | EXOR NV | 351,698 | ||||||||
23,500 | Fiat Chrysler Automobiles NV * | 402,085 | ||||||||
|
| |||||||||
Total Italy | 809,544 | |||||||||
|
| |||||||||
Japan — 26.9% |
| |||||||||
29,100 | Asahi Kasei Corp | 426,418 | ||||||||
11,300 | Brother Industries Ltd | 231,812 | ||||||||
7,100 | Canon Inc | 227,815 | ||||||||
26,000 | Fujitsu Ltd | 190,107 | ||||||||
60,000 | Hitachi Ltd | 391,654 | ||||||||
1,500 | House Foods Group Inc | 44,471 | ||||||||
26,600 | ITOCHU Corp | 464,804 | ||||||||
2,280 | K’s Holdings Corp | 27,599 | ||||||||
55,800 | Marubeni Corp | 457,195 | ||||||||
44,200 | Mitsubishi Chemical Holdings Corp | 396,021 | ||||||||
20,400 | Mitsubishi Electric Corp | 275,389 | ||||||||
6,200 | Mitsubishi Gas Chemical Co Inc | 128,885 | ||||||||
9,700 | Nippon Telegraph & Telephone Corp | 431,562 | ||||||||
2,300 | Nisshinbo Holdings Inc | 25,789 | ||||||||
6,600 | Otsuka Holdings Co Ltd | 309,639 | ||||||||
1,300 | Rohto Pharmaceutical Co Ltd | 41,530 | ||||||||
18,900 | Sekisui Chemical Co Ltd | 328,334 | ||||||||
63,300 | Sojitz Corp | 220,276 | ||||||||
38,000 | Sumitomo Chemical Co Ltd | 215,681 | ||||||||
100 | Tokyo Electron Ltd | 17,025 | ||||||||
10,700 | Toyota Tsusho Corp | 364,524 | ||||||||
|
| |||||||||
Total Japan | 5,216,530 | |||||||||
|
| |||||||||
Malta — 0.0% |
| |||||||||
15,998,662 | BGP Holdings Plc * (a) | — | ||||||||
|
| |||||||||
Netherlands — 3.7% |
| |||||||||
3,162 | Heineken Holding NV | 301,697 | ||||||||
30,187 | ING Groep NV | 410,054 | ||||||||
|
| |||||||||
Total Netherlands | 711,751 | |||||||||
|
|
30 | See accompanying notes to the financial statements. |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Norway — 0.9% |
| |||||||||
8,883 | DNB ASA | 180,591 | ||||||||
|
| |||||||||
Singapore — 0.7% |
| |||||||||
800 | DBS Group Holdings Ltd | 14,543 | ||||||||
9,100 | Venture Corp Ltd | 120,141 | ||||||||
|
| |||||||||
Total Singapore | 134,684 | |||||||||
|
| |||||||||
Sweden — 3.9% |
| |||||||||
1,171 | Epiroc AB – Class A * | 12,164 | ||||||||
24,826 | Svenska Cellulosa AB SCA – Class B | 289,005 | ||||||||
749 | Swedish Match AB | 40,041 | ||||||||
24,348 | Volvo AB – B Shares | 419,440 | ||||||||
|
| |||||||||
Total Sweden | 760,650 | |||||||||
|
| |||||||||
Switzerland — 5.5% |
| |||||||||
16 | Bucher Industries AG (Registered) | 5,606 | ||||||||
152 | Georg Fischer AG (Registered) | 198,953 | ||||||||
1,762 | Roche Holding AG | 436,894 | ||||||||
272 | Roche Holding AG | 68,197 | ||||||||
2,414 | Sika AG (Registered) | 357,528 | ||||||||
|
| |||||||||
Total Switzerland | 1,067,178 | |||||||||
|
| |||||||||
United Kingdom — 15.8% |
| |||||||||
20,589 | 3i Group Plc | 239,742 | ||||||||
7,242 | AstraZeneca Plc | 546,581 | ||||||||
6,485 | Berkeley Group Holdings Plc (The) | 306,748 | ||||||||
10,459 | British American Tobacco Plc | 505,768 | ||||||||
2,036 | Coca-Cola HBC AG * | 69,713 | ||||||||
11,507 | Electrocomponents Plc | 110,916 | ||||||||
8,042 | Ferrexpo Plc | 16,234 | ||||||||
26,239 | GlaxoSmithKline Plc | 531,415 | ||||||||
400 | HSBC Holdings Plc Sponsored ADR | 17,604 | ||||||||
3,673 | IG Group Holdings Plc | 43,131 | ||||||||
6,300 | Nomad Foods Ltd * | 131,355 | ||||||||
12,143 | Persimmon Plc | 384,167 | ||||||||
1,307 | Plus500 Ltd | 26,111 | ||||||||
24,773 | Royal Mail Plc | 144,060 | ||||||||
|
| |||||||||
Total United Kingdom | 3,073,545 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $17,298,023) | 18,188,321 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS (b) — 1.5% |
| |||||||||
Germany — 1.5% |
| |||||||||
4,657 | Porsche Automobil Holding SE | 294,645 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $214,775) | 294,645 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.5% |
| |||||||||
United States — 2.5% |
| |||||||||
Affiliated Issuers — 2.5% | ||||||||||
19,124 | GMO U.S. Treasury Fund | 477,713 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $477,713) | 477,713 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.4% |
| |||||||||
Money Market Fund — 0.4% |
| |||||||||
69,503 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (c) | 69,503 | ||||||||
|
| |||||||||
Total Money Market Funds | 69,503 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $69,503) | 69,503 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.0% (Cost $18,060,014) | 19,030,182 | |||||||||
Other Assets and Liabilities (net) — 2.0% | 394,742 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $19,424,924 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
3 | Mini MSCI EAFE | September 2018 | $ | 293,820 | $ | 218 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2018, 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.
See accompanying notes to the financial statements. | 31 |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Notes to Schedule of Investments:
* | 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 (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
32 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.1 | % | ||
Short-Term Investments | 1.4 | |||
Mutual Funds | 0.7 | |||
Other | (0.2 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
United States | 83.4 | % | ||
United Kingdom | 6.9 | |||
Switzerland | 5.7 | |||
Taiwan | 2.2 | |||
Germany | 1.8 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Software & Services | 29.5 | % | ||
Health Care Equipment & Services | 13.2 | |||
Technology Hardware & Equipment | 9.9 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 9.7 | |||
Semiconductors & Semiconductor Equipment | 6.8 | |||
Food, Beverage & Tobacco | 6.5 | |||
Banks | 5.4 | |||
Capital Goods | 5.0 | |||
Household & Personal Products | 4.7 | |||
Food & Staples Retailing | 3.2 | |||
Retailing | 3.0 | |||
Diversified Financials | 2.6 | |||
Consumer Services | 0.4 | |||
Consumer Durables & Apparel | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
33
GMO Quality Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.1% |
| |||||||||
Banks — 5.3% |
| |||||||||
3,368,046 | US Bancorp | 182,244,969 | ||||||||
3,338,662 | Wells Fargo & Co. | 195,244,954 | ||||||||
|
| |||||||||
Total Banks | 377,489,923 | |||||||||
|
| |||||||||
Capital Goods — 4.9% |
| |||||||||
562,653 | 3M Co. | 118,674,771 | ||||||||
514,294 | Honeywell International, Inc. | 81,803,603 | ||||||||
1,156,887 | United Technologies Corp. | 152,362,018 | ||||||||
|
| |||||||||
Total Capital Goods | 352,840,392 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 0.1% |
| |||||||||
81,910 | VF Corp. | 7,546,368 | ||||||||
|
| |||||||||
Consumer Services — 0.4% |
| |||||||||
1,446,577 | Compass Group Plc | 31,146,619 | ||||||||
|
| |||||||||
Diversified Financials — 2.5% |
| |||||||||
1,720,146 | American Express Co. | 182,301,073 | ||||||||
|
| |||||||||
Food & Staples Retailing — 3.1% |
| |||||||||
951,973 | Costco Wholesale Corp. | 221,933,465 | ||||||||
|
| |||||||||
Food, Beverage & Tobacco — 6.4% |
| |||||||||
2,564,579 | British American Tobacco Plc | 124,015,994 | ||||||||
2,439,355 | Coca-Cola Co. (The) | 108,722,052 | ||||||||
1,394,849 | Nestle SA (Registered) | 116,926,101 | ||||||||
278,567 | PepsiCo, Inc. | 31,202,290 | ||||||||
975,007 | Philip Morris International, Inc. | 75,943,295 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 456,809,732 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 13.0% |
| |||||||||
1,458,247 | Abbott Laboratories | 97,469,229 | ||||||||
690,520 | Anthem, Inc. | 182,801,360 | ||||||||
361,600 | Becton Dickinson and Co. | 94,692,192 | ||||||||
2,337,670 | Medtronic Plc | 225,374,765 | ||||||||
293,016 | Stryker Corp. | 49,645,701 | ||||||||
1,036,803 | UnitedHealth Group, Inc. | 278,340,133 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 928,323,380 | |||||||||
|
| |||||||||
Household & Personal Products — 4.6% |
| |||||||||
1,729,340 | Reckitt Benckiser Group Plc | 147,309,007 | ||||||||
3,231,325 | Unilever Plc | 184,136,192 | ||||||||
|
| |||||||||
Total Household & Personal Products | 331,445,199 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 9.5% |
| |||||||||
1,675,508 | Johnson & Johnson | 225,674,173 | ||||||||
2,149,241 | Merck & Co., Inc. | 147,416,440 | ||||||||
1,493,136 | Novartis AG (Registered) | 123,873,714 |
Shares/ Par Value† | Description | Value ($) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — continued |
| |||||||||
471,912 | Pfizer, Inc. | 19,593,786 | ||||||||
664,540 | Roche Holding AG | 164,775,064 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 681,333,177 | |||||||||
|
| |||||||||
Retailing — 3.0% |
| |||||||||
1,921,050 | TJX Cos, Inc. (The) | 211,257,869 | ||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 6.7% |
| |||||||||
2,878,210 | QUALCOMM, Inc. | 197,761,809 | ||||||||
18,359,790 | Taiwan Semiconductor Manufacturing Co Ltd | 153,830,965 | ||||||||
1,131,581 | Texas Instruments, Inc. | 127,189,705 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 478,782,479 | |||||||||
|
| |||||||||
Software & Services — 28.9% |
| |||||||||
1,413,062 | Accenture Plc – Class A | 238,906,392 | ||||||||
176,055 | Alphabet, Inc. – Class A * | 216,864,549 | ||||||||
201,923 | Alphabet, Inc. – Class C * | 245,980,580 | ||||||||
2,171,758 | Cognizant Technology Solutions Corp. – Class A | 170,330,980 | ||||||||
635,972 | Facebook, Inc. – Class A * | 111,759,360 | ||||||||
349,852 | Mastercard, Inc. – Class A | 75,414,097 | ||||||||
3,634,015 | Microsoft Corp. | 408,208,905 | ||||||||
7,189,545 | Oracle Corp. | 349,268,096 | ||||||||
1,072,629 | SAP SE | 128,766,730 | ||||||||
873,139 | Teradata Corp. * | 36,209,074 | ||||||||
625,808 | Visa, Inc. – Class A | 91,924,937 | ||||||||
|
| |||||||||
Total Software & Services | 2,073,633,700 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 9.7% |
| |||||||||
528,265 | Amphenol Corp. – Class A | 49,963,304 | ||||||||
2,011,290 | Apple, Inc. | 457,829,943 | ||||||||
3,999,564 | Cisco Systems, Inc. | 191,059,172 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 698,852,419 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $4,527,040,959) | 7,033,695,795 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.7% |
| |||||||||
Affiliated Issuers — 0.7% |
| |||||||||
2,045,410 | GMO U.S. Treasury Fund | 51,094,345 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $51,089,904) | 51,094,345 | |||||||||
|
|
34 | See accompanying notes to the financial statements. |
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares/ Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.4% |
| |||||||||
Money Market Funds — 0.2% |
| |||||||||
13,188,942 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (a) | 13,188,942 | ||||||||
|
| |||||||||
U.S. Government — 1.2% |
| |||||||||
5,000,000 | U.S. Treasury Bill, 2.01%, due 11/29/18 (b) | 4,975,365 | ||||||||
63,000,000 | U.S. Treasury Bill, 2.05%, due 12/20/18 (b) | 62,610,052 | ||||||||
22,000,000 | U.S. Treasury Bill, 2.21%, due 02/21/19 (b) | 21,770,925 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT (COST $89,349,096) | 89,356,342 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $102,538,038) | 102,545,284 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.2% (Cost $4,680,668,901) | 7,187,335,424 | |||||||||
Other Assets and Liabilities (net) — (0.2%) | (16,543,271 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $7,170,792,153 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(b) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
See accompanying notes to the financial statements. | 35 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 88.7 | % | ||
Preferred Stocks | 8.5 | |||
Mutual Funds | 2.4 | |||
Short-Term Investments | 0.2 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
United States | 16.3 | % | ||
Russia | 14.2 | |||
United Kingdom | 13.8 | |||
Norway | 8.1 | |||
Japan | 5.4 | |||
Australia | 4.7 | |||
France | 4.6 | |||
Other Emerging | 4.5 | † | ||
Brazil | 4.4 | |||
Other Developed | 3.3 | ‡ | ||
Chile | 3.2 | |||
Israel | 2.5 | |||
China | 2.3 | |||
Sweden | 2.3 | |||
Thailand | 2.2 | |||
Denmark | 2.0 | |||
Poland | 1.9 | |||
Spain | 1.8 | |||
South Africa | 1.5 | |||
Argentina | 1.0 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Energy | 39.0 | % | ||
Industrial Metals | 38.6 | |||
Agriculture | 18.7 | |||
Water | 3.7 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
36
GMO Resources Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 88.7% |
| |||||||||
Argentina — 1.0% |
| |||||||||
578,300 | Adecoagro SA * | 4,632,183 | ||||||||
|
| |||||||||
Australia — 4.6% |
| |||||||||
1,047,536 | Ausdrill Ltd | 1,218,337 | ||||||||
233,874 | Beach Energy Ltd | 326,905 | ||||||||
424,574 | Mineral Resources Ltd | 4,624,837 | ||||||||
157,262 | Nufarm Ltd | 774,233 | ||||||||
244,343 | OZ Minerals Ltd | 1,588,679 | ||||||||
794,939 | Sandfire Resources NL | 4,053,507 | ||||||||
2,245,927 | South32 Ltd | 5,617,359 | ||||||||
94,962 | Woodside Petroleum Ltd | 2,519,356 | ||||||||
|
| |||||||||
Total Australia | 20,723,213 | |||||||||
|
| |||||||||
Austria — 0.7% |
| |||||||||
57,249 | OMV AG | 3,035,169 | ||||||||
|
| |||||||||
Brazil — 1.0% |
| |||||||||
342,400 | Cosan SA Industria e Comercio | 2,925,418 | ||||||||
302,357 | Sao Martinho SA | 1,406,709 | ||||||||
|
| |||||||||
Total Brazil | 4,332,127 | |||||||||
|
| |||||||||
Canada — 0.9% |
| |||||||||
86,500 | Canadian Solar Inc * | 1,242,140 | ||||||||
21,531 | Nutrien Ltd | 1,219,300 | ||||||||
30,140 | Nutrien Ltd | 1,693,845 | ||||||||
|
| |||||||||
Total Canada | 4,155,285 | |||||||||
|
| |||||||||
China — 2.3% |
| |||||||||
2,222,000 | China High Speed Transmission Equipment Group Co Ltd | 2,471,768 | ||||||||
1,535,000 | China Singyes Solar Technologies Holdings Ltd | 485,260 | ||||||||
1,071,914 | Inner Mongolia Eerduosi Resourses Co Ltd – Class A | 1,359,382 | ||||||||
1,297,100 | Shenzhen Zhongjin Lingnan Nonfemet Co Ltd | 878,082 | ||||||||
3,284,200 | Xinjiang Goldwind Science & Technology Co Ltd – Class H | 3,519,313 | ||||||||
5,062,000 | Xinyi Solar Holdings Ltd | 1,509,831 | ||||||||
|
| |||||||||
Total China | 10,223,636 | |||||||||
|
| |||||||||
Colombia — 0.8% |
| |||||||||
3,125,056 | Ecopetrol SA | 3,508,590 | ||||||||
|
| |||||||||
Denmark — 2.0% |
| |||||||||
129,074 | Vestas Wind Systems A/S | 9,053,042 | ||||||||
|
| |||||||||
Finland — 0.2% |
| |||||||||
49,394 | Kemira Oyj | 654,902 | ||||||||
|
| |||||||||
France — 4.6% |
| |||||||||
218,120 | Suez | 3,156,851 |
Shares | Description | Value ($) | ||||||||
France — continued |
| |||||||||
181,580 | TOTAL SA | 11,386,484 | ||||||||
177,406 | Veolia Environnement SA | 3,737,085 | ||||||||
33,592 | Vilmorin & Cie SA | 2,330,489 | ||||||||
|
| |||||||||
Total France | 20,610,909 | |||||||||
|
| |||||||||
Germany — 0.7% |
| |||||||||
55,676 | CropEnergies AG | 298,205 | ||||||||
34,359 | K+S AG (Registered) | 781,606 | ||||||||
69,356 | Nordex SE * | 718,295 | ||||||||
370,435 | PNE Wind AG | 1,218,910 | ||||||||
32,938 | Senvion SA * | 268,570 | ||||||||
|
| |||||||||
Total Germany | 3,285,586 | |||||||||
|
| |||||||||
Hungary — 0.6% |
| |||||||||
247,117 | MOL Hungarian Oil & Gas Plc | 2,521,762 | ||||||||
|
| |||||||||
India — 0.5% |
| |||||||||
954,634 | Oil & Natural Gas Corp Ltd * | 2,422,556 | ||||||||
|
| |||||||||
Israel — 2.5% |
| |||||||||
1,132,173 | Israel Chemicals Ltd | 6,615,459 | ||||||||
12,847 | Israel Corp Ltd (The) | 3,865,254 | ||||||||
12,876 | Jerusalem Oil Exploration * | 720,476 | ||||||||
|
| |||||||||
Total Israel | 11,201,189 | |||||||||
|
| |||||||||
Italy — 0.4% |
| |||||||||
325,959 | Saipem SPA * | 1,743,179 | ||||||||
|
| |||||||||
Japan — 5.4% |
| |||||||||
98,200 | Ebara Corp | 3,356,002 | ||||||||
289,600 | Hitachi Zosen Corp | 1,245,289 | ||||||||
145,600 | Kubota Corp | 2,275,826 | ||||||||
106,400 | Kumiai Chemical Industry Co Ltd | 906,896 | ||||||||
24,900 | Kurita Water Industries Ltd | 739,101 | ||||||||
232,300 | Mitsubishi Materials Corp | 6,281,410 | ||||||||
29,300 | Modec Inc | 886,757 | ||||||||
37,700 | Nittetsu Mining Co Ltd | 1,736,064 | ||||||||
14,400 | Organo Corp | 405,871 | ||||||||
76,300 | Shinko Plantech Co Ltd | 714,028 | ||||||||
235,800 | Sumitomo Forestry Co Ltd | 3,808,776 | ||||||||
127,200 | Takuma Co Ltd | 1,567,084 | ||||||||
|
| |||||||||
Total Japan | 23,923,104 | |||||||||
|
| |||||||||
Netherlands — 0.3% |
| |||||||||
62,531 | SBM Offshore NV | 1,011,686 | ||||||||
19,601 | SIF Holding NV | 385,942 | ||||||||
|
| |||||||||
Total Netherlands | 1,397,628 | |||||||||
|
| |||||||||
Norway — 8.1% |
| |||||||||
560,801 | Austevoll Seafood ASA | 7,379,260 | ||||||||
48,908 | Bakkafrost P/F | 2,790,176 |
See accompanying notes to the financial statements. | 37 |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Norway — continued |
| |||||||||
187,275 | BW Offshore Ltd * | 1,335,600 | ||||||||
250,243 | Equinor ASA | 6,418,784 | ||||||||
182,713 | Grieg Seafood ASA | 2,102,043 | ||||||||
72,515 | Marine Harvest ASA | 1,566,157 | ||||||||
131,624 | Ocean Yield ASA | 1,001,874 | ||||||||
178,032 | Odfjell Drilling Ltd * | 791,828 | ||||||||
84,843 | Salmar ASA | 4,084,866 | ||||||||
202,347 | Subsea 7 SA | 2,750,977 | ||||||||
24,260 | TGS NOPEC Geophysical Co ASA | 920,053 | ||||||||
109,802 | Yara International ASA | 5,052,354 | ||||||||
|
| |||||||||
Total Norway | 36,193,972 | |||||||||
|
| |||||||||
Pakistan — 0.8% |
| |||||||||
2,562,500 | Engro Fertilizers Ltd | 1,630,501 | ||||||||
559,500 | Fauji Fertilizer Co Ltd | 440,958 | ||||||||
46,120 | Millat Tractors Ltd | 466,025 | ||||||||
798,400 | Oil & Gas Development Co Ltd | 977,683 | ||||||||
|
| |||||||||
Total Pakistan | 3,515,167 | |||||||||
|
| |||||||||
Poland — 1.9% |
| |||||||||
268,834 | KGHM Polska Miedz SA * | 6,577,089 | ||||||||
1,228,635 | Polskie Gornictwo Naftowe i Gazownictwo SA | 1,924,753 | ||||||||
|
| |||||||||
Total Poland | 8,501,842 | |||||||||
|
| |||||||||
Qatar — 0.1% |
| |||||||||
93,117 | Gulf International Services QSC * | 443,339 | ||||||||
|
| |||||||||
Russia — 12.2% |
| |||||||||
1,636,830 | Gazprom Neft PJSC | 8,150,798 | ||||||||
161,479 | LUKOIL PJSC Sponsored ADR | 11,158,619 | ||||||||
581,535 | MMC Norilsk Nickel PJSC ADR | 9,650,780 | ||||||||
31,880 | Novatek PJSC Sponsered GDR (Registered) | 5,331,163 | ||||||||
315,037 | PhosAgro PJSC GDR (Registered) | 4,174,453 | ||||||||
575,419 | Ros Agro Plc GDR (Registered) | 5,889,651 | ||||||||
610,322 | Rosneft PJSC GDR (Registered) | 3,887,373 | ||||||||
82,111 | Tatneft PJSC Sponsored ADR | 5,693,223 | ||||||||
98,620 | TMK PJSC GDR (Registered) | 415,327 | ||||||||
|
| |||||||||
Total Russia | 54,351,387 | |||||||||
|
| |||||||||
Singapore — 0.1% |
| |||||||||
3,529,686 | Ezion Holdings Ltd * | 190,370 | ||||||||
2,725,600 | Ezra Holdings Ltd * (a) | — | ||||||||
|
| |||||||||
Total Singapore | 190,370 | |||||||||
|
| |||||||||
South Africa — 1.5% |
| |||||||||
179,383 | African Rainbow Minerals Ltd | 1,536,506 | ||||||||
135,497 | Sasol Ltd | 5,307,327 | ||||||||
|
| |||||||||
Total South Africa | 6,843,833 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Korea — 0.8% |
| |||||||||
8,464 | Korea Zinc Co Ltd | 3,081,540 | ||||||||
647 | Young Poong Corp | 421,936 | ||||||||
|
| |||||||||
Total South Korea | 3,503,476 | |||||||||
|
| |||||||||
Spain — 1.8% |
| |||||||||
60,768 | Fomento de Construcciones y Contratas SA * | 849,210 | ||||||||
335,203 | Repsol SA | 6,446,919 | ||||||||
17,785 | Tecnicas Reunidas SA | 601,500 | ||||||||
|
| |||||||||
Total Spain | 7,897,629 | |||||||||
|
| |||||||||
Sweden — 2.2% |
| |||||||||
235,989 | Boliden AB | 6,179,788 | ||||||||
65,762 | Holmen AB – B Shares | 1,692,805 | ||||||||
180,547 | Svenska Cellulosa AB SCA – Class B | 2,101,786 | ||||||||
|
| |||||||||
Total Sweden | 9,974,379 | |||||||||
|
| |||||||||
Switzerland — 0.1% |
| |||||||||
436 | Gurit Holding AG | 371,751 | ||||||||
|
| |||||||||
Thailand — 2.2% |
| |||||||||
2,153,900 | Esso Thailand Pcl (Foreign Registered) | 1,039,930 | ||||||||
703,164 | PTT Exploration & Production Pcl (Foreign Registered) | 3,063,704 | ||||||||
3,559,010 | PTT Pcl (Foreign Registered) | 5,714,140 | ||||||||
|
| |||||||||
Total Thailand | 9,817,774 | |||||||||
|
| |||||||||
Turkey — 0.2% |
| |||||||||
911,938 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 801,467 | ||||||||
29,469 | Turk Traktor ve Ziraat Makineleri AS | 204,434 | ||||||||
|
| |||||||||
Total Turkey | 1,005,901 | |||||||||
|
| |||||||||
Ukraine — 0.7% |
| |||||||||
230,957 | Kernel Holding SA | 3,079,756 | ||||||||
|
| |||||||||
United Kingdom — 13.7% |
| |||||||||
794,687 | Anglo American Plc | 15,958,244 | ||||||||
64,659 | Antofagasta Plc | 677,304 | ||||||||
627,931 | BHP Billiton Plc | 13,434,298 | ||||||||
347,921 | BP Plc | 2,477,602 | ||||||||
180,807 | Central Asia Metals Plc | 503,622 | ||||||||
1,573,441 | EnQuest Plc * | 881,038 | ||||||||
313,844 | Glencore Plc * | 1,278,623 | ||||||||
85,178 | John Wood Group Plc | 793,668 | ||||||||
290,453 | Petrofac Ltd | 2,476,857 | ||||||||
199,668 | Polypipe Group Plc | 959,409 | ||||||||
528,296 | Premier Oil Plc * | 850,338 | ||||||||
425,613 | Rio Tinto Plc | 20,213,373 | ||||||||
25,528 | Royal Dutch Shell Plc A Shares (London) | 830,524 | ||||||||
|
| |||||||||
Total United Kingdom | 61,334,900 | |||||||||
|
|
38 | See accompanying notes to the financial statements. |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — 13.8% |
| |||||||||
22,200 | AGCO Corp. | 1,324,452 | ||||||||
74,600 | Albemarle Corp. | 7,125,792 | ||||||||
33,300 | American Vanguard Corp. | 729,270 | ||||||||
34,000 | C&J Energy Services, Inc. * | 712,300 | ||||||||
270,902 | Chesapeake Energy Corp. * | 1,200,096 | ||||||||
16,800 | Deere & Co. | 2,415,840 | ||||||||
438,508 | Denbury Resources, Inc. * | 2,442,489 | ||||||||
145,584 | Ensco Plc – Class A | 995,795 | ||||||||
92,900 | First Solar, Inc. * | 4,838,232 | ||||||||
1,700,354 | Freeport-McMoRan, Inc. | 23,889,974 | ||||||||
23,100 | Mosaic Co. (The) | 722,337 | ||||||||
118,500 | Noble Corp Plc * | 722,850 | ||||||||
98,600 | Renewable Energy Group, Inc. * | 2,657,270 | ||||||||
27,600 | Rexnord Corp. * | 801,228 | ||||||||
98,300 | Rowan Cos Plc – Class A * | 1,380,132 | ||||||||
204,555 | SolarEdge Technologies, Inc. * | 9,808,412 | ||||||||
|
| |||||||||
Total United States | 61,766,469 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $347,182,776) | 396,216,005 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 8.5% |
| |||||||||
Brazil — 3.4% |
| |||||||||
1,986,899 | Bradespar SA | 15,156,258 | ||||||||
|
| |||||||||
Chile — 3.1% |
| |||||||||
328,912 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 14,014,940 | ||||||||
|
| |||||||||
Russia — 2.0% |
| |||||||||
58,073 | Bashneft PJSC | 1,455,728 | ||||||||
8,633,884 | Surgutneftegas OJSC | 4,791,590 | ||||||||
357,301 | Tatneft PJSC | 2,786,876 | ||||||||
|
| |||||||||
Total Russia | 9,034,194 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $28,876,553) | 38,205,392 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% |
| |||||||||
Australia — 0.0% |
| |||||||||
491,800 | Ausdrill Ltd, Expires 09/05/18 | 51,265 | ||||||||
|
| |||||||||
Singapore — 0.0% |
| |||||||||
2,117,812 | Ezion Holdings Ltd, Expires 04/16/23 * (c) | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 51,265 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 2.4% |
| |||||||||
United States — 2.4% |
| |||||||||
Affiliated Issuers — 2.4% | ||||||||||
425,964 | GMO U.S. Treasury Fund | 10,640,570 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $10,638,444) | 10,640,570 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% |
| |||||||||
Money Market Fund — 0.2% |
| |||||||||
751,939 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (d) | 751,939 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $751,939) | 751,939 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $387,449,712) | 445,865,171 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 1,068,606 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $446,933,777 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | Investment valued using significant unobservable inputs (Note 2). |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
See accompanying notes to the financial statements. | 39 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Short-Term Investments | 53.9 | % | ||
Debt Obligations | 46.4 | |||
Written Options | (0.6 | ) | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
40
GMO Risk Premium Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 46.4% |
| |||||||||
U.S. Government — 39.0% |
| |||||||||
85,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 (a) | 85,012,417 | ||||||||
91,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20 | 90,989,568 | ||||||||
25,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19 | 25,015,426 | ||||||||
|
| |||||||||
Total U.S. Government | 201,017,411 | |||||||||
|
| |||||||||
U.S. Government Agency — 7.4% |
| |||||||||
8,000,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR - 0.11%, 1.96%, due 04/22/19 | 7,998,917 | ||||||||
10,000,000 | Federal Home Loan Banks, Variable Rate 3 mo. USD LIBOR - 0.16%, 2.17%, due 06/12/19 | 10,005,357 | ||||||||
20,000,000 | Federal Home Loan Banks, Variable Rate 3 mo. USD LIBOR - 0.24%, 2.10%, due 04/13/20 | 19,987,531 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 37,991,805 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $238,978,475) | 239,009,216 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 53.9% |
| |||||||||
Money Market Funds — 0.4% |
| |||||||||
1,731,761 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (b) | 1,731,761 | ||||||||
|
| |||||||||
Total Money Market Funds | 1,731,761 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
U.S. Government — 53.5% |
| |||||||||
4,800,000 | U.S. Treasury Bill, 1.96%, due 11/15/18 (c) | 4,780,464 | ||||||||
1,500,000 | U.S. Treasury Bill, 1.99%, due 11/23/18 (c) | 1,493,150 | ||||||||
47,400,000 | U.S. Treasury Bill, 2.05%, due 12/20/18 (a) (c) | 47,106,611 | ||||||||
45,950,000 | U.S. Treasury Note, 1.25%, due 12/31/18 | 45,813,210 | ||||||||
62,350,000 | U.S. Treasury Note, 1.25%, due 01/31/19 (a) | 62,096,703 | ||||||||
70,000,000 | U.S. Treasury Note, 1.38%, due 02/28/19 | 69,693,750 | ||||||||
45,000,000 | U.S. Treasury Note, 1.00%, due 03/15/19 | 44,702,930 | ||||||||
|
| |||||||||
Total U.S. Government | 275,686,818 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $277,442,192) | 277,418,579 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.3% (Cost $516,420,667) | 516,427,795 | |||||||||
Other Assets and Liabilities (net) — (0.3%) | (1,429,836 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $514,997,959 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Written Options - Puts
Index Options
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | ||||||||||||||||||||
FTSE 100 Index | MSLC | 7,550.00 | 09/21/18 | 536 | GBP | 39,837,771 | (1,005,641 | ) | ||||||||||||||||||
FTSE 100 Index | MSLC | 7,575.00 | 09/21/18 | 169 | GBP | 12,560,790 | (386,687 | ) | ||||||||||||||||||
FTSE 100 Index | MSLC | 7,600.00 | 09/21/18 | 97 | GBP | 7,209,447 | (247,252 | ) | ||||||||||||||||||
S&P 500 Index | MSLC | 2,900.00 | 09/07/18 | 743 | USD | 215,582,936 | (891,600 | ) | ||||||||||||||||||
S&P 500 Index | MSLC | 2,895.00 | 09/04/18 | 378 | USD | 109,677,456 | (105,840 | ) | ||||||||||||||||||
S&P 500 Index | MSLC | 2,915.00 | 09/05/18 | 371 | USD | 107,646,392 | (534,240 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
| TOTAL INDEX OPTIONS - PUTS (Premiums $4,083,175) | (3,171,260 | ) | |||||||||||||||||||||||
|
|
As of August 31, 2018, 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.
See accompanying notes to the financial statements. | 41 |
GMO Risk Premium Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Notes to Schedule of Investments:
The rates shown on variable rate notes are the current interest rates at August 31, 2018, which are subject to change based on the terms of the security.
† | 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 (Note 4). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(c) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
42 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.6 | % | ||
Preferred Stocks | 2.0 | |||
Mutual Funds | 1.9 | |||
Short-Term Investments | 0.2 | |||
Rights/Warrants | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 24.3 | % | ||
United Kingdom | 14.2 | |||
Germany | 9.8 | |||
France | 7.1 | |||
Sweden | 5.1 | |||
Other Emerging | 4.7 | † | ||
Italy | 4.5 | |||
Switzerland | 4.5 | |||
Australia | 3.8 | |||
Other Developed | 3.6 | ‡ | ||
Hong Kong | 3.6 | |||
China | 3.2 | |||
United States | 2.2 | |||
Canada | 1.7 | |||
Austria | 1.6 | |||
South Korea | 1.6 | |||
Netherlands | 1.5 | |||
European Union | 1.5 | |||
Norway | 1.4 | |||
Colombia | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 13.4 | % | ||
Materials | 11.9 | |||
Banks | 9.0 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 8.9 | |||
Automobiles & Components | 7.7 | |||
Food, Beverage & Tobacco | 7.2 | |||
Technology Hardware & Equipment | 4.9 | |||
Insurance | 4.7 | |||
Consumer Durables & Apparel | 4.4 | |||
Semiconductors & Semiconductor Equipment | 4.3 | |||
Telecommunication Services | 3.8 | |||
Energy | 3.6 | |||
Diversified Financials | 3.5 | |||
Real Estate | 3.1 | |||
Transportation | 2.1 | |||
Household & Personal Products | 1.6 | |||
Utilities | 1.5 | |||
Retailing | 1.4 | |||
Software & Services | 1.3 | |||
Consumer Services | 0.7 | |||
Food & Staples Retailing | 0.4 | |||
Health Care Equipment & Services | 0.4 | |||
Media | 0.1 | |||
Commercial & Professional Services | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
43
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.6% |
| |||||||||
Australia — 3.8% |
| |||||||||
674 | Altium Ltd | 13,615 | ||||||||
25,843 | BlueScope Steel Ltd | 321,665 | ||||||||
9,216 | Caltex Australia Ltd | 200,266 | ||||||||
621 | CIMIC Group Ltd | 22,025 | ||||||||
21,619 | Costa Group Holdings Ltd | 112,542 | ||||||||
3,449 | CSL Ltd | 565,417 | ||||||||
22,500 | CSR Ltd | 69,755 | ||||||||
6,153 | Genworth Mortgage Insurance Australia Ltd | 11,694 | ||||||||
353 | LendLease Group | 5,206 | ||||||||
2,911 | Macquarie Group Ltd | 272,275 | ||||||||
6,658 | Mineral Resources Ltd | 72,525 | ||||||||
6,804 | Nine Entertainment Co Holdings Ltd | 11,822 | ||||||||
19,984 | OZ Minerals Ltd | 129,933 | ||||||||
1,760 | Primary Health Care Ltd | 3,524 | ||||||||
5,908 | Sandfire Resources NL | 30,126 | ||||||||
47,548 | South32 Ltd | 118,924 | ||||||||
2,999 | WorleyParsons Ltd | 44,346 | ||||||||
|
| |||||||||
Total Australia | 2,005,660 | |||||||||
|
| |||||||||
Austria — 1.6% |
| |||||||||
7,048 | OMV AG | 373,664 | ||||||||
6,409 | Raiffeisen Bank International AG | 182,443 | ||||||||
6,732 | voestalpine AG | 302,592 | ||||||||
|
| |||||||||
Total Austria | 858,699 | |||||||||
|
| |||||||||
Belgium — 0.3% |
| |||||||||
2,430 | Ageas | 125,827 | ||||||||
4,294 | AGFA-Gevaert NV * | 18,857 | ||||||||
32 | UCB SA | 2,929 | ||||||||
|
| |||||||||
Total Belgium | 147,613 | |||||||||
|
| |||||||||
Brazil — 0.5% |
| |||||||||
1,600 | Banco do Brasil SA | 11,824 | ||||||||
900 | Banco Santander Brasil SA | 7,645 | ||||||||
3,300 | Cia de Saneamento Basico do Estado de Sao Paulo | 19,769 | ||||||||
33,500 | JBS SA | 77,312 | ||||||||
2,500 | Kroton Educacional SA | 6,273 | ||||||||
5,400 | Petrobras Distribuidora SA | 26,224 | ||||||||
10,182 | Vale SA | 134,040 | ||||||||
|
| |||||||||
Total Brazil | 283,087 | |||||||||
|
| |||||||||
Canada — 1.7% |
| |||||||||
1,700 | Bank of Montreal | 139,332 | ||||||||
1,400 | BRP Inc Sub Voting | 73,079 | ||||||||
100 | Canadian Imperial Bank of Commerce | 9,372 | ||||||||
100 | Canadian Imperial Bank of Commerce | 9,368 | ||||||||
500 | Canfor Corp * | 11,529 | ||||||||
800 | Magna International Inc | 43,316 | ||||||||
3,100 | Magna International Inc | 167,772 |
Shares | Description | Value ($) | ||||||||
Canada — continued |
| |||||||||
200 | National Bank of Canada | 10,009 | ||||||||
2,700 | Royal Bank of Canada | 214,469 | ||||||||
200 | Royal Bank of Canada | 15,904 | ||||||||
3,100 | Sun Life Financial Inc | 123,194 | ||||||||
1,000 | TFI International Inc | 37,119 | ||||||||
500 | Toronto-Dominion Bank (The) | 30,134 | ||||||||
100 | West Fraser Timber Co Ltd | 6,634 | ||||||||
|
| |||||||||
Total Canada | 891,231 | |||||||||
|
| |||||||||
China — 3.2% |
| |||||||||
8,000 | Agile Group Holdings Ltd | 13,085 | ||||||||
249,000 | Agricultural Bank of China Ltd – Class H | 120,660 | ||||||||
2,000 | Anhui Conch Cement Co Ltd – Class H | 12,201 | ||||||||
10,000 | ANTA Sports Products Ltd | 54,532 | ||||||||
300 | Baidu Inc Sponsored ADR * | 67,944 | ||||||||
36,000 | Bank of Communications Co Ltd – Class H | 26,016 | ||||||||
18,000 | Beijing Capital International Airport Co Ltd – Class H | 19,187 | ||||||||
66,000 | China CITIC Bank Corp Ltd – Class H | 41,236 | ||||||||
88,000 | China Communications Services Corp Ltd – Class H | 72,907 | ||||||||
14,000 | China Evergrande Group * | 50,315 | ||||||||
78,200 | China National Building Material Co Ltd – Class H | 73,275 | ||||||||
102,000 | China Petroleum & Chemical Corp – Class H | 102,631 | ||||||||
35,500 | China Railway Construction Corp Ltd – Class H | 42,945 | ||||||||
44,000 | China Resources Cement Holdings Ltd | 51,455 | ||||||||
5,000 | China Resources Pharmaceutical Group Ltd | 8,001 | ||||||||
31,000 | China Shenhua Energy Co Ltd – Class H | 69,239 | ||||||||
234,000 | China Telecom Corp Ltd – Class H | 110,051 | ||||||||
300 | China Yuchai International Ltd | 6,033 | ||||||||
18,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 9,709 | ||||||||
11,000 | Country Garden Holdings Co Ltd | 16,399 | ||||||||
46,000 | Dongfeng Motor Group Co Ltd – Class H | 51,422 | ||||||||
40,000 | Geely Automobile Holdings Ltd | 85,163 | ||||||||
28,800 | Guangzhou R&F Properties Co Ltd – Class H | 58,201 | ||||||||
7,000 | Haier Electronics Group Co Ltd * | 18,255 | ||||||||
20,000 | Harbin Electric Co Ltd – Class H | 6,292 | ||||||||
20,000 | Huabao International Holdings Ltd | 11,785 | ||||||||
18,000 | Kingboard Holdings Ltd | 64,078 | ||||||||
18,000 | Kingboard Laminates Holdings Ltd | 17,018 | ||||||||
18,000 | Lee & Man Paper Manufacturing Ltd | 17,271 | ||||||||
6,000 | Lonking Holdings Ltd | 2,066 | ||||||||
13,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 5,639 | ||||||||
80,000 | Postal Savings Bank of China Co Ltd – Class H | 47,154 | ||||||||
14,100 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 37,038 | ||||||||
16,000 | Shenzhen Expressway Co Ltd – Class H | 15,524 | ||||||||
32,000 | Shimao Property Holdings Ltd | 95,564 | ||||||||
28,500 | Sino Biopharmaceutical Ltd | 36,121 | ||||||||
23,000 | Sinopec Engineering Group Co Ltd – Class H | 23,985 | ||||||||
5,500 | Sinotruk Hong Kong Ltd | 8,214 |
44 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued |
| |||||||||
34,000 | TravelSky Technology Ltd – Class H | 87,302 | ||||||||
31,000 | Weichai Power Co Ltd – Class H | 32,877 | ||||||||
|
| |||||||||
Total China | 1,688,790 | |||||||||
|
| |||||||||
Colombia — 0.1% |
| |||||||||
2,700 | Ecopetrol SA Sponsored ADR | 61,020 | ||||||||
|
| |||||||||
Denmark — 0.5% |
| |||||||||
700 | Novo Nordisk A/S Sponsored ADR | 34,419 | ||||||||
3,210 | Novo Nordisk A/S – Class B | 158,016 | ||||||||
592 | Royal Unibrew A/S | 51,017 | ||||||||
|
| |||||||||
Total Denmark | 243,452 | |||||||||
|
| |||||||||
Finland — 0.9% |
| |||||||||
12,720 | UPM-Kymmene Oyj | 490,667 | ||||||||
|
| |||||||||
France — 7.2% |
| |||||||||
9,407 | Air France-KLM * | 90,311 | ||||||||
3,723 | AXA SA | 93,823 | ||||||||
4,352 | BNP Paribas SA | 256,215 | ||||||||
1,342 | Christian Dior SE | 579,012 | ||||||||
411 | Cie Generale des Etablissements Michelin | 48,645 | ||||||||
1,101 | CNP Assurances | 25,447 | ||||||||
2,933 | Derichebourg SA | 16,426 | ||||||||
665 | Jacquet Metal Service | 19,430 | ||||||||
2,455 | L’Oreal SA | 587,742 | ||||||||
19 | LVMH Moet Hennessy Louis Vuitton SE | 6,661 | ||||||||
8,643 | Peugeot SA | 238,152 | ||||||||
4,232 | Renault SA | 365,522 | ||||||||
4,442 | Sanofi | 381,449 | ||||||||
1,000 | Sanofi ADR | 42,850 | ||||||||
9,700 | STMicroelectronics NV – NY Shares | 200,693 | ||||||||
38,588 | STMicroelectronics NV | 796,170 | ||||||||
195 | TOTAL SA | 12,228 | ||||||||
|
| |||||||||
Total France | 3,760,776 | |||||||||
|
| |||||||||
Germany — 8.7% |
| |||||||||
5,768 | Allianz SE (Registered) | 1,229,402 | ||||||||
192 | BASF SE | 17,742 | ||||||||
6,964 | Bayer AG (Registered) | 649,910 | ||||||||
6,555 | Bayerische Motoren Werke AG | 634,568 | ||||||||
787 | Covestro AG | 67,006 | ||||||||
3,568 | Daimler AG (Registered Shares) | 230,744 | ||||||||
29,200 | Deutsche Lufthansa AG (Registered) | 762,925 | ||||||||
5,282 | Duerr AG | 243,366 | ||||||||
806 | Elmos Semiconductor AG | 20,820 | ||||||||
3,652 | Freenet AG | 97,100 | ||||||||
174 | Hannover Rueck SE | 23,896 | ||||||||
131 | Henkel AG & Co KGaA | 14,618 | ||||||||
160 | Isra Vision AG | 11,135 | ||||||||
3,945 | Leoni AG | 170,201 |
Shares | Description | Value ($) | ||||||||
Germany — continued |
| |||||||||
543 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 116,981 | ||||||||
591 | Siltronic AG | 85,677 | ||||||||
125 | Uniper SE | 3,820 | ||||||||
873 | Volkswagen AG | 140,526 | ||||||||
1,594 | Wacker Neuson SE | 44,069 | ||||||||
|
| |||||||||
Total Germany | 4,564,506 | |||||||||
|
| |||||||||
Greece — 0.0% |
| |||||||||
559 | Mytilineos Holdings SA | 5,595 | ||||||||
|
| |||||||||
Hong Kong — 3.7% |
| |||||||||
84,000 | BOC Hong Kong Holdings Ltd | 410,239 | ||||||||
11,200 | Dah Sing Banking Group Ltd | 23,101 | ||||||||
8,000 | Kerry Properties Ltd | 30,339 | ||||||||
43,000 | Link (REIT) | 428,595 | ||||||||
2,000 | Minth Group Ltd | 8,202 | ||||||||
624,000 | WH Group Ltd | 471,263 | ||||||||
43,000 | Wharf Holdings Ltd (The) | 122,797 | ||||||||
43,000 | Wharf Real Estate Investment Co Ltd | 285,298 | ||||||||
22,000 | Wheelock & Co Ltd | 138,140 | ||||||||
|
| |||||||||
Total Hong Kong | 1,917,974 | |||||||||
|
| |||||||||
Hungary — 0.2% |
| |||||||||
2,708 | MOL Hungarian Oil & Gas Plc | 27,634 | ||||||||
900 | OTP Bank Plc | 33,112 | ||||||||
1,681 | Richter Gedeon Nyrt | 33,009 | ||||||||
|
| |||||||||
Total Hungary | 93,755 | |||||||||
|
| |||||||||
India — 0.8% |
| |||||||||
388 | Bata India Ltd | 5,933 | ||||||||
589 | Cadila Healthcare Ltd | 3,360 | ||||||||
5,291 | Firstsource Solutions Ltd | 5,626 | ||||||||
6,013 | HCL Technologies Ltd | 88,588 | ||||||||
538 | Hero MotoCorp Ltd | 24,754 | ||||||||
11,445 | Hindalco Industries Ltd | 38,520 | ||||||||
980 | Hindustan Petroleum Corp Ltd | 3,517 | ||||||||
512 | Indiabulls Housing Finance Ltd | 9,112 | ||||||||
1,056 | Indian Oil Corp Ltd | 2,323 | ||||||||
1,126 | Just Dial Ltd * | 8,880 | ||||||||
2,139 | Karnataka Bank Ltd (The) | 3,606 | ||||||||
1,182 | Mahindra & Mahindra Ltd | 16,109 | ||||||||
537 | Maruti Suzuki India Ltd | 68,974 | ||||||||
139 | Merck Ltd | 6,865 | ||||||||
517 | NIIT Technologies Ltd | 10,274 | ||||||||
3,486 | NMDC Ltd | 5,483 | ||||||||
2,833 | PTC India Ltd | 3,350 | ||||||||
1,398 | Reliance Industries Ltd | 24,461 | ||||||||
3,365 | Rural Electrification Corp Ltd | 5,693 | ||||||||
4,026 | Syndicate Bank * | 2,284 | ||||||||
3,907 | Tech Mahindra Ltd | 42,223 |
See accompanying notes to the financial statements. | 45 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued |
| |||||||||
469 | UPL Ltd | 4,724 | ||||||||
7,571 | Vedanta Ltd | 24,439 | ||||||||
2,526 | Wipro Ltd | 10,700 | ||||||||
700 | Yes Bank Ltd | 3,394 | ||||||||
1,066 | Zee Entertainment Enterprises Ltd | 7,524 | ||||||||
|
| |||||||||
Total India | 430,716 | |||||||||
|
| |||||||||
Ireland — 0.5% |
| |||||||||
6,190 | Smurfit Kappa Group Plc | 252,797 | ||||||||
|
| |||||||||
Italy — 4.6% |
| |||||||||
11,005 | Arnoldo Mondadori Editore SPA * | 16,819 | ||||||||
429 | Datalogic SPA | 16,007 | ||||||||
139 | El.En. SPA | 4,480 | ||||||||
130,904 | Enel SPA | 647,181 | ||||||||
9,589 | EXOR NV | 623,948 | ||||||||
43,100 | Fiat Chrysler Automobiles NV * | 737,441 | ||||||||
12,706 | Fiat Chrysler Automobiles NV * | 215,110 | ||||||||
1,145 | Poste Italiane SPA | 8,820 | ||||||||
391 | Prima Industrie SPA | 14,707 | ||||||||
12,969 | Societa Cattolica di Assicurazioni SC | 105,254 | ||||||||
|
| |||||||||
Total Italy | 2,389,767 | |||||||||
|
| |||||||||
Japan — 24.7% |
| |||||||||
600 | Acom Co Ltd | 2,449 | ||||||||
900 | Arakawa Chemical Industries Ltd | 13,694 | ||||||||
5,900 | Asahi Group Holdings Ltd | 266,428 | ||||||||
41,600 | Asahi Kasei Corp | 609,587 | ||||||||
19,600 | Astellas Pharma Inc | 332,291 | ||||||||
22,200 | Brother Industries Ltd | 455,418 | ||||||||
3,500 | Canon Inc | 112,303 | ||||||||
100 | Central Japan Railway Co | 20,078 | ||||||||
1,900 | CKD Corp | 28,064 | ||||||||
200 | Dai-ichi Seiko Co Ltd | 3,005 | ||||||||
1,600 | Daito Trust Construction Co Ltd | 239,815 | ||||||||
1,800 | Daiwa House Industry Co Ltd | 54,835 | ||||||||
1,600 | Fancl Corp | 82,191 | ||||||||
6,000 | Fuji Electric Co Ltd | 48,332 | ||||||||
2,600 | Hanwa Co Ltd | 87,646 | ||||||||
29,800 | Haseko Corp | 386,055 | ||||||||
150,000 | Hitachi Ltd | 979,135 | ||||||||
300 | Horiba Ltd | 18,577 | ||||||||
400 | House Foods Group Inc | 11,859 | ||||||||
2,500 | Idemitsu Kosan Co Ltd | 126,183 | ||||||||
59,600 | ITOCHU Corp | 1,041,441 | ||||||||
1,400 | Juki Corp | 16,446 | ||||||||
11,640 | K’s Holdings Corp | 140,899 | ||||||||
1,400 | Kamei Corp | 17,413 | ||||||||
22,900 | KDDI Corp | 605,472 | ||||||||
500 | Keihin Corp | 10,507 | ||||||||
100 | Keyence Corp | 56,611 |
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
500 | Kirin Holdings Co Ltd | 12,356 | ||||||||
1,100 | Kitz Corp | 9,636 | ||||||||
200 | Kose Corp | 36,877 | ||||||||
500 | Mandom Corp | 15,019 | ||||||||
65,600 | Marubeni Corp | 537,491 | ||||||||
5,300 | Medipal Holdings Corp | 106,890 | ||||||||
107,600 | Mitsubishi Chemical Holdings Corp | 964,068 | ||||||||
11,600 | Mitsubishi Corp | 330,798 | ||||||||
26,700 | Mitsubishi Electric Corp | 360,436 | ||||||||
3,100 | Mitsubishi Gas Chemical Co Inc | 64,442 | ||||||||
300 | Modec Inc | 9,079 | ||||||||
300 | Nagase & Co Ltd | 5,001 | ||||||||
6,600 | NET One Systems Co Ltd | 152,865 | ||||||||
3,400 | Nexon Co Ltd * | 42,670 | ||||||||
2,000 | Nichias Corp | 25,999 | ||||||||
400 | Nihon Unisys Ltd | 9,765 | ||||||||
22,200 | Nippon Telegraph & Telephone Corp | 987,700 | ||||||||
400 | Nisshin Oillio Group Ltd (The) | 10,814 | ||||||||
600 | NTT DOCOMO Inc | 15,549 | ||||||||
400 | Pola Orbis Holdings Inc | 14,097 | ||||||||
7,000 | Prima Meat Packers Ltd | 34,749 | ||||||||
1,200 | Rohm Co Ltd | 108,416 | ||||||||
1,300 | Rohto Pharmaceutical Co Ltd | 41,530 | ||||||||
600 | Showa Corp | 9,557 | ||||||||
3,000 | Showa Denko KK | 142,491 | ||||||||
127,500 | Sojitz Corp | 443,683 | ||||||||
90,000 | Sumitomo Chemical Co Ltd | 510,823 | ||||||||
14,000 | Sumitomo Corp | 227,024 | ||||||||
300 | Suntory Beverage & Food Ltd | 12,288 | ||||||||
220 | Suzuken Co Ltd | 9,990 | ||||||||
500 | T-Gaia Corp | 13,158 | ||||||||
100 | TDK Corp | 11,216 | ||||||||
4,100 | Tokyo Electron Ltd | 698,024 | ||||||||
32,200 | Tosoh Corp | 505,226 | ||||||||
14,900 | Toyota Tsusho Corp | 507,609 | ||||||||
7,660 | USS Co Ltd | 144,290 | ||||||||
400 | Yamazaki Baking Co Ltd | 7,782 | ||||||||
|
| |||||||||
Total Japan | 12,906,142 | |||||||||
|
| |||||||||
Malaysia — 0.0% |
| |||||||||
7,200 | Top Glove Corp Berhad | 19,508 | ||||||||
|
| |||||||||
Malta — 0.0% |
| |||||||||
1,718,063 | BGP Holdings Plc * (a) | — | ||||||||
|
| |||||||||
Mexico — 0.4% |
| |||||||||
6,400 | Arca Continental SAB de CV | 39,579 | ||||||||
330 | Gruma SAB de CV – Class B | 4,175 | ||||||||
6,300 | OHL Mexico SAB de CV | 9,493 | ||||||||
49,400 | Wal-Mart de Mexico SAB de CV | 136,782 | ||||||||
|
| |||||||||
Total Mexico | 190,029 | |||||||||
|
|
46 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — 1.5% |
| |||||||||
757 | Heineken Holding NV | 72,228 | ||||||||
54,184 | ING Groep NV | 736,024 | ||||||||
|
| |||||||||
Total Netherlands | 808,252 | |||||||||
|
| |||||||||
New Zealand — 0.0% |
| |||||||||
5,242 | Spark New Zealand Ltd | 13,840 | ||||||||
|
| |||||||||
Norway — 1.5% |
| |||||||||
133 | Aker ASA – A Shares | 10,420 | ||||||||
159 | Bakkafrost P/F | 9,071 | ||||||||
12,050 | DNB ASA | 244,977 | ||||||||
14,481 | Equinor ASA | 371,441 | ||||||||
1,419 | Leroy Seafood Group ASA | 10,790 | ||||||||
228 | Salmar ASA | 10,977 | ||||||||
2,652 | SpareBank 1 SR Bank ASA | 29,924 | ||||||||
706 | Storebrand ASA | 6,250 | ||||||||
5,161 | Subsea 7 SA | 70,166 | ||||||||
|
| |||||||||
Total Norway | 764,016 | |||||||||
|
| |||||||||
Poland — 0.0% |
| |||||||||
100 | KGHM Polska Miedz SA * | 2,447 | ||||||||
|
| |||||||||
Portugal — 0.0% |
| |||||||||
19,283 | Sonae SGPS SA | 20,514 | ||||||||
|
| |||||||||
Russia — 0.3% |
| |||||||||
6,717 | Gazprom PJSC Sponsored ADR | 29,628 | ||||||||
72,000 | Inter RAO UES PJSC | 4,315 | ||||||||
398 | LUKOIL PJSC Sponsored ADR | 27,503 | ||||||||
341,000 | RusHydro PJSC | 3,220 | ||||||||
5,791 | Sberbank of Russia Sponsored ADR | 63,066 | ||||||||
|
| |||||||||
Total Russia | 127,732 | |||||||||
|
| |||||||||
Singapore — 0.9% |
| |||||||||
19,400 | DBS Group Holdings Ltd | 352,673 | ||||||||
6,200 | Venture Corp Ltd | 81,854 | ||||||||
37,400 | Yanlord Land Group Ltd | 41,443 | ||||||||
|
| |||||||||
Total Singapore | 475,970 | |||||||||
|
| |||||||||
South Africa — 0.8% |
| |||||||||
7,452 | Absa Group Ltd | 82,420 | ||||||||
366 | Astral Foods Ltd | 6,446 | ||||||||
4,867 | Barloworld Ltd | 41,394 | ||||||||
3,080 | Bidvest Group Ltd (The) | 45,262 | ||||||||
2,006 | Clicks Group Ltd | 27,705 | ||||||||
1,413 | Imperial Holdings Ltd | 19,799 | ||||||||
125 | Kumba Iron Ore Ltd | 2,253 | ||||||||
1,232 | Liberty Holdings Ltd | 9,747 | ||||||||
1,988 | Mondi Ltd | 55,470 | ||||||||
25 | Naspers Ltd – N Shares | 5,551 | ||||||||
2,079 | Nedbank Group Ltd | 39,326 |
Shares | Description | Value ($) | ||||||||
South Africa — continued |
| |||||||||
2,621 | Raubex Group Ltd | 3,895 | ||||||||
6,809 | Standard Bank Group Ltd | 86,301 | ||||||||
|
| |||||||||
Total South Africa | 425,569 | |||||||||
|
| |||||||||
South Korea — 1.3% |
| |||||||||
47 | Chong Kun Dang Pharmaceutical Corp | 4,580 | ||||||||
41 | Coway Co Ltd | 3,365 | ||||||||
52 | DB Insurance Co Ltd | 2,990 | ||||||||
153 | E-MART Inc | 29,478 | ||||||||
1,864 | Hana Financial Group Inc | 71,477 | ||||||||
128 | Hankook Tire Co Ltd | 5,364 | ||||||||
648 | Hanwha Life Insurance Co Ltd | 2,823 | ||||||||
58 | Hyundai Department Store Co Ltd | 5,187 | ||||||||
625 | Hyundai Marine & Fire Insurance Co Ltd | 20,880 | ||||||||
4,987 | Industrial Bank of Korea | 66,756 | ||||||||
1,518 | KB Financial Group Inc | 70,186 | ||||||||
114 | Kia Motors Corp | 3,283 | ||||||||
47 | Korea Investment Holdings Co Ltd | 3,008 | ||||||||
39 | KT&G Corp | 3,538 | ||||||||
57 | LG Corp | 3,662 | ||||||||
1,060 | LG Electronics Inc | 73,079 | ||||||||
80 | LOTTE Himart Co Ltd | 5,143 | ||||||||
14 | Lotte Shopping Co Ltd | 2,263 | ||||||||
783 | Meritz Fire & Marine Insurance Co Ltd | 12,836 | ||||||||
75 | NHN Entertainment Corp * | 4,062 | ||||||||
1,221 | Shinhan Financial Group Co Ltd | 47,957 | ||||||||
119 | Shinsegae Inc | 34,694 | ||||||||
52 | SK Holdings Co Ltd | 12,290 | ||||||||
1,312 | SK Hynix Inc | 97,849 | ||||||||
1,600 | SK Telecom Co Ltd Sponsored ADR | 41,616 | ||||||||
3,340 | Woori Bank * | 48,922 | ||||||||
|
| |||||||||
Total South Korea | 677,288 | |||||||||
|
| |||||||||
Spain — 0.6% |
| |||||||||
1,514 | Amadeus IT Group SA | 140,398 | ||||||||
614 | Ferrovial SA | 13,258 | ||||||||
2,769 | Grifols SA | 81,415 | ||||||||
5,669 | International Consolidated Airlines Group SA | 50,885 | ||||||||
|
| |||||||||
Total Spain | 285,956 | |||||||||
|
| |||||||||
Sweden — 5.1% |
| |||||||||
7,676 | Atlas Copco AB – A Shares | 218,824 | ||||||||
1,915 | Atlas Copco AB – B Shares | 50,647 | ||||||||
1,647 | Bufab AB | 19,379 | ||||||||
10,456 | Epiroc AB – Class A * | 108,617 | ||||||||
909 | Epiroc AB – Class B * | 8,693 | ||||||||
1,492 | Kindred Group Plc SDR | 18,349 | ||||||||
917 | Oriflame Holding AG | 26,681 | ||||||||
32,842 | Sandvik AB | 574,887 | ||||||||
836 | SKF AB – B Shares | 16,070 | ||||||||
27,815 | Svenska Cellulosa AB SCA – Class B | 323,801 |
See accompanying notes to the financial statements. | 47 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Sweden — continued |
| |||||||||
433 | Swedish Orphan Biovitrum AB * | 13,799 | ||||||||
4,755 | Swedish Match AB | 254,195 | ||||||||
2,991 | Volvo AB – A Shares | 51,587 | ||||||||
58,205 | Volvo AB – B Shares | 1,002,691 | ||||||||
|
| |||||||||
Total Sweden | 2,688,220 | |||||||||
|
| |||||||||
Switzerland — 4.5% |
| |||||||||
698 | ALSO Holding AG (Registered) * | 83,066 | ||||||||
656 | Baloise Holding AG (Registered) | 100,815 | ||||||||
44 | Bell Food Group AG (Registered) | 13,672 | ||||||||
327 | BKW AG | 23,195 | ||||||||
690 | Bobst Group SA (Registered) | 59,116 | ||||||||
32 | Comet Holding AG (Registered) * | 3,177 | ||||||||
227 | Georg Fischer AG (Registered) | 297,121 | ||||||||
137 | Idorsia Ltd * | 3,464 | ||||||||
2,750 | Logitech International SA (Registered) | 135,637 | ||||||||
6,937 | Nestle SA (Registered) | 581,508 | ||||||||
588 | Novartis AG (Registered) | 48,782 | ||||||||
255 | Orior AG | 22,550 | ||||||||
696 | Roche Holding AG – Genusschein | 172,576 | ||||||||
247 | Roche Holding AG | 61,929 | ||||||||
2,700 | Sika AG (Registered) | 399,886 | ||||||||
322 | Swatch Group AG (The) (Registered) | 26,074 | ||||||||
943 | Swiss Life Holding AG (Registered) * | 341,567 | ||||||||
|
| |||||||||
Total Switzerland | 2,374,135 | |||||||||
|
| |||||||||
Taiwan — 0.8% |
| |||||||||
8,093 | ASE Technology Holding Co Ltd | 19,915 | ||||||||
4,000 | Asustek Computer Inc | 34,087 | ||||||||
22,428 | Chang Hwa Commercial Bank Ltd * | 13,955 | ||||||||
2,020 | Chicony Power Technology Co Ltd | 2,907 | ||||||||
5,000 | Formosa Chemicals & Fibre Corp | 20,037 | ||||||||
4,000 | Formosa Plastics Corp | 14,663 | ||||||||
2,000 | Fubon Financial Holding Co Ltd | 3,316 | ||||||||
8,000 | Gigabyte Technology Co Ltd | 13,650 | ||||||||
22,200 | Hon Hai Precision Industry Co Ltd | 58,320 | ||||||||
62,000 | Inventec Corp | 55,648 | ||||||||
4,000 | Micro-Star International Co Ltd | 13,827 | ||||||||
4,000 | Mitac Holdings Corp * | 4,626 | ||||||||
5,000 | Nan Ya Plastics Corp | 13,914 | ||||||||
9,000 | Novatek Microelectronics Corp | 44,130 | ||||||||
2,000 | Phison Electronics Corp | 16,557 | ||||||||
9,000 | Pou Chen Corp | 9,923 | ||||||||
7,000 | Radiant Opto-Electronics Corp | 15,376 | ||||||||
11,000 | Sunplus Technology Co Ltd | 5,018 | ||||||||
2,304 | Topco Scientific Co Ltd | 5,853 | ||||||||
2,000 | Uni-President Enterprises Corp | 5,061 | ||||||||
109,000 | United Microelectronics Corp | 61,786 | ||||||||
7,000 | Walsin Lihwa Corp | 4,953 | ||||||||
7,000 | Yuanta Financial Holding Co Ltd | 3,547 | ||||||||
|
| |||||||||
Total Taiwan | 441,069 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Thailand — 0.3% |
| |||||||||
10,000 | Amata Corp Pcl NVDR | 6,511 | ||||||||
17,900 | GFPT Pcl NVDR | 8,096 | ||||||||
15,400 | Indorama Ventures Pcl NVDR | 28,247 | ||||||||
6,200 | PTT Exploration & Production Pcl NVDR | 27,014 | ||||||||
2,800 | PTT Global Chemical Pcl NVDR | 6,998 | ||||||||
27,200 | PTT Pcl NVDR | 43,671 | ||||||||
6,600 | Supalai Pcl NVDR | 4,880 | ||||||||
9,200 | Thai Airways International Pcl NVDR * | 3,682 | ||||||||
|
| |||||||||
Total Thailand | 129,099 | |||||||||
|
| |||||||||
Turkey — 0.2% |
| |||||||||
19,508 | KOC Holding AS | 44,581 | ||||||||
32,221 | Turkiye Is Bankasi – Class C | 19,620 | ||||||||
22,954 | Turkiye Sise ve Cam Fabrikalari AS | 21,577 | ||||||||
|
| |||||||||
Total Turkey | 85,778 | |||||||||
|
| |||||||||
United Kingdom — 14.4% |
| |||||||||
48,521 | 3i Group Plc | 564,987 | ||||||||
2,452 | Ashtead Group Plc | 75,243 | ||||||||
11,366 | AstraZeneca Plc | 857,835 | ||||||||
735 | Bellway Plc | 27,845 | ||||||||
5,601 | Berkeley Group Holdings Plc (The) | 264,934 | ||||||||
861 | Bovis Homes Group Plc | 12,583 | ||||||||
14,691 | British American Tobacco Plc | 710,416 | ||||||||
9,658 | Coca-Cola HBC AG * | 330,691 | ||||||||
13,484 | Diageo Plc | 471,596 | ||||||||
13,532 | Electrocomponents Plc | 130,435 | ||||||||
29,374 | Ferrexpo Plc | 59,294 | ||||||||
223 | Fevertree Drinks Plc | 10,781 | ||||||||
50,198 | GlaxoSmithKline Plc | 1,016,653 | ||||||||
100,290 | HSBC Holdings Plc | 872,920 | ||||||||
8,669 | IG Group Holdings Plc | 101,797 | ||||||||
19,452 | Inchcape Plc | 174,747 | ||||||||
13,143 | Legal & General Group Plc | 43,433 | ||||||||
2,013 | Man Group Plc | 4,492 | ||||||||
1,218 | Morgan Sindall Group Plc | 23,212 | ||||||||
2,013 | Next Plc | 143,726 | ||||||||
2,800 | Nomad Foods Ltd * | 58,380 | ||||||||
22,669 | Persimmon Plc | 717,178 | ||||||||
8,397 | Plus500 Ltd | 167,756 | ||||||||
834 | QinetiQ Group Plc | 2,937 | ||||||||
7,369 | Royal Dutch Shell Plc A Shares (London) | 239,742 | ||||||||
7,428 | Royal Mail Plc | 43,195 | ||||||||
7,290 | RPS Group Plc | 22,215 | ||||||||
295 | Spectris Plc | 9,019 | ||||||||
10,383 | Spirent Communications Plc | 15,940 | ||||||||
100,605 | Thomas Cook Group Plc | 109,306 | ||||||||
13,083 | TUI AG | 241,491 |
48 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued |
| |||||||||
1,528 | William Hill Plc | 5,105 | ||||||||
|
| |||||||||
Total United Kingdom | 7,529,884 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $35,716,148) | 50,051,553 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 2.0% |
| |||||||||
Brazil — 0.4% |
| |||||||||
15,133 | Banco Bradesco SA | 105,442 | ||||||||
7,900 | Bradespar SA | 60,262 | ||||||||
500 | Braskem SA – Class A | 7,268 | ||||||||
7,600 | Centrais Eletricas Brasileiras SA – Class B * | 33,773 | ||||||||
2,700 | Cia Energetica de Sao Paulo – Class B | 11,070 | ||||||||
6,219 | Itausa – Investimentos Itau SA | 14,642 | ||||||||
|
| |||||||||
Total Brazil | 232,457 | |||||||||
|
| |||||||||
Germany — 1.3% |
| |||||||||
1,142 | Bayerische Motoren Werke AG | 95,765 | ||||||||
133 | Henkel AG & Co KGaA | 16,976 | ||||||||
2,994 | Porsche Automobil Holding SE | 189,428 | ||||||||
2,144 | Volkswagen AG | 350,475 | ||||||||
|
| |||||||||
Total Germany | 652,644 | |||||||||
|
| |||||||||
South Korea — 0.3% |
| |||||||||
97 | Hyundai Motor Co | 6,825 | ||||||||
263 | Hyundai Motor Co 2nd Preference | 20,222 | ||||||||
142 | LG Electronics Inc | 3,953 | ||||||||
3,850 | Samsung Electronics Co Ltd | 137,181 | ||||||||
|
| |||||||||
Total South Korea | 168,181 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $753,406) | 1,053,282 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% |
| |||||||||
Thailand — 0.0% |
| |||||||||
1,650 | Supalai Pcl, Expires 10/19/18 * | 1,003 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 1,003 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 1.9% |
| |||||||||
United States — 1.9% |
| |||||||||
Affiliated Issuers — 1.9% | ||||||||||
40,111 | GMO U.S. Treasury Fund | 1,001,983 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,001,906) | 1,001,983 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% |
| |||||||||
Money Market Fund — 0.2% |
| |||||||||
105,298 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (c) | 105,298 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $105,298) | 105,298 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $37,576,758) | 52,213,119 | |||||||||
Other Assets and Liabilities (net) — 0.3% | 150,187 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $52,363,306 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
8 | Mini MSCI EAFE | September 2018 | 783,520 | (17,979 | ) | |||||||
3 | Mini MSCI Emerging Markets | September 2018 | 158,235 | (2,906 | ) | |||||||
|
|
|
| |||||||||
$ | 941,755 | $ | (20,885 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales | - Fund is short the futures contract. |
As of August 31, 2018, 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) | 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 (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
See accompanying notes to the financial statements. | 49 |
GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 99.4 | % | ||
Mutual Funds | 0.9 | |||
Short-Term Investments | 0.1 | |||
Other | (0.4 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Pharmaceuticals, Biotechnology & Life Sciences | 12.1 | % | ||
Software & Services | 10.7 | |||
Capital Goods | 10.1 | |||
Technology Hardware & Equipment | 9.5 | |||
Semiconductors & Semiconductor Equipment | 6.5 | |||
Retailing | 5.2 | |||
Health Care Equipment & Services | 5.1 | |||
Insurance | 4.9 | |||
Consumer Durables & Apparel | 4.1 | |||
Materials | 4.0 | |||
Automobiles & Components | 3.9 | |||
Diversified Financials | 3.3 | |||
Banks | 3.0 | |||
Energy | 2.9 | |||
Real Estate | 2.8 | |||
Household & Personal Products | 2.5 | |||
Food, Beverage & Tobacco | 2.3 | |||
Commercial & Professional Services | 2.1 | |||
Media | 2.0 | |||
Telecommunication Services | 1.1 | |||
Consumer Services | 1.1 | |||
Food & Staples Retailing | 0.4 | |||
Utilities | 0.2 | |||
Transportation | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
50
GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 99.4% |
| |||||||||
Automobiles & Components — 3.8% |
| |||||||||
85,070 | American Axle & Manufacturing Holdings, Inc. * | 1,506,590 | ||||||||
71,800 | Aptiv Plc | 6,319,118 | ||||||||
90,345 | BorgWarner, Inc. | 3,954,400 | ||||||||
17,061 | Cooper-Standard Holding, Inc. * | 2,361,754 | ||||||||
134,844 | Dana, Inc. | 2,638,897 | ||||||||
322,516 | General Motors Co. | 11,626,702 | ||||||||
86,500 | Gentex Corp. | 2,022,370 | ||||||||
36,509 | Lear Corp. | 5,921,760 | ||||||||
61,421 | Modine Manufacturing Co. * | 1,034,944 | ||||||||
35,730 | Stoneridge, Inc. * | 1,069,399 | ||||||||
20,283 | Tower International, Inc. | 685,565 | ||||||||
|
| |||||||||
Total Automobiles & Components | 39,141,499 | |||||||||
|
| |||||||||
Banks — 3.0% |
| |||||||||
3,519 | American National Bankshares, Inc. | 144,807 | ||||||||
162,654 | Citizens Financial Group, Inc. | 6,694,839 | ||||||||
3,744 | CNB Financial Corp. | 115,427 | ||||||||
4,361 | Federal Agricultural Mortgage Corp. – Class C | 336,102 | ||||||||
115,473 | Fifth Third Bancorp | 3,398,370 | ||||||||
2,723 | First Bancorp, Inc. | 79,729 | ||||||||
4,637 | German American Bancorp, Inc. | 174,305 | ||||||||
83,593 | JPMorgan Chase & Co. | 9,578,086 | ||||||||
48,661 | Popular, Inc. | 2,449,595 | ||||||||
317,567 | Regions Financial Corp. | 6,179,854 | ||||||||
64,068 | TCF Financial Corp. | 1,624,124 | ||||||||
4,084 | Territorial Bancorp, Inc. | 122,030 | ||||||||
|
| |||||||||
Total Banks | 30,897,268 | |||||||||
|
| |||||||||
Capital Goods — 10.0% |
| |||||||||
23,820 | Applied Industrial Technologies, Inc. | 1,835,331 | ||||||||
102,555 | Caterpillar, Inc. | 14,239,762 | ||||||||
13,300 | Crane Co. | 1,214,024 | ||||||||
69,426 | Cummins, Inc. | 9,844,607 | ||||||||
39,968 | Deere & Co. | 5,747,398 | ||||||||
138,130 | Emerson Electric Co. | 10,598,715 | ||||||||
29,094 | Federal Signal Corp. | 757,317 | ||||||||
24,548 | Fortive Corp. | 2,061,541 | ||||||||
159,375 | Honeywell International, Inc. | 25,350,188 | ||||||||
34,964 | Ingersoll-Rand Plc | 3,541,504 | ||||||||
46,124 | ITT, Inc. | 2,726,390 | ||||||||
72,140 | Meritor, Inc. * | 1,562,552 | ||||||||
33,696 | Moog, Inc. – Class A | 2,658,951 | ||||||||
43,131 | Oshkosh Corp. | 3,030,384 | ||||||||
16,459 | Parker-Hannifin Corp. | 2,890,200 | ||||||||
24,804 | SPX Corp. * | 843,088 | ||||||||
20,023 | Teledyne Technologies, Inc. * | 4,750,657 | ||||||||
85,891 | Textron, Inc. | 5,929,056 | ||||||||
40,579 | Timken Co. (The) | 1,974,168 | ||||||||
28,396 | Universal Forest Products, Inc. | 1,063,714 | ||||||||
|
| |||||||||
Total Capital Goods | 102,619,547 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Commercial & Professional Services — 2.1% |
| |||||||||
122,899 | ACCO Brands Corp. | 1,523,948 | ||||||||
35,009 | Brady Corp. – Class A | 1,416,114 | ||||||||
30,406 | Deluxe Corp. | 1,800,643 | ||||||||
27,046 | FTI Consulting, Inc. * | 2,061,446 | ||||||||
12,506 | Heidrick & Struggles International, Inc. | 552,765 | ||||||||
40,604 | Herman Miller, Inc. | 1,555,133 | ||||||||
9,307 | ICF International, Inc. | 759,917 | ||||||||
19,880 | Insperity, Inc. | 2,382,618 | ||||||||
21,268 | Kforce, Inc. | 894,319 | ||||||||
41,004 | Knoll, Inc. | 965,234 | ||||||||
18,200 | Korn/Ferry International | 1,221,766 | ||||||||
19,425 | ManpowerGroup, Inc. | 1,820,705 | ||||||||
10,500 | MSA Safety, Inc. | 1,061,445 | ||||||||
14,800 | Resources Connection, Inc. | 244,940 | ||||||||
41,036 | Robert Half International, Inc. | 3,208,195 | ||||||||
|
| |||||||||
Total Commercial & Professional Services | 21,469,188 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 4.1% |
| |||||||||
29,945 | Acushnet Holdings Corp. | 810,012 | ||||||||
5,360 | Bassett Furniture Industries, Inc. | 125,156 | ||||||||
58,954 | Brunswick Corp. | 3,915,725 | ||||||||
77,499 | Callaway Golf Co. | 1,767,752 | ||||||||
25,096 | Columbia Sportswear Co. | 2,276,207 | ||||||||
5,530 | Culp, Inc. | 140,186 | ||||||||
13,600 | Deckers Outdoor Corp. * | 1,657,024 | ||||||||
67,936 | DR Horton, Inc. | 3,023,831 | ||||||||
3,569 | Flexsteel Industries, Inc. | 127,342 | ||||||||
69,187 | Garmin Ltd. | 4,714,402 | ||||||||
13,000 | Helen of Troy Ltd. * | 1,546,350 | ||||||||
5,360 | Johnson Outdoors, Inc. – Class A | 542,861 | ||||||||
41,790 | La-Z-Boy, Inc. | 1,389,517 | ||||||||
18,971 | Movado Group, Inc. | 808,165 | ||||||||
907 | NVR, Inc. * | 2,420,284 | ||||||||
8,000 | Oxford Industries, Inc. | 744,720 | ||||||||
45,766 | PVH Corp. | 6,551,861 | ||||||||
7,900 | Rocky Brands, Inc. | 238,185 | ||||||||
73,574 | VF Corp. | 6,778,373 | ||||||||
52,119 | Wolverine World Wide, Inc. | 2,042,022 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 41,619,975 | |||||||||
|
| |||||||||
Consumer Services — 1.0% |
| |||||||||
33,926 | Adtalem Global Education, Inc. * | 1,623,359 | ||||||||
5,125 | American Public Education, Inc. * | 178,094 | ||||||||
47,384 | Bloomin’ Brands, Inc. | 914,511 | ||||||||
21,300 | Carrols Restaurant Group, Inc. * | 336,540 | ||||||||
3,148 | Graham Holdings Co. – Class B | 1,771,222 | ||||||||
13,302 | Grand Canyon Education, Inc. * | 1,584,801 | ||||||||
26,800 | K12, Inc. * | 443,808 | ||||||||
22,339 | Regis Corp. * | 477,831 | ||||||||
78,330 | Service Corp. International | 3,286,727 | ||||||||
|
| |||||||||
Total Consumer Services | 10,616,893 | |||||||||
|
|
See accompanying notes to the financial statements. | 51 |
GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Diversified Financials — 3.2% |
| |||||||||
59,614 | Ameriprise Financial, Inc. | 8,462,804 | ||||||||
57,300 | Capital One Financial Corp. | 5,677,857 | ||||||||
67,291 | E*TRADE Financial Corp. * | 3,960,748 | ||||||||
35,730 | Enova International, Inc. * | 1,186,236 | ||||||||
44,415 | Legg Mason, Inc. | 1,385,748 | ||||||||
39,293 | Raymond James Financial, Inc. | 3,655,821 | ||||||||
102,109 | State Street Corp. | 8,874,293 | ||||||||
|
| |||||||||
Total Diversified Financials | 33,203,507 | |||||||||
|
| |||||||||
Energy — 2.9% |
| |||||||||
63,400 | Anadarko Petroleum Corp. | 4,082,960 | ||||||||
298,086 | Denbury Resources, Inc. * | 1,660,339 | ||||||||
347,617 | Marathon Oil Corp. | 7,477,242 | ||||||||
79,327 | Murphy Oil Corp. | 2,445,651 | ||||||||
117,204 | Phillips 66 | 13,889,846 | ||||||||
|
| |||||||||
Total Energy | 29,556,038 | |||||||||
|
| |||||||||
Food & Staples Retailing — 0.4% |
| |||||||||
29,700 | Performance Food Group Co. * | 983,070 | ||||||||
83,880 | US Foods Holding Corp. * | 2,733,649 | ||||||||
|
| |||||||||
Total Food & Staples Retailing | 3,716,719 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 2.3% |
| |||||||||
216,570 | Archer-Daniels-Midland Co. | 10,915,128 | ||||||||
68,920 | Conagra Brands, Inc. | 2,532,810 | ||||||||
81,007 | PepsiCo, Inc. | 9,073,594 | ||||||||
16,600 | Universal Corp. | 992,680 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 23,514,212 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 5.1% |
| |||||||||
27,770 | Anthem, Inc. | 7,351,552 | ||||||||
263,417 | Baxter International, Inc. | 19,590,322 | ||||||||
165,121 | Danaher Corp. | 17,096,628 | ||||||||
64,578 | McKesson Corp. | 8,314,418 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 52,352,920 | |||||||||
|
| |||||||||
Household & Personal Products — 2.5% |
| |||||||||
106,047 | Estee Lauder Cos, Inc. (The) – Class A | 14,859,306 | ||||||||
16,164 | Inter Parfums, Inc. | 1,055,509 | ||||||||
111,017 | Procter & Gamble Co. (The) | 9,208,860 | ||||||||
|
| |||||||||
Total Household & Personal Products | 25,123,675 | |||||||||
|
| |||||||||
Insurance — 4.9% |
| |||||||||
223,388 | Aflac, Inc. | 10,329,461 | ||||||||
113,702 | Allstate Corp. (The) | 11,435,010 | ||||||||
64,398 | Fidelity National Financial, Inc. | 2,582,360 | ||||||||
41,904 | First American Financial Corp. | 2,382,661 | ||||||||
46,413 | Lincoln National Corp. | 3,043,765 | ||||||||
142,280 | Old Republic International Corp. | 3,155,770 | ||||||||
220,507 | Progressive Corp. (The) | 14,890,838 |
Shares | Description | Value ($) | ||||||||
Insurance — continued |
| |||||||||
15,738 | Reinsurance Group of America, Inc. | 2,248,173 | ||||||||
|
| |||||||||
Total Insurance | 50,068,038 | |||||||||
|
| |||||||||
Materials — 4.0% |
| |||||||||
49,949 | Avery Dennison Corp. | 5,253,636 | ||||||||
33,348 | Boise Cascade Co. | 1,457,307 | ||||||||
31,959 | Cabot Corp. | 2,074,778 | ||||||||
32,300 | Celanese Corp. | 3,773,609 | ||||||||
68,227 | Eastman Chemical Co. | 6,620,066 | ||||||||
168,192 | Huntsman Corp. | 5,128,174 | ||||||||
70,779 | LyondellBasell Industries NV – Class A | 7,982,456 | ||||||||
15,951 | Materion Corp. | 1,017,674 | ||||||||
18,500 | Mercer International, Inc. | 327,450 | ||||||||
24,400 | PolyOne Corp. | 1,031,144 | ||||||||
40,100 | Reliance Steel & Aluminum Co. | 3,524,389 | ||||||||
37,431 | Trinseo SA | 2,887,802 | ||||||||
|
| |||||||||
Total Materials | 41,078,485 | |||||||||
|
| |||||||||
Media — 2.0% |
| |||||||||
24,900 | AMC Networks, Inc. – Class A * | 1,563,969 | ||||||||
24,106 | CBS Corp. – Class B NVDR | 1,278,100 | ||||||||
84,560 | Gannett Co., Inc. | 869,277 | ||||||||
16,504 | John Wiley & Sons, Inc. – Class A | 1,065,333 | ||||||||
12,200 | Marcus Corp. (The) | 495,320 | ||||||||
36,400 | New Media Investment Group, Inc. | 578,760 | ||||||||
208,652 | News Corp. – Class A | 2,727,082 | ||||||||
101,650 | News Corp. – Class B | 1,382,440 | ||||||||
52,589 | Omnicom Group, Inc. | 3,645,470 | ||||||||
19,482 | Scholastic Corp. | 819,023 | ||||||||
115,885 | TEGNA, Inc. | 1,348,901 | ||||||||
43,600 | Tribune Media Co. – Class A | 1,608,404 | ||||||||
115,600 | Viacom, Inc. – Class B | 3,384,768 | ||||||||
|
| |||||||||
Total Media | 20,766,847 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 12.0% |
| |||||||||
103,153 | AbbVie, Inc. | 9,900,625 | ||||||||
67,100 | Amgen, Inc. | 13,407,251 | ||||||||
55,597 | Bruker Corp. | 1,978,141 | ||||||||
281,059 | Eli Lilly & Co. | 29,693,883 | ||||||||
60,092 | Johnson & Johnson | 8,093,792 | ||||||||
412,131 | Merck & Co., Inc. | 28,268,065 | ||||||||
756,638 | Pfizer, Inc. | 31,415,610 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 122,757,367 | |||||||||
|
| |||||||||
Real Estate — 2.8% |
| |||||||||
85,921 | Apple Hospitality REIT, Inc. | 1,516,505 | ||||||||
161,149 | CBRE Group, Inc. – Class A * | 7,865,683 | ||||||||
63,293 | CoreCivic, Inc. (REIT) | 1,638,656 | ||||||||
24,200 | Hersha Hospitality Trust (REIT) | 571,120 | ||||||||
246,581 | Host Hotels & Resorts, Inc. (REIT) | 5,308,889 |
52 | See accompanying notes to the financial statements. |
GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Real Estate — continued |
| |||||||||
24,688 | Jones Lang LaSalle, Inc. | 3,765,414 | ||||||||
82,955 | Piedmont Office Realty Trust, Inc. – Class A (REIT) | 1,645,827 | ||||||||
27,393 | PotlatchDeltic Corp. (REIT) | 1,323,082 | ||||||||
37,400 | Rayonier, Inc. (REIT) | 1,302,642 | ||||||||
79,600 | Sunstone Hotel Investors, Inc. (REIT) | 1,335,688 | ||||||||
104,960 | Xenia Hotels & Resorts, Inc. (REIT) | 2,546,329 | ||||||||
|
| |||||||||
Total Real Estate | 28,819,835 | |||||||||
|
| |||||||||
Retailing — 5.2% |
| |||||||||
500 | Amazon.com, Inc. * | 1,006,355 | ||||||||
106,593 | American Eagle Outfitters, Inc. | 2,767,154 | ||||||||
14,900 | Asbury Automotive Group, Inc. * | 1,110,050 | ||||||||
69,240 | Best Buy Co., Inc. | 5,508,734 | ||||||||
32,400 | Dick’s Sporting Goods, Inc. | 1,213,056 | ||||||||
49,681 | Foot Locker, Inc. | 2,449,273 | ||||||||
98,817 | Gap Inc. (The) | 2,999,096 | ||||||||
16,589 | Group 1 Automotive, Inc. | 1,278,846 | ||||||||
118,163 | Kohl’s Corp. | 9,347,875 | ||||||||
40,400 | Liberty TripAdvisor Holdings, Inc. – Class A * | 640,340 | ||||||||
118,303 | Macy’s, Inc. | 4,323,975 | ||||||||
17,000 | Penske Automotive Group, Inc. | 894,710 | ||||||||
256,968 | Qurate Retail, Inc.* | 5,342,365 | ||||||||
15,653 | Shutterfly, Inc.* | 1,215,925 | ||||||||
20,400 | Sonic Automotive, Inc. – Class A | 438,600 | ||||||||
45,938 | Tailored Brands, Inc. | 1,081,380 | ||||||||
79,400 | TJX Cos., Inc. (The) | 8,731,618 | ||||||||
51,893 | Urban Outfitters, Inc. * | 2,411,987 | ||||||||
|
| |||||||||
Total Retailing | 52,761,339 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 6.5% |
| |||||||||
189,428 | Applied Materials, Inc. | 8,149,193 | ||||||||
12,251 | Cabot Microelectronics Corp. | 1,381,055 | ||||||||
474,400 | Intel Corp. | 22,975,192 | ||||||||
60,442 | KLA-Tencor Corp. | 7,023,965 | ||||||||
45,054 | Kulicke & Soffa Industries, Inc. | 1,161,943 | ||||||||
52,404 | Maxim Integrated Products, Inc. | 3,168,870 | ||||||||
362,796 | Micron Technology, Inc. * | 19,054,046 | ||||||||
140,281 | ON Semiconductor Corp. * | 2,993,596 | ||||||||
20,700 | Rudolph Technologies, Inc. * | 575,460 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 66,483,320 | |||||||||
|
| |||||||||
Software & Services — 10.6% |
| |||||||||
114,900 | Activision Blizzard, Inc. | 8,284,290 | ||||||||
62,730 | Adobe Systems, Inc. * | 16,529,982 | ||||||||
1,000 | Alphabet, Inc. – Class C * | 1,218,190 | ||||||||
50,577 | Amdocs Ltd. | 3,301,667 | ||||||||
44,400 | Booz Allen Hamilton Holding Corp. – Class A | 2,271,504 | ||||||||
130,813 | CA, Inc. | 5,729,609 | ||||||||
6,300 | CACI International, Inc. – Class A * | 1,228,500 |
Shares | Description | Value ($) | ||||||||
Software & Services — continued |
| |||||||||
87,205 | Cadence Design Systems, Inc. * | 4,102,123 | ||||||||
43,727 | Citrix Systems, Inc. * | 4,985,753 | ||||||||
25,030 | CSG Systems International, Inc. | 934,870 | ||||||||
308,055 | eBay, Inc. * | 10,661,784 | ||||||||
15,344 | IAC/InterActiveCorp * | 3,025,837 | ||||||||
52,095 | Intuit, Inc. | 11,433,290 | ||||||||
98,175 | Mastercard, Inc. – Class A | 21,162,603 | ||||||||
34,953 | Microsoft Corp. | 3,926,270 | ||||||||
33,348 | Progress Software Corp. | 1,364,934 | ||||||||
19,710 | Sykes Enterprises, Inc. * | 596,030 | ||||||||
71,219 | Synopsys, Inc. * | 7,274,309 | ||||||||
27,200 | XO Group, Inc. * | 817,632 | ||||||||
|
| |||||||||
Total Software & Services | 108,849,177 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 9.5% |
| |||||||||
58,455 | Apple, Inc. | 13,306,112 | ||||||||
42,933 | Arrow Electronics, Inc. * | 3,328,595 | ||||||||
51,978 | Avnet, Inc. | 2,515,735 | ||||||||
605,614 | Hewlett Packard Enterprise Co. | 10,010,799 | ||||||||
980,940 | HP, Inc. | 24,180,171 | ||||||||
22,020 | Insight Enterprises, Inc. * | 1,214,183 | ||||||||
26,700 | Keysight Technologies, Inc. * | 1,732,563 | ||||||||
35,307 | Motorola Solutions, Inc. | 4,532,007 | ||||||||
112,795 | NetApp, Inc. | 9,791,734 | ||||||||
81,583 | Seagate Technology Plc | 4,367,954 | ||||||||
174,503 | TE Connectivity Ltd. | 15,998,435 | ||||||||
80,222 | Vishay Intertechnology, Inc. | 1,909,284 | ||||||||
62,014 | Western Digital Corp. | 3,921,765 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 96,809,337 | |||||||||
|
| |||||||||
Telecommunication Services — 1.1% |
| |||||||||
83,271 | Telephone & Data Systems, Inc. | 2,501,461 | ||||||||
166,800 | Verizon Communications, Inc. | 9,068,916 | ||||||||
|
| |||||||||
Total Telecommunication Services | 11,570,377 | |||||||||
|
| |||||||||
Transportation — 0.2% |
| |||||||||
17,865 | Landstar System, Inc. | 2,068,767 | ||||||||
|
| |||||||||
Utilities — 0.2% |
| |||||||||
104,000 | Vistra Energy Corp.* | 2,448,160 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $910,261,616) | 1,018,312,490 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.9% |
| |||||||||
Affiliated Issuers — 0.9% |
| |||||||||
363,175 | GMO U.S. Treasury Fund | 9,072,109 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $9,072,109) | 9,072,109 | |||||||||
|
|
See accompanying notes to the financial statements. | 53 |
GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
1,255,731 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (a) | 1,255,731 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,255,731) | 1,255,731 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.4% (Cost $920,589,456) | 1,028,640,330 | |||||||||
Other Assets and Liabilities (net) — (0.4%) | (4,522,993 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,024,117,337 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
ADR - American Depositary Receipt
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
ETF - Exchange-Traded Fund
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depository Receipt
LIBOR - London Interbank Offered Rate
NVDR - Non-Voting Depository Receipt
OJSC - Open Joint-Stock Company
OTC - Over-the-Counter
PJSC- Private Joint-Stock Company
QPSC - Qatari Public Shareholding Company
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
SDR - Swedish Depositary Reciept
USBM - U.S. Treasury 3 Month Bill Money Market Yield
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
Counterparty Abbreviations:
GS - Goldman Sachs International
MSCI - Morgan Stanley & Co. International PLC
MSLC - Morgan Stanley & Co. LLC
Currency Abbreviations:
GBP - British Pound
PHP - Philippine Peso
THB - Thai Bhat
USD - United States Dollar
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited)
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Foreign Small Companies Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 1,665,159 | $ | 91,359,746 | $ | 135,120,515 | $ | 639,328 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 87,183,415 | 1,511,596,618 | 3,593,469,105 | 20,117,021 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 14,769 | 882,860 | 21,703,219 | 10,694 | ||||||||||||
Cash | 1 | 30 | 1,623,798 | — | ||||||||||||
Receivable for investments sold | — | 8,963,998 | 8,121,724 | — | ||||||||||||
Receivable for Fund shares sold | — | 29,760 | 123,266 | — | ||||||||||||
Dividend withholding tax receivable | 16,828 | 38,538 | 19,389 | 226,676 | ||||||||||||
Dividends and interest receivable | 86,674 | 7,614,983 | 9,197,062 | 46,061 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 1,641,047 | — | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 43,090 | 1,649,200 | — | ||||||||||||
Due from broker (Note 2) | — | — | 15,216,000 | 25,968 | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 770,262 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 34,420 | 26,445 | 455,871 | 17,201 | ||||||||||||
Miscellaneous receivable | — | 240 | 130,156 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 89,001,266 | 1,622,197,355 | 3,787,599,567 | 21,082,949 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | 5,583 | 8,145,994 | 15,548,834 | 926 | ||||||||||||
Payable for Fund shares repurchased | — | — | 16,393,793 | — | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | 3,535 | — | 783,515 | — | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 44,914 | 1,034,794 | 2,395,178 | 10,478 | ||||||||||||
Shareholder service fee | 11,228 | 184,145 | 258,471 | 2,621 | ||||||||||||
Payable to agents unaffiliated with GMO | 11 | 396 | 840 | 6 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | — | 2,820 | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 2,116,950 | — | — | ||||||||||||
Miscellaneous payable | — | — | 926,314 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | 915,351 | — | — | ||||||||||||
Payable for reverse repurchase agreements (Note 2) | — | — | 40 | — | ||||||||||||
Payable to Trustees and related expenses | 307 | 7,353 | 14,820 | 1,540 | ||||||||||||
Accrued expenses | 58,600 | 642,663 | 1,509,746 | 246,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 124,178 | 13,047,646 | 37,831,551 | 264,575 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 88,877,088 | $ | 1,609,149,709 | $ | 3,749,768,016 | $ | 20,818,374 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 1,665,159 | $ | 69,959,396 | $ | 103,114,726 | $ | 639,328 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 90,188,954 | $ | 1,615,148,031 | $ | 3,620,293,838 | $ | 20,476,137 | ||||||||
(c) Cost of foreign currency: | $ | 14,746 | $ | 887,217 | $ | 21,646,193 | $ | 10,686 |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Foreign Small Companies Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 90,467,120 | $ | 1,675,811,516 | $ | 5,027,964,918 | $ | 21,629,666 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 830,528 | 2,857,657 | 81,028,889 | (761,756 | ) | |||||||||||
Accumulated net realized gain (loss) | 588,688 | 14,916,159 | (1,343,763,221 | ) | 361,824 | |||||||||||
Net unrealized appreciation (depreciation) | (3,009,248 | ) | (84,435,623 | ) | (15,462,570 | ) | (411,360 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 88,877,088 | $ | 1,609,149,709 | $ | 3,749,768,016 | $ | 20,818,374 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class II | $ | — | $ | 488,374,530 | $ | 362,509,163 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 88,877,088 | $ | 138,734,015 | $ | 297,410,202 | $ | 20,818,374 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 207,587,867 | $ | 88,926,018 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | 774,453,297 | $ | 152,210,047 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 2,848,712,586 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class II | — | 22,299,025 | 11,219,534 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 3,898,670 | 6,332,594 | 9,178,865 | 1,716,604 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | 9,466,959 | 2,769,610 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | 35,351,262 | 4,755,047 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | — | 88,768,337 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class II | $ | — | $ | 21.90 | $ | 32.31 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 22.80 | $ | 21.91 | $ | 32.40 | $ | 12.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 21.93 | $ | 32.11 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | 21.91 | $ | 32.01 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 32.09 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 22,343,940 | $ | 477,713 | $ | 51,094,345 | $ | 10,640,570 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 3,956,120,722 | 18,552,469 | 7,136,241,079 | 435,224,601 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 925,121 | 448,150 | 17 | 43,427 | ||||||||||||
Cash | 8 | — | 205 | 28 | ||||||||||||
Receivable for investments sold | 18 | — | 40,698,585 | — | ||||||||||||
Receivable for Fund shares sold | 373,602 | 7,728 | 3,313,885 | — | ||||||||||||
Dividend withholding tax receivable | 6,145,066 | 203,802 | 2,183,850 | 40,213 | ||||||||||||
Dividends and interest receivable | 6,214,201 | 42,850 | 11,136,196 | 1,363,203 | ||||||||||||
Due from broker (Note 2) | 632,276 | 15,631 | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 111,232 | 12,441 | 94,144 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 3,992,866,186 | 19,760,784 | 7,244,762,306 | 447,312,042 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | — | — | — | 7,245 | ||||||||||||
Payable for Fund shares repurchased | 30,044 | — | 70,756,392 | — | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | — | 11,021 | ||||||||||||
Payable for recoupment of past waived and/or reimbursement fees (Note 5) | — | — | — | 6,599 | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 1,699,968 | 6,676 | 1,994,257 | 187,181 | ||||||||||||
Shareholder service fee | 332,130 | 2,639 | 643,174 | 42,263 | ||||||||||||
Payable to agents unaffiliated with GMO | 870 | 13 | 1,390 | 66 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 87,420 | 2,115 | — | — | ||||||||||||
Payable to Trustees and related expenses | 16,025 | 368 | 25,174 | 689 | ||||||||||||
Accrued expenses | 698,610 | 324,049 | 549,766 | 123,201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 2,865,067 | 335,860 | 73,970,153 | 378,265 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 3,990,001,119 | $ | 19,424,924 | $ | 7,170,792,153 | $ | 446,933,777 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 22,343,940 | $ | 477,713 | $ | 51,089,904 | $ | 10,638,444 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 3,779,720,837 | $ | 17,582,301 | $ | 4,629,578,997 | $ | 376,811,268 | ||||||||
(c) Cost of foreign currency: | $ | 929,380 | $ | 450,973 | $ | 16 | $ | 43,683 |
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 4,818,446,332 | $ | 18,710,844 | $ | 3,959,914,008 | $ | 426,851,806 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 54,161,844 | (1,240,721 | ) | 50,856,044 | (4,227,833 | ) | ||||||||||
Accumulated net realized gain (loss) | (1,058,046,896 | ) | 1,156,722 | 653,368,735 | (34,085,409 | ) | ||||||||||
Net unrealized appreciation (depreciation) | 175,439,839 | 798,079 | 2,506,653,366 | 58,395,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 3,990,001,119 | $ | 19,424,924 | $ | 7,170,792,153 | $ | 446,933,777 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class II | $ | 20,851,709 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 467,095,862 | $ | 19,424,924 | $ | 3,199,674,120 | $ | 119,927,347 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 3,502,053,548 | $ | — | $ | 1,179,485,157 | $ | 327,006,430 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | 168,316,284 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 2,623,316,592 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class II | 946,449 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 20,942,188 | 889,001 | 120,749,595 | 5,937,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 157,292,511 | — | 44,437,723 | 16,243,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | — | 6,340,738 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | — | 98,981,887 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class II | $ | 22.03 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 22.30 | $ | 21.85 | $ | 26.50 | $ | 20.20 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 22.26 | $ | — | $ | 26.54 | $ | 20.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | 26.55 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 26.50 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | — | $ | 1,001,983 | $ | 9,072,109 | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 516,427,795 | 51,211,136 | 1,019,568,221 | |||||||||
Foreign currency, at value (Note 2)(c) | — | 26,846 | — | |||||||||
Cash | 34 | — | 120,001 | |||||||||
Receivable for investments sold | 851,973 | 19,680 | — | |||||||||
Dividend withholding tax receivable | — | 81,587 | — | |||||||||
Dividends and interest receivable | 857,857 | 92,032 | 1,902,948 | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 930 | — | |||||||||
Due from broker (Note 2) | 322,879 | 55,431 | 295,008 | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 9,381 | 19,793 | 27,061 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 518,469,919 | 52,509,418 | 1,030,985,348 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for Fund shares repurchased | — | — | 6,372,786 | |||||||||
Accrued foreign capital gains tax payable (Note 2) | — | 3,479 | — | |||||||||
Payable to affiliate for (Note 5): |
| |||||||||||
Management fee | 198,058 | 22,327 | 269,943 | |||||||||
Shareholder service fee | 25,839 | 6,698 | 57,519 | |||||||||
Payable to agents unaffiliated with GMO | 23 | 12 | 233 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | — | 5,640 | 2,696 | |||||||||
Written options outstanding, at value (Note 4)(d) | 3,171,260 | — | — | |||||||||
Payable to Trustees and related expenses | 250 | 410 | 4,329 | |||||||||
Accrued expenses | 76,530 | 107,546 | 160,505 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 3,471,960 | 146,112 | 6,868,011 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 514,997,959 | $ | 52,363,306 | $ | 1,024,117,337 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | — | $ | 1,001,906 | $ | 9,072,109 | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 516,420,667 | $ | 36,574,852 | $ | 911,517,347 | ||||||
(c) Cost of foreign currency: | $ | — | $ | 27,045 | $ | — | ||||||
(d) Premiums on written options: | $ | 4,083,175 | $ | — | $ | — |
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||
Net assets consist of: |
| |||||||||||
Paid-in capital | $ | 496,465,837 | $ | 48,723,720 | $ | 846,300,604 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,696,766 | 354,723 | 8,056,166 | |||||||||
Accumulated net realized gain (loss) | 15,916,313 | (11,305,926 | ) | 61,709,693 | ||||||||
Net unrealized appreciation (depreciation) | 919,043 | 14,590,789 | 108,050,874 | |||||||||
|
|
|
|
|
| |||||||
$ | 514,997,959 | $ | 52,363,306 | $ | 1,024,117,337 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: |
| |||||||||||
Class III | $ | 20,372,446 | $ | 52,363,306 | $ | 81,047,158 | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | — | $ | 38,064,179 | ||||||
|
|
|
|
|
| |||||||
Class V | $ | — | $ | — | $ | 61,864,018 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 494,625,513 | $ | — | $ | 843,141,982 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: |
| |||||||||||
Class III | 722,761 | 3,450,082 | 5,434,621 | |||||||||
|
|
|
|
|
| |||||||
Class IV | — | — | 2,550,002 | |||||||||
|
|
|
|
|
| |||||||
Class V | — | — | 4,166,356 | |||||||||
|
|
|
|
|
| |||||||
Class VI | 17,448,971 | — | 56,939,582 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: |
| |||||||||||
Class III | $ | 28.19 | $ | 15.18 | $ | 14.91 | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | — | $ | 14.93 | ||||||
|
|
|
|
|
| |||||||
Class V | $ | — | $ | — | $ | 14.85 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 28.35 | $ | — | $ | 14.81 | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 61 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2018 (Unaudited)
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Foreign Small Companies Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 1,027,185 | $ | 24,658,284 | $ | 120,888,128 | $ | 625,472 | ||||||||
Interest | 325 | 338,975 | 1,509,554 | 6,284 | ||||||||||||
Dividends from affiliated issuers (Note 10) | 22,745 | 1,065,696 | 637,499 | 8,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,050,255 | 26,062,955 | 123,035,181 | 640,357 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 201,436 | 7,803,856 | 16,577,839 | 122,598 | ||||||||||||
Shareholder service fee – Class II (Note 5) | — | 650,266 | 444,279 | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 50,359 | 101,842 | 248,375 | 25,554 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 143,001 | 112,747 | 3,397 | * | |||||||||||
Shareholder service fee – Class V (Note 5) | — | 459,725 | 73,255 | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | — | 907,109 | — | ||||||||||||
Audit and tax fees | 36,742 | 73,066 | 136,014 | 85,868 | ||||||||||||
Fees related to tax refunds received (Note 2) | — | — | — | 45,000 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 39,803 | 786,673 | 1,673,656 | 57,794 | ||||||||||||
Legal fees | 4,284 | 17,976 | 34,814 | 3,966 | ||||||||||||
Registration fees | 2,555 | 3,784 | 26,644 | 1,852 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 383 | 26,615 | 55,844 | 1,608 | ||||||||||||
Miscellaneous | 6,458 | 12,565 | 29,197 | 12,280 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 342,020 | 10,079,369 | 20,319,773 | 359,917 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (99,042 | ) | (111,231 | ) | (3,044,441 | ) | (114,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 242,978 | 9,968,138 | 17,275,332 | 245,318 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 807,277 | 16,094,817 | 105,759,849 | 395,039 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 709,034 | 27,002,253 | 153,832,826 | 8,654,489 | ||||||||||||
Investments in affiliated issuers | 1,564 | 1,567,434 | 17,367 | (68 | ) | |||||||||||
Futures contracts | — | (16,688,997 | ) | 5,417,937 | 56,936 | |||||||||||
Swap contracts | — | 11,620,600 | (1,933,685 | ) | — | |||||||||||
Forward currency contracts | — | 1,448,654 | — | — | ||||||||||||
Foreign currency and foreign currency related transactions | 18,361 | (2,537,746 | ) | (5,204,337 | ) | 18,455 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 728,959 | 22,412,198 | ** | 152,130,108 | 8,729,812 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | (4,489,595 | ) | (368,801,181 | ) | (739,284,056 | ) | (11,946,627 | ) | ||||||||
Investments in affiliated issuers | 300 | (6,858,984 | ) | (6,187,086 | ) | — | ||||||||||
Futures contracts | — | 624,073 | (38,650,166 | ) | 28,047 | |||||||||||
Swap contracts | — | (915,351 | ) | 334,321 | — | |||||||||||
Forward currency contracts | — | (2,831,675 | ) | — | — | |||||||||||
Foreign currency and foreign currency related transactions | (778 | ) | (403,362 | ) | 621 | (56,287 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | (4,490,073 | ) | (379,186,480 | ) | (783,786,366 | ) | (11,974,867 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (3,761,114 | ) | (356,774,282 | ) | (631,656,258 | ) | (3,245,055 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,953,837 | ) | $ | (340,679,465 | ) | $ | (525,896,409 | ) | $ | (2,850,016 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 141,524 | $ | 2,795,660 | $ | 16,538,859 | $ | 56,689 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | 22 | $ | 682,286 | $ | 1,355,480 | $ | — | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | 3,535 | $ | (277,504 | ) | $ | (1,177,816 | ) | $ | — | ||||||
* Class IV liquidated on May 2, 2018. | ||||||||||||||||
** For the details related to in-kind redemption realized gain (loss) please refer to Note 6. |
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations ��� Six Months Ended August 31, 2018 (Unaudited) — (Continued)
International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | |||||||||||||
Investment Income: |
| |||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 108,149,590 | $ | 1,782,673 | $ | 74,977,522 | $ | 8,315,299 | ||||||||
Interest | 48,505 | 8,440 | 1,045,885 | 11,556 | ||||||||||||
Dividends from affiliated issuers (Note 10) | 496,061 | 9,235 | 507,894 | 88,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 108,694,156 | 1,800,348 | 76,531,301 | 8,415,371 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 11,521,028 | 94,331 | 12,485,280 | 987,127 | ||||||||||||
Shareholder service fee – Class II (Note 5) | 24,106 | — | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 361,315 | 37,037 | 2,505,729 | 57,164 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 1,847,135 | 119 | * | 496,395 | 159,316 | |||||||||||
Shareholder service fee – Class V (Note 5) | — | — | 69,689 | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | — | 857,004 | — | ||||||||||||
Audit and tax fees | 93,620 | 128,391 | 58,347 | 53,572 | ||||||||||||
Fees related to tax refunds received (Note 2) | — | 70,000 | — | — | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 513,681 | 45,869 | 505,832 | 91,108 | ||||||||||||
Legal fees | 33,978 | 3,500 | 53,144 | 4,587 | ||||||||||||
Registration fees | 16,407 | 8,710 | 12,141 | 1,341 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 56,331 | 789 | 89,927 | 4,057 | ||||||||||||
Recoupment of past waived and/or reimbursed fees (Note 5) | — | — | — | 53,546 | ||||||||||||
Miscellaneous | 29,588 | 9,116 | 20,006 | 6,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 14,497,189 | 397,862 | 17,153,494 | 1,418,254 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (639,095 | ) | (92,529 | ) | (622,932 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 13,858,094 | 305,333 | 16,530,562 | 1,418,254 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 94,836,062 | 1,495,015 | 60,000,739 | 6,997,117 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||
Net realized gain (loss) on: |
| |||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 201,049,825 | 7,147,536 | 737,301,397 | 14,182,257 | ||||||||||||
Investments in affiliated issuers | (806 | ) | (4,142 | ) | (22,597 | ) | 2,131 | |||||||||
Futures contracts | 1,598,326 | (44,252 | ) | — | — | |||||||||||
Foreign currency and foreign currency related transactions | (575,456 | ) | 6,118 | (336,842 | ) | 5,728 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 202,071,889 | ** | 7,105,260 | 736,941,958 | ** | 14,190,116 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | (573,495,426 | ) | (11,588,153 | ) | (119,111,075 | ) | (31,965,976 | ) | ||||||||
Investments in affiliated issuers | 15,646 | 726 | 24,902 | 3,930 | ||||||||||||
Futures contracts | (318,157 | ) | 24,622 | — | — | |||||||||||
Foreign currency and foreign currency related transactions | (998,578 | ) | (94,450 | ) | (56,126 | ) | (17,839 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | (574,796,515 | ) | (11,657,255 | ) | (119,142,299 | ) | (31,979,885 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (372,724,626 | ) | (4,551,995 | ) | 617,799,659 | (17,789,769 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (277,888,564 | ) | $ | (3,056,980 | ) | $ | 677,800,398 | $ | (10,792,652 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 13,355,664 | $ | 162,096 | $ | 2,333,786 | $ | 784,296 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | — | $ | — | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | — | $ | — | $ | 11,021 | ||||||||
* Class IV liquidated on May 2, 2018. | ||||||||||||||||
** For the details related to in-kind redemption realized gain (loss) please refer to Note 6. |
See accompanying notes to the financial statements. | 63 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)
Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||
Investment Income: |
| |||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 11,056 | $ | 1,255,230 | $ | 11,746,058 | ||||||
Interest | 2,673,269 | 347 | 1,115 | |||||||||
Dividends from affiliated issuers (Note 10) | — | 9,503 | 86,242 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 2,684,325 | 1,265,080 | 11,833,415 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 623,600 | 142,389 | 1,893,413 | |||||||||
Shareholder service fee – Class III (Note 5) | 7,207 | 42,717 | 58,936 | |||||||||
Shareholder service fee – Class IV (Note 5) | — | — | 18,412 | |||||||||
Shareholder service fee – Class V (Note 5) | — | — | 27,561 | |||||||||
Shareholder service fee – Class VI (Note 5) | 73,575 | — | 286,358 | |||||||||
Audit and tax fees | 26,966 | 69,257 | 34,969 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 17,209 | 51,174 | 107,591 | |||||||||
Legal fees | 670 | 3,396 | 10,062 | |||||||||
Registration fees | 1,621 | 1,983 | 10,877 | |||||||||
Trustees’ fees and related expenses (Note 5) | 1,966 | 763 | 15,079 | |||||||||
Miscellaneous | 13,135 | 21,500 | * | 6,923 | ||||||||
|
|
|
|
|
| |||||||
Total expenses | 765,949 | 333,179 | 2,470,181 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (59,430 | ) | (119,016 | ) | (165,879 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 706,519 | 214,163 | 2,304,302 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,977,806 | 1,050,917 | 9,529,113 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): |
| |||||||||||
Net realized gain (loss) on: |
| |||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | (122,167 | ) | 4,333,726 | 98,566,458 | ||||||||
Investments in affiliated issuers | — | (331 | ) | (889 | ) | |||||||
Futures contracts | — | (66,891 | ) | 296,689 | ||||||||
Written options | 20,185,755 | — | — | |||||||||
Foreign currency and foreign currency related transactions | 4,864 | 4,247 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 20,068,452 | 4,270,751 | 98,862,258 | ** | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: |
| |||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | 177,174 | (9,570,854 | ) | (49,979,211 | ) | |||||||
Investments in affiliated issuers | — | 504 | 2,988 | |||||||||
Futures contracts | — | 25,864 | (74,241 | ) | ||||||||
Written options | 484,900 | — | — | |||||||||
Foreign currency and foreign currency related transactions | — | (20,521 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 662,074 | (9,565,007 | ) | (50,050,464 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 20,730,526 | (5,294,256 | ) | 48,811,794 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 22,708,332 | $ | (4,243,339 | ) | $ | 58,340,907 | |||||
|
|
|
|
|
| |||||||
(a) Withholding tax: | $ | — | $ | 146,673 | $ | 3,485 | ||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | 204 | $ | — | ||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | (5,664 | ) | $ | — | |||||
* Includes $17,519 of pricing related fees. | ||||||||||||
** For the details related to in-kind redemption realized gain (loss) please refer to Note 6. |
64 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Climate Change Fund | Emerging Domestic Opportunities Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Period from April 5, 2017 (commencement of operations) through February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 807,277 | $ | 167,335 | $ | 16,094,817 | $ | 23,919,255 | ||||||||
Net realized gain (loss) | 728,959 | 1,128,320 | 22,412,198 | 415,071,691 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (4,490,073 | ) | 1,480,825 | (379,186,480 | ) | 136,074,872 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (2,953,837 | ) | 2,776,480 | (340,679,465 | ) | 575,065,818 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income |
| |||||||||||||||
Class II | — | — | (11,989 | ) | (8,577,224 | ) | ||||||||||
Class III | (100,304 | ) | (176,067 | ) | (14,148 | ) | (1,697,769 | ) | ||||||||
Class IV | — | — | (27,075 | ) | (4,239,894 | ) | ||||||||||
Class V | — | — | (98,673 | ) | (16,995,140 | ) | ||||||||||
Class VI | — | — | — | — | * | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (100,304 | ) | (176,067 | ) | (151,885 | ) | (31,510,027 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains |
| |||||||||||||||
Class II | — | — | (54,666,816 | ) | — | |||||||||||
Class III | (645,226 | ) | (491,078 | ) | (15,482,732 | ) | — | |||||||||
Class IV | — | — | (28,490,240 | ) | — | |||||||||||
Class V | — | — | (103,830,685 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (645,226 | ) | (491,078 | ) | (202,470,473 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class II | — | — | (62,088,911 | ) | (60,122,470 | ) | ||||||||||
Class III | 65,882,370 | 24,584,750 | 54,695,886 | (39,709,374 | ) | |||||||||||
Class IV | — | — | (21,562,813 | ) | (119,146,650 | ) | ||||||||||
Class V | — | — | (225,018,254 | ) | 61,706,976 | |||||||||||
Class VI | — | — | — | (16,244,932 | )* | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 65,882,370 | 24,584,750 | (253,974,092 | ) | (173,516,450 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): |
| |||||||||||||||
Class II | — | — | 903,488 | 617,648 | ||||||||||||
Class III | — | — | 237,969 | 118,506 | ||||||||||||
Class IV | — | — | 458,040 | 312,031 | ||||||||||||
Class V | — | — | 1,524,273 | 1,095,122 | ||||||||||||
Class VI | — | — | — | 2,117 | * | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 3,123,770 | 2,145,424 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 65,882,370 | 24,584,750 | (250,850,322 | ) | (171,371,026 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 62,183,003 | 26,694,085 | (794,152,145 | ) | 372,184,765 | |||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 26,694,085 | — | 2,403,301,854 | 2,031,117,089 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 88,877,088 | $ | 26,694,085 | $ | 1,609,149,709 | $ | 2,403,301,854 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulatedundistributed (distributions in excess of) net investment income | $ | 830,528 | $ | 123,555 | $ | 2,857,657 | $ | (13,085,275 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
* Class VI liquidated on March 29, 2017. |
See accompanying notes to the financial statements. | 65 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Markets Fund | Foreign Small Companies Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 105,759,849 | $ | 120,564,814 | $ | 395,039 | $ | 12,365,256 | ||||||||
Net realized gain (loss) | 152,130,108 | 633,257,899 | 8,729,812 | 152,983,283 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (783,786,366 | ) | 362,984,717 | (11,974,867 | ) | (55,110,759 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (525,896,409 | ) | 1,116,807,430 | (2,850,016 | ) | 110,237,780 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income |
| |||||||||||||||
Class II | (559,145 | ) | (11,956,275 | ) | — | — | ||||||||||
Class III | (491,220 | ) | (5,490,308 | ) | (500,282 | ) | (3,824,869 | ) | ||||||||
Class IV | (103,306 | ) | (14,250,088 | ) | — | * | (9,440,862 | ) | ||||||||
Class V | (336,961 | ) | (4,213,667 | ) | — | — | ||||||||||
Class VI | (6,032,853 | ) | (100,502,683 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (7,523,485 | ) | (136,413,021 | ) | (500,282 | ) | (13,265,731 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains |
| |||||||||||||||
Class III | — | — | (6,786,050 | ) | (13,747,999 | ) | ||||||||||
Class IV | — | — | (4,785,668 | )* | (32,945,889 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | (11,571,718 | ) | (46,693,888 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class II | (69,149,457 | ) | (111,903,150 | ) | — | — | ||||||||||
Class III | (53,465,498 | ) | 42,508,224 | (26,191,430 | ) | (209,670,456 | ) | |||||||||
Class IV | (365,097,799 | ) | (225,782,751 | ) | (83,615,656 | )* | (514,884,481 | ) | ||||||||
Class V | 1,459,503 | 33,512,592 | — | — | ||||||||||||
Class VI | (339,965,322 | ) | (650,491,952 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (826,218,573 | ) | (912,157,037 | ) | (109,807,086 | ) | (724,554,937 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): |
| |||||||||||||||
Class II | 679,950 | 1,611,194 | — | — | ||||||||||||
Class III | 552,041 | 737,313 | 502,997 | 398,979 | ||||||||||||
Class IV | 267,836 | 2,193,709 | 111,351 | * | 830,322 | |||||||||||
Class V | 297,557 | 479,079 | — | — | ||||||||||||
Class VI | 5,572,062 | 11,838,878 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 7,369,446 | 16,860,173 | 614,348 | 1,229,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (818,849,127 | ) | (895,296,864 | ) | (109,192,738 | ) | (723,325,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (1,352,269,021 | ) | 85,097,545 | (124,114,754 | ) | (673,047,475 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 5,102,037,037 | 5,016,939,492 | 144,933,128 | 817,980,603 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,749,768,016 | $ | 5,102,037,037 | $ | 20,818,374 | $ | 144,933,128 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 81,028,889 | $ | (17,207,475 | ) | $ | (761,756 | ) | $ | (656,513 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
* Class IV liquidated on May 2, 2018. |
66 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Equity Fund | International Large/Mid Cap Equity Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 94,836,062 | $ | 136,645,091 | $ | 1,495,015 | $ | 3,484,528 | ||||||||
Net realized gain (loss) | 202,071,889 | 333,135,160 | 7,105,260 | 13,685,525 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (574,796,515 | ) | 611,006,576 | (11,657,255 | ) | 5,607,263 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (277,888,564 | ) | 1,080,786,827 | (3,056,980 | ) | 22,777,316 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income |
| |||||||||||||||
Class II | (127,773 | ) | (592,109 | ) | — | — | ||||||||||
Class III | (2,974,721 | ) | (15,748,937 | ) | (1,280,278 | ) | (520,210 | ) | ||||||||
Class IV | (23,752,827 | ) | (157,085,524 | ) | — | (3,905,515 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (26,855,321 | ) | (173,426,570 | ) | (1,280,278 | ) | (4,425,725 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains |
| |||||||||||||||
Class III | — | — | (6,061,300 | ) | (391,628 | ) | ||||||||||
Class IV | — | — | (7,293 | )* | (9,849,041 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | (6,068,593 | ) | (10,240,669 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class II | (1,374,741 | ) | 11,254,887 | — | — | |||||||||||
Class III | 14,620,062 | (340,134,465 | ) | (51,304,726 | ) | 41,540,025 | ||||||||||
Class IV | (786,185,281 | ) | (1,324,181,462 | ) | (759,212 | )* | (152,989,906 | ) | ||||||||
Class VI | — | — | — | (616,556 | )** | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (772,939,960 | ) | (1,653,061,040 | ) | (52,063,938 | ) | (112,066,437 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (1,077,683,845 | ) | (745,700,783 | ) | (62,469,789 | ) | (103,955,515 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 5,067,684,964 | 5,813,385,747 | 81,894,713 | 185,850,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,990,001,119 | $ | 5,067,684,964 | $ | 19,424,924 | $ | 81,894,713 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 54,161,844 | $ | (13,818,897 | ) | $ | (1,240,721 | ) | $ | (1,455,458 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
* Class IV liquidated on May 2, 2018. | ||||||||||||||||
** Class VI liquidated on March 29, 2017. |
See accompanying notes to the financial statements. | 67 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Quality Fund | Resources Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 60,000,739 | $ | 128,619,753 | $ | 6,997,117 | $ | 4,986,637 | ||||||||
Net realized gain (loss) | 736,941,958 | 713,188,332 | 14,190,116 | 12,979,215 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (119,142,299 | ) | 922,881,868 | (31,979,885 | ) | 42,871,047 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 677,800,398 | 1,764,689,953 | (10,792,652 | ) | 60,836,899 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income |
| |||||||||||||||
Class III | (9,648,385 | ) | (56,641,958 | ) | (1,210,304 | ) | (880,349 | ) | ||||||||
Class IV | (2,589,123 | ) | (15,493,213 | ) | (3,958,941 | ) | (10,056,534 | ) | ||||||||
Class V | (531,314 | ) | (4,742,268 | ) | — | — | ||||||||||
Class VI | (8,282,287 | ) | (59,448,671 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (21,051,109 | ) | (136,326,110 | ) | (5,169,245 | ) | (10,936,883 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains |
| |||||||||||||||
Class III | (127,597,321 | ) | (219,320,323 | ) | — | — | ||||||||||
Class IV | (32,388,457 | ) | (58,604,732 | ) | — | — | ||||||||||
Class V | (6,404,746 | ) | (16,385,208 | ) | — | — | ||||||||||
Class VI | (98,407,812 | ) | (218,783,386 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (264,798,336 | ) | (513,093,649 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | (491,714,569 | ) | (524,533,540 | ) | 69,453,590 | 27,821,128 | ||||||||||
Class IV | 164,022,512 | (403,819,622 | ) | 42,877,778 | 59,123,014 | |||||||||||
Class V | 2,748,338 | (369,399,954 | ) | — | — | |||||||||||
Class VI | (1,096,280,666 | ) | (249,653,450 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (1,421,224,385 | ) | (1,547,406,566 | ) | 112,331,368 | 86,944,142 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): |
| |||||||||||||||
Class III | — | — | 65,215 | 60,364 | ||||||||||||
Class IV | — | — | 265,521 | 507,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 330,736 | 568,044 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (1,421,224,385 | ) | (1,547,406,566 | ) | 112,662,104 | 87,512,186 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (1,029,273,432 | ) | (432,136,372 | ) | 96,700,207 | 137,412,202 | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 8,200,065,585 | 8,632,201,957 | 350,233,570 | 212,821,368 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 7,170,792,153 | $ | 8,200,065,585 | $ | 446,933,777 | $ | 350,233,570 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 50,856,044 | $ | 11,906,414 | $ | (4,227,833 | ) | $ | (6,055,705 | ) | ||||||
|
|
|
|
|
|
|
|
68 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Risk Premium Fund | Tax-Managed International Equities Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,977,806 | $ | 703,236 | $ | 1,050,917 | $ | 2,489,190 | ||||||||
Net realized gain (loss) | 20,068,452 | 9,097,108 | 4,270,751 | 17,588,975 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 662,074 | (427,540 | ) | (9,565,007 | ) | 4,161,943 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 22,708,332 | 9,372,804 | (4,243,339 | ) | 24,240,108 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income |
| |||||||||||||||
Class III | (12,004 | ) | (7,176 | ) | (170,302 | ) | (3,315,762 | ) | ||||||||
Class VI | (488,192 | ) | (463,232 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (500,196 | ) | (470,408 | ) | (170,302 | ) | (3,315,762 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains |
| |||||||||||||||
Class III | — | (717,032 | ) | (1,772,940 | ) | — | ||||||||||
Class VI | — | (23,541,333 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | (24,258,365 | ) | (1,772,940 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | 16,130,706 | (1,182,676 | ) | (10,231,845 | ) | (67,875,263 | ) | |||||||||
Class VI | 330,972,666 | 1,739,919 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 347,103,372 | 557,243 | (10,231,845 | ) | (67,875,263 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): |
| |||||||||||||||
Class III | 365 | 1,406 | — | — | ||||||||||||
Class VI | 14,488 | 45,191 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 14,853 | 46,597 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 347,118,225 | 603,840 | (10,231,845 | ) | (67,875,263 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 369,326,361 | (14,752,129 | ) | (16,418,426 | ) | (46,950,917 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 145,671,598 | 160,423,727 | 68,781,732 | 115,732,649 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 514,997,959 | $ | 145,671,598 | $ | 52,363,306 | $ | 68,781,732 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,696,766 | $ | 219,156 | $ | 354,723 | $ | (525,892 | ) | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 69 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 9,529,113 | $ | 29,498,514 | ||||
Net realized gain (loss) | 98,862,258 | 190,117,350 | ||||||
Change in net unrealized appreciation (depreciation) | (50,050,464 | ) | (18,454,310 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 58,340,907 | 201,161,554 | ||||||
|
|
|
| |||||
Distributions to shareholders from: |
| |||||||
Net investment income |
| |||||||
Class III | (304,223 | ) | (1,071,935 | ) | ||||
Class IV | (153,095 | ) | (426,461 | ) | ||||
Class V | (270,988 | ) | (2,144,892 | ) | ||||
Class VI | (3,711,164 | ) | (24,505,927 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (4,439,470 | ) | (28,149,215 | ) | ||||
|
|
|
| |||||
Net realized gains |
| |||||||
Class III | (5,831,017 | ) | (6,499,591 | ) | ||||
Class IV | (2,776,836 | ) | (2,930,389 | ) | ||||
Class V | (4,999,533 | ) | (12,130,947 | ) | ||||
Class VI | (66,800,944 | ) | (123,226,362 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (80,408,330 | ) | (144,787,289 | ) | ||||
|
|
|
| |||||
Net share transactions (Note 9): |
| |||||||
Class III | 6,006,081 | (32,682,528 | ) | |||||
Class IV | 3,118,523 | 18,607,196 | ||||||
Class V | 3,360,595 | (106,801,014 | ) | |||||
Class VI | (335,577,315 | ) | (294,652,578 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | (323,092,116 | ) | (415,528,924 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (349,599,009 | ) | (387,303,874 | ) | ||||
Net assets: |
| |||||||
Beginning of period | 1,373,716,346 | 1,761,020,220 | ||||||
|
|
|
| |||||
End of period | $ | 1,024,117,337 | $ | 1,373,716,346 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 8,056,166 | $ | 2,966,523 | ||||
|
|
|
|
70 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
CLIMATE CHANGE FUND
Class III Shares | ||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Period from April 5, 2017 (commencement of operations) through February 28, 2018 | |||||||||
Net asset value, beginning of period | $ | 23.81 | $ | 20.00 | ||||||
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(a)† | 0.29 | 0.23 | ||||||||
Net realized and unrealized gain (loss) | (1.09 | ) | 4.41 | |||||||
|
|
|
| |||||||
Total from investment operations | (0.80 | ) | 4.64 | |||||||
|
|
|
| |||||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.03 | ) | (0.22 | ) | ||||||
From net realized gains | (0.18 | ) | (0.61 | ) | ||||||
|
|
|
| |||||||
Total distributions | (0.21 | ) | (0.83 | ) | ||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 22.80 | $ | 23.81 | ||||||
|
|
|
| |||||||
Total Return(b) | (3.40 | )%** | 23.28 | %** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net assets, end of period (000’s) | $ | 88,877 | $ | 26,694 | ||||||
Net expenses to average daily net assets(c) | 0.72 | %* | 0.78 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 2.40 | %* | 1.09 | %* | ||||||
Portfolio turnover rate(d) | 18 | %** | 44 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.30 | %* | 0.73 | %* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the periods ended August 31, 2018 and February 28, 2018, including transactions in USTF, was 102%, 174%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 71 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING DOMESTIC OPPORTUNITIES FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.86 | $ | 22.64 | $ | 19.36 | $ | 23.99 | $ | 22.55 | $ | 24.60 | $ | 28.86 | $ | 22.64 | $ | 19.35 | $ | 23.98 | $ | 22.54 | $ | 24.59 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.19 | 0.25 | 0.25 | 0.34 | 0.28 | 0.26 | 0.22 | 0.27 | 0.27 | 0.36 | 0.29 | 0.30 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.41 | ) | 6.33 | 3.68 | (4.60 | ) | 1.55 | (1.22 | ) | (4.43 | ) | 6.32 | 3.68 | (4.60 | ) | 1.55 | (1.24 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (4.22 | ) | 6.58 | 3.93 | (4.26 | ) | 1.83 | (0.96 | ) | (4.21 | ) | 6.59 | 3.95 | (4.24 | ) | 1.84 | (0.94 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.00 | )(b) | (0.36 | ) | (0.65 | ) | (0.37 | ) | (0.23 | ) | (0.30 | ) | (0.00 | )(b) | (0.37 | ) | (0.66 | ) | (0.39 | ) | (0.24 | ) | (0.32 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (2.74 | ) | — | — | — | (0.16 | ) | (0.79 | ) | (2.74 | ) | — | — | — | (0.16 | ) | (0.79 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (2.74 | ) | (0.36 | ) | (0.65 | ) | (0.37 | ) | (0.39 | ) | (1.09 | ) | (2.74 | ) | (0.37 | ) | (0.66 | ) | (0.39 | ) | (0.40 | ) | (1.11 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 21.90 | $ | 28.86 | $ | 22.64 | $ | 19.36 | $ | 23.99 | $ | 22.55 | $ | 21.91 | $ | 28.86 | $ | 22.64 | $ | 19.35 | $ | 23.98 | $ | 22.54 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(c) | (15.05 | )%** | 29.10 | % | 20.62 | % | (17.91 | )% | 8.18 | % | (4.01 | )% | (15.00 | )%** | 29.17 | % | 20.73 | % | (17.86 | )% | 8.23 | % | (3.95 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 488,375 | $ | 700,211 | $ | 603,565 | $ | 556,539 | $ | 738,035 | $ | 621,278 | $ | 138,734 | $ | 121,511 | $ | 129,068 | $ | 242,740 | $ | 336,488 | $ | 384,757 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 1.05 | %* | 1.06 | % | 1.06 | % | 1.07 | % | 1.07 | % | 1.07 | %(e) | 0.98 | %* | 0.99 | % | 0.99 | % | 1.00 | % | 1.00 | % | 1.00 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.42 | %* | 0.96 | % | 1.12 | % | 1.51 | % | 1.21 | % | 1.09 | % | 1.66 | %* | 1.05 | % | 1.26 | % | 1.61 | % | 1.26 | % | 1.23 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 120 | %(f)** | 201 | %(f) | 227 | %(f) | 250 | % | 204 | % | 274 | % | 120 | %(f)** | 201 | %(f) | 227 | %(f) | 250 | % | 204 | % | 274 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.02 | % | 0.04 | % | 0.04 | % | 0.03 | % | 0.03 | % | 0.01 | %* | 0.02 | % | 0.05 | % | 0.04 | % | 0.03 | % | 0.03 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.04 | $ | 0.03 | $ | 0.02 | $ | 0.04 | $ | 0.03 | $ | 0.10 | $ | 0.05 | $ | 0.02 | $ | 0.02 | $ | 0.03 | $ | 0.03 | $ | 0.09 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | Distributions from net investment income were less than $0.01 per share. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 135%, 254% and 271%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
72 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING DOMESTIC OPPORTUNITIES FUND (continued)
Class IV Shares | Class V Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Period from November 29, 2013 (commencement of operations) through February 28, 2014 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.88 | $ | 22.65 | $ | 19.36 | $ | 24.00 | $ | 22.56 | $ | 24.60 | $ | 28.85 | $ | 22.62 | $ | 19.35 | $ | 23.98 | $ | 22.54 | $ | 24.52 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.21 | 0.27 | 0.29 | 0.36 | 0.30 | 0.31 | 0.21 | 0.29 | 0.23 | 0.37 | 0.31 | 0.01 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.42 | ) | 6.34 | 3.67 | (4.60 | ) | 1.56 | (1.23 | ) | (4.41 | ) | 6.33 | 3.73 | (4.59 | ) | 1.55 | (1.20 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (4.21 | ) | 6.61 | 3.96 | (4.24 | ) | 1.86 | (0.92 | ) | (4.20 | ) | 6.62 | 3.96 | (4.22 | ) | 1.86 | (1.19 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.00 | )(b) | (0.38 | ) | (0.67 | ) | (0.40 | ) | (0.26 | ) | (0.33 | ) | (0.00 | )(b) | (0.39 | ) | (0.69 | ) | (0.41 | ) | (0.26 | ) | (0.34 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (2.74 | ) | — | — | — | (0.16 | ) | (0.79 | ) | (2.74 | ) | — | — | — | (0.16 | ) | (0.45 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (2.74 | ) | (0.38 | ) | (0.67 | ) | (0.40 | ) | (0.42 | ) | (1.12 | ) | (2.74 | ) | (0.39 | ) | (0.69 | ) | (0.41 | ) | (0.42 | ) | (0.79 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 21.93 | $ | 28.88 | $ | 22.65 | $ | 19.36 | $ | 24.00 | $ | 22.56 | $ | 21.91 | $ | 28.85 | $ | 22.62 | $ | 19.35 | $ | 23.98 | $ | 22.54 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(c) | (14.99 | )%** | 29.24 | % | 20.80 | % | (17.84 | )% | 8.29 | % | (3.88 | )% | (14.97 | )%** | 29.31 | % | 20.78 | % | (17.79 | )% | 8.32 | % | (4.95 | )%** | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 207,588 | $ | 300,730 | $ | 335,225 | $ | 745,300 | $ | 686,589 | $ | 659,592 | $ | 774,453 | $ | 1,280,851 | $ | 948,052 | $ | 322,379 | $ | 255,379 | $ | 235,753 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.93 | %* | 0.94 | % | 0.95 | % | 0.96 | % | 0.95 | % | 0.95 | %(e) | 0.91 | %* | 0.92 | % | 0.93 | % | 0.94 | % | 0.93 | % | 0.94 | %(e)* | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.58 | %* | 1.05 | % | 1.34 | % | 1.61 | % | 1.29 | % | 1.29 | % | 1.59 | %* | 1.09 | % | 1.04 | % | 1.65 | % | 1.32 | % | 0.09 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 120 | %(f)** | 201 | %(f) | 227 | %(f) | 250 | % | 204 | % | 274 | % | 120 | %(f)** | 201 | %(f) | 227 | %(f) | 250 | % | 204 | % | 274 | %**†† | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets: | 0.01 | %* | 0.02 | % | 0.04 | % | 0.04 | % | 0.03 | % | 0.03 | % | 0.01 | %* | 0.02 | % | 0.05 | % | 0.04 | % | 0.03 | % | 0.06 | %* | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.04 | $ | 0.02 | $ | 0.03 | $ | 0.03 | $ | 0.03 | $ | 0.10 | $ | 0.04 | $ | 0.03 | $ | 0.03 | $ | 0.04 | $ | 0.03 | $ | 0.02 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | Distributions from net investment income were less than $0.01 per share. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 135%, 254% and 271%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
†† | Calculation represents portfolio turnover of the Fund for the year ended February 28, 2014. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 73 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.42 | $ | 29.98 | $ | 22.80 | $ | 30.48 | $ | 30.60 | $ | 35.22 | $ | 36.51 | $ | 30.05 | $ | 22.83 | $ | 30.57 | $ | 30.69 | $ | 35.31 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.81 | 0.75 | 0.57 | 0.72 | 0.84 | 0.75 | 0.82 | 0.72 | 0.57 | 0.66 | 0.81 | 0.81 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.87 | ) | 6.58 | 7.22 | (7.59 | ) | 0.00 | (c) | (4.56 | ) | (4.88 | ) | 6.64 | 7.27 | (7.56 | ) | 0.06 | (4.62 | ) | |||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (4.06 | ) | 7.33 | 7.79 | (6.87 | ) | 0.84 | (3.81 | ) | (4.06 | ) | 7.36 | 7.84 | (6.90 | ) | 0.87 | (3.81 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.89 | ) | (0.61 | ) | (0.81 | ) | (0.96 | ) | (0.81 | ) | (0.05 | ) | (0.90 | ) | (0.62 | ) | (0.84 | ) | (0.99 | ) | (0.81 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.05 | ) | (0.89 | ) | (0.61 | ) | (0.81 | ) | (0.96 | ) | (0.81 | ) | (0.05 | ) | (0.90 | ) | (0.62 | ) | (0.84 | ) | (0.99 | ) | (0.81 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 32.31 | $ | 36.42 | $ | 29.98 | $ | 22.80 | $ | 30.48 | $ | 30.60 | $ | 32.40 | $ | 36.51 | $ | 30.05 | $ | 22.83 | $ | 30.57 | $ | 30.69 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(d) | (11.15 | )%** | 24.66 | % | 34.47 | % | (22.76 | )% | 2.84 | % | (10.92 | )% | (11.11 | )%** | 24.71 | % | 34.67 | % | (22.80 | )% | 2.91 | % | (10.87 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 362,509 | $ | 479,640 | $ | 498,564 | $ | 532,366 | $ | 1,000,299 | $ | 1,308,100 | $ | 297,410 | $ | 390,827 | $ | 301,786 | $ | 189,907 | $ | 283,712 | $ | 447,963 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.93 | %* | 0.96 | % | 1.07 | % | 1.09 | % | 1.07 | % | 1.06 | %(f) | 0.88 | %* | 0.91 | % | 1.01 | % | 1.04 | % | 1.02 | % | 1.01 | %(f) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 4.73 | %* | 2.25 | % | 2.08 | % | 2.57 | % | 2.66 | % | 2.33 | % | 4.73 | %* | 2.14 | % | 2.07 | % | 2.45 | % | 2.55 | % | 2.45 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 52 | %(g)** | 87 | %(g) | 62 | %(g) | 104 | % | 94 | % | 98 | % | 52 | %(g)** | 87 | %(g) | 62 | %(g) | 104 | % | 94 | % | 98 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.13 | %* | 0.13 | % | 0.04 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.11 | %* | 0.11 | % | 0.03 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.06 | $ | 0.11 | $ | 0.09 | (a) | $ | 0.10 | (a) | $ | 0.11 | (a) | $ | 0.10 | (a) | $ | 0.06 | $ | 0.11 | $ | 0.09 | (a) | $ | 0.10 | (a) | $ | 0.11 | (a) | $ | 0.11 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | Net realized and unrealized gain (loss) was less than $0.01 per share. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 117% and 80%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
74 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class IV Shares | Class V Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.16 | $ | 29.78 | $ | 22.65 | $ | 30.30 | $ | 30.45 | $ | 35.04 | $ | 36.07 | $ | 29.70 | $ | 22.59 | $ | 30.24 | $ | 30.39 | $ | 34.98 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.61 | 0.83 | 0.53 | 0.69 | 0.84 | 0.84 | 0.86 | 0.77 | 0.61 | 0.72 | 0.87 | 0.78 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.62 | ) | 6.47 | 7.24 | (7.50 | ) | 0.00 | (c) | (4.59 | ) | (4.86 | ) | 6.53 | 7.15 | (7.50 | ) | 0.00 | (c) | (4.50 | ) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (4.01 | ) | 7.30 | 7.77 | (6.81 | ) | 0.84 | (3.75 | ) | (4.00 | ) | 7.30 | 7.76 | (6.78 | ) | 0.87 | (3.72 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.92 | ) | (0.64 | ) | (0.84 | ) | (0.99 | ) | (0.84 | ) | (0.06 | ) | (0.93 | ) | (0.65 | ) | (0.87 | ) | (1.02 | ) | (0.87 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.04 | ) | (0.92 | ) | (0.64 | ) | (0.84 | ) | (0.99 | ) | (0.84 | ) | (0.06 | ) | (0.93 | ) | (0.65 | ) | (0.87 | ) | (1.02 | ) | (0.87 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 32.11 | $ | 36.16 | $ | 29.78 | $ | 22.65 | $ | 30.30 | $ | 30.45 | $ | 32.01 | $ | 36.07 | $ | 29.70 | $ | 22.59 | $ | 30.24 | $ | 30.39 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(d) | (11.10 | )%** | 24.74 | % | 34.61 | % | (22.69 | )% | 2.88 | % | (10.81 | )% | (11.08 | )%** | 24.83 | % | 34.67 | % | (22.67 | )% | 2.93 | % | (10.74 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 88,926 | $ | 485,104 | $ | 582,311 | $ | 268,085 | $ | 837,963 | $ | 748,429 | $ | 152,210 | $ | 170,962 | $ | 110,257 | $ | 269,570 | $ | 170,125 | $ | 406,384 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.82 | %* | 0.87 | % | 0.96 | % | 0.99 | % | 0.97 | % | 0.96 | %(f) | 0.78 | %* | 0.81 | % | 0.91 | % | 0.94 | % | 0.92 | % | 0.91 | %(f) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 3.55 | %* | 2.50 | % | 1.92 | % | 2.55 | % | 2.64 | % | 2.57 | % | 5.06 | %* | 2.29 | % | 2.24 | % | 2.69 | % | 2.77 | % | 2.39 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 52 | %(g)** | 87 | %(g) | 62 | %(g) | 104 | % | 94 | % | 98 | % | 52 | %(g)** | 87 | %(g) | 62 | %(g) | 104 | % | 94 | % | 98 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets: | 0.11 | %* | 0.11 | % | 0.03 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.14 | %* | 0.14 | % | 0.06 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.04 | $ | 0.11 | $ | 0.09 | (a) | $ | 0.10 | (a) | $ | 0.11 | (a) | $ | 0.10 | (a) | $ | 0.06 | $ | 0.11 | $ | 0.08 | (a) | $ | 0.10 | (a) | $ | 0.10 | (a) | $ | 0.10 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | Net realized and unrealized gain (loss) was less than $0.01 per share. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 117% and 80%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 75 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.16 | $ | 29.77 | $ | 22.62 | $ | 30.30 | $ | 30.45 | $ | 35.04 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.83 | 0.78 | 0.63 | 0.69 | 0.90 | 0.78 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.83 | ) | 6.56 | 7.17 | (7.50 | ) | (0.03 | )(c) | (4.47 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (4.00 | ) | 7.34 | 7.80 | (6.81 | ) | 0.87 | (3.69 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.95 | ) | (0.65 | ) | (0.87 | ) | (1.02 | ) | (0.90 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.07 | ) | (0.95 | ) | (0.65 | ) | (0.87 | ) | (1.02 | ) | (0.90 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 32.09 | $ | 36.16 | $ | 29.77 | $ | 22.62 | $ | 30.30 | $ | 30.45 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(d) | (11.08 | )%** | 24.90 | % | 34.83 | % | (22.71 | )% | 2.96 | % | (10.69 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,848,713 | $ | 3,575,505 | $ | 3,524,022 | $ | 3,661,271 | $ | 5,194,557 | $ | 5,220,293 | ||||||||||||||||||
Net expenses to average daily net assets(e) | 0.75 | %* | 0.78 | % | 0.89 | % | 0.91 | % | 0.89 | % | 0.88 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 4.86 | %* | 2.36 | % | 2.32 | % | 2.61 | % | 2.79 | % | 2.43 | % | ||||||||||||||||||
Portfolio turnover rate | 52 | %(g)** | 87 | %(g) | 62 | %(g) | 104 | % | 94 | % | 98 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.14 | %* | 0.14 | % | 0.06 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.06 | $ | 0.11 | $ | 0.08 | (a) | $ | 0.09 | (a) | $ | 0.11 | (a) | $ | 0.10 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 117% and 80%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
76 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
FOREIGN SMALL COMPANIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.27 | $ | 14.41 | $ | 12.94 | $ | 15.31 | $ | 17.29 | $ | 14.40 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.14 | 0.41 | 0.26 | 0.26 | 0.20 | 0.27 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.53 | ) | 2.93 | 1.56 | (1.86 | ) | (1.34 | ) | 3.62 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.39 | ) | 3.34 | 1.82 | (1.60 | ) | (1.14 | ) | 3.89 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.35 | ) | (0.35 | ) | (0.28 | ) | (0.23 | ) | (0.48 | ) | ||||||||||||||||||
From net realized gains | (1.64 | ) | (3.13 | ) | — | (0.49 | ) | (0.61 | ) | (0.52 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (1.75 | ) | (3.48 | ) | (0.35 | ) | (0.77 | ) | (0.84 | ) | (1.00 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 12.13 | $ | 14.27 | $ | 14.41 | $ | 12.94 | $ | 15.31 | $ | 17.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (2.95 | )%(c)** | 23.52 | % | 14.25 | % | (10.82 | )% | (6.34 | )% | 27.54 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 20,818 | $ | 55,169 | $ | 246,852 | $ | 316,303 | $ | 353,778 | $ | 236,393 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 1.29 | %* | 0.52 | % | 0.86 | % | 0.86 | % | 0.85 | % | 0.86 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 2.19 | %* | 2.67 | % | 1.84 | % | 1.73 | % | 1.26 | % | 1.73 | % | ||||||||||||||||||
Portfolio turnover rate | 16 | %(f)** | 106 | %(f) | 49 | %(f) | 60 | % | 58 | % | 57 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.62 | %* | 0.44 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.19 | $ | 0.04 | $ | 0.02 | $ | 0.01 | $ | 0.01 | $ | 0.00 | (g) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Refunds of taxes withheld by certain countries and any related interest received during the period had a positive impact to total return, adding 1.26%. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 32%, 128% and 51%, respectively, of the average value of its portfolio. |
(g) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 77 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.63 | $ | 20.18 | $ | 18.17 | $ | 23.43 | $ | 26.16 | $ | 20.94 | $ | 23.92 | $ | 20.41 | $ | 18.38 | $ | 23.70 | $ | 26.44 | $ | 21.16 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.44 | 0.41 | 0.70 | 0.57 | 0.66 | 0.80 | 0.46 | 0.61 | 0.63 | 0.59 | 0.69 | 0.86 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.90 | ) | 3.78 | 2.07 | (5.19 | ) | (1.42 | ) | 4.88 | (1.94 | ) | 3.64 | 2.19 | (5.25 | ) | (1.45 | ) | 4.90 | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (1.46 | ) | 4.19 | 2.77 | (4.62 | ) | (0.76 | ) | 5.68 | (1.48 | ) | 4.25 | 2.82 | (4.66 | ) | (0.76 | ) | 5.76 | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.14 | ) | (0.74 | ) | (0.76 | ) | (0.64 | ) | (1.07 | ) | (0.46 | ) | (0.14 | ) | (0.74 | ) | (0.79 | ) | (0.66 | ) | (1.08 | ) | (0.48 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | — | (0.90 | ) | — | — | — | — | — | (0.90 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.14 | ) | (0.74 | ) | (0.76 | ) | (0.64 | ) | (1.97 | ) | (0.46 | ) | (0.14 | ) | (0.74 | ) | (0.79 | ) | (0.66 | ) | (1.98 | ) | (0.48 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 22.03 | $ | 23.63 | $ | 20.18 | $ | 18.17 | $ | 23.43 | $ | 26.16 | $ | 22.30 | $ | 23.92 | $ | 20.41 | $ | 18.38 | $ | 23.70 | $ | 26.44 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(b) | (6.20 | )%** | 20.85 | % | 15.45 | % | (19.99 | )% | (2.55 | )% | 27.41 | % | (6.18 | )%** | 20.96 | % | 15.53 | % | (19.95 | )% | (2.50 | )% | 27.53 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 20,852 | $ | 23,736 | $ | 10,302 | $ | 81,206 | $ | 118,737 | $ | 139,401 | $ | 467,096 | $ | 485,782 | $ | 731,060 | $ | 1,043,305 | $ | 1,523,128 | $ | 1,555,509 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.72 | %* | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | %(d) | 0.65 | %* | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.84 | %* | 1.77 | % | 3.62 | % | 2.65 | % | 2.63 | % | 3.47 | % | 3.91 | %* | 2.68 | % | 3.16 | % | 2.70 | % | 2.73 | % | 3.62 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 21 | %(e)** | 45 | %(e) | 27 | %(e) | 75 | % | 70 | % | 48 | % | 21 | %(e)** | 45 | %(e) | 27 | %(e) | 75 | % | 70 | % | 48 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.03 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 26%, 61% and 50%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
78 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY FUND (continued)
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.87 | $ | 20.38 | $ | 18.36 | $ | 23.66 | $ | 26.41 | $ | 21.14 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.48 | 0.56 | 0.63 | 0.62 | 0.67 | 0.89 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.94 | ) | 3.69 | 2.19 | (5.25 | ) | (1.42 | ) | 4.88 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.46 | ) | 4.25 | 2.82 | (4.63 | ) | (0.75 | ) | 5.77 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.15 | ) | (0.76 | ) | (0.80 | ) | (0.67 | ) | (1.10 | ) | (0.50 | ) | ||||||||||||||||||
From net realized gains | — | — | — | — | (0.90 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.15 | ) | (0.76 | ) | (0.80 | ) | (0.67 | ) | (2.00 | ) | (0.50 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 22.26 | $ | 23.87 | $ | 20.38 | $ | 18.36 | $ | 23.66 | $ | 26.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (6.13 | )%** | 20.98 | % | 15.57 | % | (19.85 | )% | (2.47 | )% | 27.60 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,502,054 | $ | 4,558,167 | $ | 5,072,024 | $ | 7,051,400 | $ | 11,374,017 | $ | 11,926,293 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.59 | %* | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.14 | %* | 2.45 | % | 3.19 | % | 2.80 | % | 2.66 | % | 3.74 | % | ||||||||||||||||||
Portfolio turnover rate | 21 | %(e)** | 45 | %(e) | 27 | %(e) | 75 | % | 70 | % | 48 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 26%, 61% and 50%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 79 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL LARGE/MID CAP EQUITY FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.33 | $ | 25.44 | $ | 23.46 | $ | 30.16 | $ | 35.20 | $ | 28.96 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.74 | 1.01 | 0.96 | 0.81 | 0.92 | 1.18 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.98 | ) | 4.06 | 2.40 | (6.71 | ) | (2.19 | ) | 6.56 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.24 | ) | 5.07 | 3.36 | (5.90 | ) | (1.27 | ) | 7.74 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.55 | ) | (0.90 | ) | (1.38 | ) | (0.80 | ) | (1.46 | ) | (1.50 | ) | ||||||||||||||||||
From net realized gains | (2.69 | ) | (3.28 | ) | — | — | (2.31 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (3.24 | ) | (4.18 | ) | (1.38 | ) | (0.80 | ) | (3.77 | ) | (1.50 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 21.85 | $ | 26.33 | $ | 25.44 | $ | 23.46 | $ | 30.16 | $ | 35.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (4.97 | )%(c)** | 20.64 | % | 14.70 | % | (19.82 | )% | (3.33 | )% | 27.30 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 19,425 | $ | 81,119 | $ | 39,141 | $ | 459,614 | $ | 592,365 | $ | 598,840 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 1.23 | %* | 0.60 | % | 0.54 | % | 0.53 | % | 0.53 | % | 0.53 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 6.03 | %* | 3.81 | % | 3.84 | % | 2.90 | % | 2.80 | % | 3.70 | % | ||||||||||||||||||
Portfolio turnover rate | 18 | %(f)** | 47 | %(f) | 26 | %(f) | 88 | % | 82 | % | 54 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.37 | %* | 0.28 | % | 0.08 | % | 0.06 | % | 0.07 | % | 0.06 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Refunds of taxes withheld by certain countries and any related interest received during the period had a positive impact to total return, adding 2.22%. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 128% and 51%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
80 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.13 | $ | 22.05 | $ | 18.99 | $ | 22.98 | $ | 25.08 | $ | 23.81 | $ | 25.17 | $ | 22.08 | $ | 19.01 | $ | 23.01 | $ | 25.10 | $ | 23.83 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.19 | 0.36 | 0.35 | 0.38 | 0.42 | 0.51 | 0.20 | 0.37 | 0.36 | 0.39 | 0.43 | 0.53 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.26 | 4.70 | 3.44 | (1.04 | ) | 2.91 | 3.70 | 2.25 | 4.70 | 3.45 | (1.05 | ) | 2.92 | 3.70 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 2.45 | 5.06 | 3.79 | (0.66 | ) | 3.33 | 4.21 | 2.45 | 5.07 | 3.81 | (0.66 | ) | 3.35 | 4.23 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.41 | ) | (0.35 | ) | (0.42 | ) | (0.49 | ) | (0.53 | ) | (0.08 | ) | (0.41 | ) | (0.36 | ) | (0.43 | ) | (0.50 | ) | (0.55 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (1.00 | ) | (1.57 | ) | (0.38 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | (1.00 | ) | (1.57 | ) | (0.38 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (1.08 | ) | (1.98 | ) | (0.73 | ) | (3.33 | ) | (5.43 | ) | (2.94 | ) | (1.08 | ) | (1.98 | ) | (0.74 | ) | (3.34 | ) | (5.44 | ) | (2.96 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.50 | $ | 25.13 | $ | 22.05 | $ | 18.99 | $ | 22.98 | $ | 25.08 | $ | 26.54 | $ | 25.17 | $ | 22.08 | $ | 19.01 | $ | 23.01 | $ | 25.10 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(b) | 9.97 | %** | 23.32 | % | 20.25 | % | (2.89 | )% | 14.73 | % | 18.38 | % | 9.98 | %** | 23.37 | % | 20.33 | % | (2.88 | )% | 14.81 | % | 18.43 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,199,674 | $ | 3,524,103 | $ | 3,587,627 | $ | 3,968,156 | $ | 5,336,063 | $ | 5,747,512 | $ | 1,179,485 | $ | 957,900 | $ | 1,222,874 | $ | 1,294,033 | $ | 2,201,876 | $ | 2,134,444 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.48 | %* | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | %(d) | 0.44 | %* | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.53 | %* | 1.48 | % | 1.72 | % | 1.79 | % | 1.71 | % | 2.04 | % | 1.59 | %* | 1.53 | % | 1.76 | % | 1.83 | % | 1.77 | % | 2.07 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 10 | %**(e) | 10 | %(e) | 29 | %(e) | 37 | % | 60 | % | 48 | % | 10 | %**(e) | 10 | %(e) | 29 | %(e) | 37 | % | 60 | % | 48 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.01 | % | 0.02 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.01 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 11%, 23% and 48%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 81 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND (continued)
Class V Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.17 | $ | 22.08 | $ | 19.01 | $ | 23.01 | $ | 25.10 | $ | 23.82 | $ | 25.13 | $ | 22.05 | $ | 18.99 | $ | 22.99 | $ | 25.09 | $ | 23.82 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.20 | 0.41 | 0.36 | 0.39 | 0.44 | 0.56 | 0.21 | 0.38 | 0.36 | 0.40 | 0.45 | 0.54 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.26 | 4.66 | 3.46 | (1.05 | ) | 2.92 | 3.68 | 2.24 | 4.70 | 3.46 | (1.04 | ) | 2.90 | 3.70 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 2.46 | 5.07 | 3.82 | (0.66 | ) | 3.36 | 4.24 | 2.45 | 5.08 | 3.82 | (0.64 | ) | 3.35 | 4.24 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.41 | ) | (0.37 | ) | (0.43 | ) | (0.51 | ) | (0.55 | ) | (0.08 | ) | (0.43 | ) | (0.38 | ) | (0.45 | ) | (0.51 | ) | (0.56 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (1.00 | ) | (1.57 | ) | (0.38 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | (1.00 | ) | (1.57 | ) | (0.38 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (1.08 | ) | (1.98 | ) | (0.75 | ) | (3.34 | ) | (5.45 | ) | (2.96 | ) | (1.08 | ) | (2.00 | ) | (0.76 | ) | (3.36 | ) | (5.45 | ) | (2.97 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.55 | $ | 25.17 | $ | 22.08 | $ | 19.01 | $ | 23.01 | $ | 25.10 | $ | 26.50 | $ | 25.13 | $ | 22.05 | $ | 18.99 | $ | 22.99 | $ | 25.09 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(b) | 10.03 | %** | 23.38 | % | 20.39 | % | (2.89 | )% | 14.86 | % | 18.49 | % | 10.01 | %** | 23.43 | % | 20.39 | % | (2.83 | )% | 14.83 | % | 18.50 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 168,316 | $ | 156,086 | $ | 462,677 | $ | 277,186 | $ | 267,809 | $ | 653,307 | $ | 2,623,317 | $ | 3,561,976 | $ | 3,359,025 | $ | 1,732,420 | $ | 2,496,930 | $ | 3,675,950 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.42 | %* | 0.42 | % | 0.42 | % | 0.42 | % | 0.42 | % | 0.42 | %(d) | 0.39 | %* | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.60 | %* | 1.74 | % | 1.72 | % | 1.85 | % | 1.81 | % | 2.22 | % | 1.64 | %* | 1.57 | % | 1.73 | % | 1.88 | % | 1.83 | % | 2.13 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 10 | %**(e) | 10 | %(e) | 29 | %(e) | 37 | % | 60 | % | 48 | % | 10 | %**(e) | 10 | %(e) | 29 | %(e) | 37 | % | 60 | % | 48 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets: | 0.02 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.01 | % | 0.02 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.01 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 11%, 23% and 48%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
82 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RESOURCES FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.88 | $ | 17.31 | $ | 11.74 | $ | 16.33 | $ | 21.88 | $ | 21.59 | $ | 20.81 | $ | 17.25 | $ | 11.71 | $ | 16.28 | $ | 21.86 | $ | 21.40 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.36 | 0.33 | 0.30 | 0.47 | 0.87 | 0.51 | 0.38 | 0.38 | 0.34 | 0.46 | 0.75 | 0.45 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.79 | ) | 4.02 | 5.75 | (4.67 | ) | (3.77 | ) | 0.45 | (0.81 | ) | 3.97 | 5.68 | (4.63 | ) | (3.65 | ) | 0.70 | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.43 | ) | 4.35 | 6.05 | (4.20 | ) | (2.90 | ) | 0.96 | (0.43 | ) | 4.35 | 6.02 | (4.17 | ) | (2.90 | ) | 1.15 | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.25 | ) | (0.78 | ) | (0.48 | ) | (0.39 | ) | (1.03 | ) | (0.40 | ) | (0.25 | ) | (0.79 | ) | (0.48 | ) | (0.40 | ) | (1.06 | ) | (0.42 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | — | (1.62 | ) | (0.27 | ) | — | — | — | — | (1.62 | ) | (0.27 | ) | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.25 | ) | (0.78 | ) | (0.48 | ) | (0.39 | ) | (2.65 | ) | (0.67 | ) | (0.25 | ) | (0.79 | ) | (0.48 | ) | (0.40 | ) | (2.68 | ) | (0.69 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 20.20 | $ | 20.88 | $ | 17.31 | $ | 11.74 | $ | 16.33 | $ | 21.88 | $ | 20.13 | $ | 20.81 | $ | 17.25 | $ | 11.71 | $ | 16.28 | $ | 21.86 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(c) | (2.11 | )%** | 26.00 | % | 51.75 | % | (25.76 | )% | (12.81 | )% | 4.54 | % | (2.13 | )%** | 26.12 | % | 51.72 | % | (25.68 | )% | (12.82 | )% | 5.48 | %** | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 119,927 | $ | 54,037 | $ | 22,562 | $ | 13,864 | $ | 23,734 | $ | 81,646 | $ | 327,006 | $ | 296,196 | $ | 190,260 | $ | 170,919 | $ | 119,308 | $ | 138,358 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.75 | %(e)* | 0.76 | %(e) | 0.77 | % | 0.77 | % | 0.76 | % | 0.75 | %(f) | 0.71 | %(e)* | 0.71 | %(e) | 0.72 | % | 0.72 | % | 0.71 | % | 0.70 | %*(f) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 3.41 | %* | 1.77 | % | 1.99 | % | 3.36 | % | 4.01 | % | 2.36 | % | 3.58 | %* | 2.04 | % | 2.26 | % | 3.31 | % | 3.58 | % | 2.23 | %* | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 23 | %**(g) | 48 | %(g) | 29 | %(g) | 130 | % | 126 | % | 40 | % | 23 | %(g)** | 48 | %(g) | 29 | %(g) | 130 | % | 126 | % | 40 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | 0.06 | %(d) | 0.10 | % | 0.10 | % | 0.08 | % | 0.10 | % | — | 0.06 | %(d) | 0.10 | % | 0.11 | % | 0.09 | % | 0.11 | %* | ||||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.02 | $ | 0.05 | $ | 0.02 | $ | 0.03 | $ | 0.07 | $ | 0.06 | $ | 0.02 | $ | 0.04 | $ | 0.02 | $ | 0.02 | $ | 0.03 | $ | 0.03 |
(a) | Period from March 20, 2013 (commencement of operations) through February 28, 2014. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Includes recoupment of past reimbursed and/or waived fees (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 48%, 85% and 40%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 83 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RISK PREMIUM FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.74 | $ | 29.93 | $ | 26.91 | $ | 29.73 | $ | 31.74 | $ | 31.59 | $ | 26.88 | $ | 30.07 | $ | 27.00 | $ | 29.82 | $ | 31.80 | $ | 31.59 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.19 | 0.10 | (0.05 | ) | (0.12 | ) | (0.18 | ) | (0.18 | ) | 0.20 | 0.14 | (0.02 | ) | (0.12 | ) | (0.15 | ) | (0.15 | ) | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.35 | 1.78 | 5.22 | (0.30 | ) | 1.02 | 2.13 | 1.37 | 1.78 | 5.24 | (0.30 | ) | 1.02 | 2.16 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 1.54 | 1.88 | 5.17 | (0.42 | ) | 0.84 | 1.95 | 1.57 | 1.92 | 5.22 | (0.42 | ) | 0.87 | 2.01 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.06 | ) | — | — | — | — | (0.10 | ) | (0.10 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
From net realized gains | — | (5.01 | ) | (2.15 | ) | (2.40 | ) | (2.85 | ) | (1.80 | ) | — | (5.01 | ) | (2.15 | ) | (2.40 | ) | (2.85 | ) | (1.80 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.09 | ) | (5.07 | ) | (2.15 | ) | (2.40 | ) | (2.85 | ) | (1.80 | ) | (0.10 | ) | (5.11 | ) | (2.15 | ) | (2.40 | ) | (2.85 | ) | (1.80 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 28.19 | $ | 26.74 | $ | 29.93 | $ | 26.91 | $ | 29.73 | $ | 31.74 | $ | 28.35 | $ | 26.88 | $ | 30.07 | $ | 27.00 | $ | 29.82 | $ | 31.80 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(c) | 5.78 | %** | 6.09 | % | 19.50 | % | (1.66 | )% | 3.19 | % | 6.42 | % | 5.87 | %** | 6.17 | % | 19.62 | % | (1.65 | )% | 3.29 | % | 6.61 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 20,372 | $ | 3,434 | $ | 5,049 | $ | 6,807 | $ | 4,832 | $ | 7,489 | $ | 494,626 | $ | 142,238 | $ | 155,375 | $ | 223,854 | $ | 432,465 | $ | 730,196 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.60 | %* | 0.60 | % | 0.61 | % | 0.60 | % | 0.61 | %(d) | 0.60 | %(d)(e) | 0.51 | %* | 0.51 | % | 0.51 | % | 0.51 | % | 0.51 | %(d) | 0.51 | %(d)(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.37 | %* | 0.34 | % | (0.16 | )% | (0.45 | )% | (0.58 | )% | (0.57 | )% | 1.43 | %* | 0.47 | % | (0.07 | )% | (0.37 | )% | (0.49 | )% | (0.48 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 26 | %** | 0 | % | 0 | % | 0 | % | 112 | % | 0 | % | 26 | %** | 0 | % | 0 | % | 0 | % | 112 | % | 0 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.08 | % | 0.06 | % | 0.05 | % | 0.04 | % | 0.05 | % | 0.04 | %* | 0.08 | % | 0.06 | % | 0.05 | % | 0.03 | % | 0.05 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (f) | $ | 0.01 | $ | 0.02 | (a) | $ | 0.08 | (a) | $ | 0.14 | (a) | $ | 0.01 | (a) | $ | 0.00 | (f) | $ | 0.01 | $ | 0.02 | (a) | $ | 0.07 | (a) | $ | 0.13 | (a) | $ | 0.01 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
84 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
TAX-MANAGED INTERNATIONAL EQUITIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.00 | $ | 14.28 | $ | 12.92 | $ | 16.80 | $ | 18.03 | $ | 14.56 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.30 | 0.38 | 0.41 | 0.40 | 0.47 | 0.57 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.55 | ) | 2.84 | 1.50 | (3.82 | ) | (1.05 | ) | 3.37 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.25 | ) | 3.22 | 1.91 | (3.42 | ) | (0.58 | ) | 3.94 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.50 | ) | (0.55 | ) | (0.46 | ) | (0.65 | ) | (0.47 | ) | ||||||||||||||||||
From net realized gains | (0.53 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.57 | ) | (0.50 | ) | (0.55 | ) | (0.46 | ) | (0.65 | ) | (0.47 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 15.18 | $ | 17.00 | $ | 14.28 | $ | 12.92 | $ | 16.80 | $ | 18.03 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (7.44 | )%** | 22.70 | % | 15.05 | % | (20.63 | )% | (3.10 | )% | 27.37 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 52,363 | $ | 68,782 | $ | 115,733 | $ | 215,977 | $ | 427,048 | $ | 485,665 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.75 | %* | 0.70 | % | 0.68 | % | 0.66 | % | 0.66 | % | 0.66 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.69 | %* | 2.35 | % | 2.95 | % | 2.59 | % | 2.71 | % | 3.54 | % | ||||||||||||||||||
Portfolio turnover rate | 12 | %(d)** | 43 | %(d) | 47 | %(d) | 79 | % | 69 | % | 49 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.42 | %* | 0.34 | % | 0.23 | % | 0.14 | % | 0.12 | % | 0.10 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 28%, 80% and 54%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 85 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. EQUITY FUND (FORMERLY U.S. EQUITY ALLOCATION FUND)
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.41 | $ | 15.14 | $ | 13.79 | $ | 16.61 | $ | 17.27 | $ | 14.51 | $ | 15.42 | $ | 15.16 | $ | 13.76 | $ | 16.58 | $ | 17.24 | $ | 14.48 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.11 | 0.27 | 0.27 | 0.24 | 0.28 | 0.28 | 0.12 | 0.30 | 0.25 | 0.25 | 0.29 | 0.29 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.63 | 1.73 | 2.89 | (1.20 | ) | 1.66 | 2.77 | 0.64 | 1.70 | 2.92 | (1.20 | ) | 1.66 | 2.77 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.74 | 2.00 | 3.16 | (0.96 | ) | 1.94 | 3.05 | 0.76 | 2.00 | 3.17 | (0.95 | ) | 1.95 | 3.06 | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.28 | ) | (0.34 | ) | (0.26 | ) | (0.31 | ) | (0.29 | ) | (0.07 | ) | (0.29 | ) | (0.30 | ) | (0.27 | ) | (0.32 | ) | (0.30 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (1.18 | ) | (1.45 | ) | (1.47 | ) | (1.60 | ) | (2.29 | ) | — | (1.18 | ) | (1.45 | ) | (1.47 | ) | (1.60 | ) | (2.29 | ) | — | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (1.24 | ) | (1.73 | ) | (1.81 | ) | (1.86 | ) | (2.60 | ) | (0.29 | ) | (1.25 | ) | (1.74 | ) | (1.77 | ) | (1.87 | ) | (2.61 | ) | (0.30 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 14.91 | $ | 15.41 | $ | 15.14 | $ | 13.79 | $ | 16.61 | $ | 17.27 | $ | 14.93 | $ | 15.42 | $ | 15.16 | $ | 13.76 | $ | 16.58 | $ | 17.24 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(b) | 5.06 | %** | 13.76 | % | 23.59 | % | (6.17 | )% | 12.18 | % | 21.11 | % | 5.15 | %** | 13.74 | % | 23.69 | % | (6.10 | )% | 12.27 | % | 21.21 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 81,047 | $ | 77,297 | $ | 109,726 | $ | 194,615 | $ | 286,934 | $ | 488,982 | $ | 38,064 | $ | 36,025 | $ | 16,707 | $ | 513,751 | $ | 431,841 | $ | 288,782 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.46 | %* | 0.46 | % | 0.46 | % | 0.46 | % | 0.46 | % | 0.46 | %(d) | 0.41 | %* | 0.41 | % | 0.41 | % | 0.41 | % | 0.41 | % | 0.41 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.46 | %* | 1.78 | % | 1.80 | % | 1.57 | % | 1.59 | % | 1.71 | % | 1.51 | %* | 1.94 | % | 1.73 | % | 1.65 | % | 1.63 | % | 1.75 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 47 | %**(e) | 79 | %(e) | 66 | %(e) | 89 | % | 67 | % | 74 | % | 47 | %**(e) | 79 | %(e) | 66 | %(e) | 89 | % | 67 | % | 74 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.03 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 100% and 91%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
86 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. EQUITY FUND (FORMERLY U.S. EQUITY ALLOCATION FUND) (continued)
Class V Shares | Class VI Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Period from August 9, 2016 through February 28, 2017 | Period from March 1, 2014 through July 30, 2014(a) | Period from January 21, 2014 (commencement of operations) through February 28, 2014 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.35 | $ | 15.09 | $ | 14.95 | $ | 17.24 | $ | 17.17 | $ | 15.31 | $ | 15.06 | $ | 13.73 | $ | 16.54 | $ | 17.21 | $ | 14.47 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.12 | 0.29 | 0.16 | 0.12 | 0.04 | 0.12 | 0.29 | 0.27 | 0.26 | 0.30 | 0.30 | ||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.62 | 1.71 | 1.50 | 0.90 | 0.03 | 0.63 | 1.71 | 2.89 | (1.19 | ) | 1.65 | 2.74 | |||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||
Total from investment operations | 0.74 | 2.00 | 1.66 | 1.02 | 0.07 | 0.75 | 2.00 | 3.16 | (0.93 | ) | 1.95 | 3.04 | |||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.29 | ) | (0.19 | ) | (0.04 | ) | — | (0.07 | ) | (0.30 | ) | (0.36 | ) | (0.28 | ) | (0.33 | ) | (0.30 | ) | ||||||||||||||||||||||||||||||||||
From net realized gains | (1.18 | ) | (1.45 | ) | (1.33 | ) | (0.43 | ) | — | (1.18 | ) | (1.45 | ) | (1.47 | ) | (1.60 | ) | (2.29 | ) | — | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||
Total distributions | (1.24 | ) | (1.74 | ) | (1.52 | ) | (0.47 | ) | — | (1.25 | ) | (1.75 | ) | (1.83 | ) | (1.88 | ) | (2.62 | ) | (0.30 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 14.85 | $ | 15.35 | $ | 15.09 | $ | 17.79 | $ | 17.24 | $ | 14.81 | $ | 15.31 | $ | 15.06 | $ | 13.73 | $ | 16.54 | $ | 17.21 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||
Total Return(c) | 5.10 | %** | 13.84 | % | 11.37 | %** | 5.88 | %** | 0.39 | %** | 5.13 | %** | 13.84 | % | 23.68 | % | (6.02 | )% | 12.28 | % | 21.14 | % | |||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 61,864 | $ | 60,386 | $ | 164,652 | $ | 220,333 | $ | 259,581 | $ | 843,142 | $ | 1,200,008 | $ | 1,469,935 | $ | 3,838,628 | $ | 6,031,361 | $ | 7,082,304 | |||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.40 | % | 0.40 | % | 0.40 | %* | 0.40 | %* | 0.40 | %*(d) | 0.37 | %* | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | %(d) | |||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.53 | %* | 1.88 | % | 1.93 | %* | 1.69 | %* | 1.97 | %* | 1.57 | %* | 1.88 | % | 1.87 | % | 1.68 | % | 1.70 | % | 1.85 | % | |||||||||||||||||||||||||||||||||
Portfolio turnover rate | 47 | %**(f) | 79 | %(f) | 66 | %(f)** | 34 | %**(g) | 74 | %** | 47 | %**(f) | 79 | %(f) | 66 | %(f) | 89 | % | 67 | % | 74 | % | |||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets: | 0.03 | %* | 0.02 | % | 0.02 | %* | 0.02 | %* | 0.01 | %* | 0.03 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % |
(a) | The class was inactive from July 31, 2014 to August 8, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018, the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 100% and 91%, respectively, of the average value of its portfolio. |
(g) | Calculation represents portfolio turnover of the fund for the period ended July 30, 2014. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 87 |
GMO Trust Funds
August 31, 2018 (Unaudited)
1. | Organization |
Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, Foreign Small Companies Fund, International Equity Fund, International Large/Mid Cap Equity Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund and U.S. Equity Fund (formerly U.S. Equity 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. 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.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Climate Change Fund | Not Applicable | High total return | ||
Emerging Domestic Opportunities Fund | Not Applicable | Total Return | ||
Emerging Markets Fund | S&P/IFCI Composite Index | Total return in excess of benchmark | ||
Foreign Small Companies Fund | S&P Developed ex-U.S. Small Cap Index | Total return in excess of benchmark | ||
International Equity Fund | Not Applicable | High total return | ||
International Large/Mid Cap Equity Fund | Not Applicable | High total return | ||
Quality Fund | Not Applicable | Total return | ||
Resources Fund | Not Applicable | Total return | ||
Risk Premium Fund | Not Applicable | Total return | ||
Tax-Managed International Equities Fund | Not Applicable | High after-tax total return | ||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | Not Applicable | High total return |
International Large/Mid Cap Equity Fund currently limits subscriptions.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
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 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
88
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
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 generally valued at the price determined by an industry standard model. Unlisted 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. 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 pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
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 the value of 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, the price 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, if any, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2018. 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) in the table below.
“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.
As discussed above, certain of the Funds and 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 fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized
89
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2018 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | ||||||
Climate Change Fund | 0% | § | 65% | |||||
Emerging Domestic Opportunities Fund | — | 66% | ||||||
Emerging Markets Fund | < 1% | 87% | ||||||
Foreign Small Companies Fund | — | 91% | ||||||
International Equity Fund | 0% | § | 95% | |||||
International Large/Mid Cap Equity Fund | 0% | § | 90% | |||||
Quality Fund | — | 16% | ||||||
Resources Fund | 0% | § | 78% | |||||
Risk Premium Fund | — | (1)% | ||||||
Tax-Managed International Equities Fund | 0% | § | 93% | |||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | — | — |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2018. |
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.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2018, direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure are described in the Level 3 securities and derivatives table below.
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 adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; 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.
90
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; 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 August 31, 2018:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Climate Change Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 863,903 | $ | — | $ | — | $ | 863,903 | ||||||||
Australia | — | 1,538,845 | 0 | § | 1,538,845 | |||||||||||
Austria | — | 175,196 | — | 175,196 | ||||||||||||
Brazil | — | 1,364,026 | — | 1,364,026 | ||||||||||||
Canada | 1,441,390 | — | — | 1,441,390 | ||||||||||||
China | — | 4,689,326 | — | 4,689,326 | ||||||||||||
Denmark | — | 4,020,894 | — | 4,020,894 | ||||||||||||
Finland | — | 209,687 | — | 209,687 | ||||||||||||
France | — | 6,661,254 | — | 6,661,254 | ||||||||||||
Germany | — | 4,083,231 | — | 4,083,231 | ||||||||||||
Israel | — | 1,379,270 | — | 1,379,270 | ||||||||||||
Italy | — | 2,106,193 | — | 2,106,193 | ||||||||||||
Japan | — | 8,164,671 | — | 8,164,671 | ||||||||||||
Netherlands | — | 1,484,584 | — | 1,484,584 | ||||||||||||
Norway | — | 5,461,404 | — | 5,461,404 | ||||||||||||
Pakistan | — | 791,219 | — | 791,219 | ||||||||||||
Poland | — | 1,726,781 | — | 1,726,781 | ||||||||||||
Portugal | — | 864,622 | — | 864,622 | ||||||||||||
Russia | — | 4,305,631 | — | 4,305,631 | ||||||||||||
South Africa | — | 72,025 | — | 72,025 | ||||||||||||
South Korea | — | 1,288,376 | — | 1,288,376 | ||||||||||||
Spain | — | 2,665,308 | — | 2,665,308 | ||||||||||||
Sweden | — | 927,482 | — | 927,482 | ||||||||||||
Switzerland | — | 203,781 | — | 203,781 | ||||||||||||
Taiwan | — | 180,441 | — | 180,441 | ||||||||||||
Thailand | — | 112,820 | — | 112,820 | ||||||||||||
Ukraine | — | 579,102 | — | 579,102 | ||||||||||||
United Kingdom | — | 2,478,315 | — | 2,478,315 | ||||||||||||
United States | 23,860,088 | — | — | 23,860,088 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 26,165,381 | 57,534,484 | 0 | § | 83,699,865 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Chile | 3,229,838 | — | — | 3,229,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 3,229,838 | — | — | 3,229,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
MUTUAL FUNDS | ||||||||||||||||
United States | 1,665,159 | — | — | 1,665,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,665,159 | — | — | 1,665,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 253,712 | — | — | 253,712 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 31,314,090 | 57,534,484 | 0 | § | 88,848,574 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 31,314,090 | $ | 57,534,484 | $ | 0 | § | $ | 88,848,574 | |||||||
|
|
|
|
|
|
|
| |||||||||
91
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Belgium | $ | 9,267,062 | $ | — | $ | — | $ | 9,267,062 | ||||||||
Brazil | — | 32,346,936 | — | 32,346,936 | ||||||||||||
China | 89,357,783 | 161,641,799 | — | 250,999,582 | ||||||||||||
France | — | 31,294,420 | — | 31,294,420 | ||||||||||||
Hong Kong | — | 67,755,077 | — | 67,755,077 | ||||||||||||
India | — | 248,425,041 | 21,310,628 | 269,735,669 | ||||||||||||
Indonesia | — | 17,202,988 | — | 17,202,988 | ||||||||||||
Mexico | 15,558,606 | — | — | 15,558,606 | ||||||||||||
Peru | 10,831,670 | — | — | 10,831,670 | ||||||||||||
Philippines | — | 49,859,667 | — | 49,859,667 | ||||||||||||
Russia | — | 17,075,814 | — | 17,075,814 | ||||||||||||
South Africa | — | 8,586,130 | — | 8,586,130 | ||||||||||||
South Korea | — | 8,932,802 | — | 8,932,802 | ||||||||||||
Switzerland | — | 40,533,572 | — | 40,533,572 | ||||||||||||
Taiwan | — | 127,235,031 | — | 127,235,031 | ||||||||||||
Thailand | — | 69,237,591 | — | 69,237,591 | ||||||||||||
United Kingdom | — | 99,966,218 | — | 99,966,218 | ||||||||||||
United States | 14,342,302 | — | — | 14,342,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 139,357,423 | 980,093,086 | 21,310,628 | 1,140,761,137 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 39,075,253 | — | 39,075,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 39,075,253 | — | 39,075,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Brazil | 10,368,035 | — | — | 10,368,035 | ||||||||||||
China | 24,425,118 | 9,846,832 | — | 34,271,950 | ||||||||||||
Mexico | 16,199,412 | — | — | 16,199,412 | ||||||||||||
Taiwan | 96,038,494 | — | — | 96,038,494 | ||||||||||||
Thailand | — | 36,827,694 | — | 36,827,694 | ||||||||||||
United States | 101,996,421 | — | — | 101,996,421 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 249,027,480 | 46,674,526 | — | 295,702,006 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
Brazil | — | 17,630,237 | — | 17,630,237 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 17,630,237 | — | 17,630,237 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 55,855,727 | — | — | 55,855,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 55,855,727 | — | — | 55,855,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 53,932,004 | — | — | 53,932,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 498,172,634 | 1,083,473,102 | 21,310,628 | 1,602,956,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,641,047 | — | 1,641,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 498,172,634 | $ | 1,085,114,149 | $ | 21,310,628 | $ | 1,604,597,411 | ||||||||
|
|
|
|
|
|
|
| |||||||||
92
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (2,116,950 | ) | $ | — | $ | (2,116,950 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (512,178 | ) | — | — | (512,178 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (915,351 | ) | — | (915,351 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (512,178 | ) | $ | (3,032,301 | ) | $ | — | $ | (3,544,479 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 19,866,098 | $ | 49,031,052 | $ | — | $ | 68,897,150 | ||||||||
Chile | — | 2,896,859 | — | 2,896,859 | ||||||||||||
China | 54,222,542 | 683,506,573 | 678,957 | 738,408,072 | ||||||||||||
Colombia | 6,204,037 | — | — | 6,204,037 | ||||||||||||
Czech Republic | — | 5,888,384 | — | 5,888,384 | ||||||||||||
Egypt | — | 376,942 | — | 376,942 | ||||||||||||
India | — | 141,222,269 | — | 141,222,269 | ||||||||||||
Indonesia | 969,807 | 99,930,464 | — | 100,900,271 | ||||||||||||
Malaysia | — | 3,965,858 | — | 3,965,858 | ||||||||||||
Mexico | 114,134,844 | — | — | 114,134,844 | ||||||||||||
Pakistan | — | 5,407,816 | — | 5,407,816 | ||||||||||||
Peru | 2,834,260 | — | — | 2,834,260 | ||||||||||||
Philippines | — | 38,824,888 | — | 38,824,888 | ||||||||||||
Poland | — | 89,301,847 | — | 89,301,847 | ||||||||||||
Qatar | — | 50,112,900 | — | 50,112,900 | ||||||||||||
Russia | 40,589,944 | 488,396,922 | — | 528,986,866 | ||||||||||||
South Africa | 726,310 | 174,403,751 | — | 175,130,061 | ||||||||||||
South Korea | — | 206,127,973 | — | 206,127,973 | ||||||||||||
Sri Lanka | — | 834,693 | — | 834,693 | ||||||||||||
Taiwan | 63,284,914 | 697,464,962 | — | 760,749,876 | ||||||||||||
Thailand | — | 208,820,140 | — | 208,820,140 | ||||||||||||
Turkey | — | 165,902,233 | — | 165,902,233 | ||||||||||||
United Arab Emirates | — | 28,698,145 | — | 28,698,145 | ||||||||||||
United Kingdom | — | 23,358,099 | — | 23,358,099 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 302,832,756 | 3,164,472,770 | 678,957 | 3,467,984,483 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 14,431,509 | — | 14,431,509 | ||||||||||||
Colombia | 230,371 | — | — | 230,371 | ||||||||||||
Russia | — | 13,239,659 | — | 13,239,659 | ||||||||||||
South Korea | — | 62,268,870 | — | 62,268,870 | ||||||||||||
Taiwan | — | 1,224,107 | — | 1,224,107 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 230,371 | 91,164,145 | — | 91,394,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Russia | — | — | 99,022 | 99,022 | ||||||||||||
Thailand | — | 9,335,665 | — | 9,335,665 | ||||||||||||
United States | 70,250,843 | — | — | 70,250,843 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 70,250,843 | 9,335,665 | 99,022 | 79,685,530 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
93
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Markets Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 84,508,659 | $ | — | $ | — | $ | 84,508,659 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 84,508,659 | — | — | 84,508,659 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 5,016,432 | — | — | 5,016,432 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 462,839,061 | 3,264,972,580 | 777,979 | 3,728,589,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 770,262 | — | 770,262 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 462,839,061 | $ | 3,265,742,842 | $ | 777,979 | $ | 3,729,359,882 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (20,827,310 | ) | $ | — | $ | — | $ | (20,827,310 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Small Companies Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 655,200 | $ | — | $ | 655,200 | ||||||||
Austria | — | 264,184 | — | 264,184 | ||||||||||||
Belgium | — | 237,571 | — | 237,571 | ||||||||||||
Brazil | — | 61,083 | — | 61,083 | ||||||||||||
Canada | 1,184,893 | — | — | 1,184,893 | ||||||||||||
China | — | 437,590 | — | 437,590 | ||||||||||||
Finland | — | 237,031 | — | 237,031 | ||||||||||||
France | — | 1,087,797 | — | 1,087,797 | ||||||||||||
Germany | — | 1,185,595 | — | 1,185,595 | ||||||||||||
Hong Kong | — | 372,335 | — | 372,335 | ||||||||||||
India | — | 444,715 | — | 444,715 | ||||||||||||
Indonesia | — | 19,792 | — | 19,792 | ||||||||||||
Italy | — | 542,185 | — | 542,185 | ||||||||||||
Japan | — | 5,016,194 | — | 5,016,194 | ||||||||||||
Malaysia | — | 328,821 | — | 328,821 | ||||||||||||
Norway | — | 215,129 | — | 215,129 | ||||||||||||
Poland | — | 32,942 | — | 32,942 | ||||||||||||
Portugal | — | 159,531 | — | 159,531 | ||||||||||||
Singapore | — | 441,021 | — | 441,021 | ||||||||||||
South Africa | — | 108,694 | — | 108,694 | ||||||||||||
South Korea | — | 1,438,841 | — | 1,438,841 | ||||||||||||
Spain | — | 435,300 | — | 435,300 | ||||||||||||
Sweden | — | 545,415 | — | 545,415 | ||||||||||||
Switzerland | — | 1,099,644 | — | 1,099,644 | ||||||||||||
Taiwan | — | 550,481 | — | 550,481 | ||||||||||||
Turkey | — | 3,730 | — | 3,730 | ||||||||||||
United Kingdom | — | 2,928,242 | — | 2,928,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,184,893 | 18,849,063 | — | 20,033,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
94
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Small Companies Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Preferred Stocks | ||||||||||||||||
Germany | $ | — | $ | 37,353 | $ | — | $ | 37,353 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 37,353 | — | 37,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 639,328 | — | — | 639,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 639,328 | — | — | 639,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 45,712 | — | — | 45,712 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,869,933 | 18,886,416 | — | 20,756,349 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,869,933 | $ | 18,886,416 | $ | — | $ | 20,756,349 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (4,801 | ) | $ | — | $ | — | $ | (4,801 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 196,293,815 | $ | — | $ | 196,293,815 | ||||||||
Austria | — | 32,202,810 | — | 32,202,810 | ||||||||||||
Belgium | — | 20,676,512 | — | 20,676,512 | ||||||||||||
Denmark | 20,549,471 | 46,779,327 | — | 67,328,798 | ||||||||||||
Finland | — | 8,356,342 | — | 8,356,342 | ||||||||||||
France | 47,013,705 | 268,800,445 | — | 315,814,150 | ||||||||||||
Germany | — | 465,551,416 | — | 465,551,416 | ||||||||||||
Hong Kong | — | 137,032,866 | — | 137,032,866 | ||||||||||||
Ireland | 7,869,895 | — | — | 7,869,895 | ||||||||||||
Israel | — | 9,614,025 | — | 9,614,025 | ||||||||||||
Italy | 77,915,929 | 109,730,379 | — | 187,646,308 | ||||||||||||
Japan | — | 1,107,233,813 | — | 1,107,233,813 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | — | 109,299,597 | — | 109,299,597 | ||||||||||||
New Zealand | — | 1,688,219 | — | 1,688,219 | ||||||||||||
Norway | — | 149,062,582 | — | 149,062,582 | ||||||||||||
Portugal | — | 4,929,415 | — | 4,929,415 | ||||||||||||
Singapore | — | 14,432,477 | — | 14,432,477 | ||||||||||||
Spain | — | 29,215,857 | — | 29,215,857 | ||||||||||||
Sweden | — | 231,195,330 | — | 231,195,330 | ||||||||||||
Switzerland | — | 205,499,550 | — | 205,499,550 | ||||||||||||
United Kingdom | 17,478,661 | 602,716,984 | — | 620,195,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 170,827,661 | 3,750,311,761 | 0 | § | 3,921,139,422 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 25,075,689 | — | 25,075,689 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 25,075,689 | — | 25,075,689 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 22,343,940 | — | — | 22,343,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 22,343,940 | — | — | 22,343,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
95
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Equity Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Short-Term Investments | $ | 9,905,611 | $ | — | $ | — | $ | 9,905,611 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 203,077,212 | 3,775,387,450 | 0 | § | 3,978,464,662 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 203,077,212 | $ | 3,775,387,450 | $ | 0 | § | $ | 3,978,464,662 | |||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (323,533 | ) | $ | — | $ | — | $ | (323,533 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 675,605 | $ | — | $ | 675,605 | ||||||||
Austria | — | 373,667 | — | 373,667 | ||||||||||||
Belgium | — | 5,471 | — | 5,471 | ||||||||||||
Denmark | 73,755 | 195,379 | — | 269,134 | ||||||||||||
Finland | — | 352,494 | — | 352,494 | ||||||||||||
France | 305,319 | 1,392,707 | — | 1,698,026 | ||||||||||||
Germany | — | 1,607,310 | — | 1,607,310 | ||||||||||||
Hong Kong | — | 1,123,761 | — | 1,123,761 | ||||||||||||
Ireland | 119,216 | — | — | 119,216 | ||||||||||||
Israel | 9,164 | — | — | 9,164 | ||||||||||||
Italy | 402,085 | 407,459 | — | 809,544 | ||||||||||||
Japan | — | 5,216,530 | — | 5,216,530 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | — | 711,751 | — | 711,751 | ||||||||||||
Norway | — | 180,591 | — | 180,591 | ||||||||||||
Singapore | — | 134,684 | — | 134,684 | ||||||||||||
Sweden | — | 760,650 | — | 760,650 | ||||||||||||
Switzerland | — | 1,067,178 | — | 1,067,178 | ||||||||||||
United Kingdom | 148,959 | 2,924,586 | — | 3,073,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,058,498 | 17,129,823 | 0 | § | 18,188,321 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 294,645 | — | 294,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 294,645 | — | 294,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
MUTUAL FUNDS | ||||||||||||||||
United States | 477,713 | — | — | 477,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 477,713 | — | — | 477,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 69,503 | — | — | 69,503 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,605,714 | 17,424,468 | 0 | § | 19,030,182 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 218 | — | — | 218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,605,932 | $ | 17,424,468 | $ | 0 | § | $ | 19,030,400 | |||||||
|
|
|
|
|
|
|
| |||||||||
96
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Quality Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Germany | $ | — | $ | 128,766,730 | $ | — | $ | 128,766,730 | ||||||||
Switzerland | — | 405,574,879 | — | 405,574,879 | ||||||||||||
Taiwan | — | 153,830,965 | — | 153,830,965 | ||||||||||||
United Kingdom | — | 486,607,812 | — | 486,607,812 | ||||||||||||
United States | 5,858,915,409 | — | — | 5,858,915,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 5,858,915,409 | 1,174,780,386 | — | 7,033,695,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 51,094,345 | — | — | 51,094,345 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 51,094,345 | — | — | 51,094,345 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 102,545,284 | — | — | 102,545,284 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,012,555,038 | 1,174,780,386 | — | 7,187,335,424 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,012,555,038 | $ | 1,174,780,386 | $ | — | $ | 7,187,335,424 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 4,632,183 | $ | — | $ | — | $ | 4,632,183 | ||||||||
Australia | — | 20,723,213 | — | 20,723,213 | ||||||||||||
Austria | — | 3,035,169 | — | 3,035,169 | ||||||||||||
Brazil | — | 4,332,127 | — | 4,332,127 | ||||||||||||
Canada | 4,155,285 | — | — | 4,155,285 | ||||||||||||
China | — | 10,223,636 | — | 10,223,636 | ||||||||||||
Colombia | 3,508,590 | — | — | 3,508,590 | ||||||||||||
Denmark | — | 9,053,042 | — | 9,053,042 | ||||||||||||
Finland | — | 654,902 | — | 654,902 | ||||||||||||
France | — | 20,610,909 | — | 20,610,909 | ||||||||||||
Germany | — | 3,285,586 | — | 3,285,586 | ||||||||||||
Hungary | — | 2,521,762 | — | 2,521,762 | ||||||||||||
India | — | 2,422,556 | — | 2,422,556 | ||||||||||||
Israel | — | 11,201,189 | — | 11,201,189 | ||||||||||||
Italy | — | 1,743,179 | — | 1,743,179 | ||||||||||||
Japan | — | 23,923,104 | — | 23,923,104 | ||||||||||||
Netherlands | — | 1,397,628 | — | 1,397,628 | ||||||||||||
Norway | — | 36,193,972 | — | 36,193,972 | ||||||||||||
Pakistan | — | 3,515,167 | — | 3,515,167 | ||||||||||||
Poland | — | 8,501,842 | — | 8,501,842 | ||||||||||||
Qatar | — | 443,339 | — | 443,339 | ||||||||||||
Russia | — | 54,351,387 | — | 54,351,387 | ||||||||||||
Singapore | — | 190,370 | 0 | § | 190,370 | |||||||||||
South Africa | — | 6,843,833 | — | 6,843,833 | ||||||||||||
South Korea | — | 3,503,476 | — | 3,503,476 | ||||||||||||
Spain | — | 7,897,629 | — | 7,897,629 | ||||||||||||
Sweden | — | 9,974,379 | — | 9,974,379 | ||||||||||||
Switzerland | — | 371,751 | — | 371,751 | ||||||||||||
Thailand | — | 9,817,774 | — | 9,817,774 | ||||||||||||
Turkey | — | 1,005,901 | — | 1,005,901 | ||||||||||||
Ukraine | — | 3,079,756 | — | 3,079,756 | ||||||||||||
97
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Resources Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
United Kingdom | $ | — | $ | 61,334,900 | $ | — | $ | 61,334,900 | ||||||||
United States | 61,766,469 | — | — | 61,766,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 74,062,527 | 322,153,478 | 0 | § | 396,216,005 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 15,156,258 | — | 15,156,258 | ||||||||||||
Chile | 14,014,940 | — | — | 14,014,940 | ||||||||||||
Russia | — | 9,034,194 | — | 9,034,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 14,014,940 | 24,190,452 | — | 38,205,392 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Australia | — | 51,265 | — | 51,265 | ||||||||||||
Singapore | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | 51,265 | 0 | § | 51,265 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 10,640,570 | — | — | 10,640,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 10,640,570 | — | — | 10,640,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 751,939 | — | — | 751,939 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 99,469,976 | 346,395,195 | 0 | § | 445,865,171 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 99,469,976 | $ | 346,395,195 | $ | 0 | § | $ | 445,865,171 | |||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
United States | $ | 239,009,216 | $ | — | $ | — | $ | 239,009,216 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 239,009,216 | — | — | 239,009,216 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 277,418,579 | — | — | 277,418,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 516,427,795 | — | — | 516,427,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 516,427,795 | $ | — | $ | — | $ | 516,427,795 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (1,531,680 | ) | $ | (1,639,580 | ) | $ | — | $ | (3,171,260 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 2,005,660 | $ | — | $ | 2,005,660 | ||||||||
Austria | — | 858,699 | — | 858,699 | ||||||||||||
Belgium | — | 147,613 | — | 147,613 | ||||||||||||
Brazil | — | 283,087 | — | 283,087 | ||||||||||||
Canada | 891,231 | — | — | 891,231 | ||||||||||||
China | 73,977 | 1,614,813 | — | 1,688,790 | ||||||||||||
98
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Tax-Managed International Equities Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Colombia | $ | 61,020 | $ | — | $ | — | $ | 61,020 | ||||||||
Denmark | 34,419 | 209,033 | — | 243,452 | ||||||||||||
Finland | — | 490,667 | — | 490,667 | ||||||||||||
France | 243,543 | 3,517,233 | — | 3,760,776 | ||||||||||||
Germany | — | 4,564,506 | — | 4,564,506 | ||||||||||||
Greece | — | 5,595 | — | 5,595 | ||||||||||||
Hong Kong | — | 1,917,974 | — | 1,917,974 | ||||||||||||
Hungary | — | 93,755 | — | 93,755 | ||||||||||||
India | — | 430,716 | — | 430,716 | ||||||||||||
Ireland | — | 252,797 | — | 252,797 | ||||||||||||
Italy | 737,441 | 1,652,326 | — | 2,389,767 | ||||||||||||
Japan | — | 12,906,142 | — | 12,906,142 | ||||||||||||
Malaysia | — | 19,508 | — | 19,508 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Mexico | 190,029 | — | — | 190,029 | ||||||||||||
Netherlands | — | 808,252 | — | 808,252 | ||||||||||||
New Zealand | — | 13,840 | — | 13,840 | ||||||||||||
Norway | — | 764,016 | — | 764,016 | ||||||||||||
Poland | — | 2,447 | — | 2,447 | ||||||||||||
Portugal | — | 20,514 | — | 20,514 | ||||||||||||
Russia | — | 127,732 | — | 127,732 | ||||||||||||
Singapore | — | 475,970 | — | 475,970 | ||||||||||||
South Africa | — | 425,569 | — | 425,569 | ||||||||||||
South Korea | 41,616 | 635,672 | — | 677,288 | ||||||||||||
Spain | — | 285,956 | — | 285,956 | ||||||||||||
Sweden | — | 2,688,220 | — | 2,688,220 | ||||||||||||
Switzerland | — | 2,374,135 | — | 2,374,135 | ||||||||||||
Taiwan | — | 441,069 | — | 441,069 | ||||||||||||
Thailand | — | 129,099 | — | 129,099 | ||||||||||||
Turkey | — | 85,778 | — | 85,778 | ||||||||||||
United Kingdom | 58,380 | 7,471,504 | — | 7,529,884 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 2,331,656 | 47,719,897 | 0 | § | 50,051,553 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 232,457 | — | 232,457 | ||||||||||||
Germany | — | 652,644 | — | 652,644 | ||||||||||||
South Korea | — | 168,181 | — | 168,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 1,053,282 | — | 1,053,282 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Thailand | 1,003 | — | — | 1,003 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 1,003 | — | — | 1,003 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 1,001,983 | — | — | 1,001,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,001,983 | — | — | 1,001,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 105,298 | — | — | 105,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 3,439,940 | 48,773,179 | 0 | § | 52,213,119 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,439,940 | $ | 48,773,179 | $ | 0 | § | $ | 52,213,119 | |||||||
|
|
|
|
|
|
|
| |||||||||
99
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Tax-Managed International Equities Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (20,885 | ) | $ | — | $ | — | $ | (20,885 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | 1,018,312,490 | $ | — | $ | — | $ | 1,018,312,490 | ||||||||
Mutual Funds | 9,072,109 | — | — | 9,072,109 | ||||||||||||
Short-Term Investments | 1,255,731 | — | — | 1,255,731 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,028,640,330 | — | — | 1,028,640,330 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,028,640,330 | $ | — | $ | — | $ | 1,028,640,330 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
^ | The tables above are based on market values or unrealized appreciation/(depreciation), in the case of forward currency contracts, rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, fully funded total return swaps and rights/warrants, if any, which are included in investments. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2018. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2018, there were no significant transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2018 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3† | Transfer out of Level 3† | Balances as of August 31, 2018 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2018 | |||||||||||||||||||||||||||||||
Climate Change Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Australia | $ | 12,229 | $ | — | $ | — | $ | — | $ | — | $ | (12,229 | ) | $ | — | $ | — | $ | 0 | § | $ | (12,229 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 12,229 | $ | — | $ | — | $ | — | $ | — | $ | (12,229 | ) | $ | — | $ | — | $ | 0 | § | $ | (12,229 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
India | $ | 27,450,114 | $ | — | $ | — | $ | — | $ | — | $ | (5,823,180 | ) | $ | — | $ | (316,306 | )‡ | $ | 21,310,628 | $ | (4,991,589 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 27,450,114 | $ | — | $ | — | $ | — | $ | — | $ | (5,823,180 | ) | $ | — | $ | (316,306 | ) | $ | 21,310,628 | $ | (4,991,589 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
100
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Balances as of February 28, 2018 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3† | Transfer out of Level 3† | Balances as of August 31, 2018 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2018 | |||||||||||||||||||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
China | $ | 680,939 | $ | — | $ | — | $ | — | $ | — | $ | (1,982 | ) | $ | — | $ | — | $ | 678,957 | $ | (1,982 | ) | ||||||||||||||||||
India | 1,802,252 | — | — | — | — | (1,305,638 | ) | — | (496,614 | )‡ | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 2,483,191 | $ | — | $ | — | $ | — | $ | — | $ | (1,307,620 | ) | $ | — | $ | (496,614 | ) | $ | 678,957 | $ | (1,982 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Funds | ||||||||||||||||||||||||||||||||||||||||
India | $ | 98,736 | $ | — | $ | (289,993 | ) | $ | — | $ | 289,993 | $ | (98,736 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Russia | 2,704,993 | — | (2,217,163 | ) | — | — | $ | (388,808 | ) | — | — | 99,022 | (388,808 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investment Funds | $ | 2,803,729 | $ | — | $ | (2,507,156 | ) | $ | — | $ | 289,993 | $ | (487,544 | ) | $ | — | $ | — | $ | 99,022 | $ | (388,808 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 5,286,920 | $ | — | $ | (2,507,156 | ) | $ | — | $ | 289,993 | $ | (1,795,164 | ) | $ | — | $ | (496,614 | ) | $ | 777,979 | $ | (390,790 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Resources Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Singapore | $ | 197,420 | $ | — | $ | — | $ | — | $ | — | $ | (7,050 | ) | $ | — | $ | (190,370 | )‡ | $ | 0 | § | $ | (7,050 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 197,420 | $ | — | $ | — | $ | — | $ | — | $ | (7,050 | ) | $ | — | $ | (190,370 | ) | $ | 0 | § | $ | (7,050 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
Brazil | $ | 1,369 | $ | — | $ | 0 | $ | — | $ | 0 | $ | (1,369 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 1,369 | $ | — | $ | 0 | $ | — | $ | 0 | $ | (1,369 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
† | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
‡ | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2018. |
101
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2018 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Climate Change Fund | 0% | § | ||
Emerging Domestic Opportunities Fund | 1% | * | ||
Emerging Markets Fund | <1% | |||
Foreign Small Companies Fund | — | |||
International Equity Fund | 0% | § | ||
International Large/Mid Cap Equity Fund | 0% | § | ||
Quality Fund | — | |||
Resources Fund | 0% | § | ||
Risk Premium Fund | — | |||
Tax-Managed International Equities Fund | 0% | § | ||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | — |
* | Includes Dixon Technologies India Ltd, which represents 0.89% of the Fund’s total net assets and is valued using the exchange last traded price and is restricted from sale until September 14, 2018. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2018. |
Cash
Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Taxes and distributions
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 (the “Code”). 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.
The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
102
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2018, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.
Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.
Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 28, 2018, certain Funds elected to defer to March 1, 2018 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses ($) | ||||||
Climate Change Fund | — | — | ||||||
Emerging Domestic Opportunities Fund | (2,255,504) | — | ||||||
Emerging Markets Fund | (3,555,452) | — | ||||||
Foreign Small Companies Fund | — | — | ||||||
International Equity Fund | — | — | ||||||
International Large/Mid Cap Equity Fund | — | — | ||||||
Quality Fund | — | — | ||||||
Resources Fund | — | (74,843) | ||||||
Risk Premium Fund | — | (3,798,674) | ||||||
Tax-Managed International Equities Fund | — | — | ||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | — | — |
As of February 28, 2018, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss
103
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2018, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Long-Term ($) | |||||||
Fund Name | No Expiration Date | No Expiration Date | ||||||
Climate Change Fund | — | — | ||||||
Emerging Domestic Opportunities Fund | — | — | ||||||
Emerging Markets Fund | (128,012,850) | (1,321,484,489) | ||||||
Foreign Small Companies Fund | — | — | ||||||
International Equity Fund | (692,086,892) | (425,794,508) | ||||||
International Large/Mid Cap Equity Fund | — | — | ||||||
Quality Fund | — | — | ||||||
Resources Fund | (20,440,224) | (24,899,575) | ||||||
Risk Premium Fund | — | — | ||||||
Tax-Managed International Equities Fund | (15,390,229) | — | ||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | — | — |
As of August 31, 2018, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:
Total Investments | Outstanding Financial Instruments | |||||||||||||||||||
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Climate Change Fund | 91,965,273 | 2,941,355 | (6,058,054) | (3,116,699) | — | |||||||||||||||
Emerging Domestic Opportunities Fund | 1,724,389,763 | 54,440,496 | (175,873,895) | (121,433,399) | (1,903,432) | |||||||||||||||
Emerging Markets Fund | 3,769,577,233 | 342,006,251 | (382,993,864) | (40,987,613) | (20,057,048) | |||||||||||||||
Foreign Small Companies Fund | 21,293,934 | 1,848,693 | (2,386,278) | (537,585) | (4,801) | |||||||||||||||
International Equity Fund | 3,823,310,236 | 384,838,215 | (229,683,789) | 155,154,426 | (323,533) | |||||||||||||||
International Large/Mid Cap Equity Fund | 18,478,776 | 1,615,106 | (1,063,700) | 551,406 | 218 | |||||||||||||||
Quality Fund | 4,689,812,376 | 2,514,712,432 | (17,189,384) | 2,497,523,048 | — | |||||||||||||||
Resources Fund | 400,982,923 | 60,697,843 | (15,815,595) | 44,882,248 | — | |||||||||||||||
Risk Premium Fund | 516,420,667 | 51,620 | (44,492) | 7,128 | 911,915 | |||||||||||||||
Tax-Managed International Equities Fund | 38,071,842 | 15,080,451 | (939,174) | 14,141,277 | (20,885) | |||||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | 921,649,177 | 126,361,287 | (19,370,134) | 106,991,153 | — |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to
104
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
Expenses and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian and fund accounting agent except for Emerging Markets Fund’s holdings in Indian assets, for which Brown Brothers Harriman & Co. (“BBH”) serves as custodian. Prior to November 3, 2017, BBH served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund. State Street serves as the transfer agent for all Funds. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).
105
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.
GMO also may waive or reduce the purchase premium or redemption fee for a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).
As of August 31, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:
Climate Change Fund | Emerging Domestic Opportunities Fund
| Emerging Markets Fund
| Foreign Small Companies Fund
| International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund
| Risk Premium Fund (a) | Tax-Managed International Equities Fund | U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||||
Purchase Premium | — | 0.80% | 0.80% | 0.50% | — | — | — | 0.30% | — | — | — | |||||||||||
Redemption Fee | — | 0.80% | 0.80% | 0.50% | — | — | — | 0.30% | — | — | — |
(a) | Prior to May 18, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed. |
Recently-issued accounting guidance
In March 2017, the Financial Accounting Standards Board (“FASB”) issued an amendment to U.S. GAAP, which amends the required amortization period for purchased callable debt securities that have been purchased at a premium. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the security. This amendment does not apply to debt securities purchased at a discount and is effective for fiscal years beginning after December 15, 2018. GMO is currently evaluating the impact, if any, of this guidance on the Fund’s financial statements and disclosures.
Other matters
Emerging Markets Fund (“EMF”)
Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.10% of the Fund’s total net assets as of August 31, 2018 and is included within miscellaneous payable within the Statements of Assets and Liabilities. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.
106
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Foreign Small Companies Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||||
Commodities Risk | X | X | ||||||||||||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Credit Risk | X | X | ||||||||||||||||||||
Currency Risk | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Derivatives and Short Sales Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Fund of Funds Risk | X | X | ||||||||||||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Leveraging Risk | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Market Risk – Fixed Income | X | X | ||||||||||||||||||||
Merger Arbitrage Risk | X | X | ||||||||||||||||||||
Non-Diversified Funds | X | X | X | X | X | X | X | |||||||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Small Company Risk | X | X | X | X | X | X | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
107
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad
108
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.
Asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many
109
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.
The use of derivatives involves risks that are potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.
110
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, inaccurate valuations may result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of a Fund’s net asset value.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. The SEC has proposed a rule under the 1940 Act, regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the
111
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
112
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”
Because Resources Fund concentrates its investments in the natural resources sector, it is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector are often more volatile (particularly in the short term) than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry-wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over the supplies they purchase and the products they sell, which can affect their profitability, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may take extended periods of time to complete, and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, companies in the natural resources sector can be especially
113
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, companies in the natural resources sector can be significantly affected by import controls, worldwide competition and cartels, and changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.
Because Climate Change Fund focuses its investments in securities of companies involved in climate change-related industries, the Fund will be more susceptible to events or factors affecting these companies, and the market prices of its portfolio securities may be more volatile than those of mutual funds that are more diversified. Climate Change Fund is particularly exposed to such developments as changes in global and regional climates, environmental protection regulatory actions, changes in government standards and subsidy levels, changes in taxation and other domestic and international political, regulatory and economic developments (such as potential cut-backs on funding for the Environmental Protection Agency and other policies and actions by the Trump administration). Companies involved in alternative fuels also may be adversely affected by the increased use of, or decreases in prices for, oil or other fossil fuels. In addition, scientific developments, such as breakthroughs in the remediation of global warming, and changes in governmental policies relating to the effects of pollution may affect investments in pollution control, which could in turn affect these companies. Such companies also may be significantly affected by technological changes in industries focusing on energy, pollution control and mitigation of global warming. Because society’s focus on climate change issues is relatively new, the emphasis and direction of governmental policies is subject to significant change, and rapid technological change could render even new approaches and products obsolete. Some companies involved in climate change-related industries are in the early stages of operation and have limited operating histories and smaller market capitalizations on average than companies in other sectors. As a result of these and other factors, the market prices of securities of companies involved in climate change-related industries tend to be considerably more volatile than those of companies in more established sectors and industries.
Because Risk Premium Fund may hold a limited number of options contracts relating to relatively few stock indices, the Fund is subject to focused investment risk.
• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, and may incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.
Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.
114
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.
Historically, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.
A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.
To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.
• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse
115
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated to compensate for the decline.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and may cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future changes in tax legislation and regulation.
For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong.
GMO relies on quantitative models in making investment decisions. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks
116
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. Considerable uncertainty exists over the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond. War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
117
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market price of their holdings will decline. Market risks include:
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.
Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.
The extent to which the market price of a fixed income investment changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
118
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk.”
In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. However, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.
• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.
If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.
Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Climate Change Fund |
• | Emerging Domestic Opportunities Fund |
• | Emerging Markets Fund |
• | Quality Fund |
• | Resources Fund |
• | Risk Premium Fund |
• | Tax-Managed International Equities Fund |
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S.
119
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Singapore tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.
Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).
The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.
• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.
120
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). While GMO expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
121
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2018, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Foreign Small | International Equity Fund | International Large/Mid Cap Equity Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities | U.S. Fund Allocation Fund) | ||||||||||||||||||||||||||||||
Forward currency contracts | ||||||||||||||||||||||||||||||||||||||||
Hedge foreign currency exposure in the underlying funds’ investments relative to the U.S. dollar | X | |||||||||||||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||||||||||||||
Adjust exposure to certain securities markets | X | X | X | X | X | X | X | |||||||||||||||||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | X | X | |||||||||||||||||||||||||||||||||||
Options (Written) | ||||||||||||||||||||||||||||||||||||||||
Substitute for direct equity investment | X | |||||||||||||||||||||||||||||||||||||||
Swap contracts | ||||||||||||||||||||||||||||||||||||||||
Substitute for direct equity investment | X | X | ||||||||||||||||||||||||||||||||||||||
Achieve returns comparable to holding and lending a direct equity position | X | X | ||||||||||||||||||||||||||||||||||||||
Rights and/or warrants | ||||||||||||||||||||||||||||||||||||||||
Received as a result of corporate actions | X | X | X | X | X | X | X |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
122
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.
123
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared
124
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 and the Statements of Operations for the period ended August 31, 2018^:
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Climate Change Fund | ||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 8 | $ | — | $ | — | $ | — | $ | 8 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 8 | $ | — | $ | — | $ | — | $ | 8 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 1,641,047 | $ | — | $ | — | $ | 1,641,047 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 1,641,047 | $ | — | $ | — | $ | 1,641,047 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 1,641,047 | $ | — | $ | — | $ | 1,641,047 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
125
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Domestic Opportunities Fund (continued) |
| |||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (2,116,950 | ) | $ | — | $ | — | $ | (2,116,950 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (512,178 | ) | — | — | — | (512,178 | ) | ||||||||||||||||
Swap Contracts, at value¤ | — | (915,351 | ) | — | — | — | (915,351 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (1,427,529 | ) | $ | (2,116,950 | ) | $ | — | $ | — | $ | (3,544,479 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (1,427,529 | ) | $ | (2,116,950 | ) | $ | — | $ | — | $ | (3,544,479 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 2,156,918 | $ | — | $ | — | $ | — | $ | 2,156,918 | ||||||||||||
Investments (fully funded total return swaps) | — | 8,328,170 | — | — | — | 8,328,170 | ||||||||||||||||||
Forward Currency Contracts | — | — | 1,448,654 | — | — | 1,448,654 | ||||||||||||||||||
Futures Contracts | — | (16,688,997 | ) | — | — | — | (16,688,997 | ) | ||||||||||||||||
Swap Contracts | — | 3,292,430 | — | — | — | 3,292,430 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (2,911,479 | ) | $ | 1,448,654 | $ | — | $ | — | $ | (1,462,825 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (1,789,923 | ) | $ | — | $ | — | $ | — | $ | (1,789,923 | ) | ||||||||||
Investments (fully funded total return swaps)¤ | — | (9,632,908 | ) | — | — | — | (9,632,908 | ) | ||||||||||||||||
Forward Currency Contracts | — | — | (2,831,675 | ) | — | — | (2,831,675 | ) | ||||||||||||||||
Futures Contracts | — | 624,073 | — | — | — | 624,073 | ||||||||||||||||||
Swap Contracts | — | (915,351 | ) | — | — | — | (915,351 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (11,714,109 | ) | $ | (2,831,675 | ) | $ | — | $ | — | $ | (14,545,784 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Swap Contracts, at value¤ | $ | — | $ | 770,262 | $ | — | $ | — | $ | — | $ | 770,262 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 770,262 | $ | — | $ | — | $ | — | $ | 770,262 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | 770,262 | $ | — | $ | — | $ | — | $ | 770,262 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | (20,827,310 | ) | $ | — | $ | — | $ | — | $ | (20,827,310 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (20,827,310 | ) | $ | — | $ | — | $ | — | $ | (20,827,310 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (20,827,310 | ) | $ | — | $ | — | $ | — | $ | (20,827,310 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | 5,417,937 | $ | — | $ | — | $ | — | $ | 5,417,937 | ||||||||||||
Swap Contracts | — | (1,933,685 | ) | — | — | — | (1,933,685 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 3,484,252 | $ | — | $ | — | $ | — | $ | 3,484,252 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (423,736 | ) | $ | — | $ | — | $ | — | $ | (423,736 | ) | ||||||||||
Futures Contracts | — | (38,650,166 | ) | — | — | — | (38,650,166 | ) | ||||||||||||||||
Swap Contracts | — | 334,321 | — | — | — | 334,321 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (38,739,581 | ) | $ | — | $ | — | $ | — | $ | (38,739,581 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
126
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Foreign Small Companies Fund | ||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | (4,801 | ) | $ | — | $ | — | $ | — | $ | (4,801 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (4,801 | ) | $ | — | $ | — | $ | — | $ | (4,801 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (4,801 | ) | $ | — | $ | — | $ | — | $ | (4,801 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | 56,936 | $ | — | $ | — | $ | — | $ | 56,936 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 56,936 | $ | — | $ | — | $ | — | $ | 56,936 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | 28,047 | $ | — | $ | — | $ | — | $ | 28,047 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 28,047 | $ | — | $ | — | $ | — | $ | 28,047 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | (323,533 | ) | $ | — | $ | — | $ | — | $ | (323,533 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (323,533 | ) | $ | — | $ | — | $ | — | $ | (323,533 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (323,533 | ) | $ | — | $ | — | $ | — | $ | (323,533 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 624,176 | $ | — | $ | — | $ | — | $ | 624,176 | ||||||||||||
Futures Contracts | — | 1,598,326 | — | — | — | 1,598,326 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 2,222,502 | $ | — | $ | — | $ | — | $ | 2,222,502 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | (318,157 | ) | $ | — | $ | — | $ | — | $ | (318,157 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (318,157 | ) | $ | — | $ | — | $ | — | $ | (318,157 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Large/Mid Cap Equity Fund |
| |||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | 218 | $ | — | $ | — | $ | — | $ | 218 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 218 | $ | — | $ | — | $ | — | $ | 218 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | 218 | $ | — | $ | — | $ | — | $ | 218 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 3,964 | $ | — | $ | — | $ | — | $ | 3,964 | ||||||||||||
Futures Contracts | — | (44,252 | ) | — | — | — | (44,252 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (40,288 | ) | $ | — | $ | — | $ | — | $ | (40,288 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | 24,622 | $ | — | $ | — | $ | — | $ | 24,622 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 24,622 | $ | — | $ | — | $ | — | $ | 24,622 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
127
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Resources Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 51,265 | $ | — | $ | — | $ | — | $ | 51,265 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 51,265 | $ | — | $ | — | $ | — | $ | 51,265 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 51,265 | $ | — | $ | — | $ | — | $ | 51,265 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 9,123 | $ | — | $ | — | $ | — | $ | 9,123 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 9,123 | $ | — | $ | — | $ | — | $ | 9,123 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 51,265 | $ | — | $ | — | $ | — | $ | 51,265 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 51,265 | $ | — | $ | — | $ | — | $ | 51,265 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Risk Premium Fund | ||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Written Options, at value | $ | — | $ | (3,171,260 | ) | $ | — | $ | — | $ | — | $ | (3,171,260 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (3,171,260 | ) | $ | — | $ | — | $ | — | $ | (3,171,260 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (3,171,260 | ) | $ | — | $ | — | $ | — | $ | (3,171,260 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Written Options | $ | — | $ | 20,185,755 | $ | — | $ | — | $ | — | $ | 20,185,755 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 20,185,755 | $ | — | $ | — | $ | — | $ | 20,185,755 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Written Options | $ | — | $ | 484,900 | $ | — | $ | — | $ | — | $ | 484,900 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 484,900 | $ | — | $ | — | $ | — | $ | 484,900 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Tax-Managed International Equities Fund |
| |||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 1,003 | $ | — | $ | — | $ | — | $ | 1,003 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,003 | $ | — | $ | — | $ | — | $ | 1,003 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 1,003 | $ | — | $ | — | $ | — | $ | 1,003 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | (20,885 | ) | $ | — | $ | — | $ | — | $ | (20,885 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (20,885 | ) | $ | — | $ | — | $ | — | $ | (20,885 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (20,885 | ) | $ | — | $ | — | $ | — | $ | (20,885 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 2,404 | $ | — | $ | — | $ | — | $ | 2,404 | ||||||||||||
Futures Contracts | — | (66,891 | ) | — | — | — | (66,891 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (64,487 | ) | $ | — | $ | — | $ | — | $ | (64,487 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
128
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Tax-Managed International Equities Fund (continued) |
| |||||||||||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (1,376 | ) | $ | — | $ | — | $ | — | $ | (1,376 | ) | ||||||||||
Futures Contracts | — | 25,864 | — | — | — | 25,864 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 24,488 | $ | — | $ | — | $ | — | $ | 24,488 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | 296,689 | $ | — | $ | — | $ | — | $ | 296,689 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 296,689 | $ | — | $ | — | $ | — | $ | 296,689 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | (74,241 | ) | $ | — | $ | — | $ | — | $ | (74,241 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (74,241 | ) | $ | — | $ | — | $ | — | $ | (74,241 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
¤ | The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities. |
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2018, if any.
129
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2018:
Emerging Domestic Opportunities Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Morgan Stanley & Co. International PLC | $ | 1,641,047 | $ | — | $ | 1,641,047 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,641,047 | $ | — | $ | 1,641,047 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Goldman Sachs International | $ | 915,351 | $ | (729,596 | ) | $ | — | $ | 185,755 | |||||||
Morgan Stanley & Co. International PLC | 2,116,950 | (475,903 | ) | (1,641,047 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,032,301 | $ | (1,205,499 | ) | $ | (1,641,047 | ) | $ | 185,755 | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Morgan Stanley & Co. International PLC | $ | 770,262 | $ | (410,000 | ) | $ | — | $ | 360,262 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 770,262 | $ | (410,000 | ) | $ | — | $ | 360,262 | |||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley & Co. LLC | $ | 3,171,260 | $ | (3,171,260 | ) | $ | — | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,171,260 | $ | (3,171,260 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
130
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/ or warrants) and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2018:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options (Contracts) | Rights and/or Warrants ($) | |||||||||||||||
Climate Change Fund | — | — | — | — | 4,343 | * | ||||||||||||||
Emerging Domestic Opportunities Fund | 149,915,848 | 107,608,105 | 41,579,308 | ** | — | 1,296,437 | ||||||||||||||
Emerging Markets Fund | — | 295,978,200 | 23,860,744 | ** | — | 99,537 | ||||||||||||||
Foreign Small Companies Fund | — | 498,380 | — | — | — | |||||||||||||||
International Equity Fund | — | 34,052,673 | — | — | 93,117 | |||||||||||||||
International Large/Mid Cap Equity Fund | — | 697,622 | — | — | 608 | |||||||||||||||
Resources Fund | — | — | — | — | 25,002 | |||||||||||||||
Risk Premium Fund | — | — | — | 1,928 | — | |||||||||||||||
Tax-Managed International Equities Fund | — | 875,927 | — | — | 1,288 | |||||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | — | 2,717,663 | — | — | — |
* | During the period ended August 31, 2018, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values. |
** | Includes fully funded total return swap average derivative activity for the period ended August 31, 2018. |
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Foreign Small Companies Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||||||||||||||||||||||||||
Management Fee | 0.60%(a) | 0.75% | 0.75%(b) | 0.60%(c) | 0.50% | 0.38% | 0.33% | 0.50% | 0.45% | 0.50% | 0.31% |
(a) | GMO has voluntarily agreed to reduce its annual management fee by 0.15% through December 31, 2018. |
(b) | GMO has contractually agreed to reduce, through at least June 30, 2019, its annual management fee to an annual rate of 0.65% of the fund’s average daily net asset value. |
(c) | Prior to June 30, 2017, the management fee was 0.70%. For the period from May 1, 2017 through July 31, 2017, GMO waived its management fee. |
131
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:
Fund Name | Class II | Class III | Class IV | Class V | Class VI | |||||||||||||||
Climate Change Fund | 0.15% | 0.10% | * | 0.085% | * | 0.055% | * | |||||||||||||
Emerging Domestic Opportunities Fund | 0.22% | 0.15% | 0.105% | 0.085% | 0.055% | * | ||||||||||||||
Emerging Markets Fund | 0.22% | 0.15% | 0.105% | 0.085% | 0.055% | |||||||||||||||
Foreign Small Companies Fund | 0.15% | 0.10% | * | |||||||||||||||||
International Equity Fund | 0.22% | 0.15% | 0.09% | |||||||||||||||||
International Large/Mid Cap Equity Fund | 0.15% | 0.09% | * | 0.055% | * | |||||||||||||||
Quality Fund | 0.15% | 0.105% | 0.085% | 0.055% | ||||||||||||||||
Resources Fund | 0.15% | 0.10% | 0.085% | * | 0.055% | * | ||||||||||||||
Risk Premium Fund | 0.15% | 0.10% | * | 0.085% | * | 0.055% | ||||||||||||||
Tax-Managed International Equities Fund | 0.15% | |||||||||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | 0.15% | 0.10% | 0.085% | 0.055% |
* | Class is offered but has no shareholders as of August 31, 2018. |
For each Fund, other than Climate Change Fund and Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund and Resources Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.
Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.
For Climate Change Fund and Resources Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Funds’ “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.
For the six month period ended August 31, 2018, GMO recouped the following previously recorded waivers and/or reimbursements.
Recoupment Amount ($) | ||||
Resources Fund | 53,546 |
132
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
On August 31, 2018, the waivers and/or reimbursements subject to possible future recoupment are as follows:
Expiring year ending February 28, 2019 | Expiring year ending February 29, 2020 | Expiring year ending February 28, 2021 | ||||||||||
Climate Change Fund, Class III | — | — | $60,800 | |||||||||
Resources Fund, Class III | — | — | — | |||||||||
Resources Fund, Class IV | — | — | $14,937 |
For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.
These contractual waivers and reimbursements will continue through at least June 30, 2019 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2018 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Climate Change Fund | 383 | 18 | ||||||
Emerging Domestic Opportunities Fund | 26,615 | 2,515 | ||||||
Emerging Markets Fund | 55,844 | 5,107 | ||||||
Foreign Small Companies Fund | 1,608 | 144 | ||||||
International Equity Fund | 56,331 | 5,290 | ||||||
International Large/Mid Cap Equity Fund | 789 | 20 | ||||||
Quality Fund | 89,927 | 8,406 | ||||||
Resources Fund | 4,057 | 374 | ||||||
Risk Premium Fund | 1,966 | 171 | ||||||
Tax-Managed International Equities Fund | 763 | 20 | ||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | 15,079 | 1,449 |
133
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2018 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Indirect Interest Expense | Total Indirect Expenses | ||||||||||||
Climate Change Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Emerging Domestic Opportunities Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Emerging Markets Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Foreign Small Companies Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
International Equity Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
International Large/Mid Cap Equity Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Quality Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Resources Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Risk Premium Fund | 0.000% | 0.000% | 0.000% | 0.000% | ||||||||||||
Tax-Managed International Equities Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | < 0.001% | 0.000% | 0.000% | < 0.001% |
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2018, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2018 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Climate Change Fund | — | 130,377,758 | — | 64,748,169 | ||||||||||||
Emerging Domestic Opportunities Fund | — | 2,677,084,861 | — | 3,010,554,891 | ||||||||||||
Emerging Markets Fund | — | 2,994,003,396 | — | 3,731,093,071 | ||||||||||||
Foreign Small Companies Fund | — | 15,524,132 | — | 133,296,539 | ||||||||||||
International Equity Fund | — | 1,191,775,814 | — | 1,888,173,840 | ||||||||||||
International Large/Mid Cap Equity Fund | — | 36,052,410 | — | 93,794,820 | ||||||||||||
Quality Fund | — | 835,428,637 | — | 2,415,053,685 | ||||||||||||
Resources Fund | — | 298,323,610 | — | 184,321,193 | ||||||||||||
Risk Premium Fund | 195,974,014 | — | 31,850,281 | — | ||||||||||||
Tax-Managed International Equities Fund | — | 15,700,293 | — | 26,815,783 | ||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | — | 653,067,305 | — | 810,539,536 |
134
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2018. In-kind transactions are noted in the table below:
Fund Name | Purchases ($) | Sales ($) | ||||||
Emerging Domestic Opportunities Fund | — | 69,588,804 | ||||||
International Equity Fund | — | 580,193,344 | ||||||
Quality Fund | — | 186,934,301 | ||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | — | 232,339,705 |
For the period ended August 31, 2018, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:
Fund Name | Net realized gains/(losses) attributed to redemption in-kind transactions ($) | |||
Emerging Domestic Opportunities Fund | 4,338,176 | |||
International Equity Fund | 128,714,535 | |||
Quality Fund | 73,748,233 | |||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | 35,493,518 |
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
135
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
8. | Principal shareholders and related parties as of August 31, 2018 |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Climate Change Fund | 2 | 46.89% | 20.09% | — | ||||||||||||
Emerging Domestic Opportunities Fund | — | — | 2.01% | — | ||||||||||||
Emerging Markets Fund | 3 | ¥ | 36.20% | 0.37% | 68.91% | |||||||||||
Foreign Small Companies Fund | 1 | 77.55% | 0.23% | — | ||||||||||||
International Equity Fund | 4 | § | 62.05% | 0.01% | 90.49% | |||||||||||
International Large/Mid Cap Equity Fund | 1 | 88.66% | — | — | ||||||||||||
Quality Fund | — | — | 0.27% | 15.17% | ||||||||||||
Resources Fund | 1 | ‡ | 14.17% | 4.82% | 14.17% | |||||||||||
Risk Premium Fund | 3 | ¥ | 95.37% | 0.09% | 99.81% | |||||||||||
Tax-Managed International Equities Fund | 4 | 68.14% | 0.15% | — | ||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | 3 | # | 64.67% | 0.04% | 97.51% |
# | Two of the shareholders are other funds of the Trust. |
¥ | Three of the shareholders are other funds of the Trust. |
§ | Four of the shareholders are other funds of the Trust. |
‡ | One of the shareholders is another fund managed by GMO. |
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Climate Change Fund | ||||||||||||||||
Class III:* | ||||||||||||||||
Shares sold | 2,745,405 | $ | 65,139,655 | 1,093,126 | $ | 23,929,134 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 31,904 | 742,715 | 28,235 | 655,616 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,777,309 | $ | 65,882,370 | 1,121,361 | $ | 24,584,750 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 1,403,923 | $ | 39,825,156 | 1,817,724 | $ | 49,043,727 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,329,884 | 53,354,353 | 272,286 | 7,617,993 | ||||||||||||
Shares repurchased | (5,695,986 | ) | (155,268,420 | ) | (4,486,864 | ) | (116,784,190 | ) | ||||||||
Purchase premiums | — | 28,182 | — | 74,964 | ||||||||||||
Redemption fees | — | 875,306 | — | 542,684 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,962,179 | ) | $ | (61,185,423 | ) | (2,396,854 | ) | $ | (59,504,822 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
136
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 2,424,051 | $ | 65,256,647 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 417,466 | 9,559,964 | 60,784 | 1,697,769 | ||||||||||||
Shares repurchased | (718,854 | ) | (20,120,725 | ) | (1,551,984 | ) | (41,407,143 | ) | ||||||||
Purchase premiums | — | 6,784 | — | 14,320 | ||||||||||||
Redemption fees | — | 231,185 | — | 104,186 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,122,663 | $ | 54,933,855 | (1,491,200 | ) | $ | (39,590,868 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | — | $ | — | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,244,211 | 28,517,315 | 151,953 | 4,239,893 | ||||||||||||
Shares repurchased | (2,190,732 | ) | (50,080,128 | ) | (4,539,880 | ) | (123,386,543 | ) | ||||||||
Purchase premiums | — | 13,628 | — | 37,899 | ||||||||||||
Redemption fees | — | 444,412 | — | 274,132 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (946,521 | ) | $ | (21,104,773 | ) | (4,387,927 | ) | $ | (118,834,619 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | 1,820,723 | $ | 41,577,280 | 2,321,991 | $ | 57,701,679 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,536,048 | 103,875,493 | 598,836 | 16,696,891 | ||||||||||||
Shares repurchased | (15,409,292 | )(a) | (370,471,027 | )(a) | (422,783 | ) | (12,691,594 | ) | ||||||||
Purchase premiums | — | 51,127 | — | 132,470 | ||||||||||||
Redemption fees | — | 1,473,146 | — | 962,652 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (9,052,521 | ) | $ | (223,493,981 | ) | 2,498,044 | $ | 62,802,098 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI:‡ | ||||||||||||||||
Shares sold | 546,851 | $ | 12,564,071 | |||||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | ||||||||||||||
Shares repurchased | (1,215,116 | ) | (28,809,003 | ) | ||||||||||||
Purchase premiums | — | 48 | ||||||||||||||
Redemption fees | — | 2,069 | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (668,265 | ) | $ | (16,242,815 | ) | |||||||||||
|
|
|
| |||||||||||||
Emerging Markets Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 382,834 | $ | 12,777,308 | 2,144,525 | $ | 76,615,465 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 14,201 | 468,615 | 298,236 | 10,137,847 | ||||||||||||
Shares repurchased | (2,348,742 | ) | (82,395,380 | ) | (5,901,364 | ) | (198,656,462 | ) | ||||||||
Purchase premiums | — | 31,745 | — | 412,144 | ||||||||||||
Redemption fees | — | 648,205 | — | 1,199,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,951,707 | ) | $ | (68,469,507 | ) | (3,458,603 | ) | $ | (110,291,956 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: | ||||||||||||||||
Shares sold | 15,971 | $ | 548,072 | 5,262,213 | $ | 189,034,182 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 9,820 | 324,942 | 160,773 | 5,490,307 | ||||||||||||
Shares repurchased | (1,550,530 | ) | (54,338,512 | ) | (4,761,245 | ) | (152,016,265 | ) | ||||||||
Purchase premiums | — | 26,110 | — | 163,459 | ||||||||||||
Redemption fees | — | 525,931 | — | 573,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,524,739 | ) | $ | (52,913,457 | ) | 661,741 | $ | 43,245,537 | ||||||||
|
|
|
|
|
|
|
| |||||||||
137
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Markets Fund (continued) | ||||||||||||||||
Class IV: | ||||||||||||||||
Shares sold | — | $ | — | 12,287,373 | $ | 414,505,112 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 200,918 | 6,727,048 | ||||||||||||
Shares repurchased | (10,644,250 | ) | (365,097,799 | ) | (18,629,708 | ) | (647,014,911 | ) | ||||||||
Purchase premiums | — | 23,230 | — | 616,336 | ||||||||||||
Redemption fees | — | 244,606 | — | 1,577,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,644,250 | ) | $ | (364,829,963 | ) | (6,141,417 | ) | $ | (223,589,042 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | 516,683 | $ | 17,513,705 | 913,530 | $ | 29,688,750 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 10,311 | 336,961 | 124,905 | 4,213,667 | ||||||||||||
Shares repurchased | (512,064 | ) | (16,391,163 | ) | (10,910 | ) | (389,825 | ) | ||||||||
Purchase premiums | — | 13,742 | — | 124,417 | ||||||||||||
Redemption fees | — | 283,815 | — | 354,662 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 14,930 | $ | 1,757,060 | 1,027,525 | $ | 33,991,671 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 12,862,348 | $ | 437,841,910 | 14,003,693 | $ | 460,981,387 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 182,383 | 5,974,874 | 2,950,428 | 99,601,307 | ||||||||||||
Shares repurchased | (23,167,070 | ) | (783,782,106 | ) | (36,424,149 | ) | (1,211,074,646 | ) | ||||||||
Purchase premiums | — | 258,349 | — | 2,981,424 | ||||||||||||
Redemption fees | — | 5,313,713 | — | 8,857,454 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,122,339 | ) | $ | (334,393,260 | ) | (19,470,028 | ) | $ | (638,653,074 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Small Companies Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 278,363 | $ | 3,698,515 | 1,205,904 | $ | 18,448,098 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 565,882 | 7,279,296 | 1,155,505 | 17,572,868 | ||||||||||||
Shares repurchased | (2,992,472 | ) | (37,169,241 | ) | (15,628,838 | )(b) | (245,691,422 | )(b) | ||||||||
Purchase premiums | — | 2,500 | — | 1,984 | ||||||||||||
Redemption fees | — | 500,497 | — | 396,995 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,148,227 | ) | $ | (25,688,433 | ) | (13,267,429 | ) | $ | (209,271,477 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:‡‡ | ||||||||||||||||
Shares sold | — | $ | — | 4,509,349 | $ | 70,616,166 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 357,739 | 4,785,668 | 2,798,225 | 42,386,751 | ||||||||||||
Shares repurchased | (6,662,855 | ) | (88,401,324 | ) | (40,727,929 | )(c) | (627,887,398 | )(c) | ||||||||
Purchase premiums | — | — | — | 5,741 | ||||||||||||
Redemption fees | — | 111,351 | — | 824,581 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,305,116 | ) | $ | (83,504,305 | ) | (33,420,355 | ) | $ | (514,054,159 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 2,557 | $ | 57,696 | 489,231 | $ | 11,146,918 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,474 | 77,458 | 15,844 | 367,095 | ||||||||||||
Shares repurchased | (64,179 | ) | (1,509,895 | ) | (11,060 | ) | (259,126 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (58,148 | ) | $ | (1,374,741 | ) | 494,015 | $ | 11,254,887 | ||||||||
|
|
|
|
|
|
|
| |||||||||
138
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund (continued) | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,183,775 | $ | 27,155,977 | 5,618,387 | $ | 134,845,293 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 131,741 | 2,974,721 | 676,948 | 15,748,936 | ||||||||||||
Shares repurchased | (682,668 | ) | (15,510,636 | ) | (21,799,987 | ) | (490,728,694 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 632,848 | $ | 14,620,062 | (15,504,652 | ) | $ | (340,134,465 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 3,778,448 | $ | 86,694,851 | 8,188,636 | $ | 186,191,569 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,053,700 | 23,750,403 | 6,749,246 | 156,837,529 | ||||||||||||
Shares repurchased | (38,471,833 | )(d) | (896,630,535 | )(d) | (72,887,892 | ) | (1,667,210,560 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (33,639,685 | ) | $ | (786,185,281 | ) | (57,950,010 | ) | $ | (1,324,181,462 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 33,809 | $ | 857,442 | 2,952,020 | $ | 78,517,708 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 323,566 | 7,341,579 | 19,019 | 497,829 | ||||||||||||
Shares repurchased | (2,549,691 | ) | (59,503,747 | ) | (1,428,325 | ) | (37,475,512 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,192,316 | ) | $ | (51,304,726 | ) | 1,542,714 | $ | 41,540,025 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:‡‡ | ||||||||||||||||
Shares sold | — | $ | — | 25,357 | $ | 667,693 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 286 | 7,293 | 524,624 | 13,754,556 | ||||||||||||
Shares repurchased | (29,812 | ) | (766,505 | ) | (6,273,065 | ) | (167,412,155 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (29,526 | ) | $ | (759,212 | ) | (5,723,084 | ) | $ | (152,989,906 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI:‡ | ||||||||||||||||
Shares issued to shareholders in reinvestment of distributions | — | $ | — | |||||||||||||
Shares repurchased | (23,527 | ) | (616,556 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (23,527 | ) | $ | (616,556 | ) | |||||||||||
|
|
|
| |||||||||||||
Quality Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 4,999,255 | $ | 127,675,060 | 9,569,371 | $ | 233,792,192 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,915,586 | 122,594,705 | 9,710,900 | 236,338,887 | ||||||||||||
Shares repurchased | (29,386,790 | ) | (741,984,334 | ) | (41,778,688 | ) | (994,664,619 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (19,471,949 | ) | $ | (491,714,569 | ) | (22,498,417 | ) | $ | (524,533,540 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 10,469,920 | $ | 266,668,875 | 2,687,351 | $ | 65,544,766 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,400,223 | 34,977,580 | 3,024,905 | 73,674,810 | ||||||||||||
Shares repurchased | (5,487,538 | ) | (137,623,943 | ) | (23,049,188 | ) | (543,039,198 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,382,605 | $ | 164,022,512 | (17,336,932 | ) | $ | (403,819,622 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | 239,817 | $ | 5,820,348 | 15,240,672 | $ | 355,202,520 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 277,665 | 6,936,060 | 753,632 | 18,275,903 | ||||||||||||
Shares repurchased | (377,095 | ) | (10,008,070 | ) | (30,753,264 | ) | (742,878,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 140,387 | $ | 2,748,338 | (14,758,960 | ) | $ | (369,399,954 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
139
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Quality Fund (continued) | ||||||||||||||||
Class VI: |
| |||||||||||||||
Shares sold | 2,258,052 | $ | 56,219,211 | 29,403,277 | $ | 709,386,725 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,267,320 | 106,426,965 | 11,410,443 | 277,711,590 | ||||||||||||
Shares repurchased | (49,268,309 | )(e) | (1,258,926,842 | )(e) | (51,435,726 | ) | (1,236,751,765 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (42,742,937 | ) | $ | (1,096,280,666 | ) | (10,622,006 | ) | $ | (249,653,450 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 3,362,415 | $ | 69,698,482 | 1,468,960 | $ | 30,964,916 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 56,304 | 1,180,123 | 48,976 | 868,248 | ||||||||||||
Shares repurchased | (68,504 | ) | (1,425,015 | ) | (234,190 | ) | (4,012,036 | ) | ||||||||
Purchase premiums | — | 64,593 | — | 43,889 | ||||||||||||
Redemption fees | — | 622 | — | 16,475 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,350,215 | $ | 69,518,805 | 1,283,746 | $ | 27,881,492 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 1,869,732 | $ | 39,919,557 | 5,366,277 | $ | 102,162,843 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 189,479 | 3,958,221 | 549,915 | 9,781,398 | ||||||||||||
Shares repurchased | (46,839 | ) | (1,000,000 | ) | (2,712,619 | ) | (52,821,227 | ) | ||||||||
Purchase premiums | — | 262,056 | — | 351,383 | ||||||||||||
Redemption fees | — | 3,465 | — | 156,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,012,372 | $ | 43,143,299 | 3,203,573 | $ | 59,630,694 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 594,623 | $ | 16,138,183 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 439 | 12,004 | 25,484 | 724,208 | ||||||||||||
Shares repurchased | (719 | ) | (19,481 | ) | (65,778 | ) | (1,906,884 | ) | ||||||||
Purchase premiums | — | 1 | — | 122 | ||||||||||||
Redemption fees | — | 364 | — | 1,284 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 594,343 | $ | 16,131,071 | (40,294 | ) | $ | (1,181,270 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 16,009,368 | $ | 436,903,057 | 122,003 | $ | 3,443,846 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 17,752 | 488,192 | 845,070 | 24,004,565 | ||||||||||||
Shares repurchased | (3,868,755 | ) | (106,418,583 | ) | (844,262 | ) | (25,708,492 | ) | ||||||||
Purchase premiums | — | 27 | — | 5,052 | ||||||||||||
Redemption fees | — | 14,461 | — | 40,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 12,158,365 | $ | 330,987,154 | 122,811 | $ | 1,785,110 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 34,844 | $ | 588,984 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 87,480 | 1,364,580 | 118,562 | 1,953,043 | ||||||||||||
Shares repurchased | (682,577 | ) | (11,596,425 | ) | (4,210,695 | ) | (70,417,290 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (595,097 | ) | $ | (10,231,845 | ) | (4,057,289 | ) | $ | (67,875,263 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
140
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 84,910 | $ | 1,237,983 | 1,426,974 | $ | 22,200,337 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 422,457 | 6,125,631 | 503,101 | 7,560,282 | ||||||||||||
Shares repurchased | (88,781 | ) | (1,357,533 | ) | (4,161,819 | ) | (62,443,147 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 418,586 | $ | 6,006,081 | (2,231,744 | ) | $ | (32,682,528 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 12,309 | $ | 188,592 | 4,181,151 | $ | 64,392,213 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 201,925 | 2,929,931 | 221,349 | 3,311,107 | ||||||||||||
Shares repurchased | — | — | (3,169,071 | ) | (49,096,124 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 214,234 | $ | 3,118,523 | 1,233,429 | $ | 18,607,196 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | 292,730 | $ | 4,423,147 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 365,248 | 5,270,521 | 953,644 | 14,275,839 | ||||||||||||
Shares repurchased | (426,470 | ) | (6,333,073 | ) | (7,929,615 | ) | (121,076,853 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 231,508 | $ | 3,360,595 | (6,975,971 | ) | $ | (106,801,014 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 491,745 | $ | 7,216,011 | 3,148,627 | $ | 46,726,515 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,899,200 | 70,499,485 | 9,856,724 | 147,659,798 | ||||||||||||
Shares repurchased | (26,844,454 | )(f) | (413,292,811 | )(f) | (32,244,150 | ) | (489,038,891 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (21,453,509 | ) | $ | (335,577,315 | ) | (19,238,799 | ) | $ | (294,652,578 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
* | The period under the heading “Year Ended February 28, 2018” represents the period from April 5, 2017 (commencement of operations) through February 28, 2018. |
‡ | Class VI liquidated on March 29, 2017. |
‡‡ | Class IV liquidated on May 2, 2018. |
(a) | 2,739,717 shares and $69,588,804 were redeemed in-kind by affiliates. |
(b) | 2,421,878 shares and $37,805,522 were redeemed in-kind by affiliates. |
(c) | 32,418,183 shares and $503,881,179 were redeemed in-kind by affiliates. |
(d) | 24,923,605 shares and $580,193,344 were redeemed in-kind by affiliates. |
(e) | 7,279,373 shares and $186,934,301 were redeemed in-kind by affiliates. |
(f) | 14,819,129 shares and $232,339,705 were redeemed in-kind by affiliates. |
10. | 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 August 31, 2018 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | |||||||||||||||||||||
Climate Change Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 751,549 | $ | 54,807,746 | $ | 53,896,000 | $ | 22,745 | $ | 1,564 | $ | 300 | $ | 1,665,159 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
141
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | |||||||||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||||||
CMI Ltd | $ | 4,657,808 | $ | — | $ | 15,696 | $ | — | $ | (5,059 | ) | $ | (1,606,411 | ) | $ | 3,030,642 | ||||||||||||
Gayatri Highways Ltd | 1,147,898 | — | — | — | — | (831,592 | ) | — | # | |||||||||||||||||||
Gayatri Projects Ltd | 34,529,636 | 3,618,675 | 1,861,829 | — | 1,562,974 | (5,376,079 | ) | 32,473,377 | ||||||||||||||||||||
GMO U.S. Treasury Fund | 130,824,583 | 426,065,696 | 501,090,000 | 1,065,696 | 9,519 | 45,929 | 55,855,727 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ | 171,159,925 | $ | 429,684,371 | $ | 502,967,525 | $ | 1,065,696 | $ | 1,567,434 | $ | (7,768,153 | ) | $ | 91,359,746 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||||||
Anilana Hotels & Properties Ltd | $ | 788,630 | $ | — | $ | — | $ | — | $ | — | $ | 46,063 | $ | 834,693 | ||||||||||||||
Gayatri Highways Ltd | 1,802,252 | — | — | — | — | (1,305,638 | ) | 496,614 | ||||||||||||||||||||
Gayatri Projects Ltd | 54,213,078 | — | — | — | — | (4,932,529 | ) | 49,280,549 | ||||||||||||||||||||
GMO U.S. Treasury Fund | 97,620,412 | 790,625,862 | 803,760,000 | 637,499 | 17,367 | 5,018 | 84,508,659 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ | 154,424,372 | $ | 790,625,862 | $ | 803,760,000 | $ | 637,499 | $ | 17,367 | $ | (6,187,086 | ) | $ | 135,120,515 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Foreign Small Companies Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 1,595,796 | $ | 7,748,600 | $ | 8,705,000 | $ | 8,601 | $ | (68 | ) | $ | — | $ | 639,328 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
International Equity Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 61,069,100 | $ | 240,760,000 | $ | 279,500,000 | $ | 496,061 | $ | (806 | ) | $ | 15,646 | $ | 22,343,940 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 1,181,128 | $ | 27,000,001 | $ | 27,700,000 | $ | 9,235 | $ | (4,142 | ) | $ | 726 | $ | 477,713 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Quality Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 51,092,040 | $ | 76,000,000 | $ | 76,000,000 | $ | 507,894 | $ | (22,597 | ) | $ | 24,902 | $ | 51,094,345 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Resources Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 6,504,509 | $ | 101,680,000 | $ | 97,550,000 | $ | 88,516 | $ | 2,131 | $ | 3,930 | $ | 10,640,570 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 1,066,810 | $ | 8,830,000 | $ | 8,895,000 | $ | 9,503 | $ | (331 | ) | $ | 504 | $ | 1,001,983 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 7,460,010 | $ | 91,300,000 | $ | 89,690,000 | $ | 86,242 | $ | (889 | ) | $ | 2,988 | $ | 9,072,109 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
# | No longer an affiliated at period end. |
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through August 31, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019. |
142
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
11. | Subsequent Events |
Effective October 1, 2018, Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) has agreed to irrevocably reduce GMO Risk Premium Fund’s (the “Fund”) management fee to an annual rate of 0.25% of the Fund’s average daily net assets (a reduction of 0.20%).
GMO has contractually agreed to waive its fees and/or reimburse GMO Climate Change Fund (the “Fund”) to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; and 0.675% for Class VI shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap. GMO also has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. Management fees and shareholder service fees will not be waived below zero. The reimbursement and waiver arrangements described above, including the Expense Cap, will remain in effect through September 25, 2019, and may not be terminated prior to such date without the action or consent of the Trust’s Board of Trustees.
GMO International Large/Mid Cap Equity Fund is scheduled to liquidate on October 31, 2018.
143
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2018 (Unaudited)
GMO Climate Change Fund
Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel
144
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Emerging Domestic Opportunities Fund
Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund.
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management and sub-advisory agreements of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fee payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by the Manager out of the Manager’s management fee and not directly by the Fund.
145
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management and sub-advisory agreements were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.
GMO Emerging Markets Fund
Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Markets Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund.
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management and sub-advisory agreements of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
146
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fee payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by the Manager out of the Manager’s management fee and not directly by the Fund.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management and sub-advisory agreements were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.
GMO Foreign Small Companies Fund
Approval of renewal of management agreement for GMO Foreign Small Companies Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
147
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
148
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
GMO International Equity Fund
Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s
149
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO International Large/Mid Cap Equity Fund
Approval of renewal of management agreement for GMO International Large/Mid Cap Equity Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
150
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Quality Fund
Approval of renewal of management agreement for GMO Quality Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed
151
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Resources Fund
Approval of renewal of management agreement for GMO Resources Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
152
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Risk Premium Fund
Approval of renewal of management agreement for GMO Risk Premium Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the
153
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Tax-Managed International Equities Fund
Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
154
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
155
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO U.S. Equity Fund
Approval of renewal of management agreement for GMO U.S. Equity Fund (formerly, GMO U.S. Equity Allocation Fund) (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any
156
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel, and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
157
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2018 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2018.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2018 through August 31, 2018.
Actual Expenses
This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Climate Change Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $966.00 | $3.57 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $849.50 | $4.89 | $1,000.00 | $1,019.91 | $5.35 | 1.05% | |||||||||||||||||||||
Class III | $1,000.00 | $850.00 | $4.57 | $1,000.00 | $1,020.27 | $4.99 | 0.98% | |||||||||||||||||||||
Class IV | $1,000.00 | $850.10 | $4.34 | $1,000.00 | $1,020.52 | $4.74 | 0.93% | |||||||||||||||||||||
Class V | $1,000.00 | $850.30 | $4.24 | $1,000.00 | $1,020.62 | $4.63 | 0.91% | |||||||||||||||||||||
Emerging Markets Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $888.50 | $4.43 | $1,000.00 | $1,020.52 | $4.74 | 0.93% | |||||||||||||||||||||
Class III | $1,000.00 | $888.90 | $4.19 | $1,000.00 | $1,020.77 | $4.48 | 0.88% | |||||||||||||||||||||
Class IV | $1,000.00 | $889.00 | $3.90 | $1,000.00 | $1,021.07 | $4.18 | 0.82% | |||||||||||||||||||||
Class V | $1,000.00 | $889.20 | $3.71 | $1,000.00 | $1,021.27 | $3.97 | 0.78% | |||||||||||||||||||||
Class VI | $1,000.00 | $889.20 | $3.57 | $1,000.00 | $1,021.42 | $3.82 | 0.75% | |||||||||||||||||||||
Foreign Small Companies Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $970.50 | $6.41 | $1,000.00 | $1,018.70 | $6.56 | 1.29% | |||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $938.00 | $3.52 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Class III | $1,000.00 | $938.20 | $3.18 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
Class IV | $1,000.00 | $938.70 | $2.88 | $1,000.00 | $1,022.23 | $3.01 | 0.59% | |||||||||||||||||||||
International Large/Mid Cap Equity Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $950.30 | $6.05 | $1,000.00 | $1,019.00 | $6.26 | 1.23% |
158
GMO Trust Funds
(A Series of GMO Trust)
Fund Expenses — (Continued)
August 31, 2018 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Quality Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,099.70 | $2.54 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,099.80 | $2.33 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
Class V | $1,000.00 | $1,100.30 | $2.22 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,100.10 | $2.06 | $1,000.00 | $1,023.24 | $1.99 | 0.39% | |||||||||||||||||||||
Resources Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $978.90 | $3.74 | $1,000.00 | $1,021.42 | $3.82 | 0.75% | |||||||||||||||||||||
Class IV | $1,000.00 | $978.70 | $3.54 | $1,000.00 | $1,021.63 | $3.62 | 0.71% | |||||||||||||||||||||
Risk Premium Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,057.80 | $3.11 | $1,000.00 | $1,022.18 | $3.06 | 0.60% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,058.70 | $2.65 | $1,000.00 | $1,022.64 | $2.60 | 0.51% | |||||||||||||||||||||
Tax-Managed International Equities Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $925.60 | $3.64 | $1,000.00 | $1,021.42 | $3.82 | 0.75% | |||||||||||||||||||||
U.S. Equity Fund (formerly U.S. Equity Allocation Fund) |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,050.60 | $2.38 | $1,000.00 | $1,022.89 | $2.35 | 0.46% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,051.50 | $2.12 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class V | $1,000.00 | $1,051.00 | $2.07 | $1,000.00 | $1,023.19 | $2.04 | 0.40% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,051.30 | $1.91 | $1,000.00 | $1,023.34 | $1.89 | 0.37% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2018, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
159
GMO Trust
Semiannual Report
August 31, 2018
Alpha Only 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
SGM Major Markets Fund
Special Opportunities Fund
Strategic Opportunities Allocation Fund
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at
www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, market risk-asset backed securities, credit risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
1 | ||||
2 | ||||
11 | ||||
12 | ||||
13 | ||||
14 | ||||
38 | ||||
39 | ||||
40 | ||||
41 | ||||
42 | ||||
43 | ||||
44 | ||||
46 | ||||
76 | ||||
77 | ||||
78 | ||||
79 | ||||
80 | ||||
81 | ||||
84 | ||||
85 | ||||
86 | ||||
87 | ||||
95 | ||||
96 | ||||
102 | ||||
105 | ||||
111 | ||||
124 | ||||
187 | ||||
202 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 88.0 | % | ||
Short-Term Investments | 6.5 | |||
Mutual Funds | 6.3 | |||
Preferred Stocks | 1.0 | |||
Forward Currency Contracts | 0.3 | |||
Rights/Warrants | 0.0 | ^ | ||
Futures Contracts | (3.6 | ) | ||
Other | 1.5 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to future contracts based on notional amounts are (89.3)% of net assets. |
^ | Rounds to 0.0%. |
1
GMO Alpha Only Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 88.0% |
| |||||||||
Australia — 0.9% |
| |||||||||
9,534 | AusNet Services | 11,300 | ||||||||
2,998 | Australia & New Zealand Banking Group Ltd | 63,710 | ||||||||
2,064 | Brickworks Ltd | 25,973 | ||||||||
6,771 | Caltex Australia Ltd | 147,136 | ||||||||
340 | CIMIC Group Ltd | 12,059 | ||||||||
1,954 | Crown Resorts Ltd | 19,982 | ||||||||
7,034 | CSR Ltd | 21,807 | ||||||||
5,206 | GPT Group (The) (REIT) | 19,365 | ||||||||
16,536 | Insurance Australia Group Ltd | 91,899 | ||||||||
5,758 | Mineral Resources Ltd | 62,721 | ||||||||
52,317 | Mirvac Group (REIT) | 91,660 | ||||||||
10,897 | Nine Entertainment Co Holdings Ltd | 18,934 | ||||||||
7,145 | Sandfire Resources NL | 36,433 | ||||||||
129,686 | Scentre Group (REIT) | 383,953 | ||||||||
4,839 | Westpac Banking Corp | 99,383 | ||||||||
|
| |||||||||
Total Australia | 1,106,315 | |||||||||
|
| |||||||||
Austria — 0.3% |
| |||||||||
4,498 | OMV AG | 238,470 | ||||||||
1,003 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 27,353 | ||||||||
1,729 | voestalpine AG | 77,716 | ||||||||
951 | Zumtobel Group AG * | 7,641 | ||||||||
|
| |||||||||
Total Austria | 351,180 | |||||||||
|
| |||||||||
Belgium — 0.1% |
| |||||||||
3,708 | AGFA-Gevaert NV * | 16,283 | ||||||||
168 | Barco NV | 23,118 | ||||||||
682 | KBC Group NV | 48,490 | ||||||||
|
| |||||||||
Total Belgium | 87,891 | |||||||||
|
| |||||||||
Brazil — 2.2% |
| |||||||||
45,239 | Banco Bradesco SA | 278,891 | ||||||||
19,600 | Banco do Brasil SA | 144,843 | ||||||||
89,400 | Banco Santander Brasil SA | 759,431 | ||||||||
12,800 | Centrais Eletricas Brasileiras SA * | 49,716 | ||||||||
65,200 | Cia de Saneamento Basico do Estado de Sao Paulo | 390,582 | ||||||||
4,400 | Cia de Saneamento Basico do Estado de Sao Paulo ADR | 26,444 | ||||||||
10,100 | Cia de Saneamento de Minas Gerais-COPASA | 103,849 | ||||||||
295,200 | JBS SA | 681,270 | ||||||||
3,800 | Mahle-Metal Leve SA | 23,538 | ||||||||
5,600 | MRV Engenharia e Participacoes SA | 17,873 | ||||||||
5,154 | Sul America SA | 29,066 | ||||||||
16,900 | Via Varejo SA | 70,121 | ||||||||
|
| |||||||||
Total Brazil | 2,575,624 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Chile — 0.0% |
| |||||||||
1,237 | Cia Cervecerias Unidas SA | 16,307 | ||||||||
|
| |||||||||
China — 12.1% |
| |||||||||
442,000 | Agile Group Holdings Ltd | 722,926 | ||||||||
2,367,000 | Agricultural Bank of China Ltd – Class H | 1,146,992 | ||||||||
56,000 | BAIC Motor Corp Ltd – Class H | 47,116 | ||||||||
1,020,000 | Bank of China Ltd – Class H | 458,344 | ||||||||
679,000 | Bank of Communications Co Ltd – Class H | 490,699 | ||||||||
133,000 | China Cinda Asset Management Co Ltd – Class H | 34,425 | ||||||||
971,000 | China CITIC Bank Corp Ltd – Class H | 606,669 | ||||||||
408,000 | China Communications Services Corp Ltd – Class H | 338,024 | ||||||||
479,000 | China Construction Bank Corp – Class H | 421,873 | ||||||||
4,000 | China Everbright Ltd | 7,011 | ||||||||
566,000 | China Huarong Asset Management Co Ltd – Class H | 117,661 | ||||||||
91,000 | China Lesso Group Holdings Ltd | 52,516 | ||||||||
35,000 | China Lilang Ltd | 38,822 | ||||||||
400 | China Mobile Ltd Sponsored ADR | 19,196 | ||||||||
1,504,000 | China Petroleum & Chemical Corp – Class H | 1,513,304 | ||||||||
62,000 | China Pioneer Pharma Holdings Ltd | 15,407 | ||||||||
637,000 | China Railway Construction Corp Ltd – Class H | 770,596 | ||||||||
327,000 | China Railway Group Ltd – Class H | 282,619 | ||||||||
182,500 | China Resources Pharmaceutical Group Ltd | 292,053 | ||||||||
52,000 | China SCE Group Holdings Ltd | 23,343 | ||||||||
338,000 | China Shenhua Energy Co Ltd – Class H | 754,923 | ||||||||
54,000 | China Shineway Pharmaceutical Group Ltd | 76,311 | ||||||||
2,126,000 | China Telecom Corp Ltd – Class H | 999,863 | ||||||||
52,000 | China Travel International Investment Hong Kong Ltd | 16,907 | ||||||||
6,200 | China Vanke Co Ltd – Class H | 21,510 | ||||||||
1,200 | China Yuchai International Ltd | 24,132 | ||||||||
466,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 251,351 | ||||||||
99,000 | Dah Chong Hong Holdings Ltd | 43,055 | ||||||||
626,000 | Dongfeng Motor Group Co Ltd – Class H | 699,791 | ||||||||
21,000 | Far East Horizon Ltd | 19,877 | ||||||||
272,400 | Guangzhou R&F Properties Co Ltd – Class H | 550,487 | ||||||||
250,000 | Haier Electronics Group Co Ltd * | 651,963 | ||||||||
16,000 | Harbin Electric Co Ltd – Class H | 5,034 | ||||||||
66,000 | Hua Hong Semiconductor Ltd | 180,206 | ||||||||
107,000 | Kingboard Holdings Ltd | 380,909 | ||||||||
114,000 | Kingboard Laminates Holdings Ltd | 107,781 | ||||||||
16,000 | Lee & Man Paper Manufacturing Ltd | 15,352 | ||||||||
565,000 | Lonking Holdings Ltd | 194,530 | ||||||||
43,000 | Nexteer Automotive Group Ltd | 72,530 | ||||||||
84,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 36,437 |
2 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
335,000 | Postal Savings Bank of China Co Ltd – Class H | 197,456 | ||||||||
21,000 | Road King Infrastructure Ltd | 35,680 | ||||||||
19,000 | Shandong Chenming Paper Holdings Ltd – Class H | 13,208 | ||||||||
52,000 | Shanghai Industrial Holdings Ltd | 123,987 | ||||||||
18,800 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 49,384 | ||||||||
282,500 | Shimao Property Holdings Ltd | 843,650 | ||||||||
17,000 | Sinotruk Hong Kong Ltd | 25,390 | ||||||||
78,000 | Tianneng Power International Ltd | 96,952 | ||||||||
17,000 | Uni-President China Holdings Ltd | 16,752 | ||||||||
341,000 | Weichai Power Co Ltd – Class H | 361,652 | ||||||||
63,500 | XTEP International Holdings Ltd | 42,427 | ||||||||
156,000 | Yuzhou Properties Co Ltd | 83,014 | ||||||||
4,000 | Zhejiang Expressway Co Ltd – Class H | 3,176 | ||||||||
|
| |||||||||
Total China | 14,395,273 | |||||||||
|
| |||||||||
Colombia — 0.0% |
| |||||||||
10,111 | Ecopetrol SA | 11,352 | ||||||||
|
| |||||||||
Czech Republic — 0.0% |
| |||||||||
4,446 | Moneta Money Bank AS | 15,540 | ||||||||
|
| |||||||||
Denmark — 0.0% |
| |||||||||
94 | Schouw & Co AB | 7,432 | ||||||||
|
| |||||||||
Egypt — 0.0% |
| |||||||||
15,874 | Talaat Moustafa Group | 10,410 | ||||||||
|
| |||||||||
Finland — 0.4% |
| |||||||||
3,665 | Fortum Oyj | 92,764 | ||||||||
337 | Kesko Oyj – B Shares | 19,631 | ||||||||
336 | Metso Oyj | 11,800 | ||||||||
682 | Neste Oyj | 59,213 | ||||||||
518 | Orion Oyj – Class B | 19,050 | ||||||||
4,248 | Stora Enso Oyj – R Shares | 79,064 | ||||||||
4,918 | UPM-Kymmene Oyj | 189,709 | ||||||||
|
| |||||||||
Total Finland | 471,231 | |||||||||
|
| |||||||||
France — 1.5% |
| |||||||||
181 | ArcelorMittal | 5,459 | ||||||||
1,546 | AXA SA | 38,960 | ||||||||
1,891 | BNP Paribas SA | 111,329 | ||||||||
157 | Casino Guichard Perrachon SA | 5,001 | ||||||||
4,026 | CNP Assurances | 93,052 | ||||||||
2,131 | Coface SA | 19,993 | ||||||||
22 | Covivio (REIT) | 2,301 | ||||||||
8,640 | Credit Agricole SA | 118,217 | ||||||||
374 | Kaufman & Broad SA | 19,695 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
1,382 | Metropole Television SA | 27,362 | ||||||||
13,240 | Natixis SA | 88,549 | ||||||||
1,438 | Neopost SA | 38,597 | ||||||||
430 | Nexity SA | 26,278 | ||||||||
940 | Orange SA | 15,218 | ||||||||
716 | Peugeot SA | 19,729 | ||||||||
1,069 | Rallye SA | 11,098 | ||||||||
1,659 | Renault SA | 143,289 | ||||||||
10,584 | Sanofi | 908,884 | ||||||||
500 | Sanofi ADR | 21,425 | ||||||||
1,877 | Societe Generale SA | 76,858 | ||||||||
205 | TOTAL SA | 12,855 | ||||||||
1,020 | Unibail-Rodamco-Westfield * | 10,653 | ||||||||
75 | Wendel SA | 11,105 | ||||||||
|
| |||||||||
Total France | 1,825,907 | |||||||||
|
| |||||||||
Germany — 3.2% |
| |||||||||
2,553 | Allianz SE (Registered) | 544,151 | ||||||||
231 | Axel Springer SE | 16,782 | ||||||||
4,456 | BASF SE | 411,759 | ||||||||
7,490 | Bayerische Motoren Werke AG | 725,082 | ||||||||
226 | Covestro AG | 19,242 | ||||||||
5,683 | Daimler AG (Registered Shares) | 367,521 | ||||||||
15,859 | Deutsche Lufthansa AG (Registered) | 414,357 | ||||||||
5,520 | Deutsche Pfandbriefbank AG | 80,809 | ||||||||
735 | Evonik Industries AG | 27,391 | ||||||||
7,900 | SAP AG | 948,378 | ||||||||
591 | Software AG | 29,144 | ||||||||
1,216 | Volkswagen AG | 195,738 | ||||||||
|
| |||||||||
Total Germany | 3,780,354 | |||||||||
|
| |||||||||
Greece — 0.0% |
| |||||||||
6,562 | FF Group * (a) | 36,561 | ||||||||
|
| |||||||||
Hong Kong — 0.5% |
| |||||||||
28,000 | BOC Hong Kong Holdings Ltd | 136,746 | ||||||||
6,000 | Cathay Pacific Airways Ltd | 8,945 | ||||||||
23,000 | CK Asset Holdings Ltd | 164,030 | ||||||||
12,000 | First Pacific Co Ltd | 5,462 | ||||||||
800 | Hang Seng Bank Ltd | 21,703 | ||||||||
14,000 | HK Electric Investments & HK Electric Investments Ltd – Class SS | 14,160 | ||||||||
14,500 | Kerry Properties Ltd | 54,989 | ||||||||
96,000 | Li & Fung Ltd | 27,284 | ||||||||
8,000 | NWS Holdings Ltd | 14,259 | ||||||||
4,000 | PCCW Ltd | 2,126 | ||||||||
38,000 | SJM Holdings Ltd | 43,024 | ||||||||
13,000 | Wharf Real Estate Investment Co Ltd | 86,253 | ||||||||
4,000 | Yue Yuen Industrial Holdings Ltd | 11,089 | ||||||||
|
| |||||||||
Total Hong Kong | 590,070 | |||||||||
|
|
See accompanying notes to the financial statements. | 3 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hungary — 0.0% |
| |||||||||
26,274 | Magyar Telekom Telecommunications Plc | 38,513 | ||||||||
1,102 | MOL Hungarian Oil & Gas Plc | 11,245 | ||||||||
|
| |||||||||
Total Hungary | 49,758 | |||||||||
|
| |||||||||
India — 3.1% |
| |||||||||
996 | Balkrishna Industries Ltd | 19,075 | ||||||||
955 | Divi’s Laboratories Ltd | 17,647 | ||||||||
29,389 | Firstsource Solutions Ltd | 31,250 | ||||||||
359 | Grasim Industries Ltd | 5,429 | ||||||||
24,655 | HCL Technologies Ltd | 363,235 | ||||||||
3,707 | Hero MotoCorp Ltd | 170,561 | ||||||||
2,840 | Hexaware Technologies Ltd | 17,576 | ||||||||
608 | Ipca Laboratories Ltd | 6,606 | ||||||||
23,177 | ITC Ltd | 104,551 | ||||||||
1,960 | Jubilant Life Sciences Ltd * | 19,918 | ||||||||
17,728 | Karnataka Bank Ltd (The) | 29,891 | ||||||||
4,488 | KPIT Technologies Ltd | 19,192 | ||||||||
4,493 | Larsen & Toubro Infotech Ltd | 113,269 | ||||||||
30,547 | Mahindra & Mahindra Ltd | 416,316 | ||||||||
6,522 | Mindtree Ltd | 102,752 | ||||||||
10,246 | Mphasis Ltd | 182,896 | ||||||||
8,672 | NIIT Technologies Ltd | 172,325 | ||||||||
179,801 | Oil & Natural Gas Corp Ltd | 456,277 | ||||||||
188,731 | Power Finance Corp Ltd | 225,018 | ||||||||
57,507 | PTC India Ltd | 67,994 | ||||||||
32,188 | Reliance Capital Ltd | 213,803 | ||||||||
2,862 | Reliance Home Finance Ltd * | 2,644 | ||||||||
223,854 | Rural Electrification Corp Ltd | 378,742 | ||||||||
46,598 | Tata Global Beverages Ltd | 154,559 | ||||||||
1,362 | Tata Motors Ltd * | 5,116 | ||||||||
37,357 | Tata Steel Ltd | 316,881 | ||||||||
12,321 | Tech Mahindra Ltd | 133,154 | ||||||||
|
| |||||||||
Total India | 3,746,677 | |||||||||
|
| |||||||||
Indonesia — 0.2% |
| |||||||||
71,200 | Adaro Energy Tbk PT | 9,028 | ||||||||
8,700 | Bank Negara Indonesia Persero Tbk PT | 4,609 | ||||||||
9,400 | Gudang Garam Tbk PT | 46,592 | ||||||||
62,700 | Indo Tambangraya Megah Tbk PT | 120,482 | ||||||||
83,600 | Media Nusantara Citra Tbk PT | 5,138 | ||||||||
62,600 | XL Axiata Tbk PT * | 13,511 | ||||||||
|
| |||||||||
Total Indonesia | 199,360 | |||||||||
|
| |||||||||
Ireland — 0.0% |
| |||||||||
820 | Bank of Ireland Group Plc | 6,718 | ||||||||
|
| |||||||||
Israel — 0.1% |
| |||||||||
80 | Azrieli Group Ltd | 4,155 | ||||||||
11,347 | Bank Leumi Le-Israel BM | 76,222 | ||||||||
10,565 | Bezeq The Israeli Telecommunication Corp Ltd | 12,626 |
Shares | Description | Value ($) | ||||||||
Israel — continued |
| |||||||||
1,075 | First International Bank of Israel Ltd | 24,901 | ||||||||
2,738 | Harel Insurance Investments & Financial Services Ltd | 22,352 | ||||||||
2,729 | Israel Chemicals Ltd | 15,946 | ||||||||
687 | Teva Pharmaceutical Industries Ltd * | 15,762 | ||||||||
|
| |||||||||
Total Israel | 171,964 | |||||||||
|
| |||||||||
Italy — 1.2% |
| |||||||||
39,704 | A2A SPA | 68,249 | ||||||||
792 | ASTM SPA | 16,165 | ||||||||
6,300 | Enav SPA | 31,147 | ||||||||
32,727 | Enel SPA | 161,800 | ||||||||
1,572 | ERG SPA | 32,561 | ||||||||
5,599 | EXOR NV | 364,322 | ||||||||
13,900 | Fiat Chrysler Automobiles NV * | 237,829 | ||||||||
14,171 | FinecoBank Banca Fineco SPA | 168,932 | ||||||||
29,841 | Iren SPA | 69,989 | ||||||||
2,711 | Mediobanca Banca di Credito Finanziario SPA | 25,244 | ||||||||
22,292 | Poste Italiane SPA | 171,721 | ||||||||
8,179 | Societa Cattolica di Assicurazioni SC | 66,379 | ||||||||
2,705 | Societa Iniziative Autostradali e Servizi SPA | 37,710 | ||||||||
55,090 | Telecom Italia SPA-RSP | 30,663 | ||||||||
|
| |||||||||
Total Italy | 1,482,711 | |||||||||
|
| |||||||||
Japan — 7.0% |
| |||||||||
900 | Aeon Co Ltd | 19,490 | ||||||||
600 | AEON Financial Service Co Ltd | 12,272 | ||||||||
900 | AGC Inc | 36,004 | ||||||||
4,900 | Aisin Seiki Co Ltd | 226,639 | ||||||||
1,300 | Alfresa Holdings Corp | 32,586 | ||||||||
29,500 | Asahi Kasei Corp | 432,279 | ||||||||
21,800 | Canon Inc | 699,488 | ||||||||
200 | Central Japan Railway Co | 40,155 | ||||||||
900 | Chugoku Bank Ltd (The) | 9,843 | ||||||||
1,500 | Chugoku Electric Power Co Inc (The) | 18,727 | ||||||||
100 | Daiichi Sankyo Co Ltd | 3,903 | ||||||||
500 | Daiwa House Industry Co Ltd | 15,232 | ||||||||
800 | DIC Corp | 28,392 | ||||||||
400 | Eisai Co Ltd | 36,223 | ||||||||
14,000 | Fuji Electric Co Ltd | 112,775 | ||||||||
2,200 | FUJIFILM Holdings Corp | 92,924 | ||||||||
4,000 | Fukuoka Financial Group Inc | 22,427 | ||||||||
2,300 | Gree Inc | 11,645 | ||||||||
6,100 | Hachijuni Bank Ltd (The) | 27,260 | ||||||||
400 | Hakuhodo DY Holdings Inc | 6,749 | ||||||||
105 | Hirose Electric Co Ltd | 12,478 | ||||||||
4,200 | Hiroshima Bank Ltd (The) | 29,379 | ||||||||
600 | Hisamitsu Pharmaceutical Co Inc | 43,830 | ||||||||
35,000 | Hitachi Ltd | 228,465 |
4 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
900 | Hokuriku Electric Power Co * | 8,835 | ||||||||
15,100 | Honda Motor Co Ltd | 447,310 | ||||||||
1,200 | Ibiden Co Ltd | 17,409 | ||||||||
1,800 | Isuzu Motors Ltd | 25,987 | ||||||||
36,100 | ITOCHU Corp | 630,806 | ||||||||
4 | Japan Prime Realty Investment Corp (REIT) | 14,470 | ||||||||
1,700 | JFE Holdings Inc | 37,160 | ||||||||
5,300 | JXTG Holdings Inc | 37,317 | ||||||||
500 | Kamigumi Co Ltd | 10,146 | ||||||||
3,000 | Kaneka Corp | 27,381 | ||||||||
9,800 | KDDI Corp | 259,110 | ||||||||
5,200 | Kirin Holdings Co Ltd | 128,504 | ||||||||
500 | Kitz Corp | 4,380 | ||||||||
2,100 | Konica Minolta Inc | 21,356 | ||||||||
1,400 | Kurita Water Industries Ltd | 41,556 | ||||||||
500 | Kyowa Hakko Kirin Co Ltd | 8,869 | ||||||||
900 | Kyushu Financial Group Inc | 4,378 | ||||||||
19,200 | Marubeni Corp | 157,314 | ||||||||
300 | Maruichi Steel Tube Ltd | 9,194 | ||||||||
9,980 | Mebuki Financial Group Inc | 35,372 | ||||||||
50,400 | Mitsubishi Chemical Holdings Corp | 451,571 | ||||||||
10,200 | Mitsubishi Corp | 290,874 | ||||||||
26,900 | Mitsubishi Electric Corp | 363,136 | ||||||||
1,500 | Mitsubishi Gas Chemical Co Inc | 31,182 | ||||||||
7,900 | Mitsubishi Tanabe Pharma Corp | 131,764 | ||||||||
4,900 | Mitsubishi UFJ Financial Group Inc | 29,619 | ||||||||
3,800 | Mitsubishi UFJ Lease & Finance Co Ltd | 21,367 | ||||||||
3,900 | Mitsui & Co Ltd | 64,969 | ||||||||
1,200 | Mitsui Mining & Smelting Co Ltd | 34,377 | ||||||||
4,300 | NEC Corp | 118,718 | ||||||||
2,100 | NET One Systems Co Ltd | 48,639 | ||||||||
1,000 | Nichiha Corp | 28,078 | ||||||||
16,600 | Nippon Telegraph & Telephone Corp | 738,550 | ||||||||
1,200 | Nippon Flour Mills Co Ltd | 20,072 | ||||||||
3,400 | Nisshin Seifun Group Inc | 68,003 | ||||||||
500 | NOK Corp | 9,547 | ||||||||
2,100 | Nomura Real Estate Holdings Inc | 45,491 | ||||||||
140 | Nomura Research Institute Ltd | 6,961 | ||||||||
2,200 | NTT DOCOMO Inc | 57,015 | ||||||||
2,000 | Oji Holdings Corp | 13,689 | ||||||||
3,500 | Resona Holdings Inc | 19,853 | ||||||||
100 | Rohm Co Ltd | 9,035 | ||||||||
200 | Sankyo Co Ltd | 7,656 | ||||||||
2,900 | SBI Holdings Inc | 79,938 | ||||||||
3,400 | Seiko Epson Corp | 58,108 | ||||||||
2,500 | Sekisui Chemical Co Ltd | 43,430 | ||||||||
1,000 | Shinsei Bank Ltd | 15,370 | ||||||||
4,700 | Showa Denko KK | 223,236 | ||||||||
2,400 | Showa Shell Sekiyu KK | 48,411 | ||||||||
21,100 | Sojitz Corp | 73,425 |
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
38,000 | Sumitomo Chemical Co Ltd | 215,681 | ||||||||
4,400 | Sumitomo Corp | 71,350 | ||||||||
2,200 | Sumitomo Dainippon Pharma Co Ltd | 46,814 | ||||||||
200 | Sumitomo Heavy Industries Ltd | 6,507 | ||||||||
7,300 | Sumitomo Mitsui Financial Group Inc | 286,988 | ||||||||
1,250 | Suzuken Co Ltd | 56,763 | ||||||||
100 | Taisho Pharmaceutical Holdings Co Ltd | 10,839 | ||||||||
1,900 | Takeda Pharmaceutical Co Ltd | 79,156 | ||||||||
800 | Tocalo Co Ltd | 9,249 | ||||||||
1,200 | Tohoku Electric Power Co Inc | 15,020 | ||||||||
400 | Tokio Marine Holdings Inc | 18,849 | ||||||||
4,300 | Tokyo Electric Power Co Holdings Inc * | 19,877 | ||||||||
300 | Tokyo Electron Ltd | 51,075 | ||||||||
100 | Toyoda Gosei Co Ltd | 2,495 | ||||||||
3,600 | Toyota Tsusho Corp | 122,644 | ||||||||
200 | Trend Micro Inc | 12,576 | ||||||||
600 | USS Co Ltd | 11,302 | ||||||||
1,000 | Yamaguchi Financial Group Inc | 11,000 | ||||||||
1,000 | Yokohama Rubber Co Ltd (The) | 21,006 | ||||||||
|
| |||||||||
Total Japan | 8,347,294 | |||||||||
|
| |||||||||
Malaysia — 0.4% |
| |||||||||
11,600 | AirAsia Berhad | 9,694 | ||||||||
16,800 | Alliance Financial Group Berhad | 16,866 | ||||||||
3,300 | AMMB Holdings Berhad | 3,286 | ||||||||
4,000 | Berjaya Sports Toto Berhad | 2,151 | ||||||||
3,800 | Hong Leong Financial Group Berhad | 18,110 | ||||||||
32,375 | IOI Properties Group Berhad * | 13,785 | ||||||||
115,200 | Petronas Chemicals Group Berhad | 264,808 | ||||||||
13,341 | RHB Bank Berhad | 17,517 | ||||||||
12,300 | RHB Capital Berhad * (a) | — | ||||||||
71,900 | Supermax Corp Berhad | 58,679 | ||||||||
7,800 | UMW Holdings Berhad | 11,304 | ||||||||
8,600 | Westports Holdings Berhad | 7,766 | ||||||||
|
| |||||||||
Total Malaysia | 423,966 | |||||||||
|
| |||||||||
Mexico — 1.0% |
| |||||||||
1,900 | OHL Mexico SAB de CV | 2,863 | ||||||||
408,400 | Wal-Mart de Mexico SAB de CV | 1,130,808 | ||||||||
|
| |||||||||
Total Mexico | 1,133,671 | |||||||||
|
| |||||||||
Netherlands — 0.9% |
| |||||||||
453 | ASR Nederland NV | 21,657 | ||||||||
53,797 | ING Groep NV | 730,767 | ||||||||
7,953 | Koninklijke Ahold Delhaize NV | 193,730 | ||||||||
457 | Koninklijke Philips NV | 20,420 | ||||||||
2,783 | Signify NV | 78,449 | ||||||||
|
| |||||||||
Total Netherlands | 1,045,023 | |||||||||
|
|
See accompanying notes to the financial statements. | 5 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
New Zealand — 0.0% |
| |||||||||
3,835 | Contact Energy Ltd | 14,081 | ||||||||
6,852 | Meridian Energy Ltd | 14,695 | ||||||||
|
| |||||||||
Total New Zealand | 28,776 | |||||||||
|
| |||||||||
Norway — 1.0% |
| |||||||||
889 | Aker ASA – A Shares | 69,651 | ||||||||
2,486 | Austevoll Seafood ASA | 32,712 | ||||||||
22,587 | DNB ASA | 459,194 | ||||||||
16,911 | Equinor ASA | 433,771 | ||||||||
1,069 | Gjensidige Forsikring ASA | 17,870 | ||||||||
2,174 | Norsk Hydro ASA | 11,987 | ||||||||
3,762 | Storebrand ASA | 33,305 | ||||||||
7,349 | Subsea 7 SA | 99,912 | ||||||||
|
| |||||||||
Total Norway | 1,158,402 | |||||||||
|
| |||||||||
Philippines — 0.1% |
| |||||||||
555 | Globe Telecom Inc | 21,971 | ||||||||
8,480 | International Container Terminal Services Inc | 14,856 | ||||||||
188,000 | Megaworld Corp | 16,145 | ||||||||
27,300 | Robinsons Land Corp | 10,883 | ||||||||
|
| |||||||||
Total Philippines | 63,855 | |||||||||
|
| |||||||||
Poland — 0.1% |
| |||||||||
2,301 | Asseco Poland SA | 28,507 | ||||||||
510 | Bank Handlowy w Warszawie SA | 9,360 | ||||||||
45,966 | Energa SA | 103,970 | ||||||||
747 | Grupa Azoty SA | 7,660 | ||||||||
1,738 | PGE Polska Grupa Energetyczna SA * | 4,217 | ||||||||
|
| |||||||||
Total Poland | 153,714 | |||||||||
|
| |||||||||
Portugal — 0.0% |
| |||||||||
41,678 | Sonae SGPS SA | 44,339 | ||||||||
|
| |||||||||
Qatar — 0.0% |
| |||||||||
1,134 | Barwa Real Estate Co | 11,213 | ||||||||
|
| |||||||||
Russia — 0.5% |
| |||||||||
97,553 | Gazprom PJSC Sponsored ADR | 430,296 | ||||||||
1,404 | LUKOIL PJSC Sponsored ADR | 97,020 | ||||||||
2,826 | Sistema PJSC Sponsered GDR (Registered) | 6,829 | ||||||||
|
| |||||||||
Total Russia | 534,145 | |||||||||
|
| |||||||||
Singapore — 0.2% |
| |||||||||
800 | City Developments Ltd | 5,410 | ||||||||
18,700 | Golden Agri-Resources Ltd | 3,882 | ||||||||
27,900 | Hutchison Port Holdings Trust – Class U | 6,835 | ||||||||
7,900 | Oversea-Chinese Banking Corp Ltd | 65,017 | ||||||||
5,600 | Singapore Press Holdings Ltd | 11,429 | ||||||||
12,900 | Suntec Real Estate Investment Trust | 17,574 |
Shares | Description | Value ($) | ||||||||
Singapore — continued |
| |||||||||
2,700 | United Overseas Bank Ltd | 53,213 | ||||||||
2,600 | UOL Group Ltd | 13,088 | ||||||||
38,400 | Yangzijiang Shipbuilding Holdings Ltd | 29,944 | ||||||||
|
| |||||||||
Total Singapore | 206,392 | |||||||||
|
| |||||||||
South Africa — 2.9% |
| |||||||||
83,786 | Absa Group Ltd | 926,685 | ||||||||
587 | Anglo American Platinum Ltd | 17,191 | ||||||||
392 | Barloworld Ltd | 3,334 | ||||||||
4,578 | Imperial Holdings Ltd | 64,147 | ||||||||
34,552 | Liberty Holdings Ltd | 273,362 | ||||||||
21,583 | Metair Investments Ltd | 25,662 | ||||||||
170,032 | MMI Holdings Ltd * | 198,287 | ||||||||
758 | Mondi Ltd | 21,150 | ||||||||
37,418 | Nedbank Group Ltd | 707,790 | ||||||||
1,117 | Omnia Holdings Ltd | 9,880 | ||||||||
16,044 | Reunert Ltd | 83,110 | ||||||||
77,732 | Standard Bank Group Ltd | 985,212 | ||||||||
11,888 | Telkom SA SOC Ltd | 40,677 | ||||||||
7,412 | Wilson Bayly Holmes-Ovcon Ltd | 75,588 | ||||||||
|
| |||||||||
Total South Africa | 3,432,075 | |||||||||
|
| |||||||||
South Korea — 3.5% |
| |||||||||
1,933 | BNK Financial Group Inc | 14,489 | ||||||||
293 | CJ ENM Co Ltd | 66,291 | ||||||||
185 | Daelim Industrial Co Ltd | 13,610 | ||||||||
2,890 | DGB Financial Group Inc | 26,607 | ||||||||
442 | E-MART Inc | 85,160 | ||||||||
88 | GS Holdings Corp | 4,198 | ||||||||
90 | GS Home Shopping Inc | 16,766 | ||||||||
5,915 | Hana Financial Group Inc | 226,815 | ||||||||
1,091 | Hankook Tire Co Ltd | 45,721 | ||||||||
29,980 | Hanwha Life Insurance Co Ltd | 130,613 | ||||||||
4,946 | Hyundai Marine & Fire Insurance Co Ltd | 165,237 | ||||||||
60,510 | Industrial Bank of Korea | 809,990 | ||||||||
7,284 | Kia Motors Corp | 209,764 | ||||||||
173 | Korea Investment Holdings Co Ltd | 11,073 | ||||||||
2,511 | Korea United Pharm Inc | 64,471 | ||||||||
4,781 | Korean Reinsurance Co | 44,686 | ||||||||
87 | KT Corp | 2,259 | ||||||||
142 | Kumho Petrochemical Co Ltd | 13,002 | ||||||||
6,057 | Kwang Dong Pharmaceutical Co Ltd | 40,915 | ||||||||
1,828 | LF Corp | 43,606 | ||||||||
8,566 | LG Corp | 550,304 | ||||||||
2,643 | LOTTE Himart Co Ltd | 169,914 | ||||||||
313 | LS Corp | 18,883 | ||||||||
474 | NH Investment & Securities Co Ltd | 5,724 | ||||||||
1,163 | Samjin Pharmaceutical Co Ltd | 57,568 | ||||||||
4,764 | Samsung Electronics Co Ltd | 207,094 | ||||||||
13,800 | Shinhan Financial Group Co Ltd | 542,022 |
6 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued |
| |||||||||
497 | SK Holdings Co Ltd | 117,466 | ||||||||
17,700 | SK Telecom Co Ltd Sponsored ADR | 460,377 | ||||||||
1,345 | Woori Bank | 19,701 | ||||||||
|
| |||||||||
Total South Korea | 4,184,326 | |||||||||
|
| |||||||||
Spain — 0.5% |
| |||||||||
21,259 | Banco Santander SA | 105,640 | ||||||||
10,968 | Endesa SA | 245,391 | ||||||||
21,924 | International Consolidated Airlines Group SA | 196,788 | ||||||||
5,010 | Repsol SA | 96,357 | ||||||||
|
| |||||||||
Total Spain | 644,176 | |||||||||
|
| |||||||||
Sweden — 1.2% |
| |||||||||
7,549 | Alfa Laval AB | 202,364 | ||||||||
1,559 | Granges AB | 18,262 | ||||||||
1,803 | Hemfosa Fastigheter AB | 24,529 | ||||||||
602 | ICA Gruppen AB | 18,337 | ||||||||
598 | Loomis AB – Class B | 19,246 | ||||||||
2,931 | Nordea Bank AB | 31,673 | ||||||||
629 | Oriflame Holding AG | 18,301 | ||||||||
6,684 | Resurs Holding AB | 48,834 | ||||||||
8,158 | Sandvik AB | 142,803 | ||||||||
3,604 | SKF AB – B Shares | 69,278 | ||||||||
4,256 | SSAB AB – Series A | 18,550 | ||||||||
25,752 | Svenska Cellulosa AB SCA – Class B | 299,784 | ||||||||
13,311 | Swedbank AB – A Shares | 309,938 | ||||||||
12,738 | Volvo AB – B Shares | 219,436 | ||||||||
|
| |||||||||
Total Sweden | 1,441,335 | |||||||||
|
| |||||||||
Switzerland — 3.1% |
| |||||||||
456 | BKW AG | 32,346 | ||||||||
139 | Bucher Industries AG (Registered) | 48,704 | ||||||||
40 | Inficon Holding AG (Registered) * | 20,351 | ||||||||
8,934 | Nestle SA (Registered) | 748,911 | ||||||||
17,913 | Novartis AG (Registered) | 1,486,100 | ||||||||
92 | Pargesa Holding SA | 7,466 | ||||||||
4,985 | Roche Holding AG | 1,236,049 | ||||||||
366 | Swiss Re AG | 32,929 | ||||||||
424 | Zurich Insurance Group AG | 129,078 | ||||||||
|
| |||||||||
Total Switzerland | 3,741,934 | |||||||||
|
| |||||||||
Taiwan — 5.8% |
| |||||||||
70,000 | Asia Vital Components Co Ltd | 66,736 | ||||||||
66,000 | Asustek Computer Inc | 562,430 | ||||||||
9,000 | Cathay Financial Holding Co Ltd | 15,426 | ||||||||
8,520 | Chang Hwa Commercial Bank Ltd * | 5,301 | ||||||||
44,000 | China Airlines Ltd | 13,488 | ||||||||
16,775 | China Life Insurance Co Ltd | 16,697 | ||||||||
43,000 | Coretronic Corp | 80,897 | ||||||||
63,000 | CTBC Financial Holding Co Ltd | 44,304 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
11,000 | Elan Microelectronics Corp | 19,437 | ||||||||
35,277 | Eva Airways Corp | 17,920 | ||||||||
25,000 | Far Eastern New Century Corp | 29,119 | ||||||||
50,000 | Formosa Chemicals & Fibre Corp | 200,372 | ||||||||
92,000 | Formosa Plastics Corp | 337,261 | ||||||||
3,000 | Formosa Taffeta Co Ltd | 3,492 | ||||||||
30,000 | Fubon Financial Holding Co Ltd | 49,739 | ||||||||
136,000 | Gigabyte Technology Co Ltd | 232,054 | ||||||||
263,000 | Grand Pacific Petrochemical | 253,644 | ||||||||
57,000 | Holtek Semiconductor Inc | 157,255 | ||||||||
342,525 | Hon Hai Precision Industry Co Ltd | 899,826 | ||||||||
6,721 | Hua Nan Financial Holdings Co Ltd – Class C | 3,940 | ||||||||
8,000 | Inventec Corp | 7,180 | ||||||||
56,000 | Lite-On Semiconductor Corp | 63,886 | ||||||||
1,000 | Lotes Co Ltd | 7,648 | ||||||||
11,000 | Micro-Star International Co Ltd | 38,025 | ||||||||
155,000 | Mitac Holdings Corp * | 179,277 | ||||||||
337,000 | Nan Ya Plastics Corp | 937,805 | ||||||||
91,000 | Novatek Microelectronics Corp | 446,200 | ||||||||
28,000 | Phison Electronics Corp | 231,801 | ||||||||
376,000 | Pou Chen Corp | 414,577 | ||||||||
2,000 | Primax Electronics Ltd | 3,716 | ||||||||
143,000 | Radiant Opto-Electronics Corp | 314,101 | ||||||||
24,000 | Shin Kong Financial Holding Co Ltd | 9,493 | ||||||||
9,000 | Simplo Technology Co Ltd | 65,958 | ||||||||
13,248 | SinoPac Financial Holdings Co Ltd | 4,856 | ||||||||
7,000 | Sitronix Technology Corp | 22,080 | ||||||||
112,350 | Synnex Technology International Corp | 150,373 | ||||||||
33,063 | Taiwan Business Bank | 11,954 | ||||||||
12,000 | Taiwan Fertilizer Co Ltd | 16,546 | ||||||||
20,131 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 877,712 | ||||||||
3,000 | Transcend Information Inc | 7,258 | ||||||||
25,000 | Uni-President Enterprises Corp | 63,260 | ||||||||
12,000 | United Integrated Services Co Ltd | 24,220 | ||||||||
29,000 | Walsin Lihwa Corp | 20,519 | ||||||||
7,000 | WPG Holdings Ltd | 8,866 | ||||||||
95,000 | Yuanta Financial Holding Co Ltd | 48,135 | ||||||||
|
| |||||||||
Total Taiwan | 6,984,784 | |||||||||
|
| |||||||||
Thailand — 1.8% |
| |||||||||
28,100 | Com7 Pcl (Foreign Registered) | 16,495 | ||||||||
2,800 | Glow Energy Pcl (Foreign Registered) | 8,041 | ||||||||
227,400 | Indorama Ventures Pcl (Foreign Registered) | 417,095 | ||||||||
21,000 | Krung Thai Bank Pcl (Foreign Registered) | 12,454 | ||||||||
365,300 | PTT Global Chemical Pcl (Foreign Registered) | 913,006 | ||||||||
443,800 | PTT Pcl (Foreign Registered) | 712,540 | ||||||||
236,600 | Quality Houses Pcl (Foreign Registered) | 25,015 | ||||||||
54,500 | Thanachart Capital Pcl (Foreign Registered) | 89,529 | ||||||||
|
| |||||||||
Total Thailand | 2,194,175 | |||||||||
|
|
See accompanying notes to the financial statements. | 7 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — 0.7% |
| |||||||||
175,125 | KOC Holding AS | 400,209 | ||||||||
1,778 | TAV Havalimanlari Holding AS | 8,946 | ||||||||
475,181 | Turkiye Is Bankasi – Class C | 289,346 | ||||||||
15,179 | Turkiye Sise ve Cam Fabrikalari AS | 14,268 | ||||||||
143,796 | Turkiye Vakiflar Bankasi TAO – Class D | 76,005 | ||||||||
|
| |||||||||
Total Turkey | 788,774 | |||||||||
|
| |||||||||
United Arab Emirates — 0.0% |
| |||||||||
7,875 | Abu Dhabi Commercial Bank PJSC | 15,220 | ||||||||
4,957 | Emaar Malls PJSC | 2,698 | ||||||||
|
| |||||||||
Total United Arab Emirates | 17,918 | |||||||||
|
| |||||||||
United Kingdom — 6.6% |
| |||||||||
24,450 | 3i Group Plc | 284,700 | ||||||||
5,386 | 888 Holdings Plc | 16,307 | ||||||||
734 | Antofagasta Plc | 7,689 | ||||||||
2,100 | AstraZeneca Plc Sponsored ADR | 80,514 | ||||||||
531 | AstraZeneca Plc | 40,077 | ||||||||
7,736 | Barratt Developments Plc | 54,426 | ||||||||
3,185 | Bellway Plc | 120,661 | ||||||||
1,850 | Berkeley Group Holdings Plc (The) | 87,507 | ||||||||
152 | BHP Billiton Plc | 3,252 | ||||||||
500 | BP Plc Sponsored ADR | 21,440 | ||||||||
14,806 | British American Tobacco Plc | 715,977 | ||||||||
400 | British American Tobacco Plc Sponsored ADR | 19,352 | ||||||||
2,117 | Britvic Plc | 22,402 | ||||||||
9,151 | Cobham Plc * | 14,790 | ||||||||
9,654 | Direct Line Insurance Group Plc | 41,474 | ||||||||
1,788 | easyJet Plc | 35,421 | ||||||||
4,185 | Electrocomponents Plc | 40,339 | ||||||||
2,862 | Evraz Plc | 18,508 | ||||||||
12,309 | Ferrexpo Plc | 24,847 | ||||||||
654 | Galliford Try Plc | 8,248 | ||||||||
22,500 | GlaxoSmithKline Plc Sponsored ADR | 911,250 | ||||||||
4,999 | Grainger Plc | 19,938 | ||||||||
1,658 | Hammerson Plc (REIT) | 10,154 | ||||||||
45,789 | HSBC Holdings Plc | 398,546 | ||||||||
2,600 | HSBC Holdings Plc Sponsored ADR | 114,426 | ||||||||
8,754 | IG Group Holdings Plc | 102,795 | ||||||||
528 | Imperial Brands Plc | 18,812 | ||||||||
4,773 | Intu Properties Plc (REIT) | �� | 9,779 | |||||||
5,193 | Investec Plc | 34,160 | ||||||||
6,818 | J Sainsbury Plc | 28,700 | ||||||||
1,649 | Land Securities Group Plc (REIT) | 19,628 | ||||||||
170,328 | Legal & General Group Plc | 562,873 | ||||||||
599,897 | Lloyds Banking Group Plc | 462,112 | ||||||||
1,227 | Meggitt Plc | 8,574 | ||||||||
1,812 | Mondi Plc | 50,494 | ||||||||
2,990 | Northgate Plc | 15,890 |
Shares | Description | Value ($) | ||||||||
United Kingdom — Continued |
| |||||||||
11,204 | Persimmon Plc | 354,460 | ||||||||
3,866 | Plus500 Ltd | 77,235 | ||||||||
15,832 | QinetiQ Group Plc | 55,752 | ||||||||
10,256 | Quilter Plc | 18,727 | ||||||||
11,472 | Reckitt Benckiser Group Plc | 977,210 | ||||||||
2,867 | Royal Dutch Shell Plc A Shares (London) | 93,275 | ||||||||
206 | Royal Dutch Shell Plc B Shares (London) | 6,819 | ||||||||
11,628 | Royal Dutch Shell Plc – Class A | 378,182 | ||||||||
1,200 | Royal Dutch Shell Plc – Class A Sponsored ADR | 78,276 | ||||||||
900 | Royal Dutch Shell Plc – Class B Sponsored ADR | 60,642 | ||||||||
21,905 | Royal Mail Plc | 127,382 | ||||||||
1,785 | Savills Plc | 18,535 | ||||||||
5,923 | Segro Plc (REIT) | 50,641 | ||||||||
2,321 | Spectris Plc | 70,958 | ||||||||
5,174 | TUI AG | 95,504 | ||||||||
14,068 | Unilever Plc | 801,661 | ||||||||
1,767 | Vedanta Resources Plc | 19,195 | ||||||||
5,365 | Vesuvius Plc | 43,222 | ||||||||
26,154 | William Hill Plc | 87,385 | ||||||||
|
| |||||||||
Total United Kingdom | 7,841,123 | |||||||||
|
| |||||||||
United States — 24.9% |
| |||||||||
3,111 | 3M Co. | 656,172 | ||||||||
7,371 | Abbott Laboratories | 492,678 | ||||||||
6,400 | Accenture Plc – Class A | 1,082,048 | ||||||||
1,800 | Alphabet, Inc. – Class C * | 2,192,742 | ||||||||
8,729 | American Express Co. | 925,099 | ||||||||
3,100 | Amphenol Corp. – Class A | 293,198 | ||||||||
3,569 | Anthem, Inc. | 944,821 | ||||||||
10,475 | Apple, Inc. | 2,384,424 | ||||||||
1,779 | Becton Dickinson and Co. | 465,867 | ||||||||
20,851 | Cisco Systems, Inc. | 996,052 | ||||||||
12,367 | Coca-Cola Co. (The) | 551,197 | ||||||||
10,266 | Cognizant Technology Solutions Corp. – Class A | 805,162 | ||||||||
4,814 | Costco Wholesale Corp. | 1,122,288 | ||||||||
3,522 | Facebook, Inc. – Class A * | 618,921 | ||||||||
2,600 | Honeywell International, Inc. | 413,556 | ||||||||
8,400 | Johnson & Johnson | 1,131,396 | ||||||||
1,563 | Mastercard, Inc. – Class A | 336,920 | ||||||||
11,667 | Medtronic Plc | 1,124,816 | ||||||||
13,611 | Merck & Co., Inc. | 933,579 | ||||||||
19,551 | Microsoft Corp. | 2,196,164 | ||||||||
36,182 | Oracle Corp. | 1,757,722 | ||||||||
1,766 | PepsiCo, Inc. | 197,810 | ||||||||
5,384 | Philip Morris International, Inc. | 419,360 | ||||||||
14,909 | QUALCOMM, Inc. | 1,024,397 | ||||||||
1,526 | Stryker Corp. | 258,550 |
8 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
4,100 | Teradata Corp. * | 170,027 | ||||||||
6,381 | Texas Instruments, Inc. | 717,224 | ||||||||
9,016 | TJX Cos., Inc. (The) | 991,490 | ||||||||
5,292 | UnitedHealth Group, Inc. | 1,420,690 | ||||||||
5,889 | United Technologies Corp. | 775,581 | ||||||||
16,953 | US Bancorp | 917,327 | ||||||||
3,500 | Visa, Inc. – Class A | 514,115 | ||||||||
16,323 | Wells Fargo & Co. | 954,569 | ||||||||
|
| |||||||||
Total United States | 29,785,962 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $104,171,004) | 105,146,007 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 1.0% |
| |||||||||
Brazil — 0.2% |
| |||||||||
11,368 | Banco Bradesco SA | 79,209 | ||||||||
2,400 | Banco Bradesco SA ADR | 16,656 | ||||||||
18,800 | Banco do Estado do Rio Grande do Sul SA – Class B | 67,619 | ||||||||
1,140 | Itau Unibanco Holding SA | 11,831 | ||||||||
|
| |||||||||
Total Brazil | 175,315 | |||||||||
|
| |||||||||
Colombia — 0.0% |
| |||||||||
37,891 | Grupo Aval Acciones y Valores SA | 14,927 | ||||||||
|
| |||||||||
Germany — 0.3% |
| |||||||||
136 | Draegerwerk AG & Co KGaA | 10,977 | ||||||||
243 | Sixt SE | 20,306 | ||||||||
2,036 | Volkswagen AG | 332,820 | ||||||||
|
| |||||||||
Total Germany | 364,103 | |||||||||
|
| |||||||||
Russia — 0.0% |
| |||||||||
27,445 | Surgutneftegas OJSC | 15,231 | ||||||||
|
| |||||||||
South Korea — 0.5% |
| |||||||||
12,700 | Samsung Electronics Co Ltd | 452,517 | ||||||||
148 | Samsung Electronics Co Ltd GDR | 130,431 | ||||||||
|
| |||||||||
Total South Korea | 582,948 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $1,064,876) | 1,152,524 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% |
| |||||||||
Thailand — 0.0% |
| |||||||||
3,633 | BTS Group Holdings Pcl (Foreign Registered), Expires 12/31/19 * | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | — | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 6.3% | ||||||||||
United States — 6.3% | ||||||||||
Affiliated Issuers — 6.3% | ||||||||||
299,286 | GMO U.S. Treasury Fund | 7,476,175 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $7,476,175) | 7,476,175 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 6.5% |
| |||||||||
Money Market Fund — 0.2% |
| |||||||||
257,226 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (c) | 257,226 | ||||||||
|
| |||||||||
U.S. Government — 6.3% |
| |||||||||
2,600,000 | U.S. Treasury Bill, 1.13%, due 01/10/19 (d) (e) | 2,580,170 | ||||||||
2,500,000 | U.S. Treasury Bill, 1.96%, due 11/08/18 (d) (e) | 2,490,792 | ||||||||
2,500,000 | U.S. Treasury Bill, 1.96%, due 11/15/18 (d) (e) | 2,489,825 | ||||||||
|
| |||||||||
Total U.S. Government | 7,560,787 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $7,817,314) | 7,818,013 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.8% (Cost $120,529,369) | 121,592,719 | |||||||||
Other Assets and Liabilities (net) — (1.8%) | (2,095,057 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $119,497,662 | |||||||||
|
|
See accompanying notes to the financial statements. | 9 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/15/2018 | GS | AUD | 25,764 | USD | 19,030 | $ | 508 | |||||||||||||||
10/15/2018 | MSCI | AUD | 1,407,424 | USD | 1,041,652 | 29,843 | ||||||||||||||||
10/15/2018 | SSB | AUD | 89,395 | USD | 66,185 | 1,918 | ||||||||||||||||
10/12/2018 | BOA | CHF | 274,396 | USD | 277,701 | (6,308 | ) | |||||||||||||||
10/12/2018 | MSCI | CHF | 769,511 | USD | 780,576 | (15,896 | ) | |||||||||||||||
10/12/2018 | SSB | CHF | 9,485 | USD | 9,598 | (220 | ) | |||||||||||||||
09/19/2018 | MSCI | EUR | 8,402,469 | USD | 9,820,154 | 57,040 | ||||||||||||||||
09/19/2018 | SSB | EUR | 371,682 | USD | 436,135 | 4,266 | ||||||||||||||||
09/19/2018 | BCLY | GBP | 57,661 | USD | 75,814 | 1,018 | ||||||||||||||||
09/19/2018 | GS | GBP | 302,239 | USD | 398,250 | 6,197 | ||||||||||||||||
09/19/2018 | JPM | GBP | 3,287,927 | USD | 4,371,089 | 106,120 | ||||||||||||||||
09/19/2018 | SSB | GBP | 19,765 | USD | 25,963 | 325 | ||||||||||||||||
09/18/2018 | BCLY | JPY | 165,741,813 | USD | 1,497,043 | 4,053 | ||||||||||||||||
09/18/2018 | JPM | JPY | 1,323,360,425 | USD | 12,067,687 | 146,958 | ||||||||||||||||
09/18/2018 | SSB | JPY | 1,293,670 | USD | 11,696 | 42 | ||||||||||||||||
10/12/2018 | BOA | NOK | 8,141,592 | USD | 1,013,984 | 41,717 | ||||||||||||||||
10/12/2018 | GS | NOK | 865,660 | USD | 106,105 | 2,728 | ||||||||||||||||
10/12/2018 | BCLY | SEK | 9,171,200 | USD | 1,054,825 | 49,070 | ||||||||||||||||
10/12/2018 | GS | SEK | 106,552 | USD | 12,115 | 430 | ||||||||||||||||
10/12/2018 | SSB | SEK | 2,539,796 | USD | 290,103 | 11,578 | ||||||||||||||||
09/18/2018 | GS | USD | 354,167 | JPY | 38,973,700 | (3,095 | ) | |||||||||||||||
09/18/2018 | JPM | USD | 4,620,498 | JPY | 507,715,600 | (47,035 | ) | |||||||||||||||
09/19/2018 | JPM | USD | 474,708 | EUR | 404,200 | (5,054 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 386,203 | |||||||||||||||||||||
|
|
Futures Contracts
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales | ||||||||||||
735 | S&P 500 E-Mini | September 2018 | $ | 106,652,175 | $ | (4,276,176 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2018, 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) | Investment valued using significant unobservable inputs (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(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 (Note 4). |
(e) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
10 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 52.3 | % | ||
Debt Obligations | 38.9 | |||
Short-Term Investments | 6.2 | |||
Preferred Stocks | 0.8 | |||
Mutual Funds | 0.3 | |||
Investment Funds | 0.3 | |||
Swap Contracts | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Loan Participations | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Futures Contracts | (0.6 | ) | ||
Securities Sold Short | (2.6 | ) | ||
Other | 4.2 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 11.6 | % | ||
Other Emerging | 1.9 | † | ||
Canada | 1.5 | |||
Other Developed | 0.2 | ‡ | ||
Euro Region | 0.0 | ^# | ||
Japan | (1.2 | ) | ||
United Kingdom | (3.4 | ) | ||
|
| |||
10.6 | % | |||
|
|
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 8.7 | % | ||
China | 6.1 | |||
Other Developed | 5.5 | ‡ | ||
Taiwan | 4.3 | |||
Japan | 3.9 | |||
Other Emerging | 3.3 | † | ||
United Kingdom | 3.2 | |||
South Korea | 2.3 | |||
Germany | 2.3 | |||
Russia | 2.2 | |||
South Africa | 2.0 | |||
Brazil | 1.3 | |||
India | 1.3 | |||
Canada | 1.3 | |||
Thailand | 1.2 | |||
Switzerland | 1.1 | |||
France | 1.1 | |||
|
| |||
51.1 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
# | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
11
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
11,641,097 | GMO Emerging Country Debt Fund, Class IV | 312,563,466 | ||||||||
7,378,718 | GMO High Yield Fund, Class VI | 150,525,852 | ||||||||
732,425,047 | GMO Implementation Fund | 9,946,332,141 | ||||||||
21,167,843 | GMO Opportunistic Income Fund, Class VI | 565,393,078 | ||||||||
11,259,912 | GMO Risk Premium Fund, Class VI | 319,218,502 | ||||||||
29,398,146 | GMO SGM Major Markets Fund, Class VI | 941,622,617 | ||||||||
16,155,873 | GMO Special Opportunities Fund, Class VI | 316,816,668 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $12,214,810,128) | 12,552,472,324 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
7,583,551 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (a) | 7,583,551 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $7,583,551) | 7,583,551 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.1% (Cost $12,222,393,679) | 12,560,055,875 | |||||||||
Other Assets and Liabilities (net) — (0.1%) | (6,936,476 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $12,553,119,399 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
12 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 54.8 | % | ||
Debt Obligations | 33.8 | |||
Short-Term Investments | 9.7 | |||
Preferred Stocks | 1.1 | |||
Investment Funds | 0.3 | |||
Swap Contracts | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Loan Participations | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Futures Contracts | (0.5 | ) | ||
Securities Sold Short | (1.3 | ) | ||
Other | 1.9 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 12.7 | % | ||
Other Emerging | 2.2 | † | ||
Euro Region | 0.0 | ^# | ||
Other Developed | (1.1 | )‡ | ||
|
| |||
13.8 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
China | 8.1 | % | ||
United States | 6.3 | |||
Taiwan | 5.1 | |||
Japan | 4.7 | |||
Other Developed | 4.3 | ‡ | ||
Other Emerging | 3.6 | † | ||
United Kingdom | 3.2 | |||
South Korea | 3.2 | |||
Russia | 2.5 | |||
Germany | 2.1 | |||
India | 2.0 | |||
South Africa | 2.0 | |||
Brazil | 1.5 | |||
Thailand | 1.5 | |||
Canada | 1.5 | |||
France | 1.2 | |||
Switzerland | 1.1 | |||
Sweden | 1.0 | |||
|
| |||
54.9 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through the use of certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
# | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
13
GMO Benchmark-Free Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 41.4% |
| |||||||||
Australia — 0.8% |
| |||||||||
7,764 | Altium Ltd | 156,843 | ||||||||
35,634 | Australia & New Zealand Banking Group Ltd | 757,250 | ||||||||
191,041 | Beach Energy Ltd | 267,034 | ||||||||
12,054 | Brickworks Ltd | 151,688 | ||||||||
228,449 | Caltex Australia Ltd | 4,964,262 | ||||||||
52,601 | Charter Hall Group (REIT) | 269,648 | ||||||||
40,010 | Codan Ltd | 89,625 | ||||||||
204,284 | Costa Group Holdings Ltd | 1,063,438 | ||||||||
8,241 | Credit Corp Group Ltd | 136,797 | ||||||||
34,164 | Cromwell Property Group (REIT) | 27,155 | ||||||||
7,022 | Crown Resorts Ltd | 71,810 | ||||||||
12,985 | CSL Ltd | 2,128,714 | ||||||||
215,016 | CSR Ltd | 666,595 | ||||||||
611,645 | Downer EDI Ltd | 3,402,747 | ||||||||
7,585 | Elders Ltd | 36,382 | ||||||||
15,707 | Folkestone Education Trust (REIT) | 31,138 | ||||||||
33,484 | GDI Property Group (REIT) | 30,555 | ||||||||
181,394 | Genworth Mortgage Insurance Australia Ltd | 344,758 | ||||||||
5,324 | Lovisa Holdings Ltd | 41,646 | ||||||||
92,187 | Macquarie Group Ltd | 8,622,546 | ||||||||
3,238 | McMillan Shakespeare Ltd | 41,655 | ||||||||
319,075 | Metcash Ltd | 635,327 | ||||||||
186,543 | Mineral Resources Ltd | 2,031,992 | ||||||||
33,169 | Mirvac Group (REIT) | 58,112 | ||||||||
3,161 | Monadelphous Group Ltd | 32,680 | ||||||||
242,495 | Nine Entertainment Co Holdings Ltd | 421,341 | ||||||||
171,413 | OZ Minerals Ltd | 1,114,500 | ||||||||
15,539 | Pact Group Holdings Ltd | 46,023 | ||||||||
148,096 | Sandfire Resources NL | 755,163 | ||||||||
381,954 | Scentre Group (REIT) | 1,130,826 | ||||||||
15,786 | Shopping Centres Australasia Property Group (REIT) | 27,402 | ||||||||
54,876 | Sigma Healthcare Ltd | 22,509 | ||||||||
5,731 | St Barbara Ltd | 16,173 | ||||||||
34,403 | Stockland (REIT) | 102,358 | ||||||||
13,028 | Virtus Health Ltd | 54,522 | ||||||||
25,340 | WPP AUNZ Ltd | 15,659 | ||||||||
|
| |||||||||
Total Australia | 29,766,873 | |||||||||
|
| |||||||||
Austria — 0.2% |
| |||||||||
1,657 | FACC AG | 41,823 | ||||||||
2,064 | Oesterreichische Post AG | 91,205 | ||||||||
101,346 | OMV AG | 5,373,059 | ||||||||
3,242 | POLYTEC Holding AG | 40,155 | ||||||||
5,220 | S IMMO AG | 109,684 | ||||||||
3,638 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 99,213 |
Shares | Description | Value ($) | ||||||||
Austria — continued |
| |||||||||
27,310 | voestalpine AG | 1,227,538 | ||||||||
|
| |||||||||
Total Austria | 6,982,677 | |||||||||
|
| |||||||||
Belgium — 0.1% |
| |||||||||
22,610 | AGFA-Gevaert NV * | 99,289 | ||||||||
3,540 | Barco NV | 487,124 | ||||||||
1,729 | D’ieteren SA | 76,669 | ||||||||
8,507 | KBC Group NV | 604,846 | ||||||||
6,372 | UCB SA | 583,288 | ||||||||
|
| |||||||||
Total Belgium | 1,851,216 | |||||||||
|
| |||||||||
Brazil — 1.1% |
| |||||||||
167,000 | Ambev SA ADR | 776,550 | ||||||||
14,700 | Banco Bradesco SA | 90,623 | ||||||||
295,600 | Banco BTG Pactual SA | 1,487,761 | ||||||||
484,600 | Banco do Brasil SA | 3,581,169 | ||||||||
919,400 | Banco Santander Brasil SA | 7,810,081 | ||||||||
20,500 | BB Seguridade Participacoes SA | 123,208 | ||||||||
1,040,500 | Cia de Saneamento Basico do Estado de Sao Paulo | 6,233,140 | ||||||||
134,900 | Cia de Saneamento Basico do Estado de Sao Paulo ADR | 810,749 | ||||||||
38,500 | Cia de Saneamento de Minas Gerais-COPASA | 395,861 | ||||||||
37,700 | Cielo SA | 139,763 | ||||||||
13,200 | Construtora Tenda SA * | 95,603 | ||||||||
7,000 | Cosan SA | 59,807 | ||||||||
3,600 | Embraer SA Sponsored ADR (a) | 69,084 | ||||||||
10,500 | Equatorial Energia SA | 146,940 | ||||||||
296,800 | Estacio Participacoes SA | 1,642,452 | ||||||||
178,700 | Grendene SA | 314,132 | ||||||||
4,257,200 | JBS SA | 9,824,871 | ||||||||
110,000 | Kroton Educacional SA | 276,006 | ||||||||
27,200 | Mahle-Metal Leve SA | 168,485 | ||||||||
79,100 | MRV Engenharia e Participacoes SA | 252,461 | ||||||||
9,700 | Multiplus SA | 57,941 | ||||||||
651,740 | Petrobras Distribuidora SA | 3,165,014 | ||||||||
15,000 | QGEP Participacoes SA | 44,929 | ||||||||
1,850 | Qualicorp Consultoria e Corretora de Seguros SA | 7,158 | ||||||||
2,400 | SLC Agricola SA | 38,889 | ||||||||
7,900 | Smiles Fidelidade SA | 100,682 | ||||||||
36,000 | Tim Participacoes SA | 108,625 | ||||||||
43,000 | Transmissora Alianca de Energia Eletrica SA | 212,197 | ||||||||
18,500 | Ultrapar Participacoes SA | 186,994 | ||||||||
7,900 | Ultrapar Participacoes SA Sponsored ADR | 80,738 | ||||||||
155,900 | Via Varejo SA | 646,856 | ||||||||
|
| |||||||||
Total Brazil | 38,948,769 | |||||||||
|
|
14 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — 1.6% |
| |||||||||
28,600 | AGF Management Ltd – Class B | 134,782 | ||||||||
17,200 | Bank of Montreal | 1,409,873 | ||||||||
34,300 | Bank of Montreal (a) (b) | 2,811,228 | ||||||||
24,000 | Bank of Nova Scotia (The) | 1,389,600 | ||||||||
38,900 | Bank of Nova Scotia (The) | 2,251,431 | ||||||||
11,600 | Baytex Energy Corp * | 34,684 | ||||||||
51,837 | BRP Inc Sub Voting | 2,705,852 | ||||||||
9,000 | Canaccord Genuity Group Inc | 48,621 | ||||||||
4,100 | Canadian Imperial Bank of Commerce | 384,088 | ||||||||
31,500 | Canadian Imperial Bank of Commerce | 2,952,069 | ||||||||
41,700 | Canfor Corp * | 961,497 | ||||||||
4,200 | Canfor Pulp Products Inc | 88,087 | ||||||||
1,200 | Cascades Inc | 12,202 | ||||||||
1,800 | Celestica Inc * | 22,138 | ||||||||
3,800 | Cogeco Inc | 180,740 | ||||||||
600 | Constellation Software Inc | 457,513 | ||||||||
6,200 | Dollarama Inc | 234,460 | ||||||||
21,300 | Empire Co Ltd – A Shares | 406,087 | ||||||||
600 | George Weston Ltd | 46,731 | ||||||||
1,400 | Industrial Alliance Insurance & Financial Services Inc | 58,038 | ||||||||
10,000 | Interfor Corp * | 172,107 | ||||||||
15,100 | Labrador Iron Ore Royalty Corp | 293,900 | ||||||||
26,400 | Magna International Inc (b) | 1,428,768 | ||||||||
47,200 | Magna International Inc | 2,555,672 | ||||||||
4,500 | Martinrea International Inc | 48,690 | ||||||||
5,700 | Medical Facilities Corp | 68,618 | ||||||||
7,900 | Metro Inc | 247,352 | ||||||||
31,700 | National Bank of Canada | 1,586,457 | ||||||||
6,800 | Norbord Inc | 258,765 | ||||||||
28,200 | Rogers Sugar Inc | 117,122 | ||||||||
201,400 | Royal Bank of Canada | 15,997,796 | ||||||||
50,700 | Russel Metals Inc | 1,108,407 | ||||||||
120,100 | Sun Life Financial Inc (b) | 4,772,774 | ||||||||
27,300 | Sun Life Financial Inc | 1,085,096 | ||||||||
13,400 | TFI International Inc | 497,392 | ||||||||
94,500 | Toronto-Dominion Bank (The) | 5,695,345 | ||||||||
69,500 | Transcontinental Inc – Class A | 1,693,031 | ||||||||
3,900 | Valener Inc | 59,919 | ||||||||
11,200 | Wajax Corp | 237,646 | ||||||||
48,600 | West Fraser Timber Co Ltd | 3,223,986 | ||||||||
9,400 | ZCL Composites Inc | 56,112 | ||||||||
|
| |||||||||
Total Canada | 57,794,676 | |||||||||
|
| |||||||||
Chile — 0.0% |
| |||||||||
42,485 | AES Gener SA | 10,670 | ||||||||
3,516 | Inversiones La Construccion SA | 57,328 | ||||||||
|
| |||||||||
Total Chile | 67,998 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
China — 5.8% |
| |||||||||
88,000 | 361 Degrees International Ltd | 25,256 | ||||||||
6,000 | AAC Technologies Holdings Inc | 66,685 | ||||||||
2,709,668 | Agile Group Holdings Ltd | 4,431,878 | ||||||||
36,013,000 | Agricultural Bank of China Ltd – Class H | 17,451,041 | ||||||||
106,300 | Anhui Conch Cement Co Ltd – Class A | 579,068 | ||||||||
133,500 | Anhui Conch Cement Co Ltd – Class H | 814,407 | ||||||||
36,000 | Anhui Expressway Co Ltd – Class H | 20,881 | ||||||||
17,000 | ANTA Sports Products Ltd | 92,705 | ||||||||
2,465,500 | BAIC Motor Corp Ltd – Class H | 2,074,373 | ||||||||
23,200 | Baidu Inc Sponsored ADR * (b) | 5,254,336 | ||||||||
2,973,000 | Bank of China Ltd – Class H | 1,335,939 | ||||||||
5,497,000 | Bank of Communications Co Ltd – Class H | 3,972,566 | ||||||||
44,000 | Baoye Group Co Ltd – Class H * | 25,978 | ||||||||
175,000 | Cabbeen Fashion Ltd | 56,434 | ||||||||
42,100 | Cangzhou Mingzhu Plastic Co Ltd – Class A | 28,841 | ||||||||
15,400 | Changyou.com Ltd ADR | 207,746 | ||||||||
3,776,000 | China CITIC Bank Corp Ltd – Class H | 2,359,201 | ||||||||
6,604,000 | China Communications Services Corp Ltd – Class H | 5,471,355 | ||||||||
454,600 | China Construction Bank Corp – Class A | 458,816 | ||||||||
2,866,000 | China Construction Bank Corp – Class H | 2,524,190 | ||||||||
1,381,000 | China Everbright Bank Co Ltd – Class H | 577,432 | ||||||||
2,154,000 | China Greenfresh Group Co Ltd * | 323,815 | ||||||||
1,114,000 | China Huarong Asset Management Co Ltd – Class H | 231,580 | ||||||||
3,279,000 | China Lesso Group Holdings Ltd | 1,892,304 | ||||||||
222,000 | China Lilang Ltd | 246,243 | ||||||||
2,850,000 | China Machinery Engineering Corp – Class H | 1,387,857 | ||||||||
90,000 | China Medical System Holdings Ltd | 149,170 | ||||||||
125,000 | China Mobile Ltd | 1,175,690 | ||||||||
4,134,900 | China National Building Material Co Ltd – Class H | 3,874,461 | ||||||||
174,000 | China Overseas Land & Investment Ltd | 551,497 | ||||||||
13,900 | China Petroleum & Chemical Corp ADR | 1,380,409 | ||||||||
492,800 | China Petroleum & Chemical Corp – Class A | 494,288 | ||||||||
18,344,000 | China Petroleum & Chemical Corp – Class H | 18,457,484 | ||||||||
162,000 | China Pioneer Pharma Holdings Ltd | 40,256 | ||||||||
8,601,000 | China Railway Construction Corp Ltd – Class H | 10,404,856 | ||||||||
2,521,042 | China Railway Group Ltd – Class H | 2,178,884 | ||||||||
430,000 | China Resources Cement Holdings Ltd | 502,857 | ||||||||
172,000 | China Resources Land Ltd | 599,979 | ||||||||
1,418,500 | China Resources Pharmaceutical Group Ltd | 2,270,009 | ||||||||
359,000 | China SCE Group Holdings Ltd | 161,158 | ||||||||
45,600 | China Shenhua Energy Co Ltd – Class A | 123,771 | ||||||||
1,473,000 | China Shenhua Energy Co Ltd – Class H | 3,289,946 | ||||||||
495,000 | China Shineway Pharmaceutical Group Ltd | 699,520 |
See accompanying notes to the financial statements. | 15 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued |
| |||||||||
27,144,000 | China Telecom Corp Ltd – Class H | 12,765,892 | ||||||||
288,000 | China Travel International Investment Hong Kong Ltd | 93,638 | ||||||||
60,700 | China Vanke Co Ltd – Class A | 214,192 | ||||||||
139,900 | China Vanke Co Ltd – Class H | 485,369 | ||||||||
111,097 | China Yangtze Power Co Ltd – Class A | 257,664 | ||||||||
23,300 | China Yuchai International Ltd | 468,563 | ||||||||
38,100 | Chongqing Department Store Co Ltd – Class A | 160,262 | ||||||||
3,649,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 1,968,200 | ||||||||
82,000 | CIFI Holdings Group Co Ltd | 47,627 | ||||||||
45,000 | CNOOC Ltd | 79,847 | ||||||||
230,000 | Country Garden Holdings Co Ltd | 342,883 | ||||||||
25,517 | Country Garden Services Holdings Co Ltd * | 43,109 | ||||||||
100,000 | Dah Chong Hong Holdings Ltd | 43,490 | ||||||||
221,099 | Daqin Railway Co Ltd – Class A | 279,540 | ||||||||
20,100 | Dashang Co Ltd – Class A | 84,354 | ||||||||
6,160,000 | Dongfeng Motor Group Co Ltd – Class H | 6,886,122 | ||||||||
9,000 | ENN Energy Holdings Ltd | 82,045 | ||||||||
97,100 | Fangda Special Steel Technology Co Ltd – Class A | 157,907 | ||||||||
528,000 | Geely Automobile Holdings Ltd | 1,124,156 | ||||||||
99,700 | Gree Electric Appliances Inc of Zhuhai – Class A * | 569,643 | ||||||||
232,000 | Guangdong Investment Ltd | 411,865 | ||||||||
762,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 2,807,539 | ||||||||
4,705,079 | Guangzhou R&F Properties Co Ltd – Class H | 9,508,392 | ||||||||
2,373,000 | Haier Electronics Group Co Ltd * | 6,188,428 | ||||||||
24,000 | Haitian International Holdings Ltd | 48,164 | ||||||||
1,544,000 | Harbin Electric Co Ltd – Class H | 485,770 | ||||||||
114,300 | Heilan Home Co Ltd – Class A | 167,034 | ||||||||
51,200 | Henan Shuanghui Investment & Development Co Ltd – Class A | 174,425 | ||||||||
8,000 | Hengan International Group Co Ltd | 72,076 | ||||||||
558,000 | Hua Hong Semiconductor Ltd | 1,523,556 | ||||||||
2,842,000 | Huabao International Holdings Ltd | 1,674,675 | ||||||||
74,000 | IGG Inc | 89,492 | ||||||||
217,800 | Industrial & Commercial Bank of China Ltd – Class A | 173,713 | ||||||||
1,969,000 | Industrial and Commercial Bank of China Ltd – Class H | 1,454,299 | ||||||||
76,000 | Jiangsu Expressway Co Ltd – Class H | 96,118 | ||||||||
49,000 | JNBY Design Ltd | 83,493 | ||||||||
1,129,000 | Kingboard Holdings Ltd | 4,019,127 | ||||||||
956,500 | Kingboard Laminates Holdings Ltd | 904,322 | ||||||||
9,500 | Legend Holdings Corp – Class H | 29,418 | ||||||||
499,680 | Livzon Pharmaceutical Group Inc – Class H | 2,018,349 | ||||||||
92,400 | Logan Property Holdings Co Ltd | 115,610 |
Shares | Description | Value ($) | ||||||||
China — continued |
| |||||||||
78,500 | Longfor Group Holdings Ltd | 218,350 | ||||||||
7,152,000 | Lonking Holdings Ltd | 2,462,439 | ||||||||
7,500 | Momo Inc Sponsored ADR * | 347,175 | ||||||||
600 | NetEase Inc ADR (a) | 118,626 | ||||||||
19,000 | Nine Dragons Paper Holdings Ltd | 21,576 | ||||||||
136,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 58,994 | ||||||||
360,000 | PICC Property & Casualty Co Ltd – Class H | 405,924 | ||||||||
8,418,000 | Postal Savings Bank of China Co Ltd – Class H | 4,961,741 | ||||||||
1,235,000 | Powerlong Real Estate Holdings Ltd | 631,630 | ||||||||
102,000 | Qingling Motors Co Ltd – Class H | 27,822 | ||||||||
278,000 | Road King Infrastructure Ltd | 472,332 | ||||||||
597,000 | Shanghai Industrial Holdings Ltd | 1,423,463 | ||||||||
1,510,200 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 3,966,994 | ||||||||
206,638 | Shanghai SMI Holding Co Ltd – Class A | 173,481 | ||||||||
38,000 | Shenzhen Expressway Co Ltd – Class H | 36,869 | ||||||||
152,000 | Shenzhen Investment Ltd | 49,806 | ||||||||
8,000 | Shenzhou International Group Holdings Ltd. | 105,077 | ||||||||
3,442,000 | Shimao Property Holdings Ltd | 10,279,093 | ||||||||
1,120,000 | Sino Biopharmaceutical Ltd | 1,419,498 | ||||||||
122,500 | Sino-Ocean Group Holding Ltd | 62,328 | ||||||||
1,638,000 | Sinotruk Hong Kong Ltd | 2,446,383 | ||||||||
2,046,000 | SSY Group Ltd | 1,903,659 | ||||||||
349,098 | Suning Universal Co Ltd – Class A | 172,861 | ||||||||
38,800 | Tencent Holdings Ltd | 1,667,901 | ||||||||
3,800 | Tencent Holdings Ltd ADR | 163,932 | ||||||||
267,500 | Texhong Textile Group Ltd | 460,349 | ||||||||
646,000 | Tianjin Port Development Holdings Ltd * | 75,765 | ||||||||
1,076,000 | Tianneng Power International Ltd | 1,337,438 | ||||||||
35,000 | Times China Holdings Ltd | 41,569 | ||||||||
1,749,000 | TravelSky Technology Ltd – Class H | 4,490,909 | ||||||||
179,000 | Uni-President China Holdings Ltd | 176,389 | ||||||||
3,089,000 | Weichai Power Co Ltd – Class H | 3,276,079 | ||||||||
523,000 | Xinhua Winshare Publishing and Media Co Ltd – Class H | 348,630 | ||||||||
2,006,000 | Xtep International Holdings Ltd | 1,340,300 | ||||||||
42,000 | Yuexiu Transport Infrastructure Ltd | 32,662 | ||||||||
5,945,000 | Yuzhou Properties Co Ltd | 3,163,563 | ||||||||
6,000 | YY Inc ADR * | 458,580 | ||||||||
306,000 | Zhejiang Expressway Co Ltd – Class H | 242,951 | ||||||||
66,286 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 164,456 | ||||||||
|
| |||||||||
Total China | 205,673,124 | |||||||||
|
| |||||||||
Colombia — 0.1% |
| |||||||||
144,314 | Almacenes Exito SA | 751,381 | ||||||||
86,031 | Ecopetrol SA | 96,590 |
16 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Colombia — continued |
| |||||||||
71,500 | Ecopetrol SA Sponsored ADR | 1,615,900 | ||||||||
|
| |||||||||
Total Colombia | 2,463,871 | |||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
15,021 | Moneta Money Bank AS | 52,504 | ||||||||
252 | Philip Morris CR AS | 168,930 | ||||||||
|
| |||||||||
Total Czech Republic | 221,434 | |||||||||
|
| |||||||||
Denmark — 0.2% |
| |||||||||
36,300 | Novo Nordisk A/S Sponsored ADR | 1,784,871 | ||||||||
109,852 | Novo Nordisk A/S – Class B | 5,407,592 | ||||||||
376 | Rockwool International A/S – Class B | 163,384 | ||||||||
9,927 | Royal Unibrew A/S | 855,476 | ||||||||
8,488 | Scandinavian Tobacco Group A/S | 139,736 | ||||||||
2,578 | Schouw & Co AB | 203,834 | ||||||||
536 | SimCorp A/S | 50,769 | ||||||||
3,592 | Spar Nord Bank A/S | 35,136 | ||||||||
|
| |||||||||
Total Denmark | 8,640,798 | |||||||||
|
| |||||||||
Egypt — 0.0% |
| |||||||||
37,976 | Global Telecom Holding SAE * | 9,052 | ||||||||
|
| |||||||||
Finland — 0.3% |
| |||||||||
2,441 | Cramo Oyj | 51,607 | ||||||||
4,644 | DNA Oyj | 98,813 | ||||||||
4,169 | Finnair Oyj | 36,368 | ||||||||
359 | Kesko Oyj – B Shares | 20,912 | ||||||||
9,849 | Metsa Board Oyj | 99,240 | ||||||||
39,545 | Neste Oyj | 3,433,401 | ||||||||
19,281 | Stora Enso Oyj – R Shares | 358,858 | ||||||||
2,487 | Tieto Oyj | 80,723 | ||||||||
122,894 | UPM-Kymmene Oyj | 4,740,571 | ||||||||
|
| |||||||||
Total Finland | 8,920,493 | |||||||||
|
| |||||||||
France — 1.3% |
| |||||||||
3,147 | AKWEL | 76,516 | ||||||||
7,526 | Alten SA | 779,303 | ||||||||
13,315 | AXA SA | 335,548 | ||||||||
94,725 | BNP Paribas SA | 5,576,740 | ||||||||
1,005 | Bonduelle SCA | 33,480 | ||||||||
17,283 | Christian Dior SE | 7,456,830 | ||||||||
95,650 | CNP Assurances | 2,210,736 | ||||||||
29,187 | Coface SA | 273,835 | ||||||||
42,523 | Credit Agricole SA | 581,823 | ||||||||
462 | Dassault Systemes SE | 74,974 | ||||||||
8,748 | Derichebourg SA | 48,993 | ||||||||
2,791 | Eramet | 239,118 | ||||||||
2,576 | Gaztransport Et Technigaz SA | 176,245 | ||||||||
655 | Interparfums SA | 30,374 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
1,220 | Ipsen SA | 217,408 | ||||||||
4,876 | IPSOS (b) | 154,562 | ||||||||
2,872 | Jacquet Metal Service | 83,913 | ||||||||
2,352 | Kaufman & Broad SA | 123,858 | ||||||||
33,628 | L’Oreal SA | 8,050,741 | ||||||||
2,254 | Mersen SA | 88,254 | ||||||||
10,993 | Metropole Television SA | 217,649 | ||||||||
94,349 | Natixis SA | 631,004 | ||||||||
430 | Nexity SA | 26,278 | ||||||||
7,715 | Peugeot SA | 212,582 | ||||||||
2,381 | Rallye SA | 24,719 | ||||||||
46,321 | Sanofi | 3,977,740 | ||||||||
36,800 | Sanofi ADR (a) | 1,576,880 | ||||||||
4,034 | Schneider Electric SE | 327,823 | ||||||||
22,080 | SCOR SE | 892,589 | ||||||||
27,897 | Societe Generale SA | 1,142,306 | ||||||||
322,900 | STMicroelectronics NV – NY Shares (Registered) | 6,680,801 | ||||||||
174,745 | STMicroelectronics NV | 3,605,441 | ||||||||
614 | Vilmorin & Cie SA | 42,597 | ||||||||
|
| |||||||||
Total France | 45,971,660 | |||||||||
|
| |||||||||
Germany — 2.1% |
| |||||||||
937 | Aareal Bank AG | 38,100 | ||||||||
55,416 | Allianz SE (Registered) | 11,811,465 | ||||||||
814 | Amadeus Fire AG | 93,838 | ||||||||
44,833 | BASF SE | 4,142,817 | ||||||||
4,182 | Bayer AG (Registered) | 390,282 | ||||||||
145,041 | Bayerische Motoren Werke AG | 14,040,944 | ||||||||
3,883 | Cewe Stiftung & Co KGAA | 356,997 | ||||||||
80,745 | Covestro AG (b) | 6,874,744 | ||||||||
194,909 | Daimler AG (Registered Shares) | 12,604,828 | ||||||||
462,371 | Deutsche Lufthansa AG (Registered) | 12,080,626 | ||||||||
34,496 | Deutsche Pfandbriefbank AG | 504,997 | ||||||||
2,222 | Elmos Semiconductor AG | 57,397 | ||||||||
7,135 | Henkel AG & Co KGaA | 796,165 | ||||||||
2,917 | Isra Vision AG | 203,004 | ||||||||
728 | Koenig & Bauer AG | 50,495 | ||||||||
1,419 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 305,701 | ||||||||
752 | Rheinmetall AG | 82,011 | ||||||||
4,149 | RWE AG | 105,231 | ||||||||
38,579 | SAP AG | 4,631,323 | ||||||||
805 | Siltronic AG | 116,701 | ||||||||
7,175 | Software AG | 353,822 | ||||||||
2,158 | Takkt AG | 37,646 | ||||||||
20,664 | Talanx AG | 780,299 | ||||||||
18,791 | Volkswagen AG | 3,024,765 | ||||||||
4,783 | Wacker Neuson SE | 132,235 | ||||||||
654 | Washtec AG | 63,493 |
See accompanying notes to the financial statements. | 17 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
2,753 | Wuestenrot & Wuerttembergische AG | 63,594 | ||||||||
|
| |||||||||
Total Germany | 73,743,520 | |||||||||
|
| |||||||||
Greece — 0.0% |
| |||||||||
12,055 | FF Group * (c) | 67,166 | ||||||||
|
| |||||||||
Hong Kong — 0.5% |
| |||||||||
352,400 | BOC Hong Kong Holdings Ltd | 1,721,049 | ||||||||
751,400 | Champion (REIT) | 552,666 | ||||||||
38,000 | CK Asset Holdings Ltd | 271,006 | ||||||||
41,700 | Dah Sing Banking Group Ltd | 86,010 | ||||||||
2,800 | Dah Sing Financial Holdings Ltd | 17,415 | ||||||||
78,000 | Fortune Real Estate Investment Trust | 93,433 | ||||||||
8,100 | Hang Seng Bank Ltd | 219,746 | ||||||||
90,100 | Hysan Development Co Ltd | 462,331 | ||||||||
841,638 | I-CABLE Communications Ltd * | 9,547 | ||||||||
35,000 | Johnson Electric Holdings Ltd | 102,626 | ||||||||
221,800 | Kerry Properties Ltd | 841,137 | ||||||||
54,800 | Luk Fook Holdings International Ltd | 190,688 | ||||||||
1,739,900 | SJM Holdings Ltd | 1,969,935 | ||||||||
10,300 | SmarTone Telecommunications Holdings Ltd | 10,422 | ||||||||
7,669,500 | WH Group Ltd | 5,792,232 | ||||||||
689,100 | Wharf Holdings Ltd (The) | 1,967,899 | ||||||||
407,100 | Wharf Real Estate Investment Co Ltd | 2,701,046 | ||||||||
339,500 | Wheelock & Co Ltd | 2,131,751 | ||||||||
39,425 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 9,596 | ||||||||
18,000 | Xinyi Glass Holdings Ltd | 22,502 | ||||||||
8,400 | Yue Yuen Industrial Holdings Ltd | 23,287 | ||||||||
|
| |||||||||
Total Hong Kong | 19,196,324 | |||||||||
|
| |||||||||
Hungary — 0.0% |
| |||||||||
733,294 | Magyar Telekom Telecommunications Plc | 1,074,870 | ||||||||
7,155 | Richter Gedeon Nyrt | 140,498 | ||||||||
|
| |||||||||
Total Hungary | 1,215,368 | |||||||||
|
| |||||||||
India — 1.6% |
| |||||||||
565 | ACC Ltd | 13,109 | ||||||||
23,117 | Apollo Tyres Ltd | 82,114 | ||||||||
31,638 | Aurobindo Pharma Ltd | 318,380 | ||||||||
2,476 | Bajaj Auto Ltd | 96,235 | ||||||||
13,132 | Balmer Lawrie & Co Ltd | 42,622 | ||||||||
137,242 | Balrampur Chini Mills Ltd * | 147,929 | ||||||||
22,023 | Bata India Ltd | 336,778 | ||||||||
11,377 | Castrol India Ltd | 25,518 | ||||||||
12,475 | Divi’s Laboratories Ltd | 230,518 | ||||||||
583,463 | Firstsource Solutions Ltd | 620,409 | ||||||||
7,479 | Gujarat State Petronet Ltd | 20,279 | ||||||||
873,986 | HCL Technologies Ltd | 12,876,195 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
46,273 | Hero MotoCorp Ltd | 2,129,048 | ||||||||
278,822 | Hexaware Technologies Ltd | 1,725,555 | ||||||||
66,933 | Hindustan Unilever Ltd | 1,677,581 | ||||||||
108,196 | HT Media Ltd | 84,219 | ||||||||
18,105 | IDFC Bank Ltd | 12,189 | ||||||||
319,360 | ITC Ltd | 1,440,632 | ||||||||
87,812 | Jamna Auto Industries Ltd | 100,819 | ||||||||
20,330 | Jubilant Life Sciences Ltd * | 206,601 | ||||||||
83,020 | Just Dial Ltd * | 654,736 | ||||||||
12,597 | KPIT Technologies Ltd | 53,870 | ||||||||
52,988 | Larsen & Toubro Infotech Ltd | 1,335,831 | ||||||||
2,258 | Mahanagar Gas Ltd | 27,490 | ||||||||
195,698 | Mahindra & Mahindra Ltd | 2,667,111 | ||||||||
53,299 | Maruti Suzuki India Ltd | 6,845,885 | ||||||||
11,280 | Mastek Ltd | 85,739 | ||||||||
3,014 | Merck Ltd | 148,850 | ||||||||
119,432 | Mphasis Ltd | 2,131,914 | ||||||||
306 | MRF Ltd | 319,106 | ||||||||
77,100 | NHPC Ltd | 27,631 | ||||||||
120,379 | NIIT Technologies Ltd | 2,392,105 | ||||||||
959,843 | Oil & Natural Gas Corp Ltd | 2,435,774 | ||||||||
10,626 | Oil India Ltd | 32,054 | ||||||||
400 | Oracle Financial Services Software Ltd | 23,603 | ||||||||
2,838 | Pidilite Industries Ltd | 46,781 | ||||||||
1,301 | Piramal Enterprises Ltd | 58,922 | ||||||||
607,485 | Power Finance Corp Ltd | 724,285 | ||||||||
739,608 | PTC India Ltd | 874,488 | ||||||||
20,493 | Rajesh Exports Ltd | 192,067 | ||||||||
400,527 | Reliance Capital Ltd | 2,660,423 | ||||||||
3,690 | Repco Home Finance Ltd | 28,303 | ||||||||
2,842,573 | Rural Electrification Corp Ltd | 4,809,390 | ||||||||
116,413 | Sonata Software Ltd | 578,896 | ||||||||
4,342 | Tata Motors Ltd – Class A * | 8,716 | ||||||||
116,736 | Tech Mahindra Ltd | 1,261,575 | ||||||||
40,975 | Vakrangee Ltd | 22,284 | ||||||||
70,349 | VIP Industries Ltd | 619,829 | ||||||||
322,015 | Wipro Ltd | 1,363,985 | ||||||||
118,333 | Zee Entertainment Enterprises Ltd | 835,192 | ||||||||
|
| |||||||||
Total India | 55,453,565 | |||||||||
|
| |||||||||
Indonesia — 0.2% |
| |||||||||
2,114,300 | Adaro Energy Tbk PT | 268,074 | ||||||||
134,000 | Bank Central Asia Tbk PT | 225,694 | ||||||||
423,000 | Bank Mandiri Persero Tbk PT | 197,091 | ||||||||
193,700 | Bank Negara Indonesia Persero Tbk PT | 102,605 | ||||||||
1,202,700 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 54,701 | ||||||||
3,791,700 | Bank Rakyat Indonesia Persero Tbk PT | 819,259 | ||||||||
655,000 | Bukit Asam Tbk PT | 180,133 | ||||||||
165,100 | Bumi Serpong Damai Tbk PT * | 13,467 |
18 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
2,551,400 | Erajaya Swasembada Tbk PT | 464,663 | ||||||||
38,100 | Gudang Garam Tbk PT | 188,848 | ||||||||
45,300 | Indah Kiat Pulp & Paper Corp Tbk PT | 58,775 | ||||||||
1,092,900 | Indo Tambangraya Megah Tbk PT | 2,100,077 | ||||||||
56,200 | Link Net Tbk PT | 16,412 | ||||||||
78,500 | Matahari Department Store Tbk PT | 39,987 | ||||||||
1,112,400 | Mitra Pinasthika Mustika Tbk PT | 74,026 | ||||||||
2,601,400 | Modernland Realty Tbk PT | 44,908 | ||||||||
6,154,600 | Panin Financial Tbk PT * | 85,308 | ||||||||
112,900 | PP Persero Tbk PT | 14,577 | ||||||||
965,000 | Ramayana Lestari Sentosa Tbk PT | 83,218 | ||||||||
1,305,400 | Surya Semesta Internusa Tbk PT | 43,086 | ||||||||
1,127,700 | Telekomunikasi Indonesia Persero Tbk PT | 267,855 | ||||||||
2,200 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 52,074 | ||||||||
60,200 | United Tractors Tbk PT | 140,637 | ||||||||
629,800 | Waskita Beton Precast Tbk PT | 16,689 | ||||||||
67,400 | XL Axiata Tbk PT * | 14,547 | ||||||||
|
| |||||||||
Total Indonesia | 5,566,711 | |||||||||
|
| |||||||||
Ireland — 0.1% |
| |||||||||
12,600 | ICON Plc * | 1,877,652 | ||||||||
|
| |||||||||
Israel — 0.0% |
| |||||||||
70,703 | Bank Leumi Le-Israel BM | 474,936 | ||||||||
8,692 | Discount Investment Corp Ltd (Registered) | 26,254 | ||||||||
5,220 | First International Bank of Israel Ltd | 120,915 | ||||||||
9,801 | Harel Insurance Investments & Financial Services Ltd | 80,013 | ||||||||
4,077 | Nova Measuring Instruments Ltd * | 122,619 | ||||||||
|
| |||||||||
Total Israel | 824,737 | |||||||||
|
| |||||||||
Italy — 0.9% |
| |||||||||
38,149 | ACEA SPA | 543,758 | ||||||||
9,853 | ASTM SPA | 201,100 | ||||||||
93,324 | Cofide SPA | 50,294 | ||||||||
6,272 | El.En. SPA | 202,172 | ||||||||
21,564 | Enav SPA | 106,610 | ||||||||
487,312 | Enel SPA | 2,409,241 | ||||||||
27,769 | ERG SPA | 575,191 | ||||||||
150,644 | EXOR NV | 9,802,270 | ||||||||
16,566 | Falck Renewables SPA | 39,231 | ||||||||
31,164 | Fiat Chrysler Automobiles NV * | 527,600 | ||||||||
624,000 | Fiat Chrysler Automobiles NV * | 10,676,640 | ||||||||
37,665 | Fincantieri SPA | 55,839 | ||||||||
5,940 | FinecoBank Banca Fineco SPA | 70,811 | ||||||||
46,897 | Hera SPA | 147,128 | ||||||||
439,595 | Iren SPA | 1,031,018 | ||||||||
8,260 | La Doria SPA | 94,783 | ||||||||
9,666 | MARR SPA | 271,622 |
Shares | Description | Value ($) | ||||||||
Italy — continued |
| |||||||||
12,147 | Mediobanca Banca di Credito Finanziario SPA | 113,108 | ||||||||
39,317 | Poste Italiane SPA | 302,869 | ||||||||
1,507 | Prima Industrie SPA | 56,684 | ||||||||
18,681 | Recordati SPA | 654,432 | ||||||||
682 | Reply SPA | 45,119 | ||||||||
26,638 | Saras SPA | 67,375 | ||||||||
209,443 | Societa Cattolica di Assicurazioni SC | 1,699,796 | ||||||||
21,964 | Societa Iniziative Autostradali e Servizi SPA | 306,194 | ||||||||
566,952 | Telecom Italia SPA-RSP | 315,569 | ||||||||
42,012 | Unipol Gruppo SPA | 173,463 | ||||||||
|
| |||||||||
Total Italy | 30,539,917 | |||||||||
|
| |||||||||
Japan — 4.9% |
| |||||||||
27,300 | Aisin Seiki Co Ltd | 1,262,705 | ||||||||
16,000 | AOKI Holdings Inc (b) | 215,809 | ||||||||
777,000 | Asahi Kasei Corp (b) | 11,385,789 | ||||||||
523,300 | Astellas Pharma Inc (b) | 8,871,819 | ||||||||
215,900 | Brother Industries Ltd | 4,429,042 | ||||||||
237,300 | Canon Inc | 7,614,149 | ||||||||
1,700 | Capcom Co Ltd | 39,623 | ||||||||
10,400 | Cawachi Ltd | 198,564 | ||||||||
500 | Central Japan Railway Co | 100,388 | ||||||||
27,200 | CKD Corp | 401,753 | ||||||||
32,900 | Concordia Financial Group Ltd | 157,874 | ||||||||
13,500 | Cosmo Energy Holdings Co Ltd (b) | 497,417 | ||||||||
7,100 | Daiwabo Holdings Co Ltd | 423,401 | ||||||||
1,200 | DCM Holdings Co Ltd | 10,960 | ||||||||
16,160 | Denka Co Ltd | 552,980 | ||||||||
11,500 | DTS Corp | 471,317 | ||||||||
8,200 | Ehime Bank Ltd (The) | 90,430 | ||||||||
1,500 | Eisai Co Ltd | 135,835 | ||||||||
9,500 | Elecom Co Ltd | 251,118 | ||||||||
3,900 | Exedy Corp | 122,610 | ||||||||
37,200 | Fancl Corp | 1,910,945 | ||||||||
216,000 | Fuji Electric Co Ltd | 1,739,965 | ||||||||
1,800 | Fujicco Co Ltd | 39,268 | ||||||||
8,200 | FUJIFILM Holdings Corp | 346,354 | ||||||||
355,000 | Fujitsu Ltd | 2,595,696 | ||||||||
14,000 | Fukuoka Financial Group Inc | 78,494 | ||||||||
1,900 | Fuyo General Lease Co Ltd | 114,052 | ||||||||
3,800 | Hakuhodo DY Holdings Inc | 64,113 | ||||||||
1,600 | Hamakyorex Co Ltd | 53,761 | ||||||||
32,060 | Hanwa Co Ltd | 1,080,742 | ||||||||
2,500 | Heiwado Co Ltd | 65,459 | ||||||||
1,700 | Hisamitsu Pharmaceutical Co Inc | 124,186 | ||||||||
1,846,000 | Hitachi Ltd | 12,049,889 | ||||||||
30,600 | Honda Motor Co Ltd | 906,470 | ||||||||
1,000 | Horiba Ltd | 61,925 |
See accompanying notes to the financial statements. | 19 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
1,100 | Hosokawa Micron Corp | 66,573 | ||||||||
32,700 | House Foods Group Inc | 969,471 | ||||||||
5,200 | Isuzu Motors Ltd | 75,072 | ||||||||
874,400 | ITOCHU Corp | 15,279,135 | ||||||||
3,000 | Japan Aviation Electronics Industry Ltd | 54,902 | ||||||||
8,900 | JSR Corp | 172,643 | ||||||||
1,800 | JTEKT Corp | 25,196 | ||||||||
30,700 | JXTG Holdings Inc | 216,154 | ||||||||
1,100 | Kaken Pharmaceutical Co Ltd | 56,499 | ||||||||
97,400 | Kanematsu Corp | 1,444,477 | ||||||||
1,000 | Kasai Kogyo Co Ltd | 11,007 | ||||||||
600 | Kato Sangyo Co Ltd | 19,486 | ||||||||
28,200 | KDDI Corp | 745,603 | ||||||||
9,700 | Keihin Corp | 203,840 | ||||||||
300 | Keyence Corp | 169,832 | ||||||||
34,500 | Kirin Holdings Co Ltd (b) | 852,572 | ||||||||
16,000 | Kitz Corp | 140,154 | ||||||||
14,600 | Konica Minolta Inc | 148,478 | ||||||||
1,300 | Kose Corp | 239,698 | ||||||||
13,100 | Kyowa Exeo Corp (b) | 366,337 | ||||||||
6,000 | Makino Milling Machine Co Ltd | 55,379 | ||||||||
339,300 | Marubeni Corp | 2,780,039 | ||||||||
66,000 | MCJ Co Ltd | 596,663 | ||||||||
3,300 | Medipal Holdings Corp | 66,554 | ||||||||
1,616,000 | Mitsubishi Chemical Holdings Corp | 14,478,943 | ||||||||
47,900 | Mitsubishi Corp | 1,365,967 | ||||||||
663,000 | Mitsubishi Electric Corp | 8,950,151 | ||||||||
103,600 | Mitsubishi Gas Chemical Co Inc (b) | 2,153,624 | ||||||||
122,500 | Mitsubishi Tanabe Pharma Corp | 2,043,176 | ||||||||
21,700 | Mitsui & Co Ltd | 361,495 | ||||||||
32,300 | Mitsui Chemicals Inc (b) | 834,798 | ||||||||
6,000 | Mitsui Sugar Co Ltd | 163,521 | ||||||||
3,800 | Mitsui Mining & Smelting Co Ltd | 108,860 | ||||||||
300 | Modec Inc | 9,079 | ||||||||
600 | Nachi-Fujikoshi Corp | 29,108 | ||||||||
1,100 | NEC Corp | 30,370 | ||||||||
8,300 | NET One Systems Co Ltd | 192,240 | ||||||||
52,000 | Nichias Corp (b) | 675,980 | ||||||||
21,400 | Nichiha Corp | 600,872 | ||||||||
2,900 | Nihon Unisys Ltd | 70,798 | ||||||||
29,400 | Nippo Corp | 545,673 | ||||||||
347,100 | Nippon Telegraph & Telephone Corp | 15,442,816 | ||||||||
2,000 | Nippon Flour Mills Co Ltd | 33,453 | ||||||||
4,000 | Nisshin Oillio Group Ltd (The) | 108,135 | ||||||||
12,200 | Nisshin Seifun Group Inc | 244,013 | ||||||||
23,000 | Nisshinbo Holdings Inc | 257,892 | ||||||||
900 | Nissin Corp | 18,841 | ||||||||
4,800 | Nomura Real Estate Holdings Inc | 103,979 | ||||||||
500 | Noritake Co Ltd | 30,032 | ||||||||
5,900 | Noritsu Koki Co Ltd | 153,548 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
37,500 | NTT DOCOMO Inc | 971,839 | ||||||||
1,800 | Okamura Corp | 24,533 | ||||||||
15,100 | Open House Co Ltd | 882,652 | ||||||||
13,700 | ORIX Corp | 220,319 | ||||||||
9,800 | Osaki Electric Co Ltd | 71,987 | ||||||||
1,700 | Otsuka Holdings Co Ltd | 79,755 | ||||||||
80,800 | Pola Orbis Holdings Inc | 2,847,537 | ||||||||
2,300 | Pressance Corp | 35,191 | ||||||||
173,000 | Prima Meat Packers Ltd | 858,791 | ||||||||
5,500 | Renesas Electronics Corp * | 41,547 | ||||||||
6,500 | Resona Holdings Inc | 36,869 | ||||||||
1,900 | Rion Co Ltd | 40,208 | ||||||||
32,800 | Rohto Pharmaceutical Co Ltd | 1,047,824 | ||||||||
6,600 | Roland DG Corp | 154,876 | ||||||||
7,500 | Seiko Holdings Corp | 209,714 | ||||||||
157,300 | Sekisui Chemical Co Ltd | 2,732,643 | ||||||||
13,600 | Showa Corp | 216,637 | ||||||||
8,100 | Showa Denko KK (b) | 384,727 | ||||||||
1,495,300 | Sojitz Corp | 5,203,443 | ||||||||
1,217,000 | Sumitomo Chemical Co Ltd (b) | 6,907,466 | ||||||||
12,700 | Sumitomo Dainippon Pharma Co Ltd (b) | 270,245 | ||||||||
4,700 | Sumitomo Forestry Co Ltd | 75,917 | ||||||||
11,240 | Sumitomo Heavy Industries Ltd | 365,718 | ||||||||
15,500 | Sumitomo Mitsui Financial Group Inc | 609,358 | ||||||||
4,300 | Sumitomo Mitsui Trust Holdings Inc | 172,537 | ||||||||
2,300 | Suntory Beverage & Food Ltd | 94,210 | ||||||||
1,300 | Suzuken Co Ltd | 59,034 | ||||||||
200 | T RAD Co Ltd | 5,469 | ||||||||
23,900 | T-Gaia Corp | 628,956 | ||||||||
200 | Taisho Pharmaceutical Holdings Co Ltd | 21,678 | ||||||||
3,400 | Takara Holdings Inc | 33,704 | ||||||||
26,100 | Takeda Pharmaceutical Co Ltd | 1,087,356 | ||||||||
10,200 | Tatsuta Electric Wire and Cable Co Ltd | 55,680 | ||||||||
13,800 | Tocalo Co Ltd | 159,548 | ||||||||
500 | Token Corp | 35,389 | ||||||||
8,200 | Tokio Marine Holdings Inc | 386,399 | ||||||||
34,000 | Tokyo Electron Ltd | 5,788,491 | ||||||||
17,600 | Tokyu Construction Co Ltd | 161,711 | ||||||||
2,000 | Toshiba Machine Co Ltd | 9,377 | ||||||||
127,300 | Tosoh Corp | 1,997,368 | ||||||||
2,000 | Toyo Suisan Kaisha Ltd | 73,664 | ||||||||
101,100 | Toyota Tsusho Corp | 3,444,245 | ||||||||
8,500 | TPR Co Ltd | 199,370 | ||||||||
29,400 | TS Tech Co Ltd | 1,109,289 | ||||||||
9,800 | UKC Holdings Corp | 215,894 | ||||||||
1,600 | Ushio Inc | 21,096 | ||||||||
10,800 | Wacoal Holdings Corp | 319,581 | ||||||||
1,800 | Yamazaki Baking Co Ltd | 35,018 | ||||||||
500 | Yellow Hat Ltd | 13,918 |
20 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
12,300 | Yuasa Trading Co Ltd | 428,957 | ||||||||
|
| |||||||||
Total Japan | 173,075,765 | |||||||||
|
| |||||||||
Malaysia — 0.2% | ||||||||||
475,900 | DRB-Hicom Berhad | 262,103 | ||||||||
156,500 | KSL Holdings Berhad * | 32,339 | ||||||||
121,400 | Malayan Flour Mills Berhad | 34,768 | ||||||||
159,600 | Padini Holdings Berhad | 232,264 | ||||||||
10,500 | Petronas Dagangan Berhad | 69,321 | ||||||||
69,400 | Sapura Energy Berhad * | 5,698 | ||||||||
1,048,900 | Supermax Corp Berhad | 856,026 | ||||||||
31,500 | Tenaga Nasional Berhad | 120,082 | ||||||||
1,311,300 | Top Glove Corp Berhad | 3,552,905 | ||||||||
83,000 | UOA Development Berhad | 49,020 | ||||||||
53,600 | YTL Power International Berhad | 14,859 | ||||||||
|
| |||||||||
Total Malaysia | 5,229,385 | |||||||||
|
| |||||||||
Mexico — 0.6% |
| |||||||||
109,125 | Arca Continental SAB de CV | 674,847 | ||||||||
16,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B | 25,350 | ||||||||
18,100 | Becle SAB de CV | 25,693 | ||||||||
136,929 | Bolsa Mexicana de Valores SAB de CV | 275,789 | ||||||||
168,800 | Cemex SAB de CV * | 119,629 | ||||||||
43,500 | Cemex SAB de CV Sponsored ADR * (a) | 308,415 | ||||||||
61,900 | Corp Inmobiliaria Vesta SAB de CV | 87,641 | ||||||||
3,700 | El Puerto de Liverpool SAB de CV – Class C1 | 26,114 | ||||||||
55,000 | Fibra Uno Administracion SA de CV (REIT) | 71,970 | ||||||||
24,400 | Fomento Economico Mexicano SAB de CV | 233,716 | ||||||||
4,500 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 431,460 | ||||||||
114,600 | Gentera SAB de CV | 116,308 | ||||||||
33,350 | Grupo Aeroportuario del Centro Norte SAB de CV | 219,229 | ||||||||
200 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 10,542 | ||||||||
800 | Grupo Aeroportuario del Pacifico SAB de CV ADR | 82,648 | ||||||||
8,200 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 84,729 | ||||||||
400 | Grupo Aeroportuario del Sureste SAB de CV ADR | 75,036 | ||||||||
2,785 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 52,226 | ||||||||
14,500 | Grupo Bimbo SAB de CV – Class A | 30,275 | ||||||||
30,800 | Grupo Financiero Banorte SAB de CV – Class O | 210,076 | ||||||||
17,400 | Grupo Financiero Inbursa SAB de CV – Class O | 27,687 |
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
148,142 | Grupo Herdez SAB de CV | 318,612 | ||||||||
18,700 | Grupo Lala SAB de CV | 19,899 | ||||||||
53,500 | Grupo Mexico SAB de CV – Series B | 156,563 | ||||||||
1,620 | Industrias Penoles SAB de CV | 27,445 | ||||||||
105,300 | Megacable Holdings SAB de CV CPO | 496,317 | ||||||||
26,500 | Mexichem SAB de CV | 89,423 | ||||||||
11,245 | Promotora y Operadora de Infraestructura SAB de CV | 119,511 | ||||||||
16,900 | Unifin Financiera SAB de CV SOFOM ENR | 43,114 | ||||||||
6,113,838 | Wal-Mart de Mexico SAB de CV | 16,928,437 | ||||||||
|
| |||||||||
Total Mexico | 21,388,701 | |||||||||
|
| |||||||||
Netherlands — 0.4% |
| |||||||||
20,799 | ASR Nederland NV | 994,384 | ||||||||
6,513 | ForFarmers NV | 72,838 | ||||||||
30,715 | Heineken Holding NV | 2,930,624 | ||||||||
470,729 | ING Groep NV | 6,394,280 | ||||||||
2,728 | Koninklijke Ahold Delhaize NV | 66,452 | ||||||||
2,545 | Koninklijke Volkerwessels NV | 54,676 | ||||||||
14,036 | Signify NV (b) | 395,654 | ||||||||
27,200 | Wolters Kluwer NV | 1,725,656 | ||||||||
|
| |||||||||
Total Netherlands | 12,634,564 | |||||||||
|
| |||||||||
New Zealand — 0.0% |
| |||||||||
676,416 | Air New Zealand Ltd | 1,476,693 | ||||||||
|
| |||||||||
Norway — 0.7% |
| |||||||||
7,063 | Aker ASA – A Shares | 553,373 | ||||||||
14,079 | Aker Solutions ASA * | 95,847 | ||||||||
38,955 | Austevoll Seafood ASA | 512,587 | ||||||||
27,356 | Bakkafrost P/F | 1,560,646 | ||||||||
2,589 | Borregaard ASA | 24,614 | ||||||||
469,929 | DNB ASA | 9,553,661 | ||||||||
2,317 | Entra ASA | 33,592 | ||||||||
300,557 | Equinor ASA | 7,709,348 | ||||||||
11,107 | Grieg Seafood ASA | 127,782 | ||||||||
42,773 | Kvaerner ASA * | 79,083 | ||||||||
66,481 | Leroy Seafood Group ASA | 505,528 | ||||||||
3,999 | Marine Harvest ASA | 86,369 | ||||||||
9,498 | Salmar ASA | 457,292 | ||||||||
5,489 | Selvaag Bolig ASA | 27,744 | ||||||||
24,304 | SpareBank 1 Nord Norge | 190,105 | ||||||||
10,671 | SpareBank 1 SR Bank ASA | 120,407 | ||||||||
122,489 | Storebrand ASA | 1,084,390 | ||||||||
89,740 | Subsea 7 SA | 1,220,046 | ||||||||
13,044 | TGS NOPEC Geophysical Co ASA | 494,689 | ||||||||
|
| |||||||||
Total Norway | 24,437,103 | |||||||||
|
|
See accompanying notes to the financial statements. | 21 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Pakistan — 0.0% |
| |||||||||
13,100 | Engro Corp Ltd | 34,715 | ||||||||
38,000 | Engro Fertilizers Ltd | 24,179 | ||||||||
37,600 | Oil & Gas Development Co Ltd | 46,043 | ||||||||
6,350 | Pakistan Oilfields Ltd | 32,903 | ||||||||
|
| |||||||||
Total Pakistan | 137,840 | |||||||||
|
| |||||||||
Peru — 0.0% |
| |||||||||
500 | Credicorp Ltd | 109,010 | ||||||||
|
| |||||||||
Philippines — 0.0% |
| |||||||||
279,000 | Belle Corp | 16,073 | ||||||||
78,900 | DMCI Holdings Inc | 18,897 | ||||||||
56,200 | Eagle Cement Corp | 17,069 | ||||||||
107,500 | First Gen Corp | 34,190 | ||||||||
1,890 | GT Capital Holdings Inc | 30,977 | ||||||||
31,400 | Jollibee Foods Corp | 169,192 | ||||||||
269,200 | Lopez Holding Corp | 23,660 | ||||||||
266,200 | LT Group Inc | 85,619 | ||||||||
42,600 | Manila Electric Co | 297,445 | ||||||||
169,800 | Manila Water Co Inc | 77,505 | ||||||||
492,000 | Megaworld Corp | 42,253 | ||||||||
377,000 | Metro Pacific Investments Corp | 38,460 | ||||||||
682,325 | Nickel Asia Corp | 69,330 | ||||||||
134,500 | Petron Corp | 22,793 | ||||||||
38,285 | Pilipinas Shell Petroleum Corp | 41,171 | ||||||||
19,720 | Puregold Price Club Inc | 16,967 | ||||||||
95,250 | Semirara Mining & Power Corp | 51,665 | ||||||||
|
| |||||||||
Total Philippines | 1,053,266 | |||||||||
|
| |||||||||
Poland — 0.1% |
| |||||||||
108,611 | Asseco Poland SA | 1,345,568 | ||||||||
7,207 | Bank Millennium SA * | 17,492 | ||||||||
11,945 | Bank Polska Kasa Opieki SA | 376,369 | ||||||||
607 | Bank Zachodni WBK SA | 61,707 | ||||||||
2,441 | Budimex SA | 75,013 | ||||||||
501 | CCC SA | 29,181 | ||||||||
2,863 | CD Projekt SA * | 159,506 | ||||||||
42,398 | Cyfrowy Polsat SA * | 257,115 | ||||||||
1,730 | Dino Polska SA * | 42,513 | ||||||||
221,733 | Energa SA | 501,536 | ||||||||
2,590 | Grupa Lotos SA | 48,693 | ||||||||
60,510 | Impexmetal SA * | 65,107 | ||||||||
2,120 | KRUK SA | 118,310 | ||||||||
52 | LPP SA | 129,531 | ||||||||
20,194 | Polski Koncern Naftowy ORLEN SA | 535,349 | ||||||||
211,860 | Polskie Gornictwo Naftowe i Gazownictwo SA * | 331,895 | ||||||||
28,536 | Powszechna Kasa Oszczednosci Bank Polski SA | 325,171 | ||||||||
45,054 | Powszechny Zaklad Ubezpieczen SA | 542,573 |
Shares | Description | Value ($) | ||||||||
Poland — continued | ||||||||||
684 | Stalprodukt SA | 85,516 | ||||||||
1,608 | Warsaw Stock Exchange | 17,958 | ||||||||
|
| |||||||||
Total Poland | 5,066,103 | |||||||||
|
| |||||||||
Portugal — 0.0% |
| |||||||||
5,537 | Altri SGPS SA | 51,060 | ||||||||
11,994 | Navigator Co SA (The) | 59,932 | ||||||||
1,615 | Semapa-Sociedade de Investimento e Gestao | 33,397 | ||||||||
391,292 | Sonae SGPS SA | 416,275 | ||||||||
|
| |||||||||
Total Portugal | 560,664 | |||||||||
|
| |||||||||
Qatar — 0.0% |
| |||||||||
23,108 | Barwa Real Estate Co | 228,499 | ||||||||
7,847 | Doha Bank QPSC | 55,378 | ||||||||
4,865 | Masraf Al Rayan QSC | 50,388 | ||||||||
1,272 | Qatar Electricity & Water Co QSC | 66,815 | ||||||||
13,840 | Qatar Gas Transport Co Ltd | 66,483 | ||||||||
5,364 | Qatar Insurance Co SAQ | 54,243 | ||||||||
1,532 | Qatar Islamic Bank SAQ | 58,915 | ||||||||
12,331 | Qatar National Bank QPSC | 602,961 | ||||||||
874 | Qatar National Cement Co QSC | 13,777 | ||||||||
1,678 | Qatar Navigation QSC | 30,125 | ||||||||
|
| |||||||||
Total Qatar | 1,227,584 | |||||||||
|
| |||||||||
Russia — 0.7% |
| |||||||||
180,300 | Aeroflot PJSC | 308,837 | ||||||||
492,700 | Alrosa PJSC | 741,106 | ||||||||
1,327,000 | ENEL RUSSIA PJSC | 21,875 | ||||||||
21,000 | Gazprom Neft PJSC | 104,572 | ||||||||
1,381,973 | Gazprom PJSC Sponsored ADR | 6,095,731 | ||||||||
18,080 | Globaltrans Investment Plc Sponsored GDR (Registered) | 199,015 | ||||||||
3,853,000 | Inter RAO UES PJSC | 230,934 | ||||||||
69,622 | LUKOIL PJSC Sponsored ADR | 4,811,061 | ||||||||
14,840 | M.Video PJSC * | 95,323 | ||||||||
143,400 | Magnitogorsk Iron & Steel OJSC | 103,236 | ||||||||
4,588 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 43,810 | ||||||||
78,331 | MMC Norilsk Nickel PJSC ADR | 1,299,931 | ||||||||
131,400 | Mobile TeleSystems PJSC Sponsored ADR | 1,018,350 | ||||||||
349,700 | Moscow Exchange MICEX-RTS PJSC | 507,935 | ||||||||
12,810 | Novatek PJSC | 205,904 | ||||||||
8,843 | Novatek PJSC Sponsered GDR (Registered) | 1,478,779 | ||||||||
70,760 | Novolipetsk Steel PJSC | 173,624 | ||||||||
24,024 | Novolipetsk Steel PJSC GDR | 583,452 | ||||||||
3,740 | PhosAgro PJSC GDR (Registered) | 49,558 | ||||||||
1,116 | Polyus PJSC | 72,417 | ||||||||
5,687 | Polyus PJSC GDR (Registered) | 184,331 | ||||||||
16,000 | QIWI Plc Sponsored ADR * | 227,200 |
22 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
13,680 | Raspadskaya OJSC * | 20,195 | ||||||||
349,700 | Rostelecom PJSC | 350,527 | ||||||||
1,611 | Rostelecom PJSC Sponsored ADR | 9,685 | ||||||||
1,470 | Safmar Financial Investment | 17,479 | ||||||||
109,000 | Sberbank of Russia PJSC | 292,989 | ||||||||
325,372 | Sberbank of Russia Sponsored ADR | 3,543,392 | ||||||||
5,900 | Severstal PJSC | 95,063 | ||||||||
23,869 | Severstal PJSC GDR (Registered) | 384,081 | ||||||||
121,700 | Surgutneftegas PJSC | 51,885 | ||||||||
8,454 | Surgutneftegas PJSC Sponsored ADR | 35,187 | ||||||||
37,760 | Tatneft PJSC | 438,902 | ||||||||
11,815 | Tatneft PJSC Sponsored ADR | 819,201 | ||||||||
6,125 | TCS Group Holding Plc GDR (Registered) | 112,753 | ||||||||
|
| |||||||||
Total Russia | 24,728,320 | |||||||||
|
| |||||||||
Singapore — 0.1% |
| |||||||||
13,900 | China Aviation Oil Singapore Corp Ltd | 15,784 | ||||||||
67,700 | Frasers Centrepoint Trust (REIT) | 113,406 | ||||||||
87,800 | Japfa Ltd | 42,896 | ||||||||
320,000 | Mapletree North Asia Commercial Trust (REIT) | 270,415 | ||||||||
13,300 | Oversea-Chinese Banking Corp Ltd | 109,458 | ||||||||
29,000 | Parkway Life Real Estate Investment Trust | 56,611 | ||||||||
54,600 | UMS Holdings Ltd | 29,699 | ||||||||
15,700 | United Overseas Bank Ltd | 309,423 | ||||||||
215,800 | Venture Corp Ltd | 2,849,044 | ||||||||
710,400 | Yangzijiang Shipbuilding Holdings Ltd | 553,961 | ||||||||
416,600 | Yanlord Land Group Ltd | 461,631 | ||||||||
|
| |||||||||
Total Singapore | 4,812,328 | |||||||||
|
| |||||||||
South Africa — 1.4% |
| |||||||||
832,507 | Absa Group Ltd | 9,207,641 | ||||||||
15,674 | Alviva Holdings Ltd | 19,410 | ||||||||
105,991 | Astral Foods Ltd | 1,866,673 | ||||||||
456,352 | Aveng Ltd * | 1,551 | ||||||||
33,124 | AVI Ltd | 261,371 | ||||||||
211,412 | Barloworld Ltd | 1,798,065 | ||||||||
5,681 | BID Corp Ltd | 121,215 | ||||||||
3,730 | Bidvest Group Ltd (The) | 54,814 | ||||||||
1,616,217 | Blue Label Telecoms Ltd | 787,362 | ||||||||
6,864 | Brait SE * | 17,434 | ||||||||
1,458 | Capitec Bank Holdings Ltd | 99,573 | ||||||||
21,774 | Clicks Group Ltd | 300,721 | ||||||||
12,978 | Coronation Fund Managers Ltd | 50,841 | ||||||||
13,581 | Dis-Chem Pharmacies Ltd | 31,276 | ||||||||
9,847 | Discovery Ltd | 117,334 | ||||||||
1,715 | Distell Group Holdings Ltd * | 14,235 | ||||||||
21,287 | Emira Property Fund Ltd (REIT) | 23,127 | ||||||||
26,584 | Exxaro Resources Ltd | 269,457 | ||||||||
105,101 | FirstRand Ltd | 505,618 |
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
10,470 | Foschini Group Ltd (The) | 124,388 | ||||||||
172,917 | Growthpoint Properties Ltd (REIT) | 299,344 | ||||||||
4,953 | Hyprop Investments Ltd (REIT) | 34,381 | ||||||||
8,438 | Imperial Holdings Ltd | 118,233 | ||||||||
4,003 | JSE Ltd | 44,110 | ||||||||
108,906 | Kumba Iron Ore Ltd | 1,963,257 | ||||||||
23,626 | Lewis Group Ltd | 45,507 | ||||||||
349,146 | Liberty Holdings Ltd | 2,762,313 | ||||||||
6,434 | Massmart Holdings Ltd | 48,495 | ||||||||
1,434,339 | Merafe Resources Ltd | 147,340 | ||||||||
50,505 | Metair Investments Ltd | 60,051 | ||||||||
62,576 | MMI Holdings Ltd | 72,975 | ||||||||
77,391 | Mondi Ltd | 2,159,372 | ||||||||
143,436 | Mr Price Group Ltd | 2,198,879 | ||||||||
22,244 | MTN Group Ltd | 134,682 | ||||||||
373,979 | Murray & Roberts Holdings Ltd | 394,717 | ||||||||
471,619 | Nedbank Group Ltd | 8,921,036 | ||||||||
117,778 | Old Mutual Ltd * | 243,651 | ||||||||
23,293 | Pepkor Holdings Ltd * | 28,525 | ||||||||
12,507 | Rand Merchant Investment Holdings Ltd | 34,767 | ||||||||
128,729 | Raubex Group Ltd | 191,315 | ||||||||
91,304 | Redefine Properties Ltd (REIT) | 64,306 | ||||||||
7,079 | Reinet Investments SCA | 137,071 | ||||||||
6,583 | Resilient Ltd (REIT) | 25,519 | ||||||||
250,635 | Reunert Ltd | 1,298,324 | ||||||||
64,666 | RMB Holdings Ltd | 371,136 | ||||||||
48,338 | Sanlam Ltd | 260,887 | ||||||||
1,864 | Santam Ltd | 38,467 | ||||||||
12,163 | Sappi Ltd | 83,076 | ||||||||
6,688 | Sasol Ltd | 261,964 | ||||||||
1,000 | Sasol Ltd Sponsored ADR | 39,260 | ||||||||
11,742 | Shoprite Holdings Ltd | 163,003 | ||||||||
17,829 | Sibanye Gold Ltd * | 10,314 | ||||||||
7,102 | SPAR Group Ltd (The) | 99,079 | ||||||||
855,154 | Standard Bank Group Ltd | 10,838,622 | ||||||||
211,205 | Steinhoff International Holdings NV * | 40,256 | ||||||||
73,334 | Telkom SA SOC Ltd | 250,925 | ||||||||
8,193 | Tiger Brands Ltd | 159,502 | ||||||||
78,445 | Truworths International Ltd | 459,112 | ||||||||
9,546 | Vodacom Group Ltd | 82,098 | ||||||||
67,591 | Wilson Bayly Holmes-Ovcon Ltd | 689,295 | ||||||||
|
| |||||||||
Total South Africa | 50,947,272 | |||||||||
|
| |||||||||
South Korea — 1.9% |
| |||||||||
2,119 | Aekyung Petrochemical Co Ltd | 21,503 | ||||||||
52,802 | BNK Financial Group Inc | 395,778 | ||||||||
233 | Celltrion Pharm Inc * | 16,775 | ||||||||
6,956 | Cheil Worldwide Inc | 120,594 | ||||||||
6,029 | Chong Kun Dang Pharmaceutical Corp | 587,440 | ||||||||
750 | CJ ENM Co Ltd | 169,686 |
See accompanying notes to the financial statements. | 23 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued |
| |||||||||
11,089 | Daou Data Corp | 115,539 | ||||||||
9,695 | Daou Technology Inc | 197,632 | ||||||||
10,441 | DB Insurance Co Ltd | 600,294 | ||||||||
11,366 | DGB Financial Group Inc | 104,641 | ||||||||
21,573 | Dongwha Pharm Co Ltd | 224,636 | ||||||||
24,043 | Dongwon Development Co Ltd | 90,356 | ||||||||
2,002 | E-MART Inc | 385,723 | ||||||||
5,492 | F&F Co Ltd | 495,331 | ||||||||
3,573 | Fila Korea Ltd | 133,948 | ||||||||
5,858 | Grand Korea Leisure Co Ltd | 127,061 | ||||||||
7,087 | Green Cross Holdings Corp | 195,028 | ||||||||
2,378 | GS Home Shopping Inc | 442,995 | ||||||||
55,111 | Hana Financial Group Inc | 2,113,275 | ||||||||
4,346 | Hankook Tire Co Ltd | 182,130 | ||||||||
15,855 | Hankook Tire Worldwide Co Ltd | 259,234 | ||||||||
357 | Hanwha Aerospace Co Ltd * | 8,016 | ||||||||
158 | HLB Inc * | 14,752 | ||||||||
1,163 | Huons Co Ltd | 103,877 | ||||||||
1,388 | Hyundai Department Store Co Ltd | 124,136 | ||||||||
2,038 | Hyundai Home Shopping Network Corp | 207,758 | ||||||||
10,462 | Hyundai Hy Communications & Network Co Ltd | 38,447 | ||||||||
8,394 | Hyundai Marine & Fire Insurance Co Ltd | 280,429 | ||||||||
2,984 | Hyundai Mobis Co Ltd | 600,483 | ||||||||
230 | Hyundai Wia Corp | 8,810 | ||||||||
584,603 | Industrial Bank of Korea | 7,825,527 | ||||||||
51,763 | JB Financial Group Co Ltd | 288,834 | ||||||||
15,276 | Kangwon Land Inc | 397,368 | ||||||||
69,427 | KB Financial Group Inc | 3,209,995 | ||||||||
177,040 | Kia Motors Corp | 5,098,390 | ||||||||
15,538 | Korea Asset In Trust Co Ltd (REIT) | 75,518 | ||||||||
5,424 | Korea United Pharm Inc | 139,264 | ||||||||
627 | Korea Zinc Co Ltd | 228,276 | ||||||||
16,802 | Korean Reinsurance Co | 157,040 | ||||||||
7,637 | KT Hitel Co Ltd * | 38,363 | ||||||||
6,301 | KT Skylife Co Ltd | 75,279 | ||||||||
8,637 | KT&G Corp | 783,443 | ||||||||
25,588 | Kwang Dong Pharmaceutical Co Ltd | 172,845 | ||||||||
13,187 | Kwangju Bank Co Ltd | 133,843 | ||||||||
4,218 | Kyobo Securities Co Ltd | 37,137 | ||||||||
45,915 | LF Corp | 1,095,290 | ||||||||
60,145 | LG Corp | 3,863,887 | ||||||||
110,963 | LG Electronics Inc | 7,650,087 | ||||||||
33,829 | LOTTE Himart Co Ltd | 2,174,803 | ||||||||
1,509 | LS Corp | 91,039 | ||||||||
6,289 | Meritz Financial Group Inc | 69,462 | ||||||||
665 | Meritz Fire & Marine Insurance Co Ltd | 10,902 | ||||||||
1,145 | S&T Motiv Co Ltd | 33,128 | ||||||||
21,841 | Samjin Pharmaceutical Co Ltd | 1,081,130 | ||||||||
1,432 | Samsung Card Co Ltd | 45,337 |
Shares | Description | Value ($) | ||||||||
South Korea — continued |
| |||||||||
1,153 | Samsung Engineering Co Ltd * | 17,440 | ||||||||
535 | Samsung Fire & Marine Insurance Co Ltd | 127,355 | ||||||||
354 | Samsung SDS Co Ltd | 77,136 | ||||||||
6,821 | Seoyon E-Hwa Co Ltd | 37,193 | ||||||||
20,258 | Shinhan Financial Group Co Ltd | 795,673 | ||||||||
484 | Shinsegae Inc | 141,107 | ||||||||
818 | Sindoh Co Ltd | 37,701 | ||||||||
9,117 | SK Holdings Co Ltd | 2,154,808 | ||||||||
169,932 | SK Hynix Inc | 12,673,483 | ||||||||
1,165 | SK Innovation Co Ltd | 201,967 | ||||||||
2,374 | SK Networks Co Ltd | 9,551 | ||||||||
589 | SK Telecom Co Ltd | 138,682 | ||||||||
222,000 | SK Telecom Co Ltd Sponsored ADR | 5,774,220 | ||||||||
17,498 | SL Corp | 315,932 | ||||||||
379 | Spigen Korea Co Ltd | 17,705 | ||||||||
862 | Unid Co Ltd | 38,861 | ||||||||
96 | ViroMed Co Ltd * | 20,455 | ||||||||
180,474 | Woori Bank | 2,643,457 | ||||||||
|
| |||||||||
Total South Korea | 68,365,220 | |||||||||
|
| |||||||||
Spain — 0.3% |
| |||||||||
1,854 | ACS Actividades de Construccion y Servicios SA | 77,131 | ||||||||
20,280 | Aena SME SA (b) | 3,586,674 | ||||||||
12,339 | Ebro Foods SA | 265,508 | ||||||||
47,224 | Ence Energia y Celulosa SA | 442,917 | ||||||||
22,200 | Endesa SA | 496,688 | ||||||||
250,003 | International Consolidated Airlines Group SA | 2,244,003 | ||||||||
8,957 | Naturgy Energy Group SA | 240,414 | ||||||||
168,714 | Repsol SA | 3,244,856 | ||||||||
18,359 | Unicaja Banco SA | 28,723 | ||||||||
|
| |||||||||
Total Spain | 10,626,914 | |||||||||
|
| |||||||||
Sweden — 1.0% |
| |||||||||
24,547 | Acando AB | 96,312 | ||||||||
15,028 | Alfa Laval AB | 402,851 | ||||||||
11,765 | Bufab AB | 138,431 | ||||||||
6,544 | Castellum AB | 118,376 | ||||||||
30,489 | Electrolux AB – Series B | 680,319 | ||||||||
9,096 | Epiroc AB – Class A * | 94,489 | ||||||||
8,521 | Granges AB | 99,813 | ||||||||
6,557 | Hemfosa Fastigheter AB | 89,205 | ||||||||
8,412 | KappAhl AB | 32,043 | ||||||||
16,474 | Kindred Group Plc SDR | 202,595 | ||||||||
32,522 | Klovern AB – B Shares | 44,567 | ||||||||
4,438 | KNOW IT AB | 88,629 | ||||||||
3,251 | Loomis AB – Class B | 104,629 | ||||||||
37,752 | Nobina AB | 278,385 | ||||||||
2,270 | Nolato AB – B Shares | 160,370 |
24 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Sweden — continued |
| |||||||||
30,357 | Nordea Bank AB | 328,041 | ||||||||
9,916 | Oriflame Holding AG | 288,517 | ||||||||
7,581 | Peab AB | 68,321 | ||||||||
28,394 | Resurs Holding AB | 207,452 | ||||||||
480,115 | Sandvik AB | 8,404,237 | ||||||||
2,387 | SKF AB – B Shares | 45,884 | ||||||||
30,614 | SSAB AB – Series A | 133,434 | ||||||||
698,230 | Svenska Cellulosa AB – Class B | 8,128,245 | ||||||||
43,283 | Swedbank AB – A Shares | 1,007,816 | ||||||||
29,731 | Swedish Match AB (b) | 1,589,376 | ||||||||
5,157 | Tethys Oil AB | 57,689 | ||||||||
10,437 | Volvo AB – A Shares | 180,012 | ||||||||
770,544 | Volvo AB – B Shares | 13,274,079 | ||||||||
2,445 | Wihlborgs Fastigheter AB | 29,490 | ||||||||
|
| |||||||||
Total Sweden | 36,373,607 | |||||||||
|
| |||||||||
Switzerland — 1.1% |
| |||||||||
3,840 | ALSO Holding AG (Registered) * | 456,979 | ||||||||
215 | Autoneum Holding AG | 51,090 | ||||||||
235 | Bell Food Group AG (Registered) | 73,021 | ||||||||
10,071 | BKW AG | 714,373 | ||||||||
4,729 | Bobst Group SA (Registered) | 405,158 | ||||||||
148 | Bossard Holding AG (Registered) – A Shares | 30,556 | ||||||||
2,008 | Bucher Industries AG (Registered) | 703,580 | ||||||||
467 | Coltene Holding AG (Registered) | 55,468 | ||||||||
377 | Comet Holding AG (Registered) * | 37,428 | ||||||||
32 | Emmi AG (Registered) | 24,445 | ||||||||
1,228 | Galenica AG * | 72,814 | ||||||||
55,875 | GAM Holding AG * | 431,484 | ||||||||
3,340 | Georg Fischer AG (Registered) | 4,371,729 | ||||||||
30 | Gurit Holding AG | 25,579 | ||||||||
851 | Inficon Holding AG (Registered) * | 432,960 | ||||||||
3,686 | Kardex AG (Registered) * | 660,649 | ||||||||
42 | LEM Holding SA (Registered) | 53,408 | ||||||||
2,800 | Luxoft Holding Inc * | 130,480 | ||||||||
41,557 | Nestle SA (Registered) | 3,483,601 | ||||||||
104,830 | Novartis AG (Registered) | 8,696,918 | ||||||||
2,393 | Orior AG | 211,614 | ||||||||
5,751 | Roche Holding AG | 1,441,914 | ||||||||
42,298 | Roche Holding AG | 10,487,940 | ||||||||
42,348 | Sika AG (Registered) (b) | 6,271,997 | ||||||||
4,635 | Swiss Re AG | 417,013 | ||||||||
736 | Swissquote Group Holding SA | 54,469 | ||||||||
1,604 | Zehnder Group AG – Class RG | 75,931 | ||||||||
1,522 | Zurich Insurance Group AG | 463,342 | ||||||||
|
| |||||||||
Total Switzerland | 40,335,940 | |||||||||
|
| |||||||||
Taiwan — 2.7% |
| |||||||||
298,000 | AcBel Polytech Inc | 196,467 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
32,000 | Actron Technology Corp | 104,272 | ||||||||
37,000 | Advantech Co Ltd | 251,940 | ||||||||
23,000 | Alpha Networks Inc | 13,212 | ||||||||
226,000 | Ardentec Corp | 280,738 | ||||||||
39,000 | Asia Pacific Telecom Co Ltd * | 9,297 | ||||||||
194,000 | Asia Vital Components Co Ltd | 184,955 | ||||||||
595,029 | Asustek Computer Inc | 5,070,643 | ||||||||
8,400 | Aurora Corp | 29,806 | ||||||||
123,000 | Catcher Technology Co Ltd | 1,507,307 | ||||||||
292,000 | Cathay Financial Holding Co Ltd | 500,491 | ||||||||
232,560 | Chailease Holding Co Ltd | 791,186 | ||||||||
9,150 | Chicony Electronics Co Ltd | 19,257 | ||||||||
9,155 | Chicony Power Technology Co Ltd | 13,176 | ||||||||
110,000 | Chin-Poon Industrial Co Ltd | 135,989 | ||||||||
306,000 | China Motor Corp | 256,915 | ||||||||
7,000 | Chlitina Holding Ltd | 62,646 | ||||||||
10,000 | Chong Hong Construction Co Ltd | 26,499 | ||||||||
350,000 | Chunghwa Telecom Co Ltd | 1,237,035 | ||||||||
600 | Chunghwa Telecom Co Ltd Sponsored ADR | 21,114 | ||||||||
7,000 | Cleanaway Co Ltd | 41,363 | ||||||||
1,200,000 | Coretronic Corp | 2,257,605 | ||||||||
1,122,000 | CTBC Financial Holding Co Ltd | 789,040 | ||||||||
60,000 | CTCI Corp | 91,918 | ||||||||
96,000 | Cyberlink Corp | 232,276 | ||||||||
58,000 | Dynapack International Technology Corp | 75,731 | ||||||||
61,000 | Elan Microelectronics Corp | 107,789 | ||||||||
206,000 | Elitegroup Computer Systems Co Ltd * | 107,003 | ||||||||
172,000 | Far Eastern Department Stores Ltd | 98,026 | ||||||||
182,000 | Far Eastern New Century Corp | 211,987 | ||||||||
192,000 | Far EasTone Telecommunications Co Ltd | 457,974 | ||||||||
97,000 | Farglory Land Development Co Ltd | 99,486 | ||||||||
56,000 | Formosa Advanced Technologies Co Ltd | 65,689 | ||||||||
323,000 | Formosa Chemicals & Fibre Corp | 1,294,401 | ||||||||
55,000 | Formosa Petrochemical Corp | 225,846 | ||||||||
340,000 | Formosa Plastics Corp | 1,246,400 | ||||||||
84,600 | Formosan Rubber Group Inc | 39,265 | ||||||||
435,000 | Foxconn Technology Co Ltd | 1,105,975 | ||||||||
4,260,000 | Fubon Financial Holding Co Ltd | 7,062,872 | ||||||||
1,951,000 | Gigabyte Technology Co Ltd | 3,328,948 | ||||||||
2,482,000 | Grand Pacific Petrochemical | 2,393,707 | ||||||||
1,420,000 | Great Wall Enterprise Co Ltd * | 1,932,513 | ||||||||
72,000 | Greatek Electronics Inc | 122,568 | ||||||||
43,000 | Green Seal Holding Ltd | 48,645 | ||||||||
219,000 | Highwealth Construction Corp | 355,789 | ||||||||
28,000 | Holiday Entertainment Co Ltd | 53,643 | ||||||||
757,000 | Holtek Semiconductor Inc | 2,088,460 | ||||||||
3,477,300 | Hon Hai Precision Industry Co Ltd | 9,134,993 | ||||||||
59,000 | Huaku Development Co Ltd | 125,171 | ||||||||
83,000 | IEI Integration Corp | 102,722 |
See accompanying notes to the financial statements. | 25 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
27,000 | International Games System Co Ltd | 133,739 | ||||||||
2,501,000 | Inventec Corp | 2,244,758 | ||||||||
18,000 | ITEQ Corp | 38,868 | ||||||||
15,000 | King’s Town Bank Co Ltd | 15,090 | ||||||||
601,000 | Lite-On Semiconductor Corp | 685,630 | ||||||||
29,000 | Makalot Industrial Co Ltd | 150,363 | ||||||||
83,000 | Mercuries Life Insurance Co Ltd | 43,104 | ||||||||
8,000 | Merida Industry Co Ltd | 38,423 | ||||||||
1,651,000 | Mitac Holdings Corp * | 1,909,586 | ||||||||
2,659,000 | Nan Ya Plastics Corp | 7,399,480 | ||||||||
4,000 | Nien Made Enterprise Co Ltd | 31,024 | ||||||||
590,000 | Novatek Microelectronics Corp | 2,892,942 | ||||||||
1,045,105 | OptoTech Corp | 776,782 | ||||||||
2,052,000 | Pegatron Corp | 4,422,819 | ||||||||
177,000 | Phison Electronics Corp | 1,465,315 | ||||||||
3,951,000 | Pou Chen Corp | 4,356,371 | ||||||||
355,000 | Quanta Computer Inc | 610,782 | ||||||||
21,000 | Quanta Storage Inc | 17,706 | ||||||||
1,991,000 | Radiant Opto-Electronics Corp | 4,373,258 | ||||||||
152,000 | Realtek Semiconductor Corp | 737,709 | ||||||||
27,000 | Rechi Precision Co Ltd | 26,397 | ||||||||
111,000 | Ruentex Development Co Ltd | 124,998 | ||||||||
220,000 | Ruentex Industries Ltd | 451,330 | ||||||||
37,000 | Sercomm Corp | 65,044 | ||||||||
34,000 | Sheng Yu Steel Co Ltd | 23,833 | ||||||||
54,000 | Shinkong Insurance Co Ltd | 70,002 | ||||||||
25,000 | Sigurd Microelectronics Corp | 28,371 | ||||||||
62,800 | Simplo Technology Co Ltd | 460,240 | ||||||||
9,000 | Sinbon Electronics Co Ltd | 25,548 | ||||||||
31,050 | Sinmag Equipment Corp | 141,652 | ||||||||
53,000 | Sitronix Technology Corp | 167,177 | ||||||||
85,000 | Soft-World International Corp | 200,429 | ||||||||
47,000 | Standard Chemical & Pharmaceutical Co Ltd | 48,813 | ||||||||
1,214,000 | Sunplus Technology Co Ltd | 553,810 | ||||||||
190,000 | Syncmold Enterprise Corp | 362,865 | ||||||||
37,000 | Synnex Technology International Corp | 49,522 | ||||||||
32,700 | TaiDoc Technology Corp | 184,353 | ||||||||
501,000 | Taiwan Semiconductor Co Ltd | 1,198,950 | ||||||||
276,000 | Taiwan Semiconductor Manufacturing Co Ltd | 2,312,518 | ||||||||
129,542 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 5,648,031 | ||||||||
256,000 | Taiwan Surface Mounting Technology Corp | 275,366 | ||||||||
16,000 | Test Research Inc | 28,086 | ||||||||
32,000 | Tong Hsing Electronic Industries Ltd | 88,120 | ||||||||
187,470 | TOPBI International Holdings Ltd | 599,692 | ||||||||
145,485 | Topco Scientific Co Ltd | 369,609 | ||||||||
24,000 | Transcend Information Inc | 58,068 | ||||||||
70,000 | Tripod Technology Corp | 216,082 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
22,000 | TXC Corp | 25,546 | ||||||||
850,000 | Uni-President Enterprises Corp | 2,150,831 | ||||||||
162,000 | United Integrated Services Co Ltd | 326,974 | ||||||||
29,000 | Wah Lee Industrial Corp | 52,336 | ||||||||
100,000 | Waterland Financial Holdings Co Ltd | 34,519 | ||||||||
17,855 | Wistron NeWeb Corp | 39,882 | ||||||||
66,000 | Youngtek Electronics Corp | 100,816 | ||||||||
479,000 | Yuanta Financial Holding Co Ltd | 242,702 | ||||||||
10,000 | Yulon Finance Corp | 33,549 | ||||||||
102,000 | Yungtay Engineering Co Ltd | 155,553 | ||||||||
6,000 | Zeng Hsing Industrial Co Ltd | 27,928 | ||||||||
|
| |||||||||
Total Taiwan | 95,324,041 | |||||||||
|
| |||||||||
Thailand — 0.8% |
| |||||||||
172,200 | Advanced Info Service Pcl NVDR | 1,062,958 | ||||||||
183,600 | Amata Corp Pcl NVDR | 119,545 | ||||||||
285,500 | AP Thailand Pcl NVDR | 82,019 | ||||||||
14,700 | Bangkok Bank Pcl (Foreign Registered) (d) | 93,419 | ||||||||
14,700 | Bangkok Bank Pcl NVDR | 92,072 | ||||||||
87,200 | Bangkok Dusit Medical Services Pcl NVDR | 69,962 | ||||||||
127,700 | Central Pattana Pcl NVDR | 321,861 | ||||||||
633,400 | Com7 PCL NVDR | 371,810 | ||||||||
101,700 | Glow Energy Pcl NVDR | 292,068 | ||||||||
69,200 | Hana Microelectronics Pcl NVDR | 81,495 | ||||||||
1,178,500 | Home Product Center PCL NVDR | 525,596 | ||||||||
1,784,200 | Indorama Ventures Pcl NVDR | 3,272,563 | ||||||||
154,900 | Intouch Holdings Pcl NVDR | 262,724 | ||||||||
20,200 | KCE Electronics Pcl (Foreign Registered) | 27,972 | ||||||||
310,900 | LPN Development Pcl NVDR | 94,077 | ||||||||
86,200 | MC Group Pcl NVDR | 34,503 | ||||||||
91,300 | Mega Lifesciences Pcl (Foreign Registered) | 98,388 | ||||||||
386,000 | Mega Lifesciences Pcl NVDR | 415,966 | ||||||||
147,500 | Pruksa Holding Pcl NVDR | 91,024 | ||||||||
94,400 | PTT Exploration & Production Pcl NVDR | 411,303 | ||||||||
1,597,900 | PTT Global Chemical Pcl NVDR | 3,993,683 | ||||||||
1,675,000 | PTT Pcl (Foreign Registered) | 2,689,283 | ||||||||
2,769,400 | PTT Pcl NVDR | 4,446,447 | ||||||||
3,292,200 | Quality Houses Pcl NVDR | 348,072 | ||||||||
84,300 | Ratchaburi Electricity Generating Holding Pcl NVDR | 134,579 | ||||||||
1,067,500 | Sansiri Pcl NVDR | 52,539 | ||||||||
74,700 | Siam Cement Pcl (The) (Foreign Registered) | 1,031,933 | ||||||||
7,500 | Siam Cement Pcl (The) NVDR | 103,608 | ||||||||
433,200 | Siamgas & Petrochemicals Pcl NVDR | 158,920 | ||||||||
77,600 | Somboon Advance Technology PCL | 56,437 | ||||||||
778,700 | Star Petroleum Refining Pcl NVDR | 354,586 | ||||||||
251,400 | Supalai Pcl NVDR | 185,889 | ||||||||
9,192,200 | Thai Beverage Pcl | 4,149,138 | ||||||||
124,400 | Thai Oil Pcl NVDR | 320,331 | ||||||||
52,600 | Thai Vegetable Oil Pcl NVDR | 47,417 |
26 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Thailand — continued |
| |||||||||
835,700 | Thanachart Capital Pcl (Foreign Registered) | 1,372,836 | ||||||||
430,400 | Thanachart Capital Pcl NVDR | 707,034 | ||||||||
62,600 | Tipco Asphalt Pcl NVDR | 29,272 | ||||||||
323,200 | TTW Pcl NVDR | 122,429 | ||||||||
|
| |||||||||
Total Thailand | 28,125,758 | |||||||||
|
| |||||||||
Turkey — 0.4% |
| |||||||||
6,659 | Aksa Akrilik Kimya Sanayii AS | 11,340 | ||||||||
112,180 | Albaraka Turk Katilim Bankas AS | 21,550 | ||||||||
32,414 | Aselsan Elektronik Sanayi Ve Ticaret AS | 127,907 | ||||||||
7,050 | Aygaz AS | 12,873 | ||||||||
28,990 | BIM Birlesik Magazalar AS | 322,937 | ||||||||
125,123 | EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 70,702 | ||||||||
1,862,002 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) | 521,457 | ||||||||
135,485 | Enka Insaat ve Sanayi AS | 105,987 | ||||||||
942,454 | Eregli Demir ve Celik Fabrikalari TAS | 1,701,747 | ||||||||
50,909 | Ford Otomotiv Sanayi AS | 519,239 | ||||||||
161,854 | Haci Omer Sabanci Holding AS | 175,869 | ||||||||
66,057 | Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS * | 49,143 | ||||||||
75,880 | Is Gayrimenkul Yatirim Ortakligi AS (REIT) | 10,759 | ||||||||
1,497,040 | KOC Holding AS | 3,421,144 | ||||||||
5,302 | Otokar Otomotiv Ve Savunma Sanayi AS | 57,633 | ||||||||
170,508 | Petkim Petrokimya Holding AS | 143,197 | ||||||||
83,295 | Selcuk Ecza Deposu Ticaret ve Sanayi AS | 39,575 | ||||||||
498,954 | Soda Sanayii AS | 615,955 | ||||||||
68,331 | TAV Havalimanlari Holding AS | 343,797 | ||||||||
63,592 | Tekfen Holding AS | 198,670 | ||||||||
41,543 | Trakya Cam Sanayii AS | 27,419 | ||||||||
25,562 | Tupras Turkiye Petrol Rafineriler AS | 459,600 | ||||||||
15,477 | Turk Telekomunikasyon AS * | 8,623 | ||||||||
1,260 | Turk Traktor ve Ziraat Makineleri AS | 8,741 | ||||||||
120,800 | Turkcell Iletisim Hizmetleri AS | 194,415 | ||||||||
418,759 | Turkiye Garanti Bankasi AS | 380,517 | ||||||||
199,782 | Turkiye Halk Bankasi AS | 186,957 | ||||||||
6,438,596 | Turkiye Is Bankasi – Class C | 3,920,575 | ||||||||
446,267 | Turkiye Sinai Kalkinma Bankasi AS | 51,761 | ||||||||
|
| |||||||||
Total Turkey | 13,710,089 | |||||||||
|
| |||||||||
United Arab Emirates — 0.0% |
| |||||||||
8,817 | Abu Dhabi Commercial Bank PJSC | 17,040 | ||||||||
198,902 | Air Arabia PJSC | 54,688 | ||||||||
163,883 | Aldar Properties PJSC | 86,041 | ||||||||
325,089 | DAMAC Properties Dubai Co PJSC | 185,763 | ||||||||
221,353 | Dana Gas PJSC | 66,819 | ||||||||
2,487 | DP World Ltd | 53,193 | ||||||||
41,680 | Dubai Investments PJSC | 22,569 | ||||||||
39,527 | Dubai Islamic Bank PJSC | 55,079 |
Shares | Description | Value ($) | ||||||||
United Arab Emirates — continued |
| |||||||||
96,645 | DXB Entertainments PJSC * | 9,100 | ||||||||
32,329 | Emaar Development PJSC * | 46,538 | ||||||||
104,946 | Emaar Properties PJSC | 143,020 | ||||||||
30,444 | Emirates Telecommunications Group Co PJSC | 140,394 | ||||||||
8,958 | First Abu Dhabi Bank PJSC | 36,094 | ||||||||
353,662 | RAK Properties PJSC | 59,706 | ||||||||
|
| |||||||||
Total United Arab Emirates | 976,044 | |||||||||
|
| |||||||||
United Kingdom — 3.0% |
| |||||||||
590,481 | 3i Group Plc | 6,875,660 | ||||||||
15,949 | Ashmore Group Plc | 73,646 | ||||||||
28,555 | Ashtead Group Plc | 876,255 | ||||||||
134,483 | AstraZeneca Plc | 10,149,937 | ||||||||
1,278 | AVEVA Group Plc | 47,083 | ||||||||
121,797 | Aviva Plc | 766,275 | ||||||||
32,731 | BAE Systems Plc | 257,560 | ||||||||
37,171 | Barratt Developments Plc | 261,515 | ||||||||
2,757 | Beazley Plc | 21,300 | ||||||||
37,555 | Bellway Plc | 1,422,741 | ||||||||
110,021 | Berkeley Group Holdings Plc (The) | 5,204,118 | ||||||||
30,793 | Bovis Homes Group Plc | 450,031 | ||||||||
441,348 | BP Plc | 3,142,911 | ||||||||
242,870 | British American Tobacco Plc | 11,744,526 | ||||||||
7,600 | British American Tobacco Plc Sponsored ADR | 367,688 | ||||||||
12,614 | Britvic Plc | 133,479 | ||||||||
10,795 | Central Asia Metals Plc | 30,068 | ||||||||
13,892 | Close Brothers Group Plc | 288,227 | ||||||||
17,232 | CMC Markets Plc | 38,198 | ||||||||
130,034 | Coca-Cola HBC AG * | 4,452,377 | ||||||||
46,480 | Computacenter Plc | 817,270 | ||||||||
3,662 | Costain Group Plc | 20,228 | ||||||||
2,280 | Cranswick Plc | 95,529 | ||||||||
17,831 | Dart Group Plc | 226,388 | ||||||||
1,523 | Derwent London Plc (REIT) | 60,142 | ||||||||
2,300 | Diageo Plc Sponsored ADR (a) | 320,643 | ||||||||
26,906 | Direct Line Insurance Group Plc | 115,590 | ||||||||
57,274 | EI Group Plc * | 116,199 | ||||||||
248,360 | Electrocomponents Plc | 2,393,936 | ||||||||
486,757 | Ferrexpo Plc | 982,563 | ||||||||
6,547 | Fevertree Drinks Plc | 316,516 | ||||||||
1,309 | Fidessa Group Plc | 65,542 | ||||||||
113,770 | Firstgroup Plc * | 131,311 | ||||||||
47,720 | Galliford Try Plc | 601,813 | ||||||||
1,267 | Games Workshop Group Plc | 58,556 | ||||||||
185,435 | GlaxoSmithKline Plc | 3,755,591 | ||||||||
164,100 | GlaxoSmithKline Plc Sponsored ADR | 6,646,050 | ||||||||
16,508 | Grainger Plc | 65,840 | ||||||||
21,400 | HSBC Holdings Plc Sponsored ADR | 941,814 |
See accompanying notes to the financial statements. | 27 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued |
| |||||||||
15,342 | Hunting Plc * | 166,185 | ||||||||
183,402 | IG Group Holdings Plc | 2,153,625 | ||||||||
6,262 | Imperial Brands Plc | 223,112 | ||||||||
56,585 | Inchcape Plc | 508,330 | ||||||||
509,142 | Indivior Plc * | 1,790,028 | ||||||||
15,182 | Intermediate Capital Group Plc | 206,982 | ||||||||
33,162 | J Sainsbury Plc | 139,592 | ||||||||
19,655 | John Laing Group Plc | 80,504 | ||||||||
10,898 | Jupiter Fund Management Plc | 59,334 | ||||||||
16,565 | Land Securities Group Plc (REIT) | 197,175 | ||||||||
787,150 | Legal & General Group Plc | 2,601,247 | ||||||||
2,830,072 | Lloyds Banking Group Plc | 2,180,060 | ||||||||
21,385 | Lookers Plc | 29,203 | ||||||||
10,316 | Morgan Advanced Materials Plc | 45,513 | ||||||||
9,205 | Morgan Sindall Group Plc | 175,425 | ||||||||
4,327 | Next Plc | 308,943 | ||||||||
73,500 | Nomad Foods Ltd * | 1,532,475 | ||||||||
1,467 | Northgate Plc | 7,796 | ||||||||
23,094 | Numis Corp Plc | 126,767 | ||||||||
401,148 | Persimmon Plc | 12,691,097 | ||||||||
104,152 | Plus500 Ltd | 2,080,758 | ||||||||
5,228 | Polypipe Group Plc | 25,121 | ||||||||
238,122 | QinetiQ Group Plc | 838,545 | ||||||||
2,547 | Quilter Plc | 4,651 | ||||||||
57,976 | Reckitt Benckiser Group Plc | 4,938,524 | ||||||||
36,908 | Redrow Plc | 262,206 | ||||||||
27,508 | Royal Dutch Shell Plc – Class A | 894,653 | ||||||||
11,200 | Royal Dutch Shell Plc – Class A Sponsored ADR | 730,576 | ||||||||
11,700 | Royal Dutch Shell Plc – Class B Sponsored ADR (a) | 788,346 | ||||||||
124,055 | Royal Mail Plc | 721,407 | ||||||||
43,911 | RPS Group Plc | 133,809 | ||||||||
6,068 | Safestore Holdings Plc (REIT) | 41,838 | ||||||||
32,609 | Segro Plc (REIT) | 278,805 | ||||||||
15,305 | Softcat Plc | 168,682 | ||||||||
11,544 | Spectris Plc | 352,926 | ||||||||
13,760 | SSP Group Plc | 123,907 | ||||||||
44,119 | Stock Spirits Group Plc | 110,474 | ||||||||
14,528 | Tate & Lyle Plc | 126,466 | ||||||||
5,947 | Telford Homes Plc | 31,950 | ||||||||
18,257 | TUI AG | 336,995 | ||||||||
2,744 | TUI AG | 50,618 | ||||||||
71,883 | Unilever Plc | 4,096,234 | ||||||||
47,908 | Vesuvius Plc | 385,957 | ||||||||
4,348 | Virgin Money Holdings UK Plc | 21,554 | ||||||||
210,478 | William Hill Plc | 703,239 | ||||||||
|
| |||||||||
Total United Kingdom | 107,806,750 | |||||||||
|
| |||||||||
United States — 4.2% |
| |||||||||
15,373 | 3M Co. (a) | 3,242,473 |
Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
37,974 | Abbott Laboratories | 2,538,182 | ||||||||
32,482 | Accenture Plc – Class A | 5,491,732 | ||||||||
9,325 | Alphabet, Inc. – Class C * | 11,359,622 | ||||||||
44,094 | American Express Co. | 4,673,082 | ||||||||
15,004 | Amphenol Corp. – Class A (a) | 1,419,078 | ||||||||
18,069 | Anthem, Inc. (a) | 4,783,406 | ||||||||
52,175 | Apple, Inc. | 11,876,595 | ||||||||
9,134 | Becton Dickinson and Co. (a) | 2,391,921 | ||||||||
105,384 | Cisco Systems, Inc. (a) | 5,034,194 | ||||||||
62,675 | Coca-Cola Co. (The) | 2,793,425 | ||||||||
52,317 | Cognizant Technology Solutions Corp. – Class A | 4,103,222 | ||||||||
24,167 | Costco Wholesale Corp. (a) | 5,634,053 | ||||||||
17,142 | Facebook, Inc. – Class A * | 3,012,364 | ||||||||
13,110 | Honeywell International, Inc. | 2,085,277 | ||||||||
44,026 | Johnson & Johnson | 5,929,862 | ||||||||
7,623 | Mastercard, Inc. – Class A | 1,643,214 | ||||||||
59,211 | Medtronic Plc (a) | 5,708,532 | ||||||||
66,339 | Merck & Co., Inc. | 4,550,192 | ||||||||
99,499 | Microsoft Corp. | 11,176,723 | ||||||||
184,859 | Oracle Corp. (a) | 8,980,450 | ||||||||
8,437 | PepsiCo, Inc. (a) | 945,028 | ||||||||
26,536 | Philip Morris International, Inc. | 2,066,889 | ||||||||
75,884 | QUALCOMM, Inc. (a) | 5,213,990 | ||||||||
7,670 | Stryker Corp. (a) | 1,299,528 | ||||||||
20,936 | Teradata Corp. * (a) (b) | 868,216 | ||||||||
32,002 | Texas Instruments, Inc. (a) | 3,597,025 | ||||||||
46,674 | TJX Cos., Inc. (The) (b) | 5,132,740 | ||||||||
27,114 | UnitedHealth Group, Inc. | 7,279,024 | ||||||||
29,569 | United Technologies Corp. | 3,894,237 | ||||||||
85,784 | US Bancorp (a) (b) | 4,641,772 | ||||||||
17,000 | Visa, Inc. – Class A | 2,497,130 | ||||||||
83,139 | Wells Fargo & Co. | 4,861,969 | ||||||||
|
| |||||||||
Total United States | 150,725,147 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,434,776,409) | 1,475,051,709 | |||||||||
|
| |||||||||
PREFERRED STOCKS (e) — 0.8% |
| |||||||||
Brazil — 0.2% |
| |||||||||
116,500 | Banco do Estado do Rio Grande do Sul SA – Class B | 419,024 | ||||||||
610,200 | Braskem SA – Class A | 8,870,379 | ||||||||
29,300 | Centrais Eletricas Brasileiras SA – Class B * | 130,203 | ||||||||
13,000 | Cia de Saneamento do Parana | 27,129 | ||||||||
90,900 | Cia Energetica de Minas Gerais | 166,486 | ||||||||
9,700 | Telefonica Brasil SA | 95,307 | ||||||||
|
| |||||||||
Total Brazil | 9,708,528 | |||||||||
|
|
28 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Colombia — 0.0% |
| |||||||||
68,395 | Grupo Aval Acciones y Valores SA | 26,944 | ||||||||
|
| |||||||||
Germany — 0.1% |
| |||||||||
9,655 | Bayerische Motoren Werke AG | 809,641 | ||||||||
1,143 | Draegerwerk AG & Co KGaA | 92,255 | ||||||||
2,272 | Sixt SE | 189,858 | ||||||||
10,093 | Volkswagen AG | 1,649,880 | ||||||||
|
| |||||||||
Total Germany | 2,741,634 | |||||||||
|
| |||||||||
Russia — 0.1% |
| |||||||||
4,372 | Bashneft PJSC | 109,594 | ||||||||
1,020,600 | Sberbank of Russia PJSC | 2,421,610 | ||||||||
76,000 | Surgutneftegas PJSC | 42,178 | ||||||||
77 | Transneft PJSC | 162,755 | ||||||||
|
| |||||||||
Total Russia | 2,736,137 | |||||||||
|
| |||||||||
South Korea — 0.4% |
| |||||||||
967 | Hyundai Motor Co 2nd Preference | 74,353 | ||||||||
38,442 | LG Electronics Inc | 1,070,122 | ||||||||
316,358 | Samsung Electronics Co Ltd | 11,272,240 | ||||||||
1,079 | Samsung Electronics Co Ltd GDR | 950,912 | ||||||||
|
| |||||||||
Total South Korea | 13,367,627 | |||||||||
|
| |||||||||
Sweden — 0.0% |
| |||||||||
2,540 | Akelius Residential Property AB | 94,852 | ||||||||
|
| |||||||||
Taiwan — 0.0% |
| |||||||||
14,463 | CTBC Financial Holding Co Ltd | 29,243 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $27,320,710) | 28,704,965 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% |
| |||||||||
Thailand — 0.0% |
| |||||||||
48,800 | Supalai Pcl Rights, Expires 10/19/18 * | 29,670 | ||||||||
74,250 | Supalai Public Co Rights, Expires 10/19/18 * | 45,144 | ||||||||
|
| |||||||||
Total Thailand | 74,814 | |||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $60,200) | 74,814 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 0.1% |
| |||||||||
United States — 0.1% |
| |||||||||
40,181 | iShares MSCI Emerging Markets ETF | 1,734,614 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $1,772,002) | 1,734,614 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 21.1% |
| |||||||||
United States — 21.1% |
| |||||||||
Asset-Backed Securities — 3.6% |
| |||||||||
309,795 | AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 11/02/30 | 310,160 | ||||||||
1,302,000 | AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 04/30/31 | 1,301,786 | ||||||||
1,048,955 | AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 11/10/30 | 1,048,944 | ||||||||
424,827 | AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/24/29 | 425,854 | ||||||||
725,116 | AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/25/29 | 726,503 | ||||||||
158,974 | Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 07/15/30 | 159,169 | ||||||||
956,560 | Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/31 | 955,044 | ||||||||
434,000 | Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 433,994 | ||||||||
1,076,701 | Apidos CLO XVI, Series 13-16A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 3.32%, due 01/19/25 | 1,077,267 | ||||||||
379,750 | Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 05/15/30 | 379,747 | ||||||||
482,259 | Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/17/27 | 482,255 | ||||||||
325,500 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 07/26/31 | 325,477 | ||||||||
331,374 | Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.45%, due 01/18/25 | 331,460 | ||||||||
563,017 | Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.44%, due 04/25/26 | 563,170 | ||||||||
4,783,911 | B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.07%, due 04/16/26 | 4,768,741 | ||||||||
1,071,000 | Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 07/20/25 | 1,071,209 | ||||||||
309,795 | Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 309,765 |
See accompanying notes to the financial statements. | 29 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
190,219 | Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.50%, due 05/20/25 | 190,281 | ||||||||
347,200 | Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.06%, due 04/15/30 | 347,189 | ||||||||
684,341 | Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 2.63%, due 04/25/36 | 680,931 | ||||||||
268,489 | Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X,, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 07/20/29 | 268,665 | ||||||||
155,000 | Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 04/24/29 | 155,240 | ||||||||
698,317 | BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 3.23%, due 10/29/25 | 697,970 | ||||||||
569,625 | BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/20/30 | 569,616 | ||||||||
379,750 | BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 379,744 | ||||||||
399,402 | Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/17/28 | 399,397 | ||||||||
560,790 | Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 07/15/31 | 560,782 | ||||||||
1,085,000 | Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.01%, due 05/15/31 | 1,084,990 | ||||||||
371,754 | Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/22/30 | 371,671 | ||||||||
1,073,956 | CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 10/17/29 | 1,073,940 | ||||||||
344,905 | CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 344,949 | ||||||||
1,807,137 | CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/15/31 | 1,807,112 | ||||||||
868,000 | Cent CLO, Series C17A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 04/30/31 | 867,930 | ||||||||
774,487 | CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.98%, due 10/18/30 | 774,378 | ||||||||
347,200 | CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 347,374 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
994,605 | CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/24/30 | 994,910 | ||||||||
3,404,278 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 | 1,157,455 | ||||||||
732,375 | Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 732,364 | ||||||||
263,408 | CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 01/16/26 | 263,480 | ||||||||
760,825 | Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/15/28 | 760,819 | ||||||||
114,115 | Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.06%, due 08/15/30 | 114,126 | ||||||||
413,060 | Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29 | 413,054 | ||||||||
296,887 | Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/30 | 297,730 | ||||||||
1,070,172 | Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 1,069,863 | ||||||||
576,460 | Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 05/16/31 | 576,386 | ||||||||
5,381,653 | GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + 0.11%, 2.42%, due 11/25/26 | 5,361,784 | ||||||||
266,910 | GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.47%, due 05/25/26 | 265,675 | ||||||||
922,591 | Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 11/28/30 | 922,421 | ||||||||
570,675 | Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.93%, due 01/18/31 | 570,581 | ||||||||
578,284 | Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/27/31 | 578,168 | ||||||||
165,232 | Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Reg. S, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25 | 165,239 | ||||||||
248,305 | Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25 | 248,316 |
30 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
1,809,422 | Halcyon Loan Advisors Funding Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.13%, 3.46%, due 04/18/26 | 1,809,797 | ||||||||
556,605 | Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 02/05/31 | 556,598 | ||||||||
206,530 | Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.13%, due 07/18/29 | 206,631 | ||||||||
258,163 | Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/20/29 | 258,158 | ||||||||
2,043,776 | Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 2.47%, due 02/25/32 | 2,041,569 | ||||||||
751,905 | ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.89%, due 01/15/31 | 751,894 | ||||||||
516,325 | Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/17/29 | 516,911 | ||||||||
279,398 | KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.63%, due 05/25/29 | 278,353 | ||||||||
323,576 | KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.65%, due 09/27/35 | 323,608 | ||||||||
1,247,390 | KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.21%, due 11/25/36 | 1,249,006 | ||||||||
66,396 | KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.68%, due 06/27/38 | 66,391 | ||||||||
224,665 | KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.87%, due 01/27/42 | 224,750 | ||||||||
618,450 | Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 04/20/31 | 618,440 | ||||||||
326,100 | KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/15/30 | 326,500 | ||||||||
624,701 | LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 624,691 | ||||||||
440,235 | LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.30%, due 07/20/30 | 441,201 | ||||||||
288,422 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 02/25/30 | 283,585 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
61,690 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 09/25/30 | 61,624 | ||||||||
1,618,210 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.33%, due 06/25/37 | 1,595,716 | ||||||||
1,098,020 | Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/19/30 | 1,097,879 | ||||||||
603,228 | Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/26 | 603,507 | ||||||||
1,898,750 | Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 05/13/28 | 1,898,731 | ||||||||
2,049,472 | Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.08%, due 05/20/30 | 2,067,441 | ||||||||
4,734,537 | Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.44%, due 06/20/30 | 4,729,519 | ||||||||
201,519 | Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.86%, due 07/15/33 | 212,887 | ||||||||
619,590 | Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/16/31 | 619,642 | ||||||||
2,836,000 | Mountain View CLO Ltd., Series 14-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 10/15/26 | 2,830,810 | ||||||||
591,980 | Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30 | 591,971 | ||||||||
6,723 | National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 03/27/28 | 6,721 | ||||||||
4,786,052 | National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.29%, due 03/26/29 | 4,694,922 | ||||||||
1,276,618 | National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.30%, due 07/25/30 | 1,259,070 | ||||||||
92,301 | Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26 | 93,494 | ||||||||
296,056 | Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 2.76%, due 09/16/24 | 296,395 |
See accompanying notes to the financial statements. | 31 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
1,139,250 | Navient Student Loan Trust, Series 16-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.11%, due 06/25/65 | 1,150,591 | ||||||||
285,288 | Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29 | 285,248 | ||||||||
369,171 | Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.35%, due 04/22/29 | 369,737 | ||||||||
474,170 | Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39 | 473,536 | ||||||||
1,870,276 | Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 08/13/25 | 1,870,293 | ||||||||
247,380 | Octagon Investment Partners XIV Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 3.22%, due 07/15/19 | 247,394 | ||||||||
258,434 | Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 07/19/30 | 258,615 | ||||||||
704,264 | Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/25/31 | 704,254 | ||||||||
221,282 | OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/16/29 | 221,486 | ||||||||
2,165,683 | OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 03/20/25 | 2,160,268 | ||||||||
326,100 | OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 01/21/30 | 326,046 | ||||||||
567,957 | OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/22/30 | 567,876 | ||||||||
1,519,000 | OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 04/17/31 | 1,518,977 | ||||||||
263,054 | OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/30/30 | 263,121 | ||||||||
3,468,292 | Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/26 | 3,436,574 | ||||||||
1,017,730 | Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.46%, due 07/17/26 | 1,017,802 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
516,325 | Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 07/15/30 | 516,318 | ||||||||
434,055 | Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.48%, due 05/15/26 | 434,223 | ||||||||
1,764,619 | SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 09/15/18 | 1,764,605 | ||||||||
1,807,758 | SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 2.51%, due 12/15/26 | 1,807,286 | ||||||||
704,670 | SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.21%, due 01/15/26 | 707,450 | ||||||||
208,791 | SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28 | 209,299 | ||||||||
1,323,700 | SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.31%, due 06/16/42 | 1,358,480 | ||||||||
2,219,654 | SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.56%, due 01/15/43 | 2,267,520 | ||||||||
2,107,973 | SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.31%, due 05/16/44 | 2,147,746 | ||||||||
942,071 | SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44 | 952,702 | ||||||||
1,951,677 | SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.38%, due 04/25/19 | 1,946,741 | ||||||||
5,789,888 | SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 2.72%, due 10/25/24 | 5,800,707 | ||||||||
590,294 | South Carolina Student Loan Corp., Series 05, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 2.44%, due 12/01/23 | 590,176 | ||||||||
376,658 | South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/25 | 378,462 | ||||||||
726,120 | Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/15/24 | 726,358 | ||||||||
206,530 | Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/17/19 | 206,724 | ||||||||
734,400 | Telos CLO Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 3.61%, due 01/17/27 | 734,624 | ||||||||
810,133 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 04/17/28 | 810,120 |
32 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
751,769 | Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/17/30 | 751,757 | ||||||||
128,844 | THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/20/30 | 129,006 | ||||||||
557,631 | THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 11/20/30 | 557,628 | ||||||||
1,231,475 | TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.99%, due 04/26/28 | 1,231,415 | ||||||||
1,605,800 | TICP CLO III-2 Ltd., Series 18-3R, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.91%, due 04/20/28 | 1,605,728 | ||||||||
1,085,000 | Tryon Park CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/15/29 | 1,084,957 | ||||||||
600,428 | Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.49%, due 06/25/45 | 604,412 | ||||||||
714,598 | Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.31%, due 05/25/47 | 719,178 | ||||||||
305,014 | Venture VII CDO Ltd., Series 06-7A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 0.23%, 2.58%, due 01/20/22 | 304,411 | ||||||||
1,771,716 | Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 3.38%, due 01/18/26 | 1,772,036 | ||||||||
387,244 | Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 387,191 | ||||||||
929,385 | Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 10/15/30 | 929,372 | ||||||||
360,763 | Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.96%, due 04/18/31 | 360,757 | ||||||||
418,567 | Westchester CLO Ltd., Series 07-1A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/01/22 | 418,228 | ||||||||
1,224,000 | WhiteHorse Ltd., Series 18-12A, Class X, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/15/31 | 1,224,000 | ||||||||
4,264,286 | WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 05/01/26 | 4,261,416 | ||||||||
135,286 | Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 04/17/29 | 135,386 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 128,031,724 | |||||||||
|
| |||||||||
U.S. Government — 16.5% |
| |||||||||
57,898,592 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (f) | 57,551,804 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
U.S. Government — continued | ||||||||||
26,200,498 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (f) | 25,385,576 | ||||||||
64,676,845 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (f) | 64,007,339 | ||||||||
92,062,642 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (f) | 89,005,875 | ||||||||
3,608,370 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (f) | 3,492,179 | ||||||||
59,083,252 | U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (f) | 57,436,922 | ||||||||
82,650,746 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (f) | 89,616,869 | ||||||||
63,592,600 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (f) | 74,086,207 | ||||||||
850,000 | U.S. Treasury Note, 0.75%, due 10/31/18 | 848,300 | ||||||||
7,900,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19 | 7,904,874 | ||||||||
8,900,000 | U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20 (b) | 8,899,042 | ||||||||
15,750,000 | U.S. Treasury Note, 2.25%, due 03/31/20 (b) | 15,665,098 | ||||||||
18,000,000 | U.S. Treasury Note, 2.38%, due 04/30/20 | 17,931,094 | ||||||||
22,000,000 | U.S. Treasury Note, 2.50%, due 05/31/20 | 21,953,594 | ||||||||
12,000,000 | U.S. Treasury Note, 2.50%, due 06/30/20 | 11,971,875 | ||||||||
9,500,000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20 | 9,498,911 | ||||||||
15,000,000 | U.S. Treasury Note, 2.63%, due 07/31/20 | 14,996,484 | ||||||||
20,200,000 | U.S. Treasury Note, 2.63%, due 08/31/20 | 20,193,687 | ||||||||
|
| |||||||||
Total U.S. Government | 590,445,730 | |||||||||
|
| |||||||||
U.S. Government Agency — 1.0% |
| |||||||||
10,500,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR + 0.22%, 2.12%, due 11/09/18 | 10,503,053 | ||||||||
3,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.08%, due 03/06/19 | 3,000,173 | ||||||||
10,500,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.16%, 2.18%, due 02/07/20 | 10,501,691 | ||||||||
8,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.10%, due 04/13/20 | 7,995,012 | ||||||||
95,002 | Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.55%, due 05/20/62 | 95,103 | ||||||||
2,098,533 | Government National Mortgage Association, Series 17-H12, Class FE, Variable Rate, 1 mo. LIBOR + 0.20%, 2.30%, due 06/20/66 | 2,095,051 | ||||||||
648,526 | Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.37%, due 01/20/67 | 647,866 |
See accompanying notes to the financial statements. | 33 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
U.S. Government Agency — continued | ||||||||||
632,538 | Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.30%, due 05/20/67 | 631,679 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 35,469,628 | |||||||||
|
| |||||||||
Total United States | 753,947,082 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $759,831,551) | 753,947,082 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 31.2% |
| |||||||||
United States — 31.2% |
| |||||||||
Affiliated Issuers — 31.2% |
| |||||||||
4,088,529 | GMO Emerging Country Debt Fund, Class IV | 109,777,006 | ||||||||
13,350,523 | GMO Emerging Markets Fund, Class VI | 428,418,296 | ||||||||
7,332,394 | GMO Opportunistic Income Fund, Class VI | 195,848,231 | ||||||||
4,081,954 | GMO Risk Premium Fund, Class VI | 115,723,391 | ||||||||
4,759,278 | GMO SGM Major Markets Fund, Class VI | 152,439,658 | ||||||||
5,686,502 | GMO Special Opportunities Fund, Class VI | 111,512,311 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,053,663,365) | 1,113,718,893 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 6.1% |
| |||||||||
Foreign Government Obligations — 2.4% |
| |||||||||
JPY | 1,900,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/18/18 | 17,100,889 | |||||||
JPY | 1,937,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/09/18 | 17,435,231 | |||||||
JPY | 1,788,500,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/22/18 | 16,099,365 | |||||||
JPY | 2,840,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/12/18 | 25,566,774 | |||||||
GBP | 1,300,000 | United Kingdom Treasury Bill, Zero Coupon, due 09/10/18 | 1,685,173 | |||||||
GBP | 4,500,000 | United Kingdom Treasury Bill, Zero Coupon, due 11/19/18 | 5,824,721 | |||||||
|
| |||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (COST $83,868,810) | 83,712,153 | |||||||||
|
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
5,188,461 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (g) | 5,188,461 | ||||||||
|
|
Par Value† / Shares | Description | Value ($) | ||||||||
Repurchase Agreements — 3.2% |
| |||||||||
115,734,491 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/31/18, maturing on 09/04/18 with a maturity value of $115,759,695 and an effective yield of 1.96%, collateralized by a U.S. Treasury Note with maturity date 03/31/25 and a market value of $118,058,788. | 115,734,491 | ||||||||
|
| |||||||||
U.S. Government — 0.3% |
| |||||||||
11,055,000 | U.S. Treasury Note, 1.38%, due 11/30/18 | 11,035,321 | ||||||||
|
| |||||||||
U.S. Government Agency — 0.1% |
| |||||||||
2,000,000 | Federal Home Loan Banks, Zero Coupon, due 09/10/18 | 1,999,354 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $217,835,399) | 217,669,780 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.7% (Cost $3,495,259,636) | 3,590,901,857 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (1.3)% |
| |||||||||
Common Stocks — (1.3)% |
| |||||||||
Brazil — (0.1)% |
| |||||||||
(91,500 | ) | Pagseguro Digital Ltd – Class A * | (2,643,435 | ) | ||||||
|
| |||||||||
Canada — (0.2)% |
| |||||||||
(26,000 | ) | Agnico Eagle Mines Ltd | (897,520 | ) | ||||||
(20,850 | ) | Algonquin Power & Utilities Corp | (215,798 | ) | ||||||
(148,200 | ) | Barrick Gold Corp | (1,544,244 | ) | ||||||
(36,500 | ) | Cameco Corp | (379,965 | ) | ||||||
(72,400 | ) | Enbridge Inc | (2,473,908 | ) | ||||||
|
| |||||||||
Total Canada | (5,511,435 | ) | ||||||||
|
| |||||||||
Denmark — (0.0)% |
| |||||||||
(43 | ) | AP Moller – Maersk A/S – Class A * | (62,092 | ) | ||||||
(714 | ) | AP Moller – Maersk A/S – Class B | (1,106,551 | ) | ||||||
|
| |||||||||
Total Denmark | (1,168,643 | ) | ||||||||
|
| |||||||||
Finland — (0.0)% |
| |||||||||
(6,760 | ) | Outokumpu Oyj | (39,707 | ) | ||||||
|
| |||||||||
France — (0.1)% |
| |||||||||
(7,271 | ) | Air Liquide SA | (915,070 | ) | ||||||
(19,442 | ) | DBV Technologies SA * | (863,009 | ) | ||||||
(835 | ) | Iliad SA | (107,795 | ) | ||||||
(1,407 | ) | Wendel SA | (208,320 | ) | ||||||
|
| |||||||||
Total France | (2,094,194 | ) | ||||||||
|
| |||||||||
Germany — (0.2)% |
| |||||||||
(390,351 | ) | Deutsche Bank AG (Registered) | (4,400,605 | ) |
34 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued |
| |||||||||
(1,334 | ) | GEA Group AG | (50,671 | ) | ||||||
(74,353 | ) | thyssenkrupp AG | (1,718,100 | ) | ||||||
|
| |||||||||
Total Germany | (6,169,376 | ) | ||||||||
|
| |||||||||
Israel — (0.0)% |
| |||||||||
(5,300 | ) | CyberArk Software Ltd * | (399,726 | ) | ||||||
(7,100 | ) | Wix.com Ltd * | (788,810 | ) | ||||||
|
| |||||||||
Total Israel | (1,188,536 | ) | ||||||||
|
| |||||||||
Italy — (0.2)% |
| |||||||||
(205,172 | ) | BPER Banca | (906,184 | ) | ||||||
(88,178 | ) | Brembo SPA | (1,179,732 | ) | ||||||
(634,163 | ) | Saipem SPA * | (3,391,406 | ) | ||||||
|
| |||||||||
Total Italy | (5,477,322 | ) | ||||||||
|
| |||||||||
Japan — (0.2)% |
| |||||||||
(18,000 | ) | Acom Co Ltd | (73,475 | ) | ||||||
(48 | ) | Daiwa House Investment Corp (REIT) | (111,320 | ) | ||||||
(800 | ) | FP Corp | (45,047 | ) | ||||||
(2,800 | ) | Fujitsu General Ltd | (46,186 | ) | ||||||
(18,700 | ) | Hokkaido Electric Power Co Inc | (127,469 | ) | ||||||
(95 | ) | Hulic Reit Inc (REIT) | (139,611 | ) | ||||||
(143 | ) | Invincible Investment Corp (REIT) | (61,943 | ) | ||||||
(22,200 | ) | Isetan Mitsukoshi Holdings Ltd | (250,967 | ) | ||||||
(2,300 | ) | JGC Corp | (46,284 | ) | ||||||
(2,900 | ) | JINS Inc | (148,907 | ) | ||||||
(44,100 | ) | Kansai Paint Co Ltd | (871,584 | ) | ||||||
(16,900 | ) | Keikyu Corp | (292,024 | ) | ||||||
(7,600 | ) | Kenedix Inc | (48,930 | ) | ||||||
(1,100 | ) | Kintetsu Group Holdings Co Ltd | (43,146 | ) | ||||||
(89,700 | ) | Kyushu Electric Power Co Inc | (1,003,660 | ) | ||||||
(34,800 | ) | Mitsui OSK Lines Ltd | (934,793 | ) | ||||||
(3,400 | ) | Murata Manufacturing Co Ltd | (586,280 | ) | ||||||
(1,800 | ) | Nifco Inc | (49,381 | ) | ||||||
(8,400 | ) | Nippon Paint Holdings Co Ltd | (332,027 | ) | ||||||
(1,300 | ) | NOF Corp | (43,133 | ) | ||||||
(2,000 | ) | Nomura Real Estate Holdings Inc | (43,324 | ) | ||||||
(127,100 | ) | Orient Corp | (179,549 | ) | ||||||
(11,900 | ) | Rakuten Inc | (90,984 | ) | ||||||
(1,600 | ) | Royal Holdings Co Ltd | (39,660 | ) | ||||||
(3,200 | ) | Saizeriya Co Ltd | (64,112 | ) | ||||||
(1,000 | ) | Seria Co Ltd | (40,920 | ) | ||||||
(14,900 | ) | Seven Bank Ltd | (46,403 | ) | ||||||
(7,000 | ) | Shimano Inc | (1,080,099 | ) | ||||||
(2,300 | ) | Takasago Thermal Engineering Co Ltd | (40,645 | ) | ||||||
(4,600 | ) | Toyo Tire & Rubber Co Ltd | (75,410 | ) | ||||||
(2,000 | ) | UACJ Corp | (45,470 | ) | ||||||
(4,700 | ) | Yoshinoya Holdings Co Ltd | (79,151 | ) | ||||||
|
| |||||||||
Total Japan | (7,081,894 | ) | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Netherlands — (0.0)% |
| |||||||||
(68,707 | ) | Altice NV * | (206,753 | ) | ||||||
(14,382 | ) | Boskalis Westminster | (411,565 | ) | ||||||
|
| |||||||||
Total Netherlands | (618,318 | ) | ||||||||
|
| |||||||||
Singapore — (0.0)% |
| |||||||||
(14,600 | ) | UOL Group Ltd | (73,496 | ) | ||||||
|
| |||||||||
Spain — (0.2)% |
| |||||||||
(613,203 | ) | Bankia SA | (2,297,109 | ) | ||||||
(48,427 | ) | Cellnex Telecom SA | (1,242,030 | ) | ||||||
(84,984 | ) | Ferrovial SA | (1,835,098 | ) | ||||||
(85,279 | ) | Merlin Properties Socimi SA (REIT) | (1,189,258 | ) | ||||||
(2,335 | ) | Neinor Homes SA * | (42,927 | ) | ||||||
|
| |||||||||
Total Spain | (6,606,422 | ) | ||||||||
|
| |||||||||
Sweden — (0.0)% |
| |||||||||
(2,059 | ) | Industrivarden AB – Class A | (45,218 | ) | ||||||
|
| |||||||||
Switzerland — (0.1)% |
| |||||||||
(112,848 | ) | Credit Suisse Group AG (Registered) * | (1,689,850 | ) | ||||||
(23,609 | ) | LafargeHolcim Ltd (Registered) * | (1,148,455 | ) | ||||||
|
| |||||||||
Total Switzerland | (2,838,305 | ) | ||||||||
|
| |||||||||
United Kingdom — (0.1)% |
| |||||||||
(90,078 | ) | AA Plc | (130,404 | ) | ||||||
(217,727 | ) | Cobham Plc * | (351,904 | ) | ||||||
(88,864 | ) | GVC Holdings Plc | (1,269,549 | ) | ||||||
(5,742 | ) | Just Eat Plc * | (57,173 | ) | ||||||
(494,565 | ) | Melrose Industries Plc | (1,431,364 | ) | ||||||
(1,531 | ) | Ted Baker Plc | (43,834 | ) | ||||||
(42,715 | ) | Travis Perkins Plc | (638,299 | ) | ||||||
|
| |||||||||
Total United Kingdom | (3,922,527 | ) | ||||||||
|
| |||||||||
United States — (0.0)% |
| |||||||||
(78,587 | ) | Altice USA, Inc. – Class A | (1,408,279 | ) | ||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $49,149,255) | (46,887,107 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $49,149,255) | (46,887,107 | ) | ||||||||
Other Assets and Liabilities (net) — 0.6% | 22,309,281 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $3,566,324,031 | |||||||||
|
|
See accompanying notes to the financial statements. | 35 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/15/2018 | GS | AUD | 182,983 | USD | 135,154 | 3,606 | ||||||||||||||||
10/15/2018 | MSCI | AUD | 5,141,220 | USD | 3,806,077 | 110,009 | ||||||||||||||||
10/15/2018 | SSB | AUD | 634,348 | USD | 469,650 | 13,612 | ||||||||||||||||
10/12/2018 | BOA | CHF | 881,191 | USD | 891,851 | (20,214 | ) | |||||||||||||||
10/12/2018 | MSCI | CHF | 2,892,468 | USD | 2,934,058 | (59,749 | ) | |||||||||||||||
10/12/2018 | SSB | CHF | 33,946 | USD | 34,349 | (786 | ) | |||||||||||||||
09/19/2018 | MSCI | EUR | 33,055,051 | USD | 38,650,183 | 242,397 | ||||||||||||||||
09/19/2018 | SSB | EUR | 2,919,485 | USD | 3,422,836 | 30,587 | ||||||||||||||||
09/10/2018 | BCLY | GBP | 1,300,000 | USD | 1,749,062 | 63,371 | ||||||||||||||||
09/19/2018 | BCLY | GBP | 511,396 | USD | 672,393 | 9,030 | ||||||||||||||||
09/19/2018 | GS | GBP | 4,355,462 | USD | 5,734,536 | 84,803 | ||||||||||||||||
09/19/2018 | JPM | GBP | 11,883,324 | USD | 15,798,119 | 383,542 | ||||||||||||||||
09/19/2018 | SSB | GBP | 91,895 | USD | 120,712 | 1,509 | ||||||||||||||||
11/19/2018 | JPM | GBP | 4,500,000 | USD | 5,743,873 | (108,871 | ) |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
09/18/2018 | BCLY | JPY | 1,175,968,317 | USD | 10,621,790 | 28,758 | ||||||||||||||||
09/18/2018 | JPM | JPY | 2,815,520,272 | USD | 25,682,141 | 320,151 | ||||||||||||||||
09/18/2018 | MSCI | JPY | 1,900,000,000 | USD | 17,335,331 | 220,278 | ||||||||||||||||
09/18/2018 | SSB | JPY | 17,071,267 | USD | 154,334 | 557 | ||||||||||||||||
10/09/2018 | MSCI | JPY | 1,937,000,000 | USD | 17,622,227 | 147,200 | ||||||||||||||||
10/22/2018 | GS | JPY | 1,788,500,000 | USD | 16,046,115 | (104,490 | ) | |||||||||||||||
11/13/2018 | JPM | JPY | 2,840,000,000 | USD | 25,782,602 | 96,227 | ||||||||||||||||
10/12/2018 | BOA | NOK | 36,123,524 | USD | 4,498,233 | 184,372 | ||||||||||||||||
10/12/2018 | GS | NOK | 6,330,208 | USD | 775,888 | 19,937 | ||||||||||||||||
10/12/2018 | BCLY | SEK | 27,587,282 | USD | 3,172,949 | 147,605 | ||||||||||||||||
10/12/2018 | GS | SEK | 783,753 | USD | 89,110 | 3,160 | ||||||||||||||||
10/12/2018 | SSB | SEK | 17,814,181 | USD | 2,034,766 | 81,184 | ||||||||||||||||
09/18/2018 | BCLY | USD | 1,040,089 | JPY | 113,597,600 | (16,811 | ) | |||||||||||||||
09/18/2018 | GS | USD | 705,678 | JPY | 77,665,400 | (6,074 | ) | |||||||||||||||
09/19/2018 | JPM | USD | 1,974,736 | EUR | 1,732,700 | 38,547 | ||||||||||||||||
09/19/2018 | MSCI | USD | 1,726,041 | EUR | 1,469,600 | (18,463 | ) | |||||||||||||||
09/19/2018 | MSCI | USD | 886,239 | GBP | 669,300 | (18,049 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 1,876,935 | |||||||||||||||||||||
|
|
Reverse Repurchase Agreements
Average balance outstanding | $ | (46,057,969 | ) | |
Average interest rate | 0.51 | % | ||
Maximum balance outstanding | $ | (46,057,969 | ) |
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 reverse repurchase agreements.
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
120 | Mini MSCI Emerging Markets | September 2018 | 6,329,400 | (469,455 | ) | |||||||
|
|
|
| |||||||||
Sales | ||||||||||||
2,060 | S&P 500 E-Mini | September 2018 | 298,916,300 | (12,071,454 | ) | |||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
36 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 6,331,328 | 05/18/2020 | Monthly | — | (428,917 | ) | (428,917 | ) | |||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.75% | MORD | USD | 219,971 | 05/18/2020 | Monthly | — | (23,945 | ) | (23,945 | ) | |||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.75% | MORD | USD | 861,962 | 05/18/2020 | Monthly | — | (86,079 | ) | (86,079 | ) | |||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 1,325,928 | 05/18/2020 | Monthly | — | 22,882 | 22,882 | |||||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 857,083 | 05/18/2020 | Monthly | — | (62,322 | ) | (62,322 | ) | |||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 6,686,271 | 05/18/2020 | Monthly | — | (11,047 | ) | (11,047 | ) | |||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 1.75% | MORD | USD | 1,880,032 | 05/18/2020 | Monthly | — | (53,649 | ) | (53,649 | ) | |||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 3.38% | MORD | USD | 154,280 | 05/18/2020 | Monthly | — | 14,422 | 14,422 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | — | $ | (628,655 | ) | $ | (628,655 | ) | |||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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 (Note 2). |
(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 (Note 4). |
(c) | Investment valued using significant unobservable inputs (Note 2). |
(d) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(e) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(f) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(g) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(h) | 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. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
See accompanying notes to the financial statements. | 37 |
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 56.9 | % | ||
Debt Obligations | 30.1 | |||
Short-Term Investments | 14.6 | |||
Mutual Funds | 2.3 | |||
Preferred Stocks | 0.6 | |||
Investment Funds | 0.4 | |||
Swap Contracts | 0.1 | |||
Loan Participations | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Forward Currency Contracts | �� | 0.0 | ^ | |
Purchased Options | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Futures Contracts | (0.3 | ) | ||
Other | (4.7 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 19.4 | % | ||
Other Emerging | 2.1 | † | ||
Euro Region | 0.0 | ^# | ||
Other Developed | (0.5 | )‡ | ||
|
| |||
21.0 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 14.5 | % | ||
Japan | 6.0 | |||
Other Emerging | 5.4 | † | ||
Taiwan | 4.2 | |||
United Kingdom | 4.1 | |||
China | 4.0 | |||
Other Developed | 3.2 | ‡ | ||
Germany | 2.8 | |||
Russia | 2.7 | |||
France | 1.7 | |||
Switzerland | 1.6 | |||
South Korea | 1.5 | |||
Sweden | 1.3 | |||
Thailand | 1.2 | |||
Australia | 1.1 | |||
Italy | 1.0 | |||
|
| |||
56.3 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”), except for GMO Alpha Only Fund. Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
38
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
3,250,240 | GMO Alpha Only Fund, Class IV | 65,752,355 | ||||||||
11,882,491 | GMO Asset Allocation Bond Fund, Class VI | 265,692,501 | ||||||||
15,591,767 | GMO Core Plus Bond Fund, Class IV | 331,792,810 | ||||||||
1,646,536 | GMO Emerging Country Debt Fund, Class IV | 44,209,497 | ||||||||
12,836,231 | GMO Emerging Markets Fund, Class VI | 411,914,641 | ||||||||
20,564,664 | GMO International Equity Fund, Class IV | 457,769,422 | ||||||||
1,160,142 | GMO Opportunistic Income Fund, Class VI | 30,987,404 | ||||||||
6,174,318 | GMO Quality Fund, Class VI | 163,619,435 | ||||||||
1,984,450 | GMO Risk Premium Fund, Class VI | 56,259,164 | ||||||||
2,063,930 | GMO SGM Major Markets Fund, Class VI | 66,107,674 | ||||||||
10,934,914 | GMO U.S. Equity Fund, Class VI | 161,946,076 | ||||||||
5,433,415 | GMO U.S. Treasury Fund | 135,726,701 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,165,505,034) | 2,191,777,680 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.0% |
| |||||||||
Asset-Backed Securities — 0.0% |
| |||||||||
30,275 | ACE Securities Corp., Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + .28%, 2.34%, due 02/25/36 ◆ | 16,100 | ||||||||
22,927 | GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.56%, due 10/25/34 ◆ | 21,461 | ||||||||
19,476 | Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/26/34 ◆ | 18,412 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 55,973 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $49,950) | 55,973 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
Money Market Funds — 0.0% |
| |||||||||
315,238 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (a) | 315,238 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $315,238) | 315,238 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $2,165,870,222) | 2,192,148,891 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (97,513 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,192,051,378 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
◆ | These securities are primarily backed by subprime mortgages. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any,
please refer to page 95.
See accompanying notes to the financial statements. | 39 |
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.9 | % | ||
Short-Term Investments | 1.4 | |||
Preferred Stocks | 0.5 | |||
Investment Funds | 0.2 | |||
Other | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.1 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 40.9 | % | ||
Japan | 12.7 | |||
United Kingdom | 8.7 | |||
Germany | 6.0 | |||
Other Emerging | 4.7 | † | ||
Switzerland | 3.7 | |||
France | 3.7 | |||
Taiwan | 2.6 | |||
Sweden | 2.6 | |||
Australia | 2.2 | |||
China | 2.2 | |||
Italy | 2.1 | |||
Other Developed | 2.0 | ‡ | ||
Norway | 1.7 | |||
Hong Kong | 1.6 | |||
Russia | 1.4 | |||
Netherlands | 1.2 | |||
|
| |||
100 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
40
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
1,388,882 | GMO Emerging Markets Fund, Class VI | 44,569,208 | ||||||||
9,350,529 | GMO International Equity Fund, Class IV | 208,142,765 | ||||||||
4,004,766 | GMO Quality Fund, Class VI | 106,126,304 | ||||||||
6,854,662 | GMO U.S. Equity Fund, Class VI | 101,517,540 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $422,557,332) | 460,355,817 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
Money Market Funds — 0.0% |
| |||||||||
121,679 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (a) | 121,679 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $121,679) | 121,679 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $422,679,011) | 460,477,496 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (49,744 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $460,427,752 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
See accompanying notes to the financial statements. | 41 |
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.9 | % | ||
Mutual Funds | 1.1 | |||
Preferred Stocks | 0.9 | |||
Investment Funds | 0.5 | |||
Short-Term Investments | 0.4 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.1 | ) | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 32.1 | % | ||
Japan | 10.7 | |||
United Kingdom | 7.4 | |||
Taiwan | 6.0 | |||
China | 5.7 | |||
Germany | 5.1 | |||
Other Emerging | 4.5 | † | ||
Russia | 3.7 | |||
France | 3.1 | |||
Switzerland | 3.0 | |||
Sweden | 2.2 | |||
Korea | 2.2 | |||
Australia | 1.9 | |||
Italy | 1.8 | |||
Other Developed | 1.7 | ‡ | ||
Thailand | 1.5 | |||
Norway | 1.4 | |||
South Africa | 1.3 | |||
Hong Kong | 1.3 | |||
India | 1.2 | |||
Turkey | 1.1 | |||
Netherlands | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
42
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
16,099,997 | GMO Emerging Markets Fund, Class VI | 516,648,904 | ||||||||
34,962,573 | GMO International Equity Fund, Class IV | 778,266,880 | ||||||||
13,629,897 | GMO Quality Fund, Class VI | 361,192,275 | ||||||||
24,127,786 | GMO U.S. Equity Fund, Class VI | 357,332,506 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,952,524,582) | 2,013,440,565 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
Money Market Funds — 0.0% |
| |||||||||
656,642 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (a) | 656,642 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $656,642) | 656,642 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,953,181,224) | 2,014,097,207 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (167,643 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,013,929,564 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any,
please refer to page 95.
See accompanying notes to the financial statements. | 43 |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 63.7 | % | ||
Debt Obligations | 30.9 | |||
Short-Term Investments | 4.0 | |||
Preferred Stocks | 1.0 | |||
Mutual Funds | 0.4 | |||
Investment Funds | 0.3 | |||
Forward Currency Contracts | 0.1 | |||
Purchased Options | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Reverse Repurchase Agreements | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Written Options | (0.0 | )^ | ||
Futures Contracts | (0.6 | ) | ||
Securities Sold Short | (3.3 | ) | ||
Other | 3.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 13.5 | % | ||
Other Developed | 0.3 | ‡ | ||
Other Emerging | 0.0 | ^† | ||
Euro Region | 0.0 | ^§ | ||
United Kingdom | (3.4 | ) | ||
|
| |||
10.4 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments % of Total Net Assets | |||
United States | 9.1 | % | ||
China | 7.7 | |||
Taiwan | 5.4 | |||
Japan | 5.0 | |||
Other Developed | 4.8 | ‡ | ||
United Kingdom | 3.8 | |||
South Korea | 3.0 | |||
Other Emerging | 2.9 | † | ||
Germany | 2.8 | |||
Russia | 2.7 | |||
South Africa | 2.5 | |||
Brazil | 1.7 | |||
Canada | 1.6 | |||
India | 1.6 | |||
Thailand | 1.5 | |||
France | 1.4 | |||
Switzerland | 1.4 | |||
Mexico | 1.2 | |||
Sweden | 1.1 | |||
Australia | 1.0 | |||
|
| |||
62.2 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Banks | 12.2 | % | ||
Materials | 8.2 | |||
Capital Goods | 7.7 | |||
Energy | 7.6 | |||
Technology Hardware & Equipment | 7.3 | |||
Software & Services | 6.4 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 5.9 | |||
Food, Beverage & Tobacco | 4.9 | |||
Semiconductors & Semiconductor Equipment | 4.9 | |||
Automobiles & Components | 4.3 | |||
Real Estate | 3.8 | |||
Telecommunication Services | 3.6 | |||
Diversified Financials | 3.5 | |||
Health Care Equipment & Services | 3.2 | |||
Consumer Durables & Apparel | 3.2 | |||
Insurance | 2.9 | |||
Utilities | 2.1 | |||
Food & Staples Retailing | 1.8 | |||
Transportation | 1.7 | |||
Retailing | 1.6 | |||
Household & Personal Products | 1.5 | |||
Media | 0.8 | |||
Consumer Services | 0.4 | |||
Commercial & Professional Services | 0.4 | |||
Commercial Services & Supplies | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund. |
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
44
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a) — (Continued)
August 31, 2018 (Unaudited)
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
45
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 63.7% |
| |||||||||
Australia — 1.0% |
| |||||||||
36,784 | Abacus Property Group (REIT) | 92,251 | ||||||||
22,945 | Altium Ltd | 463,518 | ||||||||
25,734 | Appen Ltd | 284,331 | ||||||||
148,173 | Australia & New Zealand Banking Group Ltd | 3,148,791 | ||||||||
95,610 | Australian Pharmaceutical Industries Ltd | 126,873 | ||||||||
936,820 | Beach Energy Ltd | 1,309,472 | ||||||||
38,445 | Brickworks Ltd | 483,793 | ||||||||
909,496 | Caltex Australia Ltd | 19,763,606 | ||||||||
199,698 | Charter Hall Group (REIT) | 1,023,708 | ||||||||
112,691 | Codan Ltd | 252,435 | ||||||||
718,992 | Costa Group Holdings Ltd | 3,742,844 | ||||||||
56,000 | Credit Corp Group Ltd | 929,573 | ||||||||
783,981 | Cromwell Property Group (REIT) | 623,148 | ||||||||
58,963 | Crown Resorts Ltd | 602,978 | ||||||||
45,489 | CSL Ltd | 7,457,303 | ||||||||
139,470 | CSR Ltd | 432,387 | ||||||||
1,556,055 | Downer EDI Ltd | 8,656,757 | ||||||||
41,300 | Elders Ltd | 198,100 | ||||||||
70,481 | Folkestone Education Trust (REIT) | 139,725 | ||||||||
115,427 | GDI Property Group (REIT) | 105,330 | ||||||||
502,436 | Genworth Mortgage Insurance Australia Ltd | 954,933 | ||||||||
13,892 | Goodman Group (REIT) | 106,999 | ||||||||
108,734 | GWA Group Ltd | 235,473 | ||||||||
32,120 | IDP Education Ltd | 251,277 | ||||||||
150,395 | Insurance Australia Group Ltd | 835,826 | ||||||||
292,275 | Macquarie Group Ltd (REIT) | 27,337,419 | ||||||||
25,797 | McMillan Shakespeare Ltd | 331,867 | ||||||||
387,487 | Metcash Ltd | 771,546 | ||||||||
538,526 | Mineral Resources Ltd | 5,866,103 | ||||||||
22,547 | Monadelphous Group Ltd | 233,101 | ||||||||
89,649 | Monash IVF Group Ltd | 78,384 | ||||||||
2,359,171 | Nine Entertainment Co Holdings Ltd | 4,099,121 | ||||||||
170,289 | NRW Holdings Ltd * | 257,906 | ||||||||
543,468 | OZ Minerals Ltd | 3,533,542 | ||||||||
41,963 | Qantas Airways Ltd | 194,262 | ||||||||
305,367 | Sandfire Resources NL | 1,557,110 | ||||||||
1,636,186 | Scentre Group (REIT) | 4,844,150 | ||||||||
54,850 | St Barbara Ltd | 154,785 | ||||||||
298,897 | Tassal Group Ltd | 955,506 | ||||||||
50,166 | Virtus Health Ltd | 209,945 | ||||||||
|
| |||||||||
Total Australia | 102,646,178 | |||||||||
|
| |||||||||
Austria — 0.3% |
| |||||||||
43,489 | FACC AG | 1,097,674 | ||||||||
378,429 | OMV AG | 20,063,162 | ||||||||
23,033 | POLYTEC Holding AG | 285,284 |
Shares | Description | Value ($) | ||||||||
Austria — continued |
| |||||||||
14,552 | S IMMO AG | 305,770 | ||||||||
18,674 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 509,266 | ||||||||
106,216 | voestalpine AG | 4,774,229 | ||||||||
|
| |||||||||
Total Austria | 27,035,385 | |||||||||
|
| |||||||||
Belgium — 0.1% |
| |||||||||
300,759 | AGFA-Gevaert NV * | 1,320,745 | ||||||||
9,177 | Barco NV | 1,262,806 | ||||||||
44,599 | KBC Group NV | 3,170,979 | ||||||||
31,712 | UCB SA | 2,902,895 | ||||||||
|
| |||||||||
Total Belgium | 8,657,425 | |||||||||
|
| |||||||||
Brazil — 1.5% |
| |||||||||
2,328,900 | Ambev SA ADR | 10,829,385 | ||||||||
127,240 | Banco Bradesco SA | 784,414 | ||||||||
803,200 | Banco BTG Pactual SA | 4,042,523 | ||||||||
1,800,200 | Banco do Brasil SA | 13,303,386 | ||||||||
1,906,000 | Banco Santander Brasil SA | 16,191,009 | ||||||||
354,400 | BB Seguridade Participacoes SA | 2,130,002 | ||||||||
569,700 | Centrais Eletricas Brasileiras SA * | 2,212,726 | ||||||||
2,697,600 | Cia de Saneamento Basico do Estado de Sao Paulo | 16,160,035 | ||||||||
648,100 | Cia de Saneamento Basico do Estado de Sao Paulo ADR | 3,895,081 | ||||||||
161,900 | Cia de Saneamento de Minas Gerais-COPASA | 1,664,671 | ||||||||
605,100 | Cielo SA | 2,243,257 | ||||||||
38,900 | Construtora Tenda SA * | 281,739 | ||||||||
99,500 | Cosan SA | 850,114 | ||||||||
179,700 | Equatorial Energia SA | 2,514,768 | ||||||||
1,061,800 | Estacio Participacoes SA | 5,875,862 | ||||||||
531,900 | Grendene SA | 935,014 | ||||||||
7,300 | Guararapes Confeccoes SA | 188,275 | ||||||||
13,371,600 | JBS SA | 30,859,306 | ||||||||
1,132,800 | Kroton Educacional SA | 2,842,360 | ||||||||
39,100 | Mahle-Metal Leve SA | 242,197 | ||||||||
312,900 | MRV Engenharia e Participacoes SA | 998,674 | ||||||||
1,975,507 | Oi SA | 6,558,683 | ||||||||
2,090,700 | Petrobras Distribuidora SA | 10,152,966 | ||||||||
222,700 | QGEP Participacoes SA | 667,045 | ||||||||
26,200 | Qualicorp Consultoria e Corretora de Seguros SA | 101,375 | ||||||||
143,300 | Smiles Fidelidade SA | 1,826,300 | ||||||||
148,600 | Tim Participacoes SA | 448,379 | ||||||||
788,200 | Transmissora Alianca de Energia Eletrica SA | 3,889,622 | ||||||||
519,100 | Ultrapar Participacoes SA | 5,246,949 | ||||||||
112,900 | Ultrapar Participacoes SA Sponsored ADR | 1,153,838 |
46 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
533,000 | Via Varejo SA | 2,211,510 | ||||||||
|
| |||||||||
Total Brazil | 151,301,465 | |||||||||
|
| |||||||||
Canada — 1.8% |
| |||||||||
139,500 | AGF Management Ltd – Class B | 657,414 | ||||||||
899,200 | Alignvest Acquisition II Corp – Class A * | 6,704,380 | ||||||||
8,800 | ATS Automation Tooling Systems Inc * | 149,162 | ||||||||
93,500 | Bank of Montreal | 7,664,134 | ||||||||
101,100 | Bank of Montreal (b) | 8,286,156 | ||||||||
32,400 | Bank of Nova Scotia (The) | 1,875,228 | ||||||||
72,300 | Bank of Nova Scotia (The) | 4,186,170 | ||||||||
97,100 | Bird Construction Inc | 573,671 | ||||||||
121,248 | BRP Inc Sub Voting | 6,329,053 | ||||||||
133,400 | Canadian Imperial Bank of Commerce | 12,501,778 | ||||||||
12,300 | Canadian Imperial Bank of Commerce | 1,152,264 | ||||||||
150,200 | Canfor Corp * | 3,463,232 | ||||||||
6,900 | Canfor Pulp Products Inc | 144,715 | ||||||||
11,800 | Cogeco Inc | 561,246 | ||||||||
5,400 | Constellation Software Inc | 4,117,614 | ||||||||
67,600 | Empire Co Ltd – A Shares | 1,288,803 | ||||||||
43,100 | Finning International Inc | 1,001,703 | ||||||||
3,600 | George Weston Ltd | 280,386 | ||||||||
9,500 | Industrial Alliance Insurance & Financial Services Inc | 393,831 | ||||||||
12,400 | Interfor Corp * | 213,413 | ||||||||
19,400 | Labrador Iron Ore Royalty Corp | 377,594 | ||||||||
182,000 | Magna International Inc | 9,854,498 | ||||||||
131,100 | Magna International Inc | 7,095,132 | ||||||||
86,700 | Metro Inc | 2,714,607 | ||||||||
13,500 | Morguard North American Residential (REIT) | 169,655 | ||||||||
36,200 | National Bank of Canada | 1,811,664 | ||||||||
13,300 | Norbord Inc | 506,113 | ||||||||
5,800 | Power Corp of Canada | 130,000 | ||||||||
10,500 | Rocky Mountain Dealerships Inc | 83,920 | ||||||||
501,000 | Rogers Sugar Inc | 2,080,782 | ||||||||
22,800 | Royal Bank of Canada (b) | 1,813,056 | ||||||||
570,800 | Royal Bank of Canada | 45,340,328 | ||||||||
79,900 | Russel Metals Inc | 1,746,779 | ||||||||
315,500 | Sun Life Financial Inc | 12,537,970 | ||||||||
73,200 | Sun Life Financial Inc | 2,909,490 | ||||||||
38,000 | TFI International Inc | 1,410,513 | ||||||||
344,600 | Toronto-Dominion Bank (The) | 20,768,421 | ||||||||
79,400 | Transat AT Inc * | 556,713 | ||||||||
198,720 | Transcontinental Inc – Class A | 4,840,850 | ||||||||
6,300 | Wajax Corp | 133,676 | ||||||||
166,700 | West Fraser Timber Co Ltd | 11,058,405 | ||||||||
|
| |||||||||
Total Canada | 189,484,519 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Chile — 0.0% |
| |||||||||
608,693 | AES Gener SA | 152,876 | ||||||||
10,540,667 | Enel Chile SA | 1,030,614 | ||||||||
|
| |||||||||
Total Chile | 1,183,490 | |||||||||
|
| |||||||||
China — 8.1% |
| |||||||||
5,254,000 | 361 Degrees International Ltd | 1,507,923 | ||||||||
88,000 | AAC Technologies Holdings Inc | 978,046 | ||||||||
11,019,000 | Agile Group Holdings Ltd | 18,022,451 | ||||||||
2,403,000 | Agricultural Bank of China Ltd – Class A | 1,278,370 | ||||||||
119,264,000 | Agricultural Bank of China Ltd – Class H | 57,792,489 | ||||||||
1,369,719 | Anhui Conch Cement Co Ltd – Class A | 7,461,532 | ||||||||
2,728,500 | Anhui Conch Cement Co Ltd – Class H | 16,645,018 | ||||||||
139,000 | ANTA Sports Products Ltd | 758,000 | ||||||||
3,452,500 | BAIC Motor Corp Ltd – Class H | 2,904,795 | ||||||||
79,900 | Baidu Inc Sponsored ADR * | 18,095,752 | ||||||||
51,801,000 | Bank of China Ltd – Class H | 23,277,157 | ||||||||
15,371,000 | Bank of Communications Co Ltd – Class H | 11,108,297 | ||||||||
1,412,600 | Cangzhou Mingzhu Plastic Co Ltd – Class A | 967,722 | ||||||||
294,600 | Changyou.com Ltd ADR | 3,974,154 | ||||||||
11,759,000 | China CITIC Bank Corp Ltd – Class H | 7,346,885 | ||||||||
18,974,000 | China Communications Services Corp Ltd – Class H | 15,719,789 | ||||||||
12,961,080 | China Construction Bank Corp – Class A | 13,081,274 | ||||||||
39,058,000 | China Construction Bank – Class H | 34,399,793 | ||||||||
2,448,000 | China Everbright Bank Co Ltd – Class H | 1,023,573 | ||||||||
6,149,000 | China Greenfresh Group Co Ltd * | 924,390 | ||||||||
9,318,000 | China Huarong Asset Management Co Ltd – Class H | 1,937,038 | ||||||||
10,236,000 | China Lesso Group Holdings Ltd | 5,907,174 | ||||||||
553,000 | China Lilang Ltd | 613,390 | ||||||||
11,351,000 | China Machinery Engineering Corp – Class H | 5,527,566 | ||||||||
261,000 | China Medical System Holdings Ltd | 432,594 | ||||||||
1,796,000 | China Mobile Ltd | 16,892,308 | ||||||||
10,584,600 | China National Building Material Co Ltd – Class H | 9,917,924 | ||||||||
2,748,000 | China Overseas Land & Investment Ltd | 8,709,856 | ||||||||
23,925 | China Petroleum & Chemical Corp ADR | 2,375,992 | ||||||||
9,474,946 | China Petroleum & Chemical Corp – Class A | 9,503,560 | ||||||||
66,600,000 | China Petroleum & Chemical Corp – Class H | 67,012,018 |
See accompanying notes to the financial statements. | 47 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
26,663,200 | China Railway Construction Corp Ltd – Class H | 32,255,173 | ||||||||
2,648,000 | China Railway Group Ltd – Class H | 2,288,612 | ||||||||
4,864,000 | China Resources Cement Holdings Ltd | 5,688,126 | ||||||||
2,130,000 | China Resources Land Ltd | 7,429,976 | ||||||||
5,431,000 | China Resources Pharmaceutical Group Ltd | 8,691,166 | ||||||||
1,846,000 | China SCE Group Holdings Ltd | 828,684 | ||||||||
1,001,457 | China Shenhua Energy Co Ltd – Class A | 2,718,224 | ||||||||
4,452,500 | China Shenhua Energy Co Ltd – Class H | 9,944,661 | ||||||||
1,552,000 | China Shineway Pharmaceutical Group Ltd | 2,193,243 | ||||||||
77,810,000 | China Telecom Corp Ltd – Class H | 36,594,240 | ||||||||
1,124,000 | China Travel International Investment Hong Kong Ltd | 365,449 | ||||||||
727,593 | China Vanke Co Ltd – Class A | 2,567,455 | ||||||||
562,200 | China Vanke Co Ltd – Class H | 1,950,497 | ||||||||
2,000,002 | China Yangtze Power Co Ltd – Class A | 4,638,538 | ||||||||
21,900 | China Yuchai International Ltd | 440,409 | ||||||||
785,166 | Chongqing Department Store Co Ltd – Class A | 3,302,687 | ||||||||
9,269,069 | Chongqing Rural Commercial Bank Co Ltd – Class H | 4,999,557 | ||||||||
932,000 | CIFI Holdings Group Co Ltd | 541,324 | ||||||||
3,174,000 | Country Garden Holdings Co Ltd | 4,731,790 | ||||||||
170,827 | Country Garden Services Holdings Co Ltd * | 288,602 | ||||||||
385,000 | Dah Chong Hong Holdings Ltd | 167,437 | ||||||||
3,842,892 | Daqin Railway Co Ltd – Class A | 4,858,639 | ||||||||
318,900 | Dashang Co Ltd – Class A | 1,338,338 | ||||||||
16,788,000 | Dongfeng Motor Group Co Ltd – Class H | 18,766,919 | ||||||||
69,000 | ENN Energy Holdings Ltd | 629,015 | ||||||||
1,539,200 | Fangda Special Steel Technology Co Ltd – Class A | 2,503,096 | ||||||||
8,587,000 | Geely Automobile Holdings Ltd | 18,282,437 | ||||||||
1,286,900 | Gree Electric Appliances Inc of Zhuhai – Class A * | 7,352,800 | ||||||||
4,454,000 | Guangdong Investment Ltd | 7,907,095 | ||||||||
2,078,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 7,656,255 | ||||||||
12,435,600 | Guangzhou R&F Properties Co Ltd – Class H | 25,130,833 | ||||||||
5,336,000 | Haier Electronics Group Co Ltd * | 13,915,488 | ||||||||
321,000 | Haitian International Holdings Ltd | 644,195 | ||||||||
4,353,700 | Harbin Electric Co Ltd – Class H | 1,369,752 | ||||||||
1,812,400 | Heilan Home Co Ltd – Class A | 2,648,575 | ||||||||
927,299 | Henan Shuanghui Investment & Development Co Ltd – Class A | 3,159,071 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
67,500 | Hengan International Group Co Ltd | 608,145 | ||||||||
921,000 | Hi Sun Technology China Ltd * | 137,600 | ||||||||
1,010,000 | Hua Hong Semiconductor Ltd | 2,757,692 | ||||||||
11,246,000 | Huabao International Holdings Ltd | 6,626,809 | ||||||||
217,000 | IGG Inc | 262,429 | ||||||||
2,836,146 | Industrial & Commercial Bank of China Ltd – Class A | 2,262,051 | ||||||||
26,682,000 | Industrial and Commercial Bank of China Ltd – Class H | 19,707,261 | ||||||||
738,000 | Jiangsu Expressway Co Ltd – Class H | 933,358 | ||||||||
221,000 | JNBY Design Ltd | 376,571 | ||||||||
822,000 | Ju Teng International Holdings Ltd | 154,985 | ||||||||
3,452,500 | Kingboard Holdings Ltd | 12,290,553 | ||||||||
2,286,000 | Kingboard Laminates Holdings Ltd | 2,161,297 | ||||||||
1,349,530 | Livzon Pharmaceutical Group Inc – Class H | 5,451,135 | ||||||||
1,206,000 | Logan Property Holdings Co Ltd | 1,508,938 | ||||||||
1,400,500 | Longfor Group Holdings Ltd | 3,895,527 | ||||||||
16,459,000 | Lonking Holdings Ltd | 5,666,845 | ||||||||
447,900 | Offshore Oil Engineering Co Ltd – Class A | 394,069 | ||||||||
5,127,000 | PICC Property & Casualty Co Ltd – Class H | 5,781,028 | ||||||||
17,969,000 | Postal Savings Bank of China Co Ltd – Class H | 10,591,294 | ||||||||
2,431,000 | Powerlong Real Estate Holdings Ltd | 1,243,314 | ||||||||
1,973,000 | Shanghai Industrial Holdings Ltd | 4,704,343 | ||||||||
4,944,400 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 12,987,951 | ||||||||
3,284,568 | Shanghai SMI Holding Co Ltd – Class A | 2,757,530 | ||||||||
126,160 | Shenzhen Expressway Co Ltd – Class A | 155,280 | ||||||||
1,504,000 | Shenzhen Expressway Co Ltd – Class H | 1,459,234 | ||||||||
28,000 | Shenzhou International Group Holdings Ltd | 367,770 | ||||||||
10,939,576 | Shimao Property Holdings Ltd | 32,669,645 | ||||||||
2,701,500 | Sino Biopharmaceutical Ltd | 3,423,905 | ||||||||
2,811,000 | Sinotruk Hong Kong Ltd | 4,198,279 | ||||||||
4,808,000 | SSY Group Ltd | 4,473,505 | ||||||||
5,546,231 | Suning Universal Co Ltd – Class A | 2,746,293 | ||||||||
563,000 | Tencent Holdings Ltd | 24,201,756 | ||||||||
71,400 | Tencent Holdings Ltd ADR | 3,080,196 | ||||||||
1,631,000 | Texhong Textile Group Ltd | 2,806,838 | ||||||||
654,000 | Tianjin Development Holdings Ltd * | 246,025 | ||||||||
914,000 | Tianjin Port Development Holdings Ltd * | 107,198 | ||||||||
3,930,000 | Tianneng Power International Ltd | 4,884,882 | ||||||||
321,000 | Times China Holdings Ltd | 381,246 | ||||||||
5,025,000 | TravelSky Technology Ltd – Class H | 12,902,698 | ||||||||
1,016,000 | Uni-President China Holdings Ltd | 1,001,181 |
48 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
9,373,000 | Weichai Power Co Ltd – Class H | 9,940,656 | ||||||||
2,429,000 | XTEP International Holdings Ltd | 1,622,926 | ||||||||
2,908,000 | Yadea Group Holdings Ltd | 1,085,627 | ||||||||
8,989,000 | Yuzhou Properties Co Ltd | 4,783,392 | ||||||||
45,400 | YY Inc ADR * | 3,469,922 | ||||||||
3,878,000 | Zhejiang Expressway Co Ltd – Class H | 3,078,962 | ||||||||
1,051,472 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 2,608,710 | ||||||||
122,000 | Zhongsheng Group Holdings Ltd | 267,895 | ||||||||
|
| |||||||||
Total China | 844,109,934 | |||||||||
|
| |||||||||
Colombia — 0.1% |
| |||||||||
405,978 | Almacenes Exito SA | 2,113,754 | ||||||||
1,361,849 | Ecopetrol SA | 1,528,987 | ||||||||
350,679 | Ecopetrol SA Sponsored ADR | 7,925,345 | ||||||||
|
| |||||||||
Total Colombia | 11,568,086 | |||||||||
|
| |||||||||
Czech Republic — 0.0% |
| |||||||||
59,876 | CEZ AS | 1,517,824 | ||||||||
222,250 | Moneta Money Bank AS | 776,844 | ||||||||
|
| |||||||||
Total Czech Republic | 2,294,668 | |||||||||
|
| |||||||||
Denmark — 0.2% |
| |||||||||
106,500 | Novo Nordisk A/S Sponsored ADR | 5,236,605 | ||||||||
332,780 | Novo Nordisk A/S – Class B | 16,381,482 | ||||||||
796 | Rockwool International A/S – Class B | 345,888 | ||||||||
26,518 | Royal Unibrew A/S | 2,285,232 | ||||||||
22,029 | Scandinavian Tobacco Group A/S | 362,658 | ||||||||
1,897 | Schouw & Co AB | 149,989 | ||||||||
22,545 | Spar Nord Bank A/S | 220,529 | ||||||||
|
| |||||||||
Total Denmark | 24,982,383 | |||||||||
|
| |||||||||
Egypt — 0.0% |
| |||||||||
544,093 | Global Telecom Holding SAE * | 129,694 | ||||||||
|
| |||||||||
Finland — 0.3% |
| |||||||||
12,286 | DNA Oyj | 261,416 | ||||||||
23,971 | Finnair Oyj | 209,108 | ||||||||
3,986 | Kemira Oyj | 52,849 | ||||||||
36,224 | Metsa Board Oyj | 364,999 | ||||||||
150,247 | Neste Oyj | 13,044,838 | ||||||||
8,911 | Sanoma Oyj | 92,462 | ||||||||
79,744 | Stora Enso Oyj – R Shares | 1,484,196 | ||||||||
11,675 | Tieto Oyj | 378,947 | ||||||||
422,354 | UPM-Kymmene Oyj | 16,292,082 | ||||||||
|
| |||||||||
Total Finland | 32,180,897 | |||||||||
|
| |||||||||
France — 1.4% |
| |||||||||
2,966 | Alten SA | 307,124 | ||||||||
1,504 | Amundi SA | 108,463 |
Shares | Description | Value ($) | ||||||||
France — continued |
| |||||||||
25,783 | ArcelorMittal | 777,643 | ||||||||
31,106 | AXA SA | 783,895 | ||||||||
386,057 | BNP Paribas SA | 22,728,314 | ||||||||
51,386 | Christian Dior SE | 22,170,728 | ||||||||
279,087 | CNP Assurances | 6,450,472 | ||||||||
51,734 | Coface SA * | 485,373 | ||||||||
133,585 | Credit Agricole SA | 1,827,782 | ||||||||
1,372 | Dassault Systemes SE | 222,650 | ||||||||
37,919 | Derichebourg SA | 212,364 | ||||||||
5,509 | Eramet | 471,982 | ||||||||
14,611 | Gaztransport Et Technigaz SA | 999,658 | ||||||||
2,642 | Interparfums SA | 122,515 | ||||||||
1,574 | Ipsen SA | 280,492 | ||||||||
6,965 | Kaufman & Broad SA | 366,781 | ||||||||
100,863 | L’Oreal SA | 24,147,196 | ||||||||
11,479 | Mersen SA | 449,454 | ||||||||
46,875 | Metropole Television SA | 928,073 | ||||||||
281,324 | Natixis SA | 1,881,490 | ||||||||
5,374 | Neopost SA | 144,241 | ||||||||
1,370 | Nexity SA | 83,723 | ||||||||
42,253 | Peugeot SA | 1,164,255 | ||||||||
12,761 | Rallye SA | 132,481 | ||||||||
12,989 | Renault SA | 1,121,872 | ||||||||
165,970 | Sanofi | 14,252,401 | ||||||||
59,900 | Sanofi ADR | 2,566,715 | ||||||||
14,406 | Schneider Electric SA | 1,170,702 | ||||||||
58,511 | SCOR SE | 2,365,320 | ||||||||
167,176 | Societe Generale SA | 6,845,404 | ||||||||
795,100 | STMicroelectronics NV – NY Shares (Registered) | 16,450,619 | ||||||||
706,342 | STMicroelectronics NV | 14,573,660 | ||||||||
2,506 | Ubisoft Entertainment SA * | 269,991 | ||||||||
3,168 | Vilmorin & Cie SA | 219,784 | ||||||||
|
| |||||||||
Total France | 147,083,617 | |||||||||
|
| |||||||||
Germany — 2.8% |
| |||||||||
2,387 | Aareal Bank AG | 97,060 | ||||||||
210,649 | Allianz SE (Registered) | 44,898,104 | ||||||||
1,646 | Amadeus Fire AG | 189,750 | ||||||||
249,408 | BASF SE | 23,046,680 | ||||||||
12,091 | Bauer AG | 225,161 | ||||||||
14,535 | Bayer AG (Registered) | 1,356,469 | ||||||||
477,115 | Bayerische Motoren Werke AG | 46,187,942 | ||||||||
1,429 | Cewe Stiftung & Co KGAA | 131,380 | ||||||||
234,927 | Covestro AG | 20,002,018 | ||||||||
552,876 | Daimler AG (Registered Shares) | 35,754,669 | ||||||||
1,491,289 | Deutsche Lufthansa AG (Registered) | 38,963,742 | ||||||||
134,259 | Deutsche Pfandbriefbank AG * (a) | 1,965,458 | ||||||||
4,362 | Eckert & Ziegler AG | 238,956 | ||||||||
18,903 | Elmos Semiconductor AG | 488,284 |
See accompanying notes to the financial statements. | 49 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued |
| |||||||||
2,718 | Gesco AG | 95,797 | ||||||||
29,472 | Henkel AG & Co KGaA | 3,288,657 | ||||||||
4,845 | Isra Vision AG | 337,180 | ||||||||
14,995 | Kloeckner & Co SE | 158,800 | ||||||||
8,436 | Leoni AG | 363,958 | ||||||||
174,500 | Linde AG-Tender | 39,730,425 | ||||||||
2,835 | OHB SE | 119,435 | ||||||||
6,687 | Salzgitter AG | 302,853 | ||||||||
183,547 | SAP SE | 22,034,410 | ||||||||
798 | Siltronic AG | 115,686 | ||||||||
1,545 | Sixt SE | 198,459 | ||||||||
15,568 | Software AG | 767,708 | ||||||||
5,517 | STADA Arzneimittel AG | 519,656 | ||||||||
7,406 | Takkt AG | 129,195 | ||||||||
43,863 | Talanx AG * | 1,656,322 | ||||||||
52,260 | Volkswagen AG | 8,412,230 | ||||||||
42,119 | Wacker Neuson SE | 1,164,460 | ||||||||
31,622 | Wuestenrot & Wuerttembergische AG | 730,460 | ||||||||
|
| |||||||||
Total Germany | 293,671,364 | |||||||||
|
| |||||||||
Greece — 0.0% |
| |||||||||
17,677 | JUMBO SA | 264,218 | ||||||||
124,640 | Public Power Corp SA * | 241,710 | ||||||||
|
| |||||||||
Total Greece | 505,928 | |||||||||
|
| |||||||||
Hong Kong — 0.5% |
| |||||||||
1,407,000 | BOC Hong Kong Holdings Ltd | 6,871,498 | ||||||||
241,500 | CK Asset Holdings Ltd | 1,722,313 | ||||||||
520,000 | Dah Sing Banking Group Ltd | 1,072,553 | ||||||||
319,200 | Dah Sing Financial Holdings Ltd | 1,985,333 | ||||||||
86,500 | HKBN Ltd | 128,514 | ||||||||
140,000 | Hysan Development Co Ltd | 718,383 | ||||||||
2,520,213 | I-CABLE Communications Ltd * | 28,586 | ||||||||
271,000 | Johnson Electric Holdings Ltd | 794,621 | ||||||||
1,100,500 | Kerry Properties Ltd | 4,173,451 | ||||||||
170,000 | Luk Fook Holdings International Ltd | 591,550 | ||||||||
536,000 | Singamas Container Holdings Ltd | 69,041 | ||||||||
5,244,000 | SJM Holdings Ltd | 5,937,318 | ||||||||
16,408,500 | WH Group Ltd | 12,392,182 | ||||||||
1,950,000 | Wharf Holdings Ltd (The) | 5,568,718 | ||||||||
1,189,000 | Wharf Real Estate Investment Co Ltd | 7,888,831 | ||||||||
1,109,000 | Wheelock & Co Ltd | 6,963,509 | ||||||||
160,500 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 39,068 | ||||||||
|
| |||||||||
Total Hong Kong | 56,945,469 | |||||||||
|
| |||||||||
Hungary — 0.0% |
| |||||||||
2,257,270 | Magyar Telekom Telecommunications Plc | 3,308,730 |
Shares | Description | Value ($) | ||||||||
Hungary — continued |
| |||||||||
60,455 | Richter Gedeon Nyrt | 1,187,117 | ||||||||
|
| |||||||||
Total Hungary | 4,495,847 | |||||||||
|
| |||||||||
India — 1.6% |
| |||||||||
8,089 | ACC Ltd | 187,673 | ||||||||
124,149 | Apollo Tyres Ltd | 440,989 | ||||||||
426,783 | Aurobindo Pharma Ltd | 4,294,808 | ||||||||
460,769 | Balrampur Chini Mills Ltd | 496,648 | ||||||||
81,154 | Bata India Ltd | 1,241,016 | ||||||||
224,796 | Castrol India Ltd | 504,203 | ||||||||
353,952 | Chambal Fertilizers and Chemicals Ltd | 828,224 | ||||||||
211,718 | Divi’s Laboratories Ltd | 3,912,210 | ||||||||
1,665,930 | Firstsource Solutions Ltd | 1,771,421 | ||||||||
2,368,269 | HCL Technologies Ltd | 34,891,055 | ||||||||
139,506 | Hero MotoCorp Ltd | 6,418,752 | ||||||||
945,148 | Hexaware Technologies Ltd | 5,849,269 | ||||||||
52,696 | Hindustan Unilever Ltd | 1,320,751 | ||||||||
259,399 | IDFC Bank Ltd | 174,639 | ||||||||
37,652 | Ipca Laboratories Ltd | 409,078 | ||||||||
961,829 | ITC Ltd | 4,338,807 | ||||||||
258,625 | Jamna Auto Industries Ltd | 296,934 | ||||||||
1,523,344 | Jaypee Infratech Ltd * | 78,686 | ||||||||
68,095 | Jubilant Life Sciences Ltd | 692,007 | ||||||||
264,237 | Just Dial Ltd * | 2,083,900 | ||||||||
265,044 | KPIT Technologies Ltd | 1,133,426 | ||||||||
159,442 | Larsen & Toubro Infotech Ltd | 4,019,544 | ||||||||
38,577 | Mahanagar Gas Ltd | 469,662 | ||||||||
701,364 | Mahindra & Mahindra Ltd | 9,558,684 | ||||||||
30,314 | Maruti Suzuki India Ltd | 3,893,622 | ||||||||
36,733 | Mastek Ltd | 279,207 | ||||||||
7,531 | Merck Ltd | 371,928 | ||||||||
457,902 | Mphasis Ltd | 8,173,754 | ||||||||
976 | MRF Ltd | 1,017,800 | ||||||||
1,337,409 | NHPC Ltd | 479,302 | ||||||||
368,736 | NIIT Technologies Ltd | 7,327,319 | ||||||||
19,326 | Nucleus Software Exports Ltd | 123,713 | ||||||||
3,829,260 | Oil & Natural Gas Corp Ltd | 9,717,436 | ||||||||
199,634 | Oil India Ltd | 602,212 | ||||||||
58,704 | Pidilite Industries Ltd | 967,673 | ||||||||
4,473,302 | Power Finance Corp Ltd | 5,333,378 | ||||||||
1,932,887 | PTC India Ltd | 2,285,382 | ||||||||
60,355 | Rajesh Exports Ltd | 565,666 | ||||||||
24,601 | Raymond Ltd | 292,621 | ||||||||
1,135,724 | Reliance Capital Ltd | 7,543,827 | ||||||||
8,247,301 | Rural Electrification Corp Ltd | 13,953,727 | ||||||||
276,615 | Sonata Software Ltd | 1,375,544 | ||||||||
130,455 | Steel Authority of India Ltd * | 147,983 | ||||||||
822,544 | Tata Global Beverages Ltd | 2,728,268 | ||||||||
62,204 | Tata Motors Ltd – Class A * | 124,862 | ||||||||
18,022 | Tata Steel Ltd | 152,872 |
50 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued |
| |||||||||
701,055 | Tech Mahindra Ltd | 7,576,357 | ||||||||
45,968 | TV Today Network Ltd | 293,222 | ||||||||
587,060 | Vakrangee Ltd | 319,268 | ||||||||
53,318 | VIP Industries Ltd | 469,772 | ||||||||
1,792,239 | Wipro Ltd | 7,591,532 | ||||||||
295,573 | Zee Entertainment Enterprises Ltd | 2,086,148 | ||||||||
17,704 | Zensar Technologies Ltd | 419,831 | ||||||||
68,926 | Zuari Agro Chemicals Ltd | 309,424 | ||||||||
|
| |||||||||
Total India | 171,936,036 | |||||||||
|
| |||||||||
Indonesia — 0.5% |
| |||||||||
31,743,100 | Adaro Energy Tbk PT | 4,024,732 | ||||||||
2,230,800 | Bank Central Asia Tbk PT | 3,757,300 | ||||||||
6,878,700 | Bank Mandiri Persero Tbk PT | 3,205,040 | ||||||||
3,330,700 | Bank Negara Indonesia Persero Tbk PT | 1,764,303 | ||||||||
15,990,400 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 727,276 | ||||||||
57,522,900 | Bank Rakyat Indonesia Persero Tbk PT | 12,428,768 | ||||||||
8,955,500 | Bukit Asam Tbk PT | 2,462,880 | ||||||||
2,465,200 | Bumi Serpong Damai Tbk PT * | 201,078 | ||||||||
5,203,200 | Erajaya Swasembada Tbk PT | 947,610 | ||||||||
2,540,600 | Gajah Tunggal Tbk PT | 109,557 | ||||||||
85,400 | Gudang Garam Tbk PT | 423,296 | ||||||||
3,495,500 | Harum Energy Tbk PT | 607,670 | ||||||||
721,200 | Indah Kiat Pulp & Paper Corp Tbk PT | 935,738 | ||||||||
4,969,100 | Indo Tambangraya Megah Tbk PT | 9,548,445 | ||||||||
2,283,500 | Indofood Sukses Makmur Tbk PT | 988,278 | ||||||||
839,100 | Link Net Tbk PT | 245,043 | ||||||||
1,210,400 | Matahari Department Store Tbk PT | 616,572 | ||||||||
38,853,900 | Modernland Realty Tbk PT | 670,730 | ||||||||
28,601,800 | Panin Financial Tbk PT * | 396,444 | ||||||||
1,686,100 | PP Persero Tbk PT | 217,702 | ||||||||
2,553,300 | Ramayana Lestari Sentosa Tbk PT | 220,187 | ||||||||
19,497,600 | Surya Semesta Internusa Tbk PT | 643,533 | ||||||||
16,548,900 | Telekomunikasi Indonesia Persero Tbk PT | 3,930,745 | ||||||||
44,500 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 1,053,315 | ||||||||
957,400 | United Tractors Tbk PT | 2,236,639 | ||||||||
9,406,700 | Waskita Beton Precast Tbk PT | 249,266 | ||||||||
966,100 | XL Axiata Tbk PT * | 208,516 | ||||||||
|
| |||||||||
Total Indonesia | 52,820,663 | |||||||||
|
| |||||||||
Ireland — 0.1% |
| |||||||||
31,300 | ICON Plc * (a) | 4,664,326 | ||||||||
1,290 | Smurfit Kappa Group Plc | 52,683 | ||||||||
|
| |||||||||
Total Ireland | 4,717,009 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Israel — 0.4% |
| |||||||||
273,732 | Bank Leumi Le-Israel BM | 1,838,750 | ||||||||
33,881 | Discount Investment Corp Ltd (Registered) | 102,336 | ||||||||
26,548 | First International Bank of Israel Ltd | 614,956 | ||||||||
107,914 | Frutarom Industries Ltd | 11,002,800 | ||||||||
56,101 | Harel Insurance Investments & Financial Services Ltd | 457,994 | ||||||||
29,471 | Nova Measuring Instruments Ltd * | 886,363 | ||||||||
366,910 | Orbotech Ltd * | 23,474,902 | ||||||||
7,112 | SodaStream International Ltd * | 1,008,886 | ||||||||
|
| |||||||||
Total Israel | 39,386,987 | |||||||||
|
| |||||||||
Italy — 1.0% |
| |||||||||
178,721 | Arnoldo Mondadori Editore SPA * | 273,139 | ||||||||
45,260 | ASTM SPA | 923,757 | ||||||||
25,038 | Carraro SpA | 68,926 | ||||||||
22,770 | Credito Emiliano SPA | 143,517 | ||||||||
3,708 | El.En. SPA | 119,524 | ||||||||
107,703 | Enav SPA | 532,472 | ||||||||
3,734,753 | Enel SPA | 18,464,392 | ||||||||
75,832 | ERG SPA | 1,570,741 | ||||||||
483,524 | EXOR NV | 31,462,472 | ||||||||
356,697 | Falck Renewables SPA | 844,717 | ||||||||
140,282 | Fiat Chrysler Automobiles NV * | 2,374,945 | ||||||||
1,816,224 | Fiat Chrysler Automobiles NV * | 31,075,593 | ||||||||
97,206 | Fincantieri SPA * | 144,110 | ||||||||
97,315 | FinecoBank Banca Fineco SPA | 1,160,090 | ||||||||
211,180 | Hera SPA | 662,524 | ||||||||
154,487 | IMMSI SPA * | 75,624 | ||||||||
1,289,607 | Iren SPA | 3,024,621 | ||||||||
31,456 | La Doria SPA | 360,957 | ||||||||
52,980 | Mediobanca Banca di Credito Finanziario SPA | 493,330 | ||||||||
75,953 | Piaggio & C SPA | 164,558 | ||||||||
226,659 | Poste Italiane SPA | 1,746,015 | ||||||||
13,622 | Prima Industrie SPA | 512,377 | ||||||||
21,065 | Recordati SPA | 737,948 | ||||||||
4,804 | Reply SPA | 317,818 | ||||||||
4,202 | Sabaf SPA | 67,356 | ||||||||
43,168 | Saras SPA | 109,184 | ||||||||
541,362 | Societa Cattolica di Assicurazioni SC | 4,393,581 | ||||||||
89,709 | Societa Iniziative Autostradali e Servizi SPA | 1,250,609 | ||||||||
1,357,900 | Telecom Italia SPA * | 864,738 | ||||||||
1,711,000 | Telecom Italia SPA-RSP | 952,351 | ||||||||
153,539 | Unipol Gruppo SPA | 633,947 | ||||||||
|
| |||||||||
Total Italy | 105,525,933 | |||||||||
|
| |||||||||
Japan — 5.5% |
| |||||||||
108,600 | Aisin Seiki Co Ltd | 5,023,067 |
See accompanying notes to the financial statements. | 51 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
65,200 | AOKI Holdings Inc | 879,421 | ||||||||
11,800 | Asahi Diamond Industrial Co Ltd | 87,182 | ||||||||
2,006,600 | Asahi Kasei Corp | 29,403,764 | ||||||||
1,546,400 | Astellas Pharma Inc | 26,217,047 | ||||||||
10,200 | Bank of the Ryukyus Ltd | 121,100 | ||||||||
10,300 | Belluna Co Ltd | 113,339 | ||||||||
586,700 | Brother Industries Ltd | 12,035,751 | ||||||||
1,046,300 | Canon Inc | 33,572,202 | ||||||||
1,900 | Central Japan Railway Co | 381,476 | ||||||||
2,600 | Chukyo Bank Ltd (The) | 54,031 | ||||||||
64,400 | CKD Corp | 951,210 | ||||||||
22,800 | Concordia Financial Group Ltd | 109,408 | ||||||||
6,600 | Dai-ichi Seiko Co Ltd | 99,161 | ||||||||
12,800 | Daiwabo Holdings Co Ltd | 763,314 | ||||||||
82,100 | DCM Holdings Co Ltd | 749,847 | ||||||||
56,600 | Denka Co Ltd | 1,936,798 | ||||||||
4,300 | Duskin Co Ltd | 103,432 | ||||||||
105,700 | Fancl Corp | 5,429,756 | ||||||||
791,000 | Fuji Electric Co Ltd | 6,371,817 | ||||||||
7,800 | Fuji Media Holdings Inc | 133,994 | ||||||||
6,600 | Fuji Pharma Co Ltd | 105,749 | ||||||||
51,800 | FUJIFILM Holdings Corp (a) | 2,187,944 | ||||||||
1,732,000 | Fujitsu Ltd | 12,664,070 | ||||||||
1,200 | Fuji Oil Holdings Inc | 36,478 | ||||||||
8,300 | Fuji Soft Inc | 408,455 | ||||||||
90,000 | Fukuoka Financial Group Inc | 504,606 | ||||||||
6,900 | Fuyo General Lease Co Ltd | 414,188 | ||||||||
3,400 | Gree Inc | 17,214 | ||||||||
14,600 | Hakuhodo DY Holdings Inc | 246,327 | ||||||||
10,600 | Hamakyorex Co Ltd | 356,169 | ||||||||
5,600 | Hanwa Co Ltd | 188,776 | ||||||||
8,600 | Heiwado Co Ltd | 225,179 | ||||||||
6,000 | Hisamitsu Pharmaceutical Co Inc | 438,303 | ||||||||
700 | Hitachi High-Technologies Corp | 27,462 | ||||||||
5,741,000 | Hitachi Ltd | 37,474,764 | ||||||||
6,800 | Hochiki Corp | 100,659 | ||||||||
201,000 | Honda Motor Co Ltd | 5,954,263 | ||||||||
2,900 | Horiba Ltd | 179,581 | ||||||||
4,200 | Hosokawa Micron Corp | 254,186 | ||||||||
83,500 | House Foods Group Inc (a) | 2,475,561 | ||||||||
19,200 | Idemitsu Kosan Co Ltd | 969,085 | ||||||||
41,700 | Isuzu Motors Ltd | 602,022 | ||||||||
2,744,000 | ITOCHU Corp | 47,948,247 | ||||||||
3,300 | JSP Corp | 83,400 | ||||||||
52,900 | JSR Corp | 1,026,158 | ||||||||
29,700 | JTEKT Corp | 415,739 | ||||||||
7,000 | Juki Corp | 82,232 | ||||||||
149,200 | JXTG Holdings Inc | 1,050,496 | ||||||||
6,200 | Kaken Pharmaceutical Co Ltd | 318,446 | ||||||||
7,700 | Kamei Corp | 95,772 |
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
258,400 | Kanematsu Corp | 3,832,165 | ||||||||
7,200 | Kato Sangyo Co Ltd | 233,826 | ||||||||
109,100 | KDDI Corp | 2,884,586 | ||||||||
59,000 | Keihin Corp (a) | 1,239,852 | ||||||||
188,000 | Kirin Holdings Co Ltd | 4,645,902 | ||||||||
109,500 | Kitz Corp | 959,177 | ||||||||
12,600 | Konica Minolta Inc | 128,139 | ||||||||
35,700 | Kose Corp | 6,582,487 | ||||||||
20,800 | Kyosan Electric Manufacturing Co Ltd | 121,746 | ||||||||
12,500 | Kyowa Exeo Corp | 349,558 | ||||||||
23,800 | Leopalace21 Corp | 126,218 | ||||||||
4,000 | Makino Milling Machine Co Ltd | 36,919 | ||||||||
9,000 | Mandom Corp | 270,340 | ||||||||
2,553,800 | Marubeni Corp | 20,924,446 | ||||||||
82,200 | MCJ Co Ltd | 743,117 | ||||||||
15,804 | Medipal Holdings Corp | 318,733 | ||||||||
4,554,700 | Mitsubishi Chemical Holdings Corp | 40,808,937 | ||||||||
382,000 | Mitsubishi Corp | 10,893,514 | ||||||||
1,887,500 | Mitsubishi Electric Corp | 25,480,256 | ||||||||
299,100 | Mitsubishi Gas Chemical Co Inc | 6,217,654 | ||||||||
503,500 | Mitsubishi Tanabe Pharma Corp (a) | 8,397,869 | ||||||||
147,900 | Mitsui Chemicals Inc | 3,822,498 | ||||||||
11,900 | Mitsui Mining & Smelting Co Ltd | 340,905 | ||||||||
43,000 | Modec Inc | 1,301,384 | ||||||||
4,200 | NEC Corp | 115,957 | ||||||||
131,800 | NET One Systems Co Ltd | 3,052,671 | ||||||||
158,000 | Nichias Corp | 2,053,939 | ||||||||
32,000 | Nichiha Corp | 898,501 | ||||||||
97,100 | Nippo Corp | 1,802,205 | ||||||||
5,000 | Nippon Soda Co Ltd | 28,503 | ||||||||
1,130,400 | Nippon Telegraph & Telephone Corp | 50,292,593 | ||||||||
6,900 | Nippon Valqua Industries Ltd | 201,307 | ||||||||
7,600 | Nippon Flour Mills Co Ltd | 127,123 | ||||||||
32,300 | Nisshin Oillio Group Ltd (The) | 873,192 | ||||||||
57,900 | Nisshin Seifun Group Inc | 1,158,060 | ||||||||
59,600 | Nisshinbo Holdings Inc | 668,277 | ||||||||
43,900 | Nomura Real Estate Holdings Inc | 950,973 | ||||||||
3,500 | Noritake Co Ltd | 210,225 | ||||||||
36,400 | NSK Ltd | 412,617 | ||||||||
228,200 | NTT DOCOMO Inc | 5,913,967 | ||||||||
11,800 | Osaki Electric Co Ltd | 86,679 | ||||||||
8,200 | Otsuka Holdings Co Ltd | 384,703 | ||||||||
83,900 | Pola Orbis Holdings Inc | 2,956,786 | ||||||||
309,000 | Prima Meat Packers Ltd | 1,533,910 | ||||||||
29,200 | Resona Holdings Inc (a) | 165,629 | ||||||||
18,000 | Rohm Co Ltd | 1,626,235 | ||||||||
70,100 | Rohto Pharmaceutical Co Ltd | 2,239,404 | ||||||||
6,200 | Sakata INX Corp | 82,426 | ||||||||
9,700 | SBI Holdings Inc | 267,378 | ||||||||
3,800 | Seiko Epson Corp | 64,944 |
52 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
532,200 | Sekisui Chemical Co Ltd | 9,245,472 | ||||||||
10,500 | Shin-Etsu Polymer Co Ltd | 88,249 | ||||||||
9,200 | Shiseido Co Ltd | 647,683 | ||||||||
79,800 | Showa Corp | 1,271,149 | ||||||||
37,100 | Showa Denko KK | 1,762,143 | ||||||||
4,639,700 | Sojitz Corp | 16,145,531 | ||||||||
62,900 | Sony Corp | 3,576,659 | ||||||||
1,500 | Starzen Co Ltd | 62,671 | ||||||||
114,000 | Sumitomo Bakelite Co Ltd | 1,124,268 | ||||||||
4,133,000 | Sumitomo Chemical Co Ltd | 23,458,140 | ||||||||
22,500 | Sumitomo Corp | 364,861 | ||||||||
71,700 | Sumitomo Dainippon Pharma Co Ltd | 1,525,712 | ||||||||
94,300 | Sumitomo Mitsui Financial Group Inc | 3,707,257 | ||||||||
3,700 | Sumitomo Mitsui Trust Holdings Inc | 148,462 | ||||||||
2,000 | Suntory Beverage & Food Ltd | 81,921 | ||||||||
19,300 | T-Gaia Corp | 507,902 | ||||||||
5,000 | Taikisha Ltd | 161,147 | ||||||||
139,900 | Takeda Pharmaceutical Co Ltd | 5,828,397 | ||||||||
93,200 | Tatsuta Electric Wire and Cable Co Ltd | 508,765 | ||||||||
2,537 | TIS Inc | 122,202 | ||||||||
52,300 | Tocalo Co Ltd | 604,664 | ||||||||
10,600 | Tochigi Bank Ltd (The) | 35,374 | ||||||||
7,600 | Token Corp | 537,906 | ||||||||
32,000 | Tokio Marine Holdings Inc | 1,507,897 | ||||||||
600 | Tokyo Century Corp | 33,157 | ||||||||
106,300 | Tokyo Electron Ltd (a) | 18,097,548 | ||||||||
12,600 | Tokyo Gas Co Ltd (a) | 298,334 | ||||||||
3,900 | Tokyo Seimitsu Co Ltd | 121,191 | ||||||||
104,700 | Tokyu Construction Co Ltd | 961,994 | ||||||||
321,200 | Tosoh Corp | 5,039,705 | ||||||||
3,800 | Toyo Ink SC Holdings Co Ltd | 97,231 | ||||||||
14,900 | Toyo Suisan Kaisha Ltd | 548,798 | ||||||||
409,400 | Toyota Tsusho Corp | 13,947,318 | ||||||||
105,000 | TS Tech Co Ltd | 3,961,746 | ||||||||
17,000 | Unipres Corp | 330,473 | ||||||||
5,900 | Vital KSK Holdings Inc | 67,047 | ||||||||
28,000 | Wacoal Holdings Corp | 828,543 | ||||||||
29,700 | Warabeya Nichiyo Holdings Co Ltd | 584,351 | ||||||||
5,700 | Yamazen Corp | 63,455 | ||||||||
12,100 | Zeon Corp | 129,705 | ||||||||
|
| |||||||||
Total Japan | 578,352,108 | |||||||||
|
| |||||||||
Malaysia — 0.2% |
| |||||||||
1,383,100 | DRB-Hicom Berhad | 761,744 | ||||||||
1,915,800 | KSL Holdings Berhad * | 395,883 | ||||||||
154,400 | Padini Holdings Berhad | 224,697 | ||||||||
796,300 | Petronas Chemicals Group Berhad | 1,830,441 | ||||||||
159,000 | Petronas Dagangan Berhad | 1,049,710 | ||||||||
75,960 | PPB Group Bhd | 310,336 | ||||||||
994,400 | Sapura Energy Berhad * | 81,647 |
Shares | Description | Value ($) | ||||||||
Malaysia — continued |
| |||||||||
2,486,000 | Supermax Corp Berhad | 2,028,869 | ||||||||
355,400 | Ta Ann Holdings Berhad | 237,569 | ||||||||
421,400 | Tenaga Nasional Berhad | 1,606,429 | ||||||||
3,016,200 | Top Glove Corp Berhad | 8,172,251 | ||||||||
767,300 | YTL Power International Berhad | 212,706 | ||||||||
|
| |||||||||
Total Malaysia | 16,912,282 | |||||||||
|
| |||||||||
Mexico — 1.2% |
| |||||||||
869,262 | Arca Continental SAB de CV | 5,375,659 | ||||||||
315,492 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B | 499,860 | ||||||||
275,400 | Becle SAB de CV | 390,932 | ||||||||
1,460,246 | Bolsa Mexicana de Valores SAB de CV | 2,941,090 | ||||||||
3,204,700 | Cemex SAB de CV * | 2,271,189 | ||||||||
812,500 | Cemex SAB de CV Sponsored ADR * (b) | 5,760,625 | ||||||||
1,363,200 | Corp Inmobiliaria Vesta SAB de CV | 1,930,075 | ||||||||
117,000 | Credito Real SAB de CV SOFOM ER | 151,323 | ||||||||
1,179,700 | Fibra Uno Administracion SA de CV (REIT) | 1,543,686 | ||||||||
546,200 | Fomento Economico Mexicano SAB de CV | 5,231,787 | ||||||||
98,900 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 9,482,532 | ||||||||
1,514,100 | Gentera SAB de CV | 1,536,667 | ||||||||
640,200 | Grupo Aeroportuario del Centro Norte SAB de CV | 4,208,410 | ||||||||
13,900 | Grupo Aeroportuario del Centro Norte SAB de CV ADR (a) | 732,669 | ||||||||
16,000 | Grupo Aeroportuario del Pacifico SAB de CV ADR | 1,652,960 | ||||||||
167,200 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 1,727,638 | ||||||||
7,600 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,425,684 | ||||||||
59,030 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 1,106,956 | ||||||||
666,500 | Grupo Financiero Banorte SAB de CV – Class O | 4,545,955 | ||||||||
226,200 | Grupo Financiero Inbursa SAB de CV – Class O | 359,926 | ||||||||
247,513 | Grupo Herdez SAB de CV | 532,331 | ||||||||
268,000 | Grupo Lala SAB de CV | 285,180 | ||||||||
883,200 | Grupo Mexico SAB de CV – Series B | 2,584,615 | ||||||||
261,900 | Megacable Holdings SAB de CV CPO | 1,234,430 | ||||||||
599,900 | Mexichem SAB de CV | 2,024,342 | ||||||||
227,290 | Promotora y Operadora de Infraestructura SAB de CV | 2,415,631 | ||||||||
249,600 | Unifin Financiera SAB de CV SOFOM ENR | 636,762 |
See accompanying notes to the financial statements. | 53 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — continued |
| |||||||||
23,421,250 | Wal-Mart de Mexico SAB de CV | 64,850,453 | ||||||||
|
| |||||||||
Total Mexico | 127,439,367 | |||||||||
|
| |||||||||
Netherlands — 0.8% |
| |||||||||
67,714 | ASR Nederland NV (a) | 3,237,352 | ||||||||
51,709 | ForFarmers NV | 578,283 | ||||||||
115,269 | Gemalto NV * | 6,695,438 | ||||||||
72,332 | Heineken Holding NV | 6,901,446 | ||||||||
1,647,624 | ING Groep NV | 22,380,963 | ||||||||
75,774 | Koninklijke Ahold Delhaize NV (a) | 1,845,808 | ||||||||
2 | Koninklijke DSM NV | 210 | ||||||||
353,300 | NXP Semiconductors NV * (c) | 32,906,362 | ||||||||
46,638 | Signify NV | 1,314,658 | ||||||||
1,528 | Vastned Retail NV (REIT) | 62,967 | ||||||||
95,971 | Wolters Kluwer NV | 6,088,711 | ||||||||
|
| |||||||||
Total Netherlands | 82,012,198 | |||||||||
|
| |||||||||
New Zealand — 0.0% |
| |||||||||
1,303,125 | Air New Zealand Ltd | 2,844,871 | ||||||||
|
| |||||||||
Norway — 0.7% |
| |||||||||
22,321 | Aker ASA – A Shares | 1,748,807 | ||||||||
121,320 | Aker Solutions ASA * | 825,920 | ||||||||
17,716 | Atea ASA * | 262,504 | ||||||||
157,766 | Austevoll Seafood ASA | 2,075,953 | ||||||||
60,234 | Bakkafrost P/F | 3,436,319 | ||||||||
162,657 | BW LPG Ltd * | 634,565 | ||||||||
996,706 | DNB ASA | 20,263,043 | ||||||||
10,211 | Entra ASA | 148,041 | ||||||||
1,158,242 | Equinor ASA | 29,709,143 | ||||||||
13,894 | Grieg Seafood ASA | 159,845 | ||||||||
384,556 | Kongsberg Automotive ASA * | 447,419 | ||||||||
172,400 | Kvaerner ASA * | 318,749 | ||||||||
177,370 | Leroy Seafood Group ASA | 1,348,737 | ||||||||
30,617 | Salmar ASA | 1,474,091 | ||||||||
24,632 | Selvaag Bolig ASA | 124,503 | ||||||||
23,706 | SpareBank 1 Nord Norge | 185,428 | ||||||||
45,694 | SpareBank 1 SR Bank ASA | 515,591 | ||||||||
488,467 | Storebrand ASA | 4,324,380 | ||||||||
178,907 | Subsea 7 SA | 2,432,302 | ||||||||
46,872 | TGS NOPEC Geophysical Co ASA | 1,777,605 | ||||||||
|
| |||||||||
Total Norway | 72,212,945 | |||||||||
|
| |||||||||
Pakistan — 0.0% |
| |||||||||
736,500 | Engro Fertilizers Ltd | 468,630 | ||||||||
455,100 | Oil & Gas Development Co Ltd | 557,294 | ||||||||
117,350 | Pakistan Oilfields Ltd | 608,052 | ||||||||
|
| |||||||||
Total Pakistan | 1,633,976 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Philippines — 0.1% |
| |||||||||
4,171,000 | Belle Corp | 240,282 | ||||||||
1,179,200 | DMCI Holdings Inc | 282,429 | ||||||||
839,500 | Eagle Cement Corp | 254,966 | ||||||||
27,910 | GT Capital Holdings Inc | 457,441 | ||||||||
157,030 | Jollibee Foods Corp | 846,123 | ||||||||
4,214,400 | LT Group Inc | 1,355,494 | ||||||||
631,090 | Manila Electric Co | 4,406,444 | ||||||||
1,217,700 | Manila Water Co Inc | 555,816 | ||||||||
14,546,000 | Megaworld Corp | 1,249,202 | ||||||||
5,573,000 | Metro Pacific Investments Corp | 568,539 | ||||||||
8,548,084 | Nickel Asia Corp | 868,553 | ||||||||
2,216,325 | Petron Corp | 375,597 | ||||||||
351,200 | Pilipinas Shell Petroleum Corp | 377,673 | ||||||||
294,670 | Puregold Price Club Inc | 253,534 | ||||||||
1,422,725 | Semirara Mining & Power Corp | 771,702 | ||||||||
|
| |||||||||
Total Philippines | 12,863,795 | |||||||||
|
| |||||||||
Poland — 0.7% |
| |||||||||
352,822 | Asseco Poland SA | 4,371,068 | ||||||||
106,637 | Bank Millennium SA * | 258,812 | ||||||||
282,385 | Bank Polska Kasa Opieki SA | 8,897,524 | ||||||||
6,608 | Bank Zachodni WBK SA | 671,762 | ||||||||
36,454 | Budimex SA | 1,120,241 | ||||||||
7,698 | CCC SA | 448,370 | ||||||||
75,629 | CD Projekt SA * | 4,213,504 | ||||||||
176,992 | Cyfrowy Polsat SA * | 1,073,337 | ||||||||
26,119 | Dino Polska SA * | 641,857 | ||||||||
355,602 | Enea SA * | 818,459 | ||||||||
1,209,434 | Energa SA | 2,735,607 | ||||||||
38,562 | Grupa Lotos SA | 724,985 | ||||||||
31,371 | KRUK SA | 1,750,704 | ||||||||
773 | LPP SA | 1,925,529 | ||||||||
231,790 | PGE Polska Grupa Energetyczna SA * | 562,472 | ||||||||
420,455 | Polski Koncern Naftowy ORLEN SA | 11,146,389 | ||||||||
4,114,347 | Polskie Gornictwo Naftowe i Gazownictwo SA * | 6,445,446 | ||||||||
637,239 | Powszechna Kasa Oszczednosci Bank Polski SA | 7,261,419 | ||||||||
999,743 | Powszechny Zaklad Ubezpieczen SA | 12,039,635 | ||||||||
10,210 | Stalprodukt SA | 1,276,486 | ||||||||
2,472,919 | Tauron Polska Energia SA * | 1,336,417 | ||||||||
23,797 | Warsaw Stock Exchange | 265,769 | ||||||||
|
| |||||||||
Total Poland | 69,985,792 | |||||||||
|
| |||||||||
Portugal — 0.0% |
| |||||||||
16,934 | Altri SGPS SA | 156,160 | ||||||||
62,829 | Mota-Engil SGPS SA * | 195,106 | ||||||||
144,533 | Navigator Co SA (The) | 722,208 | ||||||||
1,112,143 | Sonae SGPS SA | 1,183,151 | ||||||||
|
| |||||||||
Total Portugal | 2,256,625 | |||||||||
|
|
54 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Qatar — 0.3% |
| |||||||||
367,475 | Barwa Real Estate Co | 3,633,703 | ||||||||
88,110 | Doha Bank QPSC | 621,814 | ||||||||
71,985 | Masraf Al Rayan QSC | 745,564 | ||||||||
24,950 | Qatar Electricity & Water Co QSC | 1,310,570 | ||||||||
203,607 | Qatar Gas Transport Co Ltd | 978,061 | ||||||||
102,103 | Qatar Insurance Co SAQ | 1,032,502 | ||||||||
33,541 | Qatar Islamic Bank SAQ | 1,289,867 | ||||||||
314,589 | Qatar National Bank QPSC | 15,382,768 | ||||||||
13,048 | Qatar National Cement Co QSC | 205,674 | ||||||||
28,093 | Qatar Navigation QSC | 504,351 | ||||||||
|
| |||||||||
Total Qatar | 25,704,874 | |||||||||
|
| |||||||||
Russia — 2.6% |
| |||||||||
2,361,900 | Aeroflot PJSC | 4,045,720 | ||||||||
6,325,700 | Alrosa PJSC | 9,514,941 | ||||||||
131,620 | Gazprom Neft PJSC | 655,418 | ||||||||
321,830 | Gazprom PJSC | 716,210 | ||||||||
10,684,448 | Gazprom PJSC Sponsored ADR | 47,127,925 | ||||||||
293,961 | Globaltrans Investment Plc Sponsored GDR (Registered) | 3,235,760 | ||||||||
38,712,000 | Inter RAO UES PJSC | 2,320,246 | ||||||||
717,108 | LUKOIL PJSC Sponsored ADR | 49,554,030 | ||||||||
248,750 | M.Video PJSC * | 1,597,815 | ||||||||
105,668 | Magnit PJSC Sponsored GDR (Registered) | 1,563,224 | ||||||||
784,100 | Magnitogorsk Iron & Steel OJSC | 564,486 | ||||||||
16,193 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 154,624 | ||||||||
506,881 | MMC Norilsk Nickel PJSC ADR | 8,411,870 | ||||||||
1,661,600 | Mobile TeleSystems PJSC Sponsored ADR | 12,877,400 | ||||||||
5,313,680 | Moscow Exchange MICEX-RTS PJSC | 7,718,053 | ||||||||
173,530 | Novatek PJSC | 2,789,262 | ||||||||
144,512 | Novatek PJSC Sponsered GDR (Registered) | 24,166,157 | ||||||||
1,291,120 | Novolipetsk Steel PJSC | 3,168,022 | ||||||||
305,505 | Novolipetsk Steel PJSC GDR | 7,419,563 | ||||||||
91,187 | PhosAgro PJSC GDR (Registered) | 1,208,289 | ||||||||
17,320 | Polyus PJSC | 1,123,898 | ||||||||
92,559 | Polyus PJSC GDR (Registered) | 3,000,095 | ||||||||
218,817 | QIWI Plc Sponsored ADR * | 3,107,201 | ||||||||
4,563,885 | Rostelecom PJSC | 4,574,672 | ||||||||
7,939 | Rostelecom PJSC Sponsored ADR | 47,728 | ||||||||
5,520 | Safmar Financial Investment | 65,636 | ||||||||
1,561,000 | Sberbank of Russia PJSC | 4,195,931 | ||||||||
2,832,100 | Sberbank of Russia Sponsored ADR | 30,842,356 | ||||||||
43,340 | Severstal PJSC | 698,310 | ||||||||
280,582 | Severstal PJSC GDR (Registered) | 4,514,904 | ||||||||
1,448,200 | Surgutneftegas OJSC | 617,413 | ||||||||
2,323,711 | Surgutneftegas PJSC Sponsored ADR | 9,671,790 |
Shares | Description | Value ($) | ||||||||
Russia — continued |
| |||||||||
552,420 | Tatneft PJSC | 6,421,027 | ||||||||
241,330 | Tatneft PJSC Sponsored ADR | 16,732,782 | ||||||||
66,668 | TCS Group Holding Plc GDR (Registered) | 1,227,270 | ||||||||
|
| |||||||||
Total Russia | 275,650,028 | |||||||||
|
| |||||||||
Singapore — 0.1% |
| |||||||||
303,400 | Oversea-Chinese Banking Corp Ltd | 2,496,960 | ||||||||
605,200 | Sino Grandness Food Industry Group Ltd * | 88,174 | ||||||||
63,800 | United Overseas Bank Ltd | 1,257,402 | ||||||||
292,400 | Venture Corp Ltd | 3,860,336 | ||||||||
6,840,600 | Yangzijiang Shipbuilding Holdings Ltd | 5,334,213 | ||||||||
1,115,300 | Yanlord Land Group Ltd | 1,235,855 | ||||||||
|
| |||||||||
Total Singapore | 14,272,940 | |||||||||
|
| |||||||||
South Africa — 2.5% |
| |||||||||
3,403,961 | Absa Group Ltd | 37,648,273 | ||||||||
1,494,532 | African Phoenix Investments Ltd * | 60,015 | ||||||||
248,111 | Alviva Holdings Ltd | 307,250 | ||||||||
70,136 | Aspen Pharmacare Holdings Ltd | 1,390,326 | ||||||||
259,967 | Astral Foods Ltd | 4,578,439 | ||||||||
730,043 | AVI Ltd | 5,760,540 | ||||||||
800,123 | Barloworld Ltd | 6,805,068 | ||||||||
99,686 | Bid Corp Ltd | 2,126,991 | ||||||||
75,818 | Bidvest Group Ltd (The) | 1,114,181 | ||||||||
3,816,558 | Blue Label Telecoms Ltd | 1,859,288 | ||||||||
98,344 | Brait SE * | 249,781 | ||||||||
34,590 | Capitec Bank Holdings Ltd | 2,362,304 | ||||||||
509,701 | Clicks Group Ltd | 7,039,482 | ||||||||
192,024 | Coronation Fund Managers Ltd | 752,245 | ||||||||
207,103 | Dis-Chem Pharmacies Ltd | 476,939 | ||||||||
181,013 | Discovery Ltd | 2,156,896 | ||||||||
24,400 | Distell Group Holdings Ltd * | 202,528 | ||||||||
1,056,337 | Emira Property Fund Ltd (REIT) | 1,147,621 | ||||||||
422,401 | Exxaro Resources Ltd | 4,281,483 | ||||||||
1,740,858 | FirstRand Ltd | 8,374,894 | ||||||||
220,470 | Foschini Group Ltd (The) | 2,619,280 | ||||||||
3,398,234 | Growthpoint Properties Ltd (REIT) | 5,882,832 | ||||||||
187,479 | Hyprop Investments Ltd (REIT) | 1,301,379 | ||||||||
353,253 | Imperial Holdings Ltd | 4,949,782 | ||||||||
59,228 | JSE Ltd | 652,650 | ||||||||
505,204 | Kumba Iron Ore Ltd | 9,107,351 | ||||||||
522,500 | Lewis Group Ltd | 1,006,402 | ||||||||
980,956 | Liberty Holdings Ltd | 7,760,957 | ||||||||
97,359 | Massmart Holdings Ltd | 733,818 | ||||||||
269,759 | Metair Investments Ltd | 320,745 | ||||||||
246,867 | MMI Holdings Ltd | 287,891 | ||||||||
300,088 | Mondi Ltd | 8,373,090 | ||||||||
882,747 | Mr Price Group Ltd | 13,532,543 |
See accompanying notes to the financial statements. | 55 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued |
| |||||||||
308,511 | MTN Group Ltd | 1,867,954 | ||||||||
952,078 | Murray & Roberts Holdings Ltd | 1,004,874 | ||||||||
1,288,886 | Nedbank Group Ltd | 24,380,269 | ||||||||
1,871,397 | Old Mutual Ltd * | 3,871,417 | ||||||||
67,008 | Omnia Holdings Ltd | 592,697 | ||||||||
185,060 | Rand Merchant Investment Holdings Ltd | 514,426 | ||||||||
1,856,867 | Redefine Properties Ltd (REIT) | 1,307,813 | ||||||||
166,062 | Reinet Investments SCA | 3,215,459 | ||||||||
100,093 | Resilient REIT Ltd | 388,016 | ||||||||
668,086 | Reunert Ltd | 3,460,777 | ||||||||
1,170,851 | RMB Holdings Ltd | 6,719,833 | ||||||||
1,667,230 | SA Corporate Real Estate Ltd (REIT) | 496,776 | ||||||||
908,209 | Sanlam Ltd | 4,901,740 | ||||||||
39,167 | Santam Ltd | 808,281 | ||||||||
199,975 | Sappi Ltd | 1,365,874 | ||||||||
110,328 | Sasol Ltd | 4,321,474 | ||||||||
13,800 | Sasol Ltd Sponsored ADR | 541,788 | ||||||||
243,032 | Shoprite Holdings Ltd | 3,373,779 | ||||||||
255,439 | Sibanye Gold Ltd * | 147,776 | ||||||||
166,666 | SPAR Group Ltd (The) | 2,325,128 | ||||||||
2,549,100 | Standard Bank Group Ltd | 32,308,486 | ||||||||
3,025,964 | Steinhoff International Holdings NV * | 576,753 | ||||||||
163,562 | Telkom SA SOC Ltd | 559,656 | ||||||||
172,169 | Tiger Brands Ltd | 3,351,809 | ||||||||
1,384,921 | Truworths International Ltd | 8,105,477 | ||||||||
432,734 | Tsogo Sun Holdings Ltd | 619,002 | ||||||||
178,222 | Vodacom Group Ltd | 1,532,755 | ||||||||
214,768 | Wilson Bayly Holmes-Ovcon Ltd | 2,190,211 | ||||||||
|
| |||||||||
Total South Africa | 260,073,564 | |||||||||
|
| |||||||||
South Korea — 2.5% |
| |||||||||
71,974 | Aekyung Petrochemical Co Ltd | 730,355 | ||||||||
769,992 | BNK Financial Group Inc | 5,771,489 | ||||||||
3,310 | Celltrion Pharm Inc * | 238,308 | ||||||||
24,501 | Cheil Worldwide Inc | 424,765 | ||||||||
19,747 | Chong Kun Dang Pharmaceutical Corp | 1,924,062 | ||||||||
2,413 | CJ ENM Co Ltd | 545,937 | ||||||||
2,072 | Crown Haitai Holdings Co Ltd | 26,144 | ||||||||
348 | Dae Han Flour Mills Co Ltd | 55,462 | ||||||||
55,165 | Daeduck Electronics Co | 413,220 | ||||||||
4,156 | Daihan Pharmaceutical Co Ltd | 178,056 | ||||||||
58,765 | Daishin Securities Co Ltd | 643,928 | ||||||||
79,434 | Daou Data Corp | 827,640 | ||||||||
156,009 | Daou Technology Inc | 3,180,227 | ||||||||
153,929 | DB Insurance Co Ltd | 8,849,982 | ||||||||
13,203 | DGB Financial Group Inc | 121,553 | ||||||||
2,789 | DongKook Pharmaceutical Co Ltd | 173,687 | ||||||||
29,060 | Dongsuh Cos Inc | 591,258 | ||||||||
74,571 | Dongwha Pharm Co Ltd | 776,497 |
Shares | Description | Value ($) | ||||||||
South Korea — continued |
| |||||||||
519,194 | Dongwon Development Co Ltd | 1,951,176 | ||||||||
17,913 | E-MART Inc | 3,451,280 | ||||||||
25,053 | F&F Co Ltd | 2,259,564 | ||||||||
12,079 | Fila Korea Ltd | 452,829 | ||||||||
2,331 | GOLFZON Co Ltd | 84,269 | ||||||||
87,842 | Grand Korea Leisure Co Ltd | 1,905,312 | ||||||||
24,639 | Green Cross Holdings Corp | 678,043 | ||||||||
6,148 | GS Home Shopping Inc | 1,145,305 | ||||||||
138,495 | Hana Financial Group Inc | 5,310,702 | ||||||||
18,269 | Hankook Tire Co Ltd | 765,609 | ||||||||
165,854 | Hankook Tire Worldwide Co Ltd | 2,711,759 | ||||||||
5,922 | Hansol Paper Co Ltd | 110,038 | ||||||||
5,108 | Hanwha Aerospace Co Ltd * | 114,699 | ||||||||
8,387 | Harim Holdings Co Ltd | 80,216 | ||||||||
2,250 | HLB Inc * | 210,081 | ||||||||
7,021 | Huons Co Ltd | 627,102 | ||||||||
6,743 | Hyundai Corp | 173,531 | ||||||||
5,599 | Hyundai Department Store Co Ltd | 500,746 | ||||||||
44,491 | Hyundai Greenfood Co Ltd | 521,676 | ||||||||
29,329 | Hyundai Home Shopping Network Corp | 2,989,857 | ||||||||
202,138 | Hyundai Hy Communications & Network Co Ltd | 742,842 | ||||||||
144,949 | Hyundai Marine & Fire Insurance Co Ltd | 4,842,497 | ||||||||
38,193 | Hyundai Mobis Co Ltd | 7,685,744 | ||||||||
3,295 | Hyundai Wia Corp | 126,211 | ||||||||
1,463,115 | Industrial Bank of Korea | 19,585,336 | ||||||||
411,059 | JB Financial Group Co Ltd | 2,293,682 | ||||||||
2,015 | Kangnam Jevisco Co Ltd | 48,765 | ||||||||
221,749 | Kangwon Land Inc | 5,768,258 | ||||||||
198,271 | KB Financial Group Inc | 9,167,167 | ||||||||
426,937 | Kia Motors Corp | 12,294,912 | ||||||||
184,556 | Korea Asset In Trust Co Ltd (REIT) | 896,976 | ||||||||
6,493 | Korea Zinc Co Ltd | 2,363,946 | ||||||||
99,845 | Korean Reinsurance Co | 933,199 | ||||||||
9,500 | KT Corp Sponsored ADR | 131,195 | ||||||||
67,372 | KT Hitel Co Ltd * | 338,434 | ||||||||
72,297 | KT Skylife Co Ltd | 863,747 | ||||||||
132,665 | KT&G Corp | 12,033,754 | ||||||||
105,630 | Kwang Dong Pharmaceutical Co Ltd | 713,524 | ||||||||
87,280 | Kyobo Securities Co Ltd | 768,441 | ||||||||
34,866 | Kyungdong Pharm Co Ltd | 405,737 | ||||||||
180,038 | LF Corp | 4,294,760 | ||||||||
202,258 | LG Corp | 12,993,633 | ||||||||
319,279 | LG Electronics Inc | 22,011,952 | ||||||||
128,971 | LOTTE Himart Co Ltd | 8,291,305 | ||||||||
6,431 | LS Corp | 387,985 | ||||||||
25,123 | Maeil Holdings Co Ltd | 321,521 | ||||||||
31,307 | Meritz Fire & Marine Insurance Co Ltd | 513,243 |
56 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued |
| |||||||||
20,094 | NHN KCP Corp * | 266,071 | ||||||||
1,279 | Ottogi Corp | 832,834 | ||||||||
22,493 | S&T Motiv Co Ltd | 650,779 | ||||||||
71,503 | Samjin Pharmaceutical Co Ltd | 3,539,399 | ||||||||
29,592 | Samsung Card Co Ltd | 936,870 | ||||||||
16,407 | Samsung Engineering Co Ltd * | 248,172 | ||||||||
11,356 | Samsung SDS Co Ltd | 2,474,462 | ||||||||
74,706 | Seohan Co Ltd | 143,515 | ||||||||
11,140 | Shinhan Financial Group Co Ltd | 437,545 | ||||||||
1,815 | Shinsegae Inc | 529,152 | ||||||||
20,485 | Sindoh Co Ltd | 944,138 | ||||||||
38,268 | SK Holdings Co Ltd | 9,044,663 | ||||||||
470,184 | SK Hynix Inc | 35,066,196 | ||||||||
12,854 | SK Innovation Co Ltd | 2,228,401 | ||||||||
34,018 | SK Networks Co Ltd | 136,859 | ||||||||
685,141 | SK Telecom Co Ltd Sponsored ADR | 17,820,517 | ||||||||
79,037 | SL Corp | 1,427,041 | ||||||||
6,563 | Spigen Korea Co Ltd | 306,586 | ||||||||
180 | Taekwang Industrial Co Ltd | 260,161 | ||||||||
17,739 | Tongyang Life Insurance Co Ltd | 104,693 | ||||||||
2,447 | Unid Co Ltd | 110,315 | ||||||||
1,363 | ViroMed Co Ltd * | 290,419 | ||||||||
84,258 | Woori Bank | 1,234,152 | ||||||||
|
| |||||||||
Total South Korea | 261,368,070 | |||||||||
|
| |||||||||
Spain — 0.6% |
| |||||||||
10,910 | Aena SME SA | 1,929,518 | ||||||||
1,221,384 | Atlantica Yield Plc | 25,203,259 | ||||||||
43,406 | Ebro Foods SA | 934,000 | ||||||||
284,698 | Ence Energia y Celulosa SA | 2,670,205 | ||||||||
31,430 | Faes Farma SA | 137,110 | ||||||||
2,093,770 | International Consolidated Airlines Group SA | 18,793,476 | ||||||||
38,539 | Naturgy Energy Group SA | 1,034,421 | ||||||||
6,003 | Papeles y Cartones de Europa SA | 116,217 | ||||||||
442,056 | Repsol SA | 8,502,010 | ||||||||
80,007 | Unicaja Banco SA | 125,172 | ||||||||
|
| |||||||||
Total Spain | 59,445,388 | |||||||||
|
| |||||||||
Sweden — 1.1% |
| |||||||||
53,593 | Alfa Laval AB (a) | 1,436,653 | ||||||||
52,786 | Atlas Copco AB – A Shares | 1,504,802 | ||||||||
10,344 | Bufab AB | 121,711 | ||||||||
118,492 | Electrolux AB – Series B | 2,643,980 | ||||||||
139,599 | Epiroc AB – Class A * | 1,450,157 | ||||||||
36,123 | Granges AB | 423,138 | ||||||||
44,036 | Hemfosa Fastigheter AB | 599,092 | ||||||||
231,797 | Kindred Group Plc SDR | 2,850,609 | ||||||||
145,182 | Klovern AB – B Shares | 198,954 | ||||||||
4,772 | Loomis AB – Class B | 153,580 |
Shares | Description | Value ($) | ||||||||
Sweden — continued |
| |||||||||
17,891 | Mr. Green & Co AB * | 82,914 | ||||||||
41,964 | Nobina AB | 309,444 | ||||||||
8,270 | Nolato AB – B Shares | 584,254 | ||||||||
48,633 | Oriflame Holding AG | 1,415,033 | ||||||||
102,671 | Resurs Holding AB | 750,133 | ||||||||
1,166,940 | Sandvik AB | 20,426,856 | ||||||||
133,066 | SAS AB * | 294,606 | ||||||||
18,487 | Skandinaviska Enskilda Banken AB | 197,358 | ||||||||
41,734 | SKF AB – B Shares | 802,233 | ||||||||
148,578 | SSAB AB – Series A | 647,589 | ||||||||
2,102,555 | Svenska Cellulosa AB SCA – Class B | 24,476,292 | ||||||||
228,914 | Swedbank AB – A Shares | 5,330,111 | ||||||||
8,379 | Swedish Orphan Biovitrum AB * | 267,024 | ||||||||
129,877 | Swedish Match AB | 6,943,034 | ||||||||
39,741 | Volvo AB – A Shares | 685,433 | ||||||||
2,407,187 | Volvo AB – B Shares | 41,468,354 | ||||||||
|
| |||||||||
Total Sweden | 116,063,344 | |||||||||
|
| |||||||||
Switzerland — 1.5% |
| |||||||||
12,612 | ALSO Holding AG (Registered) * | 1,500,892 | ||||||||
4,534 | Ascom Holding AG (Registered) | 89,392 | ||||||||
23,654 | BKW AG | 1,677,865 | ||||||||
9,609 | Bobst Group SA (Registered) | 823,252 | ||||||||
1,186 | Bossard Holding AG (Registered) – A Shares | 244,865 | ||||||||
5,616 | Bucher Industries AG (Registered) | 1,967,782 | ||||||||
3,648 | Galenica AG * | 216,309 | ||||||||
136,303 | GAM Holding AG * | 1,052,573 | ||||||||
11,274 | Georg Fischer AG (Registered) | 14,756,550 | ||||||||
390 | Gurit Holding AG | 332,529 | ||||||||
464 | Helvetia Holding AG (Registered) | 278,447 | ||||||||
2,133 | Inficon Holding AG (Registered) * | 1,085,199 | ||||||||
9,168 | Kardex AG (Registered) * | 1,643,198 | ||||||||
16,729 | Lonza Group AG (Registered) * | 5,384,663 | ||||||||
195,420 | Nestle SA (Registered) | 16,381,485 | ||||||||
424,837 | Novartis AG (Registered) | 35,245,374 | ||||||||
8,573 | Orior AG | 758,114 | ||||||||
147,265 | Roche Holding AG | 36,514,882 | ||||||||
15,909 | Roche Holding AG | 3,988,767 | ||||||||
156,020 | Sika AG (Registered) | 23,107,515 | ||||||||
61,977 | Swiss Re AG | 5,576,092 | ||||||||
1,962 | Zehnder Group AG – Class RG | 92,879 | ||||||||
7,960 | Zurich Insurance Group AG | 2,423,259 | ||||||||
|
| |||||||||
Total Switzerland | 155,141,883 | |||||||||
|
| |||||||||
Taiwan — 5.4% |
| |||||||||
302,000 | Ability Enterprise Co Ltd | 143,001 | ||||||||
940,000 | AcBel Polytech Inc | 619,727 | ||||||||
170,000 | Actron Technology Corp | 553,945 | ||||||||
488,000 | Advantech Co Ltd | 3,322,890 |
See accompanying notes to the financial statements. | 57 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
1,934,000 | Alpha Networks Inc | 1,110,939 | ||||||||
225,000 | Altek Corp | 231,244 | ||||||||
607,000 | AmTRAN Technology Co Ltd * | 254,952 | ||||||||
400,000 | Arcadyan Technology Corp | 783,109 | ||||||||
552,000 | Asia Pacific Telecom Co Ltd * | 131,595 | ||||||||
813,000 | Asia Vital Components Co Ltd | 775,094 | ||||||||
4,750,799 | Asustek Computer Inc | 40,484,757 | ||||||||
1,970,000 | Catcher Technology Co Ltd | 24,141,429 | ||||||||
3,975,000 | Cathay Financial Holding Co Ltd | 6,813,189 | ||||||||
3,468,000 | Chailease Holding Co Ltd | 11,798,389 | ||||||||
259,000 | Chaun-Choung Technology Corp | 808,840 | ||||||||
333,660 | Chicony Electronics Co Ltd | 702,233 | ||||||||
464,310 | Chicony Power Technology Co Ltd | 668,238 | ||||||||
1,159,000 | Chin-Poon Industrial Co Ltd | 1,432,828 | ||||||||
566,000 | China Motor Corp | 475,209 | ||||||||
206,000 | Chlitina Holding Ltd | 1,843,590 | ||||||||
254,000 | Chong Hong Construction Co Ltd | 673,068 | ||||||||
4,847,000 | Chunghwa Telecom Co Ltd | 17,131,174 | ||||||||
59,100 | Chunghwa Telecom Co Ltd Sponsored ADR | 2,079,729 | ||||||||
122,000 | Cleanaway Co Ltd | 720,893 | ||||||||
3,373,000 | Coretronic Corp | 6,345,751 | ||||||||
20,473,000 | �� | CTBC Financial Holding Co Ltd | 14,397,522 | |||||||
744,000 | CTCI Corp | 1,139,789 | ||||||||
50,000 | Cyberlink Corp | 120,977 | ||||||||
61,000 | Depo Auto Parts Ind Co Ltd | 149,929 | ||||||||
102,000 | Dynapack International Technology Corp | 133,182 | ||||||||
1,053,000 | Elan Microelectronics Corp | 1,860,692 | ||||||||
96,800 | Elite Advanced Laser Corp | 234,070 | ||||||||
642,000 | Elitegroup Computer Systems Co Ltd * | 333,476 | ||||||||
612,000 | Everlight Electronics Co Ltd | 633,369 | ||||||||
505,000 | Far Eastern Department Stores Ltd | 287,810 | ||||||||
829,000 | Far Eastern New Century Corp | 965,588 | ||||||||
3,231,000 | Far EasTone Telecommunications Co Ltd | 7,706,850 | ||||||||
461,000 | Farglory Land Development Co Ltd | 472,813 | ||||||||
177,000 | Feng TAY Enterprise Co Ltd | 1,073,558 | ||||||||
1,676,000 | Formosa Chemicals & Fibre Corp | 6,716,458 | ||||||||
941,000 | Formosa Petrochemical Corp | 3,864,028 | ||||||||
2,535,000 | Formosa Plastics Corp | 9,293,009 | ||||||||
6,937,000 | Foxconn Technology Co Ltd | 17,637,131 | ||||||||
11,963,000 | Fubon Financial Holding Co Ltd | 19,834,071 | ||||||||
317,000 | Gemtek Technology Corp | 235,904 | ||||||||
7,644,000 | Gigabyte Technology Co Ltd | 13,042,790 | ||||||||
8,844,000 | Grand Pacific Petrochemical | 8,529,390 | ||||||||
20,000 | Grape King Bio Ltd | 141,504 | ||||||||
3,069,000 | Great Wall Enterprise Co Ltd | 4,176,677 | ||||||||
442,000 | Greatek Electronics Inc | 752,429 | ||||||||
771,000 | Green Seal Holding Ltd | 872,213 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
3,270,000 | Highwealth Construction Corp | 5,312,459 | ||||||||
155,000 | Hiroca Holdings Ltd | 464,173 | ||||||||
2,074,000 | Holtek Semiconductor Inc | 5,721,883 | ||||||||
11,637,663 | Hon Hai Precision Industry Co Ltd | 30,572,562 | ||||||||
598,000 | Huaku Development Co Ltd | 1,268,681 | ||||||||
667,000 | IEI Integration Corp * | 825,487 | ||||||||
2,096,000 | Innolux Corp | 781,484 | ||||||||
85,000 | International Games System Co Ltd | 421,029 | ||||||||
5,788,000 | Inventec Corp | 5,194,986 | ||||||||
107,000 | Iron Force Industrial Co Ltd | 290,860 | ||||||||
555,000 | ITEQ Corp | 1,198,442 | ||||||||
47,000 | King Slide Works Co Ltd | 598,303 | ||||||||
430,000 | Kinik Co | 917,109 | ||||||||
125,000 | Kung Long Batteries Industrial Co Ltd | 588,392 | ||||||||
75,000 | Lion Travel Service Co Ltd | 227,259 | ||||||||
1,888,000 | Lite-On Semiconductor Corp | 2,153,860 | ||||||||
238,000 | Makalot Industrial Co Ltd | 1,234,010 | ||||||||
26,000 | MediaTek Inc | 213,001 | ||||||||
3,955,776 | Mercuries Life Insurance Co Ltd * | 2,054,344 | ||||||||
151,000 | Merida Industry Co Ltd | 725,240 | ||||||||
597,000 | Micro-Star International Co Ltd | 2,063,726 | ||||||||
3,299,000 | Mitac Holdings Corp | 3,815,702 | ||||||||
7,178,000 | Nan Ya Plastics Corp | 19,974,978 | ||||||||
324,000 | Nanya Technology Corp | 736,529 | ||||||||
4,325,000 | Novatek Microelectronics Corp | 21,206,736 | ||||||||
74,000 | Nuvoton Technology Corp | 135,309 | ||||||||
92,000 | On-Bright Electronics Inc | 634,848 | ||||||||
3,373,445 | OptoTech Corp | 2,507,338 | ||||||||
7,379,000 | Pegatron Corp | 15,904,474 | ||||||||
677,000 | Phison Electronics Corp | 5,604,622 | ||||||||
13,594,566 | Pou Chen Corp | 14,989,364 | ||||||||
257,808 | Powertech Technology Inc | 764,739 | ||||||||
4,149,000 | Quanta Computer Inc | 7,138,403 | ||||||||
810,000 | Quanta Storage Inc | 682,950 | ||||||||
10,322,020 | Radiant Opto-Electronics Corp | 22,672,456 | ||||||||
2,334,000 | Realtek Semiconductor Corp | 11,327,717 | ||||||||
590,000 | Rechi Precision Co Ltd | 576,834 | ||||||||
905,400 | Ruentex Development Co Ltd | 1,019,578 | ||||||||
2,816,000 | Ruentex Industries Ltd | 5,777,026 | ||||||||
502,000 | Sercomm Corp | 882,487 | ||||||||
672,000 | Sheng Yu Steel Co Ltd | 471,057 | ||||||||
268,000 | Shin Zu Shing Co Ltd | 779,967 | ||||||||
67,000 | Sigurd Microelectronics Corp | 76,035 | ||||||||
901,400 | Simplo Technology Co Ltd | 6,606,051 | ||||||||
365,000 | Sinbon Electronics Co Ltd | 1,036,100 | ||||||||
551,000 | Sitronix Technology Corp | 1,738,012 | ||||||||
416,000 | Soft-World International Corp | 980,921 | ||||||||
141,000 | Standard Chemical & Pharmaceutical Co Ltd | 146,438 | ||||||||
2,755,000 | Sunplus Technology Co Ltd | 1,256,793 |
58 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued |
| |||||||||
853,000 | Syncmold Enterprise Corp | 1,629,073 | ||||||||
313,000 | Synnex Technology International Corp | 418,930 | ||||||||
126,000 | TaiDoc Technology Corp | 710,351 | ||||||||
2,015,000 | Taiwan Semiconductor Co Ltd | 4,822,124 | ||||||||
4,345,000 | Taiwan Semiconductor Manufacturing Co Ltd | 36,405,402 | ||||||||
886,823 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 38,665,483 | ||||||||
843,000 | Taiwan Surface Mounting Technology Corp | 906,771 | ||||||||
665,000 | Teco Electric and Machinery Co Ltd | 487,088 | ||||||||
353,000 | Tong Hsing Electronic Industries Ltd | 972,071 | ||||||||
534,000 | TOPBI International Holdings Ltd | 1,708,195 | ||||||||
1,000,188 | Topco Scientific Co Ltd | 2,541,005 | ||||||||
560,000 | Transcend Information Inc | 1,354,914 | ||||||||
1,065,000 | Tripod Technology Corp | 3,287,540 | ||||||||
668,000 | TXC Corp | 775,679 | ||||||||
3,167,000 | Uni-President Enterprises Corp | 8,013,742 | ||||||||
2,077,000 | United Integrated Services Co Ltd | 4,192,129 | ||||||||
587,000 | United Microelectronics Corp | 332,737 | ||||||||
176,000 | Wah Lee Industrial Corp | 317,625 | ||||||||
694,000 | Walsin Lihwa Corp | 491,039 | ||||||||
1,477,000 | Waterland Financial Holdings Co Ltd | 509,845 | ||||||||
154,798 | Wistron NeWeb Corp | 345,771 | ||||||||
660,000 | Youngtek Electronics Corp | 1,008,160 | ||||||||
2,244,000 | Yuanta Financial Holding Co Ltd | 1,137,000 | ||||||||
148,000 | Yulon Finance Corp | 496,523 | ||||||||
|
| |||||||||
Total Taiwan | 562,450,993 | |||||||||
|
| |||||||||
Thailand — 1.5% |
| |||||||||
1,629,800 | Advanced Info Service Pcl (Foreign Registered) | 10,060,452 | ||||||||
1,595,300 | Amata Corp Pcl (Foreign Registered) | 1,038,730 | ||||||||
3,194,000 | AP Thailand Pcl (Foreign Registered) | 917,575 | ||||||||
2,620,700 | AP Thailand Pcl NVDR | 752,876 | ||||||||
151,500 | Bangkok Bank Pcl (Foreign Registered) (d) | 962,791 | ||||||||
2,307,400 | Central Pattana Pcl (Foreign Registered) | 5,815,676 | ||||||||
317,800 | Central Pattana Pcl NVDR | 800,997 | ||||||||
1,058,200 | Com7 PCL NVDR | 621,171 | ||||||||
511,200 | Delta Electronics Thailand Pcl (Foreign Registered) | 1,089,506 | ||||||||
759,800 | Glow Energy Pcl (Foreign Registered) | 2,182,038 | ||||||||
564,100 | Glow Energy Pcl NVDR | 1,620,014 | ||||||||
1,243,000 | Hana Microelectronics Pcl (Foreign Registered) | 1,463,840 | ||||||||
6,688,500 | Home Product Center PCL NVDR | 2,982,984 | ||||||||
5,081,600 | Indorama Ventures Pcl NVDR | 9,320,623 | ||||||||
3,195,800 | Intouch Holdings Pcl NVDR | 5,420,361 |
Shares | Description | Value ($) | ||||||||
Thailand — continued |
| |||||||||
289,300 | KCE Electronics Pcl (Foreign Registered) | 400,612 | ||||||||
5,220,500 | LPN Development Pcl (Foreign Registered) | 1,579,703 | ||||||||
567,500 | LPN Development Pcl NVDR | 171,723 | ||||||||
464,800 | MC Group Pcl (Foreign Registered) | 186,044 | ||||||||
922,900 | MC Group Pcl NVDR | 369,405 | ||||||||
400,500 | Mega Lifesciences Pcl (Foreign Registered) | 431,592 | ||||||||
540,500 | Mega Lifesciences Pcl NVDR | 582,460 | ||||||||
418,800 | Pruksa Holding Pcl (Foreign Registered) | 258,447 | ||||||||
1,757,100 | Pruksa Holding Pcl NVDR | 1,084,330 | ||||||||
715,100 | PTT Exploration & Production Pcl (Foreign Registered) | 3,115,709 | ||||||||
150,400 | PTT Exploration & Production Pcl NVDR | 655,297 | ||||||||
1,315,300 | PTT Global Chemical Pcl (Foreign Registered) | 3,287,372 | ||||||||
5,717,800 | PTT Global Chemical Pcl NVDR | 14,290,681 | ||||||||
14,330,000 | PTT Pcl (Foreign Registered) | 23,007,416 | ||||||||
6,867,100 | PTT Pcl NVDR | 11,025,563 | ||||||||
8,215,100 | Quality Houses Pcl (Foreign Registered) | 868,553 | ||||||||
12,413,700 | Quality Houses Pcl NVDR | 1,312,455 | ||||||||
794,400 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) | 1,268,202 | ||||||||
772,200 | Ratchaburi Electricity Generating Holding Pcl NVDR | 1,232,761 | ||||||||
31,718,900 | Sansiri Pcl (Foreign Registered) | 1,561,107 | ||||||||
3,137,400 | SC Asset Corp Pcl (Foreign Registered) | 339,455 | ||||||||
961,500 | Siam Cement Pcl (The) (Foreign Registered) | 13,282,510 | ||||||||
9,771,000 | Star Petroleum Refining Pcl NVDR | 4,449,287 | ||||||||
2,530,300 | Star Petroleum Refining Pcl (Foreign Registered) | 1,152,189 | ||||||||
1,658,625 | Supalai Pcl (Foreign Registered) | 1,226,416 | ||||||||
2,061,000 | Supalai Pcl NVDR | 1,523,938 | ||||||||
26,821,300 | Thai Beverage Pcl | 12,106,489 | ||||||||
286,700 | Thai Oil Pcl (Foreign Registered) | 738,256 | ||||||||
1,315,400 | Thai Oil Pcl NVDR | 3,387,168 | ||||||||
532,100 | Thai Vegetable Oil Pcl (Foreign Registered) | 479,667 | ||||||||
101,900 | Thai Vegetable Oil Pcl NVDR | 91,859 | ||||||||
4,448,000 | Thanachart Capital Pcl (Foreign Registered) | 7,306,898 | ||||||||
104,800 | Thanachart Capital Pcl NVDR | 172,159 | ||||||||
1,638,600 | TTW Pcl (Foreign Registered) | 620,709 | ||||||||
2,462,500 | TTW Pcl NVDR | 932,805 | ||||||||
|
| |||||||||
Total Thailand | 159,548,871 | |||||||||
|
|
See accompanying notes to the financial statements. | 59 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — 1.0% |
| |||||||||
178,389 | Aksa Akrilik Kimya Sanayii AS | 303,796 | ||||||||
1,145,291 | Albaraka Turk Katilim Bankas AS | 220,012 | ||||||||
648,953 | Aselsan Elektronik Sanayi Ve Ticaret AS | 2,560,788 | ||||||||
134,724 | Aygaz AS | 246,007 | ||||||||
443,434 | BIM Birlesik Magazalar AS | 4,939,677 | ||||||||
1,723,159 | EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 973,690 | ||||||||
29,869,903 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) | 8,365,115 | ||||||||
736,522 | Enka Insaat ve Sanayi AS | 576,163 | ||||||||
6,750,926 | Eregli Demir ve Celik Fabrikalari TAS | 12,189,842 | ||||||||
206,994 | Ford Otomotiv Sanayi AS | 2,111,206 | ||||||||
2,601,295 | Haci Omer Sabanci Holding AS | 2,826,541 | ||||||||
1,004,059 | Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS * | 746,973 | ||||||||
1,280,685 | Is Gayrimenkul Yatirim Ortakligi AS (REIT) | 181,590 | ||||||||
3,826,541 | KOC Holding AS | 8,744,688 | ||||||||
26,658 | Otokar Otomotiv Ve Savunma Sanayi AS | 289,776 | ||||||||
3,344,628 | Petkim Petrokimya Holding AS | 2,808,910 | ||||||||
8,281,939 | Soda Sanayii AS | 10,223,997 | ||||||||
487,060 | TAV Havalimanlari Holding AS | 2,450,570 | ||||||||
583,638 | Tekfen Holding AS | 1,823,367 | ||||||||
613,247 | Trakya Cam Sanayii AS | 404,744 | ||||||||
351,450 | Tupras Turkiye Petrol Rafineriler AS | 6,319,009 | ||||||||
590,247 | Turk Hava Yollari AO * | 1,465,866 | ||||||||
221,740 | Turk Telekomunikasyon AS * | 123,548 | ||||||||
24,292 | Turk Traktor ve Ziraat Makineleri AS | 168,520 | ||||||||
2,612,559 | Turkcell Iletisim Hizmetleri AS | 4,204,630 | ||||||||
77,800 | Turkcell Iletisim Hizmetleri AS ADR | 316,646 | ||||||||
5,565,331 | Turkiye Garanti Bankasi AS | 5,057,096 | ||||||||
2,787,574 | Turkiye Halk Bankasi AS | 2,608,626 | ||||||||
19,477,520 | Turkiye Is Bankasi – Class C | 11,860,205 | ||||||||
6,823,744 | Turkiye Sinai Kalkinma Bankasi AS | 791,459 | ||||||||
1,142,382 | Turkiye Sise ve Cam Fabrikalari AS | 1,073,842 | ||||||||
3,826,651 | Turkiye Vakiflar Bankasi TAO – Class D | 2,022,624 | ||||||||
|
| |||||||||
Total Turkey | 98,999,523 | |||||||||
|
| |||||||||
United Arab Emirates — 0.1% |
| |||||||||
130,461 | Abu Dhabi Commercial Bank PJSC | 252,140 | ||||||||
3,059,356 | Air Arabia PJSC | 841,162 | ||||||||
2,419,381 | Aldar Properties PJSC | 1,270,207 | ||||||||
2,221,090 | DAMAC Properties Dubai Co PJSC | 1,269,182 | ||||||||
3,307,412 | Dana Gas PJSC | 998,391 | ||||||||
39,348 | DP World Ltd | 841,592 | ||||||||
659,788 | Dubai Investments PJSC | 357,259 | ||||||||
537,228 | Dubai Islamic Bank PJSC | 748,606 | ||||||||
1,384,638 | DXB Entertainments PJSC * | 130,379 |
Shares | Description | Value ($) | ||||||||
United Arab Emirates — continued |
| |||||||||
483,056 | Emaar Development PJSC * | 695,366 | ||||||||
1,960,740 | Emaar Properties PJSC | 2,672,095 | ||||||||
460,241 | Emirates Telecommunications Group Co PJSC | 2,122,424 | ||||||||
132,541 | First Abu Dhabi Bank PJSC | 534,037 | ||||||||
1,390,617 | RAK Properties PJSC | 234,768 | ||||||||
|
| |||||||||
Total United Arab Emirates | 12,967,608 | |||||||||
|
| |||||||||
United Kingdom — 3.9% |
| |||||||||
1,715,924 | 3i Group Plc | 19,980,508 | ||||||||
31,563 | 888 Holdings Plc | 95,563 | ||||||||
50,460 | Ashmore Group Plc | 233,004 | ||||||||
90,250 | Ashtead Group Plc | 2,769,464 | ||||||||
492,932 | AstraZeneca Plc | 37,203,429 | ||||||||
2,247 | AVEVA Group Plc | 82,782 | ||||||||
463,489 | Aviva Plc | 2,916,000 | ||||||||
149,436 | BAE Systems Plc | 1,175,909 | ||||||||
42,321 | Beazley Plc | 326,970 | ||||||||
144,413 | Bellway Plc | 5,470,972 | ||||||||
285,279 | Berkeley Group Holdings Plc (The) | 13,494,021 | ||||||||
104,868 | Bovis Homes Group Plc | 1,532,618 | ||||||||
734,598 | British American Tobacco Plc | 35,523,141 | ||||||||
39,000 | British American Tobacco Plc Sponsored ADR | 1,886,820 | ||||||||
70,625 | Britvic Plc | 747,338 | ||||||||
38,180 | Central Asia Metals Plc | 106,347 | ||||||||
61,407 | Close Brothers Group Plc | 1,274,056 | ||||||||
63,063 | CMC Markets Plc | 139,792 | ||||||||
446,923 | Coca-Cola HBC AG * | 15,302,686 | ||||||||
63,451 | Computacenter Plc | 1,115,675 | ||||||||
41,600 | Dart Group Plc | 528,166 | ||||||||
20,800 | Diageo Plc Sponsored ADR (b) | 2,899,728 | ||||||||
10,335 | easyJet Plc | 204,742 | ||||||||
284,793 | EI Group Plc * | 577,797 | ||||||||
768,957 | Electrocomponents Plc | 7,411,957 | ||||||||
1,436,413 | Ferrexpo Plc | 2,899,529 | ||||||||
21,405 | Fevertree Drinks Plc | 1,034,830 | ||||||||
84,871 | Galliford Try Plc | 1,070,336 | ||||||||
8,328 | Games Workshop Group Plc | 384,889 | ||||||||
4,607 | GlaxoSmithKline Plc | 93,305 | ||||||||
811,300 | GlaxoSmithKline Plc Sponsored ADR | 32,857,650 | ||||||||
33,940 | Grafton Group Plc | 338,303 | ||||||||
75,152 | Grainger Plc | 299,736 | ||||||||
10,527 | Hostelworld Group Plc | 35,625 | ||||||||
82,500 | HSBC Holdings Plc Sponsored ADR | 3,630,825 | ||||||||
824,290 | IG Group Holdings Plc | 9,679,345 | ||||||||
384,890 | Inchcape Plc | 3,457,653 | ||||||||
868,166 | Indivior Plc * | 3,052,275 | ||||||||
18,116 | Intermediate Capital Group Plc | 246,982 | ||||||||
29,216 | International Personal Finance Plc | 83,290 | ||||||||
20,177 | J Sainsbury Plc | 84,933 |
60 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued |
| |||||||||
88,201 | John Laing Group Plc | 361,260 | ||||||||
52,058 | Jupiter Fund Management Plc | 283,428 | ||||||||
69,405 | Land Securities Group Plc (REIT) | 826,136 | ||||||||
3,378,904 | Legal & General Group Plc | 11,166,061 | ||||||||
10,140,136 | Lloyds Banking Group Plc | 7,811,145 | ||||||||
138,383 | McBride Plc | 234,002 | ||||||||
56,323 | Morgan Sindall Group Plc | 1,073,379 | ||||||||
42,620 | N Brown Group Plc | 83,503 | ||||||||
24,078 | Next Plc | 1,719,144 | ||||||||
287,100 | Nomad Foods Ltd * | 5,986,035 | ||||||||
5,700 | Northgate Plc | 30,292 | ||||||||
45,016 | Numis Corp Plc | 247,101 | ||||||||
48,907 | Paragon Banking Group Plc | 295,703 | ||||||||
1,196,075 | Persimmon Plc | 37,840,159 | ||||||||
325,072 | Plus500 Ltd | 6,494,319 | ||||||||
662,225 | QinetiQ Group Plc | 2,332,020 | ||||||||
9,029 | Quilter Plc | 16,486 | ||||||||
262,341 | Reckitt Benckiser Group Plc | 22,346,787 | ||||||||
162,878 | Redrow Plc | 1,157,136 | ||||||||
132,791 | Royal Dutch Shell Plc – Class A | 4,318,811 | ||||||||
44,700 | Royal Dutch Shell Plc – Class A Sponsored ADR | 2,915,781 | ||||||||
49,600 | Royal Dutch Shell Plc – Class B Sponsored ADR (b) | 3,342,048 | ||||||||
567,966 | Royal Mail Plc | 3,302,846 | ||||||||
49,770 | RPS Group Plc | 151,663 | ||||||||
32,336 | Safestore Holdings Plc (REIT) | 222,955 | ||||||||
42,546 | Savills Plc | 441,792 | ||||||||
6,363 | Schroders Plc | 254,217 | ||||||||
176,039 | Segro Plc (REIT) | 1,505,125 | ||||||||
274,400 | Shire Plc ADR | 48,094,088 | ||||||||
6,021 | Smiths Group Plc | 126,063 | ||||||||
12,555 | Softcat Plc | 138,373 | ||||||||
93,216 | Spectris Plc | 2,849,819 | ||||||||
18,686 | St Modwen Properties Plc | 95,590 | ||||||||
203,686 | Stock Spirits Group Plc | 510,029 | ||||||||
174,349 | Tate & Lyle Plc | 1,517,700 | ||||||||
397,051 | Taylor Wimpey Plc | 863,706 | ||||||||
118,375 | TUI AG | 2,185,011 | ||||||||
12,871 | UDG Healthcare Plc | 123,097 | ||||||||
320,378 | Unilever Plc | 18,256,655 | ||||||||
356,410 | Vesuvius Plc | 2,871,318 | ||||||||
17,544 | Virgin Money Holdings UK Plc | 86,968 | ||||||||
547,022 | William Hill Plc | 1,827,684 | ||||||||
|
| |||||||||
Total United Kingdom | 408,554,426 | |||||||||
|
| |||||||||
United States — 9.7% |
| |||||||||
73,251 | 3M Co. (a) | 15,450,101 | ||||||||
167,957 | Abbott Laboratories (a) | 11,226,246 | ||||||||
145,055 | Accenture Plc – Class A | 24,524,449 | ||||||||
250,900 | Aetna, Inc. | 50,247,743 |
Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
9,298 | Allergan Plc (c) | 1,782,519 | ||||||||
41,657 | Alphabet, Inc. – Class C * (a) | 50,746,141 | ||||||||
198,193 | American Express Co. | 21,004,494 | ||||||||
71,377 | Amphenol Corp. – Class A (b) | 6,750,837 | ||||||||
177,900 | Andeavor (a) | 27,181,341 | ||||||||
80,666 | Anthem, Inc. (b) | 21,354,710 | ||||||||
237,052 | Apple, Inc. (b) | 53,960,147 | ||||||||
155,349 | Avista Corp. (b) | 7,970,957 | ||||||||
41,381 | Becton Dickinson and Co. (b) | 10,836,442 | ||||||||
134,540 | Bemis Co., Inc. (b) | 6,630,131 | ||||||||
376,300 | CA, Inc. | 16,481,940 | ||||||||
242,600 | Cars.com, Inc. * (b) | 6,528,366 | ||||||||
477,071 | Cisco Systems, Inc. (b) | 22,789,682 | ||||||||
282,454 | Coca-Cola Co. (The) | 12,588,975 | ||||||||
233,031 | Cognizant Technology Solutions Corp. – Class A | 18,276,621 | ||||||||
15,426 | Colgate-Palmolive Co. (a) (c) | 1,024,441 | ||||||||
109,322 | Costco Wholesale Corp. | 25,486,238 | ||||||||
1,148,797 | EveryWare Global, Inc. (e) | 4,652,628 | ||||||||
150,100 | Express Scripts Holding Co. * | 13,211,802 | ||||||||
80,516 | Facebook, Inc. – Class A * | 14,149,077 | ||||||||
58,898 | Honeywell International, Inc. | 9,368,316 | ||||||||
190,135 | Johnson & Johnson | 25,609,283 | ||||||||
191,093 | KLX, Inc. * | 14,110,307 | ||||||||
533,476 | LaSalle Hotel Properties (REIT) | 18,730,342 | ||||||||
2 | Lennar Corp. (b) | 103 | ||||||||
5,800 | Lumentum Holdings, Inc. * (b) | 393,820 | ||||||||
83,200 | Macquarie Infrastructure Corp. (b) | 3,913,728 | ||||||||
36,224 | Mastercard, Inc. – Class A | 7,808,445 | ||||||||
266,848 | Medtronic Plc | 25,726,816 | ||||||||
315,808 | Merck & Co., Inc. | 21,661,271 | ||||||||
446,008 | Microsoft Corp. | 50,100,079 | ||||||||
478,785 | NxStage Medical, Inc. * | 13,568,767 | ||||||||
1,960,195 | OneMarket Ltd. * | 1,480,812 | ||||||||
824,561 | Oracle Corp. | 40,057,173 | ||||||||
40,310 | PepsiCo, Inc. (b) | 4,515,123 | ||||||||
126,089 | Philip Morris International, Inc. | 9,821,072 | ||||||||
458,100 | Pinnacle Foods, Inc. | 30,427,002 | ||||||||
339,599 | QUALCOMM, Inc. | 23,333,847 | ||||||||
405,400 | Rockwell Collins, Inc. | 55,114,130 | ||||||||
86,800 | Sanchez Energy Corp. * (b) | 228,284 | ||||||||
33,646 | Stryker Corp. (a) (b) | 5,700,642 | ||||||||
58,884 | Tenet Healthcare Corp. * (b) | 1,985,568 | ||||||||
94,631 | Teradata Corp. * (a) | 3,924,347 | ||||||||
16,007 | Tesla, Inc. * (b) (c) | 4,828,672 | ||||||||
144,872 | Texas Instruments, Inc. (b) | 16,283,613 | ||||||||
205,705 | TJX Cos., Inc. (The) | 22,621,379 | ||||||||
940,610 | Twenty-First Century Fox, Inc. – Class B (c) | 42,233,389 | ||||||||
119,077 | UnitedHealth Group, Inc. | 31,967,411 | ||||||||
133,927 | United Technologies Corp. | 17,638,186 | ||||||||
386,891 | US Bancorp | 20,934,672 |
See accompanying notes to the financial statements. | 61 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
80,700 | Visa, Inc. – Class A (a) | 11,854,023 | ||||||||
373,235 | Wells Fargo & Co. | 21,826,783 | ||||||||
24,288 | Williams Cos, Inc. (The) (c) | 718,682 | ||||||||
90,956 | XL Group Ltd. | 5,219,965 | ||||||||
|
| |||||||||
Total United States | 1,008,562,080 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $6,639,599,467) | 6,657,980,528 | |||||||||
|
| |||||||||
PREFERRED STOCKS (f) — 1.1% |
| |||||||||
Brazil — 0.3% |
| |||||||||
527,934 | Banco Bradesco SA | 3,678,468 | ||||||||
510,300 | Banco do Estado do Rio Grande do Sul SA – Class B | 1,835,431 | ||||||||
1,528,200 | Braskem SA – Class A | 22,215,198 | ||||||||
594,775 | Centrais Eletricas Brasileiras SA – Class B * | 2,643,055 | ||||||||
1,265,300 | Cia Energetica de Minas Gerais | 2,317,433 | ||||||||
4,939 | Companhia Energetica de Minas Gerais Sponsored ADR | 8,841 | ||||||||
|
| |||||||||
Total Brazil | 32,698,426 | |||||||||
|
| |||||||||
Germany — 0.2% |
| |||||||||
36,050 | Bayerische Motoren Werke AG | 3,023,053 | ||||||||
3,025 | Draegerwerk AG & Co KGaA | 244,156 | ||||||||
49,769 | Henkel AG & Co KGaA | 6,352,332 | ||||||||
21,599 | RWE AG | 450,793 | ||||||||
7,959 | Sixt SE | 665,088 | ||||||||
24,548 | Volkswagen AG | 4,012,806 | ||||||||
|
| |||||||||
Total Germany | 14,748,228 | |||||||||
|
| |||||||||
Russia — 0.1% |
| |||||||||
76,389 | Bashneft PJSC | 1,914,860 | ||||||||
3,650,500 | Sberbank of Russia PJSC | 8,661,656 | ||||||||
1,135,300 | Surgutneftegas OJSC * | 630,063 | ||||||||
1,230 | Transneft PJSC | 2,599,852 | ||||||||
|
| |||||||||
Total Russia | 13,806,431 | |||||||||
|
| |||||||||
South Korea — 0.5% |
| |||||||||
1,171 | Hyundai Motor Co | 82,396 | ||||||||
2,023 | Hyundai Motor Co 2nd Preference | 155,549 | ||||||||
96,668 | LG Electronics Inc | 2,690,977 | ||||||||
1,139,074 | Samsung Electronics Co Ltd | 40,586,665 | ||||||||
5,004 | Samsung Electronics Co Ltd GDR | 4,409,975 | ||||||||
|
| |||||||||
Total South Korea | 47,925,562 | |||||||||
|
| |||||||||
Taiwan — 0.0% |
| |||||||||
220,277 | CTBC Financial Holding Co Ltd | 445,387 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $112,899,144) | 109,624,034 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Brazil — 0.0% | ||||||||||
131,971 | Oi SA ADR * (g) | 436,824 | ||||||||
|
| |||||||||
Canada — 0.0% | ||||||||||
449,600 | Alignvest Acquisition II Corp * (e) | 137,808 | ||||||||
|
| |||||||||
Thailand — 0.0% | ||||||||||
174,750 | Supalai Pcl * | 106,246 | ||||||||
421,725 | Supalai Public Co * | 256,411 | ||||||||
|
| |||||||||
Total Thailand | 362,657 | |||||||||
|
| |||||||||
United States — 0.0% |
| |||||||||
2,616,810 | Media General, Inc. CVR * (e) | 130,841 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $884,049) | 1,068,130 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 0.3% | ||||||||||
United States — 0.3% | ||||||||||
823,592 | iShares MSCI Emerging Markets ETF | 35,554,467 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $36,272,848) | 35,554,467 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 30.9% | ||||||||||
Italy — 0.0% | ||||||||||
Corporate Debt — 0.0% |
| |||||||||
1,243,000 | Intesa Sanpaolo SPA, 144A, 3.88%, due 07/14/27 | 1,067,255 | ||||||||
3,977,000 | Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48 | 3,045,573 | ||||||||
|
| |||||||||
Total Corporate Debt | 4,112,828 | |||||||||
|
| |||||||||
Total Italy | 4,112,828 | |||||||||
|
| |||||||||
Jamaica — 0.1% |
| |||||||||
Corporate Debt — 0.1% | ||||||||||
2,530,000 | Digicel Ltd, 144A, 6.00%, due 04/15/21 | 2,363,298 | ||||||||
4,679,000 | Digicel Ltd, Reg. S, 6.75%, due 03/01/23 | 3,942,058 | ||||||||
|
| |||||||||
Total Jamaica | 6,305,356 | |||||||||
|
| |||||||||
Japan — 3.5% |
| |||||||||
Foreign Government Obligations — 3.5% | ||||||||||
JPY | 5,100,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/18/18 | 45,902,387 | |||||||
JPY | 13,140,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/25/18 | 118,269,106 | |||||||
JPY | 11,100,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/01/18 | 99,909,890 | |||||||
JPY | 5,533,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/09/18 | 49,803,374 | |||||||
JPY | 2,365,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/15/18 | 21,288,236 |
62 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
Foreign Government Obligations — continued | ||||||||||
JPY | 3,315,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/19/18 | 29,843,861 | |||||||
|
| |||||||||
Total Foreign Government Obligations | 365,016,854 | |||||||||
|
| |||||||||
Total Japan | 365,016,854 | |||||||||
|
| |||||||||
Luxembourg — 0.1% |
| |||||||||
Bank Loans — 0.1% | ||||||||||
6,273,787 | SkillSoft Corp., 1st Lien Term Loan, 6.83%, due 04/28/21 (e) | 6,069,889 | ||||||||
|
| |||||||||
Puerto Rico — 0.2% |
| |||||||||
Asset-Backed Securities — 0.1% | ||||||||||
720,000 | Government Development Bank for Puerto Rico, 4.70%, due 05/01/16 | 304,200 | ||||||||
20,000 | Government Development Bank for Puerto Rico, 3.88%, due 02/01/17 | 8,250 | ||||||||
630,000 | Government Development Bank for Puerto Rico, 4.15%, due 08/01/17 | 259,875 | ||||||||
790,000 | Government Development Bank for Puerto Rico, 4.38%, due 02/01/19 | 327,850 | ||||||||
60,000 | Government Development Bank for Puerto Rico, 4.50%, due 08/01/19 | 25,350 | ||||||||
69,000 | Government Development Bank for Puerto Rico, 5.40%, due 08/01/19 | 29,153 | ||||||||
2,666,000 | Government Development Bank for Puerto Rico, 5.50%, due 08/01/20 | 1,126,385 | ||||||||
1,315,000 | Government Development Bank for Puerto Rico, 4.90%, due 08/01/21 | 555,587 | ||||||||
2,110,000 | Government Development Bank for Puerto Rico, 5.00%, due 08/01/23 | 891,475 | ||||||||
240,000 | Government Development Bank for Puerto Rico, 5.75%, due 08/01/25 | 103,200 | ||||||||
714,000 | Government Development Bank for Puerto Rico, 5.75%, due 08/01/25 | 307,020 | ||||||||
2,529,600 | Puerto Rico Commonwealth Government Employees Retirement System – Class A, 6.20%, due 07/01/42 | 828,444 | ||||||||
587,400 | Puerto Rico Commonwealth Government Employees Retirement System – Class A, 6.20%, due 07/01/39 | 192,373 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 4,959,162 | |||||||||
|
| |||||||||
Municipal Obligations — 0.1% |
| |||||||||
3,197,940 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44 | 3,046,038 | ||||||||
11,381,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47 | 10,712,366 | ||||||||
1,000,000 | Puerto Rico Public Buildings Authority, 5.00%, due 07/01/32 (h) | 547,500 | ||||||||
1,500,000 | Puerto Rico Public Buildings Authority, 5.25%, due 07/01/33 (h) | 821,250 | ||||||||
|
| |||||||||
Total Municipal Obligations | 15,127,154 | |||||||||
|
| |||||||||
Total Puerto Rico | 20,086,316 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Spain — 0.0% |
| |||||||||
Bank Loans — 0.0% | ||||||||||
747,226 | Abengoa S.A., Term Loan Escrow, 7.00%, due 03/31/21 (e) | 792,059 | ||||||||
1,610,616 | Abengoa S.A., NM Term Loan A, 7.00%, due 03/31/21 (e) | 1,695,174 | ||||||||
588,378 | ABG Orphan Holdco S.a r.l., Term Loan Escrow 2, 7.00%, due 03/31/21 (e) | 623,681 | ||||||||
362,829 | ABG Orphan Holdco S.a r.l., USD Facility 1A Escrow Tranche, 7.00%, due 03/31/21 (e) | 384,599 | ||||||||
|
| |||||||||
Total Bank Loans | 3,495,513 | |||||||||
|
| |||||||||
Corporate Debt — 0.0% |
| |||||||||
693,668 | ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 (e) | 735,287 | ||||||||
717,176 | ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 (e) | 756,621 | ||||||||
|
| |||||||||
Total Corporate Debt | 1,491,908 | |||||||||
|
| |||||||||
Total Spain | 4,987,421 | |||||||||
|
| |||||||||
United States — 27.0% |
| |||||||||
Asset-Backed Securities — 3.7% | ||||||||||
3,020,551 | AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.40%, due 01/25/23 | 2,965,900 | ||||||||
848,730 | AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 11/02/30 | 849,729 | ||||||||
3,576,000 | AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 04/30/31 | 3,575,414 | ||||||||
2,873,770 | AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 11/10/30 | 2,873,738 | ||||||||
1,163,877 | AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/24/29 | 1,166,691 | ||||||||
1,986,564 | AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/25/29 | 1,990,364 | ||||||||
435,533 | Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 07/15/30 | 436,066 | ||||||||
1,135,362 | Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/13/30 | 1,135,344 | ||||||||
2,620,640 | Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/31 | 2,616,486 | ||||||||
1,192,000 | Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 1,191,982 |
See accompanying notes to the financial statements. | 63 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
3,261,771 | Apidos CLO XVI, Series 13-16A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 3.32%, due 01/19/25 | 3,263,484 | ||||||||
1,043,000 | Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 05/15/30 | 1,042,992 | ||||||||
1,321,220 | Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/17/27 | 1,321,209 | ||||||||
894,000 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 07/26/31 | 893,937 | ||||||||
936,792 | Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.45%, due 01/18/25 | 937,036 | ||||||||
1,546,351 | Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.44%, due 04/25/26 | 1,546,771 | ||||||||
13,139,221 | B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.07%, due 04/16/26 | 13,097,556 | ||||||||
3,244,500 | Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 07/20/25 | 3,245,133 | ||||||||
848,730 | Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 848,649 | ||||||||
522,445 | Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.50%, due 05/20/25 | 522,615 | ||||||||
953,600 | Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.06%, due 04/15/30 | 953,569 | ||||||||
1,879,573 | Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 2.63%, due 04/25/36 | 1,870,208 | ||||||||
735,566 | Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X,, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 07/20/29 | 736,048 | ||||||||
425,714 | Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 04/24/29 | 426,374 | ||||||||
1,913,146 | BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 3.23%, due 10/29/25 | 1,912,195 |
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
1,564,500 | BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/20/30 | 1,564,477 | ||||||||
1,043,000 | BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 1,042,984 | ||||||||
1,094,485 | Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/17/28 | 1,094,469 | ||||||||
1,540,234 | Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 07/15/31 | 1,540,211 | ||||||||
2,980,000 | Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.01%, due 05/15/31 | 2,979,973 | ||||||||
1,018,476 | Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/22/30 | 1,018,248 | ||||||||
2,942,264 | CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 10/17/29 | 2,942,220 | ||||||||
944,919 | CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 945,039 | ||||||||
4,950,925 | CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/15/31 | 4,950,856 | ||||||||
2,384,000 | Cent CLO, Series C17A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 04/30/31 | 2,383,807 | ||||||||
10,000,000 | Cent CLO 22 Ltd., Series 14-22A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.41%, 3.75%, due 11/07/26 | 10,011,300 | ||||||||
2,121,825 | CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.98%, due 10/18/30 | 2,121,526 | ||||||||
953,600 | CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 954,077 | ||||||||
2,724,870 | CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/24/30 | 2,725,707 | ||||||||
9,349,998 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 | 3,178,999 | ||||||||
2,011,500 | Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 2,011,470 | ||||||||
721,645 | CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 01/16/26 | 721,843 |
64 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
2,084,675 | Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/15/28 | 2,084,658 | ||||||||
312,710 | Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.06%, due 08/15/30 | 312,740 | ||||||||
1,131,640 | Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29 | 1,131,623 | ||||||||
813,366 | Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/30 | 815,675 | ||||||||
2,939,273 | Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 2,938,427 | ||||||||
1,583,274 | Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 05/16/31 | 1,583,068 | ||||||||
14,759,538 | GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + 0.11%, 2.42%, due 11/25/26 | 14,705,046 | ||||||||
733,080 | GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.47%, due 05/25/26 | 729,687 | ||||||||
2,527,577 | Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 11/28/30 | 2,527,110 | ||||||||
1,563,450 | Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.93%, due 01/18/31 | 1,563,192 | ||||||||
1,584,296 | Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/27/31 | 1,583,979 | ||||||||
680,269 | Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25 | 680,298 | ||||||||
453,817 | Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Reg. S, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25 | 453,837 | ||||||||
4,969,657 | Halcyon Loan Advisors Funding Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.13%, 3.46%, due 04/18/26 | 4,970,685 | ||||||||
1,528,740 | Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 02/05/31 | 1,528,722 |
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
565,820 | Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.13%, due 07/18/29 | 566,097 | ||||||||
707,275 | Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/20/29 | 707,264 | ||||||||
5,613,321 | Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + .16%, 2.47%, due 02/25/32 | 5,607,257 | ||||||||
2,065,140 | ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.89%, due 01/15/31 | 2,065,111 | ||||||||
1,414,550 | Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/17/29 | 1,416,154 | ||||||||
765,452 | KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.63%, due 05/25/29 | 762,590 | ||||||||
886,485 | KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.65%, due 09/27/35 | 886,573 | ||||||||
3,417,412 | KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.21%, due 11/25/36 | 3,421,839 | ||||||||
181,902 | KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.68%, due 06/27/38 | 181,889 | ||||||||
615,502 | KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.87%, due 01/27/42 | 615,736 | ||||||||
1,698,600 | Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 04/20/31 | 1,698,573 | ||||||||
893,400 | KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/15/30 | 894,497 | ||||||||
1,711,461 | LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31 | 1,711,436 | ||||||||
1,206,090 | LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.30%, due 07/20/30 | 1,208,736 | ||||||||
792,115 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/25/30 | 778,831 |
See accompanying notes to the financial statements. | 65 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
169,010 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 09/25/30 | 168,829 | ||||||||
4,444,484 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.33%, due 06/25/37 | 4,382,704 | ||||||||
3,015,760 | Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/19/30 | 3,015,374 | ||||||||
1,827,426 | Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/26 | 1,828,270 | ||||||||
5,215,000 | Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 05/13/28 | 5,214,948 | ||||||||
6,648,835 | Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.08%, due 05/20/30 | 6,707,129 | ||||||||
12,970,977 | Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.44%, due 06/20/30 | 12,957,228 | ||||||||
552,093 | Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.86%, due 07/15/33 | 583,237 | ||||||||
1,697,460 | Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/16/31 | 1,697,603 | ||||||||
12,762,000 | Mountain View CLO Ltd., Series 14-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 10/15/26 | 12,738,646 | ||||||||
1,621,819 | Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30 | 1,621,793 | ||||||||
18,472 | National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 03/27/28 | 18,469 | ||||||||
13,145,101 | National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.29%, due 03/26/29 | 12,894,809 | ||||||||
3,504,298 | National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.30%, due 07/25/30 | 3,456,130 |
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
252,873 | Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26 | 256,141 | ||||||||
813,132 | Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 2.76%, due 09/16/24 | 814,063 | ||||||||
3,129,000 | Navient Student Loan Trust, Series 16-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.11%, due 06/25/65 | 3,160,149 | ||||||||
781,775 | Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29 | 781,666 | ||||||||
1,013,945 | Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.35%, due 04/22/29 | 1,015,500 | ||||||||
1,302,328 | Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.20%, due 12/24/39 | 1,300,587 | ||||||||
16,108,527 | Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 08/13/25 | 16,108,671 | ||||||||
679,440 | Octagon Investment Partners XII Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .88%, 3.22%, due 07/15/19 | 679,479 | ||||||||
708,020 | Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 07/19/30 | 708,516 | ||||||||
1,934,291 | Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/25/31 | 1,934,264 | ||||||||
606,236 | OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/16/29 | 606,793 | ||||||||
5,948,142 | OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 03/20/25 | 5,933,272 | ||||||||
893,400 | OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 01/21/30 | 893,251 | ||||||||
1,556,005 | OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/22/30 | 1,555,782 | ||||||||
4,172,000 | OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 04/17/31 | 4,171,937 |
66 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
720,676 | OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/30/30 | 720,860 | ||||||||
9,525,815 | Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/26 | 9,438,701 | ||||||||
2,795,240 | Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.46%, due 07/17/26 | 2,795,438 | ||||||||
1,414,550 | Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 07/15/30 | 1,414,530 | ||||||||
1,192,151 | Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.48%, due 05/15/26 | 1,192,613 | ||||||||
4,835,464 | SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 09/15/18 | 4,835,425 | ||||||||
4,895,465 | SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + .17%, 2.51%, due 12/15/26 | 4,894,185 | ||||||||
1,933,109 | SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.21%, due 01/15/26 | 1,940,737 | ||||||||
572,395 | SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28 | 573,785 | ||||||||
3,635,600 | SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.31%, due 06/16/42 | 3,731,124 | ||||||||
6,081,076 | SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.56%, due 01/15/43 | 6,212,213 | ||||||||
6,187,721 | SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.31%, due 05/16/44 | 6,304,469 | ||||||||
2,587,440 | SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44 | 2,616,638 | ||||||||
6,077,607 | SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.38%, due 04/25/19 | 6,062,235 | ||||||||
15,896,871 | SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + .38%, 2.72%, due 10/25/24 | 15,926,575 | ||||||||
1,621,092 | South Carolina Student Loan Corp., Series 2005, Class A3, Variable Rate, 3 mo. LIBOR + .14%, 2.44%, due 12/01/23 | 1,620,768 |
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
1,034,508 | South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/25 | 1,039,463 | ||||||||
1,992,898 | Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/15/24 | 1,993,550 | ||||||||
565,820 | Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/17/19 | 566,352 | ||||||||
2,224,800 | Telos CLO Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 3.61%, due 01/17/27 | 2,225,479 | ||||||||
2,225,067 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 04/17/28 | 2,225,031 | ||||||||
2,059,585 | Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/17/30 | 2,059,552 | ||||||||
353,875 | THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 3.25%, due 07/20/30 | 354,322 | ||||||||
1,527,714 | THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 11/20/30 | 1,527,705 | ||||||||
3,382,300 | TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.99%, due 04/26/28 | 3,382,134 | ||||||||
4,410,400 | TICP CLO III-2 Ltd., Series 18-3R, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.91%, due 04/20/28 | 4,410,202 | ||||||||
2,980,000 | Tryon Park CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/15/29 | 2,979,881 | ||||||||
1,647,217 | Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.49%, due 06/25/45 | 1,658,146 | ||||||||
3,558,820 | Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.31%, due 05/25/47 | 3,581,629 | ||||||||
924,012 | Venture VII CDO Ltd., Series 06-7A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 0.23%, 2.58%, due 01/20/22 | 922,186 | ||||||||
4,853,882 | Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 3.38%, due 01/18/26 | 4,854,760 | ||||||||
1,060,912 | Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30 | 1,060,769 |
See accompanying notes to the financial statements. | 67 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Asset-Backed Securities — continued | ||||||||||
2,546,190 | Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 10/15/30 | 2,546,154 | ||||||||
990,850 | Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.96%, due 04/18/31 | 990,835 | ||||||||
1,792,571 | Westchester CLO Ltd., Series 07-1A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/01/22 | 1,791,122 | ||||||||
3,708,000 | WhiteHorse Ltd., Series 18-12A, Class X, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/15/31 | 3,708,000 | ||||||||
11,682,652 | WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 05/01/26 | 11,674,790 | ||||||||
371,569 | Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 04/17/29 | 371,845 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 387,147,469 | |||||||||
|
| |||||||||
Bank Loans — 0.3% |
| |||||||||
14,527,000 | 21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 8.47%, due 01/16/23 (e) | 13,655,380 | ||||||||
2,803,755 | Gibson Brands Inc., DIP Term Loan, 11.27%, due 05/01/19 (e) | 2,719,643 | ||||||||
3,649,044 | J.C. Penney Corporation, Inc., 2016 Term Loan B, 6.62%, due 06/23/23 (e) | 3,357,120 | ||||||||
5,828,200 | Murray Energy Corporation, 2018 Term Loan B2, 9.33%, due 10/17/22 (e) | 5,478,508 | ||||||||
4,112,500 | Quorum Health Corp., Term Loan B, 8.83%, due 04/29/22 (e) | 4,163,906 | ||||||||
3,841,800 | Sears Holding Corp., Incremental Term Loan, 9.58%, due 07/20/20 (e) | 3,880,218 | ||||||||
|
| |||||||||
Total Bank Loans | 33,254,775 | |||||||||
|
| |||||||||
Corporate Debt — 0.4% |
| |||||||||
2,988,000 | CHS/Community Health Systems, Inc., 6.88%, due 02/01/22 | 1,523,880 | ||||||||
2,191,000 | CHS/Community Health Systems, Inc., 144A, 8.13%, due 06/30/24 | 1,802,097 | ||||||||
5,461,600 | EP Energy LLC / Everest Acquisition Finance, Inc., 144A, 8.00%, due 02/15/25 | 3,946,006 | ||||||||
500,000 | Frontier Communications Corp., 9.25%, due 07/01/21 | 472,500 | ||||||||
4,090,600 | Frontier Communications Corp., 6.25%, due 09/15/21 | 3,620,181 | ||||||||
3,070,000 | Frontier Communications Corp., 8.75%, due 04/15/22 | 2,471,350 | ||||||||
1,491,000 | Frontier Communications Corp., 7.13%, due 01/15/23 | 1,015,744 |
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
Corporate Debt — continued |
| |||||||||
3,348,000 | Frontier Communications Corp., 11.00%, due 09/15/25 | 2,561,220 | ||||||||
414,000 | Frontier Communications Corp., 144A, 8.50%, due 04/01/26 | 389,491 | ||||||||
5,923,000 | Gibson Brands, Inc., 144A, 8.88%, due 08/01/18 (h) | 5,153,010 | ||||||||
4,802,588 | iHeartCommunications, Inc., 14.00%, due 02/01/21 (h) | 606,327 | ||||||||
1,899,000 | Momentive Performance Materials, Inc., 4.69%, due 04/24/22 | 2,054,528 | ||||||||
9,517,000 | Murray Energy Corp., 144A, 11.25%, due 04/15/21 | 6,757,070 | ||||||||
2,609,000 | TRU Taj LLC / TRU Taj Finance, Inc., 144A, 11.00%, due 01/22/19 (e) | 2,752,495 | ||||||||
10,573,000 | TRU Taj LLC / TRU Taj Finance, Inc., 144A, 12.00%, due 08/15/21 (e) | 7,401,100 | ||||||||
3,085,000 | Westmoreland Coal Co., 144A, 8.75%, due 01/01/22 | 832,950 | ||||||||
|
| |||||||||
Total Corporate Debt | 43,359,949 | |||||||||
|
| |||||||||
U.S. Government — 19.4% |
| |||||||||
165,032,544 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (i) | 164,044,069 | ||||||||
74,592,907 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (i) | 72,272,823 | ||||||||
246,250,276 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (i) | 243,701,201 | ||||||||
274,703,566 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (i) | 265,582,550 | ||||||||
13,906,080 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (i) | 13,458,297 | ||||||||
198,883,719 | U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (i) | 193,341,907 | ||||||||
208,972,868 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (i) | 226,585,906 | ||||||||
186,034,027 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (i) | 216,732,064 | ||||||||
43,050,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19 (a) | 43,076,563 | ||||||||
49,100,000 | U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20 (a) | 49,094,713 | ||||||||
43,750,000 | U.S. Treasury Note, 2.25%, due 03/31/20 (a) | 43,514,160 | ||||||||
145,250,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 (a) | 145,271,218 | ||||||||
78,000,000 | U.S. Treasury Note, 2.38%, due 04/30/20 | 77,701,407 | ||||||||
54,000,000 | U.S. Treasury Note, 2.50%, due 05/31/20 (a) | 53,886,094 |
68 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
U.S. Government — continued | ||||||||||
55,000,000 | U.S. Treasury Note, 2.50%, due 06/30/20 (a) | 54,871,094 | ||||||||
74,500,000 | U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.13%, due 07/31/20 (a) | 74,491,460 | ||||||||
47,000,000 | U.S. Treasury Note, 2.63%, due 07/31/20 | 46,988,984 | ||||||||
40,150,000 | U.S. Treasury Note, 2.63%, due 08/31/20 | 40,137,453 | ||||||||
|
| |||||||||
Total U.S. Government | 2,024,751,963 | |||||||||
|
| |||||||||
U.S. Government Agency — 3.2% |
| |||||||||
28,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.22%, 2.12%, due 11/09/18 | 28,008,141 | ||||||||
10,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.22%, 2.12%, due 02/01/19 | 10,002,605 | ||||||||
64,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.07%, due 11/25/19 | 63,961,080 | ||||||||
62,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.14%, 2.20%, due 12/26/19 | 62,033,693 | ||||||||
28,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.16%, 2.18%, due 02/07/20 | 28,004,510 | ||||||||
24,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 2.13%, due 02/10/20 | 23,986,660 | ||||||||
42,500,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.10%, due 04/13/20 | 42,473,503 | ||||||||
64,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 2.10%, due 05/22/20 | 63,979,532 | ||||||||
260,927 | Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.55%, due 05/20/62 | 261,205 | ||||||||
5,763,713 | Government National Mortgage Association, Series 17-12H, Class FE, Variable Rate, 1 mo. LIBOR + .20%, 2.30%, due 06/20/66 | 5,754,149 | ||||||||
1,781,204 | Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.37%, due 01/20/67 | 1,779,393 | ||||||||
1,732,933 | Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.30%, due 05/20/67 | 1,730,580 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 331,975,051 | |||||||||
|
| |||||||||
Total United States | 2,820,489,207 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $3,245,848,233) | 3,227,067,871 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 0.4% |
| |||||||||
United States — 0.4% |
| |||||||||
628,800 | Altaba, Inc.* (b) | 43,733,040 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $36,597,904) | 43,733,040 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 4.0% |
| |||||||||
Foreign Government Obligations — 1.4% |
| |||||||||
JPY | 1,100,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/22/18 | 9,901,762 | |||||||
JPY | 10,350,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/12/18 (a) | 93,174,685 | |||||||
GBP | 8,700,000 | United Kingdom Treasury Bill, Zero Coupon, due 09/10/18 | 11,277,696 | |||||||
GBP | 22,500,000 | United Kingdom Treasury Bill, Zero Coupon, due 11/19/18 | 29,123,603 | |||||||
|
| |||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (COST $143,593,198) | 143,477,746 | |||||||||
|
| |||||||||
Money Market Funds — 0.1% | ||||||||||
10,938,992 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (j) (k) | 10,938,992 | ||||||||
|
| |||||||||
Repurchase Agreements — 1.4% |
| |||||||||
149,999,882 | Nomura Securities International Inc. Repurchase Agreement, dated 8/31/18, maturing on 9/04/18 with a maturity value of $150,032,382 and an effective yield of 1.95%, collateralized by a U.S. Treasury Note with maturity date 11/15/26 and a market value of $152,918,145. | 149,999,882 | ||||||||
|
| |||||||||
TOTAL REPURCHASE AGREEMENTS (COST $149,999,882) | 149,999,882 | |||||||||
|
| |||||||||
U.S. Government — 1.0% | ||||||||||
50,490,000 | U.S. Treasury Bill, 1.91%, due 11/01/18 (j) (l) | 50,326,497 | ||||||||
4,000,000 | U.S. Treasury Note, 1.00%, due 11/30/18 | 3,989,351 | ||||||||
52,350,000 | U.S. Treasury Note, 1.38%, due 11/30/18 | 52,256,811 | ||||||||
|
| |||||||||
Total U.S. Government | 106,572,659 | |||||||||
|
| |||||||||
U.S. Government Agency — 0.1% | ||||||||||
5,500,000 | Federal Home Loan Banks, Zero Coupon, due 09/10/18 | 5,498,223 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCY (COST $5,497,367) | 5,498,223 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $416,640,811) | 416,487,502 | |||||||||
|
|
See accompanying notes to the financial statements. | 69 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
PURCHASED OPTIONS — 0.0%
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||
Equity Options — Puts — 0.0% | ||||||||||||||||||||
Mondelez International, Inc. | 35.00 | 09/21/18 | 3,100 | USD | 13,243,200 | 12,400 | ||||||||||||||
QUALCOMM, Inc. | 50.00 | 09/21/18 | 1,200 | USD | 8,245,200 | 1,200 | ||||||||||||||
Twitter, Inc. | 29.00 | 09/21/18 | 2,400 | USD | 8,443,200 | 14,400 | ||||||||||||||
Allergan Plc (c) | 180.00 | 10/19/18 | 400 | USD | 7,668,400 | 77,200 | ||||||||||||||
NXP Semiconductors NV (c) | 90.00 | 10/19/18 | 1,414 | USD | 13,169,996 | 332,290 | ||||||||||||||
Tesla, Inc. (c) | 365.00 | 10/19/18 | 180 | USD | 5,429,880 | 1,179,000 | ||||||||||||||
Texas Instruments, Inc. | 110.00 | 10/19/18 | 1,766 | USD | 19,849,840 | 393,818 | ||||||||||||||
Walt Disney Co. (The) | 95.00 | 10/19/18 | 315 | USD | 3,528,630 | 4,095 | ||||||||||||||
Colgate-Palmolive Co. (c) | 60.00 | 11/16/18 | 1,200 | USD | 7,969,200 | 54,000 | ||||||||||||||
Williams Cos, Inc. (The) (c) | 26.00 | 11/16/18 | 2,000 | USD | 5,918,000 | 44,000 | ||||||||||||||
Twenty-First Century Fox, Inc. (c) (g) | 40.00 | 01/18/19 | 9,406 | USD | 42,703,240 | 799,510 | ||||||||||||||
Walt Disney Co. (The) | 95.00 | 04/18/19 | 1,909 | USD | 21,384,618 | 263,442 | ||||||||||||||
| ||||||||||||||||||||
Total Equity Options — Puts | 3,175,355 | |||||||||||||||||||
|
TOTAL PURCHASED OPTIONS (COST $4,676,874) | 3,175,355 | |||||||||||||||||||||||
| ||||||||||||||||||||||||
TOTAL INVESTMENTS — 100.4% (Cost $10,493,419,330) | 10,494,690,927 | |||||||||||||||||||||||
| ||||||||||||||||||||||||
|
Shares | Description | Value ($) | ||||||||
SECURITIES SOLD SHORT — (3.3)% |
| |||||||||
Common Stocks — (3.3)% | ||||||||||
Brazil — (0.1)% | ||||||||||
(335,100 | ) | Pagseguro Digital Ltd – Class A * | (9,681,039 | ) | ||||||
|
| |||||||||
Canada — (0.2)% | ||||||||||
(70,500 | ) | Agnico Eagle Mines Ltd | (2,433,660 | ) | ||||||
(102,650 | ) | Algonquin Power & Utilities Corp * | (1,062,428 | ) | ||||||
(617,600 | ) | Barrick Gold Corp | (6,435,392 | ) | ||||||
(110,900 | ) | Cameco Corp | (1,154,469 | ) | ||||||
(266,500 | ) | Enbridge Inc | (9,106,305 | ) | ||||||
|
| |||||||||
Total Canada | (20,192,254 | ) | ||||||||
|
| |||||||||
China — (0.4)% | ||||||||||
(205,704 | ) | Alibaba Group Holding Ltd Sponsored ADR * | (36,000,257 | ) | ||||||
|
| |||||||||
Denmark — (0.0)% | ||||||||||
(2,044 | ) | AP Moller – Maersk A/S – Class A | (2,951,578 | ) | ||||||
|
| |||||||||
France — (0.1)% | ||||||||||
(62,754 | ) | DBV Technologies SA * | (2,785,582 | ) | ||||||
(23,091 | ) | Iliad SA * | (2,980,941 | ) | ||||||
(4,304 | ) | Wendel SA * | (637,249 | ) | ||||||
|
| |||||||||
Total France | (6,403,772 | ) | ||||||||
|
| |||||||||
Germany — (0.2)% | ||||||||||
(1,196,151 | ) | Deutsche Bank AG (Registered) | (13,484,753 | ) |
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
(371,655 | ) | thyssenkrupp AG | (8,587,959 | ) | ||||||
|
| |||||||||
Total Germany | (22,072,712 | ) | ||||||||
|
| |||||||||
Israel — (0.0)% | ||||||||||
(21,100 | ) | CyberArk Software Ltd * | (1,591,362 | ) | ||||||
|
| |||||||||
Italy — (0.2)% | ||||||||||
(45,768 | ) | Banco BPM SPA * | (103,233 | ) | ||||||
(413,476 | ) | Leonardo SPA * | (4,630,512 | ) | ||||||
(1,934,147 | ) | Saipem SPA * | (10,343,521 | ) | ||||||
|
| |||||||||
Total Italy | (15,077,266 | ) | ||||||||
|
| |||||||||
Japan — (0.5)% | ||||||||||
(64,100 | ) | Acom Co Ltd | (261,653 | ) | ||||||
(52 | ) | Advance Residence Investment Corp (REIT) | (132,777 | ) | ||||||
(50,000 | ) | Chugoku Electric Power Co Inc (The) | (624,231 | ) | ||||||
(1,522 | ) | Daiwa House Investment Corp (REIT) | (3,529,769 | ) | ||||||
(3,100 | ) | FP Corp | (174,558 | ) | ||||||
(125 | ) | GLP J-Reit | (125,200 | ) | ||||||
(19,200 | ) | Hokkaido Electric Power Co Inc | (130,877 | ) | ||||||
(168 | ) | Hulic Reit Inc (REIT) | (246,892 | ) | ||||||
(1,479 | ) | Invincible Investment Corp (REIT) | (640,650 | ) | ||||||
(7,800 | ) | Japan Lifeline Co Ltd | (149,372 | ) | ||||||
(17,500 | ) | Kansai Paint Co Ltd | (345,867 | ) | ||||||
(4,900 | ) | KDDI Corp | (129,555 | ) | ||||||
(60,600 | ) | Keikyu Corp | (1,047,138 | ) |
70 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
(145,400 | ) | Kyushu Electric Power Co Inc | (1,626,891 | ) | ||||||
(2,500 | ) | Lawson Inc | (146,591 | ) | ||||||
(16,000 | ) | Makino Milling Machine Co Ltd | (147,676 | ) | ||||||
(122,900 | ) | Mitsui OSK Lines Ltd | (3,301,322 | ) | ||||||
(30,300 | ) | Murata Manufacturing Co Ltd | (5,224,791 | ) | ||||||
(6,400 | ) | Nifco Inc | (175,579 | ) | ||||||
(16,700 | ) | Nippon Paint Holdings Co Ltd | (660,101 | ) | ||||||
(109 | ) | Nomura Real Estate Master Fund Inc (REIT) | (151,852 | ) | ||||||
(406,400 | ) | Orient Corp | (574,105 | ) | ||||||
(4,900 | ) | Royal Holdings Co Ltd | (121,458 | ) | ||||||
(9,400 | ) | Saizeriya Co Ltd | (188,330 | ) | ||||||
(7,400 | ) | Seibu Holdings Inc | (133,264 | ) | ||||||
(49,100 | ) | Seven Bank Ltd | (152,912 | ) | ||||||
(25,900 | ) | Shimano Inc | (3,996,365 | ) | ||||||
(690,635 | ) | Takeda Pharmaceutical Co Ltd | (28,772,658 | ) | ||||||
(90 | ) | United Urban Investment Corp (REIT) | (142,015 | ) | ||||||
(979,360 | ) | Yahoo Japan Corp | (3,363,814 | ) | ||||||
(15,400 | ) | Yoshinoya Holdings Co Ltd | (259,348 | ) | ||||||
|
| |||||||||
Total Japan | (56,677,611 | ) | ||||||||
|
| |||||||||
Netherlands — (0.0)% |
| |||||||||
(433,628 | ) | Altice NV * | (1,304,877 | ) | ||||||
|
| |||||||||
Singapore — (0.0)% |
| |||||||||
(232,900 | ) | NetLink NBN Trust | (134,094 | ) | ||||||
(63,200 | ) | UOL Group Ltd | (318,148 | ) | ||||||
|
| |||||||||
Total Singapore | (452,242 | ) | ||||||||
|
| |||||||||
Spain — (0.1)% |
| |||||||||
(1,723,272 | ) | Bankia SA | (6,455,519 | ) | ||||||
(128,274 | ) | Cellnex Telecom SA | (3,289,903 | ) | ||||||
(171,909 | ) | Ferrovial SA | (3,712,110 | ) | ||||||
|
| |||||||||
Total Spain | (13,457,532 | ) | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Switzerland — (0.1)% |
| |||||||||
(561,479 | ) | Credit Suisse Group AG (Registered) | (8,407,905 | ) | ||||||
(98,054 | ) | LafargeHolcim Ltd (Registered) * | (4,769,818 | ) | ||||||
|
| |||||||||
Total Switzerland | (13,177,723 | ) | ||||||||
|
| |||||||||
United Kingdom — (0.1)% |
| |||||||||
(77,059 | ) | Capita Plc | (148,690 | ) | ||||||
(2,124,934 | ) | Cobham Plc * | (3,434,448 | ) | ||||||
(300,904 | ) | GVC Holdings Plc | (4,298,842 | ) | ||||||
(2,202,087 | ) | Melrose Industries Plc | (6,373,253 | ) | ||||||
|
| |||||||||
Total United Kingdom | (14,255,233 | ) | ||||||||
|
| |||||||||
United States — (1.3)% |
| |||||||||
(180,519 | ) | Altice USA, Inc. – Class A | (3,234,900 | ) | ||||||
(36,535 | ) | Cigna Corp. | (6,881,002 | ) | ||||||
(297,620 | ) | Conagra Brands, Inc. | (10,937,535 | ) | ||||||
(214,192 | ) | CVS Health Corp. | (16,115,806 | ) | ||||||
(26,802 | ) | International Flavors & Fragrances, Inc. | (3,492,033 | ) | ||||||
(91,722 | ) | KLA-Tencor Corp. | (10,659,014 | ) | ||||||
(30 | ) | Lennar Corp. – A Shares | (1,265 | ) | ||||||
(282,268 | ) | Marathon Petroleum Corp. | (23,227,834 | ) | ||||||
(72 | ) | Marvell Technology Group Ltd. | (1,489 | ) | ||||||
(92,521 | ) | Oclaro, Inc. * | (882,650 | ) | ||||||
(268,546 | ) | Praxair, Inc. | (42,481,292 | ) | ||||||
(139,006 | ) | United Technologies Corp. | (18,307,090 | ) | ||||||
|
| |||||||||
Total United States | (136,221,910 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $349,350,301) | (349,517,368 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $349,350,301) | (349,517,368 | ) | ||||||||
Other Assets and Liabilities (net) — 2.9% | 306,742,750 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $10,451,916,309 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/05/2018 | JPM | AUD | 6,240,000 | USD | 4,612,640 | 126,891 | ||||||||||||||||
10/05/2018 | MSCI | AUD | 92,020,000 | USD | 67,561,084 | 1,410,664 | ||||||||||||||||
10/15/2018 | GS | AUD | 760,174 | USD | 561,478 | 14,982 | ||||||||||||||||
10/15/2018 | MSCI | AUD | 26,530,224 | USD | 19,638,044 | 565,234 | ||||||||||||||||
10/15/2018 | SSB | AUD | 2,488,918 | USD | 1,842,712 | 53,407 | ||||||||||||||||
09/05/2018 | MSCI | BRL | 63,953,694 | USD | 17,097,632 | 1,396,154 | ||||||||||||||||
10/02/2018 | MSCI | BRL | 28,932,473 | USD | 7,007,647 | (74,121 | ) |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
09/04/2018 | GS | CAD | 41,069,768 | USD | 31,340,684 | (130,403 | ) | |||||||||||||||
09/11/2018 | JPM | CAD | 8,992,000 | USD | 6,946,859 | 55,645 | ||||||||||||||||
10/12/2018 | BOA | CHF | 4,829,862 | USD | 4,888,121 | (110,959 | ) | |||||||||||||||
10/12/2018 | MSCI | CHF | 102,610,134 | USD | 104,060,028 | (2,145,116 | ) | |||||||||||||||
10/12/2018 | SSB | CHF | 185,307 | USD | 187,506 | (4,293 | ) | |||||||||||||||
09/19/2018 | BCLY | EUR | 2,730,000 | USD | 3,214,125 | 42,045 | ||||||||||||||||
09/19/2018 | GS | EUR | 7,859,000 | USD | 9,182,399 | 50,760 |
See accompanying notes to the financial statements. | 71 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Forward Currency Contracts — continued
Settlement | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
09/19/2018 | MSCI | EUR | 165,879,952 | USD | 193,930,478 | 1,188,927 | ||||||||||||||||
09/19/2018 | SSB | EUR | 16,696,056 | USD | 19,567,094 | 167,379 | ||||||||||||||||
09/10/2018 | BCLY | GBP | 8,700,000 | USD | 11,705,263 | 424,096 | ||||||||||||||||
09/14/2018 | JPM | GBP | 37,800,000 | USD | 50,759,125 | 1,736,729 | ||||||||||||||||
09/19/2018 | BCLY | GBP | 1,996,459 | USD | 2,624,982 | 35,254 | ||||||||||||||||
09/19/2018 | GS | GBP | 18,058,350 | USD | 23,779,599 | 355,024 | ||||||||||||||||
09/19/2018 | JPM | GBP | 60,685,470 | USD | 80,677,448 | 1,958,662 | ||||||||||||||||
09/19/2018 | SSB | GBP | 470,822 | USD | 618,464 | 7,732 | ||||||||||||||||
11/19/2018 | JPM | GBP | 22,500,000 | USD | 28,719,364 | (544,353 | ) | |||||||||||||||
09/07/2018 | GS | JPY | 1,057,519,452 | USD | 9,570,000 | 51,050 | ||||||||||||||||
09/07/2018 | MSCI | JPY | 1,152,106,851 | USD | 10,460,000 | 89,649 | ||||||||||||||||
09/18/2018 | BCLY | JPY | 4,859,218,327 | USD | 43,890,295 | 118,831 | ||||||||||||||||
09/18/2018 | GS | JPY | 3,458,472 | USD | 31,232 | 78 | ||||||||||||||||
09/18/2018 | JPM | JPY | 13,920,491,910 | USD | 126,905,718 | 1,511,000 | ||||||||||||||||
09/18/2018 | MSCI | JPY | 5,100,000,000 | USD | 46,531,679 | 591,272 | ||||||||||||||||
09/18/2018 | SSB | JPY | 86,550,104 | USD | 782,462 | 2,825 | ||||||||||||||||
09/25/2018 | MSCI | JPY | 13,140,000,000 | USD | 120,150,325 | 1,725,959 | ||||||||||||||||
10/01/2018 | BCLY | JPY | 11,100,000,000 | USD | 100,902,211 | 819,691 | ||||||||||||||||
10/09/2018 | MSCI | JPY | 5,533,000,000 | USD | 50,337,524 | 420,475 | ||||||||||||||||
10/15/2018 | JPM | JPY | 2,365,000,000 | USD | 21,149,554 | (196,093 | ) | |||||||||||||||
10/22/2018 | GS | JPY | 1,100,000,000 | USD | 9,869,011 | (64,266 | ) | |||||||||||||||
11/13/2018 | JPM | JPY | 10,350,000,000 | USD | 93,961,243 | 350,686 | ||||||||||||||||
11/19/2018 | JPM | JPY | 3,315,000,000 | USD | 30,222,608 | 227,614 | ||||||||||||||||
10/12/2018 | BOA | NOK | 144,724,782 | USD | 18,024,931 | 741,940 | ||||||||||||||||
10/12/2018 | GS | NOK | 25,228,402 | USD | 3,092,260 | 79,492 | ||||||||||||||||
09/05/2018 | BCLY | NZD | 24,230,000 | USD | 17,018,745 | 988,173 | ||||||||||||||||
09/05/2018 | JPM | NZD | 2,080,000 | USD | 1,410,529 | 34,400 | ||||||||||||||||
09/05/2018 | MSCI | NZD | 6,330,000 | USD | 4,308,875 | 120,946 |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
12/05/2018 | MSCI | NZD | 32,640,000 | USD | 21,628,733 | 29,208 | ||||||||||||||||
10/12/2018 | BCLY | SEK | 136,414,718 | USD | 15,689,726 | 729,882 | ||||||||||||||||
10/12/2018 | GS | SEK | 3,551,273 | USD | 403,769 | 14,320 | ||||||||||||||||
10/12/2018 | SSB | SEK | 54,036,947 | USD | 6,172,273 | 246,341 | ||||||||||||||||
09/04/2018 | BCLY | USD | 3,490,000 | CAD | 4,552,058 | (1,833 | ) | |||||||||||||||
09/04/2018 | JPM | USD | 2,870,000 | CAD | 3,774,197 | 22,105 | ||||||||||||||||
09/04/2018 | MSCI | USD | 25,331,806 | CAD | 32,743,513 | (240,992 | ) | |||||||||||||||
09/05/2018 | MSCI | USD | 16,360,023 | BRL | 63,953,694 | (658,524 | ) | |||||||||||||||
09/05/2018 | MSCI | USD | 21,624,163 | NZD | 32,640,000 | (29,535 | ) | |||||||||||||||
09/07/2018 | GS | USD | 8,830,000 | JPY | 988,860,611 | 70,938 | ||||||||||||||||
09/07/2018 | JPM | USD | 14,738,901 | JPY | 1,615,399,211 | (198,360 | ) | |||||||||||||||
09/07/2018 | MSCI | USD | 6,110,000 | JPY | 679,418,436 | 5,585 | ||||||||||||||||
09/14/2018 | BCLY | USD | 2,351,962 | GBP | 1,790,000 | (30,531 | ) | |||||||||||||||
09/14/2018 | GS | USD | 19,841,965 | GBP | 15,250,000 | (64,410 | ) | |||||||||||||||
09/14/2018 | JPM | USD | 5,021,054 | GBP | 3,870,000 | (2,094 | ) | |||||||||||||||
09/14/2018 | MSCI | USD | 4,018,309 | GBP | 3,020,000 | (101,705 | ) | |||||||||||||||
09/18/2018 | BCLY | USD | 11,080,167 | JPY | 1,214,803,800 | (137,307 | ) | |||||||||||||||
09/19/2018 | GS | USD | 15,631,570 | EUR | 13,570,469 | 136,418 | ||||||||||||||||
09/19/2018 | JPM | USD | 16,766,444 | EUR | 14,520,930 | 105,918 | ||||||||||||||||
09/19/2018 | MSCI | USD | 11,550,281 | GBP | 8,712,251 | (249,094 | ) | |||||||||||||||
10/05/2018 | BCLY | USD | 1,342,747 | AUD | 1,820,000 | (34,403 | ) | |||||||||||||||
10/05/2018 | JPM | USD | 52,367,149 | NOK | 426,265,978 | (1,476,646 | ) | |||||||||||||||
10/12/2018 | BOA | USD | 1,700,000 | CHF | 1,677,244 | 36,007 | ||||||||||||||||
11/05/2018 | BCLY | USD | 78,035,881 | SEK | 690,137,459 | (2,202,517 | ) | |||||||||||||||
12/03/2018 | GS | USD | 22,657,993 | CAD | 29,535,827 | 12,330 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 10,175,163 | |||||||||||||||||||||
|
|
Reverse Repurchase Agreements
Average balance outstanding | $ | (6,858,847 | ) | |
Average interest rate | (1.40 | )% | ||
Maximum balance outstanding | $ | (105,632,950 | ) |
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 reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
1,900 | Mini MSCI Emerging Markets | September 2018 | 100,215,500 | $ | (7,438,336 | ) | ||||||
|
|
|
| |||||||||
Sales | ||||||||||||
9,305 | S&P 500 E-Mini | September 2018 | 1,350,202,025 | $ | (54,588,163 | ) | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
72 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Written Options
Equity Options
Description | Exercise | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||
Equity Options – Calls | ||||||||||||||||||||||
Walt Disney Co. (The) | 115.00 | 04/18/19 | (1,561 | ) | USD | (6,151,300 | ) | (944,405 | ) | |||||||||||||
Equity Options – Puts | ||||||||||||||||||||||
Twenty-First Century Fox, Inc. (c) | 49.00 | 10/19/18 | (1,370 | ) | USD | (17,486,322 | ) | (616,500 | ) | |||||||||||||
|
| |||||||||||||||||||||
| TOTAL WRITTEN EQUITY OPTIONS (Premiums $1,184,920) | (1,560,905) | ||||||||||||||||||||
|
|
Swap Contracts
OTC Credit Default Swaps
Reference Entity | Counterparty | Notional | Annual Premium | Implied Credit Spread(1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract(2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||||||
Sears Roebuck Acceptance Corp. | GS | USD | 3,631,000 | 5.00 | % | 27.07% | N/A | 12/20/2018 | Quarterly | 926,914 | 223,979 | (702,935 | ) | |||||||||||||||||||||||||||
Sears Roebuck Acceptance Corp. | GS | USD | 1,365,000 | 0.00 | % | 60.50% | N/A | 12/20/2018 | At Maturity | — | 42,770 | 42,770 | ||||||||||||||||||||||||||||
Sears Roebuck Acceptance Corp. | GS | USD | 6,000,000 | 5.00 | % | 27.02% | N/A | 12/20/2019 | Quarterly | 960,000 | 1,128,166 | 168,166 | ||||||||||||||||||||||||||||
Sears Roebuck Acceptance Corp. | MSCI | USD | 685,000 | 0.00 | % | 60.50% | N/A | 06/20/2021 | Quarterly | — | 78,514 | 78,514 | ||||||||||||||||||||||||||||
Sears Roebuck Acceptance Corp. | MSCI | USD | 685,000 | 0.00 | % | 60.50% | N/A | 12/20/2021 | At Maturity | — | 82,002 | 82,002 | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 1,886,914 | $ | 1,555,431 | $ | (331,483 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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 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. |
(1) | As of August 31, 2018, 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. |
See accompanying notes to the financial statements. | 73 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received)($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
2.37% | 3 Month NZD Bank Bill Rate | NZD | 68,509,500 | 09/19/2023 | Quarterly | — | (102,512 | ) | (102,512 | ) | ||||||||||||||||||
2.41% | 3 Month NZD Bank Bill Rate | NZD | 68,509,500 | 09/19/2023 | Quarterly | — | (180,505 | ) | (180,505 | ) | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.37% | NZD | 422,286,000 | 09/19/2023 | Quarterly | 4,881 | 618,703 | 613,822 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 3.16% | NZD | 28,006,000 | 09/19/2028 | Quarterly | — | 533,598 | 533,598 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 3.02% | NZD | 132,589,000 | 09/19/2028 | Quarterly | (19,648 | ) | 1,432,066 | 1,451,714 | |||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.91% | NZD | 29,150,000 | 09/19/2028 | Quarterly | — | 128,500 | 128,500 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.88% | NZD | 29,150,000 | 09/19/2028 | Quarterly | — | 81,068 | 81,068 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.93% | NZD | 76,675,000 | 09/19/2028 | Quarterly | 126,397 | 427,120 | 300,723 | ||||||||||||||||||||
3 Month NZD Bank Bill Rate | 2.92% | NZD | 36,927,000 | 09/19/2028 | Quarterly | 38,460 | 184,244 | 145,784 | ||||||||||||||||||||
2.92% | 3 Month USD LIBOR | USD | 22,735,000 | 09/20/2028 | Quarterly | — | 7,395 | 7,395 | ||||||||||||||||||||
2.94% | 3 Month USD LIBOR | USD | 21,219,000 | 09/20/2028 | Quarterly | — | (29,375 | ) | (29,375 | ) | ||||||||||||||||||
2.95% | 3 Month USD LIBOR | USD | 23,578,000 | 09/20/2028 | Quarterly | — | (40,909 | ) | (40,909 | ) | ||||||||||||||||||
3 Month CAD LIBOR | 2.71% | CAD | 105,101,000 | 09/20/2028 | Semi-Annual | 34,688 | 610,445 | 575,757 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.74% | CAD | 36,200,000 | 09/20/2028 | Semi-Annual | — | 274,825 | 274,825 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.77% | CAD | 26,400,000 | 09/20/2028 | Semi-Annual | — | 258,380 | 258,380 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.76% | CAD | 50,772,000 | 09/20/2028 | Semi-Annual | — | 460,340 | 460,340 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.70% | CAD | 17,694,000 | 09/20/2028 | Semi-Annual | — | 93,059 | 93,059 | ||||||||||||||||||||
3 Month CAD LIBOR | 2.61% | CAD | 50,049,000 | 09/20/2028 | Semi-Annual | — | (52,657 | ) | (52,657 | ) | ||||||||||||||||||
3 Month USD LIBOR | 3.04% | USD | 37,458,000 | 09/20/2028 | Quarterly | (7,340 | ) | 385,188 | 392,528 | |||||||||||||||||||
3 Month USD LIBOR | 2.98% | USD | 4,734,000 | 09/20/2028 | Quarterly | — | 20,665 | 20,665 | ||||||||||||||||||||
3 Month USD LIBOR | 2.99% | USD | 56,848,000 | 09/20/2028 | Quarterly | — | 175,835 | 175,835 | ||||||||||||||||||||
3 Month USD LIBOR | 2.96% | USD | 40,754,000 | 09/20/2028 | Quarterly | — | 127,879 | 127,879 | ||||||||||||||||||||
3 Month USD LIBOR | 3.00% | USD | 25,386,000 | 09/20/2028 | Quarterly | — | 174,248 | 174,248 | ||||||||||||||||||||
3.02% | 3 Month USD LIBOR | USD | 10,034,000 | 09/20/2028 | Quarterly | — | (81,189 | ) | (81,189 | ) | ||||||||||||||||||
1.23% | 3 Month SEK STIBOR | SEK | 169,636,000 | 12/19/2028 | Quarterly | — | (40,568 | ) | (40,568 | ) | ||||||||||||||||||
3 Month SEK STIBOR | 1.20% | SEK | 98,380,000 | 12/19/2028 | Quarterly | — | (2,235 | ) | (2,235 | ) | ||||||||||||||||||
1.72% | 6 Month GBP LIBOR | GBP | 49,939,000 | 06/21/2028 | Semi-Annual | 4,591 | 59,425 | 54,834 | ||||||||||||||||||||
2.76% | 6 Month AUD BBSW | AUD | 94,793,000 | 09/19/2028 | Semi-Annual | (76,743 | ) | (418,642 | ) | (341,899 | ) | |||||||||||||||||
2.78% | 6 Month AUD BBSW | AUD | 56,647,000 | 09/19/2028 | Semi-Annual | (60,039 | ) | (323,856 | ) | (263,817 | ) | |||||||||||||||||
2.84% | 6 Month AUD BBSW | AUD | 215,875,000 | 09/19/2028 | Semi-Annual | 13,244 | (2,076,554 | ) | (2,089,798 | ) | ||||||||||||||||||
2.85% | 6 Month AUD BBSW | AUD | 26,122,000 | 09/19/2028 | Semi-Annual | — | (266,564 | ) | (266,564 | ) | ||||||||||||||||||
2.88% | 6 Month AUD BBSW | AUD | 14,242,000 | 09/19/2028 | Semi-Annual | — | (174,047 | ) | (174,047 | ) | ||||||||||||||||||
2.88% | 6 Month AUD BBSW | AUD | 36,556,000 | 09/19/2028 | Semi-Annual | — | (444,362 | ) | (444,362 | ) | ||||||||||||||||||
0.93% | 6 Month EURIBOR | EUR | 11,804,000 | 09/20/2028 | Semi-Annual | — | (66,236 | ) | (66,236 | ) | ||||||||||||||||||
0.94% | 6 Month EURIBOR | EUR | 11,803,000 | 09/20/2028 | Semi-Annual | — | (73,623 | ) | (73,623 | ) | ||||||||||||||||||
1.01% | 6 Month EURIBOR | EUR | 12,497,000 | 09/20/2028 | Semi-Annual | — | (176,149 | ) | (176,149 | ) | ||||||||||||||||||
1.09% | 6 Month EURIBOR | EUR | 16,246,000 | 09/20/2028 | Semi-Annual | — | (393,650 | ) | (393,650 | ) | ||||||||||||||||||
1.58% | 6 Month GBP LIBOR | GBP | 81,459,000 | 09/20/2028 | Semi-Annual | — | (322,674 | ) | (322,674 | ) | ||||||||||||||||||
1.61% | 6 Month GBP LIBOR | GBP | 151,620,000 | 09/20/2028 | Semi-Annual | — | (1,057,627 | ) | (1,057,627 | ) | ||||||||||||||||||
6 Month CHF LIBOR | 0.45% | CHF | 37,710,000 | 09/20/2028 | Semi-Annual | — | 191,730 | 191,730 | ||||||||||||||||||||
6 Month CHF LIBOR | 0.44% | CHF | 29,603,000 | 09/20/2028 | Semi-Annual | — | 116,703 | 116,703 | ||||||||||||||||||||
6 Month EURIBOR | 0.98% | EUR | 25,356,000 | 09/20/2028 | Semi-Annual | — | 277,995 | 277,995 | ||||||||||||||||||||
6 Month EURIBOR | 1.00% | EUR | 13,330,000 | 09/20/2028 | Semi-Annual | — | 186,373 | 186,373 | ||||||||||||||||||||
6 Month EURIBOR | 1.00% | EUR | 29,782,000 | 09/20/2028 | Semi-Annual | 19,154 | 401,134 | 381,980 | ||||||||||||||||||||
6 Month EURIBOR | 0.96% | EUR | 33,701,000 | 09/20/2028 | Semi-Annual | — | 296,568 | 296,568 | ||||||||||||||||||||
6 Month EURIBOR | 0.94 | EUR | 1,445,000 | 09/20/2028 | Semi-Annual | — | 9,178 | 9,178 | ||||||||||||||||||||
2.77% | 6 Month AUD BBSW | AUD | 26,955,000 | 12/19/2028 | Semi-Annual | — | (83,674 | ) | (83,674 | ) | ||||||||||||||||||
2.83% | 6 Month AUD BBSW | AUD | 27,973,000 | 12/19/2028 | Semi-Annual | — | (192,676 | ) | (192,676 | ) | ||||||||||||||||||
6 Month EURIBOR | 0.97% | EUR | 16,098,000 | 12/20/2028 | Semi-Annual | — | 62,583 | 62,583 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 77,645 | $ | 994,963 | $ | 917,318 | |||||||||||||||||||||||
|
|
|
|
|
|
74 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 21,710,774 | 05/18/2020 | Monthly | — | (125,547 | ) | (125,547 | ) | |||||||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 15,452,438 | 05/18/2020 | Monthly | — | (1,170,848 | ) | (1,170,848 | ) | |||||||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.75% | MORD | USD | 706,578 | 05/18/2020 | Monthly | — | (76,915 | ) | (76,915 | ) | |||||||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 1.75% | MORD | USD | 9,945,838 | 05/18/2020 | Monthly | — | (268,259 | ) | (268,259 | ) | |||||||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.75% | MORD | USD | 1,930,189 | 05/18/2020 | Monthly | — | (149,891 | ) | (149,891 | ) | |||||||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.90% | MORD | USD | 816,294 | 05/18/2020 | Monthly | — | 4,498 | 4,498 | |||||||||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 713,683 | 05/18/2020 | Monthly | — | (51,895 | ) | (51,895 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | — | $ | (1,838,857 | ) | $ | (1,838,857 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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 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 (Note 4). |
(b) | All or a portion of this security is out on loan (Note 2). |
(c) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
(d) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(e) | Investment valued using significant unobservable inputs (Note 2). |
(f) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(g) | 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 (Note 2). |
(h) | Security is in default. |
(i) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(j) | 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. |
(k) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(l) | The rate shown represents yield-to-maturity. |
(m) | Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
See accompanying notes to the financial statements. | 75 |
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.7 | % | ||
Preferred Stocks | 0.8 | |||
Short-Term Investments | 1.0 | |||
Investment Funds | 0.2 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.1 | ) | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 25.1 | % | ||
United Kingdom | 14.1 | |||
Germany | 11.1 | |||
France | 7.1 | |||
Sweden | 5.2 | |||
Other Emerging | 5.1 | † | ||
Switzerland | 4.7 | |||
Australia | 4.5 | |||
Italy | 4.2 | |||
Norway | 3.4 | |||
Hong Kong | 3.1 | |||
Netherlands | 2.5 | |||
Other Developed | 2.4 | ‡ | ||
China | 2.3 | |||
Taiwan | 2.2 | |||
Denmark | 1.5 | |||
Russia | 1.5 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
76
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
1,994,003 | GMO Emerging Markets Fund, Class VI | 63,987,561 | ||||||||
25,654,645 | GMO International Equity Fund, Class IV | 571,072,393 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $648,982,688) | 635,059,954 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
Money Market Funds — 0.0% |
| |||||||||
241,796 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (a) | 241,796 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $241,796) | 241,796 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $649,224,484) | 635,301,750 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (59,275 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $635,242,475 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
See accompanying notes to the financial statements. | 77 |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.2 | % | ||
Short-Term Investments | 1.4 | |||
Preferred Stocks | 1.3 | |||
Investment Funds | 0.7 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.2 | ) | ||
Other | 0.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 18.0 | % | ||
United Kingdom | 10.3 | |||
Germany | 8.0 | |||
China | 7.7 | |||
Taiwan | 7.5 | |||
France | 5.1 | |||
Russia | 4.9 | |||
Other Emerging | 4.9 | † | ||
Sweden | 3.8 | |||
Switzerland | 3.4 | |||
Australia | 3.2 | |||
Italy | 3.0 | |||
Korea | 2.9 | |||
Norway | 2.4 | |||
Hong Kong | 2.2 | |||
Thailand | 2.1 | |||
South Africa | 1.8 | |||
Netherlands | 1.8 | |||
Other Developed | 1.7 | ‡ | ||
India | 1.6 | |||
Turkey | 1.5 | |||
Mexico | 1.1 | |||
Denmark | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
78
GMO International Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
10,984,300 | GMO Emerging Markets Fund, Class VI | 352,486,183 | ||||||||
29,993,948 | GMO International Equity Fund, Class IV | 667,665,290 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,028,871,672) | 1,020,151,473 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
Money Market Funds — 0.0% |
| |||||||||
356,878 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (a) | 356,878 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $356,878) | 356,878 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,029,228,550) | 1,020,508,351 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (62,735 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,020,445,616 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
See accompanying notes to the financial statements. | 79 |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 65.2 | % | ||
Short-Term Investments | 35.8 | |||
Forward Currency Contracts | (0.5 | ) | ||
Futures Contracts | (2.0 | )# | ||
Other | 1.5 | |||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund. |
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. The exposure the Fund has to futures contracts based on notional amounts is 12.7% of net assets. |
# | Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments. |
80
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 65.2% |
| |||||||||
United States — 65.2% |
| |||||||||
U.S. Government — 44.8% | ||||||||||
67,858,800 | U.S. Treasury Note, 0.75%, due 10/31/18 | 67,723,085 | ||||||||
38,862,300 | U.S. Treasury Note, 1.25%, due 11/30/18 | 38,781,696 | ||||||||
30,258,800 | U.S. Treasury Note, 1.50%, due 12/31/18 (a) | 30,192,716 | ||||||||
33,100,000 | U.S. Treasury Note, 1.25%, due 01/31/19 | 32,965,531 | ||||||||
22,207,000 | U.S. Treasury Note, 0.75%, due 02/15/19 | 22,058,664 | ||||||||
41,500,000 | U.S. Treasury Note, 1.13%, due 05/31/19 (a) | 41,117,422 | ||||||||
27,758,800 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19 | 27,775,928 | ||||||||
209,991,300 | U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20 (b) | 209,968,688 | ||||||||
227,697,400 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 (b) | 227,730,662 | ||||||||
70,258,800 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20 (a) | 70,250,746 | ||||||||
|
| |||||||||
Total U.S. Government | 768,565,138 | |||||||||
|
| |||||||||
U.S. Government Agency — 20.4% |
| |||||||||
27,760,000 | Federal Home Loan Banks, 0.88%, due 10/01/18 | 27,732,823 | ||||||||
29,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.25%, 2.09%, due 10/18/18 | 29,000,817 | ||||||||
13,880,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .09%, 1.98%, due 01/14/19 | 13,880,920 | ||||||||
55,520,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.18%, due 01/28/19 | 55,548,963 | ||||||||
9,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.23%, 2.11%, due 02/13/19 | 9,000,769 | ||||||||
13,880,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .08%, 1.99%, due 04/26/19 | 13,880,723 | ||||||||
19,500,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.19%, 2.16%, due 05/10/19 | 19,506,638 | ||||||||
15,000,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.17%, due 06/12/19 | 15,008,036 | ||||||||
75,000,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.09%, 1.98%, due 07/12/19 | 74,993,262 | ||||||||
15,500,000 | Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.07%, 2.00%, due 01/23/20 | 15,494,024 | ||||||||
30,530,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.18%, due 02/07/20 | 30,534,918 |
Par Value† / Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
U.S. Government Agency — continued | ||||||||||
44,410,000 | Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .23%, 2.11%, due 05/04/20 | 44,384,861 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 348,966,754 | |||||||||
|
| |||||||||
Total United States | 1,117,531,892 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,117,596,937) | 1,117,531,892 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 35.8% |
| |||||||||
Foreign Government Obligation — 1.0% |
| |||||||||
JPY | 1,911,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/26/18 | 17,204,641 | |||||||
|
| |||||||||
Total Foreign Government Obligations | 17,204,641 | |||||||||
|
| |||||||||
Money Market Funds — 2.1% |
| |||||||||
6,345,378 | SSgA USD Liquidity Fund-Class S2 Shares (a) | 6,345,378 | ||||||||
29,610,205 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% (c) | 29,610,205 | ||||||||
|
| |||||||||
Total Money Market Funds | 35,955,583 | |||||||||
|
| |||||||||
U.S. Government — 32.7% |
| |||||||||
9,000,000 | U.S. Treasury Bill, 1.84%, due 10/18/18 (a) (d) | 8,978,220 | ||||||||
57,000,000 | U.S. Treasury Bill, 1.88%, due 10/25/18 (a) (d) | 56,839,307 | ||||||||
71,500,000 | U.S. Treasury Bill, 1.96%, due 11/08/18 (a) (b) (d) | 71,236,642 | ||||||||
11,686,400 | U.S. Treasury Bill, 0.64%, due 09/06/18 (d) | 11,685,175 | ||||||||
14,500,000 | U.S. Treasury Bill, 1.34%, due 09/13/18 (a) (d) | 14,493,085 | ||||||||
11,000,000 | U.S. Treasury Bill, 1.55%, due 09/20/18 (a) (d) | 10,990,662 | ||||||||
34,976,000 | U.S. Treasury Bill, 1.65%, due 09/27/18 (d) | 34,933,487 | ||||||||
71,284,700 | U.S. Treasury Bill, 1.73%, due 10/04/18 (a) (d) | 71,169,753 | ||||||||
136,573,100 | U.S. Treasury Bill, 1.80%, due 10/11/18 (d) | 136,297,631 | ||||||||
56,000,000 | U.S. Treasury Bill, 2.10%, due 01/03/19 (a) (d) | 55,600,498 | ||||||||
9,438,000 | U.S. Treasury Bill, 2.18%, due 01/31/19 (d) | 9,352,648 | ||||||||
23,872,500 | U.S. Treasury Bill, 2.18%, due 02/07/19 (d) | 23,646,338 |
See accompanying notes to the financial statements. | 81 |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
U.S. Government — continued |
| |||||||||
55,517,500 | U.S. Treasury Note, 1.00%, due 11/30/18 | 55,369,707 | ||||||||
|
| |||||||||
Total U.S. Government | 560,593,153 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $613,677,979) | 613,753,377 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.0% (Cost $1,731,274,916) | 1,731,285,269 | |||||||||
Other Assets and Liabilities (net) — (1.0%) | (16,495,358 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,714,789,911 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
09/19/2018 | SSB | AUD | 102,750,000 | USD | 75,897,829 | 2,032,504 | ||||||||||||||||
10/16/2018 | UBS | AUD | 79,774,269 | USD | 58,004,270 | 653,543 | ||||||||||||||||
10/22/2018 | UBS | AUD | 157,162,355 | USD | 114,111,657 | 1,122,009 | ||||||||||||||||
11/16/2018 | MSCI | AUD | 70,000,000 | USD | 50,879,360 | 547,492 | ||||||||||||||||
09/24/2018 | MSCI | CHF | 85,373,867 | USD | 85,768,832 | (2,455,763 | ) | |||||||||||||||
09/25/2018 | UBS | CHF | 57,000,000 | USD | 57,618,127 | (1,290,301 | ) | |||||||||||||||
10/22/2018 | UBS | CHF | 99,690,828 | USD | 101,005,925 | (2,270,735 | ) | |||||||||||||||
10/29/2018 | DB | CHF | 44,882,135 | USD | 45,869,710 | (656,201 | ) | |||||||||||||||
10/22/2018 | UBS | EUR | 124,456,632 | USD | 142,237,129 | (2,745,264 | ) | |||||||||||||||
11/20/2018 | MSCI | EUR | 110,000,000 | USD | 125,944,500 | (2,486,926 | ) | |||||||||||||||
09/20/2018 | SSB | GBP | 95,120,889 | USD | 121,216,829 | (2,175,386 | ) | |||||||||||||||
09/18/2018 | JPM | JPY | 300,000,000 | USD | 2,729,889 | 27,512 | ||||||||||||||||
11/26/2018 | BCLY | JPY | 1,911,000,000 | USD | 17,315,760 | 16,126 | ||||||||||||||||
09/17/2018 | SSB | NZD | 109,830,399 | USD | 74,327,173 | 1,663,605 | ||||||||||||||||
09/11/2018 | JPM | USD | 1,745,917 | CAD | 2,275,578 | (1,979 | ) | |||||||||||||||
09/11/2018 | MSCI | USD | 27,486,095 | CAD | 35,952,915 | 67,200 | ||||||||||||||||
09/18/2018 | DB | USD | 16,079,651 | JPY | 1,803,847,369 | 169,267 | ||||||||||||||||
09/19/2018 | JPM | USD | 15,791,814 | AUD | 21,474,796 | (353,928 | ) | |||||||||||||||
09/19/2018 | MSCI | USD | 10,486,103 | AUD | 14,374,796 | (152,293 | ) | |||||||||||||||
09/24/2018 | JPM | USD | 2,069,799 | CHF | 2,000,000 | (3,017 | ) | |||||||||||||||
09/28/2018 | UBS | USD | 16,360,221 | JPY | 1,808,720,583 | (55,553 | ) | |||||||||||||||
10/09/2018 | DB | USD | 1,745,336 | JPY | 194,098,149 | 5,758 | ||||||||||||||||
10/22/2018 | MSCI | USD | 60,855,453 | JPY | 6,717,346,597 | (196,122 | ) | |||||||||||||||
10/22/2018 | SSB | USD | 60,882,755 | JPY | 6,717,346,597 | (223,425 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (8,761,877 | ) | ||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
837 | Australian Government Bond 10 Yr. | September 2018 | 79,049,942 | 1,799,492 | ||||||||
1,705 | CAC40 10 Euro | September 2018 | 107,309,513 | 276,610 | ||||||||
1,222 | Crude Oil (a) | September 2018 | 85,295,600 | 3,282,046 | ||||||||
17 | DAX Index | September 2018 | 6,103,823 | 2,177 | ||||||||
3,653 | FTSE 100 Index | September 2018 | 353,289,421 | (8,683,011 | ) | |||||||
871 | Hang Seng Index | September 2018 | 154,162,449 | (1,896,827 | ) | |||||||
5,076 | Mini MSCI Emerging Markets | September 2018 | 267,733,620 | (16,923,878 | ) | |||||||
246 | MSCI Singapore | September 2018 | 6,521,395 | (71,363 | ) | |||||||
776 | SPI 200 | September 2018 | 88,629,193 | 2,776,238 | ||||||||
72 | TOPIX | September 2018 | 11,246,641 | (8,530 | ) | |||||||
446 | U.S. Treasury Note 10 Yr. (CBT) | December 2018 | 53,638,469 | (45,975 | ) | |||||||
|
|
|
| |||||||||
$ | 1,212,980,066 | $ | (19,493,021 | ) | ||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
1,309 | Corn (a) | December 2018 | 23,889,250 | 2,222,803 | ||||||||
13 | Euro Bund | September 2018 | 2,469,540 | (9,777 | ) | |||||||
915 | FTSE/JSE TOP 40 | September 2018 | 32,587,520 | (838,567 | ) | |||||||
251 | Japanese Government Bond 10 Yr. (OSE) | September 2018 | 340,399,161 | 595,948 | ||||||||
2,955 | S&P 500 E-Mini | September 2018 | 428,785,275 | (17,462,549 | ) | |||||||
70 | Silver (a) | December 2018 | 5,094,950 | 78,056 | ||||||||
1,014 | UK Gilt Long Bond | December 2018 | 161,224,395 | (64,458 | ) | |||||||
|
|
|
| |||||||||
$ | 994,450,091 | $ | (15,478,544 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2018, 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.
82 | See accompanying notes to the financial statements. |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund. |
(b) | 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 (Note 4). |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(d) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
See accompanying notes to the financial statements. | 83 |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 73.6 | % | ||
Short-Term Investments | 26.3 | |||
Written Options | (0.1 | ) | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 1.2 | % | ||
|
| |||
1.2 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments % of Total Net Assets | |||
United States | 57.6 | % | ||
United Kingdom | 7.2 | |||
Netherlands | 4.8 | |||
Germany | 4.0 | |||
Other Developed | 0.0 | ‡ | ||
|
| |||
73.6 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Diversified Financials | 27.3 | % | ||
Retailing | 21.8 | |||
Automobiles & Components | 10.0 | |||
Banks | 9.8 | |||
Commercial & Professional Services | 9.4 | |||
Software & Services | 6.4 | |||
Capital Goods | 5.5 | |||
Real Estate | 5.2 | |||
Consumer Services | 4.6 | |||
Energy | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with GMO Special Opportunities Fund. |
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
84
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 73.6% |
| |||||||||
Canada — 0.0% |
| |||||||||
6,000,000 | Jagercor Energy Corp * (a) (b) | 45,977 | ||||||||
|
| |||||||||
Germany — 4.0% |
| |||||||||
302,500 | Brenntag AG | 18,234,282 | ||||||||
|
| |||||||||
Netherlands — 4.8% |
| |||||||||
325,000 | InterXion Holding NV * | 21,427,250 | ||||||||
|
| |||||||||
United Kingdom — 7.2% |
| |||||||||
905,000 | Metro Bank Plc * | 32,732,492 | ||||||||
|
| |||||||||
United States — 57.6% |
| |||||||||
710,000 | Ally Financial, Inc. | 19,084,800 | ||||||||
94,500 | Berkshire Hathaway, Inc. – Class B * | 19,724,040 | ||||||||
223,800 | Cimpress NV * | 31,332,000 | ||||||||
46,500 | Credit Acceptance Corp. * | 21,237,015 | ||||||||
920,000 | General Motors Co. | 33,166,000 | ||||||||
498,772 | Interactive Brokers Group, Inc. – Class A | 31,003,668 | ||||||||
865,000 | Redfin Corp. * (c) | 17,135,650 | ||||||||
255,000 | Shake Shack, Inc. – Class A * | 15,414,750 | ||||||||
536,066 | Wayfair, Inc. – Class A * | 72,460,041 | ||||||||
|
| |||||||||
Total United States | 260,557,964 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $216,949,506) | 332,997,965 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 26.3% |
| |||||||||
Money Market Funds — 2.7% |
| |||||||||
12,399,578 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (d) (e) | 12,399,578 | ||||||||
|
| |||||||||
U.S. Government — 23.6% |
| |||||||||
9,000,000 | U.S. Treasury Bill, 1.84%, due 10/18/18 (f) | 8,978,220 | ||||||||
46,000,000 | U.S. Treasury Bill, 1.96%, due 11/08/18 (f) (g) | 45,830,567 | �� | |||||||
52,000,000 | U.S. Treasury Bill, 2.03%, due 12/13/18 (f) | 51,700,277 | ||||||||
|
| |||||||||
Total U.S. Government | 106,509,064 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $118,902,976) | 118,908,642 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $335,852,482) | 451,906,607 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 441,172 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $452,347,779 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Written Options
Equity Options
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||||
Equity Options — Puts | ||||||||||||||||||||||||
Redfin Corp. (c) | 17.50 | 11/16/18 | (2,300 | ) | USD | 4,556,300 | (184,000 | ) | ||||||||||||||||
Redfin Corp. (c) | 19.00 | 09/21/18 | (1,000 | ) | USD | 1,981,000 | (45,000 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
| TOTAL WRITTEN EQUITY OPTIONS – PUTS (Premiums $369,592) | $ | (229,000 | ) | ||||||||||||||||||||
|
|
As of August 31, 2018, 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) | Investment valued using significant unobservable inputs (Note 2). |
(b) | Affiliated company (Note 10). |
(c) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(e) | All or a portion of this security is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund. |
(f) | The rate shown represents yield-to-maturity. |
(g) | 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 (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
See accompanying notes to the financial statements. | 85 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2018 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 70.5 | % | ||
Debt Obligations | 20.6 | |||
Short-Term Investments | 9.6 | |||
Mutual Funds | 1.6 | |||
Preferred Stocks | 0.7 | |||
Investment Funds | 0.5 | |||
Swap Contracts | 0.1 | |||
Loan Participations | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Futures Contracts | (0.1 | ) | ||
Securities Sold Short | (2.2 | ) | ||
Other | (1.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 14.3 | % | ||
Other Emerging | 2.4 | † | ||
Euro Region | 0.0 | ^# | ||
Other Developed | (0.1 | )‡ | ||
|
| |||
16.6 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 19.9 | % | ||
Japan | 7.5 | |||
Other Emerging | 5.2 | † | ||
United Kingdom | 5.0 | |||
Taiwan | 4.8 | |||
China | 4.6 | |||
Germany | 3.4 | |||
Russia | 3.1 | |||
Other Developed | 2.9 | ‡ | ||
France | 2 | |||
Switzerland | 1.8 | |||
South Korea | 1.7 | |||
Sweden | 1.6 | |||
Italy | 1.3 | |||
Australia | 1.3 | |||
Thailand | 1.3 | |||
South Africa | 1.1 | |||
Norway | 1.0 | |||
|
| |||
69.5 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
# | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
^ | Rounds to 0.0%. |
86
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 9.8% |
| |||||||||
Australia — 0.1% |
| |||||||||
11,400 | Caltex Australia Ltd | 247,725 | ||||||||
15,100 | Costa Group Holdings Ltd | 78,606 | ||||||||
29,870 | Downer EDI Ltd | 166,175 | ||||||||
2,400 | Macquarie Group Ltd | 224,480 | ||||||||
9,804 | Mineral Resources Ltd | 106,794 | ||||||||
65,069 | Nine Entertainment Co Holdings Ltd | 113,059 | ||||||||
15,300 | OZ Minerals Ltd | 99,478 | ||||||||
15,200 | Sandfire Resources NL | 77,507 | ||||||||
|
| |||||||||
Total Australia | 1,113,824 | |||||||||
|
| |||||||||
Austria — 0.0% |
| |||||||||
600 | Oesterreichische Post AG | 26,513 | ||||||||
4,007 | OMV AG | 212,439 | ||||||||
|
| |||||||||
Total Austria | 238,952 | |||||||||
|
| |||||||||
Belgium — 0.0% |
| |||||||||
4,800 | AGFA-Gevaert NV * | 21,079 | ||||||||
700 | Orange Belgium SA | 10,581 | ||||||||
|
| |||||||||
Total Belgium | 31,660 | |||||||||
|
| |||||||||
Brazil — 0.2% |
| |||||||||
132,900 | Banco do Brasil SA | 982,124 | ||||||||
39,300 | Banco Santander Brasil SA | 333,844 | ||||||||
72,100 | Cia de Saneamento Basico do Estado de Sao Paulo | 431,917 | ||||||||
12,700 | Estacio Participacoes SA | 70,280 | ||||||||
66,500 | JBS SA | 153,470 | ||||||||
22,600 | Localiza Rent a Car SA | 119,461 | ||||||||
16,700 | Petrobras Distribuidora SA | 81,100 | ||||||||
|
| |||||||||
Total Brazil | 2,172,196 | |||||||||
|
| |||||||||
Canada — 0.3% |
| |||||||||
9,400 | Bank of Montreal | 770,512 | ||||||||
300 | Bank of Nova Scotia (The) | 17,363 | ||||||||
1,900 | BRP Inc Sub Voting | 99,179 | ||||||||
3,100 | Canadian Imperial Bank of Commerce | 290,521 | ||||||||
800 | Canfor Pulp Products Inc | 16,779 | ||||||||
300 | Constellation Software Inc | 228,756 | ||||||||
4,800 | Dollarama Inc | 181,517 | ||||||||
4,600 | Magna International Inc | 249,070 | ||||||||
3,300 | Royal Bank of Canada | 262,129 | ||||||||
1,700 | Sun Life Financial Inc | 67,558 | ||||||||
9,900 | Toronto-Dominion Bank (The) | 596,655 | ||||||||
|
| |||||||||
Total Canada | 2,780,039 | |||||||||
|
| |||||||||
China — 0.4% |
| |||||||||
100,000 | Agile Group Holdings Ltd | 163,558 | ||||||||
2,411,000 | Agricultural Bank of China Ltd – Class H | 1,168,313 | ||||||||
85,500 | BAIC Motor Corp Ltd – Class H | 71,936 | ||||||||
36,000 | China Communications Services Corp Ltd – Class H | 29,826 | ||||||||
14,000 | China Lilang Ltd | 15,529 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
1,544,000 | China Petroleum & Chemical Corp – Class H | 1,553,552 | ||||||||
71,000 | China Resources Pharmaceutical Group Ltd | 113,620 | ||||||||
34,000 | China Shineway Pharmaceutical Group Ltd | 48,048 | ||||||||
120,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 64,726 | ||||||||
8,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 29,475 | ||||||||
165,200 | Guangzhou R&F Properties Co Ltd – Class H | 333,849 | ||||||||
26,000 | Hua Hong Semiconductor Ltd | 70,990 | ||||||||
7,000 | JNBY Design Ltd | 11,928 | ||||||||
23,000 | Kingboard Holdings Ltd | 81,878 | ||||||||
24,000 | Powerlong Real Estate Holdings Ltd | 12,274 | ||||||||
9,000 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 23,641 | ||||||||
101,000 | Shimao Property Holdings Ltd | 301,623 | ||||||||
44,000 | SSY Group Ltd | 40,939 | ||||||||
50,000 | Tianneng Power International Ltd | 62,149 | ||||||||
27,000 | XTEP International Holdings Ltd | 18,040 | ||||||||
4,600 | YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H | 21,094 | ||||||||
113,000 | Yuzhou Properties Co Ltd | 60,132 | ||||||||
|
| |||||||||
Total China | 4,297,120 | |||||||||
|
| |||||||||
Denmark — 0.0% |
| |||||||||
2,200 | Novo Nordisk A/S Sponsored ADR | 108,174 | ||||||||
4,900 | Novo Nordisk A/S – Class B | 241,208 | ||||||||
|
| |||||||||
Total Denmark | 349,382 | |||||||||
|
| |||||||||
France — 0.2% |
| |||||||||
1,240 | Christian Dior SE | 535,004 | ||||||||
5,500 | CNP Assurances | 127,120 | ||||||||
1,868 | Coface SA | 17,526 | ||||||||
200 | L’Oreal SA | 47,881 | ||||||||
2,700 | Metropole Television SA | 53,457 | ||||||||
1,200 | Sanofi | 103,048 | ||||||||
2,000 | Sanofi ADR(a) | 85,700 | ||||||||
17,200 | STMicroelectronics NV – NY Shares (Registered) | 355,868 | ||||||||
19,000 | STMicroelectronics NV | 392,019 | ||||||||
|
| |||||||||
Total France | 1,717,623 | |||||||||
|
| |||||||||
Germany — 0.3% |
| |||||||||
5,481 | Allianz SE (Registered) | 1,168,230 | ||||||||
1,100 | BASF SE | 101,646 | ||||||||
6,490 | Bayerische Motoren Werke AG | 628,276 | ||||||||
228 | Bechtle AG | 23,746 | ||||||||
1,500 | Covestro AG | 127,712 | ||||||||
4,975 | Daimler AG (Registered Shares) | 321,735 | ||||||||
22,600 | Deutsche Lufthansa AG (Registered) | 590,483 | ||||||||
500 | Deutsche Pfandbriefbank AG | 7,319 | ||||||||
100 | Henkel AG & Co KGaA | 11,158 | ||||||||
400 | Jenoptik AG | 15,737 | ||||||||
1,600 | RHOEN-KLINIKUM AG | 42,016 | ||||||||
900 | Software AG | 44,382 |
See accompanying notes to the financial statements. | 87 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
1,100 | Volkswagen AG | 177,066 | ||||||||
|
| |||||||||
Total Germany | 3,259,506 | |||||||||
|
| |||||||||
Hong Kong — 0.1% |
| |||||||||
22,600 | Champion (REIT) | 16,623 | ||||||||
1,900 | CK Asset Holdings Ltd | 13,550 | ||||||||
18,500 | Dah Sing Banking Group Ltd | 38,158 | ||||||||
3,600 | Dah Sing Financial Holdings Ltd | 22,391 | ||||||||
19,400 | Hysan Development Co Ltd | 99,547 | ||||||||
21,400 | Kerry Properties Ltd | 81,156 | ||||||||
7,200 | Luk Fook Holdings International Ltd | 25,054 | ||||||||
12,700 | Pacific Textiles Holdings Ltd | 9,630 | ||||||||
111,400 | SJM Holdings Ltd | 126,128 | ||||||||
348,600 | WH Group Ltd | 263,273 | ||||||||
26,900 | Wharf Holdings Ltd (The) | 76,820 | ||||||||
17,600 | Wharf Real Estate Investment Co Ltd | 116,773 | ||||||||
13,400 | Wheelock & Co Ltd | 84,140 | ||||||||
8,500 | Yue Yuen Industrial Holdings Ltd | 23,564 | ||||||||
|
| |||||||||
Total Hong Kong | 996,807 | |||||||||
|
| |||||||||
India — 0.1% |
| |||||||||
47,300 | Infosys Ltd Sponsored ADR (a) | 982,421 | ||||||||
|
| |||||||||
Ireland — 0.0% |
| |||||||||
300 | ICON Plc * | 44,706 | ||||||||
|
| |||||||||
Italy — 0.2% |
| |||||||||
53,300 | Enel SPA | 263,512 | ||||||||
16,043 | EXOR NV | 1,043,904 | ||||||||
39,800 | Fiat Chrysler Automobiles NV * (b) | 680,978 | ||||||||
4,900 | Hera SPA | 15,372 | ||||||||
31,625 | Iren SPA | 74,173 | ||||||||
13,000 | Societa Cattolica di Assicurazioni SC | 105,505 | ||||||||
|
| |||||||||
Total Italy | 2,183,444 | |||||||||
|
| |||||||||
Japan — 1.0% |
| |||||||||
1,100 | Alpine Electronics Inc | 24,424 | ||||||||
600 | AOKI Holdings Inc | 8,093 | ||||||||
36,900 | Asahi Kasei Corp | 540,715 | ||||||||
94,000 | Astellas Pharma Inc | 1,593,638 | ||||||||
15,700 | Brother Industries Ltd | 322,075 | ||||||||
4,400 | Capcom Co Ltd | 102,554 | ||||||||
1,100 | Central Japan Railway Co | 220,855 | ||||||||
1,600 | CKD Corp | 23,633 | ||||||||
1,400 | Cosmo Energy Holdings Co Ltd | 51,584 | ||||||||
900 | Daiwabo Holdings Co Ltd | 53,671 | ||||||||
2,600 | Denka Co Ltd | 88,970 | ||||||||
500 | Denso Corp | 24,091 | ||||||||
1,200 | Fancl Corp | 61,643 | ||||||||
14,000 | Fuji Electric Co Ltd | 112,776 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
2,900 | Fuji Media Holdings Inc | 49,818 | ||||||||
200 | Fuyo General Lease Co Ltd | 12,005 | ||||||||
1,300 | Geo Holdings Corp | 18,908 | ||||||||
3,700 | Hakuhodo DY Holdings Inc | 62,425 | ||||||||
2,100 | Hanwa Co Ltd | 70,791 | ||||||||
100,300 | Hitachi Ltd (b) | 654,715 | ||||||||
1,600 | House Foods Group Inc | 47,436 | ||||||||
53,500 | ITOCHU Corp | 934,851 | ||||||||
1,300 | Kakaku.com Inc | 24,005 | ||||||||
1,400 | Kanematsu Corp | 20,763 | ||||||||
800 | Keihin Corp | 16,812 | ||||||||
400 | Kohnan Shoji Co Ltd | 9,224 | ||||||||
1,700 | Kose Corp | 313,452 | ||||||||
400 | Mandom Corp | 12,015 | ||||||||
52,100 | Marubeni Corp | 426,879 | ||||||||
83,900 | Mitsubishi Chemical Holdings Corp | 751,722 | ||||||||
18,500 | Mitsubishi Electric Corp | 249,740 | ||||||||
6,400 | Mitsubishi Gas Chemical Co Inc | 133,042 | ||||||||
4,400 | Mitsui Chemicals Inc | 113,719 | ||||||||
700 | Modec Inc | 21,185 | ||||||||
3,300 | NET One Systems Co Ltd | 76,433 | ||||||||
2,700 | Nichias Corp | 35,099 | ||||||||
18,800 | Nippon Telegraph & Telephone Corp (b) | 836,430 | ||||||||
2,300 | Nippon Television Holdings Inc | 38,049 | ||||||||
900 | Nishi-Nippon Financial Holdings Inc | 10,468 | ||||||||
225 | Okinawa Electric Power Co (The) | 4,522 | ||||||||
1,900 | Pola Orbis Holdings Inc | 66,959 | ||||||||
10,900 | Prima Meat Packers Ltd | 54,109 | ||||||||
800 | Rengo Co Ltd | 6,864 | ||||||||
3,300 | Rohto Pharmaceutical Co Ltd | 105,421 | ||||||||
800 | Seiko Holdings Corp | 22,370 | ||||||||
13,500 | Sekisui Chemical Co Ltd | 234,524 | ||||||||
600 | Showa Denko KK (b) | 28,498 | ||||||||
5,500 | SKY Perfect JSAT Holdings Inc | 26,032 | ||||||||
106,000 | Sojitz Corp | 368,866 | ||||||||
80,900 | Sumitomo Chemical Co Ltd | 459,173 | ||||||||
1,100 | Sumitomo Heavy Industries Ltd | 35,791 | ||||||||
400 | Sushiro Global Holdings Ltd * | 22,736 | ||||||||
1,200 | T-Gaia Corp | 31,579 | ||||||||
1,800 | Tokyo Electron Ltd | 306,450 | ||||||||
1,800 | Tosoh Corp | 28,242 | ||||||||
400 | Towa Pharmaceutical Co Ltd | 27,844 | ||||||||
9,200 | Toyota Tsusho Corp | 313,423 | ||||||||
2,000 | TS Tech Co Ltd | 75,462 | ||||||||
3,700 | Ube Industries Ltd | 94,144 | ||||||||
1,700 | Valor Holdings Co Ltd | 36,063 | ||||||||
800 | Yamaha Motor Co Ltd (b) | 20,263 | ||||||||
4,900 | Zeon Corp | 52,525 | ||||||||
|
| |||||||||
Total Japan | 10,590,568 | |||||||||
|
|
88 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
Malaysia — 0.0% |
| |||||||||
56,100 | Top Glove Corp Berhad | 152,000 | ||||||||
|
| |||||||||
Malta — 0.0% |
| |||||||||
125,500 | BGP Holdings Plc * (c) | — | ||||||||
|
| |||||||||
Mexico — 0.0% |
| |||||||||
4,100 | Megacable Holdings SAB de CV CPO | 19,325 | ||||||||
|
| |||||||||
Netherlands — 0.0% |
| |||||||||
1,300 | Heineken Holding NV | 124,038 | ||||||||
|
| |||||||||
New Zealand — 0.0% |
| |||||||||
4,300 | Air New Zealand Ltd | 9,387 | ||||||||
|
| |||||||||
Norway — 0.1% |
| |||||||||
533 | Aker ASA – A Shares | 41,760 | ||||||||
2,513 | Austevoll Seafood ASA | 33,067 | ||||||||
1,100 | Bakkafrost P/F | 62,755 | ||||||||
18,500 | DNB ASA | 376,105 | ||||||||
23,082 | Equinor ASA | 592,058 | ||||||||
6,839 | Storebrand ASA | 60,545 | ||||||||
|
| |||||||||
Total Norway | 1,166,290 | |||||||||
|
| |||||||||
Poland — 0.0% |
| |||||||||
3,912 | Cyfrowy Polsat SA * | 23,724 | ||||||||
|
| |||||||||
Portugal — 0.0% |
| |||||||||
1,100 | Altri SGPS SA | 10,144 | ||||||||
1,400 | Navigator Co SA (The) | 6,995 | ||||||||
|
| |||||||||
Total Portugal | 17,139 | |||||||||
|
| |||||||||
Singapore — 0.0% |
| |||||||||
3,300 | Venture Corp Ltd | 43,567 | ||||||||
|
| |||||||||
South Africa — 0.1% |
| |||||||||
49,002 | Absa Group Ltd | 541,969 | ||||||||
5,509 | Bidvest Group Ltd (The) | 80,957 | ||||||||
6,061 | Foschini Group Ltd (The) | 72,007 | ||||||||
3,798 | Liberty Holdings Ltd | 30,049 | ||||||||
9,418 | Mr Price Group Ltd | 144,378 | ||||||||
2,740 | Reunert Ltd | 14,194 | ||||||||
4,273 | Standard Bank Group Ltd | 54,158 | ||||||||
|
| |||||||||
Total South Africa | 937,712 | |||||||||
|
| |||||||||
South Korea — 0.1% |
| |||||||||
1,962 | LG Corp | 126,045 | ||||||||
4,442 | LG Electronics Inc | 306,243 | ||||||||
473 | Samsung SDS Co Ltd | 103,066 | ||||||||
4,784 | SK Hynix Inc | 356,790 | ||||||||
19,000 | SK Telecom Co Ltd Sponsored ADR | 494,190 | ||||||||
|
| |||||||||
Total South Korea | 1,386,334 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Spain — 0.0% |
| |||||||||
2,550 | Ebro Foods SA | 54,870 | ||||||||
900 | Ence Energia y Celulosa SA | 8,441 | ||||||||
8,800 | International Consolidated Airlines Group SA | 78,988 | ||||||||
|
| |||||||||
Total Spain | 142,299 | |||||||||
|
| |||||||||
Sweden — 0.3% |
| |||||||||
3,869 | Granges AB | 45,321 | ||||||||
1,000 | Kindred Group Plc SDR | 12,298 | ||||||||
427 | Nolato AB – B Shares | 30,166 | ||||||||
22,366 | Sandvik AB | 391,509 | ||||||||
98,646 | Svenska Cellulosa AB SCA – Class B | 1,148,359 | ||||||||
5,623 | Swedish Match AB | 300,597 | ||||||||
47,048 | Volvo AB – B Shares | 810,491 | ||||||||
800 | Wihlborgs Fastigheter AB | 9,649 | ||||||||
|
| |||||||||
Total Sweden | 2,748,390 | |||||||||
|
| |||||||||
Switzerland — 0.0% |
| |||||||||
100 | Autoneum Holding AG | 23,763 | ||||||||
270 | BKW AG | 19,152 | ||||||||
100 | Bucher Industries AG (Registered) | 35,039 | ||||||||
2,200 | GAM Holding AG* | 16,989 | ||||||||
100 | Georg Fischer AG (Registered) | 130,890 | ||||||||
255 | Novartis AG (Registered) | 21,155 | ||||||||
396 | Roche Holding AG | 99,287 | ||||||||
400 | Vontobel Holding AG (Registered) | 28,542 | ||||||||
|
| |||||||||
Total Switzerland | 374,817 | |||||||||
|
| |||||||||
Taiwan — 0.2% |
| |||||||||
57,000 | Gigabyte Technology Co Ltd | 97,258 | ||||||||
184,000 | Hon Hai Precision Industry Co Ltd | 483,375 | ||||||||
270,000 | Inventec Corp | 242,337 | ||||||||
59,000 | Micro-Star International Co Ltd | 203,953 | ||||||||
87,000 | Novatek Microelectronics Corp | 426,586 | ||||||||
127,000 | Pou Chen Corp | 140,030 | ||||||||
44,000 | Synnex Technology International Corp | 58,891 | ||||||||
|
| |||||||||
Total Taiwan | 1,652,430 | |||||||||
|
| |||||||||
Thailand — 0.0% |
| |||||||||
56,500 | Home Product Center PCL NVDR | 25,198 | ||||||||
|
| |||||||||
United Kingdom — 0.5% |
| |||||||||
34,305 | 3i Group Plc | 399,453 | ||||||||
36 | AstraZeneca Plc | 2,717 | ||||||||
1,417 | Barratt Developments Plc | 9,969 | ||||||||
1,264 | Bellway Plc | 47,886 | ||||||||
5,967 | Berkeley Group Holdings Plc (The) | 282,246 | ||||||||
11,739 | British American Tobacco Plc | 567,666 | ||||||||
8,108 | Coca-Cola HBC AG * | 277,619 | ||||||||
2,891 | Computacenter Plc | 50,833 | ||||||||
500 | Diageo Plc Sponsored ADR(a) | 69,705 |
See accompanying notes to the financial statements. | 89 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
9,245 | Electrocomponents Plc | 89,112 | ||||||||
27,481 | Ferrexpo Plc | 55,473 | ||||||||
35,096 | Firstgroup Plc * | 40,507 | ||||||||
3,258 | Galliford Try Plc | 41,088 | ||||||||
54,407 | GlaxoSmithKline Plc | 1,101,898 | ||||||||
1,100 | GlaxoSmithKline Plc Sponsored ADR | 44,550 | ||||||||
2,638 | Hunting Plc * | 28,575 | ||||||||
28,954 | IG Group Holdings Plc | 339,996 | ||||||||
8,176 | Inchcape Plc | 73,449 | ||||||||
20,370 | Indivior Plc * | 71,616 | ||||||||
3,195 | National Express Group Plc | 16,427 | ||||||||
157 | Next Plc | 11,210 | ||||||||
3,700 | Nomad Foods Ltd * | 77,145 | ||||||||
35,248 | Persimmon Plc | 1,115,139 | ||||||||
15,478 | Plus500 Ltd | 309,221 | ||||||||
2,251 | Royal Mail Plc | 13,090 | ||||||||
1,033 | Spectris Plc | 31,581 | ||||||||
2,809 | Vesuvius Plc | 22,630 | ||||||||
206 | Victrex Plc | 8,469 | ||||||||
|
| |||||||||
Total United Kingdom | 5,199,270 | |||||||||
|
| |||||||||
United States — 5.6% |
| |||||||||
3,100 | AbbVie, Inc. (b) | 297,538 | ||||||||
25,700 | ACCO Brands Corp. (b) | 318,680 | ||||||||
9,300 | Activision Blizzard, Inc. | 670,530 | ||||||||
3,900 | Acushnet Holdings Corp. (a) | 105,495 | ||||||||
7,600 | Adobe Systems, Inc. * (b) | 2,002,676 | ||||||||
1,600 | Adtalem Global Education, Inc. * (a) | 76,560 | ||||||||
200 | Aflac, Inc. | 9,248 | ||||||||
1,600 | Allstate Corp. (The) | 160,912 | ||||||||
500 | Alphabet, Inc. – Class C * | 609,095 | ||||||||
3,200 | American Eagle Outfitters, Inc. | 83,072 | ||||||||
400 | American Express Co. | 42,392 | ||||||||
200 | American National Insurance Co. | 25,668 | ||||||||
5,300 | Ameriprise Financial, Inc. (a) (b) | 752,388 | ||||||||
1,100 | Andeavor (a) | 168,069 | ||||||||
1,350 | Apergy Corp. * (a) | 61,047 | ||||||||
4,000 | Apple Hospitality REIT, Inc. (a) | 70,600 | ||||||||
600 | Apple, Inc. | 136,578 | ||||||||
800 | Applied Industrial Technologies, Inc. | 61,640 | ||||||||
2,000 | Arrow Electronics, Inc.��* (a) | 155,060 | ||||||||
6,000 | Avery Dennison Corp. (b) | 631,080 | ||||||||
23,600 | Baxter International, Inc. | 1,755,132 | ||||||||
4,000 | BGC Partners, Inc. – Class A (a) | 49,680 | ||||||||
1,200 | Boise Cascade Co. (a) | 52,440 | ||||||||
4,200 | BorgWarner, Inc. | 183,834 | ||||||||
1,500 | Brady Corp. – Class A | 60,675 | ||||||||
1,500 | Briggs & Stratton Corp. (b) | 30,240 | ||||||||
7,600 | Bristol-Myers Squibb Co. | 460,180 | ||||||||
2,300 | Bruker Corp. | 81,834 | ||||||||
4,100 | Brunswick Corp. | 272,322 | ||||||||
4,500 | CA, Inc. | 197,100 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
200 | Cabot Microelectronics Corp. (a) | 22,546 | ||||||||
6,300 | Cadence Design Systems, Inc. * | 296,352 | ||||||||
3,700 | Callaway Golf Co. | 84,397 | ||||||||
2,700 | Caterpillar, Inc. | 374,895 | ||||||||
13,000 | CBRE Group, Inc. – Class A * | 634,530 | ||||||||
300 | Central Garden & Pet Co. * | 11,910 | ||||||||
6,000 | Citizens Financial Group, Inc. | 246,960 | ||||||||
2,800 | CNO Financial Group, Inc. | 60,508 | ||||||||
3,200 | Columbia Sportswear Co. | 290,240 | ||||||||
1,000 | Cooper-Standard Holding, Inc. * | 138,430 | ||||||||
9,800 | CoreCivic, Inc. (REIT) | 253,722 | ||||||||
1,300 | CSG Systems International, Inc. (a) | 48,555 | ||||||||
2,200 | Cummins, Inc. (a) | 311,960 | ||||||||
2,700 | Curo Group Holdings Corp. * | 83,322 | ||||||||
43,500 | Dana, Inc. (a) | 851,295 | ||||||||
16,100 | Danaher Corp. (b) | 1,666,994 | ||||||||
900 | Deluxe Corp. (a) | 53,298 | ||||||||
1,900 | E*TRADE Financial Corp. * | 111,834 | ||||||||
1,900 | Eastman Chemical Co. (a) | 184,357 | ||||||||
2,600 | eBay, Inc. * | 89,986 | ||||||||
22,300 | Eli Lilly & Co. (a) (b) | 2,355,995 | ||||||||
400 | EMCOR Group, Inc. | 32,040 | ||||||||
7,300 | Enova International, Inc. * | 242,360 | ||||||||
12,700 | Estee Lauder Cos, Inc. (The) – Class A | 1,779,524 | ||||||||
700 | Exterran Corp. * (b) | 19,173 | ||||||||
300 | Federal Agricultural Mortgage Corp. – Class C (a) | 23,121 | ||||||||
2,600 | Federated Investors, Inc. – Class B (a) | 60,216 | ||||||||
7,200 | Fidelity National Financial, Inc. | 288,720 | ||||||||
6,700 | First American Financial Corp. (b) | 380,962 | ||||||||
10,300 | Gannett Co., Inc. (a) | 105,884 | ||||||||
5,200 | Gap Inc. (The) (a) | 157,820 | ||||||||
2,400 | Garmin Ltd. (a) | 163,536 | ||||||||
14,300 | General Motors Co. (a) | 515,515 | ||||||||
2,300 | GEO Group, Inc. (The) (REIT) | 58,351 | ||||||||
200 | Graham Holdings Co. – Class B | 112,530 | ||||||||
700 | Grand Canyon Education, Inc. * (a) | 83,398 | ||||||||
600 | Group 1 Automotive, Inc. | 46,254 | ||||||||
1,800 | Heidrick & Struggles International, Inc. | 79,560 | ||||||||
5,000 | Herman Miller, Inc. (a) | 191,500 | ||||||||
10,100 | Hewlett Packard Enterprise Co. | 166,953 | ||||||||
12,800 | Honeywell International, Inc. | 2,035,968 | ||||||||
10,300 | Host Hotels & Resorts, Inc. (REIT) (a) | 221,759 | ||||||||
74,200 | HP, Inc. | 1,829,030 | ||||||||
52,900 | Huntsman Corp. (b) | 1,612,921 | ||||||||
1,700 | IAC/InterActiveCorp * (b) | 335,240 | ||||||||
600 | ICF International, Inc. | 48,990 | ||||||||
1,000 | Insight Enterprises, Inc. * | 55,140 | ||||||||
600 | Insperity, Inc. | 71,910 | ||||||||
15,400 | Intel Corp. (a) | 745,822 | ||||||||
500 | Inter Parfums, Inc. | 32,650 | ||||||||
18,300 | Interpublic Group of Cos., Inc. (The) (a) | 427,305 |
90 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,400 | Intuit, Inc. | 307,258 | ||||||||
1,700 | ITT, Inc. (a) | 100,487 | ||||||||
300 | Johnson Outdoors, Inc. – Class A | 30,384 | ||||||||
13,400 | Johnson & Johnson (b) | 1,804,846 | ||||||||
1,100 | Jones Lang LaSalle, Inc. | 167,772 | ||||||||
1,900 | KB Home (a) | 47,215 | ||||||||
1,800 | KLA-Tencor Corp. (a) | 209,178 | ||||||||
22,600 | Kohl’s Corp. | 1,787,886 | ||||||||
700 | Koppers Holdings, Inc. * | 24,815 | ||||||||
1,100 | Kulicke & Soffa Industries, Inc. | 28,369 | ||||||||
3,200 | La-Z-Boy, Inc. | 106,400 | ||||||||
4,500 | Lear Corp. | 729,900 | ||||||||
5,000 | Legg Mason, Inc. (a) | 156,000 | ||||||||
1,600 | Louisiana-Pacific Corp. | 46,656 | ||||||||
600 | ManpowerGroup, Inc. | 56,238 | ||||||||
10,000 | Marathon Oil Corp. | 215,100 | ||||||||
10,200 | Mastercard, Inc. – Class A (b) | 2,198,712 | ||||||||
400 | Materion Corp. | 25,520 | ||||||||
2,300 | McKesson Corp. (a) | 296,125 | ||||||||
900 | MDC Holdings, Inc. (a) | 28,530 | ||||||||
26,800 | Merck & Co., Inc. (b) | 1,838,212 | ||||||||
3,000 | Meritor, Inc. * | 64,980 | ||||||||
1,000 | Michaels Cos , Inc. (The) * (b) | 16,990 | ||||||||
37,700 | Micron Technology, Inc. * (b) | 1,980,004 | ||||||||
11,500 | Modine Manufacturing Co. * | 193,775 | ||||||||
1,800 | Moog, Inc. – Class A | 142,038 | ||||||||
6,500 | Movado Group, Inc. | 276,900 | ||||||||
3,700 | Murphy Oil Corp. (b) | 114,071 | ||||||||
3,800 | NetApp, Inc. (a) | 329,878 | ||||||||
2,000 | Netflix, Inc. * (a) | 735,360 | ||||||||
1,800 | New York Times Co. (The) – Class A (a) | 41,940 | ||||||||
1,200 | Newpark Resources, Inc. * | 12,600 | ||||||||
18,500 | News Corp. – Class A (b) | 241,795 | ||||||||
4,200 | News Corp. – Class B | 57,120 | ||||||||
5,600 | Old Republic International Corp. | 124,208 | ||||||||
8,700 | Omnicom Group, Inc. (a) | 603,084 | ||||||||
5,200 | ON Semiconductor Corp. * | 110,968 | ||||||||
1,600 | Oshkosh Corp. | 112,416 | ||||||||
900 | Penn National Gaming, Inc. * (a) | 31,014 | ||||||||
17,100 | PepsiCo, Inc. (a) | 1,915,371 | ||||||||
58,000 | Pfizer, Inc. (a) (b) | 2,408,160 | ||||||||
6,200 | Phillips 66 (a) | 734,762 | ||||||||
6,400 | Piedmont Office Realty Trust, Inc. – Class A (REIT) (a) | 126,976 | ||||||||
2,500 | Popular, Inc. | 125,850 | ||||||||
1,000 | PotlatchDeltic Corp. (REIT) (a) | 48,300 | ||||||||
11,800 | Procter & Gamble Co. (The) (a) | 978,810 | ||||||||
800 | Progress Software Corp. (b) | 32,744 | ||||||||
10,500 | Progressive Corp. (The) | 709,065 | ||||||||
10,900 | PVH Corp. (b) | 1,560,444 | ||||||||
9,100 | Qurate Retail, Inc. * (a) | 189,189 | ||||||||
2,300 | Raymond James Financial, Inc. (a) | 213,992 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
800 | Regional Management Corp. * | 26,664 | ||||||||
11,800 | Regions Financial Corp. (a) | 229,628 | ||||||||
500 | Reinsurance Group of America, Inc.(b) | 71,425 | ||||||||
1,100 | Reliance Steel & Aluminum Co. | 96,679 | ||||||||
700 | Ryman Hospitality Properties, Inc. (REIT) | 62,111 | ||||||||
1,500 | Scholastic Corp. | 63,060 | ||||||||
400 | SEACOR Holdings, Inc. * (a) | 20,580 | ||||||||
3,000 | Seagate Technology Plc (a) | 160,620 | ||||||||
3,100 | Service Corp. International (a) | 130,076 | ||||||||
6,800 | Shutterfly, Inc. * (a) | 528,224 | ||||||||
1,100 | SPX Corp. * | 37,389 | ||||||||
4,200 | State Street Corp. | 365,022 | ||||||||
6,100 | Stoneridge, Inc. * | 182,573 | ||||||||
900 | Sykes Enterprises, Inc. * | 27,216 | ||||||||
3,700 | Synopsys, Inc. * (a) | 377,918 | ||||||||
3,400 | TCF Financial Corp. | 86,190 | ||||||||
4,900 | TE Connectivity Ltd. (b) | 449,232 | ||||||||
700 | Tech Data Corp. * (a) | 50,925 | ||||||||
600 | Teledyne Technologies, Inc. * (a) | 142,356 | ||||||||
3,800 | Telephone & Data Systems, Inc. (a) | 114,152 | ||||||||
900 | Tenneco, Inc. – Class A | 38,511 | ||||||||
4,700 | Timken Co. (The) | 228,655 | ||||||||
1,600 | Tower International, Inc. | 54,080 | ||||||||
1,900 | Trinseo SA | 146,585 | ||||||||
2,400 | Triple-S Management Corp. – Class B * (b) | 52,248 | ||||||||
4,200 | Twenty-First Century Fox, Inc.– Class A (a) | 190,680 | ||||||||
500 | United States Cellular Corp. * (a) | 21,380 | ||||||||
1,200 | Universal Corp. (a) | 71,760 | ||||||||
1,100 | Universal Forest Products, Inc. | 41,206 | ||||||||
1,600 | Urban Outfitters, Inc. * | 74,368 | ||||||||
3,100 | US Foods Holding Corp. * | 101,029 | ||||||||
42,000 | Verizon Communications, Inc. (b) | 2,283,540 | ||||||||
2,400 | Vishay Intertechnology, Inc. (a) | 57,120 | ||||||||
600 | Visteon Corp. * (a) | 66,234 | ||||||||
2,800 | Wolverine World Wide, Inc. (b) | 109,704 | ||||||||
14,600 | Xenia Hotels & Resorts, Inc. (REIT) (b) | 354,196 | ||||||||
|
| |||||||||
Total United States | 61,229,746 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $104,620,106) | 106,009,914 | |||||||||
|
| |||||||||
PREFERRED STOCKS (d) — 0.1% | ||||||||||
Germany — 0.1% | ||||||||||
4,264 | Henkel AG & Co KGaA | 544,241 | ||||||||
1,000 | Volkswagen AG | 163,468 | ||||||||
|
| |||||||||
Total Germany | 707,709 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $747,568) | 707,709 | |||||||||
|
|
See accompanying notes to the financial statements. | 91 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 7.9% | ||||||||||
United States — 7.9% | ||||||||||
U.S. Government — 7.9% | ||||||||||
13,307,293 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (e) | 13,227,587 | ||||||||
4,639,450 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (e) | 4,495,148 | ||||||||
9,065,787 | U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (e) | 8,971,942 | ||||||||
13,779,615 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (e) | 13,322,089 | ||||||||
2,314,590 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (e) | 2,240,059 | ||||||||
2,557,911 | U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (b) (e) | 2,486,636 | ||||||||
14,806,099 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (e) | 16,054,014 | ||||||||
21,714,317 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (e) | 25,297,462 | ||||||||
|
| |||||||||
Total U.S. Government | 86,094,937 | |||||||||
|
| |||||||||
Total United States | 86,094,937 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $86,602,731) | 86,094,937 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 84.3% |
| |||||||||
United States — 84.3% |
| |||||||||
Affiliated Issuers — 84.3% | ||||||||||
5,388,046 | GMO Core Plus Bond Fund, Class IV | 114,657,625 | ||||||||
1,098,695 | GMO Emerging Country Debt Fund, Class IV | 29,499,968 | ||||||||
7,358,839 | GMO Emerging Markets Fund, Class VI | 236,145,133 | ||||||||
11,693,640 | GMO International Equity Fund, Class IV | 260,300,422 | ||||||||
1,141,493 | GMO Opportunistic Income Fund, Class VI | 30,489,283 | ||||||||
4,269,297 | GMO Quality Fund, Class VI | 113,136,378 | ||||||||
5,065,238 | GMO U.S. Equity Fund, Class VI | 75,016,179 | ||||||||
2,287,519 | GMO U.S. Treasury Fund | 57,142,212 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $855,373,960) | 916,387,200 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
1,195,166 | State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% (f) | 1,195,166 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,195,166) | 1,195,166 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.2% (Cost $1,048,539,531) | 1,110,394,926 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SECURITIES SOLD SHORT — (2.2)% | ||||||||||
COMMON STOCKS — (2.2)% | ||||||||||
Brazil — (0.0)% |
| |||||||||
(9,300 | ) | Pagseguro Digital Ltd – Class A * | (268,677 | ) | ||||||
|
| |||||||||
Canada — (0.1)% |
| |||||||||
(7,500 | ) | Agnico Eagle Mines Ltd | (258,900 | ) | ||||||
(13,400 | ) | Cameco Corp | (139,494 | ) | ||||||
(26,600 | ) | Enbridge Inc | (908,922 | ) | ||||||
|
| |||||||||
Total Canada | (1,307,316 | ) | ||||||||
|
| |||||||||
France — (0.0)% |
| |||||||||
(7,029 | ) | DBV Technologies SA * | (312,010 | ) | ||||||
(526 | ) | Iliad SA | (67,904 | ) | ||||||
(524 | ) | Wendel SA | (77,583 | ) | ||||||
|
| |||||||||
Total France | (457,497 | ) | ||||||||
|
| |||||||||
Germany — (0.2)% |
| |||||||||
(145,479 | ) | Deutsche Bank AG (Registered) | (1,640,051 | ) | ||||||
(784 | ) | GEA Group AG | (29,780 | ) | ||||||
|
| |||||||||
Total Germany | (1,669,831 | ) | ||||||||
|
| |||||||||
Italy — (0.0)% |
| |||||||||
(22,754 | ) | Saipem SPA * | (121,685 | ) | ||||||
|
| |||||||||
Japan — (0.1)% |
| |||||||||
(171 | ) | AEON REIT Investment Corp | (183,877 | ) | ||||||
(29 | ) | Daiwa House Investment Corp (REIT) | (67,255 | ) | ||||||
(3,600 | ) | Kansai Paint Co Ltd | (71,150 | ) | ||||||
(12,700 | ) | Mitsui OSK Lines Ltd | (341,146 | ) | ||||||
(3,500 | ) | Murata Manufacturing Co Ltd | (603,524 | ) | ||||||
(1,900 | ) | Nippon Paint Holdings Co Ltd | (75,101 | ) | ||||||
(17,200 | ) | Orient Corp | (24,298 | ) | ||||||
|
| |||||||||
Total Japan | (1,366,351 | ) | ||||||||
|
| |||||||||
Netherlands — (0.0)% |
| |||||||||
(13,576 | ) | Altice NV – Class B * | (40,777 | ) | ||||||
|
| |||||||||
Portugal — (0.0)% |
| |||||||||
(30,526 | ) | CTT-Correios de Portugal SA | (118,680 | ) | ||||||
|
| |||||||||
Spain — (0.1)% |
| |||||||||
(203,674 | ) | Bankia SA | (762,980 | ) | ||||||
(3,581 | ) | Cellnex Telecom SA | (91,843 | ) | ||||||
|
| |||||||||
Total Spain | (854,823 | ) | ||||||||
|
| |||||||||
Switzerland — (0.1)% |
| |||||||||
(16,189 | ) | LafargeHolcim Ltd (Registered) * | (787,511 | ) | ||||||
|
|
92 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2018 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — (0.0)% |
| |||||||||
(11,257 | ) | Hochschild Mining Plc | (25,216 | ) | ||||||
(148,909 | ) | Melrose Industries Plc | (430,971 | ) | ||||||
|
| |||||||||
Total United Kingdom | (456,187 | ) | ||||||||
|
| |||||||||
United States — (1.5)% |
| |||||||||
(8,500 | ) | Acacia Communications, Inc. * | (346,544 | ) | ||||||
(63,300 | ) | Advanced Micro Devices, Inc. * | (1,593,261 | ) | ||||||
(1,000 | ) | Aerie Pharmaceuticals, Inc. * | (61,350 | ) | ||||||
(20,551 | ) | Altice USA, Inc. – Class A | (368,274 | ) | ||||||
(9,500 | ) | BioMarin Pharmaceutical, Inc. * | (949,810 | ) | ||||||
(5,500 | ) | Carvana Co. * | (356,070 | ) | ||||||
(4,100 | ) | Charter Communications, Inc. – Class A * | (1,272,640 | ) | ||||||
(2,100 | ) | Chipotle Mexican Grill, Inc. * | (997,878 | ) | ||||||
(20,400 | ) | Clovis Oncology, Inc. * | (729,300 | ) | ||||||
(26,500 | ) | Envision Healthcare Corp. * | (1,202,040 | ) |
Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
(26,600 | ) | Incyte Corp. * | (1,966,006 | ) | ||||||
(117,300 | ) | Pandora Media, Inc. * | (1,083,852 | ) | ||||||
(42,400 | ) | Roku, Inc. * | (2,522,376 | ) | ||||||
(4,600 | ) | Shake Shack, Inc. * | (278,070 | ) | ||||||
(16,300 | ) | TESARO, Inc. * | (528,935 | ) | ||||||
(2,700 | ) | Tesla, Inc. * | (814,482 | ) | ||||||
(45,300 | ) | Under Armour, Inc. – Class A * | (926,385 | ) | ||||||
|
| |||||||||
Total United States | (15,997,273 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $20,888,520) | (23,446,608 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $20,888,520) | (23,446,608 | ) | ||||||||
Other Assets and Liabilities (net) — (0.0%) | (20,124 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,086,928,194 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2018 is as follows:
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration | Periodic Payment Frequency | Premiums Paid/ (Received) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||
Total Return on Equity Basket (g) | | 1 Month Federal Funds Rate minus 0.40% | | MORD | USD | 1,643,400 | 05/18/2020 | Monthly | — | (30,085 | ) | (30,085 | ) | |||||||||||||||||||
Total Return on Equity Basket (g) | | 1 Month Federal Funds Rate minus 2.38% | | MORD | USD | 40,204 | 05/18/2020 | Monthly | — | (4,198 | ) | (4,198 | ) | |||||||||||||||||||
Total Return on Equity Basket (g) | | 1 Month Federal Funds Rate minus 1.75% | | MORD | USD | 362,270 | 05/18/2020 | Monthly | — | (14,493 | ) | (14,493 | ) | |||||||||||||||||||
Total Return on Equity Basket (g) | | 1 Month Federal Funds Rate minus 1.00% | | MORD | USD | 160,147 | 05/18/2020 | Monthly | — | (26,363 | ) | (26,363 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | — | $ | (75,139 | ) | $ | (75,139 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2018, 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.
See accompanying notes to the financial statements. | 93 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (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 is out on loan (Note 2). |
(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 (Note 4). |
(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 (Note 2). |
(d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(e) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(f) | The rate disclosed is the 7 day net yield as of August 31, 2018. |
(g) | 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. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
94 | See accompanying notes to the financial statements. |
GMO Trust Funds
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2018 (Unaudited)
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.
ADR - American Depositary Receipt
AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.
CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.
CDO - Collateralized Debt Obligation
CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.
CLO - Collateralized Loan Obligation
CMT - Constant Maturity Treasury
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares),
representing a bundle of shares of the multiple series of one issuer that trade
together as a unit.
CVR - Contingent Value Right
ETF - Exchange-Traded Fund
EURIBOR - Euro Interbank Offered Rate
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
FSA - Insured as to the payment of principal and interest by Financial Security
Assurance.
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDR - Global Depositary Receipt
LIBOR - London Interbank Offered Rate
NVDR - Non-Voting Depositary Receipt
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OJSC - Open Joint-Stock Company
OTC - Over-the-Counter
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
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
SDR - Swedish Depository Receipt
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States
Dollars.
The rates shown on variable rate notes are the current interest rates at August 31,
2018, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BCLY - Barclays Bank plc
BOA - Bank of America, 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
UBS - UBS Securities LLC
Currency Abbreviations:
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
USD - United States Dollar
See accompanying notes to the financial statements. | 95 |
Statements of Assets and Liabilities — August 31, 2018 (Unaudited)
Alpha Only Fund | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 7,476,175 | $ | 12,552,472,324 | $ | 1,113,718,893 | $ | 2,191,777,680 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 114,116,544 | 7,583,551 | 2,477,182,964 | 371,211 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 86,807 | — | 692,699 | — | ||||||||||||
Cash | — | — | 230,452 | 12 | ||||||||||||
Receivable for investments sold | 119,503 | 57,982,217 | 1,205,181 | 444,755 | ||||||||||||
Receivable for Fund shares sold | — | 7,520,063 | 16,049,266 | — | ||||||||||||
Dividend withholding tax receivable | 85,431 | — | 952,774 | — | ||||||||||||
Dividends and interest receivable | 212,330 | 6,754 | 3,914,956 | 267,451 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 463,811 | — | 2,230,442 | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 26,900 | — | ||||||||||||
Due from broker (Note 2) | — | — | 35 | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 37,304 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 77,769 | 1,615,309 | 73,627 | 8,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 122,638,370 | 12,627,180,218 | 3,616,315,493 | 2,192,869,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Investments sold short, at value (Note 2)(d) | — | — | 46,887,107 | — | ||||||||||||
Payable for investments purchased | 17,663 | 59,989,325 | 1,260,022 | 266,976 | ||||||||||||
Payable for Fund shares repurchased | 2,826,884 | 5,517,628 | — | 446,895 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | 195,073 | — | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 52,494 | 7,001,321 | — | — | ||||||||||||
Supplemental support fee – Class MF | — | 438,448 | — | — | ||||||||||||
Shareholder service fee | 10,812 | 843,860 | — | — | ||||||||||||
Payable to agents unaffiliated with GMO | 40 | 2,385 | 765 | 428 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 3,675 | — | — | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 77,608 | — | 353,507 | — | ||||||||||||
Interest and dividend payable for short sales | — | — | 54,987 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 665,959 | — | ||||||||||||
Payable to Trustees and related expenses | 782 | 39,224 | 13,927 | 6,721 | ||||||||||||
Accrued expenses | 150,750 | 228,628 | 560,115 | 96,815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 3,140,708 | 74,060,819 | 49,991,462 | 817,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 119,497,662 | $ | 12,553,119,399 | $ | 3,566,324,031 | $ | 2,192,051,378 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 7,476,175 | $ | 12,214,810,128 | $ | 1,053,663,365 | $ | 2,165,505,034 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 113,053,194 | $ | 7,583,551 | $ | 2,441,596,271 | $ | 365,188 | ||||||||
(c) Cost of foreign currency: | $ | 87,838 | $ | — | $ | 693,837 | $ | — | ||||||||
(d) Proceeds from securities sold short: | $ | — | $ | — | $ | 49,149,255 | $ | — |
96 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
Alpha Only Fund | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 495,164,334 | $ | 12,373,892,179 | $ | 3,680,136,670 | $ | 2,410,680,951 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 525,103 | (10,650,835 | ) | 49,327,308 | 6,853,906 | |||||||||||
Accumulated net realized gain (loss) | (373,326,529 | ) | (147,784,141 | ) | (249,551,027 | ) | (251,762,148 | ) | ||||||||
Net unrealized appreciation (depreciation) | (2,865,246 | ) | 337,662,196 | 86,411,080 | 26,278,669 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 119,497,662 | $ | 12,553,119,399 | $ | 3,566,324,031 | $ | 2,192,051,378 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class III | $ | 7,237,380 | $ | 4,834,185,866 | $ | 3,566,324,031 | $ | 2,192,051,378 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 112,260,282 | $ | 2,623,225,002 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 5,095,708,531 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class III | 357,913 | 178,855,534 | 177,373,742 | 67,245,141 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 5,548,707 | 97,057,262 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | — | 188,397,011 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class III | $ | 20.22 | $ | 27.03 | $ | 20.11 | $ | 32.60 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 20.23 | $ | 27.03 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 27.05 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 97 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||
Assets: |
| |||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 460,355,817 | $ | 2,013,440,565 | $ | — | $ | 635,059,954 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 121,679 | 656,642 | 10,494,690,927 | 241,796 | ||||||||||||
Foreign currency, at value (Note 2)(c) | — | — | 3,230,624 | — | ||||||||||||
Cash | — | — | 748,622 | — | ||||||||||||
Receivable for investments sold | — | — | 7,619,974 | — | ||||||||||||
Receivable for Fund shares sold | — | — | 62,596,322 | 32,286 | ||||||||||||
Dividend withholding tax receivable | — | — | 2,919,301 | — | ||||||||||||
Dividends and interest receivable | 208 | 1,076 | 18,292,581 | 431 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | — | 18,872,718 | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 542,475 | — | ||||||||||||
Due from broker (Note 2) | — | — | 219,272,794 | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 1,559,929 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 8,379 | 8,250 | 394,319 | 8,265 | ||||||||||||
Miscellaneous receivable | — | — | 5,121 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 460,486,083 | 2,014,106,533 | 10,830,745,707 | 635,342,732 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Investments sold short, at value (Note 2)(d) | — | — | 349,517,368 | — | ||||||||||||
Payable for investments purchased | — | — | 12,436,264 | — | ||||||||||||
Payable for Fund shares repurchased | 2,342 | 76,381 | — | 44,866 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | 729,583 | — | ||||||||||||
Payable to agents unaffiliated with GMO | 81 | 407 | 2,026 | 118 | ||||||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | — | 2,080,895 | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | — | 8,697,555 | — | ||||||||||||
Interest payable for open OTC swap contracts (Note 4) | — | — | 97,648 | — | ||||||||||||
Interest and dividend payable for short sales | — | — | 487,970 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 1,843,355 | — | ||||||||||||
Written options outstanding, at value (Note 4)(e) | — | — | 1,560,905 | — | ||||||||||||
Payable to Trustees and related expenses | 1,350 | 6,965 | 33,851 | 1,918 | ||||||||||||
Accrued expenses | 54,558 | 93,216 | 1,341,978 | 53,355 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 58,331 | 176,969 | 378,829,398 | 100,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 460,427,752 | $ | 2,013,929,564 | $ | 10,451,916,309 | $ | 635,242,475 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 422,557,332 | $ | 1,952,524,582 | $ | — | $ | 648,982,688 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 121,679 | $ | 656,642 | $ | 10,493,419,330 | $ | 241,796 | ||||||||
(c) Cost of foreign currency: | $ | — | $ | — | $ | 3,235,918 | $ | — | ||||||||
(d) Proceeds from securities sold short: | $ | — | $ | — | $ | 349,350,301 | $ | — | ||||||||
(e) Premiums on written options: | $ | — | $ | — | $ | 1,184,920 | $ | — |
98 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 508,054,410 | $ | 2,174,681,454 | $ | 10,853,230,679 | $ | 804,251,009 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,193,129 | 5,615,286 | 179,152,954 | 871,516 | ||||||||||||
Accumulated net realized gain (loss) | (86,618,272 | ) | (227,283,159 | ) | (527,364,699 | ) | (155,957,316 | ) | ||||||||
Net unrealized appreciation (depreciation) | 37,798,485 | 60,915,983 | (53,102,625 | ) | (13,922,734 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 460,427,752 | $ | 2,013,929,564 | $ | 10,451,916,309 | $ | 635,242,475 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Core Class | $ | — | $ | — | $ | 10,451,916,309 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 460,427,752 | $ | 2,013,929,564 | $ | — | $ | 635,242,475 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Core Class | — | — | 769,884,673 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 20,395,614 | 77,328,651 | — | 39,473,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Core Class | $ | — | $ | — | $ | 13.58 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 22.57 | $ | 26.04 | $ | — | $ | 16.09 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 99 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Assets: |
| |||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 1,020,151,473 | $ | — | $ | 45,977 | $ | 916,387,200 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 356,878 | 1,731,285,269 | 451,860,630 | 194,007,726 | ||||||||||||
Foreign currency, at value (Note 2)(c) | — | 129,203 | — | 32,701 | ||||||||||||
Cash | — | 137 | 60,389 | 3 | ||||||||||||
Receivable for investments sold | — | — | 2,243,907 | — | ||||||||||||
Receivable for Fund shares sold | — | 6,543 | — | — | ||||||||||||
Dividend withholding tax receivable | — | — | 87,848 | 17,891 | ||||||||||||
Dividends and interest receivable | 440 | 2,227,287 | 68,435 | 433,049 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 6,305,016 | — | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 1,579,358 | — | — | ||||||||||||
Due from broker (Note 2) | — | 1,004,721 | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 7,583 | 72,879 | — | 21,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 1,020,516,374 | 1,742,610,413 | 454,367,186 | 1,110,900,122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Investments sold short, at value (Note 2)(d) | — | — | — | 23,446,608 | ||||||||||||
Payable for investments purchased | — | 3,005,943 | 1,073,871 | 109,604 | ||||||||||||
Payable for Fund shares repurchased | 5,522 | 89,579 | — | 202,162 | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | — | 1,252,507 | 417,433 | — | ||||||||||||
Shareholder service fee | — | 83,942 | 20,872 | — | ||||||||||||
Payable to agents unaffiliated with GMO | 191 | 337 | 174 | 217 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | 8,134,948 | — | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 15,066,893 | — | — | ||||||||||||
Interest and dividend payable for short sales | — | — | — | 21,771 | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | — | 75,139 | ||||||||||||
Written options outstanding, at value (Note 4)(e) | — | — | 229,000 | — | ||||||||||||
Payable to Trustees and related expenses | 3,327 | 4,205 | 3,749 | 3,542 | ||||||||||||
Accrued expenses | 61,718 | 182,148 | 274,308 | 112,885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 70,758 | 27,820,502 | 2,019,407 | 23,971,928 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 1,020,445,616 | $ | 1,714,789,911 | $ | 452,347,779 | $ | 1,086,928,194 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 1,028,871,672 | $ | — | $ | 317,181 | $ | 855,373,960 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 356,878 | $ | 1,731,274,916 | $ | 335,535,301 | $ | 193,165,571 | ||||||||
(c) Cost of foreign currency: | $ | — | $ | 40 | $ | — | $ | 33,050 | ||||||||
(d) Proceeds from securities sold short: | $ | — | $ | — | $ | — | $ | 20,888,520 | ||||||||
(e) Premiums on written options: | $ | — | $ | — | $ | 369,592 | $ | — |
100 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 1,136,530,407 | $ | 1,735,371,796 | $ | 347,111,453 | $ | 1,028,909,160 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 108,594 | 5,833,108 | (2,536,523 | ) | 5,208,206 | |||||||||||
Accumulated net realized gain (loss) | (107,473,186 | ) | 17,178,933 | (8,425,875 | ) | (6,410,681 | ) | |||||||||
Net unrealized appreciation (depreciation) | (8,720,199 | ) | (43,593,926 | ) | 116,198,724 | 59,221,509 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,020,445,616 | $ | 1,714,789,911 | $ | 452,347,779 | $ | 1,086,928,194 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class III | $ | 1,020,445,616 | $ | 30,679,090 | $ | — | $ | 1,086,928,194 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 11,614,500 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 1,672,496,321 | $ | 452,347,779 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class III | 34,180,682 | 955,703 | — | 52,861,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | 362,932 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 52,209,765 | 23,071,088 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class III | $ | 29.85 | $ | 32.10 | $ | — | $ | 20.56 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 32.00 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 32.03 | $ | 19.61 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 101 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2018 (Unaudited)
Alpha Only Fund | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from affiliated issuers (Note 10) | $ | 121,707 | $ | 49,444,208 | $ | 3,951,780 | $ | 11,907,454 | ||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | 2,984,458 | 53,442 | 36,994,712 | 2,603 | ||||||||||||
Interest | 87,549 | 3,178 | 18,567,889 | 4,864 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 3,193,714 | 49,500,828 | 59,514,381 | 11,914,921 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 455,817 | 43,017,304 | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 5,744 | 3,759,338 | — | — | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 87,334 | 1,372,689 | — | — | ||||||||||||
Supplemental support fee – Class MF (Note 5) | — | 2,739,132 | — | — | ||||||||||||
Audit and tax fees | 67,546 | 14,511 | 61,562 | 12,833 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 114,809 | 47,730 | 762,977 | 31,228 | ||||||||||||
Dividend expense on short sales | — | — | 1,070,322 | — | ||||||||||||
Legal fees | 5,372 | 81,326 | 37,373 | 13,945 | ||||||||||||
Registration fees | 2,862 | 3,195 | — | 1,884 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 2,430 | 153,335 | 49,093 | 26,949 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | — | — | 140,194 | — | ||||||||||||
Miscellaneous | 32,584 | 31,865 | 61,587 | 7,488 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 774,498 | 51,220,425 | 2,183,108 | 94,327 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (195,048 | ) | (161,920 | ) | (395,881 | ) | (64,812 | ) | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | — | (9,244,999 | ) | — | — | |||||||||||
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5) | — | (789,174 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 579,450 | 41,024,332 | 1,787,227 | 29,515 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 2,614,264 | 8,476,496 | 57,727,154 | 11,885,406 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 26,417,976 | — | 83,843,849 | — | ||||||||||||
Investments in affiliated issuers | 10,202 | 86,863,740 | 46,076,031 | (16,192,193 | ) | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | 154,325,296 | 60,618,195 | 19,824,531 | ||||||||||||
Futures contracts | (9,469,476 | ) | — | (6,163,056 | ) | — | ||||||||||
Swap contracts | — | — | 1,276,686 | — | ||||||||||||
Forward currency contracts | 1,454,862 | — | 5,624,743 | — | ||||||||||||
Foreign currency and foreign currency related transactions | (128,903 | ) | — | 445,969 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 18,284,661 | 241,189,036 | 191,722,417 | 3,632,338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | (34,722,064 | ) | — | (234,514,668 | ) | (1,873 | ) | |||||||||
Investments in affiliated issuers | 793 | (585,423,031 | ) | (154,048,159 | ) | (60,696,773 | ) | |||||||||
Investments in securities sold short | — | — | 2,262,148 | — | ||||||||||||
Futures contracts | 1,041,661 | — | (15,841,225 | ) | — | |||||||||||
Swap contracts | — | — | (628,655 | ) | — | |||||||||||
Forward currency contracts | 248,399 | — | 5,163,444 | — | ||||||||||||
Foreign currency and foreign currency related transactions | (28,468 | ) | — | (49,369 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | (33,459,679 | ) | (585,423,031 | ) | (397,656,484 | ) | (60,698,646 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (15,175,018 | ) | (344,233,995 | ) | (205,934,067 | ) | (57,066,308 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (12,560,754 | ) | $ | (335,757,499 | ) | $ | (148,206,913 | ) | $ | (45,180,902 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 290,870 | $ | — | $ | 4,606,209 | $ | — | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | 1,968 | $ | — | $ | — | $ | — | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | (2,118 | ) | $ | — | $ | 195,073 | $ | — |
102 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 1,518 | $ | 6,974 | $ | 151,374,405 | $ | 2,401 | ||||||||
Interest | 3 | 15 | 73,419,892 | 202 | ||||||||||||
Dividends from affiliated issuers (Note 10) | 2,200,613 | 9,652,026 | — | 3,883,590 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 2,202,134 | 9,659,015 | 224,794,297 | 3,886,193 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Audit and tax fees | 13,707 | 12,510 | 151,360 | 12,515 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 26,938 | 30,563 | 2,000,127 | 27,858 | ||||||||||||
Dividend expense on short sales | — | — | 6,816,959 | — | ||||||||||||
Legal fees | 2,546 | 11,953 | 128,162 | 3,366 | ||||||||||||
Registration fees | 1,560 | 1,655 | — | 1,571 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 5,428 | 25,786 | 129,901 | 7,554 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | — | — | 471,189 | — | ||||||||||||
Miscellaneous | 4,564 | * | 8,642 | * | 121,904 | * | 4,324 | * | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 54,743 | 91,109 | 9,819,602 | 57,188 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (48,783 | ) | (62,925 | ) | (2,220,194 | ) | (48,908 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 5,960 | 28,184 | 7,599,408 | 8,280 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 2,196,174 | 9,630,831 | 217,194,889 | 3,877,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | — | — | 34,227,748 | — | ||||||||||||
Investments in affiliated issuers | 1,519,207 | (52,212 | ) | — | (448,843 | ) | ||||||||||
Investments in securities sold short | — | — | 170,715,452 | — | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 11,276,944 | 44,259,293 | — | — | ||||||||||||
Futures contracts | — | — | (25,585,308 | ) | — | |||||||||||
Written options | — | — | 7,024,467 | — | ||||||||||||
Swap contracts | — | — | 7,085,008 | — | ||||||||||||
Forward currency contracts | — | — | 29,957,022 | — | ||||||||||||
Foreign currency and foreign currency related transactions | — | — | (867,846 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 12,796,151 | 44,207,081 | 222,556,543 | ** | (448,843 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | — | — | (778,222,704 | ) | — | |||||||||||
Investments in affiliated issuers | (18,854,719 | ) | (118,346,994 | ) | — | (48,177,236 | ) | |||||||||
Investments in securities sold short | — | — | 8,700,464 | — | ||||||||||||
Futures contracts | — | — | (82,711,582 | ) | — | |||||||||||
Written options | — | — | (1,077,543 | ) | — | |||||||||||
Swap contracts | — | — | 4,068,713 | — | ||||||||||||
Forward currency contracts | — | — | 34,925,277 | — | ||||||||||||
Foreign currency and foreign currency related transactions | — | — | (204,472 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | (18,854,719 | ) | (118,346,994 | ) | (814,521,847 | ) | (48,177,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (6,058,568 | ) | (74,139,913 | ) | (591,965,304 | ) | (48,626,079 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (3,862,394 | ) | $ | (64,509,082 | ) | $ | (374,770,415 | ) | $ | (44,748,166 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 18,774,721 | $ | — | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | 335,884 | $ | — | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | — | $ | 82,910 | $ | — | ||||||||
* Includes printing expenses: | $ | 3,396 | $ | 4,903 | $ | 9,877 | $ | 3,126 |
** | For the details related to in-kind redemption realized gain (loss) please refer to Note 6. |
See accompanying notes to the financial statements. | 103 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from affiliated issuers (Note 10) | $ | 5,128,084 | $ | 9,352,205 | $ | — | $ | 4,986,829 | ||||||||
Interest | 48 | 6,964,382 | 1,828,031 | 2,282,020 | ||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | 2,427 | 177,293 | 2,194,641 | 1,123,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 5,130,559 | 16,493,880 | 4,022,672 | 8,392,101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | — | 7,790,023 | 4,367,987 | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | — | 22,126 | — | — | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 6,021 | — | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 492,636 | 218,399 | — | ||||||||||||
Audit and tax fees | 12,517 | 45,768 | 61,501 | 14,281 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 27,264 | 153,304 | 68,767 | 52,072 | ||||||||||||
Dividend expense on short sales | — | — | — | 178,403 | ||||||||||||
Legal fees | 5,896 | 24,861 | 15,626 | 6,566 | ||||||||||||
Registration fees | 2,319 | 34,972 | 1,882 | 1,465 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 12,730 | 20,811 | 11,268 | 14,298 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | — | — | — | 85,149 | ||||||||||||
Miscellaneous | 5,079 | 32,523 | 18,607 | 11,824 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 65,805 | 8,623,045 | 4,764,037 | 364,058 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (51,829 | ) | (276,553 | ) | — | (84,565 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 13,976 | 8,346,492 | 4,764,037 | 279,493 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 5,116,583 | 8,147,388 | (741,365 | ) | 8,112,608 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | — | (254,004 | ) | 184,213,297 | (1,787,622 | ) | ||||||||||
Investments in affiliated issuers | 64,743 | (781,391 | ) | — | 4,674,505 | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | — | — | 10,845,672 | ||||||||||||
Futures contracts | — | (20,146,381 | ) | (1,169,451 | ) | — | ||||||||||
Written options | — | — | 102,658 | — | ||||||||||||
Swap contracts | — | — | — | 171,660 | ||||||||||||
Forward currency contracts | — | 53,008,241 | (195,350 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | — | 1,868,707 | (11,211 | ) | 1,512 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 64,743 | 33,695,172 | 182,939,943 | 13,905,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | — | 881,693 | (126,538,231 | ) | 1,859,787 | |||||||||||
Investments in affiliated issuers | (92,603,361 | ) | 1,206,230 | (24,160 | ) | (54,127,491 | ) | |||||||||
Investments in securities sold short | — | — | — | (2,558,088 | ) | |||||||||||
Futures contracts | — | (6,526,002 | ) | 1,067,000 | — | |||||||||||
Written options | — | — | 140,592 | — | ||||||||||||
Swap contracts | — | — | — | (75,139 | ) | |||||||||||
Forward currency contracts | — | (20,389,403 | ) | (4,181 | ) | — | ||||||||||
Foreign currency and foreign currency related transactions | — | (44,706 | ) | (3,699 | ) | (659 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | (92,603,361 | ) | (24,872,188 | ) | (125,362,679 | ) | (54,901,590 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (92,538,618 | ) | 8,822,984 | 57,577,264 | (40,995,863 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (87,422,035 | ) | $ | 16,970,372 | $ | 56,835,899 | $ | (32,883,255 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 57,933 | $ | 95,163 |
104 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Alpha Only Fund | Benchmark-Free Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,614,264 | $ | 4,191,623 | $ | 8,476,496 | $ | 276,830,059 | ||||||||
Net realized gain (loss) | 18,284,661 | (6,145,710 | ) | 241,189,036 | 249,711,675 | |||||||||||
Change in net unrealized appreciation (depreciation) | (33,459,679 | ) | 13,893,648 | (585,423,031 | ) | 808,309,413 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (12,560,754 | ) | 11,939,561 | (335,757,499 | ) | 1,334,851,147 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (27,835 | ) | (104,020 | ) | (5,248,770 | ) | (113,187,765 | ) | ||||||||
Class IV | (772,269 | ) | (2,679,412 | ) | (3,468,288 | ) | (73,419,032 | ) | ||||||||
Class MF | — | — | (6,832,480 | ) | (136,226,196 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (800,104 | ) | (2,783,432 | ) | (15,549,538 | ) | (322,832,993 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (24,308 | ) | (387,767 | ) | (194,794,071 | ) | (463,077,586 | ) | ||||||||
Class IV | (97,448,569 | ) | (12,270,377 | ) | (60,854,172 | ) | (125,243,907 | ) | ||||||||
Class MF | — | — | (380,652,123 | ) | (658,879,382 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (97,472,877 | ) | (12,658,144 | ) | (636,300,366 | ) | (1,247,200,875 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 207,255 | 1,805,688 | ||||||||||||
Class IV | — | — | 112,191 | 1,055,758 | ||||||||||||
Class MF | — | — | 227,404 | 2,043,593 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 546,850 | 4,905,039 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (97,472,877 | ) | (12,658,144 | ) | (635,753,516 | ) | (1,242,295,836 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (110,833,735 | ) | (3,502,015 | ) | (987,060,553 | ) | (230,277,682 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 230,331,397 | 233,833,412 | 13,540,179,952 | 13,770,457,634 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 119,497,662 | $ | 230,331,397 | $ | 12,553,119,399 | $ | 13,540,179,952 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 525,103 | $ | (1,289,057 | ) | $ | (10,650,835 | ) | $ | (3,577,793 | ) | |||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 105 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Benchmark-Free Fund | Global Asset Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 57,727,154 | $ | 98,773,297 | $ | 11,885,406 | $ | 54,584,348 | ||||||||
Net realized gain (loss) | 191,722,417 | 172,217,499 | 3,632,338 | 35,891,926 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (397,656,484 | ) | 278,770,548 | (60,698,646 | ) | 184,349,065 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (148,206,913 | ) | 549,761,344 | (45,180,902 | ) | 274,825,339 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (12,716,161 | ) | (126,068,577 | ) | (6,964,930 | ) | (61,208,240 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (12,716,161 | ) | (126,068,577 | ) | (6,964,930 | ) | (61,208,240 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (759,449,314 | ) | (332,857,369 | ) | (231,543,519 | ) | (162,848,213 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (759,449,314 | ) | (332,857,369 | ) | (231,543,519 | ) | (162,848,213 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 207,484 | 1,394,003 | 136,172 | 890,639 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 207,484 | 1,394,003 | 136,172 | 890,639 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (759,241,830 | ) | (331,463,366 | ) | (231,407,347 | ) | (161,957,574 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (920,164,904 | ) | 92,229,401 | (283,553,179 | ) | 51,659,525 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 4,486,488,935 | 4,394,259,534 | 2,475,604,557 | 2,423,945,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,566,324,031 | $ | 4,486,488,935 | $ | 2,192,051,378 | $ | 2,475,604,557 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 49,327,308 | $ | 4,316,315 | $ | 6,853,906 | $ | 1,933,430 | ||||||||
|
|
|
|
|
|
|
|
106 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,196,174 | $ | 13,476,279 | $ | 9,630,831 | $ | 62,996,031 | ||||||||
Net realized gain (loss) | 12,796,151 | (12,629,429 | ) | 44,207,081 | 61,488,425 | |||||||||||
Change in net unrealized appreciation (depreciation) | (18,854,719 | ) | 128,701,084 | (118,346,994 | ) | 331,592,435 | ||||||||||
|
|
|
| �� |
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (3,862,394 | ) | 129,547,934 | (64,509,082 | ) | 456,076,891 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (2,396,264 | ) | (18,007,301 | ) | (5,334,598 | ) | (70,822,350 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (2,396,264 | ) | (18,007,301 | ) | (5,334,598 | ) | (70,822,350 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (2,597,675 | ) | (635,039,526 | ) | (245,186,721 | ) | (264,039,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (2,597,675 | ) | (635,039,526 | ) | (245,186,721 | ) | (264,039,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 1,263 | 522,102 | 39,335 | 887,839 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 1,263 | 522,102 | 39,335 | 887,839 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (2,596,412 | ) | (634,517,424 | ) | (245,147,386 | ) | (263,152,129 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (8,855,070 | ) | (522,976,791 | ) | (314,991,066 | ) | 122,102,412 | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 469,282,822 | 992,259,613 | 2,328,920,630 | 2,206,818,218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 460,427,752 | $ | 469,282,822 | $ | 2,013,929,564 | $ | 2,328,920,630 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,193,129 | $ | 1,393,219 | $ | 5,615,286 | $ | 1,319,053 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 107 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 217,194,889 | $ | 280,077,196 | $ | 3,877,913 | $ | 20,855,069 | ||||||||
Net realized gain (loss) | 222,556,543 | 600,813,750 | (448,843 | ) | (4,311,611 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (814,521,847 | ) | 329,325,797 | (48,177,236 | ) | 108,212,184 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (374,770,415 | ) | 1,210,216,743 | (44,748,166 | ) | 124,755,642 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Core Class | (42,611,658 | ) | (335,144,868 | ) | — | — | ||||||||||
Class III | — | — | (3,108,368 | ) | (20,807,945 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (42,611,658 | ) | (335,144,868 | ) | (3,108,368 | ) | (20,807,945 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | (636,731,036 | ) | (600,296,581 | ) | — | — | ||||||||||
Class III | — | — | 18,216,143 | (40,941,783 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (636,731,036 | ) | (600,296,581 | ) | 18,216,143 | (40,941,783 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Core Class | 330,066 | 4,240,205 | — | — | ||||||||||||
Class III | — | — | 15,949 | 68,771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 330,066 | 4,240,205 | 15,949 | 68,771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (636,400,970 | ) | (596,056,376 | ) | 18,232,092 | (40,873,012 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (1,053,783,043 | ) | 279,015,499 | (29,624,442 | ) | 63,074,685 | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 11,505,699,352 | 11,226,683,853 | 664,866,917 | 601,792,232 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 10,451,916,309 | $ | 11,505,699,352 | $ | 635,242,475 | $ | 664,866,917 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 179,152,954 | $ | 4,569,723 | $ | 871,516 | $ | 101,971 | ||||||||
|
|
|
|
|
|
|
|
108 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 5,116,583 | $ | 32,701,985 | $ | 8,147,388 | $ | 2,462,962 | ||||||||
Net realized gain (loss) | 64,743 | (2,354,468 | ) | 33,695,172 | 60,070,603 | |||||||||||
Change in net unrealized appreciation (depreciation) | (92,603,361 | ) | 185,788,303 | (24,872,188 | ) | (46,769,175 | ) | |||||||||
|
|
|
|
|
| �� |
|
| ||||||||
Net increase (decrease) in net assets from operations | (87,422,035 | ) | 216,135,820 | 16,970,372 | 15,764,390 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (6,649,866 | ) | (33,024,114 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (6,649,866 | ) | (33,024,114 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | — | (180,594 | ) | |||||||||||
Class IV | — | — | — | (953,492 | ) | |||||||||||
Class VI | — | — | — | (56,853,796 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | — | (57,987,882 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (36,924,479 | ) | (118,301,310 | ) | 3,857,548 | 20,704,296 | ||||||||||
Class IV | — | — | (385,307 | ) | (42,897,635 | ) | ||||||||||
Class VI | — | — | (187,934,353 | ) | 439,311,501 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (36,924,479 | ) | (118,301,310 | ) | (184,462,112 | ) | 417,118,162 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 114,511 | 713,905 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 114,511 | 713,905 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (36,809,968 | ) | (117,587,405 | ) | (184,462,112 | ) | 417,118,162 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (130,881,869 | ) | 65,524,301 | (167,491,740 | ) | 374,894,670 | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 1,151,327,485 | 1,085,803,184 | 1,882,281,651 | 1,507,386,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,020,445,616 | $ | 1,151,327,485 | $ | 1,714,789,911 | $ | 1,882,281,651 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 108,594 | $ | 1,641,877 | $ | 5,833,108 | $ | (2,314,280 | ) | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 109 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | (741,365 | ) | $ | (1,242,656 | ) | $ | 8,112,608 | $ | 51,040,647 | ||||||
Net realized gain (loss) | 182,939,943 | 94,297,391 | 13,905,727 | 66,838,550 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (125,362,679 | ) | 192,334,667 | (54,901,590 | ) | 153,597,624 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 56,835,899 | 285,389,402 | (32,883,255 | ) | 271,476,821 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | — | — | (3,227,397 | ) | (55,183,123 | ) | ||||||||||
Class VI | — | (680,089 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (680,089 | ) | (3,227,397 | ) | (55,183,123 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | (46,531,912 | ) | (1,947,705 | ) | ||||||||||
Class VI | (225,776,660 | ) | (67,496,961 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (225,776,660 | ) | (67,496,961 | ) | (46,531,912 | ) | (1,947,705 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | — | — | (133,062,787 | ) | (930,852,849 | ) | ||||||||||
Class VI | (418,280,487 | ) | (175,366,785 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (418,280,487 | ) | (175,366,785 | ) | (133,062,787 | ) | (930,852,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 192,588 | 1,948,317 | ||||||||||||
Class VI | 3,324,305 | 1,580,217 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 3,324,305 | 1,580,217 | 192,588 | 1,948,317 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (414,956,182 | ) | (173,786,568 | ) | (132,870,199 | ) | (928,904,532 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (583,896,943 | ) | 43,425,784 | (215,512,763 | ) | (714,558,539 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 1,036,244,722 | 992,818,938 | 1,302,440,957 | 2,016,999,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 452,347,779 | $ | 1,036,244,722 | $ | 1,086,928,194 | $ | 1,302,440,957 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (2,536,523 | ) | $ | (1,795,158 | ) | $ | 5,208,206 | $ | 322,995 | ||||||
|
|
|
|
|
|
|
|
110 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
ALPHA ONLY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.80 | $ | 20.96 | $ | 22.04 | $ | 22.93 | $ | 23.98 | $ | 24.22 | $ | 21.81 | $ | 20.97 | $ | 22.05 | $ | 22.95 | $ | 23.99 | $ | 24.24 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.31 | 0.41 | 0.35 | 0.37 | 0.34 | 0.53 | 0.31 | 0.39 | 0.37 | 0.39 | 0.35 | 0.58 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.81 | ) | 0.68 | (0.80 | ) | (0.40 | ) | (0.96 | ) | (0.76 | ) | (1.81 | ) | 0.71 | (0.81 | ) | (0.41 | ) | (0.95 | ) | (0.80 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (1.50 | ) | 1.09 | (0.45 | ) | (0.03 | ) | (0.62 | ) | (0.23 | ) | (1.50 | ) | 1.10 | (0.44 | ) | (0.02 | ) | (0.60 | ) | (0.22 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.25 | ) | (0.63 | ) | (0.86 | ) | (0.43 | ) | (0.01 | ) | (0.08 | ) | (0.26 | ) | (0.64 | ) | (0.88 | ) | (0.44 | ) | (0.03 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.08 | ) | (0.25 | ) | (0.63 | ) | (0.86 | ) | (0.43 | ) | (0.01 | ) | (0.08 | ) | (0.26 | ) | (0.64 | ) | (0.88 | ) | (0.44 | ) | (0.03 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 20.22 | $ | 21.80 | $ | 20.96 | $ | 22.04 | $ | 22.93 | $ | 23.98 | $ | 20.23 | $ | 21.81 | $ | 20.97 | $ | 22.05 | $ | 22.95 | $ | 23.99 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(b) | (6.90 | )%** | 5.22 | % | (2.02 | )% | (0.06 | )% | (2.60 | )% | (0.94 | )% | (6.89 | )%** | 5.27 | % | (1.98 | )% | (0.03 | )% | (2.51 | )% | (0.93 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 7,237 | $ | 7,829 | $ | 7,852 | $ | 7,712 | $ | 26,695 | $ | 35,392 | $ | 112,260 | $ | 222,503 | $ | 225,982 | $ | 286,305 | $ | 3,333,388 | $ | 3,523,518 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.69 | %(c)* | 0.67 | %(c) | 0.68 | %(c) | 0.66 | %(c) | 0.65 | % | 0.30 | %(c)(d) | 0.63 | %(c)* | 0.62 | %(c) | 0.62 | %(c) | 0.60 | %(c) | 0.60 | % | 0.26 | %(c)(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 2.94 | %* | 1.91 | % | 1.62 | % | 1.66 | % | 1.44 | % | 2.19 | % | 2.86 | %* | 1.80 | % | 1.69 | % | 1.76 | % | 1.46 | % | 2.42 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %(e)** | 67 | %(e) | 22 | %(e) | 85 | % | 123 | % | 66 | % | 41 | %(e)** | 67 | %(e) | 22 | %(e) | 85 | % | 123 | % | 66 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.26 | %* | 0.22 | % | 0.20 | % | 0.06 | % | 0.04 | % | 0.37 | %(f) | 0.21 | %* | 0.23 | % | 0.20 | % | 0.05 | % | 0.04 | % | 0.36 | %(f) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 108%, 135% and 80%, respectively, of the average value of its portfolio. |
(f) | Ratios include indirect fees waived or borne by the Fund |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 111 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE ALLOCATION FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016(a) | 2015(b) | 2014(b) | 2018 | 2017 | 2016(a) | 2015(b) | 2014(b) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.76 | $ | 25.78 | $ | 23.46 | $ | 27.04 | $ | 27.07 | $ | 25.77 | $ | 27.75 | $ | 25.78 | $ | 23.46 | $ | 27.03 | $ | 27.06 | $ | 25.75 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(c)† | 0.01 | 0.52 | 0.37 | 0.19 | 0.38 | 0.48 | 0.02 | 0.58 | 0.40 | 0.20 | 0.36 | 0.46 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.71 | ) | 2.12 | 2.35 | (3.26 | ) | 0.86 | 1.57 | (0.71 | ) | 2.06 | 2.33 | (3.26 | ) | 0.89 | 1.61 | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.70 | ) | 2.64 | 2.72 | (3.07 | ) | 1.24 | 2.05 | (0.69 | ) | 2.64 | 2.73 | (3.06 | ) | 1.25 | 2.07 | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.66 | ) | (0.40 | ) | (0.34 | ) | (0.52 | ) | (0.39 | ) | (0.03 | ) | (0.67 | ) | (0.41 | ) | (0.34 | ) | (0.53 | ) | (0.40 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | (0.17 | ) | (0.75 | ) | (0.36 | ) | — | — | — | (0.17 | ) | (0.75 | ) | (0.36 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.03 | ) | (0.66 | ) | (0.40 | ) | (0.51 | ) | (1.27 | ) | (0.75 | ) | (0.03 | ) | (0.67 | ) | (0.41 | ) | (0.51 | ) | (1.28 | ) | (0.76 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 27.03 | $ | 27.76 | $ | 25.78 | $ | 23.46 | $ | 27.04 | $ | 27.07 | $ | 27.03 | $ | 27.75 | $ | 25.78 | $ | 23.46 | $ | 27.03 | $ | 27.06 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Return(d) | (2.52 | )%** | 10.28 | % | 11.66 | % | (11.51 | )% | 4.71 | % | 8.03 | % | (2.47 | )%** | 10.30 | % | 11.71 | % | (11.46 | )% | 4.75 | % | 8.12 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 4,834,186 | $ | 5,162,084 | $ | 5,248,863 | $ | 5,872,663 | $ | 6,040,891 | $ | 3,109,509 | $ | 2,623,225 | $ | 2,756,005 | $ | 2,663,418 | $ | 2,508,115 | $ | 3,363,711 | $ | 2,511,906 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.65 | %* | 0.65 | % | 0.65 | % | 0.66 | % | 0.64 | % | 0.59 | %(f) | 0.60 | %* | 0.60 | % | 0.60 | % | 0.61 | % | 0.59 | % | 0.54 | %(f) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(g) | — | — | — | 0.02 | % | 0.05 | % | — | — | — | — | 0.02 | % | 0.05 | % | — | ||||||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.65 | %* | 0.65 | % | 0.65 | % | 0.68 | % | 0.69 | % | 0.59 | % | 0.60 | %* | 0.60 | % | 0.60 | % | 0.63 | % | 0.64 | % | 0.54 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(c) | 0.09 | %* | 1.93 | % | 1.46 | % | 0.73 | % | 1.41 | % | 1.79 | % | 0.16 | %* | 2.13 | % | 1.61 | % | 0.80 | % | 1.32 | % | 1.73 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 8 | %** | 9 | % | 7 | % | 53 | %(h) | 84 | % | 52 | % | 8 | %** | 9 | % | 7 | % | 53 | %(h) | 84 | % | 52 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i) | 0.15 | %* | 0.16 | % | 0.15 | % | 0.16 | % | 0.20 | % | 0.27 | % | 0.15 | %* | 0.16 | % | 0.15 | % | 0.16 | % | 0.20 | % | 0.27 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (j) | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.01 | $ | 0.03 | $ | 0.00 | (j) | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.01 | $ | 0.03 |
(a) | The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 - Basis of presentation and principles of consolidation). |
(b) | Consolidated financial highlights (Note 2 - Basis of presentation and principles of consolidation). |
(c) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. |
(h) | Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%. |
(i) | Ratios include indirect fees waived or borne by GMO. |
(j) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
112 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE ALLOCATION FUND (continued)
Class MF Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016(a) | 2015(b) | 2014(b) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.77 | $ | 25.80 | $ | 23.47 | $ | 27.04 | $ | 27.07 | $ | 25.76 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(c)† | 0.02 | 0.56 | 0.35 | 0.19 | 0.37 | 0.49 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.71 | ) | 2.08 | 2.39 | (3.24 | ) | 0.88 | 1.58 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.69 | ) | 2.64 | 2.74 | (3.05 | ) | 1.25 | 2.07 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.67 | ) | (0.41 | ) | (0.35 | ) | (0.53 | ) | (0.40 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (0.17 | ) | (0.75 | ) | (0.36 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.03 | ) | (0.67 | ) | (0.41 | ) | (0.52 | ) | (1.28 | ) | (0.76 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 27.05 | $ | 27.77 | $ | 25.80 | $ | 23.47 | $ | 27.04 | $ | 27.07 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(d) | (2.47 | )%** | 10.29 | % | 11.76 | % | (11.45 | )% | 4.78 | % | 8.11 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 5,095,709 | $ | 5,622,091 | $ | 5,858,177 | $ | 8,025,066 | $ | 12,255,179 | $ | 9,103,523 | ||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.60 | %* | 0.60 | % | 0.60 | %(f) | 0.58 | %(f) | 0.55 | %(f) | 0.53 | %(g) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(h) | — | — | — | 0.02 | % | 0.05 | % | — | ||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.60 | %* | 0.60 | % | 0.60 | %(f) | 0.60 | %(f) | 0.60 | %(f) | 0.53 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(c) | 0.15 | %* | 2.06 | % | 1.38 | % | 0.77 | % | 1.37 | % | 1.83 | % | ||||||||||||||||||
Portfolio turnover rate | 8 | %** | 9 | % | 7 | % | 53 | %(i) | 84 | % | 52 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(j) | 0.15 | %* | 0.16 | % | 0.16 | % | 0.19 | % | 0.23 | % | 0.27 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (k) | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.01 | $ | 0.03 |
(a) | The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 - Basis of presentation and principles of consolidation). |
(b) | Consolidated financial highlights (Note 2 - Basis of presentation and principles of consolidation). |
(c) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | Class MF net expenses include a supplemental support fee reduction (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. |
(i) | Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%. |
(j) | Ratios include indirect fees waived or borne by GMO. |
(k) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 113 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.91 | $ | 18.95 | $ | 17.00 | $ | 20.30 | $ | 22.09 | $ | 21.33 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.29 | 0.46 | 0.43 | 0.58 | 0.61 | 0.59 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.02 | ) | 2.10 | 2.01 | (2.70 | ) | 0.61 | 1.45 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.73 | ) | 2.56 | 2.44 | (2.12 | ) | 1.22 | 2.04 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.60 | ) | (0.49 | ) | (0.60 | ) | (0.79 | ) | (0.74 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (0.58 | ) | (2.22 | ) | (0.54 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.07 | ) | (0.60 | ) | (0.49 | ) | (1.18 | ) | (3.01 | ) | (1.28 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 20.11 | $ | 20.91 | $ | 18.95 | $ | 17.00 | $ | 20.30 | $ | 22.09 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (3.48 | )%** | 13.59 | % | 14.52 | % | (10.82 | )% | 5.76 | % | 9.66 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,566,324 | $ | 4,486,489 | $ | 4,394,260 | $ | 4,305,118 | $ | 5,052,362 | $ | 4,367,658 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.03 | %* | 0.02 | % | 0.01 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d)(e) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(f) | 0.06 | %* | 0.00 | %(g) | 0.00 | %(g) | — | — | — | |||||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.09 | %* | 0.02 | % | 0.01 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 2.84 | %* | 2.29 | % | 2.37 | % | 3.09 | % | 2.90 | % | 2.67 | % | ||||||||||||||||||
Portfolio turnover rate | 34 | %** | 78 | %(h) | 83 | %(h) | 101 | % | 60 | % | 51 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %* | 0.03 | % | 0.04 | % | 0.01 | % | 0.00 | %(i) | 0.00 | %(i) | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (j) | $ | 0.01 | $ | 0.00 | (j) | $ | 0.00 | (j) | $ | 0.00 | (j) | $ | 0.00 | (j) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | Ratio is less than 0.01%. |
(h) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 81% and 86%, respectively, of the average value of its portfolio. |
(i) | Fees and expenses reimbursed by GMO were less than 0.01%. |
(j) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
114 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL ASSET ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 33.31 | $ | 30.48 | $ | 27.60 | $ | 33.81 | $ | 35.40 | $ | 32.70 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.17 | 0.73 | 0.61 | 1.02 | 0.96 | 0.81 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.78 | ) | 2.93 | 3.00 | (4.53 | ) | 0.60 | 2.73 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.61 | ) | 3.66 | 3.61 | (3.51 | ) | 1.56 | 3.54 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | (0.83 | ) | (0.73 | ) | (1.14 | ) | (1.29 | ) | (0.84 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (1.56 | ) | (1.86 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.10 | ) | (0.83 | ) | (0.73 | ) | (2.70 | ) | (3.15 | ) | (0.84 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 32.60 | $ | 33.31 | $ | 30.48 | $ | 27.60 | $ | 33.81 | $ | 35.40 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (1.83 | )%** | 12.04 | % | 13.21 | % | (10.98 | )% | 4.55 | % | 10.88 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,192,051 | $ | 2,475,605 | $ | 2,423,945 | $ | 3,317,792 | $ | 4,868,922 | $ | 5,362,913 | ||||||||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.00 | %* | 2.24 | % | 2.06 | % | 3.33 | % | 2.75 | % | 2.33 | % | ||||||||||||||||||
Portfolio turnover rate | 10 | %(g)** | 20 | %(g) | 19 | %(g) | 20 | % | 38 | % | 46 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (h) | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.01 | $ | 0.01 |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 11%, 22% and 18%, respectively, of the average value of its portfolio. |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 115 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL DEVELOPED EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.88 | $ | 19.60 | $ | 17.40 | $ | 22.84 | $ | 25.00 | $ | 21.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.11 | 0.42 | 0.52 | 0.51 | 0.80 | 0.61 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.30 | ) | 3.55 | 2.87 | (3.64 | ) | 0.02 | (b) | 3.96 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.19 | ) | 3.97 | 3.39 | (3.13 | ) | 0.82 | 4.57 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.12 | ) | (0.69 | ) | (0.55 | ) | (0.52 | ) | (0.82 | ) | (0.70 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.64 | ) | (1.79 | ) | (2.16 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.12 | ) | (0.69 | ) | (1.19 | ) | (2.31 | ) | (2.98 | ) | (0.70 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 22.57 | $ | 22.88 | $ | 19.60 | $ | 17.40 | $ | 22.84 | $ | 25.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (0.83 | )%** | 20.39 | % | 20.03 | % | (14.81 | )% | 3.32 | % | 21.68 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 460,428 | $ | 469,283 | $ | 992,260 | $ | 1,432,776 | $ | 1,770,455 | $ | 1,591,060 | ||||||||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.95 | %* | 1.99 | % | 2.78 | % | 2.49 | % | 3.34 | % | 2.62 | % | ||||||||||||||||||
Portfolio turnover rate | 3 | %** | 5 | % | 29 | % | 14 | % | 16 | % | 36 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (g) | $ | 0.02 | $ | 0.01 | $ | 0.00 | (g) | $ | 0.00 | (g) | — |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
116 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.86 | $ | 22.84 | $ | 19.71 | $ | 26.22 | $ | 28.29 | $ | 25.80 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.11 | 0.68 | 0.57 | 0.60 | 0.96 | 0.84 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 4.11 | 3.67 | (4.47 | ) | (0.03 | )(c) | 3.63 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.76 | ) | 4.79 | 4.24 | (3.87 | ) | 0.93 | 4.47 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.77 | ) | (0.70 | ) | (0.60 | ) | (0.90 | ) | (0.87 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.41 | ) | (2.04 | ) | (2.10 | ) | (1.11 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.06 | ) | (0.77 | ) | (1.11 | ) | (2.64 | ) | (3.00 | ) | (1.98 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 26.04 | $ | 26.86 | $ | 22.84 | $ | 19.71 | $ | 26.22 | $ | 28.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(d) | (2.82 | )%** | 21.06 | % | 21.93 | % | (15.96 | )% | 3.37 | % | 17.60 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,013,930 | $ | 2,328,921 | $ | 2,206,818 | $ | 2,879,168 | $ | 3,800,256 | $ | 2,948,319 | ||||||||||||||||||
Net expenses to average daily net assets(f)(g) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.86 | %* | 2.67 | % | 2.63 | % | 2.58 | % | 3.54 | % | 3.02 | % | ||||||||||||||||||
Portfolio turnover rate | 4 | %** | 14 | % | 27 | % | 15 | % | 21 | % | 51 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (h) | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.01 | $ | 0.01 |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | Net expenses to average daily net assets were less than 0.01%. |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 117 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED IMPLEMENTATION FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.09 | $ | 13.06 | $ | 11.80 | $ | 13.59 | $ | 12.71 | $ | 11.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.27 | 0.33 | 0.27 | 0.21 | 0.25 | 0.32 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.73 | ) | 1.11 | 1.24 | (2.00 | ) | 0.63 | 1.09 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.46 | ) | 1.44 | 1.51 | (1.79 | ) | 0.88 | 1.41 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.41 | ) | (0.25 | ) | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.05 | ) | (0.41 | ) | (0.25 | ) | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 13.58 | $ | 14.09 | $ | 13.06 | $ | 11.80 | $ | 13.59 | $ | 12.71 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | (3.23 | )%** | 11.12 | % | 12.88 | % | (13.17 | )% | 6.92 | % | 12.48 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 10,451,916 | $ | 11,505,699 | $ | 11,226,684 | $ | 13,655,203 | $ | 15,915,866 | $ | 10,160,905 | ||||||||||||||||||
Net operating expenses to average daily net assets | 0.01 | %* | 0.00 | %(b) | 0.00 | %(b) | 0.00 | %(b) | 0.00 | %(b) | 0.00 | %(b)(c) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(d) | 0.13 | %* | 0.04 | % | 0.05 | % | 0.07 | % | 0.07 | % | — | |||||||||||||||||||
Total net expenses to average daily net assets | 0.14 | %* | 0.04 | % | 0.05 | % | 0.07 | % | 0.07 | % | 0.00 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.89 | %* | 2.44 | % | 2.11 | % | 1.62 | % | 1.89 | % | 2.61 | % | ||||||||||||||||||
Portfolio turnover rate | 62 | %** | 146 | % | 142 | % | 127 | % | 115 | % | 65 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.04 | % | 0.05 | % | 0.05 | % | 0.04 | % | 0.08 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (e) | $ | 0.01 | $ | 0.01 | $ | 0.01 | — | — |
(a) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(b) | Ratio is less than 0.01%. |
(c) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(d) | Interest expense and dividend expense incurred as a result of entering into repurchase agreements, securities sold short and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(e) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
118 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.32 | $ | 14.72 | $ | 13.05 | $ | 16.88 | $ | 17.99 | $ | 14.86 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.10 | 0.53 | 0.45 | 0.48 | 0.74 | 0.54 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.25 | ) | 2.61 | 1.79 | (3.83 | ) | (1.11 | ) | 3.16 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (1.15 | ) | 3.14 | 2.24 | (3.35 | ) | (0.37 | ) | 3.70 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.54 | ) | (0.57 | ) | (0.48 | ) | (0.74 | ) | (0.57 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.08 | ) | (0.54 | ) | (0.57 | ) | (0.48 | ) | (0.74 | ) | (0.57 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 16.09 | $ | 17.32 | $ | 14.72 | $ | 13.05 | $ | 16.88 | $ | 17.99 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | (6.64 | )%* | 21.41 | % | 17.37 | % | (20.09 | )% | (1.86 | )% | 25.02 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 635,242 | $ | 664,867 | $ | 601,792 | $ | 942,823 | $ | 1,180,493 | $ | 1,150,492 | ||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | %(e) | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.17 | %* | 3.20 | % | 3.14 | % | 3.07 | % | 4.24 | % | 3.28 | % | ||||||||||||
Portfolio turnover rate | 1 | %** | 5 | % | 10 | % | 14 | % | 7 | % | 52 | % | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.01 | $ | 0.00 | (f) | $ | 0.00 | (f) | — |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 119 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017(a) | 2016(a) | 2015(a) | 2014(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 32.62 | $ | 27.49 | $ | 23.40 | $ | 31.71 | $ | 34.11 | $ | 31.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.15 | 0.93 | 0.84 | 0.84 | 1.32 | 1.05 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.72 | ) | 5.19 | 4.15 | (7.11 | ) | (1.83 | ) | 3.96 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (2.57 | ) | 6.12 | 4.99 | (6.27 | ) | (0.51 | ) | 5.01 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.20 | ) | (0.99 | ) | (0.90 | ) | (0.87 | ) | (1.35 | ) | (1.02 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (1.17 | ) | (0.54 | ) | (1.17 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.20 | ) | (0.99 | ) | (0.90 | ) | (2.04 | ) | (1.89 | ) | (2.19 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 29.85 | $ | 32.62 | $ | 27.49 | $ | 23.40 | $ | 31.71 | $ | 34.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (7.89 | )%** | 22.38 | % | 21.57 | % | (20.70 | )% | (1.30 | )% | 16.22 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,020,446 | $ | 1,151,327 | $ | 1,085,803 | $ | 1,134,800 | $ | 1,595,039 | $ | 1,790,318 | ||||||||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.95 | %* | 3.00 | % | 3.20 | % | 2.92 | % | 3.94 | % | 3.15 | % | ||||||||||||||||||
Portfolio turnover rate | 1 | %** | 12 | % | 7 | % | 14 | % | 18 | % | 40 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (g) | $ | 0.02 | $ | 0.02 | $ | 0.01 | $ | 0.01 | $ | 0.02 |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
120 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SGM MAJOR MARKETS FUND
Class III Shares | Class IV Shares | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | Period from October 26, 2016 (commencement of operations) through February 28, 2017 | |||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 31.87 | $ | 32.68 | $ | 33.25 | $ | 33.80 | $ | 32.18 | $ | 30.47 | $ | 31.76 | $ | 32.56 | $ | 35.27 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.13 | 0.24 | (0.21 | ) | (0.26 | ) | (0.25 | ) | (0.22 | ) | 0.14 | (0.09 | ) | (0.05 | ) | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.10 | 0.23 | 1.87 | (0.29 | ) | 1.87 | (b) | 1.93 | 0.10 | 0.57 | (0.62 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
Total from investment operations | 0.23 | 0.47 | 1.66 | (0.55 | ) | 1.62 | 1.71 | 0.24 | 0.48 | (0.67 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | — | (1.01 | ) | — | — | — | — | — | (0.82 | ) | ||||||||||||||||||||||||||||||||||
From net realized gains | — | (1.28 | ) | (1.22 | ) | — | — | — | — | (1.28 | ) | (1.22 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
Total distributions | — | (1.28 | ) | (2.23 | ) | — | — | — | — | (1.28 | ) | (2.04 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
Net asset value, end of period | $ | 32.10 | $ | 31.87 | $ | 32.68 | $ | 33.25 | $ | 33.80 | $ | 32.18 | $ | 32.00 | $ | 31.76 | 32.56 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
Total Return(c) | 0.72 | %** | 1.44 | % | 5.12 | % | (1.63 | )% | 5.03 | % | 5.61 | % | 0.76 | %** | 1.47 | % | (1.79 | )%** | |||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 30,679 | $ | 26,630 | $ | 6,117 | $ | 24,020 | $ | 1,499,443 | $ | 1,662,189 | $ | 11,615 | $ | 11,903 | $ | 54,825 | |||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 1.00 | %* | 1.00 | % | 1.00 | % | 0.85 | % | 0.80 | % | 0.75 | % | 0.95 | %* | 0.95 | % | 0.95 | %* | |||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.80 | %* | 0.75 | % | (0.61 | )% | (0.79 | )% | (0.76 | )% | (0.70 | )% | 0.85 | %* | (0.27 | )% | (0.41 | )%* | |||||||||||||||||||||||||||
Portfolio turnover rate | 39 | %(e)** | 106 | %(e) | 15 | %(e) | 29 | % | 45 | % | 97 | % | 39 | %(e)** | 106 | %(e) | 15 | %**(e) | |||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.03 | % | 0.04 | % | 0.03 | % | 0.08 | % | 0.13 | % | 0.03 | %* | 0.03 | % | 0.05 | % |
Class VI Shares | ||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28 | Period from December 1, 2015 (commencement of operations) through February 29, 2016 | ||||||||||||||||||
2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 31.78 | $ | 32.57 | $ | 33.26 | $ | 33.07 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a)† | 0.14 | 0.05 | (0.16 | ) | (0.05 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.11 | 0.44 | 1.85 | 0.24 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.25 | 0.49 | 1.69 | 0.19 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | — | — | (1.16 | ) | — | |||||||||||||||
From net realized gains | — | (1.28 | ) | (1.22 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | — | (1.28 | ) | (2.38 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 32.03 | $ | 31.78 | $ | 32.57 | $ | 33.26 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 0.79 | %** | 1.50 | % | 5.22 | % | 0.57 | %** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,672,496 | $ | 1,843,748 | $ | 1,446,445 | $ | 1,297,025 | ||||||||||||
Net expenses to average daily net assets(d) | 0.91 | %* | 0.91 | % | 0.91 | % | 0.91 | %* | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.89 | %* | 0.16 | % | (0.47 | )% | (0.59 | )%* | ||||||||||||
Portfolio turnover rate | 39 | %(e)** | 106 | %(e) | 15 | %(e) | 29 | %** | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.03 | % | 0.04 | % | 0.13 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 48%, 51% and 47%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 121 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SPECIAL OPPORTUNITIES FUND
Class VI Shares | ||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | Period from July 28, 2014 (commencement of operations) through February 28, 2015 | ||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Net asset value, beginning of period | $ | 25.27 | $ | 20.39 | $ | 18.65 | $ | 19.81 | $ | 20.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)† | (0.02 | ) | (0.03 | ) | 0.21 | 0.16 | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.66 | 6.57 | 2.23 | (0.85 | ) | (0.15 | )(a) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 1.64 | 6.54 | 2.44 | (0.69 | ) | (0.18 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | — | (0.02 | ) | (0.32 | ) | (0.21 | ) | (0.01 | ) | |||||||||||
From net realized gains | (7.30 | ) | (1.64 | ) | (0.38 | ) | (0.26 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (7.30 | ) | (1.66 | ) | (0.70 | ) | (0.47 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 19.61 | $ | 25.27 | $ | 20.39 | $ | 18.65 | $ | 19.81 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(b) | 6.81 | %** | 32.60 | % | 13.21 | % | (3.64 | )% | (0.89 | )%** | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 452,348 | $ | 1,036,245 | $ | 992,819 | $ | 1,138,735 | $ | 843,864 | ||||||||||
Net expenses to average daily net assets | 1.20 | %* | 1.21 | % | 1.23 | % | 1.29 | % | 1.36 | %* | ||||||||||
Net investment income (loss) to average daily net assets | (0.19 | )%* | (0.12 | )% | 1.05 | % | 0.80 | % | (0.25 | )%* | ||||||||||
Portfolio turnover rate | 6 | %** | 10 | % | 87 | % | 69 | % | 64 | %** | ||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | — | — | — | 0.02 | %* | ||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.10 | $ | 0.04 | $ | 0.03 | $ | 0.07 | $ | 0.13 |
(a) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
122 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
STRATEGIC OPPORTUNITIES ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.08 | $ | 19.76 | $ | 17.43 | $ | 21.89 | $ | 23.43 | $ | 21.47 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.15 | 0.58 | 0.51 | 0.75 | 0.76 | 0.68 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.75 | ) | 2.39 | 2.36 | (3.47 | ) | 0.44 | 2.96 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.60 | ) | 2.97 | 2.87 | (2.72 | ) | 1.20 | 3.64 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.63 | ) | (0.53 | ) | (0.80 | ) | (0.87 | ) | (0.78 | ) | ||||||||||||||||||
From net realized gains | (0.86 | ) | (0.02 | ) | (0.01 | ) | (0.94 | ) | (1.87 | ) | (0.90 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.92 | ) | (0.65 | ) | (0.54 | ) | (1.74 | ) | (2.74 | ) | (1.68 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 20.56 | $ | 22.08 | $ | 19.76 | $ | 17.43 | $ | 21.89 | $ | 23.43 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (2.69 | )%** | 15.10 | % | 16.60 | % | (13.00 | )% | 5.36 | % | 17.24 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,086,928 | $ | 1,302,441 | $ | 2,016,999 | $ | 1,967,916 | $ | 2,449,194 | $ | 2,455,863 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.00 | %(d)* | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d)(e) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(f) | 0.05 | %* | — | — | — | — | — | |||||||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.05 | %* | — | — | — | — | — | |||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.36 | %* | 2.73 | % | 2.69 | % | 3.80 | % | 3.31 | % | 2.99 | % | ||||||||||||||||||
Portfolio turnover rate | 20 | %(g)** | 20 | %(g) | 28 | %(g) | 65 | % | 30 | % | 53 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (h) | $ | 0.02 | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 20%, 25% and 39%, respectively, of the average value of its portfolio. |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 123 |
GMO Trust Funds
August 31, 2018 (Unaudited)
1. | Organization |
Each of Alpha Only 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, SGM Major Markets Fund, Special Opportunities Fund 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 Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in their wholly-owned subsidiaries, GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., 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.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Alpha Only Fund | FTSE 3-Month Treasury Bill Index | Total return greater than benchmark | ||
Benchmark-Free Allocation Fund | Not Applicable | Positive total return, not relative return | ||
Benchmark-Free Fund | Not Applicable | Positive total return | ||
Global Asset Allocation Fund | GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg Barclays U.S. Aggregate Index) | Total return greater than benchmark | ||
Global Developed Equity Allocation Fund | MSCI World Index | Total return greater than benchmark | ||
Global Equity Allocation Fund | MSCI ACWI | Total return greater than benchmark | ||
Implementation Fund | Not Applicable | Positive total return, not relative return | ||
International Developed Equity Allocation Fund | MSCI EAFE Index | Total return greater than benchmark | ||
International Equity Allocation Fund | MSCI ACWI ex USA | Total return greater than benchmark | ||
SGM Major Markets Fund | Not Applicable | Long-term total return | ||
Special Opportunities Fund | Not Applicable | Positive total return | ||
Strategic Opportunities Allocation Fund | GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg Barclays U.S. Aggregate Index) | Total return greater than benchmark |
Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.
Global Developed Equity Allocation Fund is currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.
124
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund
Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation SPC Ltd., Special Opportunities SPC Ltd., and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. Prior to August 1, 2015, Benchmark-Free Allocation Fund (“BFAF”) included the accounts of its wholly-owned subsidiary, Implementation Fund. Effective August 1, 2015, BFAF was no longer the sole shareholder of Implementation Fund, thus consolidation was no longer required. The accompanying Financial Highlights for BFAF include the accounts of Implementation Fund through July 31, 2015. All interfund accounts and transactions have been eliminated in consolidation.
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 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 generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. 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 pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
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 the value of 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, the price 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, if any, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2018. 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) in the table below and are described in the disclosures of the underlying funds.
125
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
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. See the table below for information about securities for which no alternative pricing source was available.
“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.
As discussed above, certain of the Funds and 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, fair valued using inputs obtained from an independent pricing service, or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2018 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | Single source; No alternative pricing source was available | |||||||||
Alpha Only Fund | — | 61% | — | |||||||||
Benchmark-Free Allocation Fund | < 1% | 37% | 2% | |||||||||
Benchmark-Free Fund | < 1% | 44% | 2% | |||||||||
Global Asset Allocation Fund | < 1% | 39% | < 1% | |||||||||
Global Developed Equity Allocation Fund | < 1% | 55% | — | |||||||||
Global Equity Allocation Fund | < 1% | 62% | — | |||||||||
Consolidated Implementation Fund | < 1% | 47% | 1% | |||||||||
International Developed Equity Allocation Fund | < 1% | 94% | — | |||||||||
International Equity Allocation Fund | < 1% | 92% | — | |||||||||
Consolidated SGM Major Markets Fund | — | < 1% | — | |||||||||
Consolidated Special Opportunities Fund | — | 11% | — | |||||||||
Strategic Opportunities Allocation Fund | < 1% | 46% | 1% |
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.
126
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or as disclosed in the Asset and Liability Valuation Inputs table below, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2018.
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 and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; 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 are 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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities 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 August 31, 2018:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Alpha Only Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 1,106,315 | $ | — | $ | 1,106,315 | ||||||||
Austria | — | 351,180 | — | 351,180 | ||||||||||||
Belgium | — | 87,891 | — | 87,891 | ||||||||||||
Brazil | 26,444 | 2,549,180 | — | 2,575,624 | ||||||||||||
Chile | — | 16,307 | — | 16,307 | ||||||||||||
China | 43,328 | 14,351,945 | — | 14,395,273 | ||||||||||||
Colombia | 11,352 | — | — | 11,352 | ||||||||||||
Czech Republic | — | 15,540 | — | 15,540 | ||||||||||||
127
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Alpha Only Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Denmark | $ | — | $ | 7,432 | $ | — | $ | 7,432 | ||||||||
Egypt | — | 10,410 | — | 10,410 | ||||||||||||
Finland | — | 471,231 | — | 471,231 | ||||||||||||
France | 21,425 | 1,804,482 | — | 1,825,907 | ||||||||||||
Germany | — | 3,780,354 | — | 3,780,354 | ||||||||||||
Greece | — | — | 36,561 | 36,561 | ||||||||||||
Hong Kong | — | 590,070 | — | 590,070 | ||||||||||||
Hungary | — | 49,758 | — | 49,758 | ||||||||||||
India | — | 3,746,677 | — | 3,746,677 | ||||||||||||
Indonesia | — | 199,360 | — | 199,360 | ||||||||||||
Ireland | — | 6,718 | — | 6,718 | ||||||||||||
Israel | — | 171,964 | — | 171,964 | ||||||||||||
Italy | 237,829 | 1,244,882 | — | 1,482,711 | ||||||||||||
Japan | — | 8,347,294 | — | 8,347,294 | ||||||||||||
Malaysia | — | 423,966 | 0 | § | 423,966 | |||||||||||
Mexico | 1,133,671 | — | — | 1,133,671 | ||||||||||||
Netherlands | — | 1,045,023 | — | 1,045,023 | ||||||||||||
New Zealand | — | 28,776 | — | 28,776 | ||||||||||||
Norway | — | 1,158,402 | — | 1,158,402 | ||||||||||||
Philippines | — | 63,855 | — | 63,855 | ||||||||||||
Poland | — | 153,714 | — | 153,714 | ||||||||||||
Portugal | — | 44,339 | — | 44,339 | ||||||||||||
Qatar | — | 11,213 | — | 11,213 | ||||||||||||
Russia | — | 534,145 | — | 534,145 | ||||||||||||
Singapore | — | 206,392 | — | 206,392 | ||||||||||||
South Africa | — | 3,432,075 | — | 3,432,075 | ||||||||||||
South Korea | 460,377 | 3,723,949 | — | 4,184,326 | ||||||||||||
Spain | — | 644,176 | — | 644,176 | ||||||||||||
Sweden | — | 1,441,335 | — | 1,441,335 | ||||||||||||
Switzerland | — | 3,741,934 | — | 3,741,934 | ||||||||||||
Taiwan | 877,712 | 6,107,072 | — | 6,984,784 | ||||||||||||
Thailand | — | 2,194,175 | — | 2,194,175 | ||||||||||||
Turkey | — | 788,774 | — | 788,774 | ||||||||||||
United Arab Emirates | — | 17,918 | — | 17,918 | ||||||||||||
United Kingdom | 1,285,900 | 6,555,223 | — | 7,841,123 | ||||||||||||
United States | 29,785,962 | — | — | 29,785,962 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 33,884,000 | 71,225,446 | 36,561 | 105,146,007 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 16,656 | 158,659 | — | 175,315 | ||||||||||||
Colombia | 14,927 | — | — | 14,927 | ||||||||||||
Germany | — | 364,103 | — | 364,103 | ||||||||||||
Russia | — | 15,231 | — | 15,231 | ||||||||||||
South Korea | — | 582,948 | — | 582,948 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 31,583 | 1,120,941 | — | 1,152,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Thailand | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 0 | �� | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
128
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Alpha Only Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 7,476,175 | $ | — | $ | — | $ | 7,476,175 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 7,476,175 | — | — | 7,476,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 7,818,013 | — | — | 7,818,013 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 49,209,771 | 72,346,387 | 36,561 | 121,592,719 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 463,811 | — | 463,811 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 49,209,771 | $ | 72,810,198 | $ | 36,561 | $ | 122,056,530 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (77,608 | ) | $ | — | $ | (77,608 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (4,276,176 | ) | — | — | (4,276,176 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (4,276,176 | ) | $ | (77,608 | ) | $ | — | $ | (4,353,784 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 12,552,472,324 | $ | — | $ | — | $ | 12,552,472,324 | ||||||||
Short-Term Investments | 7,583,551 | — | — | 7,583,551 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 12,560,055,875 | — | — | 12,560,055,875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,560,055,875 | $ | — | $ | — | $ | 12,560,055,875 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 29,766,873 | $ | — | $ | 29,766,873 | ||||||||
Austria | — | 6,982,677 | — | 6,982,677 | ||||||||||||
Belgium | — | 1,851,216 | — | 1,851,216 | ||||||||||||
Brazil | 1,737,121 | 37,211,648 | — | 38,948,769 | ||||||||||||
Canada | 57,794,676 | — | — | 57,794,676 | ||||||||||||
Chile | — | 67,998 | — | 67,998 | ||||||||||||
China | 8,399,367 | 197,273,757 | — | 205,673,124 | ||||||||||||
Colombia | 2,463,871 | — | — | 2,463,871 | ||||||||||||
Czech Republic | — | 221,434 | — | 221,434 | ||||||||||||
Denmark | 1,784,871 | 6,855,927 | — | 8,640,798 | ||||||||||||
Egypt | — | 9,052 | — | 9,052 | ||||||||||||
Finland | — | 8,920,493 | — | 8,920,493 | ||||||||||||
France | 8,257,681 | 37,713,979 | — | 45,971,660 | ||||||||||||
Germany | — | 73,743,520 | — | 73,743,520 | ||||||||||||
Greece | — | — | 67,166 | 67,166 | ||||||||||||
Hong Kong | — | 19,196,324 | — | 19,196,324 | ||||||||||||
Hungary | — | 1,215,368 | — | 1,215,368 | ||||||||||||
India | — | 55,453,565 | — | 55,453,565 | ||||||||||||
Indonesia | 52,074 | 5,514,637 | — | 5,566,711 | ||||||||||||
Ireland | 1,877,652 | — | — | 1,877,652 | ||||||||||||
129
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Israel | $ | — | $ | 824,737 | $ | — | $ | 824,737 | ||||||||
Italy | 10,676,640 | 19,863,277 | — | 30,539,917 | ||||||||||||
Japan | — | 173,075,765 | — | 173,075,765 | ||||||||||||
Malaysia | — | 5,229,385 | — | 5,229,385 | ||||||||||||
Mexico | 21,388,701 | — | — | 21,388,701 | ||||||||||||
Netherlands | — | 12,634,564 | — | 12,634,564 | ||||||||||||
New Zealand | — | 1,476,693 | — | 1,476,693 | ||||||||||||
Norway | — | 24,437,103 | — | 24,437,103 | ||||||||||||
Pakistan | — | 137,840 | — | 137,840 | ||||||||||||
Peru | 109,010 | — | — | 109,010 | ||||||||||||
Philippines | — | 1,053,266 | — | 1,053,266 | ||||||||||||
Poland | — | 5,066,103 | — | 5,066,103 | ||||||||||||
Portugal | — | 560,664 | — | 560,664 | ||||||||||||
Qatar | — | 1,227,584 | — | 1,227,584 | ||||||||||||
Russia | 1,245,550 | 23,482,770 | — | 24,728,320 | ||||||||||||
Singapore | — | 4,812,328 | — | 4,812,328 | ||||||||||||
South Africa | 39,260 | 50,908,012 | — | 50,947,272 | ||||||||||||
South Korea | 5,774,220 | 62,591,000 | — | 68,365,220 | ||||||||||||
Spain | — | 10,626,914 | — | 10,626,914 | ||||||||||||
Sweden | — | 36,373,607 | — | 36,373,607 | ||||||||||||
Switzerland | 130,480 | 40,205,460 | — | 40,335,940 | ||||||||||||
Taiwan | 5,669,145 | 89,654,896 | — | 95,324,041 | ||||||||||||
Thailand | — | 28,125,758 | — | 28,125,758 | ||||||||||||
Turkey | — | 13,710,089 | — | 13,710,089 | ||||||||||||
United Arab Emirates | — | 976,044 | — | 976,044 | ||||||||||||
United Kingdom | 11,327,592 | 96,479,158 | — | 107,806,750 | ||||||||||||
United States | 150,725,147 | — | — | 150,725,147 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 289,453,058 | 1,185,531,485 | 67,166 | 1,475,051,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 9,708,528 | — | 9,708,528 | ||||||||||||
Colombia | 26,944 | — | — | 26,944 | ||||||||||||
Germany | — | 2,741,634 | — | 2,741,634 | ||||||||||||
Russia | — | 2,736,137 | — | 2,736,137 | ||||||||||||
South Korea | — | 13,367,627 | — | 13,367,627 | ||||||||||||
Sweden | — | 94,852 | — | 94,852 | ||||||||||||
Taiwan | — | 29,243 | — | 29,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 26,944 | 28,678,021 | — | 28,704,965 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Thailand | 74,814 | — | — | 74,814 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 74,814 | — | — | 74,814 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 1,734,614 | — | — | 1,734,614 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 1,734,614 | — | — | 1,734,614 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 161,862,888 | 592,084,194 | — | 753,947,082 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 161,862,888 | 592,084,194 | — | 753,947,082 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
130
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 1,113,718,893 | $ | — | $ | — | $ | 1,113,718,893 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,113,718,893 | — | — | 1,113,718,893 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 18,223,136 | 199,446,644 | — | 217,669,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,585,094,347 | 2,005,740,344 | 67,166 | 3,590,901,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 2,230,442 | — | 2,230,442 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 37,304 | — | 37,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,585,094,347 | $ | 2,008,008,090 | $ | 67,166 | $ | 3,593,169,603 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | (2,643,435 | ) | $ | — | $ | — | $ | (2,643,435 | ) | ||||||
Canada | (5,511,435 | ) | — | — | (5,511,435 | ) | ||||||||||
Denmark | — | (1,168,643 | ) | — | (1,168,643 | ) | ||||||||||
Finland | — | (39,707 | ) | — | (39,707 | ) | ||||||||||
France | — | (2,094,194 | ) | — | (2,094,194 | ) | ||||||||||
Germany | — | (6,169,376 | ) | — | (6,169,376 | ) | ||||||||||
Israel | (1,188,536 | ) | — | — | (1,188,536 | ) | ||||||||||
Italy | — | (5,477,322 | ) | — | (5,477,322 | ) | ||||||||||
Japan | — | (7,081,894 | ) | — | (7,081,894 | ) | ||||||||||
Netherlands | — | (618,318 | ) | — | (618,318 | ) | ||||||||||
Singapore | — | (73,496 | ) | — | (73,496 | ) | ||||||||||
Spain | — | (6,606,422 | ) | — | (6,606,422 | ) | ||||||||||
Sweden | — | (45,218 | ) | — | (45,218 | ) | ||||||||||
Switzerland | — | (2,838,305 | ) | — | (2,838,305 | ) | ||||||||||
United Kingdom | — | (3,922,527 | ) | — | (3,922,527 | ) | ||||||||||
United States | (1,408,279 | ) | — | — | (1,408,279 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (10,751,685 | ) | (36,135,422 | ) | — | (46,887,107 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (353,507 | ) | — | (353,507 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (12,540,909 | ) | — | — | (12,540,909 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (665,959 | ) | — | (665,959 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (23,292,594 | ) | $ | (37,154,888 | ) | $ | — | $ | (60,447,482 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Global Asset Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 2,191,777,680 | $ | — | $ | — | $ | 2,191,777,680 | ||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | — | 55,973 | — | 55,973 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 55,973 | — | 55,973 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
131
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Asset Allocation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Short-Term Investments | $ | 315,238 | $ | — | $ | — | $ | 315,238 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,192,092,918 | 55,973 | — | 2,192,148,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,192,092,918 | $ | 55,973 | $ | — | $ | 2,192,148,891 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 460,355,817 | $ | — | $ | — | $ | 460,355,817 | ||||||||
Short-Term Investments | 121,679 | — | — | 121,679 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 460,477,496 | — | — | 460,477,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 460,477,496 | $ | — | $ | — | $ | 460,477,496 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 2,013,440,565 | $ | — | $ | — | $ | 2,013,440,565 | ||||||||
Short-Term Investments | 656,642 | — | — | 656,642 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,014,097,207 | — | — | 2,014,097,207 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,014,097,207 | $ | — | $ | — | $ | 2,014,097,207 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Implementation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 102,646,178 | $ | — | $ | 102,646,178 | ||||||||
Austria | — | 27,035,385 | — | 27,035,385 | ||||||||||||
Belgium | — | 8,657,425 | — | 8,657,425 | ||||||||||||
Brazil | 22,436,987 | 128,864,478 | — | 151,301,465 | ||||||||||||
Canada | 189,484,519 | — | — | 189,484,519 | ||||||||||||
Chile | — | 1,183,490 | — | 1,183,490 | ||||||||||||
China | 31,436,425 | 812,673,509 | — | 844,109,934 | ||||||||||||
Colombia | 11,568,086 | — | — | 11,568,086 | ||||||||||||
Czech Republic | — | 2,294,668 | — | 2,294,668 | ||||||||||||
Denmark | 5,236,605 | 19,745,778 | — | 24,982,383 | ||||||||||||
Egypt | — | 129,694 | — | 129,694 | ||||||||||||
Finland | — | 32,180,897 | — | 32,180,897 | ||||||||||||
France | 19,017,334 | 128,066,283 | — | 147,083,617 | ||||||||||||
Germany | — | 293,671,364 | — | 293,671,364 | ||||||||||||
Greece | — | 505,928 | — | 505,928 | ||||||||||||
Hong Kong | — | 56,945,469 | — | 56,945,469 | ||||||||||||
Hungary | — | 4,495,847 | — | 4,495,847 | ||||||||||||
India | — | 171,936,036 | — | 171,936,036 | ||||||||||||
Indonesia | 1,053,315 | 51,767,348 | — | 52,820,663 | ||||||||||||
Ireland | 4,664,326 | 52,683 | — | 4,717,009 | ||||||||||||
Israel | 23,474,902 | 15,912,085 | — | 39,386,987 | ||||||||||||
Italy | 31,075,593 | 74,450,340 | — | 105,525,933 | ||||||||||||
Japan | — | 578,352,108 | — | 578,352,108 | ||||||||||||
Malaysia | — | 16,912,282 | — | 16,912,282 | ||||||||||||
Mexico | 127,439,367 | — | — | 127,439,367 | ||||||||||||
Netherlands | 32,906,362 | 49,105,836 | — | 82,012,198 | ||||||||||||
New Zealand | — | 2,844,871 | — | 2,844,871 | ||||||||||||
Norway | — | 72,212,945 | — | 72,212,945 | ||||||||||||
132
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Pakistan | $ | — | $ | 1,633,976 | $ | — | $ | 1,633,976 | ||||||||
Philippines | — | 12,863,795 | — | 12,863,795 | ||||||||||||
Poland | — | 69,985,792 | — | 69,985,792 | ||||||||||||
Portugal | — | 2,256,625 | — | 2,256,625 | ||||||||||||
Qatar | — | 25,704,874 | — | 25,704,874 | ||||||||||||
Russia | 15,984,601 | 259,665,427 | — | 275,650,028 | ||||||||||||
Singapore | — | 14,272,940 | — | 14,272,940 | ||||||||||||
South Africa | 541,788 | 259,531,776 | — | 260,073,564 | ||||||||||||
South Korea | 17,951,712 | 243,416,358 | — | 261,368,070 | ||||||||||||
Spain | 25,203,259 | 34,242,129 | — | 59,445,388 | ||||||||||||
Sweden | — | 116,063,344 | — | 116,063,344 | ||||||||||||
Switzerland | — | 155,141,883 | — | 155,141,883 | ||||||||||||
Taiwan | 40,745,212 | 521,705,781 | — | 562,450,993 | ||||||||||||
Thailand | — | 159,548,871 | — | 159,548,871 | ||||||||||||
Turkey | 316,646 | 98,682,877 | — | 98,999,523 | ||||||||||||
United Arab Emirates | — | 12,967,608 | — | 12,967,608 | ||||||||||||
United Kingdom | 101,612,975 | 306,941,451 | — | 408,554,426 | ||||||||||||
United States | 1,002,428,640 | 1,480,812 | 4,652,628 | 1,008,562,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,704,578,654 | 4,948,749,246 | 4,652,628 | 6,657,980,528 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 8,841 | 32,689,585 | — | 32,698,426 | ||||||||||||
Germany | — | 14,748,228 | — | 14,748,228 | ||||||||||||
Russia | — | 13,806,431 | — | 13,806,431 | ||||||||||||
South Korea | — | 47,925,562 | — | 47,925,562 | ||||||||||||
Taiwan | — | 445,387 | — | 445,387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 8,841 | 109,615,193 | — | 109,624,034 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Brazil | — | — | 436,824 | 436,824 | ||||||||||||
Canada | — | — | 137,808 | 137,808 | ||||||||||||
Thailand | 362,657 | — | — | 362,657 | ||||||||||||
United States | — | — | 130,841 | 130,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 362,657 | — | 705,473 | 1,068,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 35,554,467 | — | — | 35,554,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 35,554,467 | — | — | 35,554,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
Italy | — | 4,112,828 | — | 4,112,828 | ||||||||||||
Jamaica | — | 6,305,356 | — | 6,305,356 | ||||||||||||
Japan | — | 365,016,854 | — | 365,016,854 | ||||||||||||
Luxembourg | — | — | 6,069,889 | 6,069,889 | ||||||||||||
Puerto Rico | 1,368,750 | 18,717,566 | — | 20,086,316 | ||||||||||||
Spain | — | — | 4,987,421 | 4,987,421 | ||||||||||||
United States | 951,482,870 | 1,825,597,967 | 43,408,370 | 2,820,489,207 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 952,851,620 | 2,219,750,571 | 54,465,680 | 3,227,067,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 43,733,040 | — | — | 43,733,040 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 43,733,040 | — | — | 43,733,040 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
133
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Short-Term Investments | $ | 123,009,874 | $ | 293,477,628 | $ | — | $ | 416,487,502 | ||||||||
Purchased Options | 2,375,845 | — | 799,510 | 3,175,355 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,862,474,998 | 7,571,592,638 | 60,623,291 | 10,494,690,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 18,872,718 | — | 18,872,718 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 1,555,431 | — | 1,555,431 | ||||||||||||
Equity Risk | — | 4,498 | — | 4,498 | ||||||||||||
Interest Rate Risk | — | 7,595,247 | — | 7,595,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,862,474,998 | $ | 7,599,620,532 | $ | 60,623,291 | $ | 10,522,718,821 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | (9,681,039 | ) | $ | — | $ | — | $ | (9,681,039 | ) | ||||||
Canada | (20,192,254 | ) | — | — | (20,192,254 | ) | ||||||||||
China | (36,000,257 | ) | — | — | (36,000,257 | ) | ||||||||||
Denmark | — | (2,951,578 | ) | — | (2,951,578 | ) | ||||||||||
France | — | (6,403,772 | ) | — | (6,403,772 | ) | ||||||||||
Germany | — | (22,072,712 | ) | — | (22,072,712 | ) | ||||||||||
Israel | (1,591,362 | ) | — | — | (1,591,362 | ) | ||||||||||
Italy | — | (15,077,266 | ) | — | (15,077,266 | ) | ||||||||||
Japan | — | (56,677,611 | ) | — | (56,677,611 | ) | ||||||||||
Netherlands | — | (1,304,877 | ) | — | (1,304,877 | ) | ||||||||||
Singapore | — | (452,242 | ) | — | (452,242 | ) | ||||||||||
Spain | — | (13,457,532 | ) | — | (13,457,532 | ) | ||||||||||
Switzerland | — | (13,177,723 | ) | — | (13,177,723 | ) | ||||||||||
United Kingdom | — | (14,255,233 | ) | — | (14,255,233 | ) | ||||||||||
United States | (136,221,910 | ) | — | — | (136,221,910 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (203,686,822 | ) | (145,830,546 | ) | — | (349,517,368 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (8,697,555 | ) | — | (8,697,555 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (62,026,499 | ) | — | — | (62,026,499 | ) | ||||||||||
Written Options | ||||||||||||||||
Equity Risk | (1,560,905 | ) | — | — | (1,560,905 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (1,843,355 | ) | — | (1,843,355 | ) | ||||||||||
Interest Rate Risk | — | (6,600,284 | ) | — | (6,600,284 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (267,274,226 | ) | $ | (162,971,740 | ) | $ | — | $ | (430,245,966 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 635,059,954 | $ | — | $ | — | $ | 635,059,954 | ||||||||
Short-Term Investments | 241,796 | — | — | 241,796 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 635,301,750 | — | — | 635,301,750 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 635,301,750 | $ | — | $ | — | $ | 635,301,750 | ||||||||
|
|
|
|
|
|
|
| |||||||||
134
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,020,151,473 | $ | — | $ | — | $ | 1,020,151,473 | ||||||||
Short-Term Investments | 356,878 | — | — | 356,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,020,508,351 | — | — | 1,020,508,351 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,020,508,351 | $ | — | $ | — | $ | 1,020,508,351 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 768,565,138 | $ | — | $ | — | $ | 768,565,138 | ||||||||
U.S. Government Agency | 348,966,754 | — | — | 348,966,754 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 1,117,531,892 | — | — | 1,117,531,892 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 596,548,736 | 17,204,641 | — | 613,753,377 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,714,080,628 | 17,204,641 | — | 1,731,285,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 6,305,016 | — | 6,305,016 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | — | 3,055,025 | — | 3,055,025 | ||||||||||||
Interest Rate Risk | 2,395,440 | — | — | 2,395,440 | ||||||||||||
Physical Commodity Contract Risk | 5,582,905 | — | — | 5,582,905 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,722,058,973 | $ | 26,564,682 | $ | — | $ | 1,748,623,655 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (15,066,893 | ) | $ | — | $ | (15,066,893 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (34,386,427 | ) | (11,498,298 | ) | — | (45,884,725 | ) | |||||||||
Interest Rate Risk | (120,210 | ) | — | — | (120,210 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (34,506,637 | ) | $ | (26,565,191 | ) | $ | — | $ | (61,071,828 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Canada | $ | — | $ | — | $ | 45,977 | $ | 45,977 | ||||||||
Germany | — | 18,234,282 | — | 18,234,282 | ||||||||||||
Netherlands | 21,427,250 | — | — | 21,427,250 | ||||||||||||
United Kingdom | — | 32,732,492 | — | 32,732,492 | ||||||||||||
United States | 260,557,964 | — | — | 260,557,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 281,985,214 | 50,966,774 | 45,977 | 332,997,965 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 118,908,642 | — | — | 118,908,642 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 400,893,856 | 50,966,774 | 45,977 | 451,906,607 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 400,893,856 | $ | 50,966,774 | $ | 45,977 | $ | 451,906,607 | ||||||||
|
|
|
|
|
|
|
| |||||||||
135
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Special Opportunities Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (229,000 | ) | $ | — | $ | — | $ | (229,000 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (229,000 | ) | $ | — | $ | — | $ | (229,000 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 1,113,824 | $ | — | $ | 1,113,824 | ||||||||
Austria | — | 238,952 | — | 238,952 | ||||||||||||
Belgium | — | 31,660 | — | 31,660 | ||||||||||||
Brazil | — | 2,172,196 | — | 2,172,196 | ||||||||||||
Canada | 2,780,039 | — | — | 2,780,039 | ||||||||||||
China | — | 4,297,120 | — | 4,297,120 | ||||||||||||
Denmark | 108,174 | 241,208 | — | 349,382 | ||||||||||||
France | 441,568 | 1,276,055 | — | 1,717,623 | ||||||||||||
Germany | — | 3,259,506 | — | 3,259,506 | ||||||||||||
Hong Kong | — | 996,807 | — | 996,807 | ||||||||||||
India | 982,421 | — | — | 982,421 | ||||||||||||
Ireland | 44,706 | — | — | 44,706 | ||||||||||||
Italy | 680,978 | 1,502,466 | — | 2,183,444 | ||||||||||||
Japan | — | 10,590,568 | — | 10,590,568 | ||||||||||||
Malaysia | — | 152,000 | — | 152,000 | ||||||||||||
Malta | — | — | 0 | § | 0§ | |||||||||||
Mexico | 19,325 | — | — | 19,325 | ||||||||||||
Netherlands | — | 124,038 | — | 124,038 | ||||||||||||
New Zealand | — | 9,387 | — | 9,387 | ||||||||||||
Norway | — | 1,166,290 | — | 1,166,290 | ||||||||||||
Poland | — | 23,724 | — | 23,724 | ||||||||||||
Portugal | — | 17,139 | — | 17,139 | ||||||||||||
Singapore | — | 43,567 | — | 43,567 | ||||||||||||
South Africa | — | 937,712 | — | 937,712 | ||||||||||||
South Korea | 494,190 | 892,144 | — | 1,386,334 | ||||||||||||
Spain | — | 142,299 | — | 142,299 | ||||||||||||
Sweden | — | 2,748,390 | — | 2,748,390 | ||||||||||||
Switzerland | — | 374,817 | — | 374,817 | ||||||||||||
Taiwan | — | 1,652,430 | — | 1,652,430 | ||||||||||||
Thailand | — | 25,198 | — | 25,198 | ||||||||||||
United Kingdom | 191,400 | 5,007,870 | — | 5,199,270 | ||||||||||||
United States | 61,229,746 | — | — | 61,229,746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 66,972,547 | 39,037,367 | 0 | § | 106,009,914 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 707,709 | — | 707,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 707,709 | — | 707,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | — | 86,094,937 | — | 86,094,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 86,094,937 | — | 86,094,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
136
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 916,387,200 | $ | — | $ | — | $ | 916,387,200 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 916,387,200 | — | — | 916,387,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 1,195,166 | — | — | 1,195,166 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 984,554,913 | 125,840,013 | 0§ | 1,110,394,926 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | (268,677 | ) | $ | — | $ | — | $ | (268,677 | ) | ||||||
Canada | (1,307,316 | ) | — | — | (1,307,316 | ) | ||||||||||
France | — | (457,497 | ) | — | (457,497 | ) | ||||||||||
Germany | — | (1,669,831 | ) | — | (1,669,831 | ) | ||||||||||
Italy | — | (121,685 | ) | — | (121,685 | ) | ||||||||||
Japan | — | (1,366,351 | ) | — | (1,366,351 | ) | ||||||||||
Netherlands | — | (40,777 | ) | — | (40,777 | ) | ||||||||||
Portugal | — | (118,680 | ) | — | (118,680 | ) | ||||||||||
Spain | — | (854,823 | ) | — | (854,823 | ) | ||||||||||
Switzerland | — | (787,511 | ) | — | (787,511 | ) | ||||||||||
United Kingdom | — | (456,187 | ) | — | (456,187 | ) | ||||||||||
United States | (15,997,273 | ) | — | — | (15,997,273 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (17,573,266 | ) | (5,873,342 | ) | — | (23,446,608 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (75,139 | ) | — | (75,139 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (17,573,266 | ) | $ | (5,948,481 | ) | $ | — | $ | (23,521,747 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
^ | The tables above are based on market values or unrealized appreciation/(depreciation), in the case of forward currency contracts, rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2018. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2018, there were no significant transfers between Level 1 and Level 2.
137
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2018 | Purchases | Sales | Accrued Discounts/ Premiums | Total (Loss) | Change in (Depreciation) | Transfer into Level 3† | Transfer out of Level 3† | Balances as of August 31, 2018 | Net Change in 2018 | |||||||||||||||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Greece | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 36,561 | ‡ | $ | — | $ | 36,561 | $ | — | |||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
Brazil | 5,671 | — | 0 | — | 0 | (5,671 | ) | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 5,671 | $ | — | $ | 0 | $ | — | $ | 0 | $ | (5,671 | ) | $ | 36,561 | $ | — | $ | 36,561 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Benchmark-Free Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Greece | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 67,166 | ‡ | $ | — | $ | 67,166 | $ | — | |||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
Brazil | 113,625 | — | 0 | — | 0 | (113,625 | ) | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 113,625 | $ | — | $ | 0 | $ | — | $ | 0 | $ | (113,625 | ) | $ | 67,166 | $ | — | $ | 67,166 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Consolidated Implementation Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
United Kingdom | $ | — | $ | — | $ | — | $ | — | $ | (235,198 | ) | $ | 235,198 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
United States | — | 4,733,782 | — | — | (81,154 | ) | — | — | 4,652,628 | (81,154 | ) | |||||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
Brazil | 203,741 | 519,966 | 0 | — | — | (286,883 | ) | — | — | 436,824 | (83,142 | ) | ||||||||||||||||||||||||||||
Canada | 217,232 | — | — | — | — | (79,424 | ) | — | — | 137,808 | (71,715 | ) | ||||||||||||||||||||||||||||
United States | 48,966 | — | (6,110 | ) | — | (105,144 | ) | 193,129 | — | — | 130,841 | 104,672 | ||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Bank Loans | ||||||||||||||||||||||||||||||||||||||||
Luxembourg | — | 6,038,500 | (16,213 | ) | 16,769 | 475 | 30,358 | — | — | 6,069,889 | 30,358 | |||||||||||||||||||||||||||||
Spain | 6,460,857 | 954,915 | (3,785,043 | ) | (8,996 | ) | (119,455 | ) | (6,765 | ) | — | — | 3,495,513 | (6,765 | ) | |||||||||||||||||||||||||
United States | 24,534,800 | 19,554,057 | (10,508,389 | ) | 199,562 | 159,475 | (684,730 | ) | — | — | 33,254,775 | (684,730 | ) | |||||||||||||||||||||||||||
Corporate Debt | — | |||||||||||||||||||||||||||||||||||||||
Brazil | 30,260,306 | — | (27,088,798 | ) | 5,152,097 | (17,181,152 | ) | 8,857,547 | — | — | — | — | ||||||||||||||||||||||||||||
Spain | 2,788,545 | 72,974 | (1,292,834 | ) | (3,959 | ) | (24,692 | ) | (48,126 | ) | — | — | 1,491,908 | (48,126 | ) | |||||||||||||||||||||||||
United States | 1,269,450 | 1,694,560 | (350,075 | ) | 27,516 | 17,666 | 93,378 | 7,401,100 | — | 10,153,595 | 93,378 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 65,783,897 | $ | 33,568,754 | $ | (43,047,462 | ) | $ | 5,382,989 | $ | (17,488,025 | ) | $ | 8,222,528 | $ | 7,401,100 | $ | — | $ | 59,823,781 | $ | (747,224 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Purchased Options | ||||||||||||||||||||||||||||||||||||||||
United States | $ | — | $ | 849,684 | $ | — | $ | — | $ | — | $ | (50,174 | ) | $ | — | $ | — | $ | 799,510 | $ | (50,174 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 65,783,897 | $ | 34,418,438 | $ | (43,047,462 | ) | $ | 5,382,989 | $ | (17,488,025 | ) | $ | 8,172,354 | $ | 7,401,100 | $ | — | $ | 60,623,291 | $ | (797,398 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Consolidated Special Opportunities Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Canada | $ | 70,137 | $ | — | $ | — | $ | — | $ | — | $ | (24,160 | ) | $ | — | $ | — | $ | 45,977 | $ | (24,160 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 70,137 | $ | — | $ | — | $ | — | $ | — | $ | (24,160 | ) | $ | — | $ | — | $ | 45,977 | $ | (24,160 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
† | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
138
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2018 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Alpha Only Fund | < 1% | |||
Benchmark-Free Allocation Fund | 1% | |||
Benchmark-Free Fund | < 1% | |||
Global Asset Allocation Fund | < 1% | |||
Global Developed Equity Allocation Fund | < 1% | |||
Global Equity Allocation Fund | < 1% | |||
Consolidated Implementation Fund | 1% | |||
International Developed Equity Allocation Fund | < 1% | |||
International Equity Allocation Fund | < 1% | |||
Consolidated SGM Major Markets Fund | — | |||
Consolidated Special Opportunities Fund | < 1% | |||
Strategic Opportunities Allocation Fund | 1% |
Cash
Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Loan assignments and participations
Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
139
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. As of August 31, 2018, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Fund Name | Counterparty | Gross Value | Weighted Average Maturity (days) | |||||||
Benchmark-Free Fund | Daiwa Capital Markets | $115,734,491 | 4 | |||||||
Consolidated Implementation Fund | Nomura Securities International, Inc. | 149,999,882 | 4 |
Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.
Inflation-indexed bonds
Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
140
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian, or by lending securities held in the Fund’s custodial account to the custodian. The loans will be secured by collateral from the custodian equal at all times to at least 100% of the market value of the loaned securities. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge. The following table provides the value of securities on loan under this program as of August 31, 2018:
Fund Name | Value of securities on loan ($) | |||
Benchmark-Free Fund | 25,760,595 | |||
Implementation Fund | 118,828,587 | |||
Strategic Opportunities Allocation Fund | 11,363,020 |
Municipal obligations
Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Trade claims
Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Taxes and distributions
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 (the “Code”). 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.
Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of SGM Major Markets Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.
141
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2018, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.
Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.
Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
142
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
As of February 28, 2018, certain Funds elected to defer to March 1, 2018 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses ($) | ||||||
Alpha Only Fund | (498,528) | (432,765) | ||||||
Benchmark-Free Allocation Fund | (14,099,472) | — | ||||||
Benchmark-Free Fund | — | — | ||||||
Global Asset Allocation Fund | — | — | ||||||
Global Developed Equity Allocation Fund | (1,264) | — | ||||||
Global Equity Allocation Fund | (12,338) | — | ||||||
Consolidated Implementation Fund | — | — | ||||||
International Developed Equity Allocation Fund | (3,056) | — | ||||||
International Equity Allocation Fund | (5,092) | — | ||||||
Consolidated SGM Major Markets Fund | (2,314,280) | (21,486,920) | ||||||
Consolidated Special Opportunities Fund | (1,795,158) | (4,297) | ||||||
Strategic Opportunities Allocation Fund | — | — |
As of February 28, 2018, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2018, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Total Short-Term | Long-Term ($) | ||||||||||||||
Fund Name | Expiration Date 2/28/2019 | No Expiration | No Expiration | |||||||||||||
Alpha Only Fund | — | (222,208,680) | (222,208,680) | (172,307,094) | ||||||||||||
Benchmark-Free Allocation Fund | (10,499,416) | (20,273,725) | (30,773,141) | (208,740,084) | ||||||||||||
Benchmark-Free Fund | — | (27,643,271) | (27,643,271) | (388,241,964) | ||||||||||||
Global Asset Allocation Fund | — | — | — | (189,439,171) | ||||||||||||
Global Developed Equity Allocation Fund | — | — | — | (79,826,540) | ||||||||||||
Global Equity Allocation Fund | — | — | — | (191,565,767) | ||||||||||||
Consolidated Implementation Fund | — | (704,778,936) | (704,778,936) | — | ||||||||||||
International Developed Equity Allocation Fund | (22,515,333) | — | (22,515,333) | (66,355,364) | ||||||||||||
International Equity Allocation Fund | — | — | — | (54,500,044) | ||||||||||||
Consolidated SGM Major Markets Fund | — | — | — | — | ||||||||||||
Consolidated Special Opportunities Fund | — | — | — | — | ||||||||||||
Strategic Opportunities Allocation Fund | — | — | — | — |
143
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
As of August 31, 2018, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:
Total Investments | Outstanding Financial Instruments | |||||||||||||||||||
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Alpha Only Fund | 121,025,665 | 7,841,047 | (7,273,993) | 567,054 | (3,889,973) | |||||||||||||||
Benchmark-Free Allocation Fund | 12,349,630,410 | 294,808,863 | (84,383,398) | 210,425,465 | — | |||||||||||||||
Benchmark-Free Fund | 3,470,903,588 | 185,860,385 | (112,749,223) | 73,111,162 | (11,292,629) | |||||||||||||||
Global Asset Allocation Fund | 2,235,693,744 | — | (43,544,853) | (43,544,853) | — | |||||||||||||||
Global Developed Equity Allocation Fund | 442,266,892 | 18,210,604 | — | 18,210,604 | — | |||||||||||||||
Global Equity Allocation Fund | 2,038,541,684 | 21,260,463 | (45,704,940) | (24,444,477) | — | |||||||||||||||
Consolidated Implementation Fund | 10,188,477,795 | 445,365,264 | (488,669,500) | (43,304,236) | (53,480,343) | |||||||||||||||
International Developed Equity Allocation Fund | 716,229,582 | 6,780,646 | (87,708,478) | (80,927,832) | — | |||||||||||||||
International Equity Allocation Fund | 1,082,125,719 | 27,352,286 | (88,969,654) | (61,617,368) | — | |||||||||||||||
Consolidated SGM Major Markets Fund | 1,718,587,661 | 73,742,524 | (61,044,916) | 12,697,608 | (49,316,346) | |||||||||||||||
Consolidated Special Opportunities Fund | 341,409,249 | 126,411,048 | (15,913,690) | 110,497,358 | 140,592 | |||||||||||||||
Strategic Opportunities Allocation Fund | 1,047,871,890 | 49,631,392 | (10,554,964) | 39,076,428 | (75,139) |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
144
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Expenses and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees and supplemental support fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to November 3, 2017, Brown Brothers Harriman (“BBH”) served as Alpha Only Fund’s custodian and fund accounting agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds or a wholly-owned subsidiary) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).
If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.
GMO also may waive or reduce the purchase premium or redemption fee for a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).
GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.
145
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
As of August 31, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:
Alpha Only Fund | Benchmark-Free Allocation Fund(a) | Benchmark-Free Fund(b) | Global Asset Allocation Fund(c) | Global Developed Equity Allocation Fund(d) | Global Equity Allocation Fund(e) | Implementation Fund(f) | International Developed Equity Allocation Fund(g) | International Equity Allocation Fund(h) | SGM Major Markets Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund(i) | |||||||||||||
Purchase Premium | — | — | — | — | — | — | — | — | — | — | 0.50% | — | ||||||||||||
Redemption Fee | — | — | — | — | — | — | — | — | — | — | 0.50% | — |
(a) | For the periods from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.20%, 0.18%, 0.13% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed. |
(b) | For the periods from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.25%, 0.18%, 0.13% and 0.14%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.13% of the amount invested or redeemed. |
(c) | For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.15%, 0.14% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.10% of the amount invested or redeemed. |
(d) | For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed. Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions. |
(e) | For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016, and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.18%, 0.19% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed. |
(f) | For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed. Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions. |
(g) | For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed. Prior to March 10, 2014, there was no premium on cash purchases or fees on cash redemptions. |
(h) | For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.25%, 0.27% and 0.20%, respectively, of the amount invested or redeemed. Prior to June 20, 2013, the same fees were each 0.21% of the amount invested or redeemed. |
(i) | For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.20%, 0.14% and 0.06% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.07% of the amount invested or redeemed. |
Recently-issued accounting guidance
In March 2017, the Financial Accounting Standards Board (“FASB”) issued an amendment to U.S. GAAP, which amends the required amortization period for purchased callable debt securities that have been purchased at a premium. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the security. This amendment does not apply to debt securities purchased at a discount and is effective for fiscal years beginning after December 15, 2018. GMO is currently evaluating the impact, if any, of this guidance on the Fund’s financial statements and disclosures.
146
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Alpha Only 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 | SGM Major Markets Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Commodities Risk | X | X | X | X | X | X | X | |||||||||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Credit Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Currency Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Derivatives and Short Sales Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Fund of Funds Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Futures Contracts Risk | X | X | X | X | X | |||||||||||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Leveraging Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Risk – Asset-Backed Securities | X | X | X | X | X | X | X | |||||||||||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Risk – Fixed Income | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Merger Arbitrage Risk | X | X | X | X | ||||||||||||||||||||
Non-Diversified Funds | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Small Company Risk | X | X | X | X | X | X | X | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying
147
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and
148
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.
As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
149
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.
The use of derivatives involves risks that are potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
150
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.
Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, inaccurate valuations may result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of a Fund’s net asset value.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear.
The SEC has proposed a rule under the 1940 Act, regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to
151
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the
152
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”
153
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) or in a wholly-owned subsidiary of a GMO Fund are exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds or a wholly-owned subsidiary are exposed.
Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) and the expenses of a wholly-owned subsidiary in which it invests, and may incur additional expenses when investing in an Underlying Fund or wholly-owned subsidiary. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
Because some underlying GMO Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other mutual fund groups and therefore may be subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.
Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.
A Fund’s investments in one or more Underlying Funds or a wholly-owned subsidiary could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.
A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have to sell other investments at disadvantageous times. A Fund may be unable to reenter or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.
The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person
154
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates may prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.
Futures contracts traded on markets outside the United States generally are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.
Historically, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.
A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other
155
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.
To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.
• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated to compensate for the decline.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and may cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong.
GMO relies heavily on quantitative models in making investment decisions for SGM Major Markets Fund. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
156
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. Considerable uncertainty exists over the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond. War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment
157
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market price of their holdings will decline. Market risks include:
Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income,” but to other market risks as well.
Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.
As described under “Market Risk — Fixed Income” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The issuance of asset-backed securities also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” for more information about credit risk.
When worldwide economic and liquidity conditions deteriorated in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many asset-backed (as well as others) fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed (and other) fixed income securities and may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.
The market price of an asset-backed security depends in part on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.
The existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.
158
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The risk of investing in asset-backed securities has increased since 2008 because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on the many asset-backed securities it services.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.
Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.
The extent to which the market price of a fixed income investment changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments,
159
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk.”
In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. However, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery, and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.
• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.
If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.
Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Alpha Only Fund |
• | Implementation Fund |
• | SGM Major Markets Fund |
• | Special Opportunities Fund |
In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act. Each of the Funds may invest without limitation in GMO Funds that are not diversified.
160
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Australian tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.
Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).
The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.
161
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political, or other conditions.
Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation Fund may take temporary defensive positions if deemed prudent by GMO.
To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
At August 31, 2018, only Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
Use of Derivatives by Alpha Only Fund and Special Opportunities Fund
Alpha Only Fund’s investment program involves having both long and short investment exposures. Alpha Only Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that GMO expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts, and options) to gain exposure to a given currency. In addition, Special Opportunities Fund may use derivatives to gain investment exposure to commodities, including the use of exchange-traded futures and foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies (and in the case of Special Opportunities Fund, commodities) without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
162
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
Special Opportunities Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). Alpha Only Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Alpha Only Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Use of Derivatives by Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund
The Funds may use derivatives to gain long investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds may have gross investment exposures in excess of their net assets (i.e., the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
Use of Derivatives by SGM Major Markets Fund
The Fund invests in a range of global equity, bond, currency, and commodity markets using exchange traded futures and forward non-U.S. exchange contracts as well as making other investments.
The Fund may use derivatives to gain long and/or short investment exposure to global equities, bonds, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
163
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, the Fund may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
* * *
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
164
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
For Funds that held derivatives during the period ended August 31, 2018, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Alpha Only Fund | Benchmark- Free Fund | Consolidated Implementation Fund* | Strategic Opportunities Allocation Fund | Consolidated SGM Major Markets Fund* | Consolidated Special Opportunities Fund* | ||||||||||||||||||
Forward currency contracts | ||||||||||||||||||||||||
Adjust currency exchange rate risk | X | |||||||||||||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | X | |||||||||||||||||||
Manage against anticipated currency exchange rate changes | X | |||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||
Adjust exposure to certain securities markets | X | X | X | |||||||||||||||||||||
Substitute for direct investment | X | X | ||||||||||||||||||||||
Adjust interest rate exposure | X | X | ||||||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | |||||||||||||||||||||
Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests | X | |||||||||||||||||||||||
Options (Purchased) | ||||||||||||||||||||||||
Substitute for direct equity investment | X | |||||||||||||||||||||||
Options (Written) | ||||||||||||||||||||||||
Substitute for direct equity investment | X | X | ||||||||||||||||||||||
Adjust currency exchange rate risk | ||||||||||||||||||||||||
Adjust exposure to foreign currencies | ||||||||||||||||||||||||
Adjust interest rate exposure | X | |||||||||||||||||||||||
Swap contracts | ||||||||||||||||||||||||
Adjust exposure to certain securities markets | ||||||||||||||||||||||||
Adjust interest rate exposure | X | |||||||||||||||||||||||
Substitute for direct investment in securities | X | X | X | |||||||||||||||||||||
Achieve exposure to a reference entity’s credit | X | |||||||||||||||||||||||
Rights and/or warrants | ||||||||||||||||||||||||
Received as a result of corporate actions | X | X | X | X |
* | Certain derivatives may be held by the Fund’s wholly-owned subsidiary. |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
165
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of
the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
166
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.
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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
167
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.
Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
168
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 and the Statements of Operations for the period ended August 31, 2018^:
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | 0 | $ | — | $ | — | $ | — | $ | 0 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 463,811 | — | — | 463,811 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 0 | $ | 463,811 | $ | — | $ | — | $ | 463,811 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | 0 | $ | — | $ | — | $ | — | 0 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | 463,811 | $ | — | $ | — | $ | 463,811 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (77,608 | ) | $ | — | $ | — | $ | (77,608 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (4,276,176 | ) | — | — | — | (4,276,176 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (4,276,176 | ) | $ | (77,608 | ) | $ | — | $ | — | $ | (4,353,784 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (4,276,176 | ) | $ | (77,608 | ) | $ | — | $ | — | $ | (4,353,784 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 1,286 | $ | — | $ | — | $ | — | $ | 1,286 | ||||||||||||||
Forward Currency Contracts | — | — | — | 1,454,862 | — | — | 1,454,862 | |||||||||||||||||||||
Futures Contracts | — | — | (9,469,476 | ) | — | — | — | (9,469,476 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (9,468,190 | ) | $ | 1,454,862 | $ | — | $ | — | $ | (8,013,328 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (5,671 | ) | $ | — | $ | — | $ | — | $ | (5,671 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 248,399 | — | — | 248,399 | |||||||||||||||||||||
Futures Contracts | — | — | 1,041,661 | — | — | — | 1,041,661 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 1,035,990 | $ | 248,399 | $ | — | $ | — | $ | 1,284,389 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
169
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | 74,814 | $ | — | $ | — | $ | — | $ | 74,814 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 2,230,442 | — | — | 2,230,442 | |||||||||||||||||||||
Swap Contracts, at value¤ | — | — | 37,304 | — | — | — | 37,304 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 112,118 | $ | 2,230,442 | $ | — | $ | — | $ | 2,342,560 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | 74,814 | $ | — | $ | — | $ | — | $ | 74,814 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 37,304 | $ | 2,230,442 | $ | — | $ | — | $ | 2,267,746 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (353,507 | ) | $ | — | $ | — | $ | (353,507 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (12,540,909 | ) | — | — | — | (12,540,909 | ) | |||||||||||||||||||
Swap Contracts, at value¤ | — | — | (665,959 | ) | — | — | — | (665,959 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (13,206,868 | ) | $ | (353,507 | ) | $ | — | $ | — | $ | (13,560,375 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (13,206,868 | ) | $ | (353,507 | ) | $ | — | $ | — | $ | (13,560,375 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (101,748 | ) | $ | — | $ | — | $ | — | $ | (101,748 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 5,624,743 | — | — | 5,624,743 | |||||||||||||||||||||
Futures Contracts | — | — | (6,163,056 | ) | — | — | — | (6,163,056 | ) | |||||||||||||||||||
Swap Contracts | — | — | 1,276,686 | — | — | — | 1,276,686 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (4,988,118 | ) | $ | 5,624,743 | $ | — | $ | — | $ | 636,625 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (114,332 | ) | $ | — | $ | — | $ | — | $ | (114,332 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 5,163,444 | — | — | 5,163,444 | |||||||||||||||||||||
Futures Contracts | — | — | (15,841,225 | ) | — | — | — | (15,841,225 | ) | |||||||||||||||||||
Swap Contracts | — | — | (628,655 | ) | — | — | — | (628,655 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (16,584,212 | ) | $ | 5,163,444 | $ | — | $ | — | $ | (11,420,768 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Consolidated Implementation Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | 1,068,130 | $ | — | $ | — | $ | — | $ | 1,068,130 | ||||||||||||||
Investments, at value (purchased options) | — | — | 3,175,355 | — | — | — | 3,175,355 | |||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 18,872,718 | — | — | 18,872,718 | |||||||||||||||||||||
Swap Contracts, at value¤ | 1,555,431 | — | 4,498 | — | 7,595,247 | — | 9,155,176 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 1,555,431 | $ | — | $ | 4,247,983 | $ | 18,872,718 | $ | 7,595,247 | $ | — | $ | 32,271,379 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | 1,068,130 | $ | — | $ | — | $ | — | $ | 1,068,130 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | 1,555,431 | $ | — | $ | 3,179,853 | $ | 18,872,718 | $ | 7,595,247 | $ | — | $ | 31,203,249 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
170
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated Implementation Fund (continued) |
| |||||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (8,697,555 | ) | $ | — | $ | — | $ | (8,697,555 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (62,026,499 | ) | — | — | — | (62,026,499 | ) | |||||||||||||||||||
Written Options, at value | — | — | (1,560,905 | ) | — | — | — | (1,560,905 | ) | |||||||||||||||||||
Swap Contracts, at value¤ | — | — | (1,843,355 | ) | — | (6,600,284 | ) | — | (8,443,639 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (65,430,759 | ) | $ | (8,697,555 | ) | $ | (6,600,284 | ) | $ | — | $ | (80,728,598 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (65,430,759 | ) | $ | (8,697,555 | ) | $ | (6,600,284 | ) | $ | — | $ | (80,728,598 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (1,249,469 | ) | $ | — | $ | — | $ | — | $ | (1,249,469 | ) | ||||||||||||
Investments (rights and/or warrants) | — | — | (57,400 | ) | — | — | — | (57,400 | ) | |||||||||||||||||||
Forward Currency Contracts | — | — | — | 29,957,022 | — | — | 29,957,022 | |||||||||||||||||||||
Futures Contracts | — | — | (25,407,108 | ) | — | (178,200 | ) | — | (25,585,308 | ) | ||||||||||||||||||
Written Options | 585,000 | — | 6,439,467 | — | — | — | 7,024,467 | |||||||||||||||||||||
Swap Contracts | (886,967 | ) | — | 4,765,198 | — | 3,206,777 | — | 7,085,008 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (301,967 | ) | $ | — | $ | (15,509,312 | ) | $ | 29,957,022 | $ | 3,028,577 | $ | — | $ | 17,174,320 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (2,393,667 | ) | $ | — | $ | — | $ | — | $ | (2,393,667 | ) | ||||||||||||
Investments (rights and/or warrants) | — | — | (228,332 | ) | — | — | — | (228,332 | ) | |||||||||||||||||||
Forward Currency Contracts | — | — | — | 34,925,277 | — | — | 34,925,277 | |||||||||||||||||||||
Futures Contracts | — | — | (82,781,778 | ) | — | 70,196 | — | (82,711,582 | ) | |||||||||||||||||||
Written Options | (14,062 | ) | — | (1,063,481 | ) | — | — | — | (1,077,543 | ) | ||||||||||||||||||
Swap Contracts | 773,222 | — | (1,799,053 | ) | — | 5,094,544 | — | 4,068,713 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 759,160 | $ | — | $ | (88,266,311 | ) | $ | 34,925,277 | $ | 5,164,740 | $ | — | $ | (47,417,134 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 6,305,016 | $ | — | $ | — | $ | 6,305,016 | ||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 5,582,905 | 3,055,025 | — | 2,395,440 | — | 11,033,370 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 5,582,905 | $ | 3,055,025 | $ | 6,305,016 | $ | 2,395,440 | $ | — | $ | 17,338,386 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | 5,582,905 | $ | 3,055,025 | $ | 6,305,016 | $ | 2,395,440 | $ | — | $ | 17,338,386 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (15,066,893 | ) | $ | — | $ | — | $ | (15,066,893 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (45,884,725 | ) | — | (120,210 | ) | — | (46,004,935 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (45,884,725 | ) | $ | (15,066,893 | ) | $ | (120,210 | ) | $ | — | $ | (61,071,828 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (45,884,725 | ) | $ | (15,066,893 | ) | $ | (120,210 | ) | $ | — | $ | (61,071,828 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 53,008,241 | $ | — | $ | — | $ | 53,008,241 | ||||||||||||||
Futures Contracts | — | 7,191,700 | (11,370,636 | ) | — | (15,967,445 | ) | — | (20,146,381 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 7,191,700 | $ | (11,370,636 | ) | $ | 53,008,241 | $ | (15,967,445 | ) | $ | — | $ | 32,861,860 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
171
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated SGM Major Markets Fund (continued) | ||||||||||||||||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (20,389,403 | ) | $ | — | $ | — | $ | (20,389,403 | ) | ||||||||||||
Futures Contracts | — | 6,965,192 | (21,971,327 | ) | — | 8,480,133 | — | (6,526,002 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 6,965,192 | $ | (21,971,327 | ) | $ | (20,389,403 | ) | $ | 8,480,133 | $ | — | $ | (26,915,405 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Written Options, at value | $ | — | $ | — | $ | (229,000 | ) | $ | — | $ | — | $ | — | $ | (229,000 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (229,000 | ) | $ | — | $ | — | $ | — | $ | (229,000 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (229,000 | ) | $ | — | $ | — | $ | — | $ | (229,000 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (195,350 | ) | $ | — | $ | — | $ | (195,350 | ) | ||||||||||||
Futures Contracts | — | (1,169,451 | ) | — | — | — | — | (1,169,451 | ) | |||||||||||||||||||
Written Options | — | — | 102,658 | — | — | — | 102,658 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | (1,169,451 | ) | $ | 102,658 | $ | (195,350 | ) | $ | — | $ | — | $ | (1,262,143 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (4,181 | ) | $ | — | $ | — | $ | (4,181 | ) | ||||||||||||
Futures Contracts | — | 1,067,000 | — | — | — | — | 1,067,000 | |||||||||||||||||||||
Written Options | — | — | 140,592 | — | — | — | 140,592 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 1,067,000 | $ | 140,592 | $ | (4,181 | ) | $ | — | $ | — | $ | 1,203,411 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Swap Contracts, at value¤ | $ | — | $ | — | $ | (75,139 | ) | $ | — | $ | — | $ | — | $ | (75,139 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (75,139 | ) | $ | — | $ | — | $ | — | $ | (75,139 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (75,139 | ) | $ | — | $ | — | $ | — | $ | (75,139 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (35 | ) | $ | — | $ | — | $ | — | $ | (35 | ) | ||||||||||||
Swap Contracts | — | — | 171,660 | — | — | — | 171,660 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 171,625 | $ | — | $ | — | $ | — | $ | 171,625 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | (75,139 | ) | $ | — | $ | — | $ | — | $ | (75,139 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (75,139 | ) | $ | — | $ | — | $ | — | $ | (75,139 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
¤ | The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities. |
172
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2018, if any.
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2018:
Alpha Only Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 41,717 | $ | — | $ | (6,308 | ) | $ | 35,409 | |||||||
Barclays Bank plc | 54,141 | — | — | 54,141 | ||||||||||||
Goldman Sachs International | 9,863 | (6,768 | ) | (3,095 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 253,078 | — | (52,089 | ) | 200,989 | |||||||||||
Morgan Stanley & Co. International PLC | 86,883 | (60,000 | ) | (15,896 | ) | 10,987 | ||||||||||
State Street Bank and Trust Company | 18,129 | — | (220 | ) | 17,909 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 463,811 | $ | (66,768 | ) | $ | (77,608 | ) | $ | 319,435 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 6,308 | $ | — | $ | 6,308 | $ | — | ||||||||
Goldman Sachs International | 3,095 | — | 3,095 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 52,089 | — | 52,089 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 15,896 | — | 15,896 | — | ||||||||||||
State Street Bank and Trust Company | 220 | — | 220 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 77,608 | $ | — | $ | 77,608 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
173
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Benchmark-Free Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 184,372 | $ | (6,748 | ) | $ | (20,214 | ) | $ | 157,410 | ||||||
Barclays Bank plc | 248,764 | (210,000 | ) | (16,811 | ) | 21,953 | ||||||||||
Goldman Sachs International | 111,506 | — | (110,564 | ) | 942 | |||||||||||
JPMorgan Chase Bank, N.A. | 838,467 | (729,596 | ) | (108,871 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 719,884 | (477,000 | ) | (96,261 | ) | 146,623 | ||||||||||
Morgan Stanley Capital Services LLC | 37,304 | — | 37,304 | — | ||||||||||||
State Street Bank and Trust Company | 127,449 | — | (786 | ) | 126,663 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,267,746 | $ | (1,423,344 | ) | $ | (316,203 | ) | $ | 453,591 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 20,214 | $ | — | $ | 20,214 | $ | — | ||||||||
Barclays Bank plc | 16,811 | — | 16,811 | — | ||||||||||||
Goldman Sachs International | 110,564 | — | 110,564 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 108,871 | — | 108,871 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 96,261 | — | 96,261 | — | ||||||||||||
Morgan Stanley Capital Services LLC | 665,959 | (628,655 | ) | (37,304 | ) | — | * | |||||||||
State Street Bank and Trust Company | 786 | — | 786 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,019,466 | $ | (628,655 | ) | $ | 316,203 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Implementation Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 777,947 | $ | (666,988 | ) | $ | (110,959 | ) | $ | — | * | |||||
Barclays Bank plc | 3,157,972 | (751,381 | ) | (2,406,591 | ) | — | * | |||||||||
Goldman Sachs International | 2,180,307 | (1,671,779 | ) | (259,079 | ) | 249,449 | ||||||||||
JPMorgan Chase Bank, N.A. | 6,129,650 | (3,712,104 | ) | (2,417,546 | ) | — | * | |||||||||
Morgan Stanley Capital Services LLC. | 4,498 | — | 4,498 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 7,704,589 | (3,240,000 | ) | (3,499,087 | ) | 965,502 | ||||||||||
Morgan Stanley & Co. LLC | 3,175,355 | — | (1,560,905 | ) | 1,614,450 | |||||||||||
State Street Bank and Trust Company | 477,684 | — | (4,293 | ) | 473,391 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 23,608,002 | $ | (10,042,252 | ) | $ | (10,253,962 | ) | $ | 3,302,792 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 110,959 | $ | — | $ | 110,959 | $ | — | ||||||||
Barclays Bank plc | 2,406,591 | — | 2,406,591 | — | ||||||||||||
Goldman Sachs International | 259,079 | — | 259,079 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 2,417,546 | — | 2,417,546 | — | ||||||||||||
Morgan Stanley Capital Services LLC | 1,843,355 | (1,838,857 | ) | (4,498 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 3,499,087 | — | 3,499,087 | — | ||||||||||||
Morgan Stanley & Co. LLC | 1,560,905 | — | 1,560,905 | — | ||||||||||||
State Street Bank and Trust Company | 4,293 | — | 4,293 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,101,815 | $ | (1,838,857 | ) | $ | 10,253,962 | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
174
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Consolidated SGM Major Markets Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Bank plc | $ | 16,126 | $ | — | $ | — | $ | 16,126 | ||||||||
Deutsche Bank AG | 175,025 | — | 175,025 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 27,512 | — | 27,512 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 614,692 | — | 614,692 | — | ||||||||||||
State Street Bank and Trust Company | 3,696,109 | — | (2,398,811 | ) | 1,297,298 | |||||||||||
UBS AG | 1,775,552 | — | 1,775,552 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,305,016 | $ | — | $ | 193,970 | $ | 1,313,424 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Deutsche Bank AG | $ | 656,201 | $ | — | $ | (175,025 | ) | $ | 481,176 | |||||||
JPMorgan Chase Bank, N.A. | 358,924 | — | (27,512 | ) | 331,412 | |||||||||||
Morgan Stanley & Co. International PLC | 5,291,104 | (4,676,412 | ) | (614,692 | ) | — | * | |||||||||
State Street Bank and Trust Company | 2,398,811 | — | 2,398,811 | — | ||||||||||||
UBS AG | 6,361,853 | (4,586,301 | ) | (1,775,552 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 15,066,893 | $ | (9,262,713 | ) | $ | (193,970 | ) | $ | 812,588 | ||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley & Co. LLC | $ | 229,000 | $ | (229,000 | ) | $ | — | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 229,000 | $ | (229,000 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley Capital Services LLC | $ | 75,139 | $ | — | $ | — | $ | 75,139 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 75,139 | $ | — | $ | — | $ | 75,139 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2018:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options (Principal) | Options (Contracts) | Rights and/or Warrants ($) | ||||||||||||||||||
Alpha Only Fund | 31,658,051 | 149,486,403 | — | — | — | 1,095 | ||||||||||||||||||
Benchmark-Free Fund | 166,493,762 | 304,627,911 | 11,919,790 | — | — | 239,401 | ||||||||||||||||||
Consolidated Implementation Fund | 1,648,201,785 | 1,419,369,445 | 2,084,642,947 | 16,666,667 | 48,805 | 1,411,160 | ||||||||||||||||||
Consolidated SGM Major Markets Fund | 1,134,983,294 | 2,468,090,083 | — | — | — | — | ||||||||||||||||||
Consolidated Special Opportunities Fund | 3,899,977 | 1,357,365 | — | — | 550 | — | ||||||||||||||||||
Strategic Opportunities Allocation Fund | — | — | 1,243,078 | — | — | 16,508 |
175
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Alpha Only 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 | SGM Major Markets Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||||||||||||||||||||||||||
Management Fee | 0.50% | 0.65% | — | — | — | — | — | — | — | 0.85% | 1.10% | — |
For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.
In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.
Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:
Fund Name | Class III | Class IV | Class V | Class VI | Class MF | |||||||||||||||
Alpha Only Fund | 0.15% | 0.10% | ||||||||||||||||||
Benchmark-Free Allocation Fund | 0.15% | 0.10% | 0.10% | |||||||||||||||||
SGM Major Markets Fund | 0.15% | 0.10% | 0.055% | |||||||||||||||||
Special Opportunities Fund | 0.15%* | 0.10%* | 0.085%* | 0.055% |
* | Class is offered but has no shareholders as of August 31, 2018. |
176
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.
Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.
For Special Opportunities Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Fund’s “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.
For the period ended August 31, 2018, GMO did not recoup any previously recorded waivers and/or reimbursements.
On August 31, 2018, the waivers and/or reimbursements subject to possible future recoupment are as follows:
Expiring during year ending February 28, 2019 | Expiring during year ending February 29, 2020 | Expiring during year ending February 28, 2021 | ||||||||||
Consolidated Special Opportunities Fund, Class VI | $— | $— | $— |
For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund, other than Benchmark-Free Allocation Fund, that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2019 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, effective March 1, 2014, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fee paid to GMO. This reduction will continue through at least June 30, 2019, and may not be terminated prior to this date
without the action or consent of the Fund’s Board of Trustees.
177
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2018 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Alpha Only Fund | 2,430 | 198 | ||||||
Benchmark-Free Allocation Fund | 153,335 | 13,897 | ||||||
Benchmark-Free Fund | 49,093 | 4,584 | ||||||
Global Asset Allocation Fund | 26,949 | 2,566 | ||||||
Global Developed Equity Allocation Fund | 5,428 | 533 | ||||||
Global Equity Allocation Fund | 25,786 | 2,399 | ||||||
Consolidated Implementation Fund | 129,901 | 11,845 | ||||||
International Developed Equity Allocation Fund | 7,554 | 726 | ||||||
International Equity Allocation Fund | 12,730 | 1,246 | ||||||
Consolidated SGM Major Markets Fund | 20,811 | 1,884 | ||||||
Consolidated Special Opportunities Fund | 11,268 | 1,084 | ||||||
Strategic Opportunities Allocation Fund | 14,298 | 1,288 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2018 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Indirect Interest Expense | Total Indirect Expenses | ||||||||||||
Alpha Only Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Benchmark-Free Allocation Fund | 0.148% | 0.012% | 0.105% | * | 0.265% | |||||||||||
Benchmark-Free Fund | 0.223% | 0.019% | < 0.001% | 0.242% | ||||||||||||
Global Asset Allocation Fund | 0.420% | 0.067% | < 0.001% | 0.487% | ||||||||||||
Global Developed Equity Allocation Fund | 0.443% | 0.071% | 0.000% | 0.514% | ||||||||||||
Global Equity Allocation Fund | 0.489% | 0.068% | 0.000% | 0.557% | ||||||||||||
Consolidated Implementation Fund | 0.000% | 0.000% | 0.000% | 0.000% | ||||||||||||
International Developed Equity Allocation Fund | 0.523% | 0.087% | 0.000% | 0.610% | ||||||||||||
International Equity Allocation Fund | 0.570% | 0.078% | 0.000% | 0.648% | ||||||||||||
Consolidated SGM Major Markets Fund | 0.002% | 0.000% | 0.000% | 0.002% | ||||||||||||
Consolidated Special Opportunities Fund | 0.000% | 0.000% | 0.000% | 0.000% | ||||||||||||
Strategic Opportunities Allocation Fund | 0.389% | 0.059% | 0.001% | 0.449% |
* | Includes indirect dividend expenses. |
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2018, the Funds did not engage in these transactions.
178
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2018 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Alpha Only Fund | — | 182,658,727 | — | 273,968,717 | ||||||||||||
Benchmark-Free Allocation Fund | — | 1,089,875,688 | — | 1,577,623,067 | ||||||||||||
Benchmark-Free Fund | 388,379,130 | 879,235,876 | 720,723,756 | 1,255,279,338 | ||||||||||||
Global Asset Allocation Fund | — | 258,188,985 | — | 464,757,924 | ||||||||||||
Global Developed Equity Allocation Fund | — | 20,985,456 | — | 12,436,257 | ||||||||||||
Global Equity Allocation Fund | — | 95,146,368 | — | 291,512,461 | ||||||||||||
Consolidated Implementation Fund | 1,458,144,327 | 4,421,860,555 | 1,765,152,428 | 4,124,210,924 | ||||||||||||
International Developed Equity Allocation Fund | — | 25,576,996 | — | 6,442,044 | ||||||||||||
International Equity Allocation Fund | — | 12,101,633 | — | 50,392,894 | ||||||||||||
Consolidated SGM Major Markets Fund | 610,623,161 | 57,075,865 | 194,085,047 | 1,129,705,815 | ||||||||||||
Consolidated Special Opportunities Fund | — | 32,463,144 | — | 551,207,360 | ||||||||||||
Strategic Opportunities Allocation Fund | 33,093,500 | 198,520,661 | 55,043,101 | 342,616,271 |
Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2018. In-kind transactions are noted in the table below.
Fund Name | Purchases ($) | Sales ($) | ||||||
Consolidated Implementation Fund | 210,796,589* | |||||||
Consolidated SGM Major Markets Fund | 1,017,970,052 | |||||||
Strategic Opportunities Allocation Fund | 76,103,884 |
For the period ended August 31, 2018, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:
Fund Name | Net realized gains/(losses) attributed to redemption in-kind transactions ($) | |||
Consolidated Implementation Fund | (1,571,191)* |
* | Amount represents contribution of assets to wholly owned subsidiary. |
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
179
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
8. | Principal shareholders and related parties as of August 31, 2018 |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Alpha Only Fund | 3 | ‡ | 93.58% | 0.09% | 98.98% | |||||||||||
Benchmark-Free Allocation Fund | 1 | 40.59% | 0.88% | 3.47% | ||||||||||||
Benchmark-Free Fund | — | — | — | 100.00% | ||||||||||||
Global Asset Allocation Fund | — | — | 0.21% | 8.48% | ||||||||||||
Global Developed Equity Allocation Fund | 2 | 63.51% | < 0.01% | — | ||||||||||||
Global Equity Allocation Fund | 1 | 20.28% | 0.01% | 0.28% | ||||||||||||
Implementation Fund | 1 | ‡ | 95.13% | — | 100.00% | |||||||||||
International Developed Equity Allocation Fund | 5 | 77.36% | < 0.01% | 1.89% | ||||||||||||
International Equity Allocation Fund | 4 | † | 69.25% | 0.01% | 26.40% | |||||||||||
SGM Major Markets Fund± | 2 | ‡ | 77.83% | 0.10% | 72.08% | |||||||||||
Special Opportunities Fund | 2 | # | 94.68% | 0.07% | 98.72% | |||||||||||
Strategic Opportunities Allocation Fund | 1 | 12.22% | — | 99.92% |
† | One of the shareholders is another fund managed by GMO. |
‡ | One of the shareholders is another fund of the Trust. |
# | Two of the shareholders are other funds of the Trust. |
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Alpha Only Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | — | $ | — | 207,676 | $ | 4,479,301 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,332 | 27,835 | 4,822 | 104,020 | ||||||||||||
Shares repurchased | (2,516 | ) | (52,143 | ) | (228,094 | ) | (4,971,088 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,184 | ) | $ | (24,308 | ) | (15,596 | ) | $ | (387,767 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 169,174 | $ | 3,654,268 | 693,110 | $ | 15,100,002 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 33,909 | 709,028 | 114,030 | 2,454,724 | ||||||||||||
Shares repurchased | (4,856,026 | ) | (101,811,865 | ) | (1,383,604 | ) | (29,825,103 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,652,943 | ) | $ | (97,448,569 | ) | (576,464 | ) | $ | (12,270,377 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
180
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 8,210,472 | $ | 223,539,705 | 28,656,547 | $ | 784,060,061 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 178,085 | 4,817,211 | 3,792,767 | 103,472,036 | ||||||||||||
Shares repurchased | (15,516,656 | ) | (423,150,987 | ) | (50,073,202 | ) | (1,350,609,683 | ) | ||||||||
Purchase premiums | — | 39,640 | — | 325,703 | ||||||||||||
Redemption fees | — | 167,615 | — | 1,479,985 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,128,099 | ) | $ | (194,586,816 | ) | (17,623,888 | ) | $ | (461,271,898 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 1,602,934 | $ | 43,874,202 | 33,152,599 | $ | 884,564,391 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 103,829 | 2,808,587 | 2,584,989 | 70,493,151 | ||||||||||||
Shares repurchased | (3,954,256 | ) | (107,536,961 | ) | (39,749,823 | ) | (1,080,301,449 | ) | ||||||||
Purchase premiums | — | 21,378 | — | 191,609 | ||||||||||||
Redemption fees | — | 90,813 | — | 864,149 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,247,493 | ) | $ | (60,741,981 | ) | (4,012,235 | ) | $ | (124,188,149 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class MF: |
| |||||||||||||||
Shares sold | 2,797,372 | $ | 77,123,961 | 3,559,155 | $ | 97,318,372 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 252,400 | 6,832,480 | 4,991,594 | 136,226,196 | ||||||||||||
Shares repurchased | (17,077,155 | ) | (464,608,564 | ) | (33,216,277 | ) | (892,423,950 | ) | ||||||||
Purchase premiums | — | 43,344 | — | 368,062 | ||||||||||||
Redemption fees | — | 184,060 | — | 1,675,531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (14,027,383 | ) | $ | (380,424,719 | ) | (24,665,528 | ) | $ | (656,835,789 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 938,921 | $ | 18,908,028 | 8,166,414 | $ | 167,857,391 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 622,665 | 12,521,790 | 6,085,559 | 124,326,073 | ||||||||||||
Shares repurchased | (38,745,706 | ) | (790,879,132 | ) | (31,557,062 | ) | (625,040,833 | ) | ||||||||
Purchase premiums | — | 336 | — | 125,696 | ||||||||||||
Redemption fees | — | 207,148 | — | 1,268,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (37,184,120 | ) | $ | (759,241,830 | ) | (17,305,089 | ) | $ | (331,463,366 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Asset Allocation Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 2,597,535 | $ | 85,114,944 | 7,497,173 | $ | 245,763,796 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 180,902 | 5,863,029 | 1,625,800 | 53,486,252 | ||||||||||||
Shares repurchased | (9,842,503 | ) | (322,521,492 | ) | (14,335,654 | ) | (462,098,261 | ) | ||||||||
Purchase premiums | — | 27,802 | — | 283,262 | ||||||||||||
Redemption fees | — | 108,370 | — | 607,377 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,064,066 | ) | $ | (231,407,347 | ) | (5,212,681 | ) | $ | (161,957,574 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 14,420 | $ | 322,581 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 105,589 | 2,337,736 | 803,500 | 17,587,926 | ||||||||||||
Shares repurchased | (236,397 | ) | (5,257,992 | ) | (30,910,313 | ) | (652,627,452 | ) | ||||||||
Purchase premiums | — | 258 | — | — | ||||||||||||
Redemption fees | — | 1,005 | — | 522,102 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (116,388 | ) | $ | (2,596,412 | ) | (30,106,813 | ) | $ | (634,517,424 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
181
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 32,132 | $ | 849,543 | 5,343,410 | $ | 133,870,494 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 198,103 | 5,089,261 | 2,660,619 | 69,685,837 | ||||||||||||
Shares repurchased | (9,591,360 | ) | (251,125,525 | ) | (17,925,341 | ) | (467,596,299 | ) | ||||||||
Purchase premiums | — | 1,206 | — | 47,316 | ||||||||||||
Redemption fees | — | 38,129 | — | 840,523 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (9,361,125 | ) | $ | (245,147,386 | ) | (9,921,312 | ) | $ | (263,152,129 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Implementation Fund |
| |||||||||||||||
Core Class: |
| |||||||||||||||
Shares sold | 20,605,855 | $ | 282,827,287 | 50,778,902 | $ | 682,972,263 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,137,825 | 42,611,658 | 24,407,827 | 335,144,868 | ||||||||||||
Shares repurchased | (70,479,660 | ) | (962,169,981 | ) | (118,308,728 | ) | (1,618,413,712 | ) | ||||||||
Purchase premiums | — | 64,769 | — | 1,185,847 | ||||||||||||
Redemption fees | — | 265,297 | — | 3,054,358 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (46,735,980 | ) | $ | (636,400,970 | ) | (43,121,999 | ) | $ | (596,056,376 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,441,372 | $ | 24,249,170 | 953,876 | $ | 16,192,699 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 163,778 | 2,631,907 | 1,042,628 | 17,857,292 | ||||||||||||
Shares repurchased | (519,148 | ) | (8,664,934 | ) | (4,482,823 | ) | (74,991,774 | ) | ||||||||
Purchase premiums | — | 13,253 | — | 10,870 | ||||||||||||
Redemption fees | — | 2,696 | — | 57,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,086,002 | $ | 18,232,092 | (2,486,319 | ) | $ | (40,873,012 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 245,551 | $ | 7,597,500 | 2,158,679 | $ | 70,077,115 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 221,416 | 6,620,339 | 1,031,273 | 32,737,392 | ||||||||||||
Shares repurchased | (1,586,042 | ) | (51,142,318 | ) | (7,389,534 | ) | (221,115,817 | ) | ||||||||
Purchase premiums | — | 2,500 | — | 175,411 | ||||||||||||
Redemption fees | — | 112,011 | — | 538,494 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,119,075 | ) | $ | (36,809,968 | ) | (4,199,582 | ) | $ | (117,587,405 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
182
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Six Months Ended August 31, 2018 (Unaudited) | Year Ended February 28, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 158,131 | $ | 5,087,676 | 706,650 | $ | 22,622,929 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 5,601 | 180,593 | ||||||||||||
Shares repurchased | (38,101 | ) | (1,230,128 | ) | (63,722 | ) | (2,099,226 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 120,030 | $ | 3,857,548 | 648,529 | $ | 20,704,296 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | — | $ | — | 486,556 | $ | 16,036,518 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 18,456 | 591,952 | ||||||||||||
Shares repurchased | (11,889 | ) | (385,307 | ) | (1,814,180 | ) | (59,526,105 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (11,889 | ) | $ | (385,307 | ) | (1,309,168 | ) | $ | (42,897,635 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 2,576,662 | $ | 83,047,846 | 15,616,936 | $ | 506,604,097 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,716,945 | 55,073,241 | ||||||||||||
Shares repurchased | (8,376,310 | ) | (270,982,199 | ) | (3,731,302 | ) | (122,365,837 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,799,648 | ) | $ | (187,934,353 | ) | 13,602,579 | $ | 439,311,501 | ||||||||
|
|
|
|
|
|
|
| |||||||||
�� | ||||||||||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 470,274 | $ | 10,375,802 | 2,130,296 | $ | 47,393,583 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 11,125,095 | 225,776,659 | 2,841,238 | 68,177,050 | ||||||||||||
Shares repurchased | (29,533,321 | ) | (654,432,948 | ) | (12,646,455 | ) | (290,937,418 | ) | ||||||||
Purchase premiums | — | 52,140 | — | 181,760 | ||||||||||||
Redemption fees | — | 3,272,165 | — | 1,398,457 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,937,952 | ) | $ | (414,956,182 | ) | (7,674,921 | ) | $ | (173,786,568 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 77,861 | $ | 1,614,847 | 831,215 | $ | 17,129,720 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,266,680 | 46,285,603 | 2,497,054 | 54,242,468 | ||||||||||||
Shares repurchased | (8,467,559 | ) | (180,963,237 | ) | (46,410,191 | ) | (1,002,225,037 | ) | ||||||||
Purchase premiums | — | — | — | — | ||||||||||||
Redemption fees | — | 192,588 | — | 1,948,317 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,123,018 | ) | $ | (132,870,199 | ) | (43,081,922 | ) | $ | (928,904,532 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
183
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
10. | 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 August 31, 2018 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | ||||||||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 13,848,473 | $ | 118,586,707 | $ | 124,970,000 | $ | 121,707 | $ | — | $ | 10,202 | $ | 793 | $ | 7,476,175 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 338,343,014 | $ | 12,250,752 | $ | 17,784,551 | $ | 4,487,712 | $ | — | $ | (129,488 | ) | $ | (20,116,261 | ) | $ | 312,563,466 | ||||||||||||||
GMO High Yield Fund, Class VI | — | 204,419,676 | 57,982,217 | — | — | 1,136,906 | 2,951,487 | 150,525,852 | ||||||||||||||||||||||||
GMO Implementation Fund | 10,973,015,970 | 312,247,731 | 943,553,294 | 40,589,176 | — | 22,684,984 | (418,063,250 | ) | 9,946,332,141 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 542,342,069 | 55,188,343 | 38,075,503 | 4,367,320 | — | 3,422,105 | 2,516,064 | 565,393,078 | ||||||||||||||||||||||||
GMO Risk Premium Fund, Class VI | — | 322,967,912 | 16,082,874 | — | — | 370,567 | 11,962,897 | 319,218,502 | ||||||||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 1,015,978,511 | 18,048,037 | 101,253,207 | — | — | 4,361,524 | 4,487,752 | 941,622,617 | ||||||||||||||||||||||||
GMO Special Opportunities Fund, Class VI | 669,099,430 | 164,753,237 | 402,891,421 | — | 154,325,296 | 55,017,142 | (169,161,720 | ) | 316,816,668 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 13,538,778,994 | $ | 1,089,875,688 | $ | 1,577,623,067 | $ | 49,444,208 | $ | 154,325,296 | $ | 86,863,740 | $ | (585,423,031 | ) | $ | 12,552,472,324 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 133,185,460 | $ | 1,541,536 | $ | 17,100,000 | $ | 1,541,536 | $ | — | $ | (187,932 | ) | $ | (7,662,058 | ) | $ | 109,777,006 | ||||||||||||||
GMO Emerging Markets Fund, Class VI | 569,680,947 | 883,352 | 80,000,000 | 883,352 | — | 7,337,354 | (69,483,357 | ) | 428,418,296 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 217,604,583 | 16,962,594 | 41,000,000 | 1,526,892 | — | 4,452,023 | (2,170,969 | ) | 195,848,231 | |||||||||||||||||||||||
GMO Risk Premium Fund, Class VI | — | 111,397,624 | — | — | — | — | 4,325,767 | 115,723,391 | ||||||||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 184,449,116 | — | 34,000,000 | — | — | 2,440,994 | (450,452 | ) | 152,439,658 | |||||||||||||||||||||||
GMO Special Opportunities Fund, Class VI | 323,594,896 | 60,618,195 | 226,127,282 | — | 60,618,195 | 32,033,592 | (78,607,090 | ) | 111,512,311 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 1,428,515,002 | $ | 191,403,301 | $ | 398,227,282 | $ | 3,951,780 | $ | 60,618,195 | $ | 46,076,031 | $ | (154,048,159 | ) | $ | 1,113,718,893 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
184
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | ||||||||||||||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Alpha Only Fund, Class IV | $ | 74,946,917 | $ | 1,544,636 | $ | 5,492,471 | $ | 268,305 | $ | — | $ | (689,761 | ) | $ | (4,556,966 | ) | $ | 65,752,355 | ||||||||||||||
GMO Asset Allocation Bond Fund, Class VI | 399,177,319 | 6,691,525 | 144,798,220 | 2,325,988 | — | (22,620,979 | ) | 27,242,856 | 265,692,501 | |||||||||||||||||||||||
GMO Core Plus Bond Fund, Class IV | 249,614,612 | 122,706,592 | 45,518,979 | 1,391,054 | — | 174,878 | 4,815,707 | 331,792,810 | ||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 55,530,671 | 652,209 | 8,867,467 | 652,209 | — | (34,496 | ) | (3,071,420 | ) | 44,209,497 | ||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 467,717,958 | 23,761,009 | 26,843,372 | 886,476 | — | 3,191,696 | (55,912,650 | ) | 411,914,641 | |||||||||||||||||||||||
GMO International Equity Fund, Class IV | 519,183,914 | 22,106,819 | 50,121,602 | 3,150,332 | — | (3,888,207 | ) | (29,511,502 | ) | 457,769,422 | ||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 48,813,182 | 8,331,545 | 26,470,854 | 202,791 | — | 1,719,370 | (1,405,839 | ) | 30,987,404 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 178,367,480 | 13,719,325 | 37,328,567 | 573,594 | 6,815,283 | 6,622,001 | 2,239,196 | 163,619,435 | ||||||||||||||||||||||||
GMO Risk Premium Fund, Class VI | 62,350,340 | 226,286 | 9,423,853 | 226,286 | — | (285,437 | ) | 3,391,828 | 56,259,164 | |||||||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 73,567,091 | 1,550,500 | 9,695,498 | — | — | 670,239 | 15,342 | 66,107,674 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 178,908,774 | 20,944,457 | 32,846,117 | 722,735 | 13,009,248 | (976,288 | ) | (4,084,750 | ) | 161,946,076 | ||||||||||||||||||||||
GMO U.S. Treasury Fund | 167,046,625 | 35,954,082 | 67,340,222 | 1,507,684 | — | (75,209 | ) | 141,425 | 135,726,701 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 2,475,224,883 | $ | 258,188,985 | $ | 464,747,222 | $ | 11,907,454 | $ | 19,824,531 | $ | (16,192,193 | ) | $ | (60,696,773 | ) | $ | 2,191,777,680 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 46,991,022 | $ | 3,161,628 | $ | 290,682 | $ | 91,897 | $ | — | $ | 43,933 | $ | (5,336,693 | ) | $ | 44,569,208 | |||||||||||||||
GMO International Equity Fund, Class IV | 217,379,783 | 5,811,172 | 395,355 | 1,373,005 | — | 36,911 | (14,689,746 | ) | 208,142,765 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 102,786,624 | 4,139,003 | 6,348,045 | 321,308 | 3,817,694 | 1,063,866 | 4,484,856 | 106,126,304 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 101,984,701 | 7,873,653 | 5,402,175 | 414,403 | 7,459,250 | 374,497 | (3,313,136 | ) | 101,517,540 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 469,142,130 | $ | 20,985,456 | $ | 12,436,257 | $ | 2,200,613 | $ | 11,276,944 | $ | 1,519,207 | $ | (18,854,719 | ) | $ | 460,355,817 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 608,573,770 | $ | 26,450,482 | $ | 50,741,911 | $ | 1,166,884 | $ | — | $ | 4,635,701 | $ | (72,269,138 | ) | $ | 516,648,904 | |||||||||||||||
GMO International Equity Fund, Class IV | 896,831,372 | 19,869,939 | 79,722,386 | 5,598,487 | — | (18,252,191 | ) | (40,459,854 | ) | 778,266,880 | ||||||||||||||||||||||
GMO Quality Fund, Class VI | 412,807,154 | 17,892,984 | 89,700,051 | 1,258,604 | 14,954,380 | 16,392,209 | 3,799,979 | 361,192,275 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 409,993,568 | 30,932,963 | 71,348,113 | 1,628,051 | 29,304,913 | (2,827,931 | ) | (9,417,981 | ) | 357,332,506 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 2,328,205,864 | $ | 95,146,368 | $ | 291,512,461 | $ | 9,652,026 | $ | 44,259,293 | $ | (52,212 | ) | $ | (118,346,994 | ) | $ | 2,013,440,565 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 67,378,736 | $ | 5,265,463 | $ | 820,700 | $ | 129,974 | $ | — | $ | 83,306 | $ | (7,919,244 | ) | $ | 63,987,561 | |||||||||||||||
GMO International Equity Fund, Class IV | 597,172,345 | 20,311,533 | 5,621,344 | 3,753,616 | — | (532,149 | ) | (40,257,992 | ) | 571,072,393 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 664,551,081 | $ | 25,576,996 | $ | 6,442,044 | $ | 3,883,590 | $ | — | $ | (448,843 | ) | $ | (48,177,236 | ) | $ | 635,059,954 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
185
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2018 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | ||||||||||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 402,051,540 | $ | 6,834,639 | $ | 12,237,134 | $ | 723,858 | $ | — | $ | 1,320,081 | $ | (45,482,943 | ) | $ | 352,486,183 | |||||||||||||||
GMO International Equity Fund, Class IV | 748,929,812 | 5,266,994 | 38,155,760 | 4,404,226 | — | (1,255,338 | ) | (47,120,418 | ) | 667,665,290 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 1,150,981,352 | $ | 12,101,633 | $ | 50,392,894 | $ | 5,128,084 | $ | — | $ | 64,743 | $ | (92,603,361 | ) | $ | 1,020,151,473 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Consolidated SGM Major Markets Fund |
| |||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 1,072,205,111 | $ | 57,075,865 | $ | 1,129,705,815 | (a) | $ | 9,352,205 | $ | — | $ | (781,391 | ) | $ | 1,206,230 | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Consolidated Special Opportunities Fund |
| |||||||||||||||||||||||||||||||
Jagercor Energy Corp | $ | 70,137 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (24,160 | ) | $ | 45,977 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Core Plus Bond Fund, Class IV | $ | 99,134,920 | $ | 30,487,118 | $ | 16,720,688 | $ | 487,118 | $ | — | $ | (122,663 | ) | $ | 1,878,938 | $ | 114,657,625 | |||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 39,992,630 | 456,549 | 8,854,634 | 456,549 | — | (462,812 | ) | (1,631,765 | ) | 29,499,968 | ||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 305,084,580 | 510,832 | 37,941,204 | 510,832 | — | 5,562,340 | (37,071,415 | ) | 236,145,133 | |||||||||||||||||||||||
GMO International Equity Fund, Class IV | 349,818,348 | 1,794,004 | 71,474,090 | (b) | 1,794,004 | — | (6,120,583 | ) | (13,717,257 | ) | 260,300,422 | |||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 45,985,113 | 283,091 | 16,149,547 | 283,091 | — | 1,338,394 | (967,768 | ) | 30,489,283 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 131,528,842 | 5,046,728 | 29,205,083 | 391,774 | 4,654,954 | 4,810,140 | 955,751 | 113,136,378 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 130,082,686 | 6,534,647 | 57,667,845 | (c) | 343,929 | 6,190,718 | (319,675 | ) | (3,613,634 | ) | 75,016,179 | |||||||||||||||||||||
GMO U.S. Treasury Fund | 93,901,813 | 9,720,338 | 46,508,962 | 719,532 | — | (10,636 | ) | 39,659 | 57,142,212 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 1,195,528,932 | $ | 54,833,307 | $ | 284,522,053 | $ | 4,986,829 | $ | 10,845,672 | $ | 4,674,505 | $ | (54,127,491 | ) | $ | 916,387,200 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through August 31, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019. |
(a) | $1,017,970,052 was redeemed in-kind. |
(b) | $37,086,238 was redeemed in-kind. |
(c) | $39,017,646 was redeemed in-kind. |
186
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2018 (Unaudited)
GMO Alpha Only Fund
Approval of renewal of management agreement for GMO Alpha Only Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against the fees the Fund pays to the Manager the management fees, shareholder servicing fees and most other expenses of those underlying GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
187
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Benchmark-Free Allocation Fund
Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing and supplemental support fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
188
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager offsets against the fees the Fund pays the Manager the management fees, shareholder servicing fees and most other expenses of those other underlying GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Benchmark-Free Fund
Approval of renewal of management agreement for GMO Benchmark-Free Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
189
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Global Asset Allocation Fund
Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
190
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Global Developed Equity Allocation Fund
Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
191
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and] of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
192
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
GMO Global Equity Allocation Fund
Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and] of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s
193
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Implementation Fund
Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees also considered possible alternative fee arrangements.
194
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO International Developed Equity Allocation Fund
Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
195
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
International Equity Allocation Fund
Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the
196
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
Manager by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO SGM Major Markets Fund
Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s
197
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to a fund managed by a third-party and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to the third-party fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Special Opportunities Fund
Approval of renewal of management agreement for GMO Special Opportunities Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
198
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
199
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
GMO Strategic Opportunities Allocation Fund
Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a third-party data service to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.
The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.
The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees also considered possible alternative fee arrangements.
The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.
200
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2018 (Unaudited)
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
201
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2018 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2018.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2018 through August 31, 2018.
Actual Expenses
This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Alpha Only Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $931.00 | $3.36 | $1,000.00 | $1,021.73 | $3.52 | 0.69% | |||||||||||||||||||||
Class IV | $1,000.00 | $931.10 | $3.07 | $1,000.00 | $1,022.03 | $3.21 | 0.63% | |||||||||||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $974.80 | $4.58 | $1,000.00 | $1,020.57 | $4.69 | 0.92% | |||||||||||||||||||||
Class IV | $1,000.00 | $975.30 | $4.33 | $1,000.00 | $1,020.82 | $4.43 | 0.87% | |||||||||||||||||||||
Class MF | $1,000.00 | $975.30 | $4.33 | $1,000.00 | $1,020.82 | $4.43 | 0.87% | |||||||||||||||||||||
Benchmark-Free Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $965.20 | $1.63 | $1,000.00 | $1,023.54 | $1.68 | 0.33% | |||||||||||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $981.70 | $2.45 | $1,000.00 | $1,022.74 | $2.50 | 0.49% | |||||||||||||||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $991.70 | $2.56 | $1,000.00 | $1,022.63 | $2.60 | 0.51% | |||||||||||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $971.80 | $2.78 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
Implementation Fund |
| |||||||||||||||||||||||||||
Core Class | $1,000.00 | $967.70 | $0.69 | $1,000.00 | $1,024.50 | $0.71 | 0.14% | |||||||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $933.60 | $2.97 | $1,000.00 | $1,022.13 | $3.11 | 0.61% |
202
GMO Trust Funds
(A Series of GMO Trust)
Fund Expenses — (Continued)
August 31, 2018 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Beginning Account Value March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $921.10 | $3.15 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
SGM Major Markets Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,007.20 | $5.06 | $1,000.00 | $1,020.16 | $5.09 | 1.00% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,007.60 | $4.81 | $1,000.00 | $1,020.42 | $4.84 | 0.95% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,007.90 | $4.61 | $1,000.00 | $1,020.62 | $4.63 | 0.91% | |||||||||||||||||||||
Special Opportunities Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,068.10 | $6.26 | $1,000.00 | $1,019.16 | $6.11 | 1.20% | |||||||||||||||||||||
Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $973.10 | $2.49 | $1,000.00 | $1,022.68 | $2.55 | 0.50% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2018, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
203
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this registrant.
Item 6. Schedule of Investments.
The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) Not applicable to this filing.
(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.
(a)(3) Not applicable to this registrant.
(b) | Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GMO Trust | |
By (Signature and Title): | /s/ Sheppard N. Burnett | |
Sheppard N. Burnett, Chief Executive Officer | ||
Date: October 31, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
(Registrant) | GMO Trust | |
By (Signature and Title): | /s/ Sheppard N. Burnett | |
Sheppard N. Burnett, Chief Executive Officer | ||
Date: October 31, 2018 |
By (Signature and Title): | /s/ Betty Maganzini | |
Betty Maganzini, Principal Financial Officer | ||
Date: October 31, 2018 |