GMO FUNDS PLC (an umbrella fund with segregated liability between sub-funds)
ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS
FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020
Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of GMO Global Equity Allocation Investment Fund, GMO Quality Investment Fund, GMO Emerging Markets Equity Fund, GMO Global Real Return (UCITS) Fund and GMO Emerging Domestic Opportunities Equity Fund, each a sub-fund of GMO Funds Plc, operates under a claim for exemption made pursuant to U.S. Commodity Futures Trading Commission Regulation 4.7 issued pursuant to the Commodity Exchange Act of 1974.
Registered Number 351477
Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of GMO Global Equity Allocation Investment Fund (the “Pool”), affirms that the information contained herein is the Annual Report of the Pool (the “Report”) for the year ended 30 September 2020 and that, to the best of the undersigned’s knowledge and belief, the information contained in the Report is accurate and complete.
By:______Name: Tara Ann Pari Title: Registered Principal Grantham, Mayo, Van Otterloo & Co. LLC GMO Global Equity Allocation Investment Fund
GMO 40 Rowes Wharf | Boston, MA 02110 | USA T 617.330.7500
Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of GMO Quality Investment Fund (the “Pool”), affirms that the information contained herein is the Annual Report of the Pool (the “Report”) for the year ended 30 September 2020 and that, to the best of the undersigned’s knowledge and belief, the information contained in the Report is accurate and complete.
By:______Name: Tara Ann Pari Title: Registered Principal Grantham, Mayo, Van Otterloo & Co. LLC GMO Quality Investment Fund
GMO 40 Rowes Wharf | Boston, MA 02110 | USA T 617.330.7500
Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of GMO Emerging Markets Equity Fund (the “Pool”), affirms that the information contained herein is the Annual Report of the Pool (the “Report”) for the year ended 30 September 2020 and that, to the best of the undersigned’s knowledge and belief, the information contained in the Report is accurate and complete.
By:______Name: Tara Ann Pari Title: Registered Principal Grantham, Mayo, Van Otterloo & Co. LLC GMO Emerging Markets Equity Fund
GMO 40 Rowes Wharf | Boston, MA 02110 | USA T 617.330.7500
Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of GMO Global Real Return (UCITS) Fund (the “Pool”), affirms that the information contained herein is the Annual Report of the Pool (the “Report”) for the year ended 30 September 2020 and that, to the best of the undersigned’s knowledge and belief, the information contained in the Report is accurate and complete.
By:______Name: Tara Ann Pari Title: Registered Principal Grantham, Mayo, Van Otterloo & Co. LLC GMO Global Real Return (UCITS) Fund
GMO 40 Rowes Wharf | Boston, MA 02110 | USA T 617.330.7500
Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of GMO Emerging Domestic Opportunities Equity Fund (the “Pool”), affirms that the information contained herein is the Annual Report of the Pool (the “Report”) for the year ended 30 September 2020 and that, to the best of the undersigned’s knowledge and belief, the information contained in the Report is accurate and complete.
By:______Name: Tara Ann Pari Title: Registered Principal Grantham, Mayo, Van Otterloo & Co. LLC GMO Emerging Domestic Opportunities Equity Fund
GMO 40 Rowes Wharf | Boston, MA 02110 | USA T 617.330.7500
No notification pursuant to Sec. 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for the following sub-funds of GMO Funds Plc and the shares in these funds may not be marketed to investors in the Federal Republic of Germany:
• GMO Emerging Markets Equity Fund; and • GMO Emerging Domestic Opportunities Equity Fund.
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GMO FUNDS PLC ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS TABLE OF CONTENTS ______
Page Directors’ Report 1
Remuneration Policy (Unaudited) 6
Statement of Depositary Responsibilities and Depositary Report 7
Independent Auditors’ Report 8
Investment Manager’s Report GMO Global Equity Allocation Investment Fund 11 GMO Quality Investment Fund 12 GMO Emerging Markets Equity Fund 13 GMO Global Real Return (UCITS) Fund 14 GMO Emerging Domestic Opportunities Equity Fund 17
Statement of Investments GMO Global Equity Allocation Investment Fund 18 GMO Quality Investment Fund 39 GMO Emerging Markets Equity Fund 42 GMO Global Real Return (UCITS) Fund 56 GMO Emerging Domestic Opportunities Equity Fund 123 Portfolio Abbreviations, Counterparty Abbreviations and Currency Abbreviations 129
Statement of Comprehensive Income 130
Statement of Financial Position 132
Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 134
Notes to the Financial Statements 136
Statement of Changes in the Portfolio (Unaudited) GMO Global Equity Allocation Investment Fund 205 GMO Quality Investment Fund 206 GMO Emerging Markets Equity Fund 208 GMO Global Real Return (UCITS) Fund 209 GMO Emerging Domestic Opportunities Equity Fund 210
Appendix - Securities Financing Transactions Regulation Disclosure (Unaudited) 211
Directory 216
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GMO FUNDS PLC DIRECTORS’ REPORT FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
The Directors present to the shareholders their annual report together with the audited financial statements of GMO Funds Plc (the “Company”) for the financial year ended 30 September 2020.
Directors' Responsibilities Statement
The Directors are responsible for preparing the Directors’ Report and the financial statements in accordance with Irish law. Irish law requires the Directors to prepare financial statements for each financial year giving a true and fair view of the Company’s assets, liabilities and financial position at the end of the financial year and the profit or loss of the Company for the financial year. Under that law the Directors have arranged for the preparation of the financial statements in accordance with the accounting standards issued by the Financial Reporting Council of the UK, including Financial Reporting Standard 102, the financial reporting standard applicable in the UK and the Republic of Ireland and the European Community (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank's UCITS Regulations”).
Under Irish law, the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the Company’s assets, liabilities and financial position as at the end of the financial year and the profit or loss of the Company for the financial year.
In preparing these financial statements, the Directors are required to:
• select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether the financial statements have been prepared in accordance with applicable accounting standards and identify the standards in question, subject to any material departures from those standards being disclosed and explained in the notes to the financial statements; and • arrange for the preparation of the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.
The Directors confirm that they have complied with the above requirements in preparing the financial statements.
The Directors are responsible for keeping adequate accounting records that are sufficient to:
• correctly record and explain the transactions of the Company; • enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy; and • enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable those financial statements to be audited.
The Directors are responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. In this regard, the Directors have entrusted the assets of the Company to State Street Custodial Services (Ireland) Limited (the “Depositary”) who has been appointed as Depositary of the Company.
In accordance with Section 330 of the Companies Act 2014, the Directors in office at the date of this report have each confirmed that:
• As far as he/she is aware, there is no information relevant to the preparation of the financial statements of which the Company’s auditor is unaware; and • He/she has taken all the steps that he/she ought to have taken as a Director in order to make himself/herself aware of any information relevant to the preparation of the financial statements and to establish that the Company’s auditor is aware of that information.
In regard to the foregoing requirements, the Directors have relied on Grantham, Mayo, Van Otterloo & Co. LLC (the “Investment Manager” or “GMO LLC”), State Street Fund Services (Ireland) Limited (the “Administrator”) and Depositary and the representations provided by such parties to the Directors.
The Investment Manager is responsible for the maintenance and integrity of the corporate and financial information in respect of the Company included on GMO LLC's website. Legislation in Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.
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GMO FUNDS PLC DIRECTORS’ REPORT (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
Directors' Compliance Statement
It is the policy of the Company to comply with its relevant obligations (as defined in the Companies Act 2014). As required by Section 225(2) of the Companies Act 2014, the Directors acknowledge that they are responsible for securing the Company’s compliance with the relevant obligations. The Directors have drawn up a compliance policy statement as defined in Section 225(3)(a) of the Companies Act 2014 and a compliance policy which refers to the arrangements and structures that are in place and which are, in the Directors’ opinion, designed to secure material compliance with the Company’s relevant obligations. These arrangements and structures were reviewed by the Company during the financial year. In discharging their responsibilities under Section 225, the Directors relied upon, among other things, the services provided, advice and/or representations from third parties whom the Directors believe have the requisite knowledge and experience in order to secure material compliance with the Company’s relevant obligations.
Accounting Records
The Directors are responsible for ensuring that adequate accounting records are kept in respect of the Company as outlined in Sections 281 to 286 of the Companies Act 2014, which disclose with reasonable accuracy at any time the assets, liabilities, financial position and profit or loss of the Company and to enable them to ensure that the financial statements comply with the Companies Act 2014. To achieve this, the Directors have delegated the accounting function to the Administrator, to ensure that the requirements of Sections 281 to 286 of the Companies Act 2014 are complied with. The accounting records of the Company are maintained at the Administrator’s office, 78 Sir John Rogerson’s Quay, Dublin 2, Ireland.
Connected Persons
In accordance with Section 43(1) of the Central Bank UCITS Regulations, any transaction carried out with the Company by the Investment Manager or the Depositary and the delegates or sub-delegates of the Investment Manager or Depositary (excluding any non-group company sub-custodians appointed by the Depositary) and any associated or group company of the Investment Manager, Depositary, delegate or sub-delegate (“Connected Persons”) during the period were required to be conducted at arm’s length. Such transactions must be in the best interests of the shareholders of the Company.
The Board of Directors of the Company is satisfied that: (i) there are arrangements (evidenced by written procedures) in place to ensure that the obligations set out above are applied to all transactions with Connected Persons; and (ii) all transactions with Connected Persons entered into during the period complied with these obligations.
Business Review
GMO Global Equity Allocation Investment Fund’s (“GEAIF”) net assets decreased from £42,078,256 as at 30 September 2019 to £36,818,972 as at 30 September 2020.
GMO Quality Investment Fund’s (“Quality”) net assets increased from US$52,022,317 as at 30 September 2019 to US$271,064,239 as at 30 September 2020.
GMO Emerging Markets Equity Fund’s (“EMEF”) net assets increased from US$148,081,025 as at 30 September 2019 to US$215,494,033 as at 30 September 2020.
GMO Global Real Return (UCITS) Fund’s (“GRRUF”) net assets decreased from US$2,988,012,692 as at 30 September 2019 to US$ 2,102,394,605 as at 30 September 2020.
GMO Emerging Domestic Opportunities Equity Fund’s (“EDOEF”) net assets increased from US$130,171,787 as at 30 September 2019 to US$160,993,777 as at 30 September 2020.
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GMO FUNDS PLC DIRECTORS’ REPORT (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
Business Review (continued)
For further information please see the Investment Manager’s Reports on pages 11 to 17.
Directors
The Directors who held office during the financial year were: Mr. David Bohan (United States) Ms. Eimear Cowhey (Ireland) Mr. Arron Day (United Kingdom) Mr. John Fitzpatrick (Ireland)
All of the above-mentioned Directors held office throughout the financial year.
Principal Activities
The Company is an open-ended investment company with variable capital organised under the laws of Ireland. The Company is organised in the form of an umbrella fund with segregated liability between sub-funds (each a “Fund”).
The Company is authorised by the Central Bank of Ireland (the “Central Bank”) as an Undertaking for Collective Investment in Transferable Securities in accordance with the provisions of the UCITS Regulations.
Results
The results for the financial year are stated in the Statement of Comprehensive Income on pages 130 and 131.
Secretary
Bradwell Limited (the “Secretary”) is the Secretary of the Company and held the position for the full financial year.
Directors' and Secretary’s Interests
The Directors were not aware that they or their families have any interest in the shares of the Funds as at 30 September 2020 or as at 30 September 2019, other than in respect of the following Directors who each held one non-participating subscriber share:
30 September 2020 30 September 2019 David Bohan David Bohan Arron Day Eimear Cowhey Arron Day John Fitzpatrick
The Secretary was not aware that it has any interest in the shares of the Funds as at 30 September 2020 or as at 30 September 2019.
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GMO FUNDS PLC DIRECTORS’ REPORT (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
Dividends
No dividends were declared during the financial years ended 30 September 2020 or 30 September 2019.
Corporate Governance Statement
The Board of Directors has assessed the measures included in the voluntary Corporate Governance Code for Collective Investment Schemes and Management Companies as published by the Irish Funds (“IF”) in December 2011 (the “IF Code”). The Board of Directors has adopted all corporate governance practices and procedures in the IF Code with effect from 31 December 2012. The Board of Directors considers that the Company has complied with the main provisions contained in the IF Code from the start of the fiscal year to 30 September 2020.
Risk Management Objectives
There can be no assurance that any Fund will achieve its investment objective. The value of shares may rise or fall as the capital value of the securities in which the Fund invests may fluctuate. The main risks arising from the Funds’ investments in financial instruments are detailed in Note 9 to the financial statements.
Audit Committee
The Company has not established an audit committee. Given the internal organisation of the Company, the nature, scope and complexity of the Company’s activities and the existing processes and procedures adopted by the Company, the Board does not consider that an audit committee is required for the purposes of Section 167 of the Companies Act 2014.
Significant Events During the Financial Year
Effective 1 January 2020, GMO Netherlands B.V. was appointed as a distributor of the Company with primary responsibility for the distribution of shares in continental Europe.
On 20 March 2020, the Company issued a supplement to include disclosures in relation to the performance comparative indices applicable to each of the Funds.
On 15 April 2020, the Company issued a second supplement to amend certain parameters for the permitted value at risk of GRRUF as follows: (i) the maximum permitted VaR from 20 per cent. of Net Asset Value to 14 per cent. of Net Asset Value; and (ii) the related confidence interval for the calculation of VaR, from 99 per cent. to 95 per cent.
On 3 August 2020, the Company entered into an amendment administration agreement to reflect updated anti-money laundering arrangements with the Administrator.
An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 spread internationally and was declared a pandemic by the World Health Organization on 11 March 2020. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. In order to protect the health and wellbeing of its employees, the Company’s Investment Manager commenced a global work from home policy effective from 13 March 2020. The Company’s Administrator and Depositary have also implemented the business continuity procedures and are working primarily from home. No date for returning to the office has been determined by the Investment Manager, Administrator and Depositary at this time.
There were no other significant events during the financial year requiring financial statement disclosure.
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GMO FUNDS PLC DIRECTORS’ REPORT (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
Significant Events Since the Financial Year End
On 12 November 2020, the Company issued a third supplemental prospectus to reflect the creation of five new share classes in respect of Quality.
On January 31, 2020, the U.K. formally withdrew from the EU (commonly known as “Brexit”), and an 11-month transition period commenced during which the U.K. negotiated an agreement for its future relationship with the EU. On 29 December 2020, the EU member states approved this agreement, and the European Parliament is expected to approve the agreement in 2021. On 1 January 2021, a provisional application of the agreement took effect. Brexit did not have any direct impact on the Company.
There were no other significant events occurring since the financial year end requiring financial statement disclosure.
Independent Auditors
The auditors, PricewaterhouseCoopers, have indicated their willingness to continue in office in accordance with Section 383(2) of the Companies Act 2014.
On behalf of the Board of Directors:
______Eimear Cowhey
______Arron Day
Date: 14 January 2021
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GMO FUNDS PLC REMUNERATION POLICY (UNAUDITED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
In line with the requirements of the UCITS Regulations, the Company has adopted a remuneration policy (the “Remuneration Policy”).
The Directors who are not employees of the Investment Manager or an affiliate (the “Independent Directors”) receive a fixed annual fee which is competitive and based on the individual Director’s powers, tasks, expertise and responsibilities. Directors that are employees of the Investment Manager or an affiliate are not paid any fees for their services as Directors.
For the financial year ended 30 September 2020, only the Independent Directors received a fixed fee from the Company in their roles as directors, which was in the aggregate £48,488. None of the directors are entitled to receive any variable remuneration from the Company.
No remuneration has been paid to staff of the Investment Manager by the Company. Instead, the Company pays an investment management fee to the Investment Manager. The Investment Manger pays remuneration to its staff in accordance with the policies, procedures and processes applicable to it.
In accordance with Regulation 89(3A)(d) and (e) of the UCITS Regulations, the policy and its implementation is reviewed at least annually and it is confirmed that no material changes have been made to the Remuneration Policy since its adoption. On 10 November 2016, the Company adopted an updated remuneration policy to reflect the provisions of ESMA’s Guidelines on Sound Remuneration Policies under the UCITS V Directive and other general non-material updates.
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GMO FUNDS PLC STATEMENT OF DEPOSITARY RESPONSIBILITIES AND DEPOSITARY REPORT FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
Reports of the Depositary to the Shareholders
We have enquired into the conduct of GMO Funds Plc (the “Company”) for the financial year ended 30 September 2020, in our capacity as Depositary to the Company.
This report including the opinion has been prepared for and solely for the shareholders in the Company as a body, in accordance with Regulation 34, (I), (3) and (4) in Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended, (the “UCITS Regulations”), and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.
Responsibilities of the Depositary
Our duties and responsibilities are outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct of the Company in each annual accounting period and report thereon to the shareholders.
Our report shall state whether, in our opinion, the Company has been managed in that financial year in accordance with the provisions of the Company’s constitution (the "Constitution") and the UCITS Regulations. It is the overall responsibility of the Company to comply with these provisions. If the Company has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation.
Basis of Depositary Opinion
The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the Company has been managed:
(i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of the Constitution and UCITS Regulations; (ii) otherwise in accordance with the Constitution and the appropriate regulations.
Opinion
In our opinion, the Company has been managed during the financial year, in all material respects:
(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the Constitution, the UCITS Regulations and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank’s UCITS Regulations”); and (ii) otherwise in accordance with the provisions of the Constitution, the UCITS Regulations and the Central Bank’s UCITS Regulations.
State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland
14 January 2021
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Independent auditors’ report to the members of GMO Funds plc
Report on the audit of the financial statements
Opinion In our opinion, GMO Funds plc’s financial statements: • give a true and fair view of the Company’s and sub-funds’ assets, liabilities and financial position as at 30 September 2020 and of their results for the year then ended; • have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland (accounting standards issued by the Financial Reporting Council of the UK, including Financial Reporting Standard 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland” and Irish law); and • have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended). We have audited the financial statements, included within the Annual Report and Audited Financial Statements, which comprise: • the Statement of Financial Position of the Company and each of its sub-funds as at 30 September 2020; • the Statement of Comprehensive Income of the Company and each of its sub-funds for the year then ended; • the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares of the Company and each of its sub-funds for the year then ended; • the Statement of Investments for each of the sub-funds as at 30 September 2020; and • the notes to the financial statements for the Company and for each of its sub-funds, which include a description of the significant accounting policies.
Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law. Our responsibilities under ISAs (Ireland) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence We remained independent of the Company in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.
Conclusions relating to going concern We have nothing to report in respect of the following matters in relation to which ISAs (Ireland) require us to report to you where: • the directors’ use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or • the directors have not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the Company’s and sub-funds’ ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue. However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the Company’s and sub-funds’ ability to continue as going concerns.
Reporting on other information The other information comprises all of the information in the Annual Report and Audited Financial Statements other than the financial statements and our auditors’ report thereon. The directors are responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities. With respect to the Directors’ Report, we also considered whether the disclosures required by the Companies Act 2014 have been included. Based on the responsibilities described above and our work undertaken in the course of the audit, ISAs (Ireland) and the Companies Act 2014 require us to also report certain opinions and matters as described below: • In our opinion, based on the work undertaken in the course of the audit, the information given in the Directors’ Report for the year ended 30 September 2020 is consistent with the financial statements and has been prepared in accordance with applicable legal requirements. • Based on our knowledge and understanding of the Company and its environment obtained in the course of the audit, we have not identified any material misstatements in the Directors’ Report. Responsibilities for the financial statements and the audit Responsibilities of the directors for the financial statements As explained more fully in the Directors’ Responsibilities Statement set out on page 1, the directors are responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The directors are also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the directors are responsible for assessing the Company’s and sub-funds’ ability to continue as going concerns, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. Auditors’ responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. A further description of our responsibilities for the audit of the financial statements is located on the IAASA website at: https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsib ilities_for_audit.pdf. This description forms part of our auditors’ report. Use of this report This report, including the opinions, has been prepared for and only for the Company’s members as a body in accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.
Other required reporting
Companies Act 2014 opinions on other matters • We have obtained all the information and explanations which we consider necessary for the purposes of our audit. • In our opinion the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited. • The financial statements are in agreement with the accounting records. Companies Act 2014 exception reporting Directors’ remuneration and transactions Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this responsibility.
Patricia Johnston for and on behalf of PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin 26 January 2021
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GMO FUNDS PLC INVESTMENT MANAGER’S REPORTS FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
GMO Global Equity Allocation Investment Fund
Performance Summary
For the financial year ended 30 September 2020, GMO Global Equity Allocation Investment Fund (Class A GBP) returned -3.0% net of fees (-2.2% gross of fees) versus a 5.3% return for the MSCI ACWI Index (the “Benchmark”*) (all performance numbers in pound sterling terms).
Our allocation within countries detracted from performance relative to benchmark, driven primarily by our underweight position in the U.S. The MSCI U.S. Index was up 11.0%, well ahead of the MSCI ACWI index, and the Fund held an average of 29% in the U.S. versus an average weight in the benchmark of some 57%. We used a portion of this underweight to fund an overweight position in developed ex-U.S. markets, a decision that exacerbated poor relative performance as the MSCI World ex-U.S. Index returned a disappointing -4.5%. We also had an overweight position in emerging market equities, and this had a modest impact on relative performance as the MSCI Emerging Markets Index returned 5.4%, which was broadly in line with the benchmark. We retain high conviction in this positioning from a longer-term perspective. Security selection within countries also detracted from performance relative to the benchmark, driven largely by a poor result in China and the U.S.
Our allocation within sectors had a small negative impact for the period, although it should be noted that we do not typically take large relative sector positions. We did benefit from being slightly underweight Energy (the worst performing sector) and underweight Real Estate (the third worst sector), but this was offset by being a little underweight Information Technology (the best performing sector) and overweight Financials (the second worst performing sector). Stock selection within sectors proved challenging, with Consumer Discretionary and Information Technology accounting for the majority of the negative return relative to the benchmark.
We use a valuation-driven approach to investing, which was a significant headwind for relative performance during the period. In the developed world, the MSCI World Growth Index outperformed the MSCI World Value Index by a staggering 39%, while within emerging markets, the MSCI Emerging Markets Growth Index outperformed the MSCI Emerging Markets Value Index by an equally astounding 34%.
Individual stock positions that were significant contributors to relative performance included overweight positions in Swedish Match (Sweden Consumer Staples), Fortescue Metals (Australia Materials), and Novatek Microelectronics (Taiwan Information Tech) along with underweight positions in Exxon Mobil (U.S. Energy) and Boeing (U.S. Industrials). Stock positions that detracted from relative performance included underweight positions in Apple (U.S. Information Technology), Amazon (U.S. Consumer Discretionary), Tesla (U.S. Consumer Discretionary), and Microsoft (U.S. Information Technology) along with an overweight position in International Consolidated Airlines (UK Industrials).
Outlook
We continue to find value stocks within emerging markets and international developed markets to be attractive while in the U.S., the portfolio has a high-quality bias.
Grantham, Mayo, Van Otterloo & Co. LLC 40 Rowes Wharf Boston, Massachusetts 02110 USA Investment Manager October 2020
* References to the Benchmark are for illustrative purposes only. There is no guarantee that the Fund will outperform its Benchmark.
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GMO FUNDS PLC INVESTMENT MANAGER’S REPORTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
GMO Quality Investment Fund
Performance Summary
For the financial year ended 30 September 2020, GMO Quality Investment Fund (the “Fund”, USD Class) returned 13.8% net of fees (14.5% gross of fees) versus the 10.4% return of the MSCI World Index* (the “Benchmark”).
Despite significant volatility in the first quarter of 2020, global equities generated strong returns over the year ended September 2020. Over the same period the Fund outperformed the broader markets. Much of the positive relative performance came in the first quarter of 2020 when global stocks performed poorly.
Relative to the MSCI World Index, sector allocation was the source of returns. The Information Technology (overweight), Energy (underweight), and Financial (underweight) allocations made a positive contribution, while Consumer Discretionary (underweight) had a negative impact.
Generally, security selection within sectors generated negative relative returns. Selection results in Consumer Discretionary, Financials, and Information Technology were the primary detractors relative to MSCI World. Most of the negative selection effect in Consumer Discretionary was the result of not owning Amazon, which has not met our valuation criteria. Within Information Technology, our preference for proven, steady compounders generated strong absolute returns of about 39% but lagged the highest flyers in a strong year for Information Technology stocks.
The largest positive stock contributions came from Apple, Microsoft, and Taiwan Semiconductor, all beneficiaries of the ongoing digital transformation. Two of our Financial holdings, U.S. Bancorp and Wells Fargo, on the other hand, suffered from decreased net interest margins and a tougher credit environment. Compass Group’s revenue has been significantly curtailed during the pandemic and was another top detractor, but we remain confident that these names are in a strong position to survive the downturn and thrive in the eventual recovery.
In aggregate, the Fund’s defensive characteristics were on show over the period with outperformance tending to occur during periods of market weakness and relative weakness during market strength. The portfolio is underweight the classic defensives, the Utilities and Telecommunications industries. This defensiveness is rather a function of the inherent strength of the underlying businesses owned by the Fund – we continue to focus on companies that are able to deploy capital in a disciplined fashion into identifiable high-returning assets with long-term relevance, while taking into account prevailing valuations.
Grantham, Mayo, Van Otterloo & Co. LLC 40 Rowes Wharf Boston, Massachusetts 02110 USA Investment Manager October 2020
* Although the Fund does not seek to allocate its investments in line with, or seek to control risk relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI World Index is included for comparative purposes only.
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GMO FUNDS PLC INVESTMENT MANAGER’S REPORTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
GMO Emerging Markets Equity Fund
Performance Summary
For the financial year ended 30 September 2020, the GMO Emerging Markets Equity Fund (the “Fund”) returned 0.3% net of fees (1.4% gross of fees) versus the 10.5% return of the MSCI Emerging Markets Index (the “Benchmark”)*.
The last quarter of 2019 saw emerging markets post impressive returns buoyed by accommodative monetary policies and the declaration of a “phase-one” trade deal between the U.S. and China. The first quarter of 2020 saw investor concerns about the impact of the coronavirus on China and global economic growth morph into a full-fledged rout in stock prices. Sentiment turned around dramatically by the end of the first quarter. While the fears of rising coronavirus infections and further tensions in U.S.-China relations did not dissipate, investors, pumped up by generous dosages of fiscal and monetary measures, ignored these fears to soar on hopes of a robust economic recovery. Country returns over the period varied, ranging from a 35.0% leap in Taiwan to a 37.6% fall in Colombia. Sector returns were more clustered, varying from an increase of 48.4% in Consumer Discretionary to a drop of 19.2% in Energy.
Brazilian stocks came under pressure as concerns over the weak economy were compounded by fears of the impact of the coronavirus outbreak. Political turmoil added another dimension of worry for investors. Our underweight in Brazil Financials contributed to performance.
China began 2020 on the back foot as the market incorporated the expected impact to businesses from the coronavirus. This changed with a change in perception that China had contained the worst of the outbreak. Later in the year, the stock market was boosted by reports of an acceleration in economic activity in the country. Some pressure came from the rising tension in the U.S.-China relationship and the disappointment over the lack of major stimulus measures. Our underweights in China Communication Services and Consumer Discretionary detracted from performance.
Equities in India were impacted by higher oil prices and by signs of an economic slowdown. Further pressure came from concerns over the impact of the coronavirus on its fragile health care system and weak economy. The drop in oil prices provided some relief to the market. Our underweight in Indian Financials helped performance.
Stocks in Korea, an economy highly geared to global trade, celebrated news of a trade truce between the U.S. and China in 2019. Later in the period, Korea was buoyed by its technology sector as it rose on optimism for 5G, high-performance computing, and the continuing acceleration of online businesses. Our underweight in Korean Communication Services hurt performance.
Russian equities began the period on a positive note on signs of improving corporate governance. Also boosting performance was a jump in the price of oil, the country’s major export. Investor sentiment turned negative in 2020 with a drop in oil prices. Sentiment was further dimmed by the prospect of rising sanctions from the U.S. Our overweight in Russian Energy negatively impacted performance.
Investor sentiment in Turkey was negatively impacted by Turkey’s incursion into Syria in October. Further pressure came from the impact of Covid-19 and the perception that fiscal and monetary conditions were unduly loose for the economy. Our overweight in Turkish Financials detracted from performance.
Grantham, Mayo, Van Otterloo & Co. LLC 40 Rowes Wharf Boston, Massachusetts 02110 USA Investment Manager October 2020
* References to the Benchmark are for illustrative purposes only. There is no guarantee that the Fund will outperform its Benchmark.
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GMO FUNDS PLC INVESTMENT MANAGER’S REPORTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
GMO Global Real Return (UCITS) Fund
Performance Summary
In the financial year ended 30 September 2020, GMO Global Real Return (UCITS) Fund (the “Fund”) has returned -1.0%, net of fees (the USD A share class), underperforming the benchmark Organisation for Economic Co-operation and Development G7 Consumer Price Index (the “Benchmark”) figure of 0.8% by -1.8%. Equity exposures detracted from performance. The only constant exposure to equities for the period was in emerging market value equities and it was a particularly challenging time for a valuation-driven approach to investing. The MSCI Emerging Markets Index enjoyed a very satisfactory 10.5% return for the twelve months, while the MSCI Emerging Markets Value Index suffered with a -5.7% loss. Given our bias to value, our return of -1.2% was reasonable in context. Around the middle of May, we converted the remainder of our equity exposure to be beta- hedged equity long/short positions by shorting broad market futures as we believe that the majority of equity markets were too expensive after their rebound from a poor start to 2020, particularly given the elevated levels of uncertainty related to Covid-19. We retain high conviction in our equity positioning as a longer-term investment. The equity long/short positions had a modest positive performance for the partial period they were in the Fund. Three of the alternative strategies, Event-Driven, Systematic Global Macro, and Fixed Income Absolute Return had a modest positive return for the financial year. The other two alternative strategies, Special Opportunities and the U.S. Small Value versus S&P 500 spread trade were both moved into the equity long/short classification when that became a more significant part of the portfolio. They had contrasting fortunes at the start of the period while they were classified in the alternative strategies, as Special Opportunities was a significant contributor to performance, but U.S. Small Value versus S&P 500 was a significant detractor. The fixed income exposures had a strong year, partly driven by U.S. Treasury Inflation-Protected Securities (“TIPS”) which did extremely well as yields plummeted, and we sold them part way through the period when we believed they had become overvalued. We added a small exposure to emerging country debt after prices had fallen due to the Covid-19 pandemic and this performed strongly along with asset-backed securities and high yield/distressed, which both delivered another solid and satisfactory performance. Cash/cash plus positions had a small positive return for the period.
Commentary
We remain underwhelmed by the scale of opportunities that the market is currently providing. Our equity exposure within the Fund stands at 24.5% at 30 September 2020, all in emerging market value equities.
Equity long/short positions accounted for 36.4% and were comprised of 7.8% long developed ex-U.S. Value/short MSCI EAFE, 5.2% long developed ex-U.S. Small Cap Value/short MSCI EAFE, 5.1% long ACWI ex-U.S. extension/short MSCI EAFE, 5.1% long U.S. Small Cap Value/short Russell 2000, 4.0% long Emerging Markets Value/short S&P 500, 2.5% long Special Opportunities/short S&P 500, 2.9% long Cyclical Focus/short S&P 500, and a 4.0% long Japan Value/short TOPIX position. We believe that there is significant discrepancy in the current market pricing of equities. The long/short structure allows us to own equities that we believe are relatively cheap, while removing the beta associated with broad equity markets where we consider that you are not being offered adequate reward for the risks entailed.
Our exposure to alternative strategies is 18.8% of the Fund as of 30 September 2020. The collection of these strategies included Event-Driven (4.0%), Systematic Global Macro (9.9%), and Fixed Income Absolute Return (4.9%). We consider our alternative strategies to offer non-conventional ways of accessing more standard risks, with potentially different payoff profiles. In particular, they may be less sensitive than traditional stock and bond investments to the starting valuations of markets and rises in rates.
Sovereign rates across the globe remain low (or in some cases negative), leaving few opportunities for traditional duration exposures within fixed income. Spreads in some credit assets look reasonable, but underlying duration exposures and concerns about potentially rising default rates limit our enthusiasm. Our 13.4% exposure to fixed income as of 30 September 2020 included credit exposures in asset-backed securities (5.1%), high yield/distressed debt (5.3%), and Emerging Country Debt (3.0%).
Our exposure to cash/cash plus as of 30 September 2020 stood at 6.9%.
We remain focused on trying to build robust portfolios that can withstand a variety of different outcomes.
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GMO FUNDS PLC INVESTMENT MANAGER’S REPORTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
GMO Global Real Return (UCITS) Fund (continued)
Commentary (continued)
Equities: 25% Emerging Markets 24.5%
Emerging Markets 4.0% vs. S&P 500 Cyclical Focus 2.9% Special Opportunities 2.5% U.S. Small Value 5.1% vs. Russell 2000
Equities Long/Short: Developed ex-U.S. 7.8% 37% vs. EAFE Developed ex-U.S. Small Value 5.2% ACWI ex-U.S. Equity Extension 5.1% vs. TOPIX Japan Value 4.0% Event Driven 4.0%
Alternative Strategies: 19% Systematic Global Macro 9.9%
Fixed Income Absolute Return 4.9%
ABS/Structured Products 5.1% Fixed Income: 13% Emerging Debt 3.0% High Yield/Distressed 5.3%
Cash/Cash Plus: 7% Cash & Equivalents 6.9%
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GMO FUNDS PLC INVESTMENT MANAGER’S REPORTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
GMO Global Real Return (UCITS) Fund (continued)
Risk Reporting
The chart below shows the Fund’s Value at Risk (“VAR”) over the last year.
Grantham, Mayo, Van Otterloo & Co. LLC 40 Rowes Wharf Boston, Massachusetts 02110 USA Investment Manager October 2020
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GMO FUNDS PLC INVESTMENT MANAGER’S REPORTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
GMO Emerging Domestic Opportunities Equity Fund
Performance Summary
For the financial year ended 30 September 2020, the GMO Emerging Domestic Opportunities Equity Fund (the “Fund”) returned 12.5% net of fees (13.8% gross of fees).
The last quarter of 2019 saw emerging markets post impressive returns buoyed by accommodative monetary policies and the declaration of a “phase-one” trade deal between the U.S. and China. The first quarter of 2020 saw investor concerns about the impact of the coronavirus on China and global economic growth morph into a full-fledged rout in stock prices. Sentiment turned around dramatically by the end of the first quarter. While the fears of rising coronavirus infections and further tensions in U.S.-China relations did not dissipate, investors, pumped up by generous dosages of fiscal and monetary measures, ignored these fears to soar on hopes of a robust economic recovery. Country returns over the period varied, ranging from a 35.0% leap in Taiwan to a 37.6% fall in Colombia. Domestic demand driven sector returns were more clustered, varying from an increase of 48.4% in Consumer Discretionary to a drop of 19.0% in Financials.
Brazilian stocks came under pressure as concerns over the weak economy were compounded by fears of the impact of the coronavirus outbreak. Political turmoil added another dimension of worry for investors. Our investments in Brazil Financials detracted from performance.
China began 2020 on the back foot as the market incorporated the expected impact to businesses from the coronavirus. This changed with a change in perception that China had contained the worst of the outbreak. Later in the year, the stock market was boosted by reports of an acceleration in economic activity in the country. Some pressure came from the rising tension in the U.S.-China relationship and the disappointment over the lack of major stimulus measures. Our exposure to China Communication Services and Consumer Discretionary helped performance.
Equities in India were impacted by higher oil prices and by signs of an economic slowdown. Further pressure came from concerns over the impact of the coronavirus on its fragile health care system and weak economy. The drop in oil prices provided some relief to the market. Our holdings in Indian Financials hurt performance.
Stocks in Korea, an economy highly geared to global trade, celebrated news of a trade truce between the U.S. and China in 2019. Later in the period, Korea was buoyed by its technology sector as it rose on optimism for 5G, high-performance computing and the continuing acceleration of online businesses. Our holdings in Korean IT added to performance.
The Taiwanese stock market was cheered by better-than-expected earnings growth and by some businesses relocating factories from China to Taiwan. The country’s technology sector was boosted by optimism for 5G, high performance computing and the continuing acceleration of online businesses. Our positions in Taiwan Information Technology contributed to performance.
Grantham, Mayo, Van Otterloo & Co. LLC 40 Rowes Wharf Boston, Massachusetts 02110 USA Investment Manager October 2020
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GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS AS AT 30 SEPTEMBER 2020 ______
% of Net Par Value †/ Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED
Debt Obligations (30 September 2019: 1.06%) United States (30 September 2019: 1.06%) U.S. Government (30 September 2019: 1.06%) 400,000 United States Treasury Bill, 0.00%, due 22/04/21 (a) 309,205 0.84 200,000 United States Treasury Floating Rate Note, 0.23%, due 30/04/21 154,822 0.42 464,027 1.26
TOTAL DEBT OBLIGATIONS 464,027 1.26
Equities (30 September 2019: 98.41%)
Australia (30 September 2019: 1.38%) 5,020 Ampol Ltd. 66,657 0.18 9,437 Australian Pharmaceutical Industries Ltd. 5,494 0.01 933 Brickworks Ltd. 10,040 0.03 6,795 Downer EDI Ltd. 16,576 0.05 29,268 Fortescue Metals Group Ltd. 264,494 0.73 72 IDP Education Ltd. 759 0.00 1,760 McMillan Shakespeare Ltd. 8,011 0.02 3,387 Navigator Global I nvestments Ltd. 2,864 0.01 2,355 Rio Tinto Ltd. 123,149 0.33 2,138 Sandfire Resources Ltd. 4,836 0.01 1,969 Super Retail Group Ltd. 11,484 0.03 514,364 1.40
Austria (30 September 2019: 0.02%) 253 Oesterreichische Post AG 6,586 0.02 6,586 0.02
Belgium (30 September 2019: 0.21%) 2,898 UCB SA 254,981 0.69 254,981 0.69
Brazil (30 September 2019: 3.18%) 3,600 Banco do Brasil SA 14,634 0.04 9,700 Cia de Saneamento Basico do Estado de Sao Paulo 62,299 0.17 3,300 Cia de Saneamento do Parana 11,521 0.03 7,300 Cia Paranaense de Energia - Preferred Shares 62,122 0.17 35,300 JBS SA 100,133 0.27 50,000 Petrobras Distribuidora SA 138,2 63 0.38 6,900 Qualicorp Consultoria e Corretora de Seguros SA 32,186 0.09 6,300 Telefonica Brasil SA - Preferred Shares 37,540 0.10 7,500 TIM Participacoes SA 13,442 0.04 2,300 Yduqs Participacoes SA 8,652 0.02 480,792 1.31
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Canada (30 September 2019: 2.66%) 200 Bank of Montreal (USA listed) 9,036 0.02 700 Bank of Nova Scotia 22,425 0.06 1,600 BRP Inc. 65,182 0.18 1,200 Canadian Imperial Bank of Commerce 69,164 0.19 200 Cogeco Inc. 10,19 8 0.03 3,000 Fortuna Silver Mines Inc. 14,759 0.04 700 IA Financial Corp. Inc. 18,788 0.05 2,200 Martinrea International Inc. 12,141 0.03 500 Medical Facilities Corp. 1,265 0.00 7,400 Royal Bank of Canada (Canada listed) 400,626 1.09 400 Royal Bank of Canada (USA listed) 21,702 0.06 3,300 Sun Life Financial Inc. (Canada listed) 103,690 0.28 500 Sun Life Financial Inc. (USA listed) 15,753 0.04 600 Teekay Tankers Ltd. 5,031 0.01 1,200 TFI International Inc. 38,692 0.11 2,400 Toronto-Dominion Bank (Canada listed) 85,682 0.23 1,100 Transcontinental Inc. 10,472 0.03 700 Westshore Terminals Investment Corp. 6,166 0.02 910,772 2.47
Chile (30 September 2019: 0.07%) 3,873 Enel Americas SA - Depositary Receipts 19,353 0.05 19,353 0.05
China (30 September 2019: 7.84%) 98,000 Agile Group Holdings Ltd. 98,986 0.27 313,000 Agricultural Bank of China Ltd. 75,601 0.21 100 Alibaba Group Holding Ltd. - Depositary Receipts 22,740 0.06 42,000 Anhui Conch Cement Co. Ltd. 223,431 0.60 140,000 BAIC Motor Corp. Ltd., 144A 44,016 0.12 705,000 Bank of China Ltd. (H Shares) 168,876 0.46 531,000 Bank of Communications Co. Ltd. 197,154 0.53 22,932 China BlueChemical Ltd. 2,563 0.01 173,000 China Cinda Asset Management Co. Ltd. 25,037 0.07 282,000 China CITIC Bank Corp. Ltd. 84,156 0.23 175,136 China Communications Services Corp. Ltd. 79,359 0.22 75,000 China Everbright Bank Co. Ltd. 18,265 0.05 38,000 China Foods Ltd. 9,596 0.03 1,000 China Huarong Asset Management Co. Ltd., 144A 82 0.00 98,000 China Lesso Group Holdings Ltd. 136,155 0.37 8,000 China Lilang Ltd. 3,393 0.01 7,000 China Machinery Engineering Corp. 1,111 0.00 116,000 China Medical System Holdings Ltd. 98,758 0.27
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
China (30 September 2019: 7.84%) (continued) 9,500 China Minsheng Banking Corp. Ltd. 3,850 0.01 47,500 China Mobile Ltd. 234,437 0.63 222,000 China National Building Material Co. Ltd. 216,700 0.58 15,000 China Overseas Grand Oceans Group Ltd. 6,617 0.02 593,808 China Petroleum & Chemical Corp. 184,320 0.49 178,896 China Railway Construction Corp. Ltd. 95,169 0.26 340,000 China Railway Group Ltd. 123,523 0.34 69,330 China Resources Cement Holdings Ltd. 73,211 0.20 140,000 China Resources Pharmaceutical Group Ltd., 144A 55,613 0.15 60,000 China SCE Group Holdings Ltd. 20,720 0.06 6,000 China Shineway Pharmaceutical Group Ltd. 2,910 0.01 6,000 China Taiping Insurance Holdings Co. Ltd. 7,054 0.02 566,991 China Telecom Corp. Ltd. 131,290 0.36 36,000 China Traditional Chinese Medicine Holdings Co. Ltd. 11,642 0.03 400 China Yuchai International Ltd. 5,569 0.02 51,000 Country Garden Holdings Co. Ltd. 48,255 0.13 46,000 Dongyue Group Ltd. 13,636 0.04 20,000 Great Wall Motor Co. Ltd. 19,622 0.05 14,000 Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. 27,024 0.07 3,200 Guangzhou R&F Properties Co. Ltd. 3,181 0.01 31,000 Haier Electronics Group Co. Ltd. 86,634 0.24 14,000 Harbin Electric Co. Ltd. 3,060 0.01 4,000 Hisense Home Appliances Group Co. Ltd. 3,813 0.01 46,301 Huabao International Holdings Ltd. 32,395 0.09 79,000 IGG Inc. 69,623 0.19 19,704 Kingboard Holdings Ltd. 50,149 0.14 14,473 Livzon Pharmaceutical Group Inc. 51,136 0.14 20,000 Lonking Holdings Ltd. 4,092 0.01 400 NetEase Inc. - Depositary Receipts 140,678 0.38 13,000 Nexteer Automotive Group Ltd. 6,968 0.02 42,000 Nine Dragons Paper Holdings Ltd. 40,746 0.11 76,000 PICC Property & Casualty Co. Ltd. 40,886 0.11 166,000 Postal Savings Bank of China Co. Ltd., 144A 53,847 0.15 6,000 Powerlong Real Estate Holdings Ltd. 3,479 0.01 70,800 Shanghai Pharmaceuticals Holding Co. Ltd. 91,581 0.25 65,000 Shimao Property Holdings Ltd. 207,601 0.55 120,000 Sinopec Shanghai Petrochemical Co. Ltd. 16,888 0.05 45,200 Sinopharm Group Co. Ltd. 73,354 0.20 19,500 Sinotruk Hong Kong Ltd. 38,653 0.10 24,000 TCL Electronics Holdings Ltd. 14,277 0.04 60,000 Tianneng Power International Ltd. 83,120 0.23 1,300 Vipshop Holdings Ltd. - Depositary Receipts 15,727 0.04
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
China (30 September 2019: 7.84%) (continued) 12,000 Weichai Power Co. Ltd. 18,588 0.05 8,000 Xinhua Winshare Publishing and Media Co. Ltd. 3,905 0.01 14,500 Zhongsheng Group Holdings Ltd. 69,973 0.19 3,794,795 10.31
Colombia (30 September 2019: 0.01%)
Denmark (30 September 2019: 0.03%) 836 Alm Brand AS 7,406 0.02 965 Scandinavian Tobacco Group AS, 144A 11,083 0.03 18,489 0.05
Finland (30 September 2019: 0.44%)
France (30 September 2019: 4.16%) 290 Alten SA 21,307 0.06 3,621 BNP Paribas SA 101,737 0.28 35 Christian Dior SE 11,099 0.03 358 Dassault Systemes SE 51,875 0.14 102 Fnac Darty SA 3,553 0.01 321 Gaztransport Et Technigaz SA 23,745 0.06 95 Hermes International 63,439 0.17 1,442 L'Oreal SA 363,097 0.99 114 LVMH Moet Hennessy Louis Vuitton SE 41,300 0.11 1,001 Metropole Television SA 9,261 0.03 146 Neopost SA 1,531 0.00 11,694 Peugeot SA 164,411 0.45 5,440 Sanofi 421,054 1.14 500 Sanofi - Depositary Receipts 19,404 0.05 9,400 STMicroelectronics NV NY Shares - Depositary Receipts 223,148 0.61 1,582 TOTAL SA 41,901 0.11 1,561,862 4.24
Germany (30 September 2019: 2.73%) 756 ADVA Optical Networking SE 4,156 0.01 1,040 Allianz SE 154,349 0.41 722 Bayer AG 34,913 0.09 2,330 Bayerische Motoren Werke AG 131,013 0.36 509 Bechtle AG 79,827 0.22 96 Carl Zeiss Meditec AG 9,404 0.03 1,305 Deutsche Pfandbriefbank AG, 144A 6,694 0.02 2,948 Dialog Semiconductor Plc 99,474 0.27 115 Fresenius Medical Care AG & Co. KGaA 7,513 0.02 110 Gerresheimer AG 9,524 0.03 476 Hamburger Hafen Und Logistik AG 6,459 0.02 94 Hannover Rueck SE 11,272 0.03 449 Henkel AG & Co. KGaA 32,541 0.09 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Germany (30 September 2019: 2.73%) (continued) 704 Henkel AG & Co. KGaA - Preferred Shares 57,037 0.15 551 Knorr-Bremse AG 50,299 0.14 791 Merck KGaA 89,363 0.24 1,017 SAP SE 122,469 0.33 1,287 Siemens Healthineers AG, 144A 44,7 11 0.12 111 Siltronic AG 7,714 0.02 1,306 Software AG 49,849 0.14 330 Volkswagen AG 44,660 0.12 271 Wacker Neuson SE 4,287 0.01 1,057,528 2.87
Greece (30 September 2019: 0.01%) 511 Aegean Airlines SA 1,437 0.00 1,437 0.00
Hong Kong (30 September 2019: 0.53%) 700 ASM Pacific Technology Ltd. 5,505 0.01 14,000 BOC Hong Kong Holdings Ltd. 28,505 0.07 25,000 Champion REIT 9,582 0.03 1,200 Dah Sing Financial Holdings Ltd. 2,230 0.01 3,000 Luk Fook Holdings International Ltd. 5,611 0.02 8,000 Pacific Textiles Holdings Ltd. 2,874 0.01 220,500 WH Group Ltd., 144A 138,210 0.37 7,000 Wharf Holdings Ltd. 10,773 0.03 7,000 Wharf Real Estate Investment Co. Ltd. 22,008 0.06 225,298 0.61
Hungary (30 September 2019: 0.08%) 5,855 Magyar Telekom Telecommunications Plc 5,308 0.01 2,712 Richter Gedeon Nyrt 44,366 0.12 49,674 0.13
India (30 September 2019: 1.63%) 748 Aurobindo Pharma Ltd. 6,230 0.02 231 Bajaj Auto Ltd. 6,970 0.02 2,285 Birlasoft Ltd. 4,650 0.01 4,131 Cadila Healthcare Ltd. 17,142 0.05 1,937 Dr Reddy's Laboratories Ltd. 105,234 0.29 1,600 Dr Reddy's Laboratories Ltd. - Depositary Receipts 86,089 0.23 4,799 Firstsource Solutions Ltd. 3,665 0.01 36,199 HCL Technologies Ltd. 307,406 0.84 16,272 Indian Oil Corp. Ltd. 12,607 0.03 1,065 Jubilant Life Sciences Ltd. 8,140 0.02
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
India (30 September 2019: 1.63%) (continued) 2,567 Just Dial Ltd. 10,318 0.03 7,882 Karnataka Bank Ltd. 3,347 0.01 2,285 KPIT Engineering Ltd. 2,908 0.01 275 Larsen & Toubro Infotech Ltd., 144A 7,338 0.02 789 Mphasis Ltd. 11,498 0.03 103 Oracle Financial Services Software Ltd. 3,316 0.01 10,496 PC Jeweller Ltd. 1,535 0.00 53,872 Power Finance Corp. Ltd. 48,657 0.13 1,914 PTC India Ltd. 953 0.00 1,498 Rajesh Exports Ltd. 7,01 8 0.02 8,596 Reliance Capital Ltd. 712 0.00 59,196 Rural Electrification Corp. Ltd. 61,348 0.17 1,277 Tata Chemicals Ltd. 4,011 0.01 4,347 Wipro Ltd. 14,276 0.04 735,368 2.00
Indonesia (30 September 2019: 0.03%) 59,600 Erajaya Swasembada Tbk PT 4,787 0.01 208,100 Sri Rejeki Isman Tbk PT 2,077 0.01 6,864 0.02
Ireland (30 September 2019: 0.04%) 407 CRH Plc 11,396 0.03 2,500 CRH Plc - Depositary Receipts 69,790 0.19 125 Flutter Entertainment Plc 15,313 0.04 216 Kerry Group Plc 21,454 0.06 117,953 0.32
Israel (30 September 2019: 0.05%) 1,408 Harel Insurance Investments & Financial Services Ltd. 6,830 0.02 6,830 0.02
Italy (30 September 2019: 2.00%) 1,289 ASTM SpA 20,894 0.06 203 De' Longhi SpA 5,377 0.01 1,935 Enav SpA, 144A 5,683 0.02 64,358 Enel SpA 433,038 1.17 3,338 EXOR NV 140,731 0.38 800 FinecoBank Banca Fineco SpA 8,530 0.02 11,587 Intesa Sanpaolo SpA 16,848 0.05 4,626 Iren SpA 9,206 0.03 1,887 Societa Cattolica di Assicurazioni SC 7,788 0.02 648,095 1.76
Japan (30 September 2019: 9.55%) 600 AOKI Holdings Inc. 2, 313 0.01 700 Aruhi Corp. 9,441 0.03 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Japan (30 September 2019: 9.55%) (continued) 16,796 Asahi Kasei Corp. 112,610 0.31 27,200 Astellas Pharma Inc. 312,414 0.85 1,300 Bandai Namco Holdings Inc. 73,267 0.20 4,300 Brother Industries Ltd. 52,509 0.14 200 Central Glass Co. Ltd. 3,200 0.01 597 Denka Co. Ltd. 13,981 0.04 600 DTS Corp. 9,829 0.03 2,300 Fuji Electric Co. Ltd. 55,802 0.15 3,600 Fujitsu Ltd. 378,394 1.02 1,100 Hakuhodo DY Holdings Inc. 10,925 0.03 9,800 Hitachi Ltd. 254,501 0.69 1,800 Honda Motor Co. Ltd. 32,635 0.09 700 Ishihara Sangyo Kaisha Ltd. 3,699 0.01 4,874 ITOCHU Corp. 95,923 0.26 600 ITOCHU Techno-Solutions Corp. 17,526 0.05 1,100 Japan Post Bank Co. Ltd. 6,620 0.02 800 Jtekt Corp. 4,808 0.01 500 Kaga Electronics Co. Ltd. 8,187 0.02 1,000 Kanematsu Corp. 9,419 0.03 17,200 KDDI Corp. 334,849 0.90 600 Keihin Corp. 11,395 0.03 15,300 Konica Minolta Inc. 33,195 0.09 200 Makino Milling Machine Co. Ltd. 5,395 0.01 15,714 Mitsubishi Chemical Holdings Corp. 69,765 0.19 500 Mitsubishi Electric Corp. 5,210 0.01 1,500 Mitsubishi Gas Chemical Co. Inc. 21,396 0.06 15,600 Mitsubishi UFJ Financial Group Inc. 47,579 0.13 2,200 NEC Corp. 99,011 0.27 20,132 Nippon Telegraph & Telephone Corp. 317,262 0.86 400 Nisshin Oillio Group Ltd. 9,309 0.03 1,600 Nisshinbo Holdings Inc. 8,385 0.02 1,500 NTT DOCOMO Inc. 42,714 0.12 4,900 Obayashi Corp. 34,300 0.09 200 Otsuka Corp. 7,887 0.02 800 Raito Kogyo Co. Ltd. 9,253 0.03 300 Rohto Pharmaceutical Co. Ltd. 7,597 0.02 400 Seiko Holdings Corp. 4,155 0.01 3,323 Sekisui Chemical Co. Ltd. 40,847 0.11 400 Sekisui House Ltd. 5,446 0.01 12,534 Sojitz Corp. 21,866 0.06 52,500 Sumitomo Chemical Co. Ltd. 133,531 0.36 772 Sumitomo Forestry Co. Ltd. 9,450 0.03 1,700 Sumitomo Mitsui Financial Group Inc. 36,354 0.10 500 Takasago Thermal Engineering Co. Ltd. 5,530 0.02 1,000 Tanseisha Co. Ltd. 5,190 0.01 600 Teijin Ltd. 7,164 0.02 733 Tokyo Century Corp. 30,678 0.08
The accompanying notes form an integral part of these audited financial statements.
24 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Japan (30 September 2019: 9.55%) (continued) 500 Tokyo Electron Ltd. 100,162 0.27 600 TS Tech Co. Ltd. 13,031 0.04 321 Tsumura & Co. 7,706 0.02 2,953,615 8.02
Malaysia (30 September 2019: 0.01%) 18,300 DRB-Hicom Bhd 7,119 0.02 19,852 Supermax Corp. Bhd 31,115 0.08 38,234 0.10
Mexico (30 September 2019: 0.79%) 300 Aleatica SAB de CV 209 0.00 18,400 America Movil SAB de CV 8,904 0.02 1,600 Arca Continental SAB de CV 5,343 0.01 11,072 Bolsa Mexicana de Valores SAB de CV 19,351 0.05 3,800 Megacable Holdings SAB de CV 8,526 0.02 106,300 Wal-Mart de Mexico SAB de CV 197,071 0.55 239,404 0.65
Netherlands (30 September 2019: 2.61%) 187 ASM International NV 20,753 0.06 83 ASML Holding NV 23,693 0.06 2,902 ASR Nederland NV 75,547 0.21 423 Heineken Holding NV 25,496 0.07 4,038 ING Groep NV 22,185 0.06 13,130 Koninklijke Ahold Delhaize NV 300,721 0.82 1,600 Koninklijke Vopak NV 69,750 0.19 584 Randstad NV 23,589 0.06 5,546 Signify NV, 144A 158,865 0.43 262 Unilever NV 12,239 0.03 5,202 Wolters Kluwer NV 343,698 0.93 1,076,536 2.92
New Zealand (30 September 2019: 0.01%)
Norway (30 September 2019: 0.50%) 1,129 Austevoll Seafood ASA 7,252 0.02 439 Bakkafrost P/F 21,830 0.06 14,409 DNB ASA 154,022 0.42 4,000 Frontline Ltd. 20,111 0.05 805 Grieg Seafood ASA 5,683 0.02 11,093 Orkla ASA 86,553 0.24 857 SpareBank 1 SR-Bank ASA 5,484 0.01 300,935 0.82
The accompanying notes form an integral part of these audited financial statements.
25 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Philippines (30 September 2019: 0.02%) 255 Globe Telecom Inc. 8,463 0.02 8,463 0.02
Poland (30 September 2019: 0.24%) 841 Asseco Poland SA 11,694 0.03 717 Cyfrowy Polsat SA 3,876 0.01 3,316 Enea SA 3,781 0.01 4,509 Energa SA 7,487 0.02 2,243 PLAY Communications SA, 144A 17,321 0.05 2,072 Polski Koncern Naftowy ORLEN SA 19,007 0.05 6,201 Polskie Gornictwo Naftowe i Gazownictwo SA 6,263 0.02 28,484 Tauron Polska Energia SA 12,514 0.03 81,943 0.22
Portugal (30 September 2019: 0.66%) 1,548 Altri SGPS SA 5,260 0.01 2,355 CTT-Correios de Portugal SA 5,383 0.01 66,829 EDP - Energias de Portugal SA 254,294 0.70 15,588 Galp Energia SGPS SA 111,870 0.30 6,163 Jeronimo Martins SGPS SA 76,614 0.21 1,901 Navigator Co. SA 3,662 0.01 457,083 1.24
Russia (30 September 2019: 2.14%) 12,800 Gazprom PJSC 21,811 0.06 2,198,000 Inter RAO UES PJSC 122,911 0.33 902 LUKOIL PJSC 40,298 0.11 4,178 LUKOIL PJSC - Depositary Receipts 187,053 0.50 2,960 Novolipetsk Steel PJSC - Depositary Receipts 50,692 0.14 1,892,000 Rosseti PJSC 27,808 0.08 13,780 Sberbank of Russia PJSC 31,317 0.09 11,843 Sberbank of Russia PJSC - Depositary Receipts 107,043 0.29 33,900 Surgutneftegas PJSC 11,702 0.03 146,500 Surgutneftegas PJSC - Preferred Shares 57,375 0.16 658,010 1.79
Singapore (30 September 2019: 0.50%) 14,200 CapitaLand Ltd. 21,805 0.06 26,200 DBS Group Holdings Ltd. 295,582 0.80 13,500 Mapletree North Asia Commercial Trust REIT 7,152 0.02 7,300 Oversea-Chinese Banking Corp. Ltd. 34,829 0.09 11,300 Singapore Exchange Ltd. 58,587 0.16 1,834 StarHub Ltd. 1,247 0.00 12,200 UMS Holdings Ltd. 6,844 0.02 7,700 United Overseas Bank Ltd. 83,030 0.23 900 Venture Corp. Ltd. 9,812 0.03
The accompanying notes form an integral part of these audited financial statements.
26 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Singapore (30 September 2019: 0.50%) (continued) 83,900 Yangzijiang Shipbuilding Holdings Ltd. 47,065 0.13 565,953 1.54
South Africa (30 September 2019: 1.62%) 27,919 Absa Group Ltd. 115,644 0.31 1,858 Astral Foods Ltd. 11,333 0.03 8,798 Barloworld Ltd. 25,075 0.07 16,241 Blue Label Telecoms Ltd. 2,749 0.01 2,057 DataTec Ltd. 2,105 0.01 2,978 Kumba Iron Ore Ltd. 68,448 0.19 6,549 Liberty Holdings Ltd. 17,244 0.05 18,726 Momentum Metropolitan Holdings 13,460 0.04 3,892 Motus Holdings Ltd. 7,815 0.02 1,176 Murray & Roberts Holdings Ltd. 291 0.00 1,350 Naspers Ltd. 185,311 0.49 35,362 Netcare Ltd. 21,187 0.06 4,955 Reunert Ltd. 6,579 0.02 851 Sappi Ltd. 1,047 0.00 23,657 Telkom SA SOC Ltd. 28,776 0.08 13,439 Tsogo Sun Gaming Ltd. 2,138 0.01 1,029 Wilson Bayly Holmes-Ovcon Ltd. 5,309 0.01 514,511 1.40
South Korea (30 September 2019: 3.79%) 52 Chong Kun Dang Pharmaceutical Corp. 5,709 0.02 72 Com2uSCorp 5,457 0.01 35 Daelim Industrial Co. Ltd. 1,792 0.00 934 DB HiTek Co. Ltd. 23,166 0.06 61 GS Home Shopping Inc. 5,197 0.01 11,693 Hana Financial Group Inc. 217,320 0.60 829 Hankook Tire Co. Ltd. 17,272 0.05 133 Hyundai Department Store Co. Ltd. 4,953 0.01 130 Hyundai Home Shopping Network Corp. 6,131 0.02 91 Hyundai Mobis Co. Ltd. 13,843 0.04 1,789 Hyundai Motor Co. 211,211 0.57 93 Hyundai Motor Co. - Preferred Shares 5,192 0.01 232 Hyundai Motor Co. 2nd - Preferred Shares 13,534 0.04 6,316 Industrial Bank of Korea 33,461 0.09 2,575 JB Financial Group Co. Ltd. 7,698 0.02 1,827 KB Financial Group Inc. 45,375 0.12 200 KB Financial Group Inc. - Depositary Receipts 4,969 0.01 187 KEPCO Plant Service & Engineering Co. Ltd. 3,346 0.01 9,728 Kia Motors Corp. 301,761 0.83 311 Korea Autoglass Corp. 2,849 0.01 306 Korea United Pharm Inc. 14,673 0.04 1,680 Korean Reinsurance Co. 8,278 0.02 500 KT Corp. - Depositary Receipts 3,717 0.01 The accompanying notes form an integral part of these audited financial statements.
27 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
South Korea (30 September 2019: 3.79%) (continued) 1,494 KT&G Corp. 81,423 0.22 653 LG Electronics Inc. 39,605 0.11 162 LG Electronics Inc. - Preferred Shares 3,638 0.01 468 LOTTE Himart Co. Ltd. 9,379 0.03 8 Namyang Dairy Products Co. Ltd. 1,363 0.00 33 Samsung Electronics Co. Ltd., 144A - Depositary Receipts 28,028 0.08 668 Seah Besteel Corp. 4,312 0.01 8,909 Shinhan Financial Group Co. Ltd. 162,632 0.44 756 SK Telecom Co. Ltd. 119,006 0.32 3,200 SK Telecom Co. Ltd. - Depositary Receipts 55,495 0.15 7 Taekwang Industrial Co. Ltd. 3,019 0.01 524 Tongyang Life Insurance Co. Ltd. 1,062 0.00 12,766 Woori Financial Group Inc. 72,445 0.20 851 Yuhan Corp. 36,135 0.10 1,574,446 4.28
Spain (30 September 2019: 2.82%) 1,965 Aena SME SA, 144A 212,638 0.58 23,716 Banco Bilbao Vizcaya Argentaria SA 51,026 0.14 40,959 Banco Santander SA 59,429 0.16 12,160 Endesa SA 251,812 0.68 27,252 Iberdrola SA 259,801 0.71 704 Industria de Diseno Textil SA 15,198 0.04 1,351 Red Electrica Corp. SA 19,625 0.05 1,238 Repsol SA 6,425 0.02 875,954 2.38
Sweden (30 September 2019: 1.81%) 1,249 Betsson AB 7,448 0.02 716 Bilia AB 6,999 0.02 1,428 Resurs Holding AB, 144A 5,731 0.02 1,065 Skandinaviska Enskilda Banken AB 7,330 0.02 5,559 Swedish Match AB 352,070 0.95 20,442 Volvo AB 305,732 0.83 685,310 1.86
Switzerland (30 September 2019: 2.88%) 168 BKW AG 13,876 0.04 83 Bobst Group SA 4,008 0.01 23 Bucher Industries AG 6,805 0.02 152 Huber & Suhner AG 8,856 0.02 585 Nestle SA 53,853 0.15 2,710 Novartis AG 182,322 0.50 2,328 Roche Holding AG 617,691 1.67 5 Schweiter Technologies AG 5,405 0.01 892,816 2.42
The accompanying notes form an integral part of these audited financial statements.
28 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Taiwan (30 September 2019: 3.58%) 21,820 Ardentec Corp. 19,027 0.05 22,035 Asustek Computer Inc. 149,187 0.41 13,000 Chicony Electronics Co. Ltd. 29,200 0.08 12,487 China General Plastics Corp. 6,487 0.02 34,480 China Man-Made Fiber Corp. 6,971 0.02 12,000 Coretronic Corp. 10,705 0.03 4,000 Farglory Land Development Co. Ltd. 4,856 0.01 5,680 Feng Tay Enterprise Co. Ltd. 26,320 0.07 12,000 Formosa Taffeta Co. Ltd. 10,015 0.03 33,000 Gigabyte Technology Co. Ltd. 66,543 0.18 29,000 Grand Pacific Petrochemical 14,406 0.04 2,741 Great Wall Enterprise Co. Ltd. 3,093 0.01 3,000 Greatek Electronics Inc. 3,934 0.01 10,000 Holtek Semiconductor Inc. 17,227 0.05 133,000 Hon Hai Precision Industry Co. Ltd. 274,936 0.74 5,000 Lite-On Semiconductor Corp. 5,609 0.02 38,499 Mercuries Life Insurance Co. Ltd. 9,295 0.03 32,578 Mitac Holdings Corp. 24,885 0.07 32,000 Novatek Microelectronics Corp. 226,910 0.62 11,900 OptoTech Corp. 7,358 0.02 13,000 Pegatron Corp. 22,152 0.06 12,000 Phison Electronics Corp. 84,771 0.23 95,000 Pou Chen Corp. 66,349 0.18 35,000 Radiant Opto-Electronics Corp. 103,293 0.28 6,000 Realtek Semiconductor Corp. 59,051 0.16 2,000 Soft-World International Corp. 4,562 0.01 11,000 Sunplus Technology Co. Ltd. 3,966 0.01 2,250 Syncmold Enterprise Corp. 5,036 0.01 2,000 Systex Corp. 4,396 0.01 2,000 Taiwan FU Hsing Industrial Co. Ltd. 2,278 0.01 4,000 Taiwan PCB Techvest Co. Ltd. 4,188 0.01 11,000 Taiwan Semiconductor Co. Ltd. 11 ,884 0.03 2,404 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 150,752 0.41 4,595 TOPBI International Holdings Ltd. 4,197 0.01 2,152 Topco Scientific Co. Ltd. 6,552 0.02 3,000 Transcend Information Inc. 5,032 0.01 38,000 Walsin Lihwa Corp. 16,289 0.04 23,480 Yuanta Financial Holding Co. Ltd. 11,162 0.03 1,482,874 4.03
Thailand (30 September 2019: 0.10%) 6,400 Mega Lifesciences PCL - Depositary Receipts 5,429 0.01 26,500 Thai Beverage PCL 9,085 0.03 10,500 Thai Vegetable Oil PCL 8,394 0.02 22,908 0.06
The accompanying notes form an integral part of these audited financial statements.
29 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
Turkey (30 September 2019: 0.61%) 3,736 Alkim Alkali Kimya AS 5,184 0.01 5,089 Aselsan Elektronik Sanayi Ve Ticaret AS 9,872 0.03 2,643 Dogus Otomotiv Servis ve Ticaret AS 4,105 0.01 18,184 Enerjisa Enerji AS, 144A 16,285 0.04 84,153 Eregli Demir ve Celik Fabrikalari TAS 79,928 0.23 30,904 KOC Holding AS 45,519 0.12 6,499 Selcuk Ecza Deposu Ticaret ve Sanayi AS 5,599 0.02 6,323 Soda Sanayii AS 5,269 0.01 39,632 Trakya Cam Sanayii AS 19,060 0.05 12,354 Turkiye Garanti Bankasi AS 8,807 0.02 138,548 Turkiye Is Bankasi AS 74,421 0.20 51,668 Turkiye Vakiflar Bankasi TAO 21,477 0.06 295,526 0.80
United Arab Emirates (30 September 2019: 0.02%) 10,015 Emaar Properties PJSC 5,884 0.02 5,884 0.02
United Kingdom (30 September 2019: 7.31%) 18,222 3i Group Plc 181 ,601 0.49 5,468 Ashtead Group Plc 153,104 0.42 990 Aveva Group Plc 47,381 0.13 4,742 Bae Systems Plc 22,856 0.06 22,287 Barratt Developments Plc 106,042 0.29 1,723 Bellway Plc 40,508 0.11 3,001 Berkeley Group Holdings Plc 126,882 0.34 233 Bovis Homes Group Plc 1,325 0.00 5,437 British American Tobacco Plc 151,013 0.41 7,300 British American Tobacco Plc - Depositary Receipts 204,128 0.55 2,500 Coca-Cola HBC AG 47,800 0.13 7,087 Compass Group Plc 82,847 0.23 646 Computacenter Plc 15,284 0.04 236 Cranswick Plc 8,557 0.02 1,278 Crest Nicholson Holdings Plc 2,524 0.01 1,038 Dart Group Plc 6,970 0.02 2,635 Electrocomponents Plc 18,774 0.05 367 Ferguson Plc 28,670 0.08 6,587 Ferrexpo Plc 11,633 0.03 4,608 Gulf Keystone Petroleum Ltd. 3,410 0.01 1,604 Halma Plc 37,614 0.10 535 HSBC Holdings Plc 1,613 0.00 3,046 IG Group Holdings Plc 24,109 0.07 4,438 Inchcape Plc 19,554 0.05 1,408 Intermediate Capital Group Plc 16,797 0.05 14,665 International Consolidated Airlines Group SA 13,768 0.04 9,590 JD Sports Fashion Plc 77,621 0.21 2,837 Kingfisher Plc 8,417 0.02 The accompanying notes form an integral part of these audited financial statements.
30 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
United Kingdom (30 September 2019: 7.31%) (continued) 63,414 Legal & General Group Plc 119,440 0.32 63 Mondi Plc (South Africa listed) 1,039 0.00 799 Mondi Plc (UK listed) 13,100 0.04 3,591 N Brown Group Plc 1,939 0.01 2,342 Next Plc 139,349 0.38 9,288 Persimmon Plc 229,693 0.62 3,028 Plus50Ltd. 47,494 0.13 4,971 Qinetiq Group Plc 13,809 0.04 409 Redrow Plc 1,652 0.00 13,571 Royal Dutch Shell Plc (A Shares) 132,674 0.36 1,303 Royal Dutch Shell Plc (B Shares) 12,251 0.03 1,300 Royal Dutch Shell Plc - Depositary Receipts 24,355 0.07 1,252 Savills Plc 9,759 0.03 1,800 Smith & Nephew Plc - Depositary Receipts 54,440 0.15 647 Spectris Plc 15,767 0.04 8,759 Tate & Lyle Plc 58,265 0.16 2,693 Unilever Plc 128,618 0.35 1,207 Vesuvius Plc 4,772 0.01 1,419 WH Smith Plc 13,523 0.04 2,482,741 6.74
United States (30 September 2019: 29.74%) 1,029 3M Co. 127,495 0.35 226 A O Smith Corp. 9,230 0.03 1,156 Abbott Laboratories 97,314 0.26 510 AbbVie Inc. 34,554 0.09 1,077 Accenture Plc 188,267 0.51 1,346 Activision Blizzard Inc. 84,281 0.23 67 Acuity Brands Inc. 5,304 0.01 270 Acushnet Holdings Corp. 7,019 0.02 134 Adobe Inc. 50,834 0.14 104 Affiliated Managers Group Inc. 5,501 0.01 200 AGCO Corp. 11,490 0.03 160 Akamai Technologies Inc. 13,681 0.04 219 Allison Transmission Holdings Inc. 5,953 0.02 600 Allstate Corp. 43,691 0.12 197 Alphabet Inc. 223,941 0.61 11 Alphabet Inc. Class A 12,470 0.03 5 Amazon.com Inc. 12,178 0.03 364 Amdocs Ltd. 16,164 0.04 1,747 American Express Co. 135,471 0.37 274 Ameriprise Financial Inc. 32,663 0.09 301 AmerisourceBergen Corp. 22,566 0.06 144 AMETEK Inc. 11,072 0.03 779 Amgen Inc. 153,149 0.42 684 Anthem Inc. 142,107 0.39 3,598 Apple Inc. 322,311 0.88
The accompanying notes form an integral part of these audited financial statements.
31 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
United States (30 September 2019: 29.74%) (continued) 2,194 Applied Materials Inc. 100,892 0.27 567 Aptiv Plc 40,209 0.11 297 Archer-Daniels-Midland Co. 10,680 0.03 195 Arrow Electronics Inc. 11,865 0.03 169 Artisan Partners Asset Management Inc. 5,097 0.01 100 Asbury Automotive Group Inc. 7,538 0.02 128 Autoliv Inc. 7,216 0.02 426 AutoNation Inc. 17,441 0.05 7 AutoZone Inc. 6,376 0.02 140 Avery Dennison Corp. 13,844 0.04 300 Avient Corp. 6,140 0.02 267 Avnet Inc. 5,337 0.01 175 AZZ Inc. 4,619 0.01 672 Bank of New York Mellon Corp. 17,850 0.05 166 Berry Global Group Inc. 6,204 0.02 1,048 Best Buy Co. Inc. 90,217 0.25 161 Big Lots Inc. 5,554 0.02 236 Biogen Inc. 51,786 0.14 500 Bloomin' Brands Inc. 5,906 0.02 213 BMC Stock Holdings Inc. 7,057 0.02 277 Booz Allen Hamilton Holding Corp. 17,780 0.05 666 BorgWarner Inc. 19,957 0.05 336 Brady Corp. 10,401 0.03 1,313 Bristol-Myers Squibb Co. 61,232 0.17 145 Brunswick Corp. 6,607 0.02 794 Builders Firstsource Inc. 20,034 0.05 100 CACI International Inc. 16,488 0.04 1,435 Cadence Design Systems Inc. 118,359 0.32 345 Campbell Soup Co. 12,908 0.04 240 Cardinal Health Inc. 8,716 0.02 77 Carlisle Cos. Inc. 7,288 0.02 371 CBIZ Inc. 6,563 0.02 125 CDW Corp. 11,557 0.03 151 Central Garden & Pet Co. 4,221 0.01 271 Cerner Corp. 15,154 0.04 2,217 Charles Schwab Corp. 62,130 0.17 271 Church & Dwight Co. Inc. 19,644 0.05 443 Ciena Corp. 13,600 0.04 64 Cigna Corp. 8,387 0.02 90 Cimpress Plc 5,232 0.01 114 Cirrus Logic Inc. 5,948 0.02 3,620 Cisco Systems Inc. 110,297 0.30 365 Citizens Financial Group Inc. 7,137 0.02 369 Citrix Systems Inc. 39,306 0.11 192 Clorox Co. 31,213 0.08 5,814 Coca-Cola Co. 222,028 0.60 1,218 Colgate-Palmolive Co. 72,686 0.20
The accompanying notes form an integral part of these audited financial statements.
32 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
United States (30 September 2019: 29.74%) (continued) 1,928 Comcast Corp. 68,989 0.19 599 CoreCivic Inc. REIT 3,707 0.01 145 CoreLogic Inc. 7,590 0.02 423 Corteva Inc. 9,427 0.03 304 Costco Wholesale Corp. 83,478 0.23 180 Crane Co. 6,980 0.02 200 CSG Systems International Inc. 6,335 0.02 286 Cummins Inc. 46,714 0.13 121 Curtiss-Wright Corp. 8,729 0.02 112 DaVita Inc. 7,420 0.02 64 Deckers Outdoor Corp. 10,892 0.03 300 Dick's Sporting Goods Inc. 13,4 31 0.04 295 DISH Network Corp. 6,624 0.02 372 Dollar General Corp. 60,318 0.16 90 Dover Corp. 7,542 0.02 454 DR Horton Inc. 26,559 0.07 168 DTE Energy Co. 14,950 0.04 382 East West Bancorp Inc. 9,674 0.03 443 Eastman Chemical Co. 26,769 0.07 559 Eaton Corp. Plc 44,117 0.12 166 Eaton Vance Corp. 4,899 0.01 2,908 eBay Inc. 117,193 0.32 199 Edwards Lifesciences Corp. 12,287 0.03 1,476 Electronic Arts Inc. 148,890 0.40 1,652 Eli Lilly & Co. 189,147 0.51 159 EMCOR Group Inc. 8,328 0.02 374 Emerson Electric Co. 18,969 0.05 345 Entegris Inc. 19,839 0.05 154 Entergy Corp. 11,737 0.03 350 Exelon Corp. 9,681 0.03 427 Exxon Mobil Corp. 11 ,339 0.03 54 F5 Networks Inc. 5,128 0.01 750 Facebook Inc. 151,938 0.41 242 Federal Signal Corp. 5,475 0.01 504 Federated Investors Inc. 8,386 0.02 591 Fidelity National Financial Inc. 14,313 0.04 463 First American Financial Corp. 18,233 0.05 1,130 Flex Ltd. 9,737 0.03 157 FMC Corp. 12,862 0.03 227 Foot Locker Inc. 5,800 0.02 353 Fortive Corp. 20,809 0.06 289 Fox Corp. 6,221 0.02 141 FTI Consulting Inc. 11,558 0.03 445 Gap Inc. 5,862 0.02 616 Garmin Ltd. 45,199 0.12 74 Generac Holdings Inc. 11,084 0.03 968 General Mills Inc. 46,184 0.13
The accompanying notes form an integral part of these audited financial statements.
33 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
United States (30 September 2019: 29.74%) (continued) 378 Genpact Ltd. 11,389 0.03 748 Gentex Corp. 14,899 0.04 167 Genuine Parts Co. 12,294 0.03 107 Gibraltar Industries Inc. 5,391 0.01 1,030 Gilead Sciences Inc. 50,345 0.14 206 Graco Inc. 9,776 0.03 16 Graham Holdings Co. 5,001 0.01 639 Graphic Packaging Holding Co. 6,964 0.02 167 Group 1 Automotive Inc. 11,418 0.03 643 H&R Block Inc. 8,102 0.02 1,151 Hanesbrands Inc. 14,022 0.04 67 Hanover Insurance Group Inc. 4,829 0.01 260 HCA Healthcare Inc. 25,075 0.07 512 Herman Miller Inc. 11,945 0.03 367 Hershey Co. 40,691 0.11 3,421 Hewlett Packard Enterprise Co. 24,795 0.07 76 Hill-Rom Holdings Inc. 4,909 0.01 212 HNI Corp. 5,146 0.01 3,233 HP Inc. 47,490 0.13 77 Huntington Ingalls Industries Inc. 8,383 0.02 105 Ingredion Inc. 6,147 0.02 96 Innospec Inc. 4,702 0.01 88 Integer Holdings Corp. 4,017 0.01 4,592 Intel Corp. 183,922 0.50 1,173 Interpublic Group of Cos. Inc. 15,125 0.04 204 Intuit Inc. 51,475 0.14 1,189 Investors BanCorp. Inc. 6,677 0.02 124 ITT Inc. 5,664 0.02 116 j2 Global Inc. 6,211 0.02 345 Jabil Inc. 9,143 0.02 1,496 Johnson & Johnson 172,281 0.47 100 Jones Lang LaSalle Inc. 7, 399 0.02 3,195 JPMorgan Chase & Co. 237,920 0.65 1,669 Juniper Networks Inc. 27,756 0.08 899 Kimberly-Clark Corp. 102,681 0.28 77 KLA-Tencor Corp. 11,539 0.03 2,124 Kroger Co. 55,712 0.15 67 Laboratory Corp. of America Holdings 9,757 0.03 132 Lakeland Financial Corp. 4,207 0.01 680 Lam Research Corp. 174,497 0.47 200 La-Z-Boy Inc. 4,893 0.01 100 Lear Corp. 8,435 0.02 48 Lithia Motors Inc. 8,463 0.02 286 Lockheed Martin Corp. 84,791 0.23 574 Lowe's Cos. Inc. 73,641 0.20 200 LPL Financial Holdings Inc. 11,861 0.03 2,038 Lyft Inc. 43,430 0.12
The accompanying notes form an integral part of these audited financial statements.
34 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
United States (30 September 2019: 29.74%) (continued) 363 LyondellBasell Industries NV 19,793 0.05 94 ManpowerGroup Inc. 5,332 0.01 196 Masco Corp. 8,358 0.02 348 Maxim Integrated Products Inc. 18,199 0.05 485 McKesson Corp. 55,872 0.15 333 MDC Holdings Inc. 12,132 0.03 4,143 Medtronic Plc 333,029 0.89 3,994 Merck & Co. Inc. 256,267 0.70 867 MGIC Investment Corp. 5,942 0.02 884 Micron Technology Inc. 32,111 0.09 2,163 Microsoft Corp. 351,905 0.96 1,336 Mondelez International Inc. 59,370 0.16 157 Moog Inc. 7,715 0.02 572 Motorola Solutions Inc. 69,381 0.19 206 Mueller Industries Inc. 4,312 0.01 98 Murphy USA Inc. 9,723 0.03 562 Mylan NV 6,447 0.02 142 Nasdaq Inc. 13,478 0.04 274 National General Holdings Corp 7,153 0.02 349 National Instruments Corp. 9,637 0.03 370 NetApp Inc. 12,547 0.03 30 NewMarket Corp. 7,944 0.02 369 Nike Inc. 35,833 0.10 200 Northrop Grumman Corp. 48,807 0.13 1,242 NortonLifeLock Inc. 20,021 0.05 6 NVR Inc. 18, 950 0.05 447 Old Republic International Corp. 5,097 0.01 410 Omnicom Group Inc. 15,698 0.04 6,563 Oracle Corp. 303,071 0.82 247 Oshkosh Corp. 14,043 0.04 1,501 Otis Worldwide Corp. 72,472 0.20 309 Owens Corning 16, 447 0.04 443 PACCAR Inc. 29,223 0.08 162 Parker-Hannifin Corp. 25,355 0.07 178 PennyMac Financial Services Inc. 8,002 0.02 1,430 PepsiCo Inc. 153,309 0.42 4,147 Pfizer Inc. 117,725 0.32 1,413 Philip Morris International Inc. 81,962 0.22 2,124 Phillips 66 85,170 0.23 82 Plexus Corp. 4,480 0.01 324 Polaris Inc. 23,643 0.06 177 Portland General Electric Co. 4,860 0.01 200 Progress Software Corp. 5,675 0.02 1,031 Progressive Corp. 75,499 0.21 524 PulteGroup Inc. 18,762 0.05 1,092 Quest Diagnostics Inc. 96,707 0.26 1,129 Qurate Retail Inc. 6,270 0.02
The accompanying notes form an integral part of these audited financial statements.
35 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
United States (30 September 2019: 29.74%) (continued) 33 Qurate Retail Inc. - Preferred Shares 2,514 0.01 175 Raymond James Financial Inc. 9,849 0.03 1,560 Raytheon Technologies Corp. 69,433 0.19 56 Regeneron Pharmaceuticals Inc. 24,248 0.07 312 Reliance Steel & Aluminum Co. 24,626 0.07 189 Rent-A-Center Inc. 4,370 0.01 95 Republic Services Inc. 6,860 0.02 259 salesforce.com Inc. 50,350 0.14 285 Sanmina Corp. 5,963 0.02 85 Scotts Miracle-Gro Co. 10,054 0.03 783 Seagate Technology Plc 29,841 0.08 181 Sealed Air Corp. 5,43 4 0.01 317 SEI Investments Co. 12,437 0.03 268 Silgan Holdings Inc. 7,623 0.02 415 Skechers U.S.A. Inc. 9,701 0.03 125 Sleep Number Corp. 4,729 0.01 1,222 SLM Corp. 7,647 0.02 182 Sonic Automotive Inc. 5,654 0.02 369 Sprouts Farmers Market Inc. 5,974 0.02 816 Starbucks Corp. 54,232 0.15 633 State Street Corp. 29,050 0.08 289 Steel Dynamics Inc. 6,400 0.02 74 Stepan Co. 6,239 0.02 163 STERIS Plc 22,215 0.06 203 Sykes Enterprises Inc. 5,372 0.01 138 SYNNEX Corp. 14,951 0.04 562 Synopsys Inc. 93,020 0.25 736 TE Connectivity Ltd. 55,644 0.15 869 TEGNA Inc. 7,898 0.02 98 Teledyne Technologies Inc. 23,515 0.06 389 Telephone & Data Systems Inc. 5,549 0.02 99 Tempur Sealy International Inc. 6,830 0.02 328 Teradyne Inc. 20,160 0.05 1,297 Texas Instruments Inc. 143,254 0.39 584 Textron Inc. 16,303 0.04 178 Timken Co. 7,465 0.02 3,599 TJX Cos. Inc. 154,923 0.42 542 TRI Pointe Group Inc. 7,605 0.02 819 Tyson Foods Inc. 37,681 0.10 315 UFP Industries Inc. 13,769 0.04 165 UMB Financial Corp. 6,255 0.02 234 United Bankshares Inc. 3,886 0.01 107 United Therapeutics Corp. 8,359 0.02 986 UnitedHealth Group Inc. 237,783 0.65 5,554 US BanCorp. 154,015 0.42 456 Valvoline Inc. 6,716 0.02 2,175 Verizon Communications Inc. 100,086 0.27
The accompanying notes form an integral part of these audited financial statements.
36 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description £ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.41%) (continued)
United States (30 September 2019: 29.74%) (continued) 517 Visa Inc. 79,969 0.22 214 W R Berkley Corp. 10,122 0.03 5,462 Wells Fargo & Co. 99,328 0.27 177 Werner Enterprises Inc. 5,749 0.02 119 West Pharmaceutical Services Inc. 25,304 0.07 219 Williams-Sonoma Inc. 15,321 0.04 345 Wolverine World Wide Inc. 6,896 0.02 383 World Fuel Services Corp. 6,278 0.02 192 Worthington Industries Inc. 6,056 0.02 21 WW Grainger Inc. 5,795 0.02 650 Xerox Holdings Corp. 9,437 0.03 2,902 Zynga Inc. 20,472 0.06 10,612,897 28.84
TOTAL EQUITIES 36,237,084 98.42
Short-Term Investments (30 September 2019: Nil)
Money Market Funds (30 September 2019: Nil) 15,842 State Street US Treasury Liquidity Fund - Class IE0 12,254 0.03 TOTAL SHORT-TERM INVESTMENTS 12,254 0.03
TOTAL INVESTMENTS AT FAIR VALUE 36,713,365 99.71
TOTAL TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED 36,713,365 99.71
The accompanying notes form an integral part of these audited financial statements.
37 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS* (30 September 2019: (0.02)%)
Net Unrealized Notional Appreciation % of Net Number of Amount (Depreciation) Asset + Contracts Type Expiration Date £ £ Value Buys 3 MSCI Emerging Markets Futures December 20 126,238 58 0.00 2 MSCI EAFE Index Futures December 20 143,912 (565) (0.00) Total Buys 270,150 (507) (0.00)
Total Futures Contracts (Gain) 58 0.00 Total Futures Contracts (Loss) (565) (0.00) TOTAL FUTURES CONTRACTS (NET) (507) (0.00)
+ Buy - Fund is long the futures contract. Sale - Fund is short the futures contract.
* The clearing broker for the futures contracts are J.P. Morgan Securities LLC and Morgan Stanley & Co. LLC.
TOTAL EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (507) (0.00)
As at 30 September 2020, 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.
% of Net Value Asset £ Value Total financial assets at fair value through profit or loss 36,713,423 99.71 Total financial liabilities at fair value through profit or loss (565) (0.00) Cash at bank 55,186 0.15 Other assets in excess of liabilities 50,928 0.14 Net assets attributable to holders of redeemable participating shares 36,818,972 100.00
% of Total Asset Analysis of Total Assets Value Transferable securities listed on an official stock exchange unless otherwise noted 98.13 Transferable securities traded on a regulated market unless otherwise noted 1.29 Financial derivative instruments traded on a regulated market 0.00 Over-the-counter financial derivative instruments 0.00 99.42 † Denominated in U.S. Dollar, unless otherwise indicated. (a) The rate shown represents yield-to-maturity. Yield rounds to 0.00%.
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement of Investments, if any, please refer to page 129.
The accompanying notes form an integral part of these audited financial statements.
38 ______
GMO FUNDS PLC GMO QUALITY INVESTMENT FUND STATEMENT OF INVESTMENTS AS AT 30 SEPTEMBER 2020 ______
% of Net Par Value†/ Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED
Debt Obligations (30 September 2019: 1.77%)
United States (30 September 2019: 1.77%) U.S. Government (30 September 2019: 1.77%) 4,400,000 United States Treasury Bill, 0.00%, due 12/11/20 (a) 4,399,500 1.63 2,500,000 United States Treasury Bill, 0.00%, due 21/01/21 (a) 2,499,183 0.92 6,898,683 2.55
TOTAL DEBT OBLIGATIONS 6,898,683 2.55
Equities (30 September 2019: 98.99%)
France (30 September 2019: Nil) 4,785 LVMH Moet Hennessy Louis Vuitton SE 2,241,086 0.83 2,241,086 0.83
Germany (30 September 2019: 2.88%) 22,342 Knorr-Bremse AG 2,636,703 0.97 41,351 SAP SE 6,437,569 2.38 9,074,272 3.35
Netherlands (30 September 2019: Nil) 3,252 ASML Holding NV 1,200,096 0.44 90,074 Unilever NV 5,439,704 2.01 6,639,800 2.45
Switzerland (30 September 2019: 6.38%) 23,751 Nestle SA 2,826,595 1.04 20,431 Roche Holding AG 7,008,250 2.59 9,834,845 3.63
Taiwan (30 September 2019: 2.85%) 528,318 Taiwan Semiconductor Manufacturing Co. Ltd. 7,898,684 2.91 7,898,684 2.91
United Kingdom (30 September 2019: 4.74%) 288,124 Compass Group Plc 4,354,369 1.61 32,123 Unilever Plc 1,983,406 0.73 6,337,775 2.34
United States (30 September 2019: 82.14%) 42,914 3M Co. 6,873,965 2.54 48,514 Abbott Laboratories 5,279,779 1.95 43,817 Accenture Plc 9,902,204 3.65 5,275 Adobe Inc. 2,587,018 0.95 4,240 Alphabet Inc. Class A 6,214,144 2.29 3,512 Alphabet Inc. Class C 5,161,235 1.90 63,727 American Express Co. 6,388,632 2.36 26,637 Anthem Inc. 7,154,432 2.64
The accompanying notes form an integral part of these audited financial statements.
39 ______
GMO FUNDS PLC GMO QUALITY INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON A N OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 98.99%) (continued)
United States (30 September 2019: 82.14%) (continued) 115,854 Apple Inc. 13,417,052 4.95 89,915 Charles Schwab Corp. 3,257,620 1.20 150,629 Cisco Systems Inc. 5,933,276 2.19 244,597 Coca-Cola Co. 12,075,754 4.45 33,046 Eli Lilly & Co. 4,891,469 1.80 30,628 Facebook Inc. 8,021,473 2.96 61,410 Johnson & Johnson 9,142,721 3.37 17,976 Lam Research Corp. 5,963,538 2.20 82,415 Lyft Inc. 2,270,533 0.84 80,354 Medtronic Plc 8,350,388 3.08 74,994 Merck & Co. Inc. 6,220,752 2.29 77,828 Microsoft Corp. 16,369,563 6.05 164,994 Oracle Corp. 9,850,142 3.63 56,183 Otis Worldwide Corp. 3,506,943 1.29 56,886 Philip Morris International Inc. 4,265,881 1.57 41,169 Quest Diagnostics Inc. 4,713,439 1.74 65,495 Raytheon Technologies Corp. 3,768,582 1.39 10,183 salesforce.com Inc. 2,559,192 0.94 33,482 Starbucks Corp. 2,876,773 1.06 52,742 Texas Instruments Inc. 7,531,030 2.78 124,466 TJX Cos. Inc. 6,926,533 2.56 41,394 UnitedHealth Group Inc. 12,905,407 4.76 226,274 US Bancorp 8,111,923 2.99 20,404 Visa Inc. 4,080,188 1.51 229,207 Wells Fargo & Co. 5,388,657 1.99 221,960,238 81.87
TOTAL EQUITIES 263,986,700 97.38
Short-Term Investments (30 September 2019: 0.23%)
Money Market Funds (30 September 2019: 0.23%) 56,164 State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% 56,164 0.02 56,164 0.02
TOTAL SHORT-TERM INVESTMENTS 56,164 0.02
TOTAL INVESTMENTS AT FAIR VALUE 270,941,547 99.95
TOTAL TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED 270,941,547 99.95
The accompanying notes form an integral part of these audited financial statements.
40 ______
GMO FUNDS PLC GMO QUALITY INVESTMENT FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset US$ Value Total financial assets at fair value through profit or loss 270,941,547 99.95 Cash at bank 28 0.00 Other assets in excess of liabilities 122,664 0.05 Net assets attributable to holders of redeemable participating shares 271,064,239 100.00
% of Total Asset Analysis of Total Assets Value Transferable securities listed on an official stock exchange unless otherwise noted 97.28 Transferable securities traded on a regulated market unless otherwise noted 2.56 99.84
† Denominated in U.S. Dollar, unless otherwise indicated. (a) The rate shown represents yield-to-maturity. Yield rounds to 0.00%.
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement of Investments, if any, please refer to page 129.
The accompanying notes form an integral part of these audited financial statements.
41 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED
Equities (30 September 2019: 92.38%)
Argentina (30 September 2019: 0.04%) 15,600 Banco BBVA Argentina SA - Depositary Receipts 39,312 0.02 9,600 Banco Macro SA - Depositary Receipts 137,280 0.06 3,900 Globant SA 698,958 0.33 27,100 Grupo Financiero Galicia SA - Depositary Receipts 196,204 0.09 1,071,754 0.50
Brazil (30 September 2019: 0.23%) 8,600 Banco do Estado do Rio Grande do Sul SA - Preferred Shares 18,203 0.01 17,400 Cia Paranaense de Energia - Preferred Shares 191,428 0.09 40,800 Lojas Americanas SA 176,622 0.08 8,200 Lojas Americanas SA - Preferred Shares 41,302 0.02 34,000 WEG SA 396,313 0.18 823,868 0.38
Chile (30 September 2019: 0.02%) 4,095 Inversiones La Construccion SA 24,430 0.01 24,430 0.01
China (30 September 2019: 33.65%) 124,000 Agile Group Holdings Ltd. 161,920 0.08 6,741,550 Agricultural Bank of China Ltd. 2,105,103 0.98 2,060,700 Agricultural Bank of China Ltd. Class A 959,155 0.45 28,000 AK Medical Holdings Ltd., 144A 71,463 0.03 41,580 Alibaba Group Holding Ltd. - Depositary Receipts 12,223,689 5.67 35,000 A-Living Services Co. Ltd., 144A 177,032 0.08 343,051 Anhui Conch Cement Co. Ltd. (A Shares) 2,783,455 1.29 185,106 Anhui Expressway Co. Ltd. (A Shares) 140,788 0.07 6,000 Anhui Expressway Co. Ltd. (H Shares) 2,981 0.00 6,000 ANTA Sports Products Ltd. 62,013 0.03 35,500 Asia Cement China Holdings Corp. 31,194 0.01 5,583,810 Bank of China Ltd. (H Shares) 1,729,180 0.80 8,000 Beijing Capital International Airport Co. Ltd. 4,800 0.00 289,800 Beijing North Star Co. Ltd. 110,633 0.05 29,400 Budweiser Brewing Co. APAC Ltd., 144A 85,355 0.04 4,000 China Aoyuan Group Ltd. 4,083 0.00 699,266 China Communications Services Corp. Ltd. 409,635 0.19 3,181,655 China Construction Bank Corp. (A Shares) 2,873,048 1.33 9,314,009 China Construction Bank Corp. (H Shares) 6,033,075 2.80 438,000 China Dongxiang Group Co Ltd 54,255 0.03 505,000 China Feihe Ltd., 144A 1,171,600 0.54 892,000 China Jinmao Holdings Group Ltd. 491,463 0.23 222,000 China Lesso Group Holdings Ltd. 398,741 0.19
The accompanying notes form an integral part of these audited financial statements.
42 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
China (30 September 2019: 33.65%) (continued) 504,300 China Machinery Engineering Corp. 103,463 0.05 67,000 China Medical System Holdings Ltd. 73,743 0.03 28,000 China Meidong Auto Holdings Ltd. 107,303 0.05 9,500 China Merchants Bank Co. Ltd. (H Shares) 44,803 0.02 82,540 China Mobile Ltd. 526,658 0.24 1,157 China Mobile Ltd. - Depositary Receipts 37,209 0.02 332,000 China Oriental Group Co. Ltd. 74,111 0.03 135,000 China Overseas Grand Oceans Group Ltd. 76,994 0.04 672,500 China Overseas Land & Investment Ltd. 1,683,419 0.78 950,000 China Resources Cement Holdings Ltd. 1,296,903 0.60 78,000 China Resources Gas Group Ltd. 348,232 0.16 506,000 China Resources Land Ltd. 2,278,632 1.06 188,000 China SCE Group Holdings Ltd. 83,933 0.04 1,213,000 China Shenhua Energy Co. Ltd. 2,175,574 1.01 237,443 China Shenhua Energy Co. Ltd. (A Shares) 574,206 0.27 31,000 China Vanke Co Ltd. (H Shares) 94,600 0.04 417,500 China Vanke Co. Ltd. (A Shares) 1,717,668 0.80 951,207 Country Garden Holdings Co. Ltd. 1,163,541 0.54 28,000 Country Garden Services Holdings Co. Ltd. 180,103 0.08 39,500 Dali Foods Group Co. Ltd., 144A 24,108 0.01 47,900 Dongfang Electric Corp. Ltd. 71,457 0.03 86,000 Dongyue Group Ltd. 32,957 0.02 4,800 ENN Energy Holdings Ltd. 52,274 0.02 53,000 Fu Shou Yuan International Group Ltd. 51,564 0.02 728,000 Geely Automobile Holdings Ltd. 1,446,606 0.67 145,000 Greenland Hong Kong Holdings Ltd. 44,529 0.02 946,000 Guangdong Investment Ltd. 1,496,511 0.69 24,000 Haier Electronics Group Co. Ltd. 86,710 0.04 15,000 Haitian International Holdings Ltd. 34,839 0.02 61,500 Hebei Construction Group Corp. Ltd. 117,921 0.05 6,500 Hengan International Group Co. Ltd. 47,177 0.02 468,547 Hisense Home Appliances Group Co. Ltd. 851,704 0.40 20,100 Hollysys Automation Technologies Ltd. 222,105 0.10 94,000 Hopson Development Holdings Ltd. 221,719 0.10 608,000 Hua Han Health Industry Holdings Ltd. 40,795 0.02 140,425 Huaxin Cement Co. Ltd. 518,145 0.24 6,971,780 Industrial & Commercial Bank of China Ltd. (H Shares) 3,616,330 1.68 1,662,900 Industrial & Commercial Bank of China Ltd. (A Shares) 1,201,284 0.56 62,000 Kingboard Laminates Holdings Ltd. 84,800 0.04 385,000 KWG Group Holdings Ltd. 656,735 0.30 11,500 Lao Feng Xiang Co. Ltd. 79,514 0.04 43,600 Livzon Pharmaceutical Group Inc. 315,032 0.15 237,000 Logan Property Holdings Co. Ltd. 373,695 0.17 191,500 Longfor Group Holdings Ltd., 144A 1,074,871 0.50
The accompanying notes form an integral part of these audited financial statements.
43 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
China (30 September 2019: 33.65%) (continued) 163,000 Lonking Holdings Ltd. 43,116 0.02 49,600 NetEase Inc. 882,560 0.41 9,500 NetEase Inc. - Depositary Receipts 4,319,365 2.00 5,000 Nongfu Spring Co. Ltd. 22,581 0.01 104,000 PAX Global Technology Ltd. 62,266 0.03 16,600 Pharmaron Beijing Co. Ltd., 144A 206,483 0.10 2,402,250 PICC Property & Casualty Co. Ltd. 1,670,726 0.78 3,600 Poly Property Services Co. Ltd. 27,917 0.01 1,584,000 Postal Savings Bank of China Co. Ltd., 144A 664,258 0.31 218,000 Qingling Motors Co. Ltd. 37,974 0.02 72,500 Shandong Gold Mining Co. Ltd., 144A 178,490 0.08 206,000 Shenzhen Investment Ltd. 60,072 0.03 7,300 Shenzhou International Group Holdings Ltd. 122,923 0.06 394,500 Shimao Property Holdings Ltd. 1,628,903 0.76 265,000 Sinopec Engineering Group Co. Ltd. 97,794 0.05 146,500 Sinotruk Hong Kong Ltd. 375,418 0.17 49,163 Tencent Holdings Ltd. 3,244,758 1.51 178,000 Tianneng Power International Ltd. 318,792 0.15 44,000 Times China Holdings Ltd. 60,862 0.03 174,400 Vipshop Holdings Ltd. - Depositary Receipts 2,727,616 1.27 323,000 Want Want China Holdings Ltd. 224,225 0.10 825,469 Weifu High-Technology Group Co. Ltd. 3,042,209 1.41 60,000 Xinyi Glass Holdings Ltd. 120,619 0.06 149,500 Xtep International Holdings Ltd. 44,175 0.02 4,200 Yum China Holdings Inc. 222,390 0.10 486,237 Yuzhou Properties Co. Ltd. 191,985 0.09 100,500 Zhongsheng Group Holdings Ltd. 626,990 0.29 120,000 Zhuzhou Kibing Group Co Ltd. 149,767 0.07 78,864,372 36.60
Colombia (30 September 2019: 0.08%) 4,556 Banco Davivienda SA - Preferred Shares 32,388 0.02 5,500 Grupo Aval Acciones y Valores SA - Depositary Receipts 25,355 0.01 279,054 Grupo Aval Acciones y Valores SA - Preferred Shares 65,015 0.03 122,758 0.06
Czech Republic (30 September 2019: 0.04%) 51,491 Moneta Money Bank AS, 144A 118,584 0.06 118,584 0.06
The accompanying notes form an integral part of these audited financial statements.
44 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
India (30 September 2019: 2.52%) 11,688 Asian Paints Ltd. 313,919 0.14 3,408 Coal India Ltd. 5,356 0.00 416,861 Gayatri Projects Ltd. 99,441 0.05 9,938 HDFC Bank Ltd. 145,204 0.07 600 HDFC Bank Ltd. - Depositary Receipts 29,976 0.01 1,440 Hero MotoCorp Ltd. 61,410 0.03 12,011 Hindustan Unilever Ltd. 336,171 0.15 11,480 Housing Development Finance Corp. Ltd. 269,651 0.13 53,148 ICICI Bank Ltd. 254,646 0.12 3,700 ICICI Bank Ltd. - Depositary Receipts 36,371 0.02 27,651 Jai Balaji Industries Ltd. 5,903 0.00 32,021 Kiri Industries Ltd. 220,475 0.10 17,509 Kotak Mahindra Bank Ltd. 300,605 0.14 16,823 Muthoot Finance Ltd. 257,430 0.12 14,219 Titan Co. Ltd. 230,707 0.11 2,567,265 1.19
Indonesia (30 September 2019: 0.29%) 230,000 Adaro Energy Tbk PT 17,544 0.01 410,600 Astra International Tbk PT 123,070 0.06 69,300 Bank BTPN Syariah Tbk PT 15,276 0.01 859,900 Bank Central Asia Tbk PT 1,566,081 0.72 1,171,500 Bank Mandiri Persero Tbk PT 390,500 0.18 1,342,000 Bank Negara Indonesia Persero Tbk PT 400,436 0.19 208,000 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 12,161 0.01 1,590,700 Bank Pembangunan Daerah Jawa Timur Tbk PT 54,520 0.03 6,455,000 Bank Rakyat Indonesia Persero Tbk PT 1,318,763 0.60 1,810,200 Bank Tabungan Negara Persero Tbk PT 145,984 0.07 2,178,000 Bukit Asam Tbk PT 288,351 0.13 360,700 Indo Tambangraya Megah Tbk PT 197,561 0.09 237,600 Matahari Department Store Tbk PT 15,648 0.01 1,034,800 Pakuwon Jati Tbk PT 24,618 0.01 15,156,100 Panin Financial Tbk PT 186,396 0.09 2,480,800 Ramayana Lestari Sentosa Tbk PT 88,362 0.04 55,100 United Tractors Tbk PT 84,427 0.04 4,929,698 2.29
Jersey (30 September 2019: Nil) 10,403 Polymetal International Plc 227,870 0.11 227,870 0.11
The accompanying notes form an integral part of these audited financial statements.
45 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKE T UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
Kuwait (30 September 2019: Nil) 113,535 Alimtiaz Investment Group KSC 33,968 0.02 10,862 Humansoft Holding Co. KSC 92,176 0.04 192,014 Kuwait Finance House KSCP 414,100 0.19 61,579 Kuwait Projects Co. Holding KSCP 30,337 0.01 311,785 National Bank of Kuwait SAKP 885,001 0.42 1,455,582 0.68
Malaysia (30 September 2019: Nil) 25,300 Hartalega Holdings Bhd 98,631 0.05 98,631 0.05
Mexico (30 September 2019: 0.33%) 404,600 America Movil SAB de CV 253,107 0.12 5,400 America Movil SAB de CV - Depositary Receipts 67,446 0.03 68,100 Banco del Bajio SA, 144A 50,560 0.02 Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero 196,100 Santand 125,695 0.06 800 Coca-Cola Femsa SAB de CV - Depositary Receipts 32,576 0.02 12,000 Concentradora Fibra Danhos SA de CV REIT 10,991 0.01 9,900 Corp. Inmobiliaria Vesta SAB de CV 14,898 0.01 114,300 Credito Real SAB de CV SOFOM ER 56,747 0.03 16,100 El Puerto de Liverpool SAB de CV 45,509 0.02 426,100 Fibra Uno Administracion SA de CV REIT 337,008 0.16 165,200 Gentera SAB de CV 46,696 0.02 80,600 Grupo Aeroportuario del Centro Norte SAB de CV 370,145 0.17 1,600 Grupo Aeroportuario del Centro Norte SAB de CV - Depositary Receipts 58,816 0.03 200 Grupo Aeroportuario del Pacifico SAB de CV 1,607 0.00 2,200 Grupo Aeroportuario del Pacifico SAB de CV - Depositary Receipts 177,408 0.08 3,400 Grupo Aeroportuario del Sureste SAB de CV 39,520 0.02 1,900 Grupo Aeroportuario del Sureste SAB de CV - Depositary Receipts 220,457 0.10 560,600 Grupo Financiero Banorte SAB de CV 1,939,877 0.89 40,100 Grupo Financiero Inbursa SAB de CV 31,044 0.01 208,700 Grupo Mexico SAB de CV 532,061 0.25 14,700 Kimberly-Clark de Mexico SAB de CV 23,266 0.01 26,293 Qualitas Controladora SAB de CV 99,463 0.05 30,800 Regional SAB de CV 72,704 0.03 42,339 Unifin Financiera SAB de CV 35,270 0.02 218,200 Wal-Mart de Mexico SAB de CV 522,970 0.24 5,165,841 2.40
The accompanying notes form an integral part of these audited financial statements.
46 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
Pakistan (30 September 2019: 0.19%) 14,318 Engro Corp. Ltd. 26,000 0.01 318,004 Engro Fertilizers Ltd. 117,225 0.05 41,246 Fauji Fertilizer Co. Ltd. 26,875 0.01 301,368 Oil & Gas Development Co. Ltd. 177,511 0.08 26,393 Pakistan Oilfields Ltd. 67,197 0.03 214,285 Pakistan Petroleum Ltd. 118,552 0.07 22,055 Pakistan State Oil Co. Ltd. 26,612 0.01 42,100 Searle Co. Ltd. 64,645 0.03 27,500 SUI Northern Gas Pipeline 10,229 0.00 58,110 United Bank Ltd. 40,258 0.02 675,104 0.31
Philippines (30 September 2019: 0.19%) 17,810 Manila Electric Co. 99,558 0.05 1,308,000 Megaworld Corp. 79,861 0.04 2,052,000 Metro Pacific Investments Corp. 147,720 0.06 14,080 Security Bank Corp. 26,763 0.01 170,075 Semirara Mining & Power Corp. 35,011 0.02 388,913 0.18
Poland (30 September 2019: 3.40%) 17,105 Bank Pekao SA 222,619 0.10 4,488 Budimex SA 284,392 0.13 320,503 Powszechny Zaklad Ubezpieczen SA 2,054,980 0.95 2,048 Santander Bank Polska SA 75,535 0.04 2,637,526 1.22
Qatar (30 September 2019: 1.22%) 118,977 Doha Bank QPSC 76,464 0.04 39,476 Masraf Al Rayan QSC 45,103 0.02 11,818 Qatar Electricity & Water Co. QSC 54,822 0.03 29,701 Qatar Insurance Co SAQ 18,640 0.01 195,965 Qatar National Bank QPSC 979,556 0.45 50,874 Qatar National Cement Co. QSC 53,794 0.02 1,228,379 0.57
The accompanying notes form an integral part of these audited financial statements.
47 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
Russia (30 September 2019: 16.12%) 2,068,310 Alrosa PJSC 1,966,196 0.91 16,878 Bashneft PJSC - Preferred Shares 268,499 0.12 392,300 Credit Bank of Moscow PJSC 29,639 0.01 74,640 Detsky Mir PJSC, 144A 113,247 0.05 28,845 Etalon Group Plc - Depositary Receipts 46,152 0.02 83,670,000 Federal Grid Co. Unified Energy System PJSC 212,838 0.10 4,370 Gazprom Neft PJSC 16,604 0.01 6,497 Gazprom Neft PJSC - Depositary Receipts 122,533 0.06 11,145 Globaltrans Investment Plc - Depositary Receipts 67,985 0.03 6,203,000 Inter RAO UES PJSC 448,431 0.21 1,283 LSR Group PJSC 14,116 0.01 66,502 LSR Group PJSC - Depositary Receipts 145,307 0.07 94,788 LUKOIL PJSC - Depositary Receipts 5,486,329 2.54 19,620 M.Video PJSC 171,698 0.08 527,600 Magnitogorsk Iron & Steel Works PJSC 262,470 0.12 15,567 Magnitogorsk Iron & Steel Works PJSC - Depositary Receipts 101,341 0.05 244,390 MMC Norilsk Nickel PJSC - Depositary Receipts 5,902,019 2.73 80,800 Mobile TeleSystems PJSC - Depositary Receipts 705,384 0.33 806,454 Moscow Exchange MICEX-RTS PJSC 1,521,118 0.71 26,300 Nizhnekamskneftekhim PJSC - Preferred Shares 26,062 0.01 5,851 Novatek PJSC - Depositary Receipts 801,587 0.37 135,200 Novolipetsk Steel PJSC 299,143 0.14 83,226 Novolipetsk Steel PJSC - Depositary Receipts 1,842,624 0.86 19,960 PhosAgro PJSC - Depositary Receipts 240,318 0.11 68,741 Polymetal International Plc 1,501,431 0.70 9,738 Polyus PJSC - Depositary Receipts 1,026,385 0.48 18,800 QIWI Plc - Depositary Receipts 326,180 0.15 56,770 Raspadskaya OJSC 88,782 0.04 3,369,000 Rosseti PJSC 64,014 0.03 11,230 Safmar Financial Investment 69,839 0.03 153,694 Sberbank of Russia PJSC - Depositary Receipts 1,795,914 0.83 64,908 Severstal PJSC - Depositary Receipts 824,981 0.38 763,097 Surgutneftegas OJSC - Depositary Receipts 3,371,363 1.56 1,833,000 Surgutneftegas PJSC 817,987 0.38 3,746,500 Surgutneftegas PJSC - Preferred Shares 1,896,876 0.88 85,947 Tatneft PJSC - Depositary Receipts 3,075,184 1.43 18,662 TCS Group Holding Plc - Depositary Receipts 493,610 0.23 51 Transneft PJSC - Preferred Shares 97,069 0.05 5,891,000 Unipro PJSC 210,812 0.10 468 X5 Retail Group NV - Depositary Receipts 17,316 0.01 36,489,383 16.93
The accompanying notes form an integral part of these audited financial statements.
48 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
Singapore (30 September 2019: Nil) 2,804,400 Yangzijiang Shipbuilding Holdings Ltd. 2,033,811 0.94 2,033,811 0.94
South Africa (30 September 2019: 4.66%) 6,503 Absa Group Ltd. 34,823 0.02 7,762 Anglo American Platinum Ltd. 541,223 0.25 42,312 Aspen Pharmacare Holdings Ltd. 302,576 0.14 4,926 Astral Foods Ltd. 38,844 0.02 13,980 AVI Ltd. 62,281 0.03 18,621 Barloworld Ltd. 68,612 0.03 1,625 Capitec Bank Holdings Ltd. 101,064 0.05 24,191 Clicks Group Ltd. 322,445 0.15 21,320 Discovery Ltd. 163,504 0.08 100,736 Emira Property Fund Ltd. REIT 35,028 0.02 348,105 FirstRand Ltd. 860,454 0.40 51,767 Foschini Group Ltd. 254,490 0.12 6,219 Gold Fields Ltd. 75,791 0.04 83,900 Gold Fields Ltd. - Depositary Receipts 1,031,131 0.47 464,410 Growthpoint Properties Ltd. REIT 341,069 0.16 62,670 Investec Ltd. 118,539 0.06 15,767 Kumba Iron Ore Ltd. 468,511 0.22 53,346 Lewis Group Ltd. 55,585 0.03 10,940 Liberty Holdings Ltd. 37,241 0.02 17,450 Motus Holdings Ltd. 45,299 0.02 109,777 Mr Price Group Ltd. 868,805 0.39 152,264 Murray & Roberts Holdings Ltd. 48,746 0.02 27,891 Nedbank Group Ltd. 168,500 0.08 2,059,200 Old Mutual Ltd. (South Africa listed) 1,278,976 0.58 160,237 Old Mutual Ltd. (UK listed) 98,315 0.05 39,777 Rand Merchant Investment Holdings Ltd. 69,228 0.03 27,803 Remgro Ltd. 156,717 0.07 1,558,276 RMB Holdings Ltd. 108,369 0.05 537,950 Sanlam Ltd. 1,676,740 0.77 10,037 Shoprite Holdings Ltd. 82,228 0.04 239,611 Truworths International Ltd. 447,762 0.21 43,307 Vodacom Group Ltd. 320,051 0.15 19,746 Wilson Bayly Holmes-Ovcon Ltd. 131,699 0.06 10,414,646 4.83
The accompanying notes form an integral part of these audited financial statements.
49 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
South Korea (30 September 2019: 3.99%) 5,552 BNK Financial Group Inc. 24,021 0.01 5,601 Daou Data Corp. 63,218 0.03 4,902 DB HiTek Co. Ltd. 157,183 0.07 5,001 DB Insurance Co. Ltd. 193,284 0.09 78,969 Dongwon Development Co. Ltd. 268,069 0.12 899 Doosan Fuel Cell Co Ltd. 33,131 0.02 676 Genexine Inc. 82,542 0.04 762 GS Home Shopping Inc. 83,921 0.04 2,978 HDC Hyundai Development Co. 54,111 0.03 2,150 Hy-Lok Corp. 21,877 0.01 2,562 Hyundai Mobis Co. Ltd. 503,855 0.23 19,205 Korea Asset In Trust Co. Ltd. REIT 59,939 0.03 857 LOTTE Fine Chemical Co. Ltd. 36,383 0.02 419 NHN KCP Corp. 24,542 0.01 2,357 S&T Motiv Co. Ltd. 102,382 0.05 18,266 Samsung Electronics Co. Ltd. 909,005 0.42 138,213 Samsung Electronics Co. Ltd. - Preferred Shares 5,968,154 2.76 328 SK Chemicals Co. Ltd. 83,157 0.04 2,725 Soulbrain Holdings Co. Ltd. 106,367 0.05 8,775,141 4.07
Sri Lanka (30 September 2019: 0.01%) 2,080,776 Anilana Hotels & Properties Ltd. 14,622 0.01 14,622 0.01
Taiwan (30 September 2019: 17.46%) 99,000 AcBel Polytech Inc. 81,868 0.04 2,000 Accton Technology Corp. 15,365 0.01 5,000 Acter Group Corp. Ltd. 32,802 0.02 58,000 Alchip Technologies Ltd. 976,279 0.45 24,000 Amazing Microelectronic Corp. 65,962 0.03 52,827 Asustek Computer Inc. 462,387 0.21 22,000 Aten International Co. Ltd. 62,896 0.03 14,900 Aurora Corp. 43,267 0.02 577,000 Catcher Technology Co. Ltd. 3,615,961 1.68 463,164 Cathay Financial Holding Co. Ltd. 617,296 0.29 229,480 Chailease Holding Co. Ltd. 1,037,977 0.48 55,291 Chicony Electronics Co. Ltd. 160,554 0.07 476,000 China Development Financial Holding Corp. 139,865 0.06 42,000 Chong Hong Construction Co. Ltd. 116,014 0.05 304,100 Coretronic Corp. 350,699 0.16 3,253,520 CTBC Financial Holding Co. Ltd. 2,067,010 0.96 12,424 CTBC Financial Holding Co. Ltd. - Preferred Shares 27,841 0.01 50,000 Elan Microelectronics Corp. 251,191 0.12
The accompanying notes form an integral part of these audited financial statements.
50 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITI ES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
Taiwan (30 September 2019: 17.46%) (continued) 8,000 Elite Advanced Laser Corp. 17,457 0.01 88,000 Elite Material Co. Ltd. 443,616 0.21 68,800 Farglory Land Development Co. Ltd. 107,968 0.05 379,000 FLEXium Interconnect Inc. 1,589,963 0.74 48,600 Formosa Plastics Corp. 131,896 0.06 239,684 Foxconn Technology Co. Ltd. 426,204 0.20 916,000 Fubon Financial Holding Co. Ltd. 1,325,199 0.61 10,000 Gigabyte Technology Co. Ltd. 26,069 0.01 7,000 Globalwafers Co. Ltd. 92,811 0.04 51,000 Grand Pacific Petrochemical 32,753 0.02 1,818,847 Hon Hai Precision Industry Co. Ltd. 4,860,809 2.27 140,900 Huaku Development Co. Ltd. 419,363 0.19 46,408 IBF Financial Holdings Co. Ltd. 18,828 0.01 64,656 IEI Integration Corp. 95,995 0.04 21,420 Innodisk Corp. 117,225 0.05 19,000 International Games System Co. Ltd. 505,801 0.23 48,100 Kung Long Batteries Industrial Co. Ltd. 226,699 0.11 189,000 Lite-On Technology Corp. 300,839 0.14 9,000 Lotes Co. Ltd. 143,257 0.07 111,645 Mercuries Life Insurance Co. Ltd. 34,848 0.02 114,000 Merry Electronics Co. Ltd. 582,556 0.27 127,000 Micro-Star International Co. Ltd. 583,212 0.27 57,000 Nantex Industry Co. Ltd. 98,208 0.05 3,000 Nien Made Enterprise Co. Ltd. 35,581 0.02 116,800 Novatek Microelectronics Corp. 1,070,727 0.50 9,000 Oneness Biotech Co. Ltd. 106,277 0.05 1,000 Parade Technologies Ltd. 36,254 0.02 71,000 Pegatron Corp. 156,405 0.07 4,000 Pixart Imaging Inc. 24,584 0.01 222,550 Quanta Computer Inc. 580,926 0.27 813,600 Radiant Opto-Electronics Corp. 3,104,163 1.44 43,000 Shinkong Insurance Co. Ltd. 51,965 0.02 110,320 Simplo Technology Co. Ltd. 1,140,834 0.53 8,800 Sitronix Technology Corp. 39,652 0.02 108,200 Syncmold Enterprise Corp. 313,071 0.15 903,000 Taiwan Semiconductor Manufacturing Co. Ltd. 13,500,414 6.27 40 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 3,243 0.00 94,000 Taiwan Styrene Monomer 52,417 0.02 90,200 Teco Electric and Machinery Co. Ltd. 92,966 0.04 7,000 Thinking Electronic Industrial Co. Ltd. 23,952 0.01 62,000 Transcend Information Inc. 134,438 0.06 103,400 Tripod Technology Corp. 392,722 0.18
The accompanying notes form an integral part of these audited financial statements.
51 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
Taiwan (30 September 2019: 17.46%) (continued) 78,000 Unimicron Technology Corp. 200,373 0.09 61,448 United Integrated Services Co. Ltd. 413,727 0.19 15,000 Wiwynn Corp. 338,202 0.16 8,000 Yulon Nissan Motor Co. Ltd. 67,399 0.03 44,187,102 20.51
Thailand (30 September 2019: 0.36%) 47,000 Bangkok Bank PCL 142,391 0.08 1,560,300 Beauty Community PCL 73,368 0.03 73,800 Delta Electronics Thailand PCL 364,487 0.17 397,282 Digital Telecommunications Infrastructure Fund 171,764 0.08 33,700 Hana Microelectronics PCL 46,263 0.02 56,700 Kiatnakin Phatra Bank PCL 66,653 0.03 168,800 Krung Thai Bank PCL 47,144 0.02 256,200 Origin Property PCL 50,937 0.02 213,400 Pruksa Holding PCL 72,733 0.03 1,735,511 Quality Houses PCL 120,493 0.06 44,400 SPCG PCL 27,323 0.01 407,550 Supalai PCL 199,353 0.09 48,500 Thai Vegetable Oil PCL 50,126 0.02 13,500 Tisco Financial Group PCL 27,160 0.01 98,800 TTW PCL 39,286 0.02 189,900 Univentures PCL 14,743 0.01 1,514,224 0.70
Turkey (30 September 2019: 6.77%) 596,527 Aselsan Elektronik Sanayi Ve Ticaret AS 1,495,935 0.69 7,466 BIM Birlesik Magazalar AS 67,449 0.03 1,275,464 Dogan Sirketler Grubu Holding AS 392,366 0.18 3,622,451 Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT 813,437 0.38 44,475 Enerjisa Enerji AS, 144A 51,494 0.02 48,488 Koza Altin Isletmeleri AS 490,283 0.23 80,327 Koza Anadolu Metal Madencilik Isletmeleri AS 131,790 0.06 158,646 Soda Sanayii AS 170,916 0.08 14,056 Tofas Turk Otomobil Fabrikasi AS 44,882 0.02 1,808 Turkcell Iletisim Hizmetleri AS 3,567 0.00 3,662,119 1.69
United Arab Emirates (30 September 2019: 0.36%) 29,341 Abu Dhabi Islamic Bank PJSC 34,268 0.02 131,438 Dubai Islamic Bank PJSC 154,585 0.07 29,480 Emaar Developments PJSC 19,182 0.01 100,056 Emaar Malls PJSC 40,587 0.02 16,728 Emirates NBD Bank PJSC 48,501 0.02 297,123 0.14
The accompanying notes form an integral part of these audited financial statements.
52 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (30 September 2019: 92.38%) (continued)
United Kingdom (30 September 2019: 0.26%) 6,364 Unilever Plc 392,940 0.18 392,940 0.18
Vietnam (30 September 2019: Nil) 111,610 Kinh Bac City Development Share Holding Corp. 68,366 0.03 16,330 PetroVietnam Gas JSC 50,226 0.02 21,380 Vinh Hoan Corp. 40,395 0.02 158,987 0.07
TOTAL EQUITIES 208,340,673 96.68
Rights/Warrants (a) (30 September 2019: 0.00%)
Taiwan (30 September 2019: Nil) 2,245 Amazing Microelectronic Corp. - 0.00 - 0.00
TOTAL RIGHTS/WARRANTS - 0.00
Collective Investment Schemes (30 September 2019: 4.22%)
United Kingdom (30 September 2019: 4.22%) 85,515 iShares Core MSCI EM IMI UCITS ETF 2,559,464 1.19 2,559,464 1.19
TOTAL COLLECTIVE INVESTMENT SCHEMES 2,559,464 1.19
Short-Term Investments (30 September 2019: Nil)
Money Market Funds (30 September 2019: Nil) 3,278,714 State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% 3,278,714 1.52 3,278,714 1.52
TOTAL SHORT-TERM INVESTMENTS 3,278,714 1.52
TOTAL INVESTMENTS AT FAIR VALUE 214,178,851 99.39
The accompanying notes form an integral part of these audited financial statements.
53 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS (30 September 2019: Nil) Net Unrealized Appreciation % of Net Number of Notional (Depreciation) Asset Contracts + Type * Expiration Date Amount ($) US$ Value Buys 137 MSCI Emerging Markets Futures December 20 7,452,800 3,425 0.00 Total Buys 7,452,800 3,425 0.00
Sales (28) SGX Nifty 50 Futures October 20 (633,891) 3,667 0.00 Total Sales (633,891) 3,667 0.00
Total Futures Contracts (Gain) 7,092 0.00 Total Futures Contracts (Loss) - 0.00 TOTAL FUTURES CONTRACTS (NET) 7,092 0.00
TOTAL EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS 7,092 0.00
+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.
* The clearing brokers for the futures contracts are Morgan Stanley & Co. LLC and J.P. Morgan Securities LLC.
SWAP CONTRACTS
OTC Total Return Swaps (30 September 2019: (0.13)%) % of Net Notional Value Asset Fund Pays Fund Receives Amount Expiration Date Counterparty US$ Value 1 Month USD LIBOR CSI 500 USD 1,025,075 07/12/20 Goldman Sachs (36,945) (0.02) Total Swap Contracts (Loss) (36,945) (0.02)
TOTAL SWAP CONTRACTS (NET) (36,945) (0.02) Premiums Paid (Received) - TOTAL EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (29,853) (0.02)
As at 30 September 2020, 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.
% of Net Value Asset US$ Value Total financial assets at fair value through profit or loss 214,185,943 99.39 Total financial liabilities at fair value through profit or loss (36,945) (0.02) Cash at bank 121,949 0.06 Other assets in excess of liabilities 1,223,086 0.57 Net assets attributable to holders of redeemable participating shares 215,494,033 100.00
The accompanying notes form an integral part of these audited financial statements.
54 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Total Asset Analysis of Total Assets Value Transferable securities listed on an official stock exchange unless otherwise noted 96.49 Transferable securities traded on a regulated market unless otherwise noted 1.52 Transferable securities not listed on an official stock exchange or traded on a regulated market 0.00 Collective investment schemes 1.19 99.20
† Denominated in U.S. Dollar, unless otherwise indicated. (a) Not traded on a regulated market.
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement of Investments, if any, please refer to page 129.
The accompanying notes form an integral part of these audited financial statements.
55 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED
Debt Obligations
Australia (30 September 2019: Nil) Corporate Debt (30 September 2019: Nil) 60,000 Adani Abbot Point Terminal Pty Ltd., 4.45%, due 15/12/22, 144A 54,330 0.00 54,330 0.00
Brazil (30 September 2019: 0.04%) Corporate Debt (30 September 2019: 0.04%) 2,113,000 Oi SA, 10.00%, due 27/07/25 2,030,131 0.10 2,030,131 0.10
Canada (30 September 2019: 1.18%) Corporate Debt (30 September 2019: 0.01%) 250,000 Cenovus Energy Inc., 5.25%, due 15/06/37 216,838 0.01 300,000 Methanex Corp., 5.25%, due 15/12/29 296,624 0.01 125,000 Taseko Mines Ltd., 8.75%, due 15/06/22, 144A 119,063 0.01 125,000 Tervita Corp., 7.63%, due 01/12/21, 144A 114,063 0.01 746,588 0.04
Germany (30 September 2019: Nil) Corporate Debt (30 September 2019: Nil) 300,000 ZF North America Capital Inc., 4.75%, due 29/04/25, 144A 306,920 0.01 306,920 0.01
Israel (30 September 2019: Nil) Corporate Debt (30 September 2019: Nil) 180,000 Teva Pharmaceutical Finance Co. BV, 3.65%, due 10/11/21 179,156 0.01 1,861,000 Teva Pharmaceutical Finance Co. LLC, 6.15%, due 01/02/36 1,858,674 0.09 2,037,830 0.10
Jamaica (30 September 2019: 0.05%) Corporate Debt (30 September 2019: 0.05%) 624,824 Digicel Group Ltd., 10.00%, due 01/04/24 476,624 0.02 605,000 Digicel Holdings Bermuda Ltd., 8.75%, due 25/05/24 604,998 0.03 720,000 Digicel Holdings Bermuda Ltd., 8.75%, due 25/05/24, 144A 719,998 0.04 672,000 Digicel Ltd., 6.75%, due 01/03/23 423,367 0.02 2,224,987 0.11
The accompanying notes form an integral part of these audited financial statements.
56 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued)
Japan (30 September 2019: 5.42%) Foreign Government Obligations (30 September 2019: 5.42%) 425,000,000 Japan Treasury Discount Bill, Zero Coupon, due 09/11/20 4,027,851 0.19 674,000,000 Japan Treasury Discount Bill, Zero Coupon, due 24/11/20 6,388,138 0.30 850,000,000 Japan Treasury Discount Bill, Zero Coupon, due 07/12/20 8,056,803 0.38 1,100,000,000 Japan Treasury Discount Bill, Zero Coupon, due 14/12/20 10,426,855 0.50 28,899,647 1.37
Jersey (30 September 2019: 0.01%) Asset Backed Securities (30 September 2019: 0.01%) 372,207 Saranac CLO III Ltd., 1.83%, due 22/06/30, 144A (b) 370,629 0.02 370,629 0.02
Luxembourg (30 September 2019: Nil) Corporate Debt (30 September 2019: Nil) 250,000 ArcelorMittal SA, 7.25%, due 15/10/39 316,250 0.02 316,250 0.02
Netherlands (30 September 2019: Nil) Corporate Debt (30 September 2019: Nil) 4,049,000 Hema Bondco I BV, 6.25%, due 15/07/22 3,144,641 0.15 3,144,641 0.15
New Zealand (30 September 2019: Nil) Corporate Debt (30 September 2019: Nil) 250,000 Trilogy International Partners LLC, 8.88%, due 01/05/22, 144A 230,000 0.01 230,000 0.01
Puerto Rico (30 September 2019: 0.18%) Municipal Debt (30 September 2019: 0.18%) 1,930,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.35%, due 01/07/27 1,857,625 0.09 974,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.05%, due 01/07/28 866,860 0.04 980,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 01/07/34 852,600 0.04 142 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.00%, due 01/07/44 143 0.00 3,577,228 0.17
United Kingdom (30 September 2019: Nil) Corporate Debt (30 September 2019: Nil) 125,000 Avon Products Inc., 7.00%, due 15/03/23 132,969 0.00 125,000 Rolls-Royce Plc, 3.63%, due 14/10/25, 144A 115,654 0.01 248,623 0.01
The accompanying notes form an integral part of these audited financial statements.
57 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued)
United States (30 September 2019: 28.49%) Asset Backed Securities (30 September 2019: 5.43%) 235,400 610 Funding CLO 3 Ltd., 1.24%, due 17/07/28, 144A (b) 231,330 0.01 4,140,000 610 Funding CLO 3 Ltd., 1.92%, due 17/07/28, 144A (b) 4,087,402 0.19 544,604 Access Group Inc., 1.04%, due 25/07/34 503,600 0.02 2,228,828 AccessLex Institute, 0.30%, due 25/01/23 2,183,645 0.10 1,711,110 AccessLex Institute, 0.94%, due 25/01/43 1,412,159 0.07 29,206 ACE Securities Corp. Home Equity Loan Trust Series 2006-ASL1, 0.43%, due 25/02/36 9,063 0.00 1,013,384 Acis CLO 2015-6 Ltd., 1.84%, due 01/05/27, 144A 1,012,362 0.05 230,227 Alternative Loan Trust 2006-28CB, 0.85%, due 25/10/36 87,652 0.00 170,562 Alternative Loan Trust 2006-7CB, 0.85%, due 25/05/36 71,474 0.00 1,272,658 American Home Mortgage Assets Trust 2006-4, 0.36%, due 25/10/2046 840,205 0.04 3,013,133 American Home Mortgage Investment Trust 2006-2, 0.51%, due 25/02/36 287,385 0.01 384,000 Apex Credit CLO 2015-II Ltd., 2.17%, due 17/10/26, 144A (b) 362,293 0.02 208,514 ARCap 2003-1 Resecuritization Trust, 7.11%, due 20/08/38, 144A 194,703 0.01 93,385 ARCap 2005-1 Resecuritization Trust, 5.45%, due 21/12/42, 144A 93,375 0.00 1,414,000 ARCap 2005-1 Resecuritization Trust, 5.55%, due 21/12/42, 144A (b) 572,670 0.03 2,551,812 BankAmerica Manufactured Housing Contract Trust, 8.00%, due 10/08/25 1,430,006 0.07 56,109 Bayview Commercial Asset Trust 2004-1, 0.99%, due 25/04/34, 144A 55,774 0.00 106,938 Bayview Commercial Asset Trust 2004-1, 1.95%, due 25/04/34, 144A 106,565 0.01 65,632 Bayview Commercial Asset Trust 2004-1, 3.00%, due 25/04/34, 144A 65,511 0.00 174,891 Bayview Commercial Asset Trust 2006-1, 0.53%, due 25/04/36, 144A 157,342 0.01 1,968,550 Bayview Commercial Asset Trust 2006-3, 0.40%, due 25/10/36, 144A 1,828,092 0.09 467,190 Bayview Commercial Asset Trust 2007-1, 0.37%, due 25/03/37, 144A 443,280 0.02 1,490,688 Bayview Commercial Asset Trust 2007-2, 0.42%, due 25/07/37, 144A 1,396,738 0.07 882,598 Bayview Commercial Asset Trust 2007-2, 0.47%, due 25/07/37, 144A 797,357 0.04 91,338 Bayview Commercial Asset Trust 2007-3, 0.39%, due 25/07/37, 144A 86,340 0.00 175,564 Bayview Commercial Asset Trust 2007-6, 1.00%, due 25/12/37, 144A 174,663 0.01 1,544,079 Bayview Commercial Asset Trust 2007-6, 140%, due 25/12/37, 144A 1,559,318 0.07 1,552,000 BBCMS 2018-CHRS Mortgage Trust, 4.41%, due 05/08/38, 144A 1,062,521 0.05 421,483 BCAP LLC 2014-RR2, 0.57%, due 26/05/37, 144A 402,493 0.02 1,124,711 BCMSC Trust 1999-A, 6.79%, due 15/03/29 1,046,705 0.05 186,531 Bear Stearns ARM Trust 2005-6, 3.20%, due 25/08/35 183,299 0.01 159,455 Bear Stearns ARM Trust 2005-9, 2.41%, due 25/10/35 160,045 0.01 237,775 Bear Stearns Asset Backed Securities I Trust 2007-AQ1, 0.26%, due 25/04/31 (a) 588,352 0.03 28,540 BFNS 2017-1, 1.22%, due 25/01/29, 144A (b) 28,534 0.00 674,473 Bravo Mortgage Asset Trust, 0.55%, due 25/07/36, 144A 610,737 0.03 24,485 BXG Receivables Note Trust 2012-A, 3.99%, due 02/12/27, 144A 24,485 0.00 59,323 Capitalsource Real Estate Loan Trust, 2.24%, due 20/01/37, 144A (b) 58,433 0.00 852,600 Catamaran CLO 2013-1 Ltd., 2.04%, due 27/01/28, 144A (b) 819,101 0.04 305,843 CHL Mortgage Pass-Through Trust 2004-HYB6, 3.18%, due 20/11/34 307,174 0.01 601,472 Citigroup Mortgage Loan Trust 2005-3, 3.18%, due 25/08/35 632,354 0.03
The accompanying notes form an integral part of these audited financial statements.
58 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued)
United States (30 September 2019: 28.49%) (continued) Asset Backed Securities (30 September 2019: 5.43%) (continued) 653,756 Citigroup Mortgage Loan Trust 2006-AR5, 3.09%, due 25/07/36 438,806 0.02 473,695 Collegiate Funding Services Education Loan Trust 2005B, 0.55%, due 28/03/35 393,522 0.02 501,570 Conseco Finance Corp., 6.97%, due 15/05/29 492,172 0.02 426,027 Conseco Finance Corp., 6.63%, due 01/06/30 414,974 0.02 833,597 Conseco Finance Securitizations Corp., 7.15%, due 01/05/33 814,060 0.04 28,112 CPS Auto Receivables Trust 2015-C, 4.63%, due 16/08/21, 144A 28,215 0.00 31,079 Credit Suisse First Boston Mortgage Securities Corp., 0.40%, due 15/04/37 29,835 0.00 29,967 Credit Suisse First Boston Mortgage Securities Corp., 4.88%, due 15/04/37 29,905 0.00 2,216,195 Crest G-Star 2001-1 LP, 9.00%, due 28/11/35, 144A (b) 2 0.00 1,110,000 Crestline Denali CLO XVI Ltd., 1.39%, due 20/01/30, 144A 1,084,754 0.05 549,372 CSAIL 2016-C5 Commercial Mortgage Trust, 3.76%, due 15/11/48 613,224 0.03 969,340 CSMC Mortgage-Backed Trust 2007-4, 6.00%, due 25/06/37 783,823 0.04 101,640 CWHEQ Revolving Home Equity Loan Trust Series 2007-E, 0.30%, due 15/06/37 97,174 0.00 74,696 GE Business Loan Trust 2007-1, 0.32%, due 15/04/35, 144A 74,696 0.00 1,156,149 GMACM Home Equity Loan Trust 2007-HE3, 7.00%, due 25/09/37 1,162,601 0.06 359,829 GS Mortgage Securities Corp. II, 5.33%, due 21/03/46, 144A 338,652 0.02 367,169 GS Mortgage Securities Trust 2015-GC34, 3.51%, due 10/10/48 (b) 405,772 0.02 113,368 GS Mortgage Securities Trust 2015-GS1, 3.73%, due 10/11/48 126,412 0.01 660,134 Halcyon Loan Advisors Funding 2012-1 Ltd., 3.28%, due 15/08/23, 144A 660,312 0.03 2,847,868 Home Equity Loan Trust 2005-HS1, 5.61%, due 25/09/35 646,822 0.03 Home Equity Mortgage Loan Asset-Backed Trust Series INDS- 2006-A, 0.41%, due 4,256,640 25/06/36 324,685 0.02 2,361,581 Home Loan Trust 2006-HI4, 5.72%, due 25/09/36 1,592,470 0.08 2,165,203 Home Loan Trust 2007-HI1, Zero Coupon, due 25/03/37 911,516 0.04 706,104 IndyMac INDA Mortgage Loan Trust 2006-AR3, 3.83%, due 25/12/36 638,404 0.03 240,553 IndyMac INDA Mortgage Loan Trust 2007-AR1, 3.68%, due 25/03/37 222,396 0.01 1,458,526 IndyMac INDX Mortgage Loan Trust 2006-AR2, 0.37%, due 25/04/46 1,324,453 0.06 148,570 JP Morgan Resecuritization Trust Series 2009-10, 6.05%, due 26/02/37, 144A 150,646 0.01 366,992 KeyCorp. Student Loan Trust 2004-A, 1.04%, due 28/04/42 358,466 0.02 877,500 KeyCorp. Student Loan Trust 2004-A, 1.49%, due 28/07/42 761,445 0.04 423,504 KeyCorp. Student Loan Trust 2005-A, 0.96%, due 27/09/38 416,924 0.02 2,660,077 KeyCorp. Student Loan Trust 2006-A, 0.71%, due 27/12/41 2,602,861 0.12 220,579 L2L Education Loan Trust 2006-1, 0.65%, due 15/10/28, 144A 215,090 0.01 Lehman Brothers Small Balance Commercial Mortgage Trust 2005-1, 0.40%, due 47,329 25/02/30, 144A 47,087 0.00 Lehman Brothers Small Balance Commercial Mortgage Trust 2005-2, 1.15%, due 497,118 25/09/30, 144A 474,618 0.02 Lehman Brothers Small Balance Commercial Mortgage Trust 2006-1, 0.68%, due 772,810 25/04/31, 144A 758,453 0.04 Lehman Brothers Small Balance Commercial Mortgage Trust 2006-1, 1.15%, due 333,096 25/04/31, 144A 309,392 0.01
The accompanying notes form an integral part of these audited financial statements.
59 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued)
United States (30 September 2019: 28.49%) (continued) Asset Backed Securities (30 September 2019: 5.43%) (continued) Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2, 0.54%, due 209,528 25/09/36, 144A 203,156 0.01 Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2, 0.55%, due 700,000 25/06/37, 144A 654,108 0.03 Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, 5.10%, due 1,074,209 25/10/37, 144A 1,086,292 0.05 839,000 Man GLG US CLO, 1.41%, due 22/04/30, 144A (b) 821,388 0.04 650,672 Merrill Lynch Mortgage Investors Trust Series 1998-C1-CTL, 6.25%, due 15/11/26 651,069 0.03 216,450 Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 8.08%, due 15/07/33, 144A 200,329 0.01 2,969,100 Mountain View CLO 2015-9 Ltd., 1.40%, due 15/07/31, 144A 2,893,563 0.14 1,225,000 National Collegiate 2007 -3 Commutation Trust, Zero Coupon, due 31/03/38, 144A (a) 367,500 0.02 475,000 National Collegiate II Commutation Trust - A3R6, Zero Coupon, due 25/03/38 (a) 135,375 0.01 1,075,000 National Collegiate II Commutation Trust - A3R7, Zero Coupon, due 25/03/38 (a) 306,375 0.01 744,000 National Collegiate Student Loan Trust 2004 -2, 0.69%, due 26/12/33 681,888 0.03 1,626,492 National Collegiate Student Loan Trust 2005-2, 0.52%, due 25/06/33 1,552,771 0.07 1,877,473 National Collegiate Student Loan Trust 2005 -3, 0.56%, due 25/10/33 1,807,231 0.09 829,744 National Collegiate Student Loan Trust 2006 -1, 0.50%, due 25/03/33 785,683 0.04 2,533,375 National Collegiate Student Loan Trust 2007 -1, 0.45%, due 25/10/33 2,339,184 0.11 25,000 National Collegiate Student Loan Trust 2007 -3, 1.75%, due 25/03/38 (b) 20,000 0.00 25,000 National Collegiate Student Loan Trust 2007 -4, 4.21%, due 25/03/38 (b) 20,000 0.00 2,167,213 New Century Home Equity Loan Trust 2006 -S1, 0.35%, due 25/03/36 131,044 0.01 1,236,223 New Century Home Equity Loan Trust 2006 -S1, 0.49%, due 25/03/36 75,402 0.00 3,295,906 New Century Home Equity Loan Trust 2006-S1, 0.55%, due 25/03/36 201,003 0.01 Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005 -S3, 1.05%, due 82,167 25/08/35 126,166 0.01 1,493,500 Oakwood Mortgage Investors Inc., 7.48%, due 15/08/27 1,419,131 0.07 253,114 Oakwood Mortgage Investors Inc., 7.50%, due 15/05/28 260,182 0.01 275,948 Oakwood Mortgage Investors Inc., 7.42%, due 15/01/29, 144A 283,403 0.01 760,371 Oakwood Mortgage Investors Inc., 7.61%, due 15/03/30 642,319 0.03 2,443,322 Oakwood Mortgage Investors Inc., 7.40%, due 15/07/30 928,039 0.04 189,481 Oakwood Mortgage Investors Inc., 6.93%, due 15/09/31 154,384 0.01 139,057 Oakwood Mortgage Investors Inc., 5.69%, due 15/12/31 138,933 0.01 400,882 RBSSP Resecuritization Trust 2009-6, 5.50%, due 26/05/35, 144A 398,181 0.02 132,352 RFMSI Series 2005-SA4 Trust, 3.35%, due 25/09/35 128,358 0.01 40,096 RFMSI Series 2006-S6 Trust, 6.00%, due 25/07/36 (A-9 Shares) 39,950 0.00 118,258 RFMSI Series 2006-S6 Trust, 6.00%, due 25/07/36 (A-12 Shares) 117,829 0.01 1,466,000 Saratoga Investment Corp. CLO 2013-1 Ltd., 2.57%, due 20/01/30, 144A (b) 1,466,233 0.07 508,800 Shackleton 2013-IV-R CLO Ltd., 1.27%, due 13/04/31, 144A (b) 497,117 0.02 1,291,990 SLC Student Loan Trust 2008-2, 1.15%, due 15/06/21 1,239,946 0.06 1,020,000 SLM Private Credit Student Loan Trust 2003-A, 5.05%, due 15/06/32 (a) 1,007,250 0.05 1,097,485 SLM Private Credit Student Loan Trust 2003-C, 1.85%, due 15/09/32 326,986 0.02
The accompanying notes form an integral part of these audited financial statements.
60 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued)
United States (30 September 2019: 28.49%) (continued) Asset Backed Securities (30 September 2019: 5.43%) (continued) 400,000 SLM Private Credit Student Loan Trust 2003-C, 5.08%, due 15/09/32 (a) 395,000 0.02 3,000,000 SLM Private Credit Student Loan Trust 2004-B, 0.68%, due 15/09/33 2,821,103 0.13 616,015 SLM Private Credit Student Loan Trust 2005-A, 0.53%, due 15/12/38 611,123 0.03 409,702 SLM Private Credit Student Loan Trust 2006-C, 0.64%, due 15/12/39 352,193 0.02 1,500,000 SLM Student Loan Trust 2007-2, 0.41%, due 25/07/25 1,286,254 0.06 1,174,975 Sound Point CLO XIX Ltd., 1.28%, due 15/04/31, 144A (b) 1,147,165 0.05 2,368,194 South Carolina Student Loan Corp. 2015-A, 1.65%, due 25/01/36 2,366,408 0.11 1,411,300 Towd Point Asset Trust 2018-SL1, 1.23%, due 25/01/46, 144A 1,307,297 0.06 1,548,000 US 2018-USDC, 4.64%, due 13/05/38, 144A 1,283,265 0.06 1,006,800 Venture 32 CLO Ltd., 1.37%, due 18/07/31, 144A (b) 984,656 0.05 568,000 Venture XII CLO Ltd., 1.46%, due 28/02/26, 144A (b) 553,731 0.03 271,216 Voya CLO 2014-3 Ltd., 2.14%, due 25/07/26, 144A 271,244 0.01 2,250,000 WaMu Commercial Mortgage Securities Trust 2006-SL1, 3.33%, due 23/11/43, 144A 2,236,956 0.11 45,951 WaMu Commercial Mortgage Securities Trust 2007-SL2, 3.03%, due 27/12/49, 144A (b) 45,896 0.00 569,600 WaMu Commercial Mortgage Securities Trust 2007-SL2, 3.41%, due 27/12/49, 144A 568,032 0.03 538,336 WaMu Commercial Mortgage Securities Trust 2007-SL2, 3.56%, due 27/12/49, 144A 528,852 0.03 1,362,106 WaMu Commercial Mortgage Securities Trust 2007-SL3, 3.61%, due 23/03/45, 144A (b) 1,371,291 0.07 WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust, 3.02%, due 186,906 25/09/35 197,003 0.01 WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust, 1.93%, due 231,578 25/01/47 218,630 0.01 Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust, 1,030,567 0.60%, due 25/06/35 840,713 0.04 Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust, 3,953,825 6.00%, due 25/06/37 4,078,426 0.18 283,000 Wells Fargo Commercial Mortgage Trust 2013-BTC, 3.67%, due 16/04/35, 144A 267,114 0.01 1,437,000 Wells Fargo Commercial Mortgage Trust 2013-BTC F, 3.67%, due 16/04/35, 144A (b) 1,294,937 0.06 113,035 WhiteHorse IX Ltd., 1.43%, due 17/07/26, 144A (b) 112,756 0.01 1,251,300 Whitehorse XII Ltd., 1.53%, due 15/10/31, 144A (b) 1,228,397 0.06 3,434,137 Zais CLO 1 Ltd., 1.43%, due 15/04/28, 144A (b) 3,410,900 0.16 1,250,000 Zais CLO 1 Ltd., 1.78%, due 15/04/28, 144A (b) 1,236,673 0.06 373,802 Zais CLO 8 Ltd., 1238%, due 15/04/29, 144A(b) 367,716 0.02 101,210,675 4.81
Corporate Debt (30 September 2019: 1.53%) 125,000 Acadia Healthcare Co. Inc., 5.63%, due 15/02/23 125,781 0.01 414,000 Ahern Rentals Inc., 7.38%, due 15/05/23, 144A 219,420 0.01 150,000 Alaska Airlines 2020-1 Class A Pass Through Trust, 4.80%, due 15/08/27 157,065 0.01 576,000 Alaska Airlines 2020-1 Class A Pass Through Trust, 4.80%, due 15/08/27, 144A 603,131 0.03 430,000 Alaska Airlines 2020-1 Class B Pass Through Trust, 8.00%, due 15/08/25, 144A 446,598 0.02
The accompanying notes form an integral part of these audited financial statements.
61 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued) United States (30 September 2019: 28.49%) (continued) Corporate Debt (30 September 2019: 1.53%) (continued) 1,162,000 American Airlines Group Inc., 3.75%, due 01/03/25, 144A 589,169 0.03 870,000 Antero Midstream Partners LP, 5.38%, due 15/09/24 743,850 0.04 290,000 Antero Midstream Partners LP, 5.75%, due 15/01/28, 144A 238,525 0.01 250,000 Antero Resources Corp., 5.13%, due 01/12/22 203,750 0.01 250,000 Apache Corp., 5.35%, due 01/07/49 220,983 0.01 360,000 Boeing Co., 5.15%, due 01/05/30 403,288 0.02 390,700 Boeing Co., 8.75%, due 15/09/31 559,105 0.03 193,700 Boeing Co., 8.63%, due 15/11/31 275,379 0.01 289,600 Boeing Co., 3.50%, due 01/03/39 262,714 0.01 144,000 Boeing Co., 3.63%, due 01/03/48 126,281 0.01 503,000 Boeing Co., 3.75%, due 01/02/50 460,221 0.02 360,000 Boeing Co., 5.71%, due 01/05/40 420,217 0.02 290,000 Boeing Co., 5.81%, due 01/05/50 349,800 0.02 710,000 Bruce Mansfield, 8.88%, due 08/01/23 3,550 0.00 125,000 Buckeye Partners LP, 4.35%, due 15/10/24 122,656 0.01 125,000 Carnival Corp., 11.50%, due 01/04/23, 144A 140,123 0.01 250,000 Cinemark USA Inc., 5.13%, due 15/12/22 222,500 0.01 125,000 Cleaver-Brooks Inc., 7.88%, due 01/03/23, 144A 120,625 0.01 250,000 Community Health Systems Inc., 6.25%, due 31/03/23 244,375 0.01 250,000 Continental Resources Inc., 3.80%, due 01/06/24 231,778 0.01 220,000 Cumulus Media New Holdings Inc., 6.75%, due 01/07/26, 144A 203,801 0.01 281,900 Delta Air Lines 2019-1 Class AA Pass Through Trust, 3.20%, due 25/04/24 280,892 0.01 375,000 Delta Air Lines Inc., 4.38%, due 19/04/28 333,495 0.02 175,000 DISH DBS Corp., 5.88%, due 15/07/22 182,000 0.01 350,000 EnLink Midstream Partners LP, 5.60%, due 01/04/44 224,875 0.01 532,000 EnLink Midstream Partners LP, 5.05%, due 01/04/45 338,847 0.02 430,000 EPR Properties, 5.25%, due 15/07/23 429,912 0.02 783,000 EPR Properties, 4.50%, due 01/04/25 765,608 0.04 473,900 EPR Properties, 4.75%, due 15/12/26 453,487 0.02 287,000 EPR Properties, 4.50%, due 01/06/27 264,498 0.01 577,000 EPR Properties, 4.95%, due 15/04/28 557,122 0.03 740,000 EPR Properties, 3.75%, due 15/08/29 645,147 0.03 350,000 EQM Midstream Partners LP, 4.75%, due 15/07/23 349,563 0.02 70,000 Ferrellgas LP, 10.00%, due 15/04/25, 144A 75,775 0.00 125,000 Fluor Corp., 3.50%, due 15/12/24 109,006 0.01 490,000 Ford Motor Credit Co. LLC, 5.58%, due 18/03/24 509,716 0.02 540,000 Ford Motor Credit Co. LLC, 4.13%, due 04/08/25 534,824 0.03 797,000 Ford Motor Credit Co. LLC, 4.39%, due 08/01/26 787,906 0.04 70,000 Ford Motor Credit Co. LLC, 4.27%, due 09/01/27 68,677 0.00 250,000 Ford Motor Credit Co. LLC, 3.82%, due 02/11/27 237,965 0.01 2,250,000 Ford Motor Credit Co. LLC, 5.11%, due 03/05/29 2,311,874 0.10
The accompanying notes form an integral part of these audited financial statements.
62 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued) United States (30 September 2019: 28.49%) (continued) Corporate Debt (30 September 2019: 1.53%) (continued) 350,000 Frontier Communications Corp., 10.50%, due 15/09/22 146,125 0.01 580,000 Frontier Communications Corp., 7.13%, due 15/01/23 221,850 0.01 582,000 Frontier Communications Corp., 11.00%, due 15/09/25 244,440 0.01 3,048,000 Frontier Communications Corp., 8.50%, due 01/04/26, 144A 3,075,431 0.14 1,509,000 FS KKR Capital Corp., 4.13%, due 01/02/25 1,499,257 0.07 2,372,000 FS KKR Capital Corp. II, 4.25%, due 14/02/25, 144A 2,239,127 0.10 330,000 Goldman Sachs Group Inc., 4.95%, due 10/02/25 330,099 0.02 1,160,000 Guess? Inc., 2.00%, due 15/04/24 928,198 0.04 450,000 Gulfport Energy Corp., 6.38%, due 15/01/26 276,750 0.01 125,000 Hillman Group Inc., 6.38%, due 15/07/22, 144A 122,188 0.01 331,000 Installed Building Products Inc., 5.75%, due 01/02/28, 144A 348,378 0.02 71,200 JetBlue 2020-1 Class A Pass Through Trust, 4.00%, due 15/11/32 73,637 0.00 391,500 JetBlue 2020-1 Class B Pass Through Trust, 7.75%, due 15/11/28 407,484 0.02 877,000 JPMorgan Chase & Co., 4.00%, due 01/04/25 828,765 0.04 157,000 Kraft Heinz Foods Co., 3.95%, due 15/07/25 170,482 0.01 920,000 Live Nation Entertainment Inc., 4.88%, due 01/11/24, 144A 890,100 0.04 528,300 Live Nation Entertainment Inc., 2.00%, due 15/02/25, 144A 477,140 0.02 634,000 Live Nation Entertainment Inc., 5.63%, due 15/03/26, 144A 611,810 0.03 232,000 Macy's Retail Holdings LLC, 3.88%, due 15/01/22 218,660 0.01 87,000 Macy's Retail Holdings LLC, 2.88%, due 15/02/23 70,361 0.00 288,000 Marriott Ownership Resorts Inc., 6.50%, due 15/09/26 295,695 0.01 1,731,000 Marriott Ownership Resorts Inc., 4.75%, due 15/01/28 1,640,122 0.08 346,000 Michael Kors USA Inc., 4.25%, due 01/11/24, 144A 336,679 0.02 3,966,000 Murray Energy Corp., 11.25%, due 15/04/21, 144A 40 0.00 250,000 Newell Brands Inc., 4.70%, due 01/04/26 266,443 0.01 496,000 NGL Energy Partners LP, 7.50%, due 15/04/26 307,555 0.01 275,000 Nordstrom Inc., 4.00%, due 15/03/27 233,841 0.01 625,000 Occidental Petroleum Corp., 4.40%, due 15/08/49 437,566 0.02 552,000 OneMain Finance Corp., 6.63%, due 15/01/28 612,610 0.03 397,000 Outfront Media Capital LLC, 4.63%, due 15/03/30, 144A 381,120 0.02 564,000 Owens & Minor Inc., 4.38%, due 15/12/24 562,590 0.03 94,000 Prospect Capital Corp., 6.38%, due 01/03/25 95,897 0.00 375,000 QVC Inc., 5.45%, due 15/08/34 370,313 0.02 150,000 RHP Hotel Properties LP, 5.00%, due 15/04/23 146,891 0.01 131,000 RR Donnelley & Sons Co., 8.25%, due 01/07/27 132,310 0.01 150,000 Sabre GLBL Inc., 4.00%, due 15/04/25, 144A 176,229 0.01 756,000 SeaWorld Parks & Entertainment Inc., 8.75%, due 01/05/25, 144A 799,470 0.04 375,000 Service Properties Trust, 4.38%, due 15/02/30 311,250 0.01 720,000 Six Flags Entertainment Corp., 4.88%, due 31/07/24, 144A 677,304 0.03 375,000 Spirit AeroSystems Inc., 3.85%, due 15/06/26 351,045 0.02
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Par Value † Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Debt Obligations (continued) United States (30 September 2019: 28.49%) (continued) Corporate Debt (30 September 2019: 1.53%) (continued) 175,000 Tenet Healthcare Corp., 8.13%, due 01/04/22 194,583 0.01 525,000 Tenet Healthcare Corp., 4.63%, due 15/07/24 526,313 0.03 697,000 TransDigm Inc., 6.25%, due 15/03/26, 144A 730,839 0.03 550,000 Twitter Inc., 0.25%, due 15/06/24 613,586 0.03 290,000 Uber Technologies Inc., 7.50%, due 01/11/23, 144A 302,093 0.01 425,000 Uber Technologies Inc., 8.00%, due 01/11/26, 144A 452,625 0.02 3,710,000 Uniti Group LP, 6.00%, due 15/04/23, 144A 3,730,868 0.17 1,150,000 Uniti Group LP, 7.13%, due 15/12/24, 144A 1,112,194 0.05 125,000 Urban One Inc., 7.38%, due 15/04/22, 144A 113,125 0.01 46,000 Vericast Corp., 9.25%, due 01/03/21, 144A 46,403 0.00 250,000 Veritas US Inc., 7.50%, due 01/02/23, 144A 249,428 0.01 410,000 Western Midstream Operating LP, 5.38%, due 01/06/21 413,075 0.02 125,000 Western Midstream Operating LP, 4.00%, due 01/07/22 125,741 0.01 720,000 Wyndham Destinations Inc., 6.60%, due 01/10/25 754,351 0.04 700,000 Wyndham Destinations Inc., 6.63%, due 31/07/26, 144A 733,327 0.03 325,000 Wyndham Destinations Inc., 6.00%, due 01/04/27 333,328 0.02 231,000 Wyndham Destinations Inc., 4.63%, due 01/03/30, 144A 222,915 0.01 49,125,920 2.34
U.S. Government Agency (30 September 2019: 4.30%) 10,000,000 Federal Home Loan Banks, 0.13%, due 10/09/21 9,997,165 0.48 5,000,000 Federal Home Loan Banks, 0.21%, due 16/10/20 5,000,245 0.24 14,997,410 0.72
U.S. Government (30 September 2019: 17.23%) 5,000,000 United States Treasury Bill, Zero Coupon, due 12/11/20 4,999,431 0.24 14,000,000 United States Treasury Bill, Zero Coupon, due 11/02/21 13,994,311 0.67 21,000,000 United States Treasury Floating Rate Note, 0.25%, due 31/01/22 (c) 21,034,321 1.00 35,000,000 United States Treasury Note, 1.50%, due 31/01/22 (c) 35,631,641 1.69 103,000,000 United States Treasury Note, 1.75%, due 28/02/22 (c) 105,337,616 5.00 50,000,000 United States Treasury Note, 1.75%, due 31/03/22 51,203,125 2.44 50,000,000 United States Treasury Note, 1.88%, due 30/04/22 51,371,093 2.44 85,000,000 United States Treasury Note, 1.88%, due 31/05/22 87,457,030 4.16 15,000,000 United States Treasury Note, 1.63%, due 31/08/22 15,426,563 0.73 386,455,131 18.37
Total United States 551,789,136 26.24
TOTAL DEBT OBLIGATIONS 595,976,940 28.35
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities
Argentina (30 September 2019: 0.01%) 18,800 Banco BBVA Argentina SA - Depositary Receipts 47,376 0.00 8,500 Banco Macro SA - Depositary Receipts 121,550 0.01 5,800 Globant SA 1,039,476 0.05 32,600 Grupo Financiero Galicia SA - Depositary Receipts 236,024 0.01 1,444,426 0.07
Australia (30 September 2019: 0.62%) 122,430 Accent Group Ltd. 144,352 0.01 28,751 Ampol Ltd. 493,544 0.02 36,986 Ansell Ltd. 983,510 0.05 38,036 Appen Ltd. 929,099 0.04 104,537 Asaleo Care Ltd. 75,302 0.00 4,079 AUB Group Ltd. 48,532 0.00 29,427 Austal Ltd. 69,181 0.00 278,775 Australian Pharmaceutical Industries Ltd. 209,803 0.01 27,349 Aventus Retail Property Fund Ltd. REIT 46,262 0.00 3,250 Brickworks Ltd. 45,214 0.00 30,432 Codan Ltd. 240,806 0.01 3,095 Commonwealth Bank of Australia 141,109 0.01 60,135 Coronado Global Resource - Depositary Receipts 41,162 0.00 586,221 Fortescue Metals Group Ltd. 6,848,832 0.34 86,598 GDI Property Group REIT 65,173 0.00 95,138 Genworth Mortgage Insurance Australia Ltd. 106,718 0.01 49,315 JB Hi-Fi Ltd. 1,663,406 0.09 12,954 McMillan Shakespeare Ltd. 76,228 0.00 121,017 Mount Gibson Iron Ltd. 62,886 0.00 20,387 Rio Tinto Ltd. 1,378,239 0.07 178,966 Sandfire Resources NL 523,357 0.02 146,910 Seven West Media Ltd. 11,583 0.00 123,028 Sigma Healthcare Ltd. 52,026 0.00 11,939 Virtus Health Ltd. 33,031 0.00 14,289,355 0.68
Austria (30 September 2019: 0.04%) 1,864 POLYTEC Holding AG 11,607 0.00 3,574 Vienna Insurance Group AG Wiener Versicherung Gruppe 79,546 0.00 91,153 0.00
Belgium (30 September 2019: 0.11%) 99,784 AGFA-Gevaert NV 416,562 0.02 5,957 Barco NV 125,040 0.01
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Belgium (30 September 2019: 0.11%) (continued) 7,343 bpost SA 64,710 0.00 3,583 Colruyt SA 232,601 0.01 347 Sipef NV 17,355 0.00 38,476 UCB SA 4,376,533 0.21 5,232,801 0.25
Brazil (30 September 2019: 1.91%) 132,700 Banco do Brasil SA 697,349 0.03 194,325 Bradespar SA - Preferred Shares 1,547,650 0.07 170,100 Camil Alimentos SA 376,025 0.02 247,700 Cia de Saneamento Basico do Estado de Sao Paulo 2,056,678 0.10 65,800 Cia de Saneamento do Parana 296,987 0.01 143,400 Cia de Saneamento do Parana - Preferred Shares 129,497 0.01 28,900 Cia Paranaense de Energia 296,360 0.01 213,300 Cia Paranaense de Energia - Preferred Shares 2,346,642 0.11 96,600 Grendene SA 131,452 0.01 874,300 JBS SA 3,206,235 0.15 58,700 Lojas Americanas SA 254,110 0.01 25,500 Lojas Americanas SA - Preferred Shares 128,440 0.01 1,551,596 Petrobras Distribuidora SA 5,546,871 0.26 88,800 Qualicorp Consultoria e Corretora de Seguros SA 535,499 0.03 220,000 Telefonica Brasil SA - Preferred Shares 1,694,755 0.08 68,300 TIM Participacoes SA 158,255 0.01 107,700 Tupy SA 331,902 0.02 60,900 WEG SA 709,867 0.03 20,444,574 0.97
Canada (30 September 2019: 1.15%) 6,900 Absolute Software Corp. 83,528 0.00 42,100 AGF Management Ltd. 186,901 0.01 12,800 Bausch Health Cos. Inc. 198,360 0.01 10,500 Bird Construction Inc. 50,545 0.00 33,547 Brookfield Asset Management Inc. 1,108,974 0.05 15,585 BRP Inc. 820,816 0.04 23,000 Canaccord Genuity Group Inc. 116,916 0.01 1,200 Canadian National Railway Co. 127,398 0.01 12,800 Canfor Pulp Products Inc. 47,817 0.00 24,100 Cascades Inc. 303,832 0.01 40,800 Celestica Inc. 281,011 0.01 38,300 CI Financial Corp. 484,287 0.02 5,500 Cogeco Inc. 362,549 0.02 2,500 Dorel Industries Inc. 22,216 0.00 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Canada (30 September 2019: 1.15%) (continued) 2,900 DREAM Unlimited Corp. 42,227 0.00 2,100 Exco Technologies Ltd. 10,345 0.00 28,400 Fortuna Silver Mines Inc. 180,085 0.01 1,000 Home Capital Group Inc. 16,156 0.00 33,366 IA Financial Corp. Inc. 1,157,787 0.06 2,900 IGM Financial Inc. 66,283 0.00 7,100 Magna International Inc. (Canada listed) 323,865 0.02 25,300 Martinrea International Inc. 180,505 0.01 7,000 Morguard North American Residential REIT 75,987 0.00 30,925 Nutrien Ltd. 1,213,188 0.06 4,500 Reitmans Canada Ltd. 371 0.00 2,200 Rocky Mountain Dealerships Inc. 8,630 0.00 18,400 Rogers Sugar Inc. 65,982 0.00 70,900 Royal Bank of Canada 4,962,337 0.25 3,400 Stantec Inc. 102,910 0.00 25,500 Sun Life Financial Inc. (Canada listed) 1,035,845 0.05 47,600 Sun Life Financial Inc. (USA listed) 1,938,748 0.09 5,300 Teekay Tankers Ltd. 57,452 0.00 8,000 TFI International Inc. 333,476 0.02 51,200 Toronto-Dominion Bank 2,363,077 0.12 10,200 Transat AT Inc. 29,705 0.00 33,200 Transcontinental Inc. 408,615 0.02 10,200 Wajax Corp. 90,870 0.00 9,200 Westshore Terminals Investment Corp. 104,759 0.00 18,964,355 0.90
Chile (30 September 2019: 0.06%) 168,565 Banco de Chile 12,827 0.00 131,300 Enel Americas SA - Depositary Receipts 848,199 0.04 5,110 Inversiones La Construccion SA 30,485 0.00 891,511 0.04
China (30 September 2019: 9.34%) 1,107,000 361 Degrees International Ltd. 141,410 0.01 3,240,000 Agile Group Holdings Ltd. 4,230,813 0.20 1,481,900 Agricultural Bank of China Ltd. Class A 689,752 0.03 22,795,000 Agricultural Bank of China Ltd. Class H 7,117,923 0.34 40,000 AK Medical Holdings Ltd., 144A 102,090 0.00 800 Alibaba Group Holding Ltd. 28,449 0.00 56,100 Alibaba Group Holding Ltd. - Depositary Receipts 16,492,279 0.79 55,500 A-Living Services Co. Ltd., 144A 280,723 0.01 492,500 Anhui Conch Cement Co. Ltd. (A Shares) 3,996,058 0.19 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
China (30 September 2019: 9.34%) (continued) 1,196,500 Anhui Conch Cement Co. Ltd. (H Shares) 8,228,832 0.40 204,400 Anhui Expressway Co. Ltd. (A Shares) 155,462 0.01 76,000 Asia Cement China Holdings Corp. 66,782 0.00 4,390,500 BAIC Motor Corp. Ltd., 144A 1,784,526 0.08 27,524,000 Bank of China Ltd. 8,523,561 0.42 14,974,000 Bank of Communications Co. Ltd. 7,187,520 0.34 287,748 Beijing North Star Co. Ltd. 109,850 0.01 86,600 Budweiser Brewing Co. APAC Ltd., 144A 251,419 0.01 5,124,000 China Cinda Asset Management Co. Ltd. 958,684 0.05 5,994,000 China CITIC Bank Corp. Ltd. 2,312,524 0.11 3,555,733 China Communications Services Corp. Ltd. 2,082,971 0.10 2,875,200 China Construction Bank Corp. (A Shares) 2,596,318 0.12 15,193,000 China Construction Bank Corp. (H Shares) 9,841,143 0.48 333,000 China Dongxiang Group Co. Ltd. 41,249 0.00 3,364,000 China Everbright Bank Co. Ltd. 1,059,117 0.05 693,000 China Feihe Ltd., 144A 1,607,760 0.08 948,000 China Greenfresh Group Co. Ltd. 9,908 0.00 562,000 China Huarong Asset Management Co. Ltd., 144A 59,463 0.00 1,476,000 China Jinmao Holdings Group Ltd. 813,228 0.04 24,000 China Kepei Education Group Ltd. 18,612 0.00 2,734,000 China Lesso Group Holdings Ltd. 4,910,617 0.23 657,000 China Lilang Ltd. 360,290 0.02 2,437,000 China Machinery Engineering Corp. 499,978 0.02 3,136,000 China Medical System Holdings Ltd. 3,451,623 0.16 40,000 China Meidong Auto Holdings Ltd. 153,290 0.01 1,065,000 China Mobile Ltd. 6,795,387 0.32 3,200 China Mobile Ltd. - Depositary Receipts 102,912 0.00 6,060,000 China National Building Material Co. Ltd. 7,647,329 0.37 852,000 China Oriental Group Co. Ltd. 190,188 0.01 159,000 China Overseas Grand Oceans Group Ltd. 90,681 0.00 1,104,000 China Overseas Land & Investment Ltd. 2,763,561 0.13 13,313,801 China Petroleum & Chemical Corp. 5,342,700 0.25 4,000 China Petroleum & Chemical Corp. - Depositary Receipts 161,840 0.01 5,688,906 China Railway Construction Corp. Ltd. 3,912,499 0.19 8,146,932 China Railway Group Ltd. 3,826,430 0.18 1,698,000 China Resources Cement Holdings Ltd. 2,318,044 0.11 96,000 China Resources Gas Group Ltd. 428,594 0.02 866,000 China Resources Land Ltd. 3,899,794 0.19 4,517,190 China Resources Pharmaceutical Group Ltd., 144A 2,319,796 0.11 229,771 China Shenhua Energy Co. Ltd. (A Shares) 555,653 0.03 1,458,500 China Shenhua Energy Co. Ltd. (H Shares) 2,615,890 0.12 603,000 China Shineway Pharmaceutical Group Ltd. 378,139 0.02 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
China (30 September 2019: 9.34%) (continued) 89,400 China Taiping Insurance Holdings Co. Ltd. 135,888 0.01 11,880,557 China Telecom Corp. Ltd. 3,556,502 0.17 426,000 China Traditional Chinese Medicine Holdings Co. Ltd. 178,095 0.01 293,200 China Vanke Co. Ltd. (H Shares) 894,733 0.04 10,800 China Yuchai International Ltd. 194,400 0.01 2,771,726 Country Garden Holdings Co. Ltd. 3,390,447 0.16 38,000 Country Garden Services Holdings Co. Ltd. 244,426 0.01 33,000 Dali Foods Group Co. Ltd., 144A 20,141 0.00 52,400 Dongfang Electric Corp. Ltd. 78,170 0.00 1,480,000 Dongyue Group Ltd. 567,174 0.03 3,800 ENN Energy Holdings Ltd. 41,383 0.00 799,500 Fantasia Holdings Group Co. Ltd. 154,742 0.01 10,000 Fu Shou Yuan International Group Ltd. 9,729 0.00 1,148,000 Geely Automobile Holdings Ltd. 2,281,187 0.11 446,000 Great Wall Motor Co. Ltd. 565,701 0.03 263,000 Greenland Hong Kong Holdings Ltd. 80,766 0.00 2,034,000 Guangdong Investment Ltd. 3,217,657 0.15 362,000 Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. 903,365 0.04 284,000 Haier Electronics Group Co. Ltd. 1,026,065 0.05 14,000 Haitian International Holdings Ltd. 32,516 0.00 190,500 Hebei Construction Group Corp. Ltd. 365,268 0.02 6,000 Hengan International Group Co. Ltd. 43,548 0.00 1,014,563 Hisense Home Appliances Group Co. Ltd. (A Shares) 1,844,227 0.09 413,000 Hisense Home Appliances Group Co. Ltd. (H Shares) 508,923 0.02 25,800 Hollysys Automation Technologies Ltd. 285,090 0.01 218,000 Hopson Development Holdings Ltd. 514,199 0.02 1,559,450 Huabao International Holdings Ltd. 1,410,548 0.07 183,927 Huaxin Cement Co. Ltd. 678,661 0.03 1,964,000 IGG Inc. 2,237,693 0.11 10,787,000 Industrial & Commercial Bank of China Ltd. 5,595,321 0.27 2,253,500 Industrial & Commercial Bank of China Ltd. (A Shares) 1,627,936 0.08 10,500 JNBY Design Ltd. 10,134 0.00 154,000 Ju Teng International Holdings Ltd. 46,101 0.00 106,500 Kingboard Holdings Ltd. 350,419 0.02 297,000 Kingboard Laminates Holdings Ltd. 406,219 0.02 20,000 Kingdee International Software Group Co. Ltd. 51,613 0.00 535,000 KWG Group Holdings Ltd. 912,606 0.04 13,700 Lao Feng Xiang Co. Ltd. 94,725 0.00 62,171 Livzon Pharmaceutical Group Inc. (A Shares) 449,217 0.02 367,657 Livzon Pharmaceutical Group Inc. (H Shares) 1,679,362 0.08 344,000 Logan Property Holdings Co. Ltd. 542,410 0.03 303,500 Longfor Group Holdings Ltd., 144A 1,703,516 0.08 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
China (30 September 2019: 9.34%) (continued) 1,810,000 Lonking Holdings Ltd. 478,774 0.02 53,600 NetEase Inc. 953,734 0.05 21,400 NetEase Inc. - Depositary Receipts 9,729,938 0.47 366,000 Nexteer Automotive Group Ltd. 253,603 0.01 907,000 Nine Dragons Paper Holdings Ltd. 1,137,554 0.05 7,200 Nongfu Spring Co. Ltd. 32,516 0.00 372,000 PAX Global Technology Ltd. 222,720 0.01 182,000 People's Insurance Co. Group of China Ltd. 53,778 0.00 23,900 Pharmaron Beijing Co. Ltd., 144A 297,285 0.01 5,715,000 PICC Property & Casualty Co. Ltd. 3,974,690 0.19 117,000 Poly Property Group Co. Ltd. 32,458 0.00 3,200 Poly Property Services Co. Ltd. 24,815 0.00 7,455,000 Postal Savings Bank of China Co. Ltd., 144A 3,126,290 0.15 202,000 Powerlong Real Estate Holdings Ltd. 151,435 0.01 100,000 Road King Infrastructure Ltd. 118,839 0.01 104,500 Shandong Gold Mining Co. Ltd., 144A 257,272 0.01 2,199,000 Shanghai Pharmaceuticals Holding Co. Ltd. 3,677,295 0.17 202,773 Shenzhen Investment Ltd. 59,131 0.00 2,641,829 Shimao Property Holdings Ltd. 10,908,198 0.53 276,500 Sino Biopharmaceutical Ltd. 301,117 0.01 318,000 Sinopec Engineering Group Co. Ltd. 117,352 0.01 5,002,000 Sinopec Shanghai Petrochemical Co. Ltd. (H Shares) 910,041 0.04 755,600 Sinopharm Group Co. Ltd. 1,585,298 0.08 302,000 Sinotruk Hong Kong Ltd. 773,899 0.04 792,000 TCL Electronics Holdings Ltd. 609,074 0.03 66,000 Tencent Holdings Ltd. 4,356,000 0.21 23,200 Tencent Holdings Ltd. - Depositary Receipts 1,569,480 0.07 228,000 Texhong Textile Group Ltd. 163,277 0.01 688,000 Tianjin Port Development Holdings Ltd. 44,387 0.00 1,968,000 Tianneng Power International Ltd. 3,524,625 0.17 35,000 Times China Holdings Ltd. 48,413 0.00 272,500 Vipshop Holdings Ltd. - Depositary Receipts 4,261,900 0.20 591,000 Want Want China Holdings Ltd. 410,268 0.02 2,061,660 Weichai Power Co. Ltd. 4,128,640 0.20 1,304,417 Weifu High-Technology Group Co. Ltd. 4,807,340 0.23 1,980,000 West China Cement Ltd. 291,252 0.01 119,200 Xiaomi Corp., 144A 314,534 0.01 42,000 Xinyi Glass Holdings Ltd. 84,434 0.00 189,500 Xtep International Holdings Ltd. 55,994 0.00 340,000 Yadea Group Holdings Ltd., 144A 499,252 0.02 901,722 Yuzhou Properties Co. Ltd. 356,035 0.02 593,000 Zhongsheng Group Holdings Ltd. 3,699,555 0.18 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
China (30 September 2019: 9.34%) (continued) 181,600 Zhuzhou Kibing Group Co. Ltd. 226,647 0.01 241,073,623 11.47
Colombia (30 September 2019: 0.02%) 7,909 Banco Davivienda SA - Preferred Shares 56,224 0.00 408,244 Grupo Aval Acciones y Valores SA - Preferred Shares 95,114 0.01 151,338 0.01
Czech Republic (30 September 2019: 0.00%) 67,857 Moneta Money Bank AS, 144A 156,275 0.01 156,275 0.01
Denmark (30 September 2019: 0.03%) 7,467 Matas AS 86,930 0.00 1,216 Pandora A/S 87,679 0.00 9,456 Scandinavian Tobacco Group AS, 144A 140,401 0.01 315,010 0.01
Finland (30 September 2019: 0.15%) 349 Aktia Bank Oyj 3,782 0.00 34,551 Neste Oyj 1,822,015 0.09 3,187 Sanoma Oyj 40,811 0.00 11,606 Tokmanni Group Corp. 204,963 0.01 2,071,571 0.10
France (30 September 2019: 1.74%) 1,539 Akka Technologies 29,958 0.00 2,866 Alten SA 272,226 0.01 29,230 APERAM SA 824,009 0.04 13,885 Arkema SA 1,475,498 0.07 819 Assystem SA 23,146 0.00 762 Axway Software SA 16,978 0.00 313 BioMerieux 49,110 0.00 35,796 BNP Paribas SA 1,300,213 0.06 655 Boiron SA 31,376 0.00 1,002 Bonduelle SCA 23,265 0.00 325 Caisse Regionale de Credit Agricole Mutuel Nord de France 6,765 0.00 1,308 Christian Dior SE 536,226 0.03 1,861 Cie des Alpes 36,881 0.00 11,967 Coface SA 83,778 0.00 29,983 Derichebourg SA 88,813 0.00 2,184 Eiffage SA 178,814 0.01 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
France (30 September 2019: 1.74%) (continued) 8,803 Faurecia SE 381,119 0.02 8,673 Fnac Darty SA 390,543 0.02 10,262 Gaztransport Et Technigaz SA 981,351 0.05 1,245 GL Events 12,118 0.00 306 Groupe Crit 18,157 0.00 353 HEXAOM 13,536 0.00 36,800 Ingenico Group SA 5,709,213 0.28 178 Interparfums SA 9,122 0.00 1,049 Ipsen SA 110,156 0.01 19,035 IPSOS 476,562 0.02 4,463 Kaufman & Broad SA 177,417 0.01 2,211 Kering SA 1,471,634 0.07 21,470 L'Oreal SA 6,989,081 0.33 3,098 LVMH Moet Hennessy Louis Vuitton SE 1,450,969 0.07 1,134 Manitou BF SA 21,862 0.00 26,469 Metropole Television SA 316,597 0.02 104,458 Peugeot SA 1,898,637 0.09 20,442 Quadient 277,108 0.01 2,770 Rothschild & Co. 78,120 0.00 16,141 Safran SA 1,598,259 0.08 57,530 Sanofi 5,756,582 0.28 2,147 Schneider Electric SE 267,000 0.01 177 Sopra Steria Group 28,145 0.00 142,800 STMicroelectronics NV NY Shares - Depositary Receipts 4,382,532 0.21 632 Synergie SA 17,898 0.00 352 Union Financiere de France BQE SA 8,090 0.00 440 Vilmorin & Cie SA 25,747 0.00 37,844,611 1.80
Germany (30 September 2019: 0.94%) 7,859 Allianz SE 1,507,899 0.07 933 Amadeus Fire AG 116,192 0.01 5,953 Aurubis AG 405,863 0.02 1,045 Bauer AG 11,262 0.00 33,924 Bayer AG 2,120,725 0.10 1,442 Bayerische Motoren Werke AG 104,823 0.00 920 Bechtle AG 186,531 0.01 114,547 CECONOMY AG 565,502 0.03 1,436 Cewe Stiftung & Co. KGAA 157,447 0.01 14,793 CropEnergies AG 257,083 0.01 146,804 Deutsche Pfandbriefbank AG, 144A 973,507 0.05 7,001 Deutsche Post AG 319,358 0.02 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Germany (30 September 2019: 0.94%) (continued) 39,584 Deutz AG 230,513 0.01 80,148 Dialog Semiconductor Plc 3,496,263 0.17 1,552 Draegerwerk AG & Co. KGaA 114,293 0.01 8,059 Draegerwerk AG & Co. KGaA - Preferred Shares 699,329 0.03 7,826 DWS Group SE, 144A 269,763 0.01 6,014 Eckert & Ziegler AG 307,763 0.01 1,894 Elmos Semiconductor AG 46,308 0.00 2,583 Gerresheimer AG 289,114 0.01 379 Grammer AG 7,267 0.00 7,500 GRENKE AG 277,390 0.01 7,882 Hamburger Hafen Und Logistik AG 138,273 0.01 31,734 HeidelbergCement AG 1,946,978 0.09 5,982 Henkel AG & Co. KGaA 560,482 0.03 14,032 Henkel AG & Co. KGaA - Preferred Shares 1,469,728 0.07 1,682 Hornbach Baumarkt AG 89,350 0.00 3,225 Hornbach Holding AG & Co. KGaA 376,667 0.02 78,125 Infineon Technologies AG 2,209,255 0.11 7,457 Merck KGaA 1,089,122 0.05 1,019 OHB SE 46,065 0.00 39,971 Siemens Healthineers AG 1,795,198 0.09 28,344 Software AG 1,398,638 0.07 18,016 Takkt AG 224,786 0.01 1,886 Talanx AG 60,864 0.00 14,505 VERBIO Vereinigte BioEnergie AG 317,393 0.02 1,724 Villeroy & Boch AG - Preferred Shares 22,946 0.00 13,007 Volkswagen AG 2,275,698 0.11 4,146 Wacker Neuson SE 84,790 0.00 644 Washtec AG 28,017 0.00 3,044 Wuestenrot & Wuerttembergische AG 50,973 0.00 26,649,418 1.27
Greece (30 September 2019: 0.00%) 8.593 FF Group (a) - 0.00 - 0.00
Hong Kong (30 September 2019: 0.26%) 19,400 ASM Pacific Technology Ltd. 197,254 0.01 206,000 BOC Hong Kong Holdings Ltd. 542,245 0.03 109,000 Chow Sang Sang Holdings International Ltd. 116,735 0.01 1,007,000 CITIC Telecom International Holdings Ltd. 320,941 0.02 31,500 CK Asset Holdings Ltd. 153,435 0.01 500,000 CSI Properties Ltd. 14,968 0.00 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Hong Kong (30 September 2019: 0.26%) (continued) 203,600 Dah Sing Banking Group Ltd. 176,278 0.01 176,000 Dah Sing Financial Holdings Ltd. 422,854 0.02 446,000 Giordano International Ltd. 77,690 0.00 609,000 HKT Trust & HKT Ltd. 806,237 0.04 270,500 Johnson Electric Holdings Ltd. 587,072 0.03 66,000 Luk Fook Holdings International Ltd. 159,592 0.01 39,200 Man Wah Holdings Ltd. 51,896 0.00 211,000 Pacific Textiles Holdings Ltd. 98,013 0.00 44,000 Pico Far East Holdings Ltd. 5,223 0.00 77,000 Prosperity REIT 22,752 0.00 72,000 Regal Real Estate Investment Trust REIT 10,591 0.00 388,000 Shun Tak Holdings Ltd. 124,160 0.01 210,000 Singamas Container Holdings Ltd. 8,400 0.00 185,000 Sun Hung Kai & Co. Ltd. 72,090 0.00 15,000 TAI Cheung Holdings Ltd. 8,961 0.00 102,000 VSTECS Holdings Ltd. 67,781 0.00 167,400 VTech Holdings Ltd. 1,041,121 0.05 4,264,500 WH Group Ltd., 144A 3,455,622 0.16 6,000 Wharf Holdings Ltd. 11,938 0.00 285,500 Yue Yuen Industrial Holdings Ltd. 461,221 0.02 9,015,070 0.43
Hungary (30 September 2019: 0.03%) 256,689 Magyar Telekom Telecommunications Plc 300,861 0.01 16,271 Richter Gedeon Nyrt 344,119 0.02 644,980 0.03
India (30 September 2019: 1.21%) 813 Alkem Laboratories Ltd. 30,510 0.00 30,980 Asian Paints Ltd. 832,068 0.04 66,280 Aurobindo Pharma Ltd. 713,646 0.03 21,694 Bajaj Auto Ltd. 846,237 0.04 128,267 Balrampur Chini Mills Ltd. 269,903 0.01 43,405 Cadila Healthcare Ltd. 232,850 0.01 35 Coal India Ltd. 55 0.00 18,209 Dr Reddy's Laboratories Ltd. 1,278,924 0.06 46,500 Dr Reddy's Laboratories Ltd. - Depositary Receipts 3,234,540 0.15 182,573 Firstsource Solutions Ltd. 180,272 0.01 56,501 Gujarat Narmada Valley Fertilizers & Chemicals Ltd. 159,479 0.01 840,688 HCL Technologies Ltd. 9,229,564 0.45 27,944 HDFC Bank Ltd. 408,290 0.02 1,350 Hero MotoCorp. Ltd. 57,572 0.00 31,961 Hindustan Unilever Ltd. 894,544 0.04 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
India (30 September 2019: 1.21%) (continued) 30,431 Housing Development Finance Corp. Ltd. 714,786 0.03 161,274 ICICI Bank Ltd. 772,708 0.04 41,166 Jammu & Kashmir Bank Ltd. 8,286 0.00 53,559 Kiri Industries Ltd. 368,772 0.02 46,333 Kotak Mahindra Bank Ltd. 795,473 0.04 37,929 Mphasis Ltd. 714,575 0.03 10,390 Muthoot Finance Ltd. 158,990 0.01 1,407,410 Power Finance Corp. Ltd. 1,643,377 0.08 396,742 PTC India Ltd. 255,425 0.01 1,548,151 Rural Electrification Corp. Ltd. 2,074,203 0.10 49,575 Sonata Software Ltd. 210,784 0.01 2 Sun TV Network Ltd. 13 0.00 16,627 Tata Chemicals Ltd. 67,518 0.00 37,691 Titan Co. Ltd. 611,546 0.03 4,407 TV Today Network Ltd. 11,555 0.00 129,606 Wipro Ltd. 550,272 0.03 27,326,737 1.30
Indonesia (30 September 2019: 0.04%) 718,700 Astra International Tbk PT 215,417 0.01 65,700 Bank BTPN Syariah Tbk PT 14,482 0.00 1,314,900 Bank Central Asia Tbk PT 2,394,745 0.12 1,951,600 Bank Mandiri Persero Tbk PT 650,533 0.03 2,053,800 Bank Negara Indonesia Persero Tbk PT 612,827 0.03 207,000 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 12,103 0.00 3,042,300 Bank Pembangunan Daerah Jawa Timur Tbk PT 104,272 0.00 10,341,600 Bank Rakyat Indonesia Persero Tbk PT 2,112,800 0.10 1,594,700 Bank Tabungan Negara Persero Tbk PT 128,605 0.01 2,008,900 Bukit Asam Tbk PT 265,963 0.01 688,100 Indo Tambangraya Megah Tbk PT 376,883 0.02 152,900 Kalbe Farma Tbk PT 15,927 0.00 450,000 Matahari Department Store Tbk PT 29,637 0.00 1,239,100 Pakuwon Jati Tbk PT 29,479 0.00 28,120,100 Panin Financial Tbk PT 345,832 0.02 4,686,200 Ramayana Lestari Sentosa Tbk PT 166,914 0.01 51,000 United Tractors Tbk PT 78,145 0.00 7,554,564 0.36
Ireland (30 September 2019: 0.03%) 54,930 AIB Group Plc 56,426 0.00 129,544 Bank of Ireland Group Plc 240,625 0.01 6,924 CRH Plc 250,647 0.01 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Ireland (30 September 2019: 0.03%) (continued) 39,700 CRH Plc - Depositary Receipts 1,432,773 0.07 8,648 Glanbia Plc 89,343 0.00 247,427 Hibernia REIT Plc 289,275 0.01 131,115 Irish Residential Properties REIT Plc 216,790 0.01 331 Kerry Group Plc 42,502 0.00 46,225 Origin Enterprises Plc 181,589 0.01 29,745 Permanent TSB Group Holdings Plc 17,440 0.00 103,173 Ryanair Holdings Plc 1,380,449 0.07 38,125 Smurfit Kappa Group Plc 1,498,590 0.08 25,579 Total Produce Plc 34,135 0.00 5,730,584 0.27
Israel (30 September 2019: 0.04%) 4,565 Camtek Ltd. 70,911 0.00 868 Israel Corp. Ltd. 93,061 0.00 366,059 Oil Refineries Ltd. 65,500 0.00 9,500 Wix.com Ltd. 2,421,075 0.13 2,650,547 0.13
Italy (30 September 2019: 1.00%) 3,782 ACEA SpA 79,741 0.00 6,120 Anima Holding SpA, 144A 24,042 0.00 23,770 Arnoldo Mondadori Editore SpA 31,553 0.00 4,884 Ascopiave SpA 18,241 0.00 25,241 Banca Popolare di Sondrio SCPA 52,952 0.00 3,680 Biesse SpA 62,702 0.00 73,621 Buzzi Unicem SpA 1,716,706 0.09 14,070 Cementir Holding NV 97,510 0.00 44,632 CIR SpA-Compagnie Industriali 20,464 0.00 15,022 Credito Emiliano SpA 70,286 0.00 73,735 Enav SpA, 144A 279,975 0.01 755,856 Enel SpA 6,574,982 0.32 100,267 EXOR NV 5,465,032 0.27 325,600 Fiat Chrysler Automobiles NV 3,996,839 0.20 7,211 Fiera Milano SpA 20,041 0.00 352,004 Hera SpA 1,301,075 0.07 42,409 IMMSI SpA 17,480 0.00 16,696 Iren SpA 42,955 0.00 15,839 La Doria SpA 207,653 0.01 6,180 Piaggio & C SpA 16,712 0.00 1,403 Prima Industrie SpA 18,295 0.00 152,138 Saras SpA 79,533 0.00 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Italy (30 September 2019: 1.00%) (continued) 1,346 Sesa SpA 135,268 0.01 36,721 Societa Cattolica di Assicurazioni SC 195,927 0.01 134,214 Telecom Italia SpA 53,826 0.00 74,090 Telecom Italia SpA - Preferred Shares 29,957 0.00 3,008 Unieuro SpA, 144A 39,788 0.00 28,700 UnipolSai Assicurazioni SpA 74,916 0.00 20,724,451 0.99
Japan (30 September 2019: 4.20%) 3,300 77 Bank Ltd. 50,659 0.00 8,300 ADEKA Corp. 118,841 0.01 121,700 Aeon Mall Co. Ltd. 1,702,162 0.08 5,500 Aichi Corp. 45,760 0.00 10,400 Aida Engineering Ltd. 71,153 0.00 400 Albis Co. Ltd. 10,643 0.00 4,300 Altech Corp. 83,409 0.00 215,900 Amada Co. Ltd. 2,009,038 0.10 28,100 Amano Corp. 651,042 0.03 22,700 AOKI Holdings Inc. 113,145 0.01 2,000 Arakawa Chemical Industries Ltd. 23,993 0.00 3,500 Arata Corp. 174,121 0.01 11,700 Arcland Sakamoto Co. Ltd. 238,479 0.01 48,900 Arcs Co. Ltd. 1,248,333 0.06 341,400 Asahi Kasei Corp. 2,959,145 0.15 147,300 Asics Corp. 2,043,468 0.10 374,000 Astellas Pharma Inc. 5,553,473 0.27 5,300 Bandai Namco Holdings Inc. 386,162 0.02 3,300 Bando Chemical Industries Ltd. 18,794 0.00 3,400 BeNEXT Group Inc. 36,439 0.00 139,600 Brother Industries Ltd. 2,203,862 0.10 8,500 Bunka Shutter Co. Ltd. 67,095 0.00 2,500 Canon Electronics Inc. 34,801 0.00 1,400 Canon Marketing Japan Inc. 27,886 0.00 1,700 Cawachi Ltd. 47,039 0.00 3,800 Central Glass Co. Ltd. 78,607 0.00 16,300 Chiba Bank Ltd. 89,431 0.00 7,200 Chiba Kogyo Bank Ltd. 16,989 0.00 1,400 Chiyoda Integre Co. Ltd. 21,611 0.00 10,300 Chugai Pharmaceutical Co. Ltd. 460,196 0.02 121,700 Chugoku Marine Paints Ltd. 1,145,154 0.05 2,600 Cleanup Corp. 12,639 0.00 4,100 CONEXIO Corp. 45,689 0.00 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Japan (30 September 2019: 4.20%) (continued) 9,200 Dai Nippon Printing Co. Ltd. 185,343 0.01 4,900 Dai Nippon Toryo Co. Ltd. 46,107 0.00 1,400 Dai-Dan Co. Ltd. 36,735 0.00 34,100 Daihen Corp. 1,374,922 0.07 1,700 Daiichi Jitsugyo Co. Ltd. 59,684 0.00 1,700 Dainichiseika Color & Chemicals Manufacturing Co. Ltd. 36,278 0.00 1,400 Daishi Hokuetsu Financial Group Inc. 28,801 0.00 2,300 Daiwa House Industry Co. Ltd. 58,791 0.00 4,700 Daiwa Industries Ltd. 41,998 0.00 14,400 Daiwabo Holdings Co. Ltd. 923,794 0.04 68,900 Denka Co. Ltd. 2,085,999 0.10 38,300 Doshisha Co. Ltd. 766,871 0.04 11,300 DTS Corp. 239,321 0.01 45,700 Ebara Corp. 1,231,167 0.06 3,100 Elecom Co. Ltd. 151,578 0.01 8,000 FANUC Corp. 1,525,253 0.07 4,400 Foster Electric Co. Ltd. 46,989 0.00 42,700 Fuji Corp. 840,405 0.04 43,400 Fuji Electric Co. Ltd. 1,361,262 0.06 3,800 Fujimi Inc. 131,612 0.01 4,300 Fujitec Co. Ltd. 91,476 0.00 13,400 Fujitsu General Ltd. 387,283 0.02 44,100 Fujitsu Ltd. 5,992,552 0.30 600 Fukuda Corp. 29,053 0.00 3,300 Furuno Electric Co. Ltd. 31,177 0.00 12,100 Geo Holdings Corp. 191,137 0.01 9,700 Glory Ltd. 215,821 0.01 11,400 GungHo Online Entertainment Inc. 243,815 0.01 25,000 Gunze Ltd. 929,830 0.04 9,800 Gurunavi Inc. 66,863 0.00 11,100 Hakuhodo DY Holdings Inc. 142,523 0.01 3,200 Hakuto Co. Ltd. 33,992 0.00 1,000 Hamakyorex Co. Ltd. 30,181 0.00 210,400 Haseko Corp. 2,751,369 0.14 286,400 Hazama Ando Corp. 1,970,306 0.09 11,100 Hisamitsu Pharmaceutical Co. Inc. 564,835 0.03 123,100 Hitachi Ltd. 4,132,884 0.21 1,000 Hochiki Corp. 12,148 0.00 36,700 Hogy Medical Co. Ltd. 1,253,705 0.06 3,300 Hokuetsu Industries Co. Ltd. 34,898 0.00 40,800 Horiba Ltd. 2,118,677 0.10 500 Hosokawa Micron Corp. 25,869 0.00 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Japan (30 September 2019: 4.20%) (continued) 5,600 Inaba Denki Sangyo Co. Ltd. 139,509 0.01 76,300 Inabata & Co. Ltd. 968,120 0.05 7,800 Infocom Corp. 298,607 0.01 1,200 Information Services International-Dentsu Ltd. 75,277 0.00 62,730 ITOCHU Corp. 1,596,040 0.08 11,500 Itochu Enex Co. Ltd. 105,487 0.01 29,500 ITOCHU Techno-Solutions Corp. 1,113,972 0.05 600 Itochu-Shokuhin Co. Ltd. 32,124 0.00 10,500 Itoki Corp. 35,919 0.00 48,400 JAFCO Group Co. Ltd. 2,024,884 0.10 9,700 Jeol Ltd. 332,280 0.02 900 J-Oil Mills Inc. 33,687 0.00 1,900 JSP Corp. 28,933 0.00 128,200 JVCKenwood Corp. 177,364 0.01 101,300 Kadokawa Corp. 2,660,889 0.13 8,500 Kaken Pharmaceutical Co. Ltd. 388,231 0.02 3,100 Kamei Corp. 32,019 0.00 34,600 Kanamoto Co. Ltd. 784,590 0.04 100,300 Kanematsu Corp. 1,221,316 0.06 3,400 Kanematsu Electronics Ltd. 137,250 0.01 7,200 Kasai Kogyo Co. Ltd. 24,152 0.00 1,300 Kato Sangyo Co. Ltd. 46,442 0.00 251,300 KDDI Corp. 6,324,767 0.31 338,200 Kenedix Inc. 1,769,036 0.08 123,600 Kinden Corp. 2,170,291 0.10 4,800 Kissei Pharmaceutical Co. Ltd. 107,844 0.01 14,900 Kitz Corp. 84,433 0.00 3,300 Kiyo Bank Ltd. 50,690 0.00 1,300 Kohnan Shoji Co. Ltd. 50,384 0.00 5,500 Komeri Co. Ltd. 172,771 0.01 3,100 Komori Corp. 21,562 0.00 148,735 Konica Minolta Inc. 417,185 0.02 58,900 Konoike Transport Co. Ltd. 645,204 0.03 1,100 KRS Corp. 16,532 0.00 239,300 K's Holdings Corp. 3,219,994 0.16 6,500 Kumagai Gumi Co. Ltd. 166,981 0.01 4,500 Kureha Corp. 194,021 0.01 81,300 Kyowa Exeo Corp. 2,112,429 0.10 71,000 Macromill Inc. 507,960 0.02 9,300 Makino Milling Machine Co. Ltd. 324,306 0.02 40,400 Mandom Corp. 675,694 0.03 4,200 Marubun Corp. 21,094 0.00 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Japan (30 September 2019: 4.20%) (continued) 46,800 Maruichi Steel Tube Ltd. 1,164,567 0.06 1,900 Maruzen Showa Unyu Co. Ltd. 64,546 0.00 11,200 Marvelous Inc. 84,905 0.00 1,800 Matsuda Sangyo Co. Ltd. 26,284 0.00 91,300 Maxell Holdings Ltd. 938,695 0.04 19,700 MCJ Co. Ltd. 178,650 0.01 34,000 Mebuki Financial Group Inc. 76,680 0.00 17,700 Medipal Holdings Corp. 353,061 0.02 14,800 Meidensha Corp. 226,495 0.01 200 MEIJI Holdings Co. Ltd. 15,237 0.00 5,600 METAWATER Co. Ltd. 121,679 0.01 88,838 Mitsubishi Chemical Holdings Corp. 509,895 0.02 25,200 Mitsubishi Gas Chemical Co. Inc. 464,694 0.02 800 Mitsubishi Research Institute Inc. 33,583 0.00 924,800 Mitsubishi UFJ Financial Group Inc. 3,646,444 0.18 4,000 Mitsuboshi Belting Ltd. 64,702 0.00 4,500 Mitsui Sugar Co. Ltd. 83,194 0.00 3,800 Mixi Inc. 101,905 0.00 3,500 Mizuno Corp. 62,883 0.00 2,800 Mochida Pharmaceutical Co. Ltd. 110,244 0.01 79,700 MS&AD Insurance Group Holdings Inc. 2,132,785 0.10 4,700 MTI Ltd. 39,282 0.00 8,200 NEC Corp. 477,097 0.02 3,600 NEC Networks & System Integration Corp. 68,671 0.00 59,300 NH Foods Ltd. 2,635,431 0.13 12,700 Nichias Corp. 298,696 0.01 5,400 Nichiha Corp. 161,698 0.01 37,900 Nikkon Holdings Co. Ltd. 818,479 0.04 10,000 Nippo Corp. 275,182 0.01 5,500 Nippon Flour Mills Co. Ltd. 90,320 0.00 19,100 Nippon Kayaku Co. Ltd. 167,960 0.01 18,140 Nippon Light Metal Holdings Co. Ltd. 285,860 0.01 7,100 Nippon Soda Co. Ltd. 202,511 0.01 272,640 Nippon Telegraph & Telephone Corp. 5,554,591 0.27 1,500 Nishimatsu Construction Co. Ltd. 29,665 0.00 2,900 Nisshin Oillio Group Ltd. 87,250 0.00 1,400 Nissin Corp. 21,080 0.00 21,800 Nissin Electric Co. Ltd. 230,746 0.01 7,600 Nojima Corp. 203,809 0.01 33,700 Nomura Real Estate Holdings Inc. 636,765 0.03 800 Noritake Co. Ltd. 25,054 0.00 43,000 NTT DOCOMO Inc. 1,583,010 0.08 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Japan (30 September 2019: 4.20%) (continued) 2,500 Obara Group Inc. 83,744 0.00 283,700 Obayashi Corp. 2,567,360 0.12 11,900 Okamura Corp. 83,558 0.00 500 Okinawa Cellular Telephone Co. 18,952 0.00 4,600 Organo Corp. 248,460 0.01 183,900 ORIX Corp. 2,274,135 0.11 2,200 Osaka Soda Co. Ltd. 53,348 0.00 4,800 Otsuka Corp. 244,708 0.01 91,400 Pacific Industrial Co. Ltd. 833,192 0.04 2,500 Paramount Bed Holdings Co. Ltd. 102,814 0.00 123,200 Penta-Ocean Construction Co. Ltd. 802,032 0.04 4,200 Prima Meat Packers Ltd. 128,750 0.01 3,400 Proto Corp. 40,885 0.00 59,200 Raiznext Corp. 736,564 0.04 1,500 Rinnai Corp. 145,693 0.01 1,800 Rock Field Co. Ltd. 25,159 0.00 13,700 Rohm Co. Ltd. 1,051,549 0.05 3,000 Sac's Bar Holdings Inc. 16,403 0.00 19,100 San-A Co. Ltd. 838,894 0.04 8,300 San-Ai Oil Co. Ltd. 78,808 0.00 5,900 San-In Godo Bank Ltd. 31,588 0.00 11,400 Sanki Engineering Co. Ltd. 124,446 0.01 2,900 Sanyo Chemical Industries Ltd. 134,654 0.01 23,700 Secom Co. Ltd. 2,157,322 0.10 17,100 Seiko Holdings Corp. 229,610 0.01 43,400 Sekisui Chemical Co. Ltd. 689,679 0.03 1,400 Sekisui Jushi Corp. 29,146 0.00 13,100 SG Holdings Co. Ltd. 676,537 0.03 219,900 Shimizu Corp. 1,644,093 0.08 6,000 Shizuoka Gas Co. Ltd. 53,103 0.00 54,000 Showa Corp. 1,172,823 0.06 700 Sinanen Holdings Co. Ltd. 21,127 0.00 5,700 Sinko Industries Ltd. 79,129 0.00 6,800 Sintokogio Ltd. 45,428 0.00 257,000 SKY Perfect JSAT Holdings Inc. 1,117,815 0.05 222,575 Sojitz Corp. 501,970 0.02 1,800 Starzen Co. Ltd. 70,871 0.00 932,900 Sumitomo Chemical Co. Ltd. 3,067,529 0.16 48,400 Sumitomo Dainippon Pharma Co. Ltd. 634,295 0.03 133,500 Sumitomo Forestry Co. Ltd. 2,112,622 0.10 4,400 Sumitomo Seika Chemicals Co. Ltd. 141,761 0.01 14,200 Suruga Bank Ltd. 50,998 0.00 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Japan (30 September 2019: 4.20%) (continued) 56,400 T Hasegawa Co. Ltd. 1,129,283 0.05 2,700 Taisei Corp. 90,827 0.00 77,600 Takara Holdings Inc. 857,402 0.04 25,400 Takara Leben Co. Ltd. 74,855 0.00 12,600 Takasago Thermal Engineering Co. Ltd. 180,171 0.01 6,500 Takeuchi Manufacturing Co. Ltd. 128,238 0.01 78,100 Takuma Co. Ltd. 1,326,212 0.06 7,300 Tamron Co. Ltd. 114,692 0.01 3,400 Tanseisha Co. Ltd. 22,811 0.00 37,800 Teijin Ltd. 583,495 0.03 18,400 T-Gaia Corp. 343,834 0.02 1,100 TKC Corp. 70,985 0.00 74,900 Toho Holdings Co. Ltd. 1,605,456 0.08 1,600 Token Corp. 117,805 0.01 300 Tokyo Electron Ltd. 77,694 0.00 20,600 Tokyo Seimitsu Co. Ltd. 650,033 0.03 33,100 Tokyu Construction Co. Ltd. 143,968 0.01 3,500 Toli Corp. 9,154 0.00 14,500 Toppan Forms Co. Ltd. 137,402 0.01 221,800 Toppan Printing Co. Ltd. 3,106,419 0.16 3,500 Torii Pharmaceutical Co. Ltd. 98,768 0.00 105,700 Tosei Corp. 979,575 0.05 2,100 Toshiba TEC Corp. 87,459 0.00 116,500 Tosoh Corp. 1,882,237 0.09 29,000 Toyo Construction Co. Ltd. 112,669 0.01 24,500 Toyo Suisan Kaisha Ltd. 1,290,818 0.06 49,000 Toyota Industries Corp. 3,083,104 0.16 2,700 TPR Co. Ltd. 32,621 0.00 23,700 TS Tech Co. Ltd. 665,433 0.03 2,400 Tsubakimoto Chain Co. 56,151 0.00 30,700 Tsumura & Co. 952,739 0.05 29,300 Ushio Inc. 370,935 0.02 1,800 Wacoal Holdings Corp. 33,892 0.00 11,200 YAMABIKO Corp. 136,166 0.01 14,600 Yamaguchi Financial Group Inc. 94,493 0.00 6,000 Yamazen Corp. 60,324 0.00 10,300 Yellow Hat Ltd. 171,488 0.01 140,900 Yokogawa Electric Corp. 2,223,050 0.11 3,400 Yuasa Trading Co. Ltd. 105,354 0.01 49,600 Zenkoku Hosho Co. Ltd. 1,943,485 0.09 160,190,168 7.62
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Kuwait (30 September 2019: Nil) 3,851 Humansoft Holding Co. KSC 32,680 0.00 103,528 Kuwait Finance House KSCP 223,269 0.01 28,660 Kuwait Projects Co. Holding KSCP 14,120 0.00 48,217 National Bank of Kuwait SAKP 136,864 0.01 406,933 0.02
Malaysia (30 September 2019: 0.05%) 855,900 DRB-Hicom Bhd 430,473 0.02 52,000 Hartalega Holdings Bhd 202,719 0.01 71,300 Padini Holdings Bhd 39,978 0.00 1,739,304 Supermax Corp. Bhd 3,524,231 0.18 111,940 Ta Ann Holdings Bhd 70,577 0.00 450,000 Top Glove Corp. Bhd 898,809 0.04 5,166,787 0.25
Mexico (30 September 2019: 0.55%) 1,180,400 America Movil SAB de CV 738,427 0.04 22,900 Arca Continental SAB de CV 98,869 0.00 130,400 Banco del Bajio SA, 144A 96,815 0.00 Banco Santander Mexico SA Institucion de Banca Multiple 345,685 Grupo Financiero Santand 221,575 0.01 27,500 Concentradora Fibra Danhos SA de CV REIT 25,188 0.00 16,500 Corp. Inmobiliaria Vesta SAB de CV 24,830 0.00 252,300 Credito Real SAB de CV SOFOM ER 125,260 0.01 68,000 El Puerto de Liverpool SAB de CV 192,211 0.01 664,600 Fibra Uno Administracion SA de CV REIT 525,641 0.03 208,100 Gentera SAB de CV 58,822 0.00 125,900 Grupo Aeroportuario del Centro Norte SAB de CV 578,179 0.03 Grupo Aeroportuario del Centro Norte SAB de CV - Depositary 3,000 Receipts 110,280 0.01 Grupo Aeroportuario del PacifiCo. SAB de CV - Depositary 2,600 Receipts 209,664 0.01 3,595 Grupo Aeroportuario del Sureste SAB de CV 41,787 0.00 Grupo Aeroportuario del Sureste SAB de CV - Depositary 2,600 Receipts 301,678 0.01 916,300 Grupo Financiero Banorte SAB de CV 3,170,726 0.15 111,600 Grupo Financiero Inbursa SAB de CV 86,395 0.00 116,700 Grupo Herdez SAB de CV 211,454 0.01 920,700 Grupo Mexico SAB de CV 2,347,236 0.11 15,100 Kimberly-Clark de Mexico SAB de CV 23,899 0.00 38,100 Qualitas Controladora SAB de CV 144,128 0.01 41,800 Regional SAB de CV 98,669 0.00 48,863 Unifin Financiera SAB de CV 40,705 0.00
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
3,215,800 Wal-Mart de Mexico SAB de CV 7,707,461 0.38 17,179,899 0.82 Netherlands (30 September 2019: 1.29%) 20,112 ABN AMRO Bank NV - Depositary Receipts, 144A 168,675 0.01 642 Adyen NV, 144A 1,183,843 0.06 609 Alfen Beheer BV, 144A 38,778 0.00 80,811 ASR Nederland NV 2,719,700 0.13 29,698 Heineken Holding NV 2,314,146 0.11 256 Hunter Douglas NV 14,920 0.00 70,035 Koninklijke Ahold Delhaize NV 2,073,696 0.10 26,652 Koninklijke Vopak NV 1,502,042 0.07 12,695 NIBC Holding NV, 144A 110,311 0.01 62,596 Randstad NV 3,268,646 0.16 154,402 Signify NV, 144A 5,717,862 0.27 78,007 Wolters Kluwer NV 6,663,036 0.31 25,775,655 1.23
New Zealand (30 September 2019: 0.03%) 177,733 Air New Zealand Ltd. 160,950 0.01 12,679 Fisher & Paykel Healthcare Corp. Ltd. 278,830 0.01 280,000 Ryman Healthcare Ltd. 2,605,927 0.12 3,045,707 0.14
Norway (30 September 2019: 0.36%) 56,773 Austevoll Seafood ASA 471,460 0.02 13,450 Avance Gas Holding Ltd., 144A 35,736 0.00 2,826 Borregaard ASA 43,130 0.00 168,415 BW LPG Ltd., 144A 696,944 0.03 152,241 DNB ASA 2,103,837 0.11 218,886 Elkem ASA, 144A 466,471 0.02 54,713 Europris ASA, 144A 280,681 0.01 15,500 Frontline Ltd. 100,750 0.00 33,676 Gjensidige Forsikring ASA 681,683 0.03 6,644 Kongsberg Gruppen ASA 99,412 0.00 22,117 Kvaerner ASA 17,610 0.00 51,545 Norwegian Finance Holding AS 373,507 0.02 242,176 Orkla ASA 2,442,829 0.13 1,904 Salmar ASA 107,648 0.01 14,270 Sbanken ASA 103,251 0.00 12,783 Selvaag Bolig ASA 70,769 0.00 25,557 SpareBank 1 Nord Norge 175,359 0.01 1,603 Sparebank 1 Oestlandet 15,025 0.00 17,524 SpareBank 1 SMN 157,886 0.01 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Norway (30 September 2019: 0.36%) (continued) 85,481 SpareBank 1 SR-Bank ASA 707,119 0.03 4,631 Veidekke ASA 59,591 0.00 25,782 Yara International ASA 990,598 0.06 10,201,296 0.49
Pakistan (30 September 2019: 0.04%) 39,400 Engro Corp. Ltd. 71,548 0.00 567,275 Engro Fertilizers Ltd. 209,113 0.01 81,079 Fauji Fertilizer Co. Ltd. 52,830 0.00 36,800 Nishat Mills Ltd. 22,424 0.00 528,906 Oil & Gas Development Co. Ltd. 311,536 0.02 70,240 Pakistan Oilfields Ltd. 178,831 0.01 284,082 Pakistan Petroleum Ltd. 157,166 0.01 41,640 Pakistan State Oil Co. Ltd. 50,244 0.00 103,500 Searle Co. Ltd. 158,925 0.01 27,000 SUI Northern Gas Pipeline 10,043 0.00 129,289 United Bank Ltd. 89,570 0.00 1,312,230 0.06
Philippines (30 September 2019: 0.08%) 7,410 Globe Telecom Inc. 317,921 0.02 56,420 Manila Electric Co. 315,384 0.02 5,349,900 Megaworld Corp 326,644 0.01 2,287,000 Metro Pacific Investments Corp. 164,638 0.01 23,460 Security Bank Corp. 44,592 0.00 388,875 Semirara Mining & Power Corp. 80,053 0.00 1,249,232 0.06
Poland (30 September 2019: 0.66%) 31,221 Asseco Poland SA 561,217 0.03 46,821 Bank Pekao SA 609,369 0.03 10,973 Budimex SA 695,329 0.03 93,363 Cyfrowy Polsat SA 652,468 0.03 23,371 Enea SA 34,455 0.00 105,133 Energa SA 225,692 0.01 6,997 Lubelski Wegiel Bogdanka SA 34,131 0.00 94,777 PLAY Communications SA, 144A 946,213 0.05 67,339 Polski Koncern Naftowy ORLEN SA 798,555 0.04 214,849 Polskie Gornictwo Naftowe i Gazownictwo SA 280,512 0.01 509,204 Powszechny Zaklad Ubezpieczen SA 3,264,879 0.15 3,717 Santander Bank Polska SA 137,092 0.01 8,239,912 0.39 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Portugal (30 September 2019: 0.40%) 131,029 Altri SGPS SA 575,577 0.03 4,389,029 Banco Comercial Portugues SA 413,288 0.02 84,220 CTT-Correios de Portugal SA 248,877 0.01 483,019 EDP - Energias de Portugal SA 2,376,100 0.11 14,730 EDP Renovaveis SA 244,242 0.01 432,434 Galp Energia SGPS SA 4,012,128 0.18 110,622 Jeronimo Martins SGPS SA 1,777,826 0.08 87,788 Mota-Engil SGPS SA 111,592 0.01 134,859 Navigator Co. SA 335,895 0.02 158,868 NOS SGPS SA 564,479 0.03 115,245 REN - Redes Energeticas Nacionais SGPS SA 320,287 0.02 12,028 Semapa-Sociedade de Investimento e Gestao 107,618 0.01 719,415 Sonae SGPS SA 488,457 0.02 11,576,366 0.55
Qatar (30 September 2019: 0.22%) 190,400 Doha Bank QPSC 122,366 0.01 50,768 Masraf Al Rayan QSC 58,005 0.00 28,315 Qatar Electricity & Water Co. QSC 131,349 0.01 40,444 Qatar Insurance Co. SAQ 25,382 0.00 2,587 Qatar Islamic Bank SAQ 11,724 0.00 368,555 Qatar National Bank QPSC 1,842,268 0.08 143,680 Qatar National Cement Co. QSC 151,927 0.01 2,343,021 0.11
Russia (30 September 2019: 3.85%) 3,499,510 Alrosa PJSC 3,326,736 0.16 48,860 Bashneft PJSC - Preferred Shares 777,277 0.04 118,240 Detsky Mir PJSC, 144A 179,399 0.01 93,700,000 Federal Grid Co Unified Energy System PJSC 238,352 0.01 29,350 Gazprom Neft PJSC 111,517 0.01 1,317 Gazprom Neft PJSC - Depositary Receipts 24,839 0.00 356,250 Gazprom PJSC 784,793 0.04 88,694 Globaltrans Investment Plc - Depositary Receipts 541,033 0.03 79,558,999 Inter RAO UES PJSC 5,751,531 0.27 12,138 LSR Group PJSC 133,547 0.01 49,352 LSR Group PJSC - Depositary Receipts 107,834 0.01 85,140 LUKOIL PJSC 4,917,414 0.23 203,164 LUKOIL PJSC - Depositary Receipts 11,759,132 0.55 69,180 M.Video PJSC 605,404 0.03 638,100 Magnitogorsk Iron & Steel Works PJSC 317,441 0.02
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Russia (30 September 2019: 3.85%) (continued) 39,298 Magnitogorsk Iron & Steel Works PJSC - Depositary Receipts 255,830 0.01 323,145 MMC Norilsk Nickel PJSC - Depositary Receipts 7,803,952 0.37 83,600 Mobile TeleSystems PJSC - Depositary Receipts 729,828 0.03 1,453,310 Moscow Exchange MICEX-RTS PJSC 2,741,206 0.13 49,820 Nizhnekamskneftekhim PJSC - Preferred Shares 49,370 0.00 18,297 Novatek PJSC - Depositary Receipts 2,506,689 0.12 67,300 Novolipetsk Steel PJSC 148,908 0.01 232,677 Novolipetsk Steel PJSC - Depositary Receipts 5,151,469 0.25 18,648 PhosAgro PJSC - Depositary Receipts 224,522 0.01 101,742 Polymetal International Plc 2,223,025 0.10 11,847 Polyus PJSC - Depositary Receipts 1,248,674 0.06 24,020 QIWI Plc - Depositary Receipts 416,747 0.02 59,060 Raspadskaya OJSC 92,363 0.00 49,266,000 Rosseti PJSC 936,102 0.04 11,590 Safmar Financial Investment 72,078 0.00 391,470 Sberbank Of Russia PJSC 1,150,177 0.05 318,561 Sberbank of Russia PJSC - Depositary Receipts 3,722,385 0.18 97,965 Severstal PJSC - Depositary Receipts 1,245,135 0.06 2,687,300 Surgutneftegas PJSC 1,199,223 0.06 677,064 Surgutneftegas PJSC - Depositary Receipts 2,991,269 0.14 5,300 Surgutneftegas PJSC - Depositary Receipts - Preferred Shares 26,182 0.00 16,081,000 Surgutneftegas PJSC - Preferred Shares 8,141,911 0.39 118,567 Tatneft PJSC - Depositary Receipts 4,242,327 0.20 28,355 TCS Group Holding Plc - Depositary Receipts 749,990 0.04 48 Transneft PJSC - Preferred Shares 91,359 0.00 9,816,000 Unipro PJSC 351,271 0.02 78,088,241 3.71
Saudi Arabia (30 September 2019: Nil) 30 Samba Financial Group 215 0.00 215 0.00
Singapore (30 September 2019: 0.45%) 80,500 AEM Holdings Ltd. 227,035 0.01 224,800 Asian Pay Television Trust 20,420 0.00 48,000 Best World International Ltd. (a) 23,910 0.00 167,000 Capitaland Commercial Trust REIT 200,630 0.01 57,000 CapitaLand Ltd. 113,157 0.01 29,400 China Aviation Oil Singapore Corp. Ltd. 20,029 0.00
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Singapore (30 September 2019: 0.45%) (continued) 74,100 City Developments Ltd. 413,084 0.02 432,200 ComfortDelGro Corp. Ltd. 446,416 0.02 344,600 DBS Group Holdings Ltd. 5,025,994 0.25 170,400 First Real Estate Investment Trust REIT 54,299 0.00 37,500 Frasers Logistics & Industrial REIT 38,184 0.00 264,100 Golden Agri-Resources Ltd. 27,472 0.00 336,900 Japfa Ltd. 148,077 0.01 35,400 Jardine Cycle & Carriage Ltd. 466,520 0.02 40,200 Keppel DC REIT 85,695 0.00 472,500 Mapletree Industrial Trust REIT 1,111,072 0.05 151,400 Mapletree Logistics REIT 226,252 0.01 898,300 Mapletree North Asia Commercial Trust REIT 615,274 0.03 12,900 QAF Ltd. 8,458 0.00 138,400 Sasseur Real Estate Investment Trust REIT 78,066 0.00 329,900 Silverlake Axis Ltd. 70,084 0.00 222,200 Singapore Exchange Ltd. 1,489,363 0.07 158,200 StarHub Ltd. 139,067 0.01 4,400 United Overseas Bank Ltd. 61,338 0.00 139,500 Venture Corp. Ltd. 1,966,142 0.09 21,700 Wilmar International Ltd. 69,944 0.00 11,500 Wing Tai Holdings Ltd. 14,658 0.00 8,694,600 Yangzijiang Shipbuilding Holdings Ltd. 6,305,511 0.31 402,000 Yanlord Land Group Ltd. 332,767 0.02 19,798,918 0.94
South Africa (30 September 2019: 1.55%) 813,996 Absa Group Ltd. 4,358,879 0.22 12,358 Anglo American Platinum Ltd. 861,689 0.04 68,778 Aspen Pharmacare Holdings Ltd. 491,837 0.02 69,811 Astral Foods Ltd. 550,494 0.03 10,454 AVI Ltd. 46,573 0.00 108,470 Barloworld Ltd. 399,674 0.02 427,623 Blue Label Telecoms Ltd. 93,575 0.00 2,553 Capitec Bank Holdings Ltd. 158,779 0.01 34,775 Clicks Group Ltd. 463,521 0.02 51,042 Discovery Ltd. 391,444 0.02 340,302 Emira Property Fund Ltd. REIT 118,330 0.01 212,950 FirstRand Ltd. 526,375 0.03 69,603 Foschini Group Ltd. 342,173 0.02 138,900 Gold Fields Ltd. - Depositary Receipts 1,707,081 0.08 862,522 Growthpoint Properties Ltd. REIT 633,447 0.03 34,131 Imperial Holdings Ltd. 77,552 0.00 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
South Africa (30 September 2019: 1.55%) (continued) 68,022 Investec Ltd. 128,663 0.01 139,149 Kumba Iron Ore Ltd. 4,134,761 0.20 100,774 Lewis Group Ltd. 105,003 0.00 66,176 Liberty Holdings Ltd. 225,268 0.01 271,940 Motus Holdings Ltd. 705,935 0.03 35,547 Mpact Ltd. 18,541 0.00 82,694 Mr Price Group Ltd. 654,463 0.03 35,135 Murray & Roberts Holdings Ltd. 11,248 0.00 30,574 Naspers Ltd. 5,425,601 0.27 44,289 Nedbank Group Ltd. 267,566 0.01 115,428 Netcare Ltd. 89,408 0.00 3,087,534 Old Mutual Ltd. 1,917,677 0.09 29,337 Rand Merchant Investment Holdings Ltd. 51,058 0.00 21,084 Raubex Group Ltd. 24,017 0.00 23,006 Remgro Ltd. 129,678 0.01 161,318 Reunert Ltd. 276,891 0.01 1,807,730 RMB Holdings Ltd. 125,717 0.01 730,514 Sanlam Ltd. 2,276,944 0.11 20,116 Santam Ltd. 293,057 0.01 26,635 Sappi Ltd. 42,380 0.00 16,046 Shoprite Holdings Ltd. 131,456 0.01 2,113 Standard Bank Group Ltd. 13,686 0.00 731,394 Telkom SA SOC Ltd. 1,150,148 0.05 7,779 Tiger Brands Ltd. 88,969 0.00 356,445 Truworths International Ltd. 666,091 0.03 84,601 Tsogo Sun Gaming Ltd. 17,397 0.00 69,877 Vodacom Group Ltd. 516,411 0.02 83,110 Wilson Bayly Holmes-Ovcon Ltd. 554,316 0.03 31,263,773 1.49
South Korea (30 September 2019: 2.95%) 21,485 Aekyung Petrochemical Co. Ltd. 127,495 0.01 4,018 Aju Capital Co. Ltd. 42,602 0.00 1,824 Com2uS Corp. 178,735 0.01 30,497 DB HiTek Co. Ltd. 977,886 0.05 467 DB Insurance Co. Ltd. 18,049 0.00 4,375 DongKook Pharmaceutical Co. Ltd. 102,314 0.00 175,727 Dongwon Development Co. Ltd. 596,525 0.03 2,279 Doosan Fuel Cell Co. Ltd. 83,989 0.00 1,216 DoubleUGames Co. Ltd. 77,462 0.00 973 Genexine Co. Ltd. 118,807 0.01 5,764 GS Home Shopping Inc. 634,804 0.03 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
South Korea (30 September 2019: 2.95%) (continued) 2,425 Halla Holdings Corp. 64,383 0.00 332,830 Hana Financial Group Inc. 7,997,027 0.38 9,326 Hankook Tire & Technology Co. 251,192 0.01 10,014 Huons Co. Ltd. 531,740 0.03 5,060 Hy-Lok Corp. 51,487 0.00 9,372 Hyundai Home Shopping Network Corp. 571,375 0.03 6,395 Hyundai Mobis Co. Ltd. 1,257,674 0.06 23,360 Hyundai Motor Co. 3,565,421 0.17 3,678 Hyundai Motor Co. - Preferred Shares 265,432 0.01 4,802 Hyundai Motor Co. 2nd - Preferred Shares 362,152 0.02 7,037 Il Dong Pharmaceutical Co. Ltd. 101,388 0.00 219,852 Industrial Bank of Korea 1,505,784 0.07 115,781 JB Financial Group Co. Ltd. 447,482 0.02 7,882 JNTC Co. Ltd. 78,517 0.00 64,729 KB Financial Group Inc. 2,078,302 0.10 3,114 KC Co. Ltd. 63,505 0.00 5,620 KEPCO Plant Service & Engineering Co. Ltd. 129,988 0.01 295,453 Kia Motors Corp. 11,848,435 0.57 39,510 Korea Asset In Trust Co. Ltd. REIT 123,310 0.01 12,459 Korea Autoglass Corp. 147,548 0.01 60,993 Korean Reinsurance Co. 388,540 0.02 29,302 KT&G Corp. 2,064,545 0.10 34,538 LF Corp. 395,733 0.02 16,909 LG Electronics Inc. 1,325,828 0.06 16,821 LG Electronics Inc. - Preferred Shares 488,305 0.02 2,346 LOTTE Himart Co. Ltd. 60,781 0.00 8,350 Mirae Asset Life Insurance Co. Ltd. 27,381 0.00 76 NCSoft Corp. 52,378 0.00 996 NHN KCP Corp. 58,338 0.00 3,210 NS Shopping Co. Ltd. 36,094 0.00 12,833 S&T Motiv Co. Ltd. 557,432 0.03 20,482 Samjin Pharmaceutical Co. Ltd. 505,264 0.02 11,437 Samsung Electronics Co. Ltd. 569,161 0.03 765 Samsung Electronics Co. Ltd. - Depositary Receipts 969,255 0.05 Samsung Electronics Co. Ltd. - Depositary Receipts - Preferred 1,102 Shares 1,209,996 0.06 256,220 Samsung Electronics Co. Ltd. - Preferred Shares 11,063,796 0.54 2,242 Sebang Global Battery Co. Ltd. 52,911 0.00 209,256 Shinhan Financial Group Co. Ltd. 4,938,406 0.23 473 SK Chemicals Co. Ltd. 119,918 0.01 34,425 SK Hynix Inc. 2,472,595 0.12 9,451 SK TeleCom Co. Ltd. 1,923,333 0.09
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
South Korea (30 September 2019: 2.95%) (continued) 149,900 SK Telecom Co. Ltd. - Depositary Receipts 3,360,758 0.16 3,745 Soulbrain Holdings Co. Ltd. 146,181 0.01 49 Taekwang Industrial Co. Ltd. 27,318 0.00 15,634 Tongyang Life Insurance Co. Ltd. 40,973 0.00 99,702 Woori Financial Group Inc. 731,461 0.03 12,919 Yuhan Corp. 709,192 0.03 68,696,683 3.27
Spain (30 September 2019: 1.34%) 33,550 Acerinox SA 275,554 0.01 27,460 ACS Actividades de Construccion y Servicios SA 623,572 0.03 39,764 Aena SME SA, 144A 5,562,873 0.26 53,733 Almirall SA 603,321 0.03 25,170 Amadeus IT Group SA 1,404,648 0.07 21,792 Banco Bilbao Vizcaya Argentaria SA 60,615 0.00 278,782 Banco Santander SA 522,931 0.02 47,008 Cia de Distribucion Integral Logista Holdings SA 804,810 0.04 3,189 Ebro Foods SA 74,268 0.00 9,158 eDreams ODIGEO SA 24,754 0.00 6,082 Enagas SA 140,466 0.01 214,054 Endesa SA 5,730,571 0.28 46,441 Faes Farma SA 187,339 0.01 132,814 Iberdrola SA 1,636,874 0.08 57,261 Industria de Diseno Textil SA 1,598,102 0.08 173,877 Mediaset Espana Comunicacion SA 646,353 0.03 104,044 Red Electrica Corp. SA 1,953,946 0.09 104 Repsol SA 698 0.00 414,358 Unicaja Banco SA 311,217 0.01 12,016 Viscofan SA 801,753 0.04 22,964,665 1.09
Sweden (30 September 2019: 0.75%) 81,579 Betsson AB 628,933 0.03 20,962 Bilia AB 264,894 0.01 1,488 Bufab AB 23,110 0.00 6,732 Humana AB 43,401 0.00 30,306 Inwido AB 309,155 0.01 1,182 KNOW IT AB 30,045 0.00 15,229 Nobia AB 102,264 0.00 17,204 Nobina AB, 144A 113,412 0.01 3,923 Nordic Waterproofing Holding AS, 144A 53,739 0.00 76,441 Skanska AB 1,621,062 0.08 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Sweden (30 September 2019: 0.75%) (continued) 2,437 SKF AB 50,564 0.00 38,850 Swedish Match AB 3,180,925 0.16 18,058 Volvo AB Class A 350,668 0.02 277,137 Volvo AB Class B 5,358,498 0.26 12,130,670 0.58
Switzerland (30 September 2019: 0.81%) 1,965 ALSO Holding AG 519,722 0.02 1,256 Banque Cantonale Vaudoise 127,958 0.01 90 Bell Food Group AG 23,167 0.00 2,126 BKW AG 227,005 0.01 1,762 Bobst Group SA 109,987 0.01 415 Feintool International Holding AG 23,669 0.00 4,683 Galenica AG, 144A 327,237 0.02 33 Gurit Holding AG 70,328 0.00 403 Huber & Suhner AG 30,354 0.00 104 Inficon Holding AG 86,030 0.00 20 Interroll Holding AG 50,612 0.00 1,088 Kardex AG 202,501 0.01 2,168 Mobilezone Holding AG 21,544 0.00 16,984 Novartis AG 1,477,215 0.07 1,298 Orior AG 103,981 0.00 558 Partners Group Holding AG 514,787 0.02 19,202 Roche Holding AG 6,586,679 0.32 6,334 Roche Holding AG Genusschein 2,179,930 0.11 1,750 Vetropack Holding AG 107,810 0.01 1,760 Zehnder Group AG 85,438 0.00 12,875,954 0.61
Taiwan (30 September 2019: 4.57%) 2,000 Acter Group Corp. Ltd. 13,121 0.00 81,000 Alchip Technologies Ltd. 1,363,424 0.06 16,000 Amazing Microelectronic Corp. 43,975 0.00 631,461 Asustek Computer Inc. 5,527,083 0.26 55,000 Aten International Co. Ltd. 157,241 0.01 983,000 Catcher Technology Co. Ltd. 6,160,295 0.30 420,000 Cathay Financial Holding Co. Ltd. 559,768 0.03 430,043 Chailease Holding Co. Ltd. 1,945,157 0.09 513,480 Chicony Electronics Co. Ltd. 1,491,046 0.07 929,000 China Development Financial Holding Corp. 272,971 0.01 159,200 China Motor Corp. 230,868 0.01 114,000 Chong Hong Construction Co. Ltd. 314,895 0.01 The accompanying notes form an integral part of these audited financial statements.
92 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Taiwan (30 September 2019: 4.57%) (continued) 757,000 Coretronic Corp. 872,999 0.04 4,488,000 CTBC Financial Holding Co. Ltd. 2,851,295 0.14 68,590 CTBC Financial Holding Co. Ltd. - Preferred Shares 153,701 0.01 16,000 Depo Auto Parts Ind Co. Ltd. 25,937 0.00 70,000 Elan Microelectronics Corp. 351,668 0.02 177,000 Elite Material Co. Ltd. 892,273 0.04 58,000 Far Eastern Department Stores Ltd. 48,864 0.00 129,000 Farglory Land Development Co. Ltd. 202,439 0.01 105,240 Feng Tay Enterprise Co. Ltd. 630,452 0.03 615,000 FLEXium Interconnect Inc. 2,580,019 0.12 316,000 Formosa Taffeta Co. Ltd. 340,964 0.02 357,000 Foxconn Technology Co. Ltd. 634,815 0.03 1,337,000 Fubon Financial Holding Co. Ltd. 1,934,269 0.09 464,000 Gigabyte Technology Co. Ltd. 1,209,585 0.06 7,000 Globalwafers Co. Ltd. 92,811 0.00 1,277,000 Grand Pacific Petrochemical 820,116 0.04 271,553 Great Wall Enterprise Co. Ltd. 396,144 0.02 30,000 Holiday Entertainment Co. Ltd. 63,601 0.00 111,000 Holtek Semiconductor Inc. 247,203 0.01 6,646,600 Hon Hai Precision Industry Co. Ltd. 17,762,821 0.85 107,000 Huaku Development Co. Ltd. 318,466 0.02 78,300 IEI Integration Corp. 116,252 0.01 7,140 Innodisk Corp. 39,075 0.00 31,000 International Games System Co. Ltd. 825,254 0.04 42,000 Kung Long Batteries Industrial Co. Ltd. 197,949 0.01 21,000 Lion Travel Service Co. Ltd. 49,161 0.00 141,000 Lite-On Semiconductor Corp. 204,475 0.01 428,000 Lite-On Technology Corp. 681,265 0.03 15,000 Lotes Co. Ltd. 238,761 0.01 24,000 MediaTek Inc. 503,004 0.02 1,721,352 Mercuries Life Insurance Co. Ltd. 537,291 0.03 170,000 Merry Electronics Co. Ltd. 868,725 0.04 228,000 Micro-Star International Co. Ltd. 1,047,027 0.05 797,985 Mitac Holdings Corp. 788,011 0.04 130,000 Nantex Industry Co. Ltd. 223,983 0.01 11,000 Nichidenbo Corp. 16,598 0.00 759,285 Novatek Microelectronics Corp. 6,960,505 0.34 13,000 Oneness Biotech Co. Ltd. 153,512 0.01 1,000 Parade Technologies Ltd. 36,254 0.00 276,000 Pegatron Corp. 607,997 0.03 217,000 Phison Electronics Corp. 1,981,786 0.09 8,000 Pixart Imaging Inc. 49,168 0.00 The accompanying notes form an integral part of these audited financial statements.
93 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Taiwan (30 September 2019: 4.57%) (continued) 3,711,251 Pou Chen Corp. 3,350,915 0.16 818,000 Qisda Corp. 522,512 0.02 57,000 Quanta Computer Inc. 148,788 0.01 2,217,486 Radiant Opto-Electronics Corp. 8,460,471 0.41 111,000 Shinkong Insurance Co. Ltd. 134,141 0.01 215,200 Simplo Technology Co. Ltd. 2,225,413 0.11 16,000 Sitronix Technology Corp. 72,094 0.00 43,000 Soft-World International Corp. 126,794 0.01 40,000 Standard Chemical & Pharmaceutical Co. Ltd. 52,897 0.00 560,000 Sunplus Technology Co. Ltd. 261,032 0.01 249,250 Syncmold Enterprise Corp. 721,192 0.03 379,000 Taiwan PCB Techvest Co. Ltd. 512,976 0.02 1,033,000 Taiwan Semiconductor Manufacturing Co. Ltd. 15,443,995 0.74 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary 25,656 Receipts 2,079,932 0.10 97,000 Taiwan Styrene Monomer 54,090 0.00 9,000 Test Research Inc. 17,682 0.00 9,000 Thinking Electronic Industrial Co. Ltd. 30,796 0.00 162,988 TOPBI International Holdings Ltd. 192,466 0.01 93,990 Topco Scientific Co. Ltd. 369,963 0.02 23,000 Topkey Corp. 113,563 0.01 225,000 Transcend Information Inc. 487,881 0.02 153,000 Tripod Technology Corp. 581,106 0.03 113,000 Unimicron Technology Corp. 290,284 0.01 89,798 United Integrated Services Co. Ltd. 604,606 0.03 46,000 Wah Lee Industrial Corp. 88,785 0.00 22,000 Wiwynn Corp. 496,029 0.02 149,000 YC INOX Co. Ltd. 117,813 0.01 136,000 Youngtek Electronics Corp. 248,408 0.01 18,000 Yulon Nissan Motor Co. Ltd. 151,647 0.01 104,594,610 4.98
Thailand (30 September 2019: 0.15%) 1,298,500 AP Thailand PCL 235,625 0.02 535,600 AP Thailand PCL - Depositary Receipts 97,190 0.00 107,100 Bangkok Bank PCL - Depositary Receipts 324,469 0.03 2,433,300 Beauty Community PCL - Depositary Receipts 114,418 0.01 106,300 Delta Electronics Thailand 525,000 0.03 48,900 Hana Microelectronics PCL - Depositary Receipts 67,129 0.00 19,300 Kiatnakin Phatra Bank PCL - Depositary Receipts 22,688 0.00 194,800 Krung Thai Bank PCL - Depositary Receipts 54,406 0.00 251,500 Origin Property PCL - Depositary Receipts 50,002 0.00
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
Thailand (30 September 2019: 0.15%) (continued) 108,300 Pruksa Holding PCL 36,912 0.00 606,900 Pruksa Holding PCL - Depositary Receipts 206,849 0.01 297,000 Quality Houses PCL - Depositary Receipts 20,620 0.00 27,100 Siam Commercial Bank PCL - Depositary Receipts 55,590 0.00 60,300 Somboon Advance Technology PCL - Depositary Receipts 23,216 0.00 83,000 SPCG PCL - Depositary Receipts 51,077 0.00 310,450 Supalai PCL 151,857 0.01 298,100 Supalai PCL - Depositary Receipts 145,816 0.01 116,600 Thai Beverage PCL 51,676 0.00 87,400 Thai Vegetable Oil PCL - Depositary Receipts 90,331 0.00 4,500 Tisco Financial Group PCL - Depositary Receipts 9,053 0.00 177,900 TTW PCL - Depositary Receipts 70,739 0.00 342,200 Univentures PCL - Depositary Receipts 26,566 0.00 2,431,229 0.12
Turkey (30 September 2019: 1.37%) 182,061 Aksa Akrilik Kimya Sanayii AS 168,493 0.01 66,719 Alkim Alkali Kimya AS 119,683 0.01 914,128 Aselsan Elektronik Sanayi Ve Ticaret AS 2,292,396 0.11 12,478 BIM Birlesik Magazalar AS 112,727 0.01 881,771 Dogan Sirketler Grubu Holding AS 271,256 0.01 65,979 Dogus Otomotiv Servis ve Ticaret AS 132,486 0.01 4,969,649 Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT 1,115,956 0.05 537,656 Enerjisa Enerji AS, 144A 622,508 0.03 884,974 Eregli Demir ve Celik Fabrikalari TAS 1,086,668 0.05 978,157 KOC Holding AS 1,862,576 0.09 71,044 Koza Altin Isletmeleri AS 718,357 0.03 124,207 Koza Anadolu Metal Madencilik Isletmeleri AS 203,783 0.01 101,485 Ozak Gayrimenkul Yatirim Ortakligi REIT 54,140 0.00 188,811 Selcuk Ecza Deposu Ticaret ve Sanayi AS 210,276 0.01 264,263 Soda Sanayii AS 284,701 0.01 397,288 Trakya Cam Sanayii AS 247,011 0.01 175,557 Turkiye Garanti Bankasi AS 161,790 0.01 3,282,157 Turkiye Is Bankasi AS 2,279,231 0.11 876,144 Turkiye Vakiflar Bankasi TAO 470,816 0.02 12,414,854 0.59
United Arab Emirates (30 September 2019: 0.11%) 52,802 Abu Dhabi Islamic Bank PJSC 61,669 0.00 57,950 Dubai Islamic Bank PJSC 68,155 0.00 25,178 Emaar Development PJSC 16,383 0.00 85,752 Emaar Malls PJSC 34,785 0.00 The accompanying notes form an integral part of these audited financial statements.
95 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United Arab Emirates (30 September 2019: 0.11%) (continued) 1,912,064 Emaar Properties PJSC 1,452,339 0.07 34,774 Emirates NBD Bank PJSC 100,824 0.00 1,734,155 0.07
United Kingdom (30 September 2019: 3.33%) 477,754 3i Group Plc 6,155,402 0.29 34,569 Aggreko Plc 165,267 0.01 56,224 Alliance Pharma Plc 53,788 0.00 67,247 Anglo American Plc 1,630,762 0.08 34,854 Aveva Group Plc 2,156,535 0.10 10,433 Bank of Georgia Group Plc 120,446 0.01 721,228 Barratt Developments Plc 4,436,375 0.21 66,548 Bellway Plc 2,022,641 0.10 69,865 Berkeley Group Holdings Plc 3,818,791 0.18 134,864 British American Tobacco Plc 4,842,631 0.23 18,500 British American Tobacco Plc - Depositary Receipts 668,775 0.03 124,800 Burford Capital Ltd. 1,008,384 0.05 540,970 Centamin Plc 1,416,216 0.07 11,427 Central Asia Metals Plc 23,814 0.00 22,374 CMC Markets Plc, 144A 89,523 0.00 32,834 Coca-Cola HBC AG 811,602 0.04 120,646 Compass Group Plc 1,823,302 0.09 41,390 Computacenter Plc 1,266,023 0.06 847 Cranswick Plc 39,705 0.00 11,786 Daily Mail & General Trust Plc 99,040 0.00 105,537 Dixons Carphone Plc 127,297 0.01 41,442 Dunelm Group Plc 748,460 0.04 64,054 Electrocomponents Plc 590,014 0.03 3,093 EMIS Group Plc 41,586 0.00 18,459 Ferguson Plc 1,864,239 0.09 539,930 Ferrexpo Plc 1,232,706 0.06 80,133 Frasers Group Plc 356,992 0.02 1,909 Games Workshop Group Plc 251,485 0.01 17,093 Gem Diamonds Ltd. 7,933 0.00 26,570 Go-Ahead Group Plc 199,056 0.01 8,479 Grafton Group Plc 74,046 0.00 7,439 Greggs Plc 113,001 0.01 44,844 Halfords Group Plc 105,165 0.01 240,000 HSBC Holdings Plc 922,839 0.04 168,254 IG Group Holdings Plc 1,721,661 0.08 61,907 Inchcape Plc 352,627 0.02
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United Kingdom (30 September 2019: 3.33%) (continued) 115,464 Indivior Plc 174,648 0.01 1,289 Intermediate Capital Group Plc 19,880 0.00 223,824 International Consolidated Airlines Group SA 271,654 0.01 29,670 International Personal Finance Plc 17,798 0.00 218,942 J Sainsbury Plc 540,480 0.03 172,699 JD Sports Fashion Plc 1,807,109 0.09 47,411 John Laing Group Plc, 144A 192,215 0.01 3,075 Johnson Matthey Plc 93,699 0.00 192 Jupiter Fund Management Plc 556 0.00 200,320 Kingfisher Plc 768,375 0.04 719,401 Legal & General Group Plc 1,751,733 0.08 47,220 Lookers Plc 12,820 0.00 6,307 Meggitt Plc 20,996 0.00 51,272 Micro Focus International Plc 163,126 0.01 79,027 Mitchells & Butlers Plc 138,333 0.01 59,569 Morgan Advanced Materials Plc 183,286 0.01 21,991 Morgan Sindall Group Plc 324,102 0.02 106,496 National Express Group Plc 210,372 0.01 23,225 Next Plc 1,786,504 0.08 17,287 Numis Corp. Plc 66,152 0.00 40,133 OneSavings Bank Plc 144,756 0.01 52,079 Paragon Group of Cos. Plc 224,201 0.01 116,165 Pendragon Plc 10,663 0.00 36,182 Pennon Group Plc 482,261 0.02 282,050 Persimmon Plc 9,017,402 0.42 130,835 Pets at Home Group Plc 715,139 0.03 12,466 Playtech Plc 58,453 0.00 97,683 Plus500 Ltd. 1,980,773 0.09 182,381 Premier Foods Plc 218,098 0.01 486,737 Qinetiq Group Plc 1,748,066 0.08 54,591 Redde Northgate Plc 130,564 0.01 311,400 Royal Dutch Shell Plc - Depositary Receipts 7,542,107 0.35 79,800 Royal Dutch Shell Plc (A Shares) 1,008,578 0.05 29,865 Royal Dutch Shell Plc (H Shares) 363,006 0.02 16,594 Royal Mail Plc 51,272 0.00 11,595 RPS Group Plc 6,768 0.00 34,077 Sirius Real Estate Ltd. 32,160 0.00 2,706 Smith & Nephew Plc 53,052 0.00 6,200 Smith & Nephew Plc - Depositary Receipts 242,420 0.01 20,492 Smiths Group Plc 364,266 0.02 34,371 Softcat Plc 536,328 0.03 216,975 Spirent Communications Plc 802,245 0.04 The accompanying notes form an integral part of these audited financial statements.
97 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United Kingdom (30 September 2019: 3.33%) (continued) 69,947 Stock Spirits Group Plc 194,871 0.01 379,110 Tate & Lyle Plc 3,260,234 0.16 36,919 TI Fluid Systems Plc, 144A 73,464 0.00 5,352 Ultra Electronics Holdings Plc 144,332 0.01 27,035 Vesuvius Plc 138,196 0.01 19 Vistry Group Plc 140 0.00 43,278 Wm Morrison Supermarkets Plc 95,199 0.00 2,869 WPP Plc 22,551 0.00 79,563,532 3.78
United States (30 September 2019: 11.95%) 3,000 1st Source Corp. 92,520 0.00 48,400 Acacia Communications Inc. 3,262,160 0.17 108,700 ACCO Brands Corp. 630,460 0.03 43,600 Acushnet Holdings Corp. 1,465,396 0.07 18,600 Adtalem Global Education Inc. 456,444 0.02 32,500 ADTRAN Inc. 333,288 0.02 76,800 Advanced Disposal Services Inc. 2,321,664 0.12 1,100 AGCO Corp. 81,697 0.00 13,300 AgroFresh Solutions Inc. 32,319 0.00 1,200 Alliance Data Systems Corp. 50,376 0.00 5,400 Allscripts Healthcare Solutions Inc. 43,956 0.00 15,900 Alpha & Omega Semiconductor Ltd. 203,838 0.01 4,200 Amalgamated Bank 44,436 0.00 1,900 AMC Networks Inc. 46,949 0.00 19,460 American Express Co. 1,950,865 0.09 4,200 American Public Education Inc. 118,398 0.01 800 American Vanguard Corp. 10,512 0.00 1,900 Amkor Technology Inc. 21,280 0.00 11,200 Amneal Pharmaceuticals Inc. 43,456 0.00 10,200 AngioDynamics Inc. 123,012 0.01 600 Applied Industrial Technologies Inc. 33,060 0.00 8,029 Applied Materials Inc. 477,324 0.02 7,600 Arcbest Corp. 236,056 0.01 5,800 Arcus Biosciences Inc. 99,412 0.00 3,100 Ares Commercial Real Estate Corp. REIT 28,334 0.00 44,000 Arlo Technologies Inc. 231,440 0.01 824 Arrow Financial Corp. 20,674 0.00 17,900 Associated BancCorp. 225,898 0.01 244,639 At Home Group Inc. 3,635,336 0.18 6,500 Atlas Air Worldwide Holdings Inc. 395,850 0.02 500 ATN International Inc. 25,070 0.00 The accompanying notes form an integral part of these audited financial statements.
98 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 28,900 AutoNation Inc. 1,529,677 0.07 8,300 Avaya Holdings Corp. 126,160 0.01 23,100 Avient Corp. 611,226 0.03 4,100 Avnet Inc. 105,944 0.01 200 Axcelis Technologies Inc. 4,400 0.00 7,700 AZZ Inc. 262,724 0.01 1,500 Bankfinancial Corp. 10,830 0.00 1,200 Bar Harbor Bankshares 24,660 0.00 5,800 Bassett Furniture Industries Inc. 79,344 0.00 2,200 Bel Fuse Inc. 23,496 0.00 43,100 Benchmark Electronics Inc. 868,465 0.04 40,100 Big Lots Inc. 1,788,460 0.09 6,000 BioCryst Pharmaceuticals Inc. 20,610 0.00 8,900 Bloomin' Brands Inc. 135,903 0.01 800 Booking Holdings Inc. 1,368,544 0.07 48,500 BorgWarner Inc. 1,878,890 0.09 38,200 Brady Corp. 1,528,764 0.07 4,200 Bridge Bancorp Inc. 73,206 0.00 2,800 Brightsphere Investment Group 36,120 0.00 33,300 Brinker International Inc. 1,422,576 0.07 28,500 Builders Firstsource Inc. 929,670 0.04 1,900 Cabot Corp. 68,457 0.00 8,800 Calix Inc. 156,464 0.01 4,600 Camden National Corp. 139,035 0.01 97,000 Cardlytics Inc. 6,845,290 0.34 2,800 Carriage Services Inc. 62,468 0.00 15,000 Cars.Com Inc. 121,200 0.01 48,350 Carvana Co. 10,784,950 0.52 3,900 Cathay General Bancorp 84,552 0.00 5,500 Cato Corp. 43,010 0.00 13,800 CBIZ Inc. 315,606 0.02 3,500 Central Garden & Pet Co. 139,755 0.01 10,900 Central Garden & Pet Co. (A Shares) 393,926 0.02 1,900 Century Bancorp Inc. 124,906 0.01 2,200 Cerence Inc. 107,514 0.01 36,579 Charles Schwab Corp. 1,325,257 0.06 50,279 Cheesecake Factory Inc. 1,394,739 0.07 400 Chemung Financial Corp. 11,548 0.00 16,000 Chevron Corp. 1,152,000 0.05 1,500 Citi Trends Inc. 37,470 0.00 4,700 Civista Bancshares Inc. 58,844 0.00 11,048 Clarus Corp. 155,998 0.01 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 2,400 CNB Financial Corp. 35,688 0.00 2,700 Commercial Metals Co. 53,946 0.00 1,800 Community Trust Bancorp Inc. 50,868 0.00 14,900 Computer Programs & Systems Inc. 411,389 0.02 35,100 Comtech Telecommunications Corp. 491,400 0.02 19,000 Consolidated Communications Holdings Inc. 108,110 0.01 62,994 Contra Clementia Pharmaceuticals 85,042 0.00 6,900 Cooper Tire & Rubber Co. 218,730 0.01 137,800 CoreCivic Inc. REIT 1,102,400 0.05 400 CoreLogic Inc. 27,068 0.00 18,700 Core-Mark Holding Co. Inc. 540,991 0.03 58,200 CorePoint Lodging Inc. REIT 317,190 0.02 6,800 Cornerstone Building Brands Inc. 54,264 0.00 43,591 Corteva Inc. 1,255,857 0.06 7,800 Covetrus Inc. 190,320 0.01 6,300 CRA International Inc. 236,061 0.01 10,800 CSG Systems International Inc. 442,260 0.02 6,100 CTS Corp. 134,383 0.01 2,400 Curo Group Holdings Corp. 16,920 0.00 6,500 CytomX Therapeutics Inc. 43,225 0.00 8,100 Dana Inc. 99,792 0.00 4,100 Deluxe Corp. 105,493 0.01 54,400 Designer Brands Inc. 295,392 0.01 25,600 DHI Group Inc. 57,856 0.00 12,000 Dick's Sporting Goods Inc. 694,560 0.03 14,200 Digi International Inc. 221,946 0.01 23,300 Dime Community Bancshares Inc. 263,523 0.01 326,800 Discovery Inc. 6,405,280 0.31 1,500 Donegal Group Inc. 21,105 0.00 39,200 Donnelley Financial Solutions Inc. 523,712 0.02 26,500 DSP Group Inc. 349,270 0.02 5,500 Ducommun Inc. 181,060 0.01 25,300 Ellington Financial Inc. 310,178 0.01 1,700 Employers Holdings Inc. 51,425 0.00 9,800 Encore Capital Group Inc. 378,182 0.02 500 Encore Wire Corp. 23,210 0.00 174,700 Endo International Plc 576,510 0.03 900 Energizer Holdings Inc. 35,226 0.00 900 EnerSys 60,408 0.00 13,000 Ennis Inc. 226,720 0.01 52,719 Enova International Inc. 864,064 0.04 36,301 EOG Resources Inc. 1,304,658 0.06 The accompanying notes form an integral part of these audited financial statements.
100 ______
GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 2,500 ePlus Inc. 183,000 0.01 2,100 Escalade Inc. 38,409 0.00 418,600 Escrow Altegrity Inc. 9,439,429 0.46 2,300 ESSA BanCorp. Inc. 28,359 0.00 6,000 Essent Group Ltd. 222,060 0.01 40,400 Ethan Allen Interiors Inc. 547,016 0.03 584,225 Everyware Global (a) 782,862 0.04 14,200 Evolution Petroleum Corp. 31,808 0.00 30,700 Fastly Inc. 2,875,976 0.15 48,700 Federal Signal Corp. 1,424,475 0.07 24,000 Federated Hermes Inc. 516,240 0.02 9,700 FedNat Holding Co. 61,304 0.00 21,341 Fidelity National Financial 668,187 0.03 5,955 Financial Institutions Inc. 91,707 0.00 5,000 First Community Bankshares Inc. 90,250 0.00 2,800 First Financial Corp. 87,920 0.00 2,200 First Financial Northwest Inc. 20,064 0.00 2,100 First Foundation Inc. 27,447 0.00 52,412 FirstEnergy Corp. 1,504,749 0.07 48,700 Flagstar Bancorp Inc. 1,442,981 0.07 5,200 Fluor Corp. 45,812 0.00 1,900 Flushing Financial Corp. 19,988 0.00 3,800 FONAR Corp. 79,344 0.00 7,700 FutureFuel Corp. 87,549 0.00 15,400 Garrett Motion Inc. 53,130 0.00 59,500 GCI Liberty Inc. 4,876,620 0.24 11,200 Genesco. Inc. 241,248 0.01 17,300 Genie Energy Ltd. 138,400 0.01 352,527 Genworth Financial Inc. 1,180,965 0.06 84,400 GEO Group Inc. REIT 957,096 0.05 8,600 G-III Apparel Group Ltd. 112,746 0.01 10,100 Gorman-Rupp Co. 297,546 0.01 200 Graham Holdings Co. 80,822 0.00 2,700 Great Southern Bancorp Inc. 97,794 0.00 19,800 Greif Inc. 716,958 0.03 28,797 Griffon Corp. 562,693 0.03 27,900 Group 1 Automotive Inc. 2,466,081 0.13 17,400 Grubhub Inc. 1,258,542 0.06 16,200 H&R Block Inc. 263,898 0.01 15,700 Hasbro Inc. 1,298,704 0.06 23,700 Haverty Furniture Cos. Inc. 496,278 0.02 700 Hawkins Inc. 32,270 0.00 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 2,400 HB Fuller Co. 109,872 0.01 7,800 HealthStream Inc. 156,546 0.01 900 Heartland Financial USA Inc. 26,996 0.00 10,600 HEICO Corp. 939,796 0.04 6,100 Heidrick & Struggles International Inc. 119,865 0.01 3,400 Heritage Financial Corp. 62,526 0.00 58,800 Herman Miller Inc. 1,773,408 0.08 3,800 Hibbett Sports Inc. 149,036 0.01 15,400 Hilltop Holdings Inc. 316,932 0.02 17,090 Hilton Grand Vacations Inc. 358,548 0.02 14,709 Hilton Worldwide Holdings Inc. 1,254,972 0.06 11,000 HNI Corp. 345,180 0.02 7,617 Honeywell International Inc. 1,253,834 0.06 1,400 Hub Group Inc. 70,273 0.00 1,600 Hurco Cos. Inc. 45,440 0.00 10,800 Hyster-Yale Materials Handling Inc. 401,220 0.02 12,500 IDT Corp. 82,250 0.00 58,150 Iheartmedia Inc. 472,178 0.02 8,000 Illinois Tool Works Inc. 1,545,680 0.07 400 Independence Holding Co. 15,084 0.00 13,500 Independent Bank Corp. 169,695 0.01 14,900 Information Services Group Inc. 31,439 0.00 8,000 Ingles Markets Inc. 304,320 0.01 19,500 Innospec Inc. 1,234,740 0.06 6,000 Inogen Inc. 174,000 0.01 35,200 Insight Enterprises Inc. 1,991,616 0.09 4,100 Insteel Industries Inc. 76,670 0.00 7,400 Integer Holdings Corp. 436,674 0.02 10,900 Inter Parfums Inc. 407,115 0.02 39,700 Interactive Brokers Group Inc. 1,918,701 0.09 7,000 Interface Inc. 42,840 0.00 12,700 International Bancshares Corp. 330,962 0.02 104,900 Investors BanCorp. Inc. 761,574 0.04 33,930 JELD-WEN Holding Inc. 766,818 0.04 5,000 Johnson Outdoors Inc. 409,450 0.02 7,300 Kelly Services Inc. 124,392 0.01 1,000 Kforce Inc. 32,170 0.00 10,700 Kimball Electronics Inc. 123,692 0.01 26,400 Kimball International Inc. 278,256 0.01 3,300 Kiniksa Pharmaceuticals Ltd. 50,556 0.00 4,200 Koppers Holdings Inc. 87,822 0.00 4,300 Lakeland Financial Corp. 177,160 0.01 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 9,100 Lantheus Holdings Inc. 115,297 0.01 5,035 Laredo Petroleum Inc. 49,343 0.00 25,929 Las Vegas Sands Corp. 1,209,847 0.06 20,900 La-Z-Boy Inc. 661,067 0.03 1,600 LB Foster Co. 21,472 0.00 3,630 LCNB Corp. 49,550 0.00 55,100 Liberty Broadband Corp. 7,872,136 0.38 19,126 Liberty Global Plc 401,837 0.02 161,800 Liberty Media Corp. 5,352,344 0.26 66,900 Liberty TripAdvisor Holdings Inc. 115,737 0.01 1,700 Lifevantage Corp. 20,519 0.00 2,173 Live Nation Entertainment Inc. 117,081 0.01 14,600 Livongo Health Inc. 2,044,730 0.10 28,600 Luminex Corp. 750,750 0.04 46,700 Lyft Inc. 1,286,585 0.06 8,900 Macatawa Bank Corp. 58,117 0.00 26,740 Macquarie Infrastructure Corp. 719,039 0.03 15,100 Marchex Inc. 32,012 0.00 1,800 MarineMax Inc. 46,206 0.00 1,281 Markel Corp. 1,247,310 0.06 6,610 Masonite International Corp. 650,424 0.03 20,029 Materion Corp. 1,042,109 0.05 12,405 Matrix Service Co. 103,582 0.00 55,900 Maxim Integrated Products Inc. 3,779,399 0.19 21,600 MDC Holdings Inc. 1,017,360 0.05 797,400 Media General Inc. - CVR 39,870 0.00 1,400 MEDNAX Inc. 22,792 0.00 3,300 Meridian BanCorp. Inc. 34,155 0.00 30,800 Meridian Bioscience Inc. 522,984 0.02 41,100 Meritor Inc. 860,634 0.04 3,200 Methode Electronics Inc. 91,200 0.00 7,000 MGIC Investment Corp. 62,020 0.00 13,790 MGM Growth Properties LLC REIT 385,844 0.02 9,900 Michaels Cos. Inc. 95,585 0.00 25,270 Micron Technology Inc. 1,186,679 0.06 1,500 MicroStrategy Inc. 225,840 0.01 1,300 Miller Industries Inc. 39,741 0.00 400 Minerals Technologies Inc. 20,440 0.00 18,500 Modine Manufacturing Co. 115,625 0.01 29,800 Moog Inc. 1,893,194 0.09 14,300 Movado Group Inc. 142,142 0.01 10,100 Mueller Industries Inc. 273,306 0.01 The accompanying notes form an integral part of these audited financial statements.
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% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 15,200 National General Holdings Corp. 513,000 0.02 1,400 National Presto Industries Inc. 114,604 0.01 7,800 Natus Medical Inc. 133,614 0.01 37,500 Nautilus Inc. 643,500 0.03 5,500 Neenah Inc. 206,085 0.01 11,600 NETGEAR Inc. 357,512 0.02 189,500 Newmark Group Inc. 818,640 0.04 12,600 NextGen Healthcare Inc. 160,524 0.01 398,300 NII Holdings Inc. 736,855 0.04 4,100 Northfield Bancorp. Inc. 37,392 0.00 2,020 Northrim BanCorp Inc. 51,490 0.00 26,500 Northwest Bancshares Inc. 243,800 0.01 6,300 Nu Skin Enterprises Inc. 315,567 0.02 16,900 Nvent Electric Plc 298,961 0.01 14,970 ODP Corp. 291,167 0.01 27,300 OFG BanCorp. 340,158 0.02 6,000 Old National Bancorp 75,360 0.00 4,300 Olympic Steel Inc. 48,848 0.00 5,700 OneSpan Inc. 119,472 0.01 10,200 Oppenheimer Holdings Inc. 227,664 0.01 4,800 OraSure Technologies Inc. 58,416 0.00 45,100 Owens & Minor Inc. 1,132,461 0.05 300 Park-Ohio Holdings Corp. 4,821 0.00 1,000 Patrick Industries Inc. 57,520 0.00 37,600 Patterson Cos. Inc. 906,348 0.04 11,500 PC Connection Inc. 472,190 0.02 107,600 PDL BioPharma Inc. 338,940 0.02 600 Penns Woods Bancorp Inc. 11,910 0.00 40,000 PennyMac Financial Services Inc. 2,324,800 0.12 91,100 PennyMac Mortgage Investment Trust REIT 1,463,977 0.07 29,400 Perdoceo Education Corp. 359,856 0.02 66,203 PG&E Corp. 621,646 0.03 2,800 Phibro Animal Health Corp. 48,720 0.00 8,700 Photronics Inc. 86,652 0.00 300 Polaris Inc. 28,302 0.00 500 Preformed Line Products Co. 24,360 0.00 3,600 Premier Financial BanCorp. Inc. 38,880 0.00 25,340 Premier Financial Corp. 394,671 0.02 41,300 Prestige Consumer Healthcare Inc. 1,504,146 0.07 17,100 Progress Software Corp. 627,228 0.03 3,100 Protective Insurance Corp. 40,703 0.00 3,100 Providence Service Corp. 288,021 0.01 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 16,700 QEP Resources Inc. 15,077 0.00 5,300 Qurate Retail Inc. 38,054 0.00 159 Qurate Retail Inc. - Preferred Shares 15,662 0.00 10,700 Radian Group Inc. 156,327 0.01 27,027 Raytheon Technologies Corp. 1,555,134 0.07 46,700 Realogy Holdings Corp. 440,848 0.02 189,050 Redfin Corp. 9,439,266 0.46 800 Reliance Steel & Aluminum Co. 81,632 0.00 6,700 Renewable Energy Group Inc. 357,914 0.02 1,867 Republic Bancorp Inc. 52,575 0.00 57,000 Resideo Technologies Inc. 627,000 0.03 23,700 Resources Connection Inc. 273,735 0.01 4,438 Riverview Bancorp Inc. 18,418 0.00 5,700 Rocky Brands Inc. 141,531 0.01 11,100 Sally Beauty Holdings Inc. 96,459 0.00 36,700 Sandridge Energy Inc. 60,555 0.00 1,300 Sandy Spring Bancorp Inc. 30,004 0.00 73,800 Sanmina Corp. 1,996,290 0.09 1,400 Scholar Rock Holding Corp. 24,766 0.00 9,000 Scholastic Corp. 188,910 0.01 36,000 Schweitzer-Mauduit International Inc. 1,094,040 0.05 22,400 Sciplay Corp. 363,328 0.02 8,400 Select Medical Holdings Corp. 174,888 0.01 4,600 Seneca Foods Corp. 164,358 0.01 46,017 Sensata Technologies Holding 1,985,173 0.09 14,800 Shoe Carnival Inc. 496,984 0.02 7,000 Sierra BanCorp. 117,530 0.01 5,200 Silgan Holdings Inc. 191,204 0.01 33,300 SLM Corp. 269,397 0.01 18,100 SM Energy Co. 28,779 0.00 33,800 Sonic Automotive Inc. 1,357,408 0.06 5,800 Southeastern Grocers Inc. 382,800 0.02 207,300 Southwestern Energy Co. 487,155 0.02 23,800 SpartanNash Co. 389,130 0.02 30,200 Spok Holdings Inc. 287,202 0.01 4,800 SPX Corp. 222,624 0.01 4,000 Standard Motor Products Inc. 178,600 0.01 43,700 Steelcase Inc. 441,807 0.02 9,100 Stepan Co. 991,900 0.05 30,400 Stoneridge Inc. 558,448 0.03 12,200 StoneX Group Inc. 624,152 0.03 86,300 Summit Hotel Properties Inc. REIT 447,034 0.02 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 24,300 Sunstone Hotel Investors Inc. REIT 192,942 0.01 2,700 Super Micro Computer Inc. 71,280 0.00 4,800 Surgalign Holdings Inc. 8,688 0.00 2,400 Surmodics Inc. 93,384 0.00 31,400 Sykes Enterprises Inc. 1,074,194 0.05 465,500 Syncora Holdings Ltd. 133,831 0.01 7,900 Systemax Inc. 189,126 0.01 32,912 Taubman Centers Inc. REIT 1,095,640 0.05 34,920 Taylor Morrison Home Corp. 858,683 0.04 115,800 TD Ameritrade Holding Corp. 4,533,570 0.23 165,800 TEGNA Inc. 1,948,150 0.09 56,600 Telephone & Data Systems Inc. 1,043,704 0.05 8,500 Tempur Sealy International Inc. 758,115 0.04 15,540 Tenet Healthcare Corp. 380,885 0.02 2,400 Tennant Co. 144,864 0.01 10,200 Terex Corp. 197,472 0.01 3,400 Territorial BanCorp. Inc. 68,782 0.00 900 Timberland Bancorp Inc. 16,200 0.00 8,845 Toll Brothers Inc. 430,398 0.02 7,100 Towne Bank 116,440 0.01 20,300 Tredegar Corp. 301,861 0.01 21,400 Tribune Publishing Co. 249,524 0.01 12,100 TriCo Bancshares 296,329 0.01 1,900 Triple-S Management Corp. 33,953 0.00 134,666 TRU TAJ (a) 561,153 0.03 1,846 TRU TAJ Liquidation Unit Trust 27,690 0.00 800 TrueBlue Inc. 12,392 0.00 16,800 TrustCo Bank Corp. NY 87,696 0.00 36,500 UFP Industries Inc. 2,062,615 0.11 29,770 United Natural Foods Inc. 442,680 0.02 1,831 United Security Bancshares 11,187 0.00 8,600 United States Cellular Corp. 253,958 0.01 3,100 United Therapeutics Corp. 313,100 0.01 21,400 Uniti Group Inc. REIT 225,449 0.01 31,064 Universal Corp. 1,300,960 0.06 4,500 Universal Electronics Inc. 169,830 0.01 54,698 US Bancorp 1,960,923 0.09 5,100 USANA Health Sciences Inc. 375,615 0.02 26,100 Valvoline Inc. 496,944 0.02 6,300 Vanda Pharmaceuticals Inc. 60,858 0.00 4,300 Varex Imaging Cop. 54,696 0.00 18,952 Varian Medical Systems Inc. 3,259,744 0.17 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: 11.95%) (continued) 17,600 Vectrus Inc. 668,800 0.03 36,792 Vera Bradley Inc. 224,799 0.01 6,900 Veritiv Corp. 87,354 0.00 33,352 Verso Corp. 263,147 0.01 24,327 VF Corp. 1,708,972 0.08 3,700 Village Super Market Inc. 91,057 0.00 2,100 Vishay Precision Group Inc. 53,172 0.00 7,400 Vista Outdoor Inc. 149,332 0.01 51,800 Waddell & Reed Financial Inc. 769,230 0.04 24,000 Walker & Dunlop Inc. 1,272,000 0.06 19,795 Waterstone Financial Inc. 306,625 0.01 32,776 Wayfair Inc. 9,538,143 0.46 5,200 Weis Markets Inc. 249,600 0.01 48,140 Wells Fargo & Co. 1,131,771 0.05 2,600 West Bancorporation Inc. 41,184 0.00 28,137 Westmoreland Mining Holdings (a) 182,891 0.01 6,300 Westwood Holdings Group Inc. 70,182 0.00 2,614 Weyco Group Inc. 42,268 0.00 47,000 Willis Towers Watson Plc 9,814,539 0.48 78,200 World Fuel Services Corp. 1,657,058 0.08 9,500 Worthington Industries Inc. 387,410 0.02 93,700 Wright Medical Group NV 2,861,598 0.14 3,500 WW International Inc. 66,045 0.00 146,158 Xenia Hotels & Resorts Inc. REIT 1,283,267 0.06 9,400 Xerox Holdings Corp. 176,438 0.01 32,400 Xperi Holding Corp. 372,276 0.02 13,400 Zumiez Inc. 372,788 0.02 264,805,079 12.59 Vietnam (30 September 2019: Nil) 190,500 Kinh Bac City Development Share Holding Corp. 116,690 0.01 22,890 PetroVietnam Gas JSC 70,402 0.00 17,130 Pha Lai Thermal Power JSC 17,513 0.00 76,120 Vinh Hoan Corp. 143,820 0.01 348,425 0.02
TOTAL EQUITIES 1,401,665,163 66.67
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Rights/Warrants Spain (30 September 2019: Nil) 53,733 Almirall Sa Right 13,220 0.00 13,220 0.00
Taiwan (30 September 2019: Nil) 1,497 Amazing Microelectronic Corp. (d) - 0.00 - 0.00
United States (30 September 2019: 0.00%) 113,600 Bristol-Myers Squibb Co. REIT 255,600 0.01 255,600 0.01
TOTAL RIGHTS/WARRANTS 268,820 0.01
Collective Investment Schemes Ireland (30 September 2019: Nil) 2,475,000 GMO Emerging Country Debt Ucits Fund 57,444,750 2.73 57,444,750 2.73
United Kingdom (30 September 2019: 0.40%) 75,303 iShares Core MSCI EM IMI UCITS ETF 2,253,819 0.11 2,253,819 0.11
TOTAL COLLECTIVE INVESTMENT SCHEMES 59,698,569 2.84
Short-Term Investments
Money Market Funds (30 September 2019: Nil) 9,874,550 State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% 9,874,550 0.47 TOTAL SHORT-TERM INVESTMENTS 9,874,550 0.47 TOTAL INVESTMENTS AT FAIR VALUE 2,067,484,042 98.34
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS
FORWARD CURRENCY CONTRACTS (30 September 2019: (0.28)%) Net Unrealised Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 19/10/20 BCLY USD 357,593,804 GBP 283,005,005 8,306,362 0.40 19/10/20 MSCI USD 357,820,208 GBP 283,005,005 8,079,958 0.39 19/10/20 MSCI USD 152,682,615 EUR 133,176,401 3,541,575 0.18 14/10/20 DB GBP 17,897,200 USD 24,056,038 917,193 0.05 19/10/20 BOA USD 60,610,184 SEK 547,522,100 576,066 0.04 19/10/20 MSCI USD 25,340,164 CHF 23,798,428 575,133 0.04 19/10/20 CITI GBP 35,347,400 USD 46,133,380 432,352 0.02 19/10/20 SSB EUR 34,751,733 USD 41,138,153 372,212 0.02 19/10/20 DB EUR 34,751,733 USD 41,137,433 371,492 0.02 19/10/20 SSB EUR 34,751,734 USD 41,125,935 359,993 0.02 23/11/20 MSCI AUD 23,421,300 USD 17,108,946 319,743 0.02 19/10/20 BCLY GBP 15,190,000 USD 19,941,327 302,016 0.01 19/10/20 MSCI GBP 15,190,000 USD 19,940,255 300,943 0.01 15/10/20 BCLY RUB 223,702,990 USD 3,117,825 238,582 0.01 23/11/20 SSB EUR 25,329,167 USD 29,961,092 227,071 0.01 23/11/20 MSCI EUR 25,329,166 USD 29,958,378 224,358 0.01 23/11/20 DB EUR 25,329,167 USD 29,945,180 211,159 0.01 24/11/20 DB JPY 1,901,441,575 USD 18,203,417 174,808 0.01 24/11/20 DB JPY 1,901,441,575 USD 18,200,978 172,369 0.01 24/11/20 BOA JPY 1,901,441,575 USD 18,200,438 171,829 0.01 24/11/20 DB JPY 1,901,441,575 USD 18,188,964 160,355 0.01 14/10/20 MSCI CHF 20,692,058 USD 22,686,919 157,421 0.01 19/10/20 BNYM GBP 5,336,400 USD 7,051,970 152,482 0.01 05/10/20 JPM NZD 8,710,000 USD 5,892,079 134,730 0.01 09/11/20 JPM USD 15,829,873 JPY 1,683,388,255 128,526 0.01 20/10/20 JPM NOK 17,971,441 USD 2,040,000 119,246 0.01 03/11/20 JPM COP 11,488,286,500 USD 3,057,143 81,366 0.00 14/10/20 JPM CHF 7,577,150 USD 8,330,000 80,005 0.00 06/10/20 JPM AUD 9,880,000 USD 7,160,572 79,028 0.00 04/11/20 MSCI BRL 4,472,715 USD 870,330 77,311 0.00 05/10/20 JPM NZD 12,300,000 USD 8,202,455 72,101 0.00 10/11/20 MSCI USD 10,057,425 JPY 1,068,344,924 70,523 0.00 14/10/20 JPM GBP 3,160,000 USD 4,155,761 70,275 0.00 12/11/20 JPM AUD 11,456,832 USD 8,278,252 65,806 0.00 03/11/20 JPM CAD 5,884,286 USD 4,470,000 64,297 0.00 10/12/20 SSB USD 9,420,516 JPY 1,000,000,000 63,706 0.00 19/10/20 SSB USD 5,117,136 GBP 3,999,100 53,342 0.00 20/10/20 JPM USD 3,920,000 NOK 37,129,205 48,299 0.00 06/10/20 JPM AUD 12,330,000 USD 8,881,034 43,438 0.00 14/10/20 JPM HUF 299,581,756 USD 1,010,000 42,872 0.00 05/10/20 JPM NZD 2,750,000 USD 1,859,326 41,564 0.00 14/10/20 JPM GBP 3,445,700 USD 4,495,491 40,631 0.00 05/10/20 BCLY SEK 13,250,347 USD 1,520,000 39,472 0.00 04/11/20 CITI BRL 2,785,574 USD 530,000 36,113 0.00 24/11/20 DB JPY 320,359,900 USD 3,070,846 33,339 0.00 19/10/20 MSCI USD 6,541,200 JPY 693,495,700 31,558 0.00
The accompanying notes form an integral part of these audited financial statements.
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EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
FORWARD CURRENCY CONTRACTS (30 September 2019: (0.28)%) (CONTINUED) Net Unrealised Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 05/10/20 SSB USD 5,577,954 CAD 7,489,268 28,907 0.00 14/10/20 BOA HUF 160,122,690 USD 540,000 23,082 0.00 05/10/20 JPM USD 5,226,172 NZD 7,940,000 22,204 0.00 27/10/20 BOA EUR 1,400,000 USD 1,663,190 20,633 0.00 19/10/20 DB USD 3,766,059 JPY 399,481,700 20,117 0.00 24/11/20 DB JPY 322,817,900 USD 3,080,553 19,739 0.00 16/11/20 MSCI USD 5,888,825 EUR 5,033,666 19,372 0.00 12/11/20 GS USD 2,596,021 AUD 3,647,706 18,714 0.00 05/02/21 JPM USD 2,750,000 SEK 24,737,554 18,587 0.00 03/11/20 MSCI PEN 2,674,630 USD 761,157 17,641 0.00 05/10/20 JPM USD 2,077,942 NZD 3,170,000 17,442 0.00 14/10/20 JPM USD 2,025,904 GBP 1,580,000 16,839 0.00 14/10/20 MSCI GBP 7,545,000 USD 9,771,237 16,494 0.00 09/11/20 JPM USD 2,590,000 JPY 274,903,662 16,067 0.00 26/10/20 JPM USD 830,000 INR 62,363,710 15,137 0.00 05/10/20 JPM USD 3,895,000 SEK 34,989,735 14,580 0.00 19/10/20 DB USD 3,796,801 JPY 402,107,400 14,261 0.00 24/11/20 MSCI JPY 625,869,400 USD 5,947,724 13,513 0.00 12/11/20 SSB NZD 1,162,748 USD 781,252 12,687 0.00 12/11/20 UBS NZD 9,028,120 USD 5,979,875 12,376 0.00 26/10/20 BCLY USD 580,000 INR 43,691,980 12,103 0.00 19/10/20 MSCI USD 519,358 EUR 453,007 12,047 0.00 16/11/20 MSCI EUR 723,906 USD 861,697 12,022 0.00 14/10/20 CITI HUF 179,084,234 USD 590,000 11,870 0.00 27/10/20 BOA USD 1,007,417 EUR 868,000 10,968 0.00 19/10/20 CITI CZK 8,073,266 USD 360,000 10,488 0.00 14/10/20 GS USD 1,477,980 GBP 1,150,000 8,826 0.00 19/10/20 MSCI USD 809,873 GBP 633,100 8,669 0.00 06/10/20 MSCI USD 2,082,440 TWD 60,526,120 7,406 0.00 07/12/20 JPM USD 1,809,387 TWD 52,135,680 7,377 0.00 21/10/20 DB USD 300,000 MXN 6,788,456 6,832 0.00 24/11/20 BOA JPY 192,633,000 USD 1,832,499 6,040 0.00 14/10/20 DB USD 964,132 GBP 750,000 5,525 0.00 27/11/20 BOA USD 847,411 RON 3,559,211 5,432 0.00 14/10/20 BOA USD 584,046 NOK 5,514,900 5,372 0.00 12/11/20 UBS AUD 936,451 USD 675,515 4,252 0.00 03/11/20 BCLY USD 3,095,000 CAD 4,139,371 4,244 0.00 06/10/20 MSCI USD 560,000 TWD 16,340,240 4,196 0.00 10/12/20 SSB USD 1,672,185 JPY 176,751,245 4,163 0.00 15/10/20 BCLY THB 8,442,441 USD 270,000 3,582 0.00 19/10/20 DB USD 151,591 EUR 132,233 3,526 0.00 19/10/20 BCLY USD 370,000 SGD 509,794 3,454 0.00 27/10/20 BCLY USD 2,049,754 EUR 1,750,000 3,443 0.00 06/10/20 JPM USD 310,000 TWD 9,077,420 3,425 0.00 20/10/20 DB USD 290,000 NOK 2,743,315 3,200 0.00 05/10/20 JPM NZD 1,080,000 USD 716,962 3,077 0.00 21/10/20 JPM USD 504,705 MXN 11,230,155 2,887 0.00 06/10/20 JPM USD 310,000 TWD 9,061,300 2,869 0.00 15/10/20 BCLY THB 16,393,936 USD 520,000 2,658 0.00 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
FORWARD CURRENCY CONTRACTS (30 September 2019: (0.28)%) (CONTINUED) Net Unrealised Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 02/11/20 JPM CLP 292,441,700 USD 373,680 2,417 0.00 15/10/20 BOA THB 14,186,205 USD 450,000 2,327 0.00 05/10/20 MSCI CAD 394,439 USD 297,605 2,307 0.00 24/11/20 CITI USD 260,000 KRW 305,518,200 2,229 0.00 19/10/20 BOA SGD 679,515 USD 500,000 2,215 0.00 24/11/20 BCLY KRW 1,279,591,250 USD 1,100,355 2,069 0.00 19/10/20 BCLY EUR 138,302 USD 164,166 1,929 0.00 19/10/20 SSB USD 2,287,558 JPY 241,562,000 1,899 0.00 15/10/20 BCLY USD 520,000 RUB 40,544,868 1,846 0.00 03/11/20 JPM USD 3,100,000 CAD 4,142,832 1,836 0.00 12/11/20 UBS USD 617,920 CHF 568,194 1,226 0.00 19/10/20 DB EUR 103,460 USD 122,540 1,175 0.00 19/10/20 BOA USD 380,000 SGD 520,147 1,039 0.00 12/11/20 GS NZD 1,024,800 USD 678,379 996 0.00 19/10/20 DB USD 1,141,282 JPY 120,512,000 897 0.00 01/10/20 MSCI PHP 27,492,485 USD 567,980 890 0.00 02/11/20 JPM USD 350,000 CLP 276,342,500 824 0.00 19/10/20 BCLY USD 260,000 SGD 355,860 689 0.00 24/11/20 CITI USD 230,000 KRW 268,734,300 657 0.00 24/11/20 CITI USD 370,000 KRW 431,793,700 613 0.00 19/10/20 SSB USD 3,298,721 HKD 25,570,500 603 0.00 19/10/20 BOA USD 81,867 EUR 70,256 547 0.00 01/10/20 BCLY USD 320,000 PHP 15,538,560 515 0.00 01/10/20 BCLY PHP 15,538,560 USD 321,018 503 0.00 24/11/20 DB JPY 51,406,900 USD 487,846 429 0.00 19/10/20 MSCI USD 17,712 EUR 15,449 411 0.00 19/10/20 DB EUR 29,926 USD 35,491 386 0.00 26/10/20 CITI INR 30,227,045 USD 410,000 371 0.00 12/11/20 BCLY CHF 393,969 USD 429,644 346 0.00 19/10/20 BCLY SGD 627,475 USD 460,000 337 0.00 19/10/20 MSCI USD 25,975 EUR 22,338 229 0.00 19/10/20 DB EUR 75,293 USD 88,552 228 0.00 19/10/20 BCLY USD 440,000 IDR 6,566,868,000 193 0.00 06/10/20 MSCI TWD 60,526,120 USD 2,089,990 144 0.00 19/10/20 BNYM USD 677,602 HKD 5,252,600 134 0.00 30/10/20 DB USD 60,000 ZAR 1,006,137 117 0.00 27/10/20 JPM USD 1,665,911 EUR 1,420,000 112 0.00 19/10/20 BOA USD 29,233 EUR 25,000 94 0.00 19/10/20 MSCI EUR 7,653 USD 9,061 84 0.00 06/10/20 MSCI TWD 16,340,240 USD 564,235 39 0.00 06/10/20 JPM TWD 9,077,420 USD 313,447 22 0.00 06/10/20 JPM TWD 9,061,300 USD 312,890 22 0.00 01/10/20 MSCI USD 567,089 PHP 27,492,485 - 0.00 19/10/20 BOA USD 621 EUR 527 (3) (0.00) 12/11/20 SSB USD 7,953,708 GBP 6,151,019 (11) (0.00) 06/10/20 BCLY USD 353,239 TWD 10,229,800 (24) (0.00) 06/10/20 JPM USD 544,214 TWD 15,760,440 (38) (0.00) 06/10/20 BCLY USD 582,844 TWD 16,879,160 (40) (0.00) 19/10/20 SSB USD 15,253 EUR 12,955 (56) (0.00) The accompanying notes form an integral part of these audited financial statements.
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EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
FORWARD CURRENCY CONTRACTS (30 September 2019: (0.28)%) (CONTINUED) Net Unrealised Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 19/10/20 SSB EUR 15,449 USD 18,008 (115) (0.00) 03/11/20 MSCI PHP 27,492,485 USD 566,505 (117) (0.00) 06/10/20 JPM USD 1,800,265 TWD 52,135,680 (124) (0.00) 19/10/20 SSB USD 31,754 EUR 26,897 (203) (0.00) 01/10/20 BCLY USD 191,064 PHP 9,248,250 (300) (0.00) 09/11/20 GS JPY 35,904,714 USD 340,000 (374) (0.00) 19/10/20 BOA EUR 105,000 USD 122,779 (393) (0.00) 19/10/20 CITI SGD 492,137 USD 360,000 (519) (0.00) 15/10/20 BOA USD 460,000 THB 14,559,552 (545) (0.00) 10/11/20 SSB JPY 126,879,233 USD 1,202,273 (546) (0.00) 01/10/20 BCLY PHP 9,248,250 USD 190,000 (764) (0.00) 15/10/20 BCLY THB 14,602,746 USD 460,000 (818) (0.00) 27/10/20 DB USD 2,177,241 EUR 1,855,000 (852) (0.00) 19/10/20 MSCI SGD 642,800 USD 470,000 (889) (0.00) 19/10/20 DB USD 82,674 EUR 69,593 (1,037) (0.00) 19/10/20 BOA USD 122,531 EUR 103,552 (1,058) (0.00) 01/10/20 MSCI USD 697,934 PHP 33,782,795 (1,094) (0.00) 19/10/20 DB USD 103,351 EUR 87,145 (1,125) (0.00) 19/10/20 MSCI JPY 176,201,000 USD 1,668,829 (1,154) (0.00) 05/10/20 BCLY USD 146,589 NZD 220,000 (1,168) (0.00) 05/10/20 GS USD 601,822 CAD 801,921 (1,462) (0.00) 19/10/20 CITI HKD 99,114,200 USD 12,786,799 (1,763) (0.00) 09/11/20 MSCI JPY 425,000,000 USD 4,027,129 (1,840) (0.00) 15/10/20 BCLY THB 22,558,120 USD 710,000 (1,865) (0.00) 24/11/20 GS JPY 260,345,300 USD 2,466,510 (1,966) (0.00) 03/11/20 JPM COP 1,088,920,000 USD 280,000 (2,060) (0.00) 05/10/20 SSB USD 1,050,112 CAD 1,399,785 (2,159) (0.00) 12/11/20 SSB NZD 2,527,109 USD 1,668,113 (2,281) (0.00) 21/10/20 MSCI MXN 5,585,792 USD 250,000 (2,472) (0.00) 01/10/20 MSCI PHP 33,782,795 USD 694,362 (2,478) (0.00) 26/10/20 CITI USD 470,000 INR 34,475,487 (2,797) (0.00) 06/10/20 BCLY TWD 16,879,160 USD 580,000 (2,804) (0.00) 15/10/20 JPM USD 295,293 THB 9,265,410 (2,905) (0.00) 06/10/20 BCLY TWD 10,229,800 USD 350,000 (3,215) (0.00) 30/10/20 BOA USD 420,000 ILS 1,424,653 (3,346) (0.00) 19/10/20 DB CZK 11,094,790 USD 476,481 (3,840) (0.00) 14/10/20 DB CHF 1,050,614 USD 1,140,000 (3,908) (0.00) 27/10/20 BOA USD 367,627 EUR 310,000 (3,918) (0.00) 06/10/20 JPM TWD 15,760,440 USD 540,000 (4,177) (0.00) 14/10/20 DB CHF 1,096,838 USD 1,190,000 (4,237) (0.00) 12/11/20 SSB USD 2,302,727 CHF 2,109,317 (4,262) (0.00) 19/10/20 JPM USD 1,147,435 IDR 17,053,171,600 (4,320) (0.00) 19/10/20 MSCI JPY 70,073,000 USD 659,403 (4,730) (0.00) 08/02/21 DB AUD 1,620,000 USD 1,156,490 (5,044) (0.00) 30/10/20 DB ILS 1,761,210 USD 510,000 (5,084) (0.00) 23/11/20 SSB HKD 77,016,300 USD 9,930,648 (5,142) (0.00) 19/10/20 MSCI JPY 91,686,500 USD 863,660 (5,319) (0.00) 06/10/20 JPM TWD 52,135,680 USD 1,794,688 (5,453) (0.00) 19/10/20 MSCI JPY 125,523,400 USD 1,183,973 (5,703) (0.00) The accompanying notes form an integral part of these audited financial statements.
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EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
FORWARD CURRENCY CONTRACTS (30 September 2019: (0.28)%) (CONTINUED) Net Unrealised Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 19/10/20 DB JPY 173,530,200 USD 1,638,631 (6,040) (0.00) 27/10/20 JPM USD 3,654,998 EUR 3,110,000 (6,174) (0.00) 03/11/20 MSCI USD 180,000 COP 669,780,000 (6,509) (0.00) 05/10/20 JPM NZD 3,775,000 USD 2,488,016 (7,275) (0.00) 30/10/20 BOA ZAR 7,492,338 USD 440,000 (7,667) (0.00) 30/10/20 BOA ILS 1,463,332 USD 420,000 (7,966) (0.00) 19/10/20 MSCI JPY 156,559,200 USD 1,475,314 (8,510) (0.00) 15/10/20 BCLY USD 340,000 RUB 25,733,614 (8,787) (0.00) 02/11/20 JPM USD 380,165 CLP 292,441,700 (8,902) (0.00) 06/10/20 JPM AUD 2,110,000 USD 1,503,294 (9,061) (0.00) 05/10/20 JPM NZD 3,180,000 USD 2,092,658 (9,337) (0.00) 15/10/20 BCLY USD 570,000 THB 17,759,718 (9,558) (0.00) 10/12/20 SSB USD 2,422,872 JPY 254,451,358 (9,599) (0.00) 19/10/20 SSB USD 2,302,631 EUR 1,954,500 (9,881) (0.00) 05/10/20 SSB USD 1,516,736 CAD 2,011,675 (10,690) (0.00) 05/02/21 JPM NZD 3,790,000 USD 2,493,804 (11,095) (0.00) 15/10/20 BOA USD 650,000 THB 20,237,035 (11,381) (0.00) 14/10/20 BOA USD 1,140,000 CHF 1,036,448 (11,516) (0.00) 20/10/20 JPM NOK 12,273,529 USD 1,300,000 (11,772) (0.00) 30/10/20 DB ZAR 7,574,802 USD 440,000 (12,595) (0.00) 14/10/20 JPM USD 1,780,000 CHF 1,623,153 (12,713) (0.00) 19/10/20 MSCI USD 432,606 NOK 3,927,200 (12,875) (0.00) 30/10/20 JPM USD 3,017,990 ZAR 50,292,083 (13,037) (0.00) 19/10/20 BOA USD 3,181,272 EUR 2,700,000 (14,005) (0.00) 02/11/20 MSCI USD 740,000 CLP 571,095,000 (14,980) (0.00) 06/10/20 JPM AUD 3,480,000 USD 2,479,291 (15,019) (0.00) 02/11/20 MSCI USD 690,000 CLP 531,024,000 (15,851) (0.00) 14/10/20 MSCI USD 280,000 HUF 81,818,688 (15,868) (0.00) 19/10/20 BOA USD 360,000 CZK 7,941,625 (16,187) (0.00) 19/10/20 BOA JPY 325,652,200 USD 3,069,541 (16,899) (0.00) 15/10/20 BCLY USD 370,000 RUB 27,419,220 (17,092) (0.00) 02/11/20 MSCI USD 560,000 CLP 427,280,000 (17,557) (0.00) 19/10/20 BCLY GBP 631,071 USD 797,396 (18,522) (0.00) 14/10/20 CITI USD 330,000 HUF 96,167,379 (19,547) (0.00) 21/10/20 JPM USD 500,000 MXN 10,628,308 (19,611) (0.00) 14/10/20 BCLY USD 340,000 HUF 99,008,340 (20,375) (0.00) 09/11/20 CITI USD 1,820,000 JPY 189,822,087 (20,500) (0.00) 05/10/20 JPM NZD 3,920,000 USD 2,570,500 (20,637) (0.00) 02/11/20 JPM USD 790,000 CLP 605,930,000 (20,756) (0.00) 15/10/20 CITI USD 390,000 RUB 28,633,371 (21,465) (0.00) 19/10/20 MSCI USD 2,267,203 EUR 1,913,700 (22,315) (0.00) 19/10/20 JPM USD 7,001,856 EUR 5,949,300 (22,957) (0.00) 19/10/20 DB JPY 318,993,200 USD 3,000,041 (23,287) (0.00) 19/10/20 BOA USD 510,000 CZK 11,226,431 (23,980) (0.00) 26/10/20 BCLY INR 86,498,886 USD 1,147,839 (24,372) (0.00) 19/10/20 MSCI AUD 23,421,300 USD 16,763,388 (24,449) (0.00) 14/10/20 JPM USD 7,161,580 GBP 5,520,000 (24,909) (0.00) 19/10/20 MSCI EUR 953,888 USD 1,093,603 (25,367) (0.00) 14/10/20 CITI USD 520,000 HUF 153,154,404 (25,578) (0.00) The accompanying notes form an integral part of these audited financial statements.
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EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
FORWARD CURRENCY CONTRACTS (30 September 2019: (0.28)%) (CONTINUED) Net Unrealised Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 19/10/20 BOA USD 757,875 NOK 6,851,300 (25,622) (0.00) 19/10/20 DB USD 1,469,198 AUD 2,013,300 (26,112) (0.00) 14/10/20 JPM USD 2,220,000 CHF 2,013,974 (27,186) (0.00) 14/10/20 MSCI HUF 727,470,892 USD 2,320,629 (27,836) (0.00) 12/11/20 SSB USD 1,313,480 AUD 1,793,122 (28,141) (0.00) 30/10/20 JPM USD 2,064,195 ILS 6,954,171 (30,378) (0.00) 15/10/20 BCLY USD 820,000 RUB 61,232,024 (31,893) (0.00) 24/11/20 DB JPY 674,000,000 USD 6,357,645 (32,918) (0.00) 19/10/20 BOA JPY 423,825,300 USD 3,983,706 (33,191) (0.00) 14/10/20 DB EUR 4,693,500 USD 5,471,851 (33,349) (0.00) 19/10/20 DB JPY 946,154,300 USD 8,933,831 (33,555) (0.00) 15/10/20 CITI USD 700,000 RUB 51,718,289 (34,343) (0.00) 14/10/20 JPM USD 3,380,000 CHF 3,072,690 (34,458) (0.00) 03/11/20 JPM USD 2,550,000 CAD 3,358,308 (35,556) (0.00) 27/10/20 JPM USD 3,110,399 EUR 2,620,000 (36,469) (0.00) 06/10/20 JPM USD 2,296,458 AUD 3,150,000 (38,679) (0.00) 03/11/20 JPM USD 9,330,000 CAD 12,408,799 (39,241) (0.00) 14/10/20 DB SEK 30,213,900 USD 3,336,882 (39,378) (0.00) 27/10/20 JPM USD 4,147,339 EUR 3,500,000 (40,945) (0.00) 07/12/20 DB JPY 850,000,000 USD 8,019,072 (41,939) (0.00) 19/10/20 DB JPY 362,074,000 USD 3,389,501 (42,135) (0.00) 23/11/20 BCLY GBP 10,874,800 USD 14,017,209 (45,383) (0.00) 19/10/20 SSB USD 4,123,178 GBP 3,153,700 (45,726) (0.00) 19/10/20 BOA USD 1,832,188 NOK 16,705,200 (46,770) (0.00) 19/10/20 DB JPY 948,185,100 USD 8,938,885 (47,748) (0.00) 23/11/20 CITI GBP 10,874,800 USD 14,014,105 (48,488) (0.00) 19/10/20 MSCI JPY 1,089,011,400 USD 10,271,789 (49,556) (0.00) 27/10/20 MSCI USD 3,069,478 EUR 2,570,000 (54,212) (0.00) 19/10/20 BNYM USD 7,733,741 EUR 6,544,800 (56,285) (0.00) 14/12/20 SSB JPY 1,100,000,000 USD 10,373,836 (59,803) (0.00) 19/10/20 SSB USD 4,866,108 AUD 6,695,500 (66,931) (0.00) 19/10/20 MSCI EUR 2,583,685 USD 2,962,115 (68,708) (0.00) 06/10/20 MSCI AUD 19,802,950 USD 14,106,473 (87,401) (0.00) 16/11/20 CITI USD 3,057,884 PLN 11,466,055 (91,987) (0.00) 19/10/20 JPM USD 11,387,763 EUR 9,628,900 (92,465) (0.00) 12/11/20 JPM GBP 6,151,019 USD 7,855,928 (97,769) (0.00) 14/10/20 MSCI USD 1,793,921 NOK 15,863,200 (98,506) (0.00) 14/10/20 JPM USD 3,151,891 GBP 2,360,000 (100,706) (0.00) 14/10/20 JPM USD 5,104,578 GBP 3,870,000 (101,151) (0.00) 05/10/20 JPM USD 6,360,000 SEK 55,859,329 (118,555) (0.01) 04/11/20 MSCI USD 2,125,345 BRL 10,922,358 (188,794) (0.01) 19/10/20 MSCI GBP 11,334,500 USD 14,453,258 (201,237) (0.01) 14/10/20 MSCI USD 31,068,478 CHF 28,336,627 (215,579) (0.01) 19/10/20 BCLY USD 31,251,811 NOK 290,134,000 (242,878) (0.02) 19/10/20 MSCI JPY 2,744,836,700 USD 25,763,520 (251,273) (0.02) 19/10/20 MSCI JPY 2,744,836,700 USD 25,759,173 (255,620) (0.02) 14/10/20 JPM GBP 34,997,600 USD 44,980,739 (266,789) (0.02) 03/11/20 MSCI USD 20,476,021 CAD 26,809,869 (402,843) (0.03) 05/10/20 JPM USD 20,992,005 SEK 182,672,427 (581,091) (0.04) The accompanying notes form an integral part of these audited financial statements.
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EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
FORWARD CURRENCY CONTRACTS (30 September 2019: (0.28)%) (CONTINUED) Net Unrealised Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 16/11/20 SSB USD 59,121,156 EUR 49,790,195 (680,592) (0.04) 14/10/20 SSB USD 171,311,683 EUR 145,151,801 (1,057,142) (0.06) 14/10/20 SSB USD 32,922,893 NOK 295,140,800 (1,379,054) (0.08) 14/10/20 SSB USD 66,453,129 SEK 578,190,400 (1,843,089) (0.10) 14/10/20 MSCI USD 242,124,919 GBP 185,837,236 (1,860,572) (0.10) 14/10/20 JPM USD 242,455,710 GBP 185,837,237 (2,191,362) (0.11) 14/10/20 GS USD 242,552,903 GBP 185,837,237 (2,288,554) (0.12) Total Forward Currency Contracts (Gain) 28,437,311 1.35 Total Forward Currency Contracts (Loss) (16,856,885) (0.80) TOTAL FORWARD CURRENCY CONTRACTS (NET) 11,580,426 0.55
FUTURES CONTRACTS (30 September 2019: 0.06%)
Net Unrealized Appreciation % of Net Number of Notional (Depreciation) Asset Contracts + Type * Expiration Date Amount ($) US$ Value Buys 40 CAC40 10 Euro Futures October 20 2,251,958 (87) (0.00) 62 Hang Seng Index Futures October 20 9,372,000 27,234 0.00 860 MSCI Emerging Markets Futures December 20 46,805,500 (267,295) (0.01) 44 S&P 60 Index Futures December 20 6,334,419 (24,173) (0.00) 8 U.S. (CBT) Note 2 yr. December 20 1,767,688 1,125 0.00 13 U.S. (CBT) Note 5 yr. December 20 1,638,406 2,224 0.00 15 U.S. (CBT) Note 10 yr. December 20 2,092,969 1,388 0.00 Total Buys 70,262,939 (259,584) (0.01)
Sales (51) Canadian Treasury Bond 10 yr. December 20 (5,796,227) (12,551) (0.00) (1,390) E-mini Russell 2000 Index Futures December 20 (104,555,800) (621,098) (0.03) (4,709) EURO STOXX 50 Index Future December 20 (176,373,039) 6,384,517 0.31 (57) Euro-Bund Future December 20 (11,665,105) 722 0.00 (711) FTSE 100 Index Futures December 20 (53,693,936) 1,557,128 0.07 (99) FTSE Top 40 Index Futures December 20 (2,990,299) 118,940 0.01 (115) Hang Seng Index Futures October 20 (17,383,548) 177,417 0.01 (2) Japan (OSE) Treasury Bond 10 yr. December 20 (2,882,782) (4,384) (0.00) (1,286) S&P 500 E-mini Futures December 20 (215,533,600) (2,012,130) (0.10) (34) SGX Nifty Futures October 20 (765,272) 3,806 0.00 (292) SPI 200 Futures December 20 (30,357,651) 497,962 0.02 (1,188) Topix Index Futures December 20 (182,990,050) (2,111,978) (0.10) (1) U.S. (CBT) Long Bond December 20 (176,281) 69 0.00
The accompanying notes form an integral part of these audited financial statements.
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EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
FUTURES CONTRACTS (30 September 2019: 0.06%) (continued)
Net Unrealized Appreciation % of Net Number of Notional (Depreciation) Asset Contracts + Type * Expiration Date Amount ($) US$ Value Sales (continued) (7) U.S. (CBT) Note 5 yr. December 20 (882,219) (1,270) (0.00) (3) U.S. (CBT) Ultra Bond December 20 (665,438) 759 0.00 (5) U.S. Ultra Bond 10 yr. December 20 (799,609) (781) (0.00) (24) United Kingdom Long Gilt Futures December 20 (4,223,111) 203 0.00 Total Sales (811,733,967) 3,977,331 0.19
Total Futures Contracts (Gain) 8,773,494 0.42 Total Futures Contracts (Loss) (5,055,747) (0.24) TOTAL FUTURES CONTRACTS (NET) 3,717,747 0.18
+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.
* The clearing brokers for the futures contracts are Morgan Stanley & Co. LLC, UBS Securities LLC and J.P. Morgan Securities LLC.
OPTIONS WRITTEN
Credit Default Swaptions (30 September 2019: (0.00)%)
% of Net Notional Value Asset Currency Amount Description Counterparty US$ Value Credit Default Swaptions - Puts USD Swaption Put, Expires 18/11/20, Strike 1.00% upon potencial exercise of the option, the Fund will enter into swap with the notional value of USD 1,572,000, in which it will receive CDX.NA.HY.34 and USD (1,572,000) pay a rate of 1.00% every 3 months, maturing 20/06/25 DB (14,308) (0.00) EUR Swaption Put, Expires 16/12/20, Strike 5.00% upon potential exercise of the option, the Fund will enter into swap with the notional value of USD 1,836,000, in which it will receive iTraxx Europe Crossover Series 33 and pay a rate of 1.00% every 3 months, maturing EUR (1,836,000) 20/06/25 DB (17,846) (0.00) TOTAL (32,154) (0.00)
Equity Options (30 September 2019: (0.07)%)
% of Net Number of Value Asset Description Exercise Price Expiration Date Contracts Counterparty US$ Value Equity Options - Calls FirstEnergy Corp. 32.00 15/01/21 (805) MSLC (88,550) (0.00) TOTAL (88,550) (0.00)
Equity Options - Puts FirstEnergy Corp. 27.00 15/01/21 (805) MSLC (148,925) (0.01) TOTAL (148,925) (0.01)
TOTAL OPTIONS WRITTEN (269,629) (0.01) The accompanying notes form an integral part of these audited financial statements.
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EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
SWAP CONTRACTS
Centrally Cleared Credit Default Swaps (30 September 2019: (0.02)%)
Maximum Potential Amount of Future Payments by the % of Net Notional Annual Fund Under the Expiration Value Asset Reference Entity Counterparty Amount Premium Contract (1) Date US$ Value Buy Protection^: CDX.NA.HY.27 JPMF USD 1,964,180 5.00% N/A 20/12/21 (67,644) (0.00) CDX.NA.HY.34 JPMF USD 1,446,240 5.00% N/A 20/06/25 (73,090) (0.00) iTraxx Europe Series 32 JPMF EUR 5,530,000 1.00% N/A 20/12/24 (112,684) (0.01) CDX.NA.HY.29 JPMF USD 3,834,525 5.00% N/A 20/12/22 (160,260) (0.01) iTraxx Europe Crossover Series 30 JPMF EUR 4,188,785 5.00% N/A 20/12/23 (224,036) (0.01)
Sell Protection^: CDX.NA.HY.35 JPMF USD 6,179,000 5.00% USD 6,179,000 20/12/25 261,761 0.01 CDX.NA.HY.33 JPMF USD 369,350 5.00% USD 369,350 20/12/24 19,483 0.00 CDX.NA.IG.28 JPMF USD 2,800,000 1.00% USD 2,800,000 20/06/22 8,878 0.00 Total Centrally Cleared Credit Default Swaps (Gain) 290,122 0.01 Total Centrally Cleared Credit Default Swaps (Loss) (637,714) (0.03) TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAPS (NET) (347,592) (0.02)
Premiums Paid (Received) (764,102)
OTC Credit Default Swaps (30 September 2019: 0.18%)
% of Maximum Potential Amount Net Notional Annual of Future Payments by the Expiration Value Asset Reference Entity Counterparty Amount Premium Fund Under the Contract (1) Date US$ Value Buy Protection^: CMBX.NA.BBB- GS USD 1,111,000 3.00% N/A 17/10/57 312,384 0.01 CMBX.NA.BBB- CITI USD 726,000 3.00% N/A 11/05/63 242,086 0.01 CMBX.NA.BBB- MORD USD 883,200 3.00% N/A 17/09/58 232,043 0.01 CMBX.NA.BBB- GS USD 776,000 3.00% N/A 17/10/57 218,191 0.01 CMBX.NA.BBB- DB USD 737,000 3.00% N/A 17/09/58 193,632 0.01 CMBX.NA.BBB- GS USD 873,000 3.00% N/A 16/12/72 173,758 0.01 iTraxx Europe Series 32 BOA EUR 2,000,000 1.00% N/A 20/12/24 152,116 0.01 CMBX.NA.BBB- CITI USD 574,800 3.00% N/A 17/09/58 151,017 0.01 CMBX.NA.BBB- MORD USD 415,000 3.00% N/A 17/09/58 109,033 0.01 CDX.NA.HY.29 JPM USD 1,074,750 5.00% N/A 20/12/22 74,601 0.00 CMBX.NA.A CITI USD 490,000 2.00% N/A 11/05/63 62,580 0.00 CDX.NA.HY.29 MORD USD 549,200 5.00% N/A 20/12/22 38,121 0.00 CMBX.NA.A CITI USD 250,000 2.00% N/A 17/01/47 26,890 0.00 CMBX.NA.AA CSI USD 1,108,000 1.50% N/A 17/10/57 25,566 0.00 CDX.NA.HY.29 JPM USD 220,000 5.00% N/A 20/12/22 15,271 0.00 CMBX.NA.AS MORD USD 1,616,000 1.00% N/A 17/10/57 15,151 0.00 CMBX.NA.AS CITI USD 1,108,000 1.00% N/A 17/10/57 10,389 0.00 CDX.NA.HY.27 GS USD 742,000 5.00% N/A 20/12/21 6,560 0.00 CDX.NA.HY.27 JPM USD 700,000 5.00% N/A 20/12/21 6,189 0.00 Haliburton Co. BOA USD 350,000 1.00% N/A 20/12/24 2,500 0.00 CMBX.NA.AS BOA USD 495,000 1.00% N/A 17/01/47 (189) (0.00)
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
SWAP CONTRACTS (CONTINUED)
OTC Credit Default Swaps (30 September 2019: 0.18%) (continued)
% of Maximum Potential Amount Net Notional Annual of Future Payments by the Expiration Value Asset Reference Entity Counterparty Amount Premium Fund Under the Contract (1) Date US$ Value Buy Protection^ (continued): CMBX.NA.AS GS USD 600,000 1.00% N/A 17/01/47 (230) (0.00) CMBX.NA.AS DB USD 1,395,600 1.00% N/A 17/01/47 (534) (0.00) CMBX.NA.AS MORD USD 1,730,000 1.00% N/A 17/01/47 (662) (0.00) CMBX.NA.AS DB USD 2,017,206 1.00% N/A 17/01/47 (772) (0.00) CDX.NA.IG.25 BOA USD 600,000 1.00% N/A 20/12/20 (1,530) (0.00) CDX.NA.IG.25 CITI USD 700,000 1.00% N/A 20/12/20 (1,785) (0.00) CMBX.NA.AAA CITI USD 920,800 0.50% N/A 17/11/59 (5,988) (0.00) Tenet Healthcare Corp. JPM USD 175,000 5.00% N/A 20/12/24 (6,050) (0.00) Navient Corp. BCLY USD 247,200 5.00% N/A 20/12/22 (7,997) (0.00) Tenet Healthcare Corp. JPM USD 350,000 5.00% N/A 20/12/24 (12,099) (0.00) Navient Corp. BCLY USD 564,800 5.00% N/A 20/12/22 (18,271) (0.00) Navient Corp. GS USD 800,000 5.00% N/A 20/12/22 (25,880) (0.00) Navient Corp. GS USD 800,000 5.00% N/A 20/12/22 (25,880) (0.00) D.R. Horton Inc. BCLY USD 2,800,000 1.00% N/A 20/06/22 (42,168) (0.00) HCA Inc. BCLY USD 350,000 5.00% N/A 20/12/24 (53,576) (0.00) United Rentals North CSI USD 350,000 5.00% America Inc. N/A 20/12/24 (58,910) (0.00) United Rentals North JPM USD 350,000 5.00% America Inc. N/A 20/12/24 (58,910) (0.00)
Sell Protection^: CDX.NA.HY.33 GS USD 4,339,448 5.00% USD 4,339,448 20/12/24 732,135 0.04 CDX.NA.HY.31 JPM USD 3,367,333 5.00% USD 3,367,333 20/12/23 469,504 0.03 iTraxx Europe Series 32 GS EUR 11,060,000 1.00% EUR 11,060,000 20/12/24 429,689 0.03 CDX.NA.HY.33 GS USD 1,673,635 5.00% USD 1,673,635 20/12/24 282,416 0.01 CDX.NA.HY.33 GS USD 1,146,206 5.00% USD 1,146,206 20/12/24 193,383 0.01 CDX.NA.HY.33 CITI USD 727,028 5.00% USD 727,028 20/12/24 122,661 0.01 CDX.NA.HY.27 JPM USD 1,457,000 5.00% USD 1,457,000 20/12/21 75,782 0.00 CDX.NA.HY.27 BOA USD 1,455,000 5.00% USD 1,455,000 20/12/21 75,678 0.00 CDX.NA.HY.29 CITI USD 1,005,900 5.00% USD 1,005,900 20/12/22 72,833 0.00 CDX.NA.HY.27 JPM USD 1,400,000 5.00% USD 1,400,000 20/12/21 72,817 0.00 CDX.NA.HY.29 BOA USD 884,400 5.00% USD 884,400 20/12/22 64,036 0.00 CDX.NA.HY.29 MORD USD 736,000 5.00% USD 736,000 20/12/22 53,291 0.00 CDX.NA.HY.27 GS USD 285,000 5.00% USD 285,000 20/12/21 14,824 0.00 CDX.NA.HY.27 JPM USD 18,000 5.00% USD 18,000 20/12/21 936 0.00 iTraxx Europe Series 32 BOA EUR 5,000,000 1.00% EUR 5,000,000 20/12/24 (14,528) (0.00) iTraxx Europe Crossover JPM EUR 45,989 5.00% EUR Series 30 45,989 20/12/23 (42,242) (0.00) CMBX.NA.A GS USD 1,177,600 2.00% USD 1,177,600 17/09/58 (99,600) (0.01) iTraxx Europe Crossover JPM EUR 189,088 5.00% EUR Series 30 189,088 20/12/23 (173,684) (0.02) Total OTC Credit Default Swaps (Gain) 4,728,063 0.22 Total OTC Credit Default Swaps (Loss) (651,485) (0.03) TOTAL OTC CREDIT DEFAULT SWAPS (NET) 4,076,578 0.19
Premiums Paid (Received) 4,653,058 The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
SWAP CONTRACTS (CONTINUED)
^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(1) 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 (30 September 2019: (0.05)%) Periodic % of Net Notional Expiration Payment Value Asset Fund Pays Fund Receives Amount Date Frequency Counterparty US$ Value 6 Month AUD BBSW 0.85% AUD 40,380,000 16/12/30 Semi-Annually JPMF 179,125 0.02 6 Month CHF LIBOR (0.30%) CHF 43,240,000 16/12/30 Semi-Annually JPMF 148,556 0.02 3 Month SEK STIBOR 0.34% SEK 353,440,000 16/12/30 Quarterly JPMF 79,865 0.00 0.71% 3 Month USD LIBOR USD 25,910,000 18/12/30 Quarterly JPMF 47,481 0.00 6 Month CHF LIBOR (0.26%) CHF 4,210,000 16/12/30 Semi-Annually JPMF 35,751 0.00 0.70% 3 Month USD LIBOR USD 11,190,000 18/12/30 Quarterly JPMF 31,520 0.00 3 Month NZD NFIX 0.56% NZD 14,010,000 16/12/30 Quarterly JPMF 30,781 0.00 3 Month NZD NFIX 0.55% NZD 15,530,000 16/12/30 Quarterly JPMF 28,018 0.00 3 Month NZD NFIX 0.60% NZD 4,890,000 16/12/30 Quarterly JPMF 23,554 0.00 (0.06%) 3 Month SEK STIBOR SEK 867,130,000 16/12/22 Quarterly JPMF 23,494 0.00 0.01% 3 Month NZD NFIX NZD 91,580,000 16/12/22 Quarterly JPMF 20,354 0.00 0.37% 6 Month GBP LIBOR GBP 2,700,000 18/12/30 Semi-Annually JPMF 13,786 0.00 1.05% 3 Month CAD LIBOR CAD 4,770,000 16/12/30 Semi-Annually JPMF 11,279 0.00 3 Month USD LIBOR 0.23% USD 54,755,000 21/12/22 Quarterly JPMF 9,305 0.00 0.00% 3 Month NZD NFIX NZD 26,140,000 16/12/22 Quarterly JPMF 9,266 0.00 3 Month AUD BBSW 0.15% AUD 17,486,000 16/12/22 Quarterly JPMF 8,713 0.00 0.76% 6 Month AUD BBSW AUD 6,160,000 16/12/30 Semi-Annually JPMF 8,552 0.00 6 Month EUR LIBOR (0.20%) EUR 4,170,000 18/12/30 Semi-Annually JPMF 8,033 0.00 1.06% 3 Month CAD LIBOR CAD 4,770,000 16/12/30 Quarterly JPMF 7,994 0.00 0.01% 3 Month NZD NFIX NZD 38,700,000 16/12/22 Quarterly JPMF 7,578 0.00 1.08% 3 Month CAD LIBOR CAD 6,800,000 16/12/30 Semi-Annually JPMF 5,232 0.00 1.08% 3 Month CAD LIBOR CAD 7,150,000 16/12/30 Semi-Annually JPMF 4,465 0.00 3 Month CAD LIBOR 1.09% CAD 11,090,000 16/12/30 Semi-Annually JPMF 3,529 0.00 0.02% 3 Month NZD NFIX NZD 23,920,000 16/12/22 Quarterly JPMF 2,154 0.00 6 Month EUR LIBOR (0.48%) EUR 11,680,000 21/12/22 Semi-Annually JPMF 1,636 0.00
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
SWAP CONTRACTS (CONTINUED)
Centrally Cleared Interest Rate Swaps (30 September 2019: (0.05)%) (continued) Periodic % of Net Notional Expiration Payment Value Asset Fund Pays Fund Receives Amount Date Frequency Counterparty US$ Value 0.32% 3 Month USD LIBOR USD 950,000 04/09/25 Quarterly JPMF 936 0.00 0.56% 3 Month CAD LIBOR CAD 30,460,000 19/12/22 Semi-Annually JPMF 578 0.00 6 Month CHF LIBOR (0.72%) CHF 12,640,000 16/12/22 Semi-Annually JPMF 28 0.00 (0.21%) 6 Month EUR LIBOR EUR 3,110,000 18/12/30 Semi-Annually JPMF (915) (0.00) (0.21%) 6 Month EUR LIBOR EUR 3,110,000 18/12/30 Semi-Annually JPMF (2,231) (0.00) (0.32%) 6 Month CHF LIBOR CHF 2,460,000 16/12/30 Semi-Annually JPMF (2,923) (0.00) 3 Month CAD LIBOR 0.55% CAD 22,820,000 19/12/22 Semi-Annually JPMF (3,176) (0.00) 3 Month NZD NFIX 0.52% NZD 7,910,000 16/12/30 Quarterly JPMF (3,343) (0.00) 3 Month SEK STIBOR (0.06%) SEK 148,500,000 16/12/22 Quarterly JPMF (3,359) (0.00) 0.33% 3 Month SEK STIBOR SEK 29,800,000 16/12/30 Quarterly JPMF (3,423) (0.00) 3 Month AUD BBSW 0.10% AUD 29,700,000 16/12/22 Quarterly JPMF (6,465) (0.00) (0.18%) 6 Month EUR LIBOR EUR 2,330,000 18/12/30 Semi-Annually JPMF (11,108) (0.00) 0.43% 6 Month GBP LIBOR GBP 6,260,000 18/12/30 Semi-Annually JPMF (13,675) (0.00) 6 Month GBP LIBOR 0.08% GBP 87,650,000 21/12/22 Semi-Annually JPMF (14,785) (0.00) 3 Month USD LIBOR 0.71% USD 10,330,000 18/12/30 Quarterly JPMF (18,422) (0.00) (0.67%) 6 Month CHF LIBOR CHF 21,400,000 16/12/22 Semi-Annually JPMF (19,403) (0.00) 3 Month NZD NFIX 0.50% NZD 10,020,000 16/12/30 Quarterly JPMF (20,641) (0.00) 0.87% 6 Month AUD BBSW AUD 3,640,000 16/12/30 Semi-Annually JPMF (22,533) (0.00) 0.85% 6 Month AUD BBSW AUD 4,920,000 16/12/30 Semi-Annually JPMF (23,551) (0.00) (0.21%) 6 Month EUR LIBOR EUR 28,080,000 18/12/30 Semi-Annually JPMF (32,025) (0.00) 3 Month CAD LIBOR 1.06% CAD 17,830,000 16/12/30 Semi-Annually JPMF (33,111) (0.00) 6 Month GBP LIBOR 0.35% GBP 7,930,000 18/12/30 Semi-Annually JPMF (61,468) (0.00) 1.76% 3 Month USD LIBOR USD 1,700,000 10/11/22 Quarterly JPMF (66,271) (0.00) 3 Month CAD LIBOR 1.05% CAD 27,880,000 16/12/30 Semi-Annually JPMF (68,756) (0.00) 0.45% 6 Month GBP LIBOR GBP 17,850,000 18/12/30 Semi-Annually JPMF (85,059) (0.00) 3 Month CAD LIBOR 1.05% CAD 37,310,000 16/12/30 Semi-Annually JPMF (105,808) (0.01) 1.30% 3 Month USD LIBOR USD 1,734,000 19/12/29 Quarterly JPMF (107,765) (0.01) 1.95% 3 Month USD LIBOR USD 1,000,000 30/07/28 Quarterly JPMF (110,909) (0.01) 0.59% 3 Month NZD NFIX NZD 29,620,000 16/12/30 Quarterly JPMF (115,516) (0.01) 1.94% 3 Month USD LIBOR USD 1,099,000 04/06/28 Quarterly JPMF (123,385) (0.01) (0.18%) 6 Month EUR LIBOR EUR 52,610,000 18/12/30 Semi-Annually JPMF (219,002) (0.01)
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
SWAP CONTRACTS (CONTINUED)
Centrally Cleared Interest Rate Swaps (30 September 2019: (0.05)%) (continued) Periodic % of Net Notional Expiratio Payment Value Asset Fund Pays Fund Receives Amount n Date Frequency Counterparty US$ Value 1.41% 3 Month USD LIBOR USD 6,153,000 20/08/24 Quarterly JPMF (278,845) (0.02) Total Centrally Cleared Interest Rate Swaps (Gain) 751,563 0.04 Total Centrally Cleared Interest Rate Swaps (Loss) (1,577,873) (0.08) TOTAL CENTRALLY CLEARED INTEREST RATE SWAPS (NET) (826,310) (0.04)
Premiums Paid (Received) (5,238)
OTC Total Return Swaps (30 September 2019: 0.05%)
% of Net Notional Expiration Value Asset Fund Pays Fund Receives Amount DateCounterparty US$ Value 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.53)% USD 9,961,951 20/06/22 MORD 505,879 0.02 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.99)% USD 11,069,019 20/06/22 MORD 372,658 0.02 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (1.75)% USD 2,787,539 20/06/22 MORD 248,518 0.01 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.40)% USD 56,156,846 20/06/22 MORD 218,207 0.01 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.40)% USD 6,237,116 20/06/22 MORD 176,348 0.01 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (1.00)% USD 2,663,595 20/06/22 MORD 119,704 0.01 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (1.13)% USD 849,749 20/06/22 MORD 114,152 0.01 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.40)% USD 2,677,552 20/06/22 MORD 68,377 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (1.69)% USD 925,546 20/06/22 MORD 51,750 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.40)% USD 680,794 20/06/22 MORD 29,142 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.75)% USD 231,143 20/06/22 MORD 26,506 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.40)% USD 417,145 20/06/22 MORD 21,236 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (2.05)% USD 168,796 20/06/22 MORD 4,179 0.00 3 Month USD LIBOR IBOX.HY USD 1,800,000 20/12/20 BCLY 3,865 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.40)% USD 56,822 20/06/22 MORD 2,481 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.40)% USD 29,406 20/06/22 MORD 608 0.00 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (0.75)% USD 27,231 20/06/22 MORD 607 0.00 3 Month USD LIBOR IBOX.HY USD 1,599,998 20/12/20 MORD (9,386) (0.00) 15.00% BCOM USD 2,897,838 20/08/21 MORD (12,587) (0.00) 1 Month US Federal Fund Effective Rate Total Return on Equity Basket plus a spread of (1.48)% USD 4,896,918 20/06/22 MORD (44,169) (0.00)
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
SWAP CONTRACTS (CONTINUED)
OTC Total Return Swaps (30 September 2019: 0.05%)
% of Net Notional Expiration Value Asset Fund Pays Fund Receives Amount DateCounterparty US$ Value 3 Month USD LIBOR IBOX.HY USD 13,039,999 20/12/20 JPM (91,008) (0.00) 1 Month USD LIBOR CSI 500 USD 3,467,447 07/12/20 GS (124,972) (0.01) Total OTC Total Return Swaps (Gain) 1,964,217 0.09 Total OTC Total Return Swaps (Loss) (282,122) (0.01) TOTAL OTC TOTAL RETURN SWAPS (NET) 1,682,095 0.08
Premiums Paid (Received) (3,555)
TOTAL SWAP CONTRACTS 4,584,771 0.21
TOTAL EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS 19,613,315 0.93
As at 30 September 2020, 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.
% of Net Value Asset US$ Value Total financial assets at fair value through profit or loss 2,112,428,812 100.47 Total financial liabilities at fair value through profit or loss (25,331,455) (1.20) Cash at bank 10,158,882 0.48 Other assets in excess of liabilities 5,138,366 0.25 Net assets attributable to holders of redeemable participating shares 2,102,394,605 100.00
% of Total Asset Analysis of Total Assets (unaudited) Value Transferable securities listed on an official stock exchange unless otherwise noted 65.48 Transferable securities traded on a regulated market unless otherwise noted 28.30 Collective investment schemes 2.79 Financial derivative instruments traded on a regulated market 0.46 Over-the-counter financial derivative instruments 1.64 98.67
† Denominated in U.S. Dollar, unless otherwise indicated.
(a) Security has been fair valued at probable realisation value determined with care and in good faith by the Administrator (the Administrator being approved by the Depositary as a competent person for such purpose) in consultation with the Investment Manager. (b) Security valued using a single source price. (c) 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. (d) Not traded on a regulated market.
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement of Investments, if any, please refer to page 129.
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND STATEMENT OF INVESTMENTS AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED
Equities
Brazil (30 September 2019: 5.62%) 197,000 Atacadao Distribuicao Comercio e Industria Ltd. 716,148 0.44 61,300 Azul SA - Preferred Shares 265,148 0.16 72,800 B3 SA - Brasil Bolsa Balcao 710,505 0.44 176,800 Banco Bradesco SA - Preferred Shares 608,839 0.38 2,755,300 Oi SA 855,463 0.53 89,600 Telefonica Brasil SA - Preferred Shares 690,227 0.43 3,846,330 2.38
China (30 September 2019: 26.46%) 77,400 Alibaba Group Holding Ltd. 2,752,444 1.71 39,523 Alibaba Group Holding Ltd. - Depositary Receipts 11,618,972 7.22 74,331 Anhui Conch Cement Co. Ltd. 511,205 0.32 87,800 Beijing Oriental Yuhong Waterproof Technology Co. Ltd. 694,861 0.43 9,000 Bilibili Inc. - Depositary Receipts 374,400 0.23 50,000 Chacha Food Co. Ltd. 425,807 0.26 191,946 China Merchants Bank Co. Ltd. 905,242 0.56 20,300 China Tourism Group Duty Free Corp. Ltd. 664,506 0.41 412,000 CSPC Pharmaceutical Group Ltd. 797,419 0.50 85,549 Inner Mongolia Yili Industrial Group Co. Ltd. 483,604 0.30 40,350 JD.com Inc. 1,529,655 0.95 79,800 JD.com Inc. - Depositary Receipts 6,193,278 3.85 104,635 Jiangsu Hengli Hydraulic Co. Ltd. 1,096,958 0.68 6,070 Kweichow Moutai Co. Ltd. 1,487,064 0.92 84,500 Li Ning Co. Ltd. 392,516 0.24 78,500 Longfor Group Holdings Ltd., 144A 440,613 0.27 47,500 Luxshare Precision Industry Co. Ltd. 398,449 0.25 58,200 Meituan Dianping 1,815,840 1.13 248,400 MGM China Holdings Ltd. 308,016 0.19 194,812 Midea Group Co. Ltd. 2,076,667 1.29 4,900 NetEase Inc. 87,188 0.05 5,800 NetEase Inc. - Depositary Receipts 2,637,086 1.64 5,600 New Oriental Education & Technology Group Inc. - Depositary Receipts 837,200 0.52 3,600 Nongfu Spring Co. Ltd. 16,258 0.01 154,500 Ping An Insurance Group Co. of China Ltd. 1,584,871 0.98 5,800 QUALCOMM Inc. 682,544 0.42 57,300 SF Holding Co. Ltd. 683,164 0.42 20,397 Shenzhen Mindray Bio-Medical Electronics Co.Ltd. 1,042,222 0.65 147,100 Shenzhen YUTO Packaging Technology Co. Ltd. 685,758 0.43 48,300 Shenzhou International Group Holdings Ltd. 813,310 0.51 183,700 Suofeiya Home Collection Co. Ltd. 710,999 0.44 19,034 TAL Education Group - Depositary Receipts 1,447,345 0.90 154,617 Tencent Holdings Ltd. 10,204,723 6.34 29,000 Tencent Music Entertainment Group - Depositary Receipts 428,330 0.27 26,934 Wuliangye Yibin Co. Ltd. 873,993 0.54 38,000 Yihai International Holding Ltd. 592,800 0.37 18,100 Yum China Holdings Inc. 958,395 0.60 63,500 Zhongsheng Group Holdings Ltd. 396,158 0.25 59,649,860 37.05
The accompanying notes form an integral part of these audited financial statements.
123 ______
GMO FUNDS PLC GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
France (30 September 2019: 0.56%) 1,030 L'Oreal SA 335,294 0.21 335,294 0.21
Hong Kong (30 September 2019: 1.43%) 93,400 AIA Group Ltd. 914,717 0.57 914,717 0.57
India (30 September 2019: 4.03%) 10,362 Apollo Hospitals Enterprise Ltd. 301,956 0.19 6,814 Britannia Industries Ltd. 350,536 0.22 45,473 Central Depository Services India Ltd. 300,154 0.19 67,209 Cipla Ltd. 706,433 0.44 1,875 Dixon Technologies India Ltd. 223,784 0.14 593,732 Gayatri Projects Ltd. 141,633 0.09 25,110 HCL Technologies Ltd. 275,672 0.17 27,601 HDFC Bank Ltd. 403,278 0.25 28,481 Hero MotoCorp Ltd. 1,214,593 0.75 80,707 ICICI Bank Ltd. 386,689 0.24 3,550 IndiaMart InterMesh Ltd. 239,858 0.15 21,826 Ipca Laboratories Ltd. 643,124 0.40 9,988 Jubilant Foodworks Ltd. 317,726 0.20 81,685 Muthoot Finance Ltd. 1,249,965 0.78 76,096 Reliance Industries Ltd. 2,301,033 1.43 85,233 SBI Cards & Payment Services Ltd. 976,806 0.61 60,176 Tata Consumer Products Ltd. 406,991 0.25 15,580 Torrent Pharmaceuticals Ltd. 591,271 0.37 11,031,502 6.87
Indonesia (30 September 2019: 3.13%) 181,900 Bank Central Asia Tbk PT 331,283 0.21 331,283 0.21
Japan (30 September 2019: 0.33%) 2,300 Daikin Industries Ltd. 420,639 0.26 420,639 0.26
Mexico (30 September 2019: 2.04%) 424,600 Wal-Mart de Mexico SAB de CV 1,017,659 0.63 1,017,659 0.63
Philippines (30 September 2019: 2.40%) 484,280 Puregold Price Club Inc. 489,474 0.30 1,351,700 Semirara Mining & Power Corp. 278,258 0.17 767,732 0.47
Russia (30 September 2019: 2.92%) 312,620 Moscow Exchange MICEX-RTS PJSC 589,658 0.37 40,973 Sberbank of Russia PJSC - Depositary Receipts 478,770 0.30 The accompanying notes form an integral part of these audited financial statements.
124 ______
GMO FUNDS PLC GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED CONTINUED)
Equities (continued)
Russia (30 September 2019: 2.92%) (continued) 31,201 X5 Retail Group NV - Depositary Receipts 1,154,437 0.72 13,300 Yandex NV 867,825 0.54 3,090,690 1.93
South Africa (30 September 2019: 1.18%) 42,212 Shoprite Holdings Ltd. 345,820 0.21 345,820 0.21
South Korea (30 September 2019: 6.48%) 1,586 Kakao Corp. 494,311 0.31 20,204 KB Financial Group Inc. 648,705 0.40 343 LG Household & Health Care Ltd. 424,681 0.26 1,805 NAVER Corp. 457,617 0.28 173,115 Samsung Electronics Co. Ltd. 8,615,043 5.35 10,426 SK Hynix Inc. 748,853 0.47 1,984 SK Telecom Co. Ltd. 403,755 0.25 11,792,965 7.32
Switzerland (30 September 2019: 3.17%) 32,128 Ne stle SA 3,823,538 2.37 3,823,538 2.37
Taiwan (30 September 2019: 11.01%) 51,693 Advantech Co. Ltd. 519,393 0.32 35,000 Airtac International Group 786,721 0.49 193,000 Delta Electronics Inc. 1,259,478 0.78 255,000 E Ink Holdings Inc. 335,457 0.21 721,712 E.Sun Financial Holding Co. Ltd. 637,933 0.40 3,000 Largan Precision Co. Ltd. 348,042 0.22 29,000 MediaTek Inc. 607,796 0.38 134,000 Micro-Star International Co. Ltd. 615,358 0.38 280,000 Pegatron Corp. 616,808 0.38 367,000 Quanta Computer Inc. 957,986 0.60 90,000 Sinbon Electronics Co. Ltd. 556,246 0.35 836,756 Taiwan Cement Corp. 1,196,109 0.74 833,100 Taiwan Semiconductor Manufacturing Co. Ltd. 12,455,366 7.73 12,400 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 1,005,268 0.62 573,000 Wistron Corp. 589,579 0.37 22,487,540 13.97
Thailand (30 September 2019: 8.76%) 467,100 CP ALL PCL 888,1 35 0.55 6,122,736 Digital Telecommunications Infrastructure Fund 2,647,147 1.64 3,535,282 2.19
The accompanying notes form an integral part of these audited financial statements.
125 ______
GMO FUNDS PLC GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset Shares Description US$ Value TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A R EGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)
Equities (continued)
United States (30 September 2019: Nil) 8,300 Apple Inc. 961,223 0.60 9,600 Facebook Inc. 2,514,240 1.56 6,500 PepsiCo Inc. 900,900 0.56 4,900 Visa Inc. 979,853 0.61 5,356,216 3.33
Vietnam (30 September 2019: 1.01%) 325,170 Bank for Foreign Trade of Vietnam JSC 1,179,657 0.73 1,179,657 0.73
TOTAL EQUITIES 129,926,724 80.70
Collective Investment Schemes China (30 September 2019: Nil) 697,639 iShares MSCI China A UCITS ETF 3,734,113 2.32 3,734,113 2.32
Russia (30 September 2019: 0.40%) 30,575 iShares MSCI Russia ADR 3,215,267 2.00 3,215,2 67 2.00
United Kingdom (30 September 2019: 8.21%) 404,737 iShares Core MSCI EM IMI UCITS ETF 12,113,778 7.52 12,113,778 7.52
TOTAL COLLECTIVE INVESTMENT SCHEMES 19,063,158 11.84
Short-Term Investments Money Market Funds (30 September 2019: Nil) 10,873,321 State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% 10,873,321 6.75 TOTAL SHORT-TERM INVESTMENTS 10,873,321 6.75
TOTAL INVESTMENTS AT FAIR VALUE 159,863,203 99.29
The accompanying notes form an integral part of these audited financial statements.
126 ______
GMO FUNDS PLC GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
EXCHANGE TRADED AND OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS
FORWARD CURRENCY CONTRACTS (30 September 2019: Nil) Net Unrealized Appreciation % of Net Settlement Currency Currency (Depreciation) Asset Date Counterparty Sold Purchased US$ Value 25/02/2021 MSCI THB 146,569,875 USD 4,649,764 25,254 0.02 23/11/2020 BCLY THB 50,292,334 USD 1,606,204 19,213 0.01 30/10/2020 BCLY THB 49,691,994 USD 1,563,226 (4,870) (0.00) 30/10/2020 BOA USD 520,404 THB 16,285,612 (6,490) (0.00) 23/11/2020 JPM USD 537,743 THB 16,835,145 (6,504) (0.00) 25/02/2021 MSCI USD 1,980,250 THB 62,437,271 (10,255) (0.01) 25/02/2021 MSCI THB 76,331,181 USD 2,397,939 (10,431) (0.01) 25/02/2021 MSCI USD 1,133,776 THB 35,589,244 (10,880) (0.01) 23/11/2020 SSB USD 1,066,705 THB 33,457,189 (10,952) (0.01) 25/02/2021 MSCI USD 1,984,025 THB 62,437,270 (14,031) (0.01) 25/02/2021 MSCI USD 1,988,448 THB 62,437,271 (18,454) (0.01) 30/10/2020 MSCI USD 1,076,844 THB 33,406,382 (22,660) (0.01) Total Forward Currency Contracts (Gain) 44,467 0.03 Total Forward Currency Contracts (Loss) (115,527) (0.07)
TOTAL FORWARD CURRENCY CONTRACTS (NET) (71,060) (0.04)
FUTURES CONTRACTS (30 September 2019: Nil) Net Unrealised Appreciation % of Net Number of Notional (Depreciation) Asset Contracts † Type* Expiration Date Amount($) US$ Value Buys 38 MSCI Emerging Markets Futures December 2020 2,068,150 (46,369) (0.03) Total Buys 2,068,150 (46,369) (0.03)
Sales (465) Set 50 Futures December 2020 (2,285,122) 24,202 0.02 Total Sales (2,285,122) 24,202 0.02
Total Futures Contracts (Gain) 24,202 0.02 Total Futures Contracts (Loss) (46,369) (0.03) TOTAL FUTURES CONTRACTS (NET) (22,167) (0.01)
† Buy - Fund is long the futures contract. Sale - Fund is short the futures contract.
* The clearing brokers for the futures contracts are J.P. Morgan Securities LLC and Morgan Stanley & Co. LLC.
TOTAL EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (93,227) (0.05)
As at 30 September 2020, 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.
The accompanying notes form an integral part of these audited financial statements.
127 ______
GMO FUNDS PLC GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND STATEMENT OF INVESTMENTS (CONTINUED) AS AT 30 SEPTEMBER 2020 ______
% of Net Value Asset US$ Value Total financial assets at fair value through profit or loss 159,931,872 99.34 Total financial liabilities at fair value through profit or loss (161,896) (0.10) Cash at bank 59,623 0.04 Other assets in excess of liabilities 1,164,178 0.72 Net assets attributable to holders of redeemable participating shares 160,993,777 100.00
% of Total Asset Analysis of Total Assets (unaudited) Value Transferable securities listed on an official stock exchange unless otherwise noted 79.33 Transferable securities traded on a regulated market unless otherwise noted 6.64 Collective investment schemes 11.64 Financial derivative instruments traded on a regulated market 0.01 Over-the-counter financial derivative instruments 0.03 97.65
† Denominated in U.S. Dollar, unless otherwise indicated.
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement of Investments, if any, please refer to page 129.
The accompanying notes form an integral part of these audited financial statements.
128 ______
GMO FUNDS PLC PORTFOLIO ABBREVIATIONS, COUNTERPARTY ABBREVIATIONS AND CURRENCY ABBREVIATIONS AS AT 30 SEPTEMBER 2020 ______
Portfolio Abbreviations: ADR American Depositary Receipts AUD BBSW Bank Bill Swap Reference Rate denominated in Australian Dollar. CAD LIBOR London Interbank Offered Rate denominated in Canadian Dollar. CHF LIBOR London Interbank Offered Rate denominated in Swiss Franc. CLO Collateralized Loan Obligation. ETF Exchange-Traded Fund. EUR LIBOR London Interbank Offered Rate denominated in Euro. GBP LIBOR London Interbank Offered Rate denominated in British Pound. NZD NFIX New Zealand 3 Month Bank Bill Benchmark Rate denominated in New Zealand Dollar. OJSC Open Joint-Stock Company. PJSC Public Joint-Stock Company. QPSC Qatar Private Stock Company. QSC Qatari Shareholding Company. REIT Real Estate Investment Trust. SEK STIBOR Stockholm Interbank Offered Rate denominated in Swedish Krona. USD LIBOR London Interbank Offered Rate denominated in United States Dollar. 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.
Counterparty Abbreviations: BCLY Barclays Bank Plc BNYM The Bank of New York Mellon BOA Bank of America, N.A. CITI Citibank N.A. CSS Credit Suisse Securities (USA) LLC DB Deutsche Bank AG GS Goldman Sachs International JPM JP Morgan Chase Bank, N.A. JPMF J.P. Morgan Securities LLC MORD Morgan Stanley Capital Services MSCI Morgan Stanley And Co. International PLC MSLC Morgan Stanley And Co. LLC SSB State Street Bank and Trust Company UBS UBS Securities LLC
Currency Abbreviations: AUD Australian Dollar KRW South Korean Won BRL Brazilian Real MXN Mexican Peso CAD Canadian Dollar NOK Norwegian Krone CHF Swiss Franc NZD New Zealand Dollar CLP Chilean Peso PEN Peruvian Sol COP Colombian Peso PHP Philippine Peso CZK Czech Republic Koruna PLN Polish Zloty EUR Euro RON Romanian New Leu GBP British Pound Sterling RUB Russian Ruble HKD Hong Kong Dollar SEK Swedish Krona HUF Hungarian Forint SGD Singapore Dollar IDR Indonesian Rupee THB Thai Baht ILS Israeli Shekel TWD Taiwan New Dollar INR Indian Rupee USD United States Dollar JPY Japanese Yen ZAR South African Rand
The accompanying notes form an integral part of these audited financial statements.
129
GMO FUNDS PLC STATEMENT OF COMPREHENSIVE INCOME
GMO Global GMO Global GMO Emerging GMO Emerging Equity Allocation Equity Allocation GMO Quality GMO Quality Markets Equity Markets Equity Investment Fund Investment Fund Investment Fund Investment Fund Fund Fund For the For the For the For the For the For the financial year financial year financial year financial year financial year financial year ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September Notes 2020 2019 2020 2019 2020 2019 Investment income £ £ US$ US$ US$ US$ Interest income 3,055 9,377 15,315 37,594 26,486 36,493 Dividend income 2(e) 1,162,135 1,344,819 1,783,441 1,190,589 7,574,887 7,213,145 Other income 2(e) 804 - 51 11 133 - Net gains/(losses) on financial assets and financial liabilities at fair value through profit or (loss) 2(b) (2,000,073) 1,291,483 14,076,056 1,853,047 1,522,057 141,187 Total investment income/(loss) (834,079) 2,645,679 15,874,863 3,081,241 9,123,563 7,390,825
Operating expenses Investment management fees 3 (225,758) (230,387) (450,593) (289,600) (1,451,014) (1,188,024) Administration, depositary and transfer agent fees 3 (47,915) (39,303) (67,485) (44,413) (178,518) (154,580) Statutory audit fees 4 (10,946) (11,058) (14,857) (13,266) (14,874) (13,322) Legal fees (11,070) (4,695) (23,517) (6,020) (20,320) (21,467) Directors’ fees 3 (736) (680) (1,470) (688) (3,596) (2,402) Transaction fees 2(o), 3 (110,410) (97,298) (87,540) (10,307) (707,260) (598,596) Other expenses (41,929) (41,719) (15,672) (27,703) (35,133) (85,787) Total operating expenses (448,764) (425,140) (661,134) (391,997) (2,410,715) (2,064,178) Fund expense reimbursements 3 133,843 103,055 31,331 12,664 147,116 200,335 Refund of value added tax 188 2,086 - 13,773 3,718 3,960 Net profit/(loss) for the financial year before interest and tax (1,148,812) 2,325,680 15,245,060 2,715,681 6,863,682 5,530,942 Finance costs Interest paid ------Net profit/(loss) for the financial year before tax (1,148,812) 2,325,680 15,245,060 2,715,681 6,863,682 5,530,942 Capital gains tax 5 42,450 (84,784) - - (13,574) (39,418) Withholding tax 2(e), 5 (168,604) (163,667) (459,615) (290,239) (896,003) (914,002) Net increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations (1,274,966) 2,077,229 14,785,445 2,425,442 5,954,105 4,577,522
Income and expense results arose solely from continuing operations. There were no recognised gains or losses other than those included in the Statement of Comprehensive Income.
The accompanying notes form an integral part of these audited financial statements.
130
GMO FUNDS PLC STATEMENT OF COMPREHENSIVE INCOME (CONTINUED)
GMO Emerging GMO Emerging GMO Global Real GMO Global Real Domestic Domestic Return (UCITS) Return (UCITS) Opportunities Opportunities Fund Fund Equity Fund Equity Fund Total Total For the For the For the For the For the For the financial year financial year financial year financial year financial year financial year ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September Notes 2020 2019 2020 2019 2020 2019 Investment income US$ US$ US$ US$ £ £ Interest income 17,959,295 38,113,989 40,280 124,040 14,093,370 30,049,907 Dividend income 2(e) 53,328,043 74,522,339 2,376,628 2,826,888 51,976,337 68,583,716 Other income 2(e) - 506,556 - 32,628 948 422,783 Net gains/(losses) on financial assets and financial liabilities at fair value through profit or (loss) 2(b) (82,780,427) (295,284,470) 16,850,702 3,543,630 (41,309,061) (225,898,830) Total investment income/(loss) (11,493,089) (182,141,586) 19,267,610 6,527,186 24,761,594 (126,842,424)
Operating expenses Investment management fees 3 (16,720,773) (21,828,817) (1,401,023) (1,209,808) (15,864,036) (19,453,578) Administration, depositary and transfer agent fees 3 (1,210,523) (1,409,326) (144,164) (120,887) (1,298,054) (1,395,173) Statutory audit fees 4 (68,114) (60,662) (14,857) (13,341) (98,966) (89,931) Legal fees (193,265) (141,165) (19,351) (8,402) (211,360) (143,523) Directors’ fees 3 (45,495) (55,841) (2,796) (2,041) (42,408) (48,488) Transaction fees 2(o), 3 (3,632,379) (3,978,506) (828,982) (710,727) (4,215,472) (4,251,566) Other expenses (502,492) (597,280) (40,439) (42,872) (505,637) (632,650) Total operating expenses (22,373,041) (28,071,597) (2,451,612) (2,108,078) (22,235,933) (26,014,909) Fund expense reimbursements 3 - - 120,164 106,218 367,058 353,353 Refund of value added tax 22,106 15,558 723 3,422 20,921 30,873 Net profit/(loss) for the financial year before interest and tax (33,844,024) (210,197,625) 16,936,885 4,528,748 2,913,640 (152,473,107) Finance costs Interest paid (52,569) (58,629) - - (41,056) (45,971) Net profit/(loss) for the financial year before tax (33,896,593) (210,256,254) 16,936,885 4,528,748 2,872,584 (152,519,078) Capital gains tax 5 1,458,436 (4,424,140) 117,799 (372,712) 1,262,888 (3,876,903) Withholding tax 2(e), 5 (6,819,710) (8,961,127) (377,597) (332,854) (6,848,438) (8,395,323) Net increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations (39,257,867) (223,641,521) 16,677,087 3,823,182 (2,712,966) (164,791,304)
Income and expense results arose solely from continuing operations. There were no recognised gains or losses other than those included in the Statement of Comprehensive Income.
The accompanying notes form an integral part of these audited financial statements.
131
GMO FUNDS PLC STATEMENT OF FINANCIAL POSITION
GMO Global GMO Global GMO Emerging GMO Emerging Equity Allocation Equity Allocation GMO Quality GMO Quality Markets Equity Markets Equity Investment Fund Investment Fund Investment Fund Investment Fund Fund Fund As at As at As at As at As at As at 30 September 30 September 30 September 30 September 30 September 30 September Notes 2020 2019 2020 2019 2020 2019 Assets £ £ US$ US$ US$ US$ Financial assets at fair value through profit or (loss) -Transferable securities 36,713,365 41,855,837 270,941,547 52,537,843 211,619,387 140,801,466 -Collective investment schemes - - - - 2,559,464 6,245,873 -Financial derivative instruments 2(b) 58 - - - 7,092 - Cash at bank 2(l) 55,186 190,701 28 15,029 121,949 1,092,759 Due from broker 2(p) 17,431 25,426 - - 1,060,524 - Dividends and interest receivable 106,320 110,056 416,650 67,291 516,195 491,798 Receivable for investments sold 337 59,113 - 4,401,001 - 3,191 Subscriptions receivable ------Tax reclaims receivable 10,057 9,667 - - 4,988 9,736 Foreign capital gains tax refund receivable - - - - 11,209 11,034 Fund expense reimbursement receivable 3 23,597 10,488 - 1,579 16,547 12,995 Other receivables ------Total assets 36,926,351 42,261,288 271,358,225 57,022,743 215,917,355 148,668,852
Liabilities Financial liabilities at fair value through profit or (loss) -Financial derivative instruments 2(b) (565) (7,399) - - (36,945) (190,410) Due to broker 2(p) (208) - - - - - Investment management fee payable 3 (20,173) (21,440) (115,939) (23,504) (169,434) (107,516) Administration, depositary and transfer agent fees payable 3 (22,961) (11,647) (32,627) (8,070) (81,690) (58,274) Directors' fees payable 3 (170) (145) (567) (243) (1,183) (588) Payable for statutory audit fees (11,471) (11,042) (14,668) (13,620) (14,671) (13,606) Capital gains tax payable (7,351) (69,500) - - - (2,262) Withholding tax payable 5 (12,686) (14,907) (107,018) (16,185) (62,586) (59,351) Redemptions payable - - - (4,912,127) - - Payable for investments purchased - (33,992) - - - (84,514) Other payables (31,794) (12,960) (23,167) (26,677) (56,813) (71,306) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) (107,379) (183,032) (293,986) (5,000,426) (423,322) (587,827) Net assets attributable to holders of redeemable participating shares 14 36,818,972 42,078,256 271,064,239 52,022,317 215,494,033 148,081,025
The accompanying notes form an integral part of these audited financial statements.
132
GMO FUNDS PLC STATEMENT OF FINANCIAL POSITION (CONTINUED)
GMO Emerging GMO Emerging GMO Global Real GMO Global Real Domestic Domestic Return (UCITS) Return (UCITS) Opportunities Opportunities Fund Fund Equity Fund Equity Fund Total Total As at As at As at As at As at As at 30 September 30 September 30 September 30 September 30 September 30 September Notes 2020 2019 2020 2019 2020 2019 Assets US$ US$ US$ US$ £ £ Financial assets at fair value through profit or (loss) -Transferable securities 2,007,785,473 2,994,774,913 140,800,045 113,082,658 2,071,905,145 2,720,777,105 -Collective investment schemes 59,698,569 19,757,869 19,063,158 15,221,545 62,901,941 33,454,320 -Financial derivative instruments 2(b) 44,944,770 38,677,537 68,669 - 34,823,439 31,386,823 Cash at bank 2(l) 10,158,882 10,957,431 59,623 2,241,020 8,053,549 11,800,214 Due from broker 2(p) 8,330,538 16,200,672 484,933 - 7,656,513 13,172,271 Dividends and interest receivable 6,360,945 9,491,511 124,510 206,251 5,844,375 8,433,491 Receivable for investments sold 3,253,474 7,362,993 2,952,720 - 4,800,828 9,608,184 Subscriptions receivable 8,886 1,492 - - 6,873 1,211 Tax reclaims receivable 534,933 722,670 3,515 6,040 430,405 608,916 Foreign capital gains tax refund receivable 37,513 35,512 202,310 163,883 194,173 170,763 Fund expense reimbursement receivable 3 - - 16,356 3,994 49,047 25,556 Other receivables ------Total assets 2,141,113,983 3,097,982,600 163,775,839 130,925,391 2,196,666,288 2,829,438,854 Liabilities Financial liabilities at fair value through profit or (loss) -Financial derivative instruments 2(b) (25,331,455) (43,089,821) (161,896) - (19,748,250) (35,129,307) Due to broker 2(p) (9,674,710) (8,080,693) - - (7,483,596) (6,557,482) Investment management fee payable 3 (1,288,348) (1,671,366) (141,676) (107,782) (1,347,033) (1,571,541) Administration, depositary and transfer agent fees payable 3 (255,455) (343,151) (46,074) (35,369) (344,618) (372,654) Directors' fees payable 3 (11,380) (13,647) (735) (494) (10,895) (12,295) Payable for statutory audit fees (67,269) (62,224) (14,673) (13,625) (97,547) (94,687) Capital gains tax payable (428,717) (3,012,120) - (199,386) (338,964) (2,677,473) Withholding tax payable 5 (474,599) (727,698) (23,040) (32,561) (528,798) (693,155) Redemptions payable (3,044) (2,056) - - (2,355) (3,987,861) Payable for investments purchased (1,021,133) (52,042,506) (2,352,501) (324,552) (2,609,506) (42,598,443) Other payables (163,268) (924,626) (41,467) (39,835) (252,017) (875,132) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) (38,719,378) (109,969,908) (2,782,062) (753,604) (32,763,579) (94,570,030) Net assets attributable to holders of redeemable participating shares 14 2,102,394,605 2,988,012,692 160,993,777 130,171,787 2,163,902,709 2,734,868,824
On behalf of the Board of Directors Eimear Cowhey______Arron Day______14 January 2021
The accompanying notes form an integral part of these audited financial statements.
133
GMO FUNDS PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES
GMO Global GMO Global GMO Emerging GMO Emerging Equity Allocation Equity Allocation GMO Quality GMO Quality Markets Equity Markets Equity Investment Fund Investment Fund Investment Fund Investment Fund Fund Fund For the For the For the For the For the For the financial year financial year financial year financial year financial year financial year ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September Notes 2020 2019 2020 2019 2020 2019 £ £ US$ US$ US$ US$ Net assets attributable to holders of redeemable participating shares at the beginning of the financial year 42,078,256 34,948,736 52,022,317 69,308,806 148,081,025 94,750,569
Currency exchange rate movement 2(d) ------Net increase/(decrease) in net assets resulting from operations attributable to holders of redeemable participating shares (1,274,966) 2,077,229 14,785,445 2,425,442 5,954,105 4,577,522
Capital transactions Net proceeds fro m redeemable participating shares issued 13 515,682 5,140,456 229,276,378 4,460,688 87,302,247 70,034,934 Net payment for redeemable participating shares redeemed 13 (4,500,000) (88,165) (25,019,901) (24,172,619) (25,843,344) (21,282,000) Net assets attributable to holders of redeemable participating shares at the end of the financial year 14 36,818,972 42,078,256 271,064,239 52,022,317 215,494,033 148,081,025
The accompanying notes form an integral part of these audited financial statements.
134
GMO FUNDS PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES (CONTINUED)
GMO Emerging GMO Emerging GMO Global Real GMO Global Real Domestic Domestic Return (UCITS) Return (UCITS) Opportunities Opportunities Fund Fund Equity Fund Equity Fund Total Total For the For the For the For the For the For the financial year financial year financial year financial year financial year financial year ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September ended 30 September Notes 2020 2019 2020 2019 2020 2019 US$ US$ US$ US$ £ £ Net assets attributable to holders of redeemable participating shares at the beginning of the financial year 2,988,012,692 3,854,978,911 130,171,787 119,283,231 2,734,868,824 3,208,213,673
Currency exchange rate movement 2(d) - - - - (121,832,380) 162,514,049
Net increase/(decrease) i n net assets resulting from operations attributable to holders of redeemable participating shares (39,257,867) (223,641,521) 16,677,087 3,823,182 (2,712,966) (164,791,304)
Capital transactions Net proceeds from redeemable participating shares issued 13 402,951,557 254,467,383 14,578,499 7,065,374 573,854,562 268,620,308 Net payment for redeemable participating shares redeemed 13 (1,249,311,777) (897,792,081) (433,596) - (1,020,275,331) (739,687,902) Net assets attributable to holders of redeemable participating shares at the end of the financial year 14 2,102,394,605 2,988,012,692 160,993,777 130,171,787 2,163,902,709 2,734,868,824
The accompanying notes form an integral part of these audited financial statements.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
1. Organisation and structure
GMO Funds Plc (the “Company”) is an open-ended investment company with variable capital organised under the laws of Ireland as a public limited company pursuant to the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011, as amended (the “UCITS Regulations”). It is an umbrella fund with segregated liability between sub-funds (each, a “Fund” and together, the “Funds”). It was incorporated on 19 December 2001 under registration number 351477. The assets of each Fund are separate from one another and are invested separately in accordance with the investment objectives and policies of each Fund. Any liability incurred on behalf of, or attributable to, any Fund shall be discharged solely out of the assets of that Fund. As at 30 September 2020, there were five active Funds: GMO Global Equity Allocation Investment Fund (“GEAIF”), which commenced operations on 7 February 2002; GMO Quality Investment Fund (“Quality”), which commenced operations on 10 November 2010; GMO Emerging Markets Equity Fund (“EMEF”), which commenced operations on 16 May 2002; GMO Global Real Return (UCITS) Fund (“GRRUF”), which commenced operations on 30 November 2011; and GMO Emerging Domestic Opportunities Equity Fund (“EDOEF”), which commenced operations on 25 November 2014.
The investment strategies employed by the Funds and the risks related to an investment in the Funds are discussed in detail in the Company’s prospectus.
Quality, EMEF and GRRUF are 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. Summary of significant accounting policies
(a) Statement of Compliance These annual audited financial statements have been prepared in accordance with Financial Reporting Standard (“FRS”) 102, the financial reporting standard applicable in the UK and the Republic of Ireland ("FRS 102"), Irish statute comprising the Companies Act 2014 and the UCITS Regulations.
The format and wording of certain line items on the primary statements contain departures from the guidelines under the Companies Act 2014 to reflect this Company's structure as an investment fund.
The financial statements are prepared under the historical cost convention as modified by the revaluation of financial assets and financial liabilities held at fair value through profit or loss. All references to net assets throughout this document refer to net assets attributable to holders of redeemable participating shares unless otherwise stated.
The Company has availed of the exemption available to open ended investment funds that hold a substantial proportion of highly liquid and fair valued investments under Section 7 of FRS 102 and is not presenting a cash flow statement.
(b) Financial assets and financial liabilities at fair value through profit or loss (i) Classification The Funds have designated all of their investments as financial assets and financial liabilities at fair value through profit or loss.
This category has two sub-categories: financial assets and financial liabilities held for trading, and those designated by the Directors at fair value through profit or loss at inception. Financial assets or financial liabilities held for trading are acquired or incurred principally for the purpose of selling or repurchasing in the short-term. In addition, derivatives are categorised as held for trading, as the Funds do not designate any derivatives as hedges in a hedging relationship as defined by authoritative guidance.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(b) Financial assets and financial liabilities at fair value through profit or loss (continued) (ii) Recognition/derecognition Financial assets and financial liabilities are accounted for on the trade date (i.e., the date on which the transaction takes place) for financial reporting purposes. Financial assets and financial liabilities are derecognised when the rights to receive or duty to pay cash flows from the financial assets and financial liabilities have expired or the Funds have transferred substantially all risks and rewards of ownership. In determining the net gain or loss on securities sold, the Funds use the identified cost method for the purpose of determining cost.
(iii) Measurement Financial assets and financial liabilities at fair value through profit or loss are recognised at fair value. Transaction costs, if any, are expensed in the Statement of Comprehensive Income. Gains and losses arising from changes in the fair value of the financial assets or financial liabilities at fair value through profit or loss category are presented in the Statement of Comprehensive Income in the financial year in which they arise.
(iv) Fair value estimation The fair value of assets listed or traded on a regulated market (other than exchange-traded options) for which market quotations are readily available shall be valued at the last traded price on the regulated market which is the principal market for such securities at the statement of financial position date. If the last traded price is unavailable, then the official closing price shall be used. If, in turn, the official closing price is unavailable, then the last bid price shall be used. 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.
Some exchange-traded derivatives, such as futures contracts shall be valued at the relevant settlement price at the statement of financial position date on the appropriate exchange for such instruments. 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 by the time that a Fund calculates its net asset value (“NAV”) on any business day, then that 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. 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.
Typically, the Funds value fixed income securities at the most recent price supplied by a pricing source determined by State Street Fund Services (Ireland) Limited (the “Administrator”) in consultation with Grantham, Mayo, Van Otterloo & Co. LLC (the “Investment Manager” or “GMO LLC”). The Investment Manager evaluates pricing sources on an ongoing basis and may change a pricing source at any time. The Investment Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and may recommend to the Administrator that it override a price supplied by a source (e.g., by taking a price supplied by another), 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.
Cash and other liquid assets will be valued at their face value with interest accrued, which approximates fair value. Units or shares in collective investment schemes will be valued at the latest available unaudited NAV relevant to the collective investment scheme.
In the event of it being impossible or incorrect to carry out a valuation of a specific investment in accordance with the valuation rules set out in the preceding paragraphs, or if such valuation is not representative of a security’s fair market value, the Administrator (in consultation with the Investment Manager) is entitled to use such other generally recognised valuation method in order to reach a proper valuation of that specific instrument, provided that such method of valuation has been approved by State Street Custodial Services (Ireland) Limited (the “Depositary”) and the rationale for the use of such method of valuation and the method itself used shall be clearly documented. Also, the Directors, with the approval of the Depositary, may adjust the value of an asset where such an adjustment is considered necessary to reflect the fair value of such asset in the context of currency, marketability, dealing costs and/or such other considerations as the Directors deem relevant. The Directors’ intention is only to exercise this discretion to preserve the value of a Fund’s assets.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(b) Financial assets and financial liabilities at fair value through profit or loss (continued) (iv) Fair value estimation (continued) 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 realised upon its sale.
(v) Derivative instruments The Funds may, from time to time, hold financial instruments that are not quoted in active markets, such as OTC derivatives. 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, and other exchange-traded and OTC contracts.
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 unrealised gains or losses. Realised 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 unrealised gain or loss. Forward currency contracts expose the Funds to the market risk of unfavourable 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 collateralised. Forward currency contracts outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments.
Share class hedges GRRUF also enters into class level hedging in order to hedge against currency exposure at a class level. For class level hedges the fair value of the hedge is calculated in a similar manner to the portfolio hedges. However, the realised and unrealised gains or losses are allocated solely to the relevant share classes of GRRUF. Unrealised gains or losses on open share class hedges are reported as part of financial derivative instruments in the Statement of Financial Position.
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, the Funds are required to deposit cash 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. 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 recognised but not accounted for as realised until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. 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 unfavourable 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 financial year, if any, are listed in each applicable Fund’s Statement of Investments.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(b) Financial assets and financial liabilities at fair value through profit or loss (continued) (v) Derivative instruments (continued) 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. 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, 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 financial year, if any, are listed in each applicable Fund’s Statement 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 unfavourable 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 relevant 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 that 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 financial year, if any, are listed in each applicable Fund’s Statement of Investments.
When an option contract is closed, that Fund records a realised 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. Realised gains and losses on purchased options are included in net gains/(losses) on financial assets and financial liabilities at fair value through profit or loss as disclosed in the Statement of Comprehensive Income. 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.
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 index 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.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(b) Financial assets and financial liabilities at fair value through profit or loss (continued) (v) Derivative instruments (continued) Swap contracts (continued) 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 amortise 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 net gains/(losses) on financial assets and financial liabilities at fair value through profit or loss on the Statement of Comprehensive Income. A liquidation payment received or made at the termination of the swap contract is recorded as realised gain or loss in the Statement of Comprehensive Income. 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.
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 unrealised gains or losses in the Statement of Comprehensive Income. Gains or losses are realised 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 NAV 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 realised 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 financial year, if any, are listed in each applicable Fund’s Statement of Investments.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(b) Financial assets and financial liabilities at fair value through profit or loss (continued) (vi) Rights and warrants The Funds may purchase or otherwise receive rights or warrants. Rights and warrants 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 rights and warrants are generally similar to risks associated with the use of purchased options. However, rights and warrants often do not have standardised terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of rights and warrants may limit a Fund’s ability to exercise the rights and warrants at such times and in such quantities as the Funds would otherwise wish. Rights and/or warrants outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments.
For Funds that held derivatives during the financial year ended 30 September 2020, the following table shows how each Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use GEAIF EMEF GRRUF EDOEF Forward currency contracts Adjust exposure to foreign currencies X X Adjust exchange rate risk X Futures contracts Adjust exposure to certain markets X X X X Maintain the diversity and liquidity of the portfolio X Adjust interest rate exposure X To equitize cash X Options (Written) Used written put option contracts as a substitute for direct equity investment X Adjust exposure to foreign currencies X Adjust interest rate exposure X Maintain the diversity and liquidity of the portfolio X Swap contracts Adjust exposure to certain markets X X To achieve returns comparable to holding and lending a direct equity position X X X Adjust interest rate exposure X Adjust exposure to foreign currencies X Rights and/or warrants Received as a result of corporate actions X X X X Gain exposure to issuers in certain countries X* Share class hedges To hedge against currency exposure at a class level X
* Non-standard warrants, specifically participatory notes (“P-Notes”).
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(c) Accounting estimates and assumptions The preparation of financial statements, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the financial year. Actual results could differ from those estimates and these differences could be material.
(d) Foreign currency translation Functional and presentation currency Items included in the Company’s financial statements are measured using the currency of the primary economic environment in which the Company operates (the “functional currency”), which is the British Pound Sterling. The presentation currency of the Company is also the British Pound Sterling. The functional and presentation currency of Quality, EMEF, GRRUF and EDOEF is the U.S. Dollar and of GEAIF is the British Pound Sterling.
For the purpose of combining the financial statements of the Funds to arrive at the total Company figures, the amounts in the Statement of Financial Position have been converted into British Pound Sterling (the Company’s presentation currency) at the exchange rate prevailing at 30 September 2020 of US$1.2928 (30 September 2019 of US$1.2323) and the amounts in the Statement of Comprehensive Income and the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares have been converted into British Pound Sterling using the average exchange rate over the financial year ended 30 September 2020 of US$1.2803 (30 September 2019: US$1.2753).
A notional currency adjustment of £(121,832,381) (30 September 2019: £162,514,049) arises from the translation of the opening net assets, the Statement of Comprehensive Income and the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders. The method of translation has no effect on the value of the net assets attributable to the individual Funds.
Transactions and balances The fair values of foreign securities, currency holdings and other assets and liabilities are translated into the functional currency of each Fund based on the prevailing exchange rates on each business day. Income and expenses denominated in other currencies are translated at prevailing exchange rates when accrued or incurred. The Funds do not isolate realised and unrealised gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included within net gains/(losses) on financial assets and financial liabilities at fair value through profit or loss within the Statement of Comprehensive Income.
Net realised gains and losses on foreign currency transactions represent net exchange gains and losses on disposal of foreign currencies, currency gains and losses realised between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes, if any, recorded on the Funds’ books and the U.S. Dollar equivalent amounts actually received or paid.
(e) Income Dividends are recognised as income on the dates on which the securities are listed ex-dividend or, if later, when the Funds are informed of the ex-dividend date. Bank interest income is accounted for on an accrual basis, if any. Income is shown gross of withholding taxes, which are separately disclosed in the Statement of Comprehensive Income.
Premiums or discounts on the purchase of fixed and variable interest investments are amortised over the life of the investment on an effective yield basis where appropriate. The effective interest rate is the rate that discounts estimated future cash payments or receipts throughout the expected life of the financial instrument, or a shorter period where appropriate, to the net carrying amount of the financial asset or financial liability. Coupon income is not recognised on securities for which collection is not expected.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(f) 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.
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 Funds’ gross income for the period in which they accrue. In addition, any increase or 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 financial period, if any, are listed in each applicable Fund’s Statements of Investments.
(g) 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 financial year, if any, are listed in each applicable Fund’s Statements of Investments.
(h) 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 the Depositary, 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. Repurchase agreements outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments. Direct and indirect costs associated with the investment are not readily, separately identifiable as they are embedded in the cost of the investment.
During the financial years ended 30 September 2020 and 30 September 2019, total interest income arising from repurchase agreements was as follows:
Fund Financial year ended 30 September 2020 Financial year ended 30 September 2019 GRRUF US$701,622 US$2,143,513
(i) Reverse repurchase agreements The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The 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 realise a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
2. Summary of significant accounting policies (continued)
(i) Reverse repurchase agreements (continued) During the financial years ended 30 September 2020 and 30 September 2019, total interest expense arising from reverse repurchase agreements was as follows:
Fund Financial year ended 30 September 2020 Financial year ended 30 September 2019 GRRUF US$775 US$7,305
Direct and indirect costs associated with the investment are not readily, separately identifiable as they are embedded in the cost of the investment.
(j) Collective Investment Schemes Each Fund may, subject to the limits set out in the Prospectus, be invested in collective investment schemes which are UCITS or UCITS Equivalent Schemes. Such investment in collective investment schemes includes investing in other Funds (i.e., other sub-funds of the Company). However, a Fund may not invest in another Fund which itself holds shares in other Funds. Where a Fund invests in another Fund, the investing Fund may not charge an annual management and/or investment management fee in respect of the portion of its assets invested in the other Fund.
(k) Dilution adjustment In calculating the net asset value per share for each class on any dealing day, the Investment Manager may, at its discretion, adjust the net asset value per share for each class by applying a dilution adjustment: (1) if net subscriptions or redemptions exceed certain pre-determined percentage thresholds relating to the Fund’s net asset value (where such percentage thresholds have been pre-determined for the Fund from time to time by the Investment Manager or by a committee established by the Investment Manager); or (2) in any other cases where there are net subscriptions or redemptions in the Fund and the Investment Manager reasonably believes that imposing a dilution adjustment is in the best interests of existing shareholders.
Absent a dilution adjustment, the price at which the subscriptions or redemptions are affected would not reflect the costs of dealing in the underlying investments of the Fund including subscription and redemption charges applicable at the level of the Fund. Such costs could have a materially disadvantageous effect on the interests of existing shareholders in the Fund.
There was no such adjustment for the Funds as at 30 September 2020 or 30 September 2019.
(l) Cash at bank All cash at bank balances are held with the Depositary, or with third party institutions approved by the Company on overnight deposit, or directly with a sub-custodian. Cash held on overnight deposit with the respective counterparties is detailed as part of the Statements of Investments for GEAIF, Quality, EMEF, GRRUF and EDOEF respectively.
(m) Redeemable participating shares Redeemable participating shares are generally redeemable at the shareholder’s option on dealing days as set forth in the prospectus and are classified as financial liabilities. The redeemable participating shares shall at all times equal the applicable NAV of the Funds.
(n) Dividend policy It is not the current intention of the Directors to declare dividends. The Directors may declare dividends in respect of the Funds. If they do so, the dividends will be paid from net income and/or net realised and/or unrealised capital gains. No dividends were declared or paid for the financial years ended 30 September 2020 or 30 September 2019.
(o) Transaction fees The Funds incur transaction fees comprising of brokerage fees and other transaction fees relating to purchases and sales of transferable securities, collective investment schemes and financial derivative instruments. These fees, if any, are recognised as an expense in the Statement of Comprehensive Income.
(p) Due to/from broker Due to/from broker, if any, includes cash for swap contracts, futures contracts, option contracts and forward currency contracts, if any, which relates to collateral or margin held by the Funds or with the relevant broker. For details on collateral positions held with the relevant brokers, see Note 7.
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3. Fees
Each Fund shall pay all of its expenses and its allocable share of any expenses incurred by the Company. These expenses may include the costs of: (i) maintaining the Company and the relevant Fund and registering the Company, the relevant Fund and the shares with any governmental or regulatory authority or with any regulated market or stock exchange; (ii) management, administration, depositary and related services; (iii) preparation, printing and posting of prospectuses, sales literature and reports to shareholders, the Central Bank and other governmental agencies; (iv) marketing expenses; (v) taxes; (vi) commissions and brokerage fees; (vii) expenses incurred in connection with the acquisition and disposal of the assets of the Company; (viii) auditing, tax and legal fees (including expenses arising in respect of legal or administrative proceedings); (ix) insurance premiums and (x) other operating expenses.
As a shareholder of another collective investment scheme, each Fund would bear, along with other shareholders, its pro rata portion of the expenses of the other collective investment scheme, including management and/or other fees. The maximum level of management fees (exclusive of any performance fee) which may be charged to a collective investment scheme in which a Fund invests is 2.5 per cent of the NAV of that scheme. These fees would be in addition to the management fees and other expenses which a Fund bears directly in connection with its own operations.
Administration, depositary and transfer agent fees The Company pays to the Administrator, out of the assets of each Fund, an annual fee of 2.5 basis points of the NAV up to US$500 million, 2 basis points of the NAV for the next US$500 million, 1.5 basis points of the NAV for the next US$500 million and any excess of this at 1 basis point of the NAV, there is no minimum fee applied, as stated in the fee schedule.
The Company also pays to the Administrator, for transfer agency services, an annual fee of US$15,000. The Company also pays the Administrator, for financial reporting services, an annual fee of US$12,000 for all Funds except Quality which pays an annual fee of US$5,000. Such fees are accrued on each dealing day and shall generally be paid monthly in arrears.
The Depositary is entitled to receive, out of the assets of each Fund an annual fee of 1.25 basis points of the NAV up to US$500 million and any excess of this at 1 basis point of the NAV. The Company also pays the Depositary safekeeping and transaction fees which will vary from country to country but will be charged at normal commercial rates. These fees are accrued on each dealing day and generally are paid monthly in arrears.
The Company will apportion the Administrator’s and Depositary’s fees across all Funds in which shares are available for purchase on the basis of the proportion of the actual fees accrued on each Fund. Each of the Depositary and the Administrator shall also be reimbursed for any out-of-pocket expenses incurred. In addition, the Depositary shall be entitled to be reimbursed for all sub-custodial fees and expenses it incurs, which will be charged at normal commercial rates. The following tables detail the fees charged during the financial years ended 30 September 2020 and 30 September 2019 and the amounts outstanding as at 30 September 2020 and 30 September 2019.
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3. Fees (continued)
For the financial year ended GEAIF Quality EMEF GRRUF EDOEF Total 30 September 2020 £ US$ US$ US$ US$ £ Administration/transfer agent fees* 35,297 48,386 74,504 447,641 67,936 533,940 Depositary/transaction fees** 103,1 13 30,375 295,186 1,436,062 162,090 1,605,533 Total 138,410 78,761 369,690 1,883,703 230,026 2,139,473
For the financial year ended GEAIF Quality EMEF GRRUF EDOEF Total 30 September 2019 £ US$ US$ US$ US$ £ Administration/transfer agent fees* 29,819 34,683 61,940 506,345 56,170 546,649 Depositary/transaction fees** 80,582 12,629 297,054 1,576,275 140,417 1,669,462 Total 110,401 47,312 358,994 2,082,620 196,587 2,216,111
GEAIF Quality EMEF GRRUF EDOEF Total As at 30 September 2020 £ US$ US$ US$ US$ £ Administration/transfer agent fees payable* 9,187 19,295 19,218 78,780 16,116 112,379 Depositary/transaction fees payable** 13,774 13,332 62,472 176,675 29,958 232,239 Total 22,961 32,627 81,690 255,455 46,074 344,618
GEAIF Quality EMEF GRRUF EDOEF Total As at 30 September 2019 £ US$ US$ US$ US$ £ Administration/transfer agent fees payable* 4,767 5,814 11,202 78,728 10,009 90,586 Depositary/transaction fees payable** 6,880 2,256 47,072 264,423 25,360 282,068 Total 11,647 8,070 58,274 343,151 35,369 372,654
* Amounts paid to the Administrator. ** Amounts paid to the Depositary.
Investment Manager’s fees Each Fund pays the Investment Manager a management fee (the “Management Fee”) in consideration for the Investment Manager’s management of the Funds’ portfolios, shareholder servicing, and other services which the Investment Manager and its affiliates (including GMO UK Limited and GMO Netherlands B.V.) provide to the Funds.
The table below sets forth the maximum Management Fee and the threshold in excess of which Reimbursable Expenses (as defined below) will be reimbursed by the Investment Manager.
Fund Management Fee Reimbursement threshold GEAIF: Class A Up to 0.60 per cent. of NAV per annum 0.08 per cent. of NAV per annum Class B 1 Up to 0.25 per cent. of NAV per annum 0.08 per cent. of NAV per annum Quality Up to 0.60 per cent. of NAV per annum 0.10 per cent. of NAV per annum EMEF Up to 1.00 per cent. of NAV per annum 0.15 per cent. of NAV per annum GRRUF: Class A Up to 0.80 per cent. of NAV per annum 0.10 per cent. of NAV per annum Class B Up to 0.40 per cent. of NAV per annum 0.10 per cent. of NAV per annum Class E 1,2 Up to 0.88 per cent. of NAV per annum 0.10 per cent. of NAV per annum EDOEF Up to 1.00 per cent. of NAV per annum 0.10 per cent. of NAV per annum
1. Class is offered but has no shareholders as at 30 September 2020. 2 The management fee for the Class E shares includes payments made by the Investment Manager to remunerate and/or pay trail or service fees to certain financial intermediaries.
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3. Fees (continued)
Investment Manager’s fees (continued) A performance fee may be payable in respect of class B shares under a separate agreement which must be entered into by class B investors with the Investment Manager. Such performance fee would not be paid out of the assets of the Fund.
The Management Fee is accrued on each dealing day and shall generally be paid monthly in arrears. The Investment Manager may reimburse each Fund for any Reimbursable Expenses (as defined below) that it incurs in any fiscal year, including its allocable portion of Reimbursable Expenses incurred by the Company, to the extent that such Reimbursable Expenses exceed such Fund’s reimbursement threshold as set forth in the table above. “Reimbursable Expenses” include service fees incurred in connection with fund administration, custody of assets, distribution of the shares, compliance, transfer agency, corporate secretarial expenses and the expenses of convening shareholder meetings, ordinary legal and auditing matters, remuneration and expenses of the Directors (if any) and other reasonable expenses related to the foregoing. The following expenses are specifically excluded from Reimbursable Expenses: the Management Fee, brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including without limitation taxes and litigation expenses), securities lending fees and expenses, interest expense and transfer taxes. Subscription and repurchase charges, if any, are borne directly by shareholders and, accordingly, are also excluded from Reimbursable Expenses. The Investment Manager may modify or terminate this arrangement at any time upon notice to shareholders.
Effective 19 February 2019, the Investment Manager is permitted to recover from a Fund, on a class-by-class basis, as applicable, any such reimbursement paid by them (whether through reduction of their fees or otherwise) to the extent that the Fund’s Reimbursable Expenses later fall below the reimbursement threshold or the lower expense limit in effect when they seek to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after the Investment Manager reimbursed an expense. The amount the Investment Manager is entitled to recover may not cause the Fund to exceed the reimbursement threshold or the lower expense limit in effect when the Investment Manager seeks recovery.
Directors’ fees The aggregate amount of Directors’ remuneration in any one year shall not exceed €75,000 or such other amount as may be determined by the Directors and notified to shareholders from time to time. Any such change in the maximum aggregate amount of Directors’ remuneration shall also be disclosed in an update to the prospectus or in the Company’s financial statements, whichever is published sooner. The Directors that are employees of the Investment Manager or GMO UK Limited do not intend to receive such remuneration. As such, the Directors who were in receipt of fees during the financial year were Ms. Eimear Cowhey and Mr. John Fitzpatrick.
4. Auditors’ remuneration
The tables below outline the remuneration paid to the statutory auditors for the financial years ended 30 September 2020 and 30 September 2019.
For the financial year ended GEAIF Quality EMEF GRRUF EDOEF Total 30 September 2020 £ US$ US$ US$ US$ £ Statutory audit fees 10,946 14,857 14,874 68,114 14,857 98,966 Total 10,946 14,857 14,874 68,114 14,857 98,966
For the financial year ended GEAIF Quality EMEF GRRUF EDOEF Total 30 September 2019 £ US$ US$ US$ US$ £ Statutory audit fees 11,058 13,266 13,322 60,662 13,341 89,931 Total 11,058 13,266 13,322 60,662 13,341 89,931
Other than statutory audit fees, no other fees were paid to the auditors. Auditors out-of-pocket expenses for the financial year ended 30 September 2020 amounted to £1,905 (30 September 2019: £1,858).
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5. Taxation
Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. On that basis, the Company is not chargeable to Irish tax on its income or gains.
However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to shareholders, any encashment, redemption, cancellation or transfer of shares and the holding of shares at the end of each eight year period beginning with the acquisition of such shares.
No Irish tax will arise on the Company in respect of chargeable events in respect of:
(a) a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation Act, 1997, as amended, are held by the Company or the Company has been authorised by the Irish Revenue to make gross payments in the absence of appropriate declarations; and
(b) certain exempted Irish tax resident shareholders who have provided the Company with the necessary signed declarations.
The Company may be subject to, and/or accrue, withholding, capital gains, transaction-based and other taxes imposed by certain jurisdictions on its investments. Taxes on foreign interest, dividend income and capital gains are generally withheld, assessed and/or accrued in accordance with the applicable country’s tax treaty with Ireland and are recorded in the Statement of Comprehensive Income. There are some cases where the Company may not be able to benefit from reduced rates of withholding tax under the provisions of the double tax treaties which Ireland has entered into with various countries. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amounts of such refunds that a Fund reasonably determines to be collectible and free from significant contingencies are reflected in a Fund’s NAV and are reflected as Dividend income in the Statement of Comprehensive Income. Absent a determination that the amount of a refund is collectible and free from significant contingencies, such amount is not reflected in the Fund’s NAV.
In addition, the Company and/or shareholders may be subject to taxation and tax reporting obligations in jurisdictions in which the Funds make investments. The Company may seek to collect refunds in respect of taxes paid by the Funds to certain countries. In those cases, all or a portion of those taxes could ultimately be recovered. However, the recovery process could take several years and the Company will incur expenses in its efforts to collect such refunds, which will reduce the benefit to the relevant Fund of any recovery. The Company’s efforts to collect a refund may not be successful, in which case the relevant Fund will have incurred additional expenses for no economic benefit. The Company’s decision to pursue refunds is in its sole discretion, and it may decide not to pursue refunds, even if eligible.
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6. Exchange rates
The following exchange rates (against the British Pound Sterling) were used to convert the assets and liabilities denominated in currencies other than the British Pound Sterling, for GEAIF, as at 30 September 2020 and 30 September 2019:
As at As at 30 September 2020 30 September 2019 Australian Dollar (AUD) 1.8037 1.8271 Brazilian Real (BRL) 7.2868 5.1330 Canadian Dollar (CAD) 1.7269 1.6316 Chilean Peso (CLP) 1,018.4935 897.3667 Chinese Yuan Renminbi Onshore (CNY) 8.8047 N/A Colombian Peso (COP) N/A 4,286.4986 Danish Krone (DKK) 8.2064 8.4395 Euro (EUR) 1.1025 1.1303 Hong Kong Dollar (HKD) 10.0192 9.6605 Hungarian Forint (HUF) 400.3860 378.6252 Indian Rupee (INR) 95.3828 87.3316 Indonesian Rupiah (IDR) 19,236.8603 17,492.4922 Israeli Shekel (ILS) 4.4218 4.2832 Japanese Yen (JPY) 136.4292 133.1808 Malaysian Ringgit (MYR) 5.3722 5.1596 Mexican Peso (MXN) 28.5395 24.3305 New Zealand Dollar (NZD) 1.9558 1.9652 Norwegian Krone (NOK) 12.0962 11.1966 Philippine Peso (PHP) 62.6749 63.8701 Polish Zloty (PLN) 4.9984 4.9405 Russian Ruble (RUB) 100.3229 79.9547 Singapore Dollar (SGD) 1.7648 1.7041 South African Rand (ZAR) 21.5639 18.6847 South Korean Won (KRW) 1,511.9293 1,474.0151 Swedish Krona (SEK) 11.5706 12.1162 Swiss Franc (CHF) 1.1878 1.2288 Taiwan New Dollar (TWD) 37.4421 38.2315 Thai Baht (THB) 40.9656 37.6899 Turkish Lira (TRY) 9.9599 6.9582 United Arab Emirates Dirham (AED) 4.7486 4.5264 United States Dollar (USD) 1.2928 1.2323
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6. Exchange rates (continued)
The following exchange rates (against the U.S. Dollar) were used to convert the assets and liabilities denominated in currencies other than the U.S. Dollar, for Quality, EMEF, GRRUF and EDOEF, as at 30 September 2020 and 30 September 2019:
As at As at 30 September 2020 30 September 2019 Australian Dollar (AUD) 1.3952 1.4827 Brazilian Real (BRL) 5.6365 4.1654 British Pound Sterling (GBP) 0.7735 0.8115 Canadian Dollar (CAD) 1.3358 1.3240 Chilean Peso (CLP) 787.8200 728.2050 Chinese Yuan Renminbi Onshore (CNY) 6.8106 7.1384 Colombian Peso (COP) 3,854.3500 3,478.4550 Czech Republic Koruna (CZK) 23.1003 23.6801 Danish Krone (DKK) 6.3478 6.8486 Egyptian Pound (EGP) 15.7600 16.2663 Euro (EUR) 0.8528 0.9173 Hong Kong Dollar (HKD) 7.7500 7.8394 Hungarian Forint (HUF) 309.7046 307.2510 Indian Rupee (INR) 73.7800 70.8688 Indonesian Rupiah (IDR) 14,880.0000 14,195.0000 Israeli Shekel (ILS) 3.4203 3.4758 Japanese Yen (JPY) 105.5300 108.0750 Kuwaiti Dinar (KWD) 0.3065 N/A Malaysian Ringgit (MYR) 4.1555 4.1870 Mexican Peso (MXN) 22.0758 19.7440 New Zealand Dollar (NZD) 1.5129 1.5948 Norwegian Krone (NOK) 9.3566 9.0860 Pakistani Rupee (PKR) 165.7500 156.3250 Peruvian Sol (PEN) 3.5970 3.3841 Philippine Peso (PHP) 48.4800 51.8300 Polish Zloty (PLN) 3.8664 4.0092 Qatari Rial (QAR) 3.6410 3.6410 Romanian Leu (RON) 4.1564 4.3504 Russian Ruble (RUB) 77.6013 64.8825 Saudi riyal (SAR) 3.7509 N/A Singapore Dollar (SGD) 1.3651 1.3829 South African Rand (ZAR) 16.6800 15.1625 South Korean Won (KRW) 1,169.5000 1,196.1500 Sri Lankan Rupee (LKR) 185.0000 182.1250 Swedish Krona (SEK) 8.9500 9.8322 Swiss Franc (CHF) 0.9188 0.9972 Taiwan New Dollar (TWD) 28.962 31.0245 Thai Baht (THB) 31.6875 30.5850 Turkish Lira (TRY) 7.7042 5.6465 United Arab Emirates Dirham (AED) 3.6732 3.6732 Vietnamese Dong (VND) 23,182.0000 23,201.0000
The average exchange rate used for the purpose of translating the Statement of Comprehensive Income for the Company was: £1 = US$1.2804 (30 September 2019: £1 = US$1.2753).
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7. Collateral
When entering into an OTC derivative instrument and during the term of that transaction, the Funds and/or the counterparty may post or receive cash or securities as collateral related to changes in the market value of the derivative. Additionally, the counterparty may require additional collateral that is unrelated to changes in the market value of the derivative. Collateral may be rehypothecated by the party receiving the collateral. If the counterparty enters into insolvency proceedings or otherwise defaults on its obligations, the ability of the Funds to recover collateral posted to the counterparty may be delayed or limited.
Upon entering into an exchange-traded or cleared derivative instrument, the Funds are required to deposit cash, U.S. government or agency obligations or other liquid assets with the clearing broker in accordance with the initial margin requirements of the broker or exchange. The value of each of the Funds’ exchange-traded or cleared derivative instruments 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.
For repurchase agreements, the Fund, through the Depositary, takes possession of securities collateralising the repurchase agreement and may rehypothecate the collateral. The collateral is marked-to-market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. If the seller defaults or enters into insolvency proceedings and the value of the collateral declines, recovery of cash by the Fund may be delayed or limited.
For reverse repurchase agreements, the Fund can use the cash collateral proceeds received to make additional investments, which can cause the Fund’s portfolio to behave as if it was 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 would realise a loss equal to the difference between the value of those securities and the cost. In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honour the Fund’s right to repurchase the securities.
Collateral Pledged by GEAIF
Cash Collateral and/or Margin
Cash collateral and/or margin pledged by GEAIF to counterparties for OTC and/or exchange-traded positions are shown in the table below:
Value £ Value £ Broker As at 30 September 2020 As at September 201 9 J.P. Morgan Securities LLC - 3,579 Morgan Stanley & Co. LLC 17,431 21,847 Total Value 17,431 25,426
Security Collateral Pledged
The nominal value and market value of the underlying securities pledged by GEAIF as collateral and/or margin to the counterparties as at 30 September 2020 were:
Nominal Value Value Collateralised Broker £ Security Description £ position J.P. Morgan Securities LLC 20,000 United States Treasury Bill, Zero Coupon, due 22/04/21 15,461 Exchange Traded Total Value 15,461
There were no underlying securities pledged by GEAIF as collateral and/or margin to the counterparties as at 30 September 2019.
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7. Collateral (continued)
Collateral Pledged to GEAIF
Cash Collateral and/or Margin
Cash collateral and/or margin pledged to GEAIF by counterparties for OTC and/or exchange-traded positions are shown in the table below:
Value £ Value £ Broker As at 30 September 2020 As at September 2019 J.P. Morgan Securities LLC 208 - Total Value 208 -
Collateral Pledged by Quality
Cash Collateral or Margin by Quality
There were no cash collateral and/or margin pledged by Quality for OTC and/or exchange-traded positions as at 30 September 2020 or 30 September 2019.
Collateral Pledged to Quality
Cash Collateral and/or Margin
There were no cash collateral and/or margin pledged to Quality for OTC and/or exchange-traded positions as at 30 September 2020 or 30 September 2019.
Collateral Pledged by EMEF
Cash Collateral and/or Margin
Cash collateral and/or margin pledged by EMEF to counterparties for OTC and/or exchange-traded positions are shown in the table below:
Value US$ Value US$ Broker As at 30 September 2020 As at September 201 9 J.P. Morgan Securities LLC 65,718 - Morgan Stanley & Co. LLC 994,806 - Total Value 1,060,524 -
Collateral Pledged to EMEF
Cash Collateral or Margin to EMEF
There were no cash collateral and/or margin pledged to EMEF for OTC and/or exchange-traded positions as at 30 September 2020 or 30 September 2019.
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7. Collateral (continued)
Collateral Pledged by GRRUF
Cash Collateral or Margin by GRRUF
Cash collateral and/or margin pledged by GRRUF to counterparties for OTC and/or exchange-traded positions are shown in the table below:
Value US$ Value US$ Broker As at 30 September 2020 As at September 2019 Barclays Bank Plc - 5,530,000 Citibank N.A. - 330,000 Credit Suisse International 50,000 20,000 Credit Suisse Securities (USA) LLC - 1,470,892 Goldman Sachs International 1, 820,000 - J.P. Morgan Securities LLC - 8,849,780 Morgan Stanley & Co. LLC 6,379,778 - UBS Securities LLC 80,760 - Total Value 8,330,538 16,200,672
Security Collateral Pledged
The nominal value and market value of the underlying securities pledged by GRRUF as collateral and/or margin to the counterparties as at 30 September 2020 were:
Nominal Value Value Collateralised Broker US $ Security Description US $ position JP Morgan Chase Bank, N.A. 1,538,000 United States Treasury Note, 1.75%, due 1,573,206 OTC 28/02/22 JP Morgan Chase Bank, N.A. 2,916,000 United States Treasury Note, 1.50%, due 2,969,308 OTC 31/01/22 J.P. Morgan Securities LLC 12,465,000 United States Treasury Note, 1.50%, due 12,692,876 Exchange-traded 31/01/22 J.P. Morgan Securities LLC 12,881,000 United States Treasury Note, 1.75%, due 13,175,854 Exchange-traded 28/02/22 Morgan Stanley & Co. LLC 41,550,000 United States Treasury Note, 1.75%, due 42,501,105 Exchange-traded 28/02/22 Morgan Stanley & Co. LLC 15,699,000 United States Treasury Floating Rate 15,722,326 Exchange-traded Note, 0. 25%, due 31/01/22 State Street Bank and Trust 4,667,000 United States Treasury Note, 1.75%, due 4,773,831 OTC Company 28/02/22 UBS Securities LLC 1,492,000 United States Treasury Note, 1.75%, due 1,526,153 Exchange-traded 28/02/22 Total Value 94,934,659
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7. Collateral (continued)
Collateral Pledged by GRRUF (continued)
Security Collateral Pledged (continued)
The nominal value and market value of the underlying securities pledged by GRRUF as collateral and/or margin to the counterparties as at 30 September 2019 were:
Nominal Value Value Collateralised Broker US $ Security Description US $ position JP Morgan Chase Bank, N.A. 8,018,000 United States Treasury Floating Rate 8,009,939 OTC Note, 1.89%, due 31/07/20 JP Morgan Securities LLC 2,400,000 United States Treasury Floating Rate 2,398,306 Exchange-traded Note, 1.88%, due 30/04/20 Morgan Stanley & Co. LLC 37,719,000 United States Treasury Floating Rate 37,692,381 Exchange-traded Note, 1.88%, due 30/04/20 Morgan Stanley & Co. LLC 130,000 United States Treasury Floating Rate 129,870 Exchange-traded Note, 1.89%, due 31/07/20 State Street Bank and Trust 1,084,000 United States Treasury Floating Rate 1,082,910 OTC Company Note, 1.89%, due 31/07/20 UBS Securities, LLC 3,675,000 United States Treasury Floating Rate 3,671,305 Exchange-traded Note, 1.88%, due 30/04/20 UBS Securities, LLC 2,542,000 United States Treasury Floating Rate 2,540,206 Exchange-traded Note, 1.89%, due 31/07/20 Total Value 55,524,917
Collateral Pledged to GRRUF
Cash Collateral or Margin Pledged to GRRUF
Cash collateral and/or margin pledged to GRRUF by counterparties for OTC and/or exchange-traded positions are shown in the table below:
Value US$ Value US$ Broker As at 30 September 2020 As at September 201 9 Barclays Bank Plc 5,910,000 - Citibank N.A. 690,000 - Citigroup Global Markets, Inc. 650,000 - Deutsche Bank AG 2,200,000 4,945 ,000 J.P. Morgan Securities LLC 224,710 836,422 Morgan Stanley & Co. LLC - 1,671,671 UBS AG - 580,000 UBS Securities LLC - 47,600 Total Value 9,674,710 8,080,693
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7. Collateral (continued)
Collateral Pledged to GRRUF (continued)
Security Collateral Pledged
The nominal value and market value of the underlying securities pledged to GRRUF as collateral and/or margin to the counterparties as at 30 September 2020 were:
Nominal Value Value Collateralised Broker US $ Security Description US $ position Bank of America 490,000 United States Treasury Note, 1.75%, 518,596 OTC 30/06/24 Morgan Stanley & Co., 3,983,000 United States Treasury Note, 6.13%, 5,605,917 OTC International Plc 15/11/27 Morgan Stanley Capital 1,655,000 United States Treasury Note, 2.13%, 1,765,226 OTC Services 29/02/24 Total Value 7,889,739
The nominal value and market value of the underlying securities pledged to GRRUF as collateral and/or margin to the counterparties as at 30 September 2019 were:
Nominal Value Value Collateralised Broker US $ Security Description US $ position Bank of America 666,000 United States Treasury Note, 2.13%, 680,621 OTC due 29/02/24 Bank of America 275,000 United States Treasury Note, 1.50%, 274,141 OTC due 31/01/22 Bank of America 236,000 United States Treasury Note, 2.25%, 242,287 OTC due 31/01/24 Mizuho Securities USA Inc. 141,300,000 United States Treasury Note, 2.75%, 145,009,846 Repurchase due 31/07/23 agreement Morgan Stanley & Co., 3,860,000 United States Treasury Note, 2.25%, 3,979,268 OTC International Plc due 31/10/24 Morgan Stanley Capital 350,000 United States Treasury Bill, 0.00%, 348,820 OTC Services due 05/12/19 Morgan Stanley Capital 1,980,000 United States Treasury Bill, 0.00%, 1,949,098 OTC Services due 13/08/20 Total Value 152,484,081
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7. Collateral (continued)
Collateral Pledged by EDOEF
Cash Collateral or Margin by EDOEF
Cash collateral and/or margin pledged by EDOEF to counterparties for OTC and/or exchange-traded positions are shown in the table below:
Value US$ Value US$ Broker As at 30 September 2020 As at September 201 9 J.P. Morgan Securities LLC 160,507 - Morgan Stanley & Co. LLC 324,426 - Total Value 484,933 -
Security Collateral
There were no underlying securities pledged by EDOEF as collateral and/or margin to the counterparties as at 30 September 2020.
The nominal value and market value of the underlying securities pledged by EDOEF as collateral and/or margin to the counterparties as at 30 September 2019 were:
Nominal Value Value Collateralised Broker US $ Security Description US $ position Morgan Stanley & Co. LLC 90,000 United States Treasury Bill, 0.00%, due 89,755 Exchange-traded 21/11/19 89,755
Collateral Pledged to EDOEF
Cash Collateral or Margin Pledged to EDOEF
There were no cash collateral and/or margin pledged to EDOEF for OTC and/or exchange-traded positions as at 30 September 2020 or 30 September 2019.
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8. Fair value information
Fair value hierarchy FRS 102 Section 11.27 on “Fair Value Disclosure” requires disclosure relating to the fair value hierarchy in which fair value measurements are categorised for assets and liabilities. The disclosures are based on a three-level fair value hierarchy for the inputs used in valuation techniques to measure fair value.
Financial assets and financial liabilities are measured in the Statement of Financial Position at fair value. The fair value measurements are categorised within a three-level hierarchy. The valuation hierarchy is based upon the relative observability and reliability of inputs to the valuation of each of the Fund’s investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:
Level 1 – The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date.
The types of assets and liabilities categorised 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 – Inputs other than quoted prices included within Level 1 that are observable (i.e., developed using market data) for the asset or liability, either directly or indirectly.
The types of assets and liabilities categorised 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 rights and warrants; and certain securities that are valued at the local price.
Level 3 – Inputs are unobservable (i.e., for which market data is unavailable) for the asset or liability.
The types of assets and liabilities categorised in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; 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 and certain securities that are valued using a price from a comparable security related to the same issuer.
The level in the fair value hierarchy within which the fair value measurement is categorised is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. The significance of an input is assessed against the fair value measurement in its entirety.
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8. Fair value information (continued)
Fair value hierarchy (continued) If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, this may be deemed to fall within Level 3 of the fair value hierarchy. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, and the consideration of factors specific to the asset or liability.
The determination of what constitutes “observable” requires significant judgement by the Investment Manager. The Investment Manager considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.
The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2020:
Level 1 Level 2 Level 3 Total GEAIF £ £ £ £ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 36,237,084 - - 36,237,084 Debt obligations U.S. government 464,027 - - 464,027 Total debt obligations 464,027 - - 464,027 Short-term investments 12,254 - - 12,254 TOTAL INVESTMENTS 36,713,365 - - 36,713,365 Derivatives* Futures contracts 58 - - 58 Total financial assets at fair value through profit or loss 36,713,423 - - 36,713,423
Liability Valuation Inputs Financial liabilities at fair value through profit or loss: Derivatives* Futures contracts (565) - - (565) Total financial liabilities at fair value through profit or loss (565) - - (565)
Level 1 Level 2 Level 3 Total Quality US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 263,986,700 - - 263,986,700 Debt obligations U.S. government 6,898,683 - - 6,898,683 Total debt obligations 6,898,683 - - 6,898,683 Short-term investments 56,164 - - 56,164 TOTAL INVESTMENTS 270,941,547 - - 270,941,547 Total financial assets at fair value through profit or loss 270,941,547 - - 270,941,547
Quality had no financial liabilities as at 30 September 2020 .
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8. Fair value information (continued)
Fair value hierarchy (continued) The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2020 (continued):
Level 1 Level 2 Level 3 Total EMEF US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 208,299,878 - 40,795 208,340,673 Collective investment schemes 2,559,464 - - 2,559,464 Short-term investments 3,278,714 3,278,714 TOTAL INVESTMENTS 214,138,056 - 40,795 214,178,851 Derivatives* Futures contracts 7,092 - - 7,092 Total financial assets at fair value through profit or loss 214,145,148 - 40,795 214,185,943
Liability Valuation Inputs Financial liabilities at fair value through profit or loss: Derivatives* Swap contracts - (36,945) - (36,945) Total financial liabilities at fair value through profit or loss - (36,945) - (36,945)
Level 1 Level 2 Level 3 Total GRRUF US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 1,389,379,933 - 12,285,230 1,401,665,163 Rights and warrants 268,820 - - 268,820 Debt obligations Asset backed securities - 98,289,497 3,291,807 101,581,304 Corporate debt - 60,466,220 - 60,466,220 U.S. government agency 14,997,410 - - 14,997,410 Foreign government obligations - 28,899,647 - 28,899,647 Municipal debt - 3,577,228 - 3,577,228 U.S. government 386,455,131 - - 386 ,455,131 Total debt obligations 401,452,541 191,232,592 3,291,807 595,976,940 Collective investment schemes 59,698,569 - - 59,698,569 Short-term investments 9,874,550 - - 9,874,550 TOTAL INVESTMENTS 1,860,674,413 191,232,59 2 15,577,037 2,067,484,042 Derivatives* Forward currency contracts - 28,437,311 - 28,437,311 Futures contracts 8,773,494 - - 8,773,494 Swap contracts - 7,733,965 - 7,733,965 Total financial assets at fair value through profit or loss 1,869,447,907 227,403,868 15,577,037 2,112,428,812
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8. Fair value information (continued)
Fair value hierarchy (continued) The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2020 (continued):
Level 1 Level 2 Level 3 Total GRRUF (continued) US$ US$ US$ US$ Liability Valuation Inputs Financial liabilities at fair value through profit or loss: Derivatives* Forward currency contracts - (16,856,885) - (16,856,885) Futures contracts (5,055,747) - - (5,055,747) Options (237,475) (32,154) - (269,629) Swap contracts - (3,149,194) - (3,149,194) Total financial liabilities at fair value through profit or loss (5,293,222) (20,038,233) - (25,331,455)
Level 1 Level 2 Level 3 Total EDOEF US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 129,926,724 - - 129,926,724 Collective investment schemes 19,063,158 - - 19,063,158 Short-term investments 10,873,321 - - 10,873,321 TOTAL INVESTMENTS 159,863,203 - - 159,863,203 Derivatives* Forward currency contracts - 44,467 - 44,467 Futures contracts 24,202 - - 24,202 Total financial assets at fair value through profit or loss 159,887,405 44,467 - 159,931,87 2
Liability Valuation Inputs Financial liabilities at fair value through profit or loss: Derivatives* Forward currency contracts - (115,527) - (115,527) Futures contracts (46,369) - - (46,369) Total financial liabilities at fair value through profit or loss (46,369) (115,527) - (161,896)
* The tables above are based on market values or unrealised appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.
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8. Fair value information (continued)
Fair value hierarchy (continued) The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2019:
Level 1 Level 2 Level 3 Total GEAIF £ £ £ £ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 41,405,990 - 4,222 41,410,212 Debt obligations U.S. government 445,625 - - 445,625 Total debt obligations 445,625 - - 445,625 TOTAL INVESTMENTS 41,851,615 - 4,222 41,855,837 Total financial assets at fair value through profit or loss 41,851,615 - 4,222 41,855,837
Liability Valuation Inputs Financial liabilities at fair value through profit or loss: Derivatives* Futures contracts (7,399) - - (7,399) Total financial liabilities at fair value through profit or loss (7,399) - - (7,399)
Level 1 Level 2 Level 3 Total Quality US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 51,498,588 - - 51,498,588 Debt obligations U.S. government 919,915 - - 919,915 Total debt obligations 919,915 - - 919,915 Short-term investments 119,340 - - 119,340 TOTAL INVESTMENTS 52,537,843 - - 52,537,843 Total financial assets at fair value through profit or loss 52,537,843 - - 52,537,843
Quality had no financial liabilities as at 30 September 2019 .
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8. Fair value information (continued)
Fair value hierarchy (continued) The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2019 (continued):
Level 1 Level 2 Level 3 Total EMEF US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 136,700,731 - 101,103 136,801,834 Debt obligations U.S. government 3,999,632 - - 3,999,632 Total debt obligations 3,999,632 - - 3,999,632 Collective investment schemes 6,245,873 - - 6,245,873 TOTAL INVESTMENTS 146,946,236 - 101,103 147,047,339 Total financial assets at fair value through profit or loss 146,946,236 - 101,103 147,047,339
Liability Valuation Inputs Financial liabilities at fair value through profit or loss: Derivatives* Swap contracts - (190,410) - (190,410) Total financial liabilities at fair value through profit or loss - (190,410) - (190,410)
Level 1 Level 2 Level 3 Total GRRUF US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 1,782,271,475 - 5,805,174 1,788,076,649 Rights and warrants 2,142 - 124,912 127,054 Debt obligations Asset backed securities - 159,257,758 3,892,879 163,150,637 Corporate debt - 55,973,400 - 55,973,400 U.S. government agency 127,446,674 - - 127,446,674 Foreign government obligations - 196,693,043 - 196,693,043 Municipal debt - 5,484,860 - 5,484,860 U.S. government 205,784,670 307,036,740 - 512,821,410 Total debt obligations 333,231,344 724,445,801 3,892,879 1,061,570,024 Repurchase agreements - 145,001,186 - 145,001,186 Collective investment schemes 19,757,869 - - 19,757,869 TOTAL INVESTMENTS 2,135,262,830 869,446,987 9,822,965 3,014,532,782 Derivatives* Forward currency contracts - 23,5 13,791 - 23,513,791 Futures contracts 3,881,687 - - 3,881,687 Options 630,204 31,530 - 661,734 Swap contracts - 10,620,325 - 10,620,325 Total financial assets at fair value through profit or loss 2,139,774,721 903 ,612,633 9,822,965 3,053,210,319
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8. Fair value information (continued)
Fair value hierarchy (continued) The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2019 (continued):
Level 1 Level 2 Level 3 Total GRRUF (continued) US$ US$ US$ US$ Liability Valuation Inputs Financial liabilities at fair value through profit or loss: Derivatives* Forward currency contracts - (29,899,622) - (29,899,622) Futures contracts (1,922,180) - - (1,922,180) Options (2,683,783) (201,569) - (2,885,352) Swap contracts - (8,382,667) - (8,382,667) Total financial liabilities at fair value through profit or loss (4,605,963) (38,483,858) - (43,089,821)
Level 1 Level 2 Level 3 Total EDOEF US$ US$ US$ US$ Asset Valuation Inputs Financial assets at fair value through profit or loss: Equities 110,823,134 - - 110,823,134 Rights and warrants - 883,038 - 883,038 Debt obligations U.S. government 1,376,486 - - 1,376,486 Total debt obligations 1,376,486 - - 1,376,486 Collective investment schemes 15,221,545 - - 15,221,545 TOTAL INVESTMENTS 127,421,165 883,038 - 128,304,203 Total financial assets at fair value through profit or loss 127,421,165 883,038 - 128,304,203
EDOEF had no financial liabilities as at 30 September 2019.
* The tables above are based on market values or unrealised appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.
9. Investment and other risks
The Company’s investment activities expose it to the various types of risks which are associated with the financial instruments and markets in which the Company’s Funds invest. The Company’s risk management policies seek to minimise the potential adverse effects of these risks on each Fund’s financial performance in order to satisfy the investment objectives of the Funds. There can be no assurance that a Fund will achieve its investment objective. Prospective investors should read the entire prospectus and consult with their own advisers before subscribing for shares. Shares should only be purchased as a supplement to an overall investment programme and only by investors able to undertake the risks involved. The Investment Manager’s assessment of the prospects of investments may not prove accurate. No assurance can be given that any investment or trading strategy implemented by the Investment Manager on behalf of the Fund will be successful and, because of the speculative nature of the Fund’s investment and trading strategy, investors may suffer a significant loss of their invested capital, including loss of the entire investment. The value of shares may rise or fall, as the capital value of the securities in which each Fund invests may fluctuate. The investment income of each Fund is based on the income earned on the securities it holds, less expenses incurred. Therefore, each Fund’s investment income may be expected to fluctuate in response to changes in such expenses or income.
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9. Investment and other risks (continued)
The Board of Directors of the Company meet on a quarterly basis and, at these meetings, the Board of Directors reviews the investment performance and reports prepared by the Investment Manager. The Board of Directors delegates the day-to-day responsibility for investment management to the Investment Manager, who is responsible for ensuring that the Funds are managed within the terms of the investment guidelines and limits set out in the Company’s prospectus (including any supplements there-to) and the Investment Manager’s own internal investment guidelines and limits.
The Funds’ investments comply with the investment restrictions contained in the Central Bank's UCITS Regulations and related guidance. GEAIF, Quality, EMEF and EDOEF use the “commitment approach”, while GRRUF uses the “value-at-risk” (“VaR”) approach to calculate the global exposure of the Funds in accordance with the requirements of the Central Bank. See section entitled “Measurement of Market Risk and Leverage using the Commitment Approach and VaR”.
Risk control is an integral part of the Investment Manager’s investment construction process, rather than being carried out as a separate function. The integration of the investment control processes into the quantitative methods assists in preventing deviations from investment restrictions in the Funds. Thus, where possible, investment guidelines are programmed into optimisation routines, ensuring that guidelines with respect to maximum and minimum exposures are measured and adjusted as necessary. Investments of each Fund are reviewed by the relevant GMO LLC portfolio manager to ensure that the guidelines are understood and followed with respect to such areas as permitted investments, derivatives usage and out-of-benchmark exposures.
The following provides an overview of the risk exposures of the Funds but is not intended to be a comprehensive summary of all risks. Investors should refer to the prospectus for a more detailed discussion of the risks inherent in investing in the Funds.
(a) Market risk Market risk arises mainly from uncertainty about future values of financial instruments held, specifically from price, currency and interest rate movements. This is the general risk attendant to all investments that the value of a particular investment will change in a way detrimental to the Funds’ interests. It represents the potential gains or losses a Fund might suffer through holding positions in the face of market movements.
The Investment Manager considers the asset allocation of the portfolio in order to minimise the risk associated with particular countries or industry sectors whilst continuing to follow the Fund’s investment objectives.
(i) Price risk Price risk is the risk that the fair value or future cash flows of a security or financial instrument will fluctuate because of changes in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual security or financial instrument or its issuer, or factors affecting similar securities or financial instruments traded in the market. The Funds’ price risk is primarily managed by holding a diversified basket of securities to reduce the risk that a price change of a particular investment will have a material impact on the Funds.
As outlined in the prospectus, the securities in which the Funds may invest shall include, without limitation, common stocks, depositary receipts, debt securities and related securities such as convertibles, preferred stocks, income trusts, royalty trusts, exchange-traded funds, REITs, private placements, rights, warrants and indexed securities.
Some risks of investing globally in equity securities may include changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalisation, imposition of withholding taxes on dividend or interest payments, and difficulty in obtaining and enforcing judgements against entities. See the sections below entitled “Equities Risks” and “Risks of Investment in Emerging Market Countries”. Also, to the extent a Fund takes short positions, increases in the market value of equity securities may be adverse to the Fund. Certain issuers of equity securities may be subject to different, often less comprehensive accounting, reporting and disclosure requirements, may be listed on less liquid and more volatile markets, and may be subject to high brokerage commissions and other fees. There are also special tax considerations which apply to securities of certain issuers. The value of certain assets as measured in U.S. Dollars may be affected by changes in currency rates and exchange control regulations. Some currency exchange costs may be incurred when the Fund changes investments from one country to another. Currency exchange rates may fluctuate significantly over short periods of time.
In addition, the Investment Manager may, where appropriate in the context of each Fund, invest in a wide variety of exchange- traded and OTC derivatives for investment purposes and/or efficient portfolio management purposes, as the case may be.
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9. Investment and other risks (continued)
(a) Market risk (continued)
(i) Price risk (continued) Details of open derivatives are included in the Statements of Investments of each Fund. All realised/unrealised gains/losses arising during the period are included in the Statement of Comprehensive Income.
Past performance is no indication of future results. There can be no assurance that the return of the Funds will meet or exceed their respective benchmarks. The amount of the excess return variability (tracking error) is one measure of a Fund’s risk versus its benchmark index.
The risk disclosure provided is based on historical data and is a relative estimate of risk. The analysis does not take account of the fact that future market price movements, correlations between markets and levels of market liquidity in conditions of market stress may bear no relation to historical patterns.
Beta is a commonly used estimate of the Funds’ systematic risk. Very generally, beta is a measure of the co-movement of a portfolio in comparison to an index. The beta used in the table below has been estimated using rolling three year monthly observations and applied to the annualised monthly standard deviation of the benchmark returns over the same period to obtain the increase/decrease to the Fund’s net assets. The Investment Manager believes this methodology provides a reasonable and objective estimate of the Funds’ systematic risk.
30 September 20 20 30 September 2019 Fund Index Beta Beta GEAIF MSCI ACWI Class A EUR 0.98 0.99 Class A GBP 0.96 0.99 Class A USD 0.99 1.02 Quality MSCI World Class A GBP 1 - - Class A USD 0. 88 0.93 EMEF MSCI Emerging Markets 0.91 0.93 GRRUF 2 OECD G7 Consumer Price N/A 2 N/A 2 EDOEF MSCI Emerging Markets 0.90 0.91
2 GRRUF uses the absolute VaR approach. See Note 9(ff).
At 30 September 2020 and 30 September 2019, if the indices shown in the following tables had increased or decreased by the percentages shown with all other variables held constant, this would have increased or reduced net assets attributable to redeemable participating shareholders, respectively by approximately the amounts below:
30 September 2020
Increase/ Impact to Net Fund Index Decrease Asset Value GEAIF MSCI ACWI Class A EUR 15.0% 976,650 Class A GBP 12.9% 1,682,637 Class A USD 16.5% 2,858,371 Quality MSCI World Class A GBP 1 - - Class A USD 14.8% 40,021,898 EMEF MSCI Emerging Markets 17.1% 36,905,643 GRUFF 2 OECD G7 Consumer Price N/A 1 N/A 1 EDOEF MSCI Emerging Markets 17.0% 27,384,840
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9. Investment and other risks (continued)
(a) Market risk (continued)
(i) Price risk (continued)
30 September 2019
Increase/ Impact to Net Fund Index Decrease Asset Value GEAIF MSCI ACWI Class A EUR 10.4% 725,074 Class A GBP 9.9% 1,801,032 Class A USD 11.3% 2,487,112 Quality MSCI World 10.4% 5,408,382 EMEF MSCI Emerging Markets 12.9% 19,093,652 GRRUF 1 OECD G7 Consumer Price N/A 1 N/A 1 EDOEF MSCI Emerging Markets 12.6% 16,432,364
1 GRRUF uses the absolute VaR approach. See Note 9(ff).
(ii) Interest rate risk Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.
With the exception of GRRUF, the majority of the Funds’ financial assets and liabilities are non-interest bearing. Please see Note 9(p) “Fixed Income Risks” for important disclosures about the risks inherent in the investment in debt securities, including risks associated with interest rate movements.
The following tables show the interest rate sensitivity gap of the non-derivative financial instruments, interest rate swaps, if any, assets and liabilities held at the end of the financial year.
The interest rate profile of GRRUF’s financial assets and liabilities (including short-term debtors and creditors) as at 30 September 2020 was as follows:
Non-interest Up to 1 year 1 to 5 years Over 5 years bearing Total GRRUF US$ US$ US$ US$ US$ Assets Cash at bank 10,158,882 - - - 10,158,882 Receivables - - - 10,195,751 10,195,751 Due from broker - - - 8,330,538 8,330,538 Financial assets at fair value through profit or loss 64,618,478 406,443,162 125,666,863 1,471,507,102 2,068,235,605 Total assets 74,777,360 406,443,162 125,666,863 1,490,033,391 2,096,920,776
Liabilities Payables - - - (3,713,213) (3,713,213) Due to broker - - - (9,674,710) (9,674,710) Financial liabilities at fair value through profit or loss - (392,304) (1,185,569) - (1,577,873) Net assets attributable to holders of redeemable participating shares - - - (2,102,394,605) (2,102,394,605) Total liabilities - (392,304) (1,185,569) (2,115,782,528) (2,117,360,401)
Total interest rate sensitivity gap 74,777,360 406,050,858 124,481,294
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9. Investment and other risks (continued)
(a) Market risk (continued)
(ii) Interest rate risk (continued) The interest rate profile of GRRUF’s financial assets and liabilities (including short-term debtors and creditors) as at 30 September 2019 was as follows:
Non-interest Up to 1 year 1 to 5 years Over 5 years bearing Total GRRUF US$ US$ US$ US$ US$ Assets Cash at bank 10,957,431 - - - 10,957,431 Receivables - - - 17,614,178 17,614,178 Due from broker - - - 16,200,672 16,200,672 Financial assets at fair value through profit or loss 639,689,946 108,849,545 460,764,363 1,807,961,572 3,017,265,426 Total assets 650,647,377 108,849,545 460,764,363 1,841,776,422 3,062,037,707
Liabilities Payables - - - (58,799,394) (58,799,394) Due to broker - - - (8,080,693) (8,080,693) Financial liabilities at fair value through profit or loss - (17,079) (4,834,826) - (4,851,905) Net assets attributable to holders of redeemable participating shares - - - (2,988,012,692) (2,988,012,692) Total liabilities - (17,079) (4,834,826) (3,054,892,779) (3,059,744,684)
Total interest rate sensitivity gap 650,647,377 108,832,466 455,929,537
(iii) Currency risk Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments and includes the risk that the currencies in which a Fund’s investments are traded, in which the Fund receives income, and/or in which the Fund has taken a position, will decline in value relative to the currency in which the Fund is denominated. 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 is likely to realise a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons.
The details of the foreign currency exposures are disclosed in the notes below.
The Company is exposed to currencies of each of the countries in which it invests including those disclosed in the Statements of Investments.
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9. Investment and other risks (continued)
(a) Market risk (continued)
(iii) Currency risk (continued) The following tables set out the Funds' net exposure to foreign currency risk as at 30 September 2020 and 30 September 2019.
Currency exposure on financial assets
GEAIF and financial liabilities at fair Currency exposure Forward value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2020 £ £ £ £ Currency United States Dollars 12,648,234 61,677 - 12,709,911 Euro 5,876,801 27,446 - 5,904,247 Hong Kong Dollar 3,835,379 21,950 - 3,857,329 Japanese Yen 2,953,615 37,965 - 2,991,580 South Korean Won 1,482,238 - - 1,482,238 Other 7,848,941 73,5 33 - 7,922,474 34,645,208 222,571 - 34,867,779
Currency exposure on financial assets
and financial liabilities at fair Currency exposure Forward value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2019 £ £ £ £ Currency United States Dollar 14,928,079 277,499 - 15,205,578 Euro 6,370,847 16,875 - 6,387,722 Japanese Yen 4,019,387 58,907 - 4,078,294 Hon g Kong Dollar 3,511,601 (13,851) - 3,497,750 South Korean Won 1,489,922 130 - 1,490,052 Other 8,867,347 (8,104) - 8,859,243 39,187,183 331,456 - 39,518,639
As at 30 September 2020, had the exchange rate between the British Pound Sterling and other currencies to which GEAIF is exposed been increased or decreased by 10% with all other variables held constant, the increase or decrease in net assets attributable to redeemable participating shareholders would have amounted to approximately £3,486,778 (30 September 2019: £3,951,864). This sensitivity analysis is based on the assumption that the movements of non-U.S. Dollar currencies against the U.S. Dollar may have an effect on the valuation of GEAIF's investments and does not include the indirect currency risk generated by depositary receipts as they constitute an immaterial portion of GEAIF's net assets. Please see the Statement of Investments for additional detail. The Investment Manager believes that a variation of 10% of British Pound Sterling against the non-British Pound Sterling currency basket represents a reasonable estimate of how such currency exchange rates may have potentially varied.
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9. Investment and other risks (continued)
(a) Market risk (continued)
(iii) Currency risk (continued)
Currency exposure on financial assets Quality and financial liabilities Currency exposure Forward at fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2020 US$ US$ US$ US$ Currency Euro 17,955,158 1,778 - 17,956,936 Swiss Franc 9,834,845 - - 9,834,845 Taiwan New Dollar 7,898,684 34,760 - 7,933,444 British Pound Sterling 6,337,775 - - 6, 337,775 42,026,462 36,538 - 42,063,000
Quality did not have exposure to any other foreign currencies, as at 30 September 2020.
Currency exposure on financial assets and financial liabilities Currency exposure Forward at fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2019 US$ US$ US$ US$ Currency British Pound Sterling 2,465,967 - - 2,465,967 Euro 1,497,797 1,779 - 1,499,5 76 Swiss Franc 3,321,163 - - 3,321,163 Taiwan New Dollar 1,484,456 8,621 - 1,493,077 8,769,383 10,400 - 8,779,783
Quality did not have exposure to any other foreign currencies, as at 30 September 2019.
As at 30 September 2020, had the exchange rate between the U.S. Dollar and other currencies to which Quality is exposed been increased or decreased by 10% with all other variables held constant, the increase or decrease in net assets attributable to redeemable participating shareholders would have amounted to approximately US$4,206,300 (30 September 2019: US$877,978). This sensitivity analysis is based on the assumption that the movements of non-U.S. Dollar currencies against the U.S. Dollar may have an effect on the valuation of Quality’s investments and does not include the indirect currency risk generated by depositary receipts as they constitute an immaterial portion of Quality’s net assets. Please see the Statement of Investments for additional detail. The Investment Manager believes that a variation of 10% of U.S. Dollar against the non-U.S. Dollar currency basket represents a reasonable estimate of how such currency exchange rates may have potentially varied.
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9. Investment and other risks (continued)
(a) Market risk (continued)
(iii) Currency risk (continued)
Currency exposure on financial assets EMEF and financial liabilities Currency exposure Forward at fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2020 US$ US$ US$ US$ Currency Taiwan New Dollar 44,183,859 238,404 - 44,422,263 Hong Kong Dollar 43,723,934 249,782 - 43,973,716 South African Rand 9,285,199 8,758 - 9,293,957 Russian Ruble 8, 823,312 21,246 - 8,844,558 South Korean Won 8,775,141 6 - 8,775,147 Other 44,649,810 70,406 - 44,720,216 159,441,255 588,602 - 160,029,857
Currency exposure on financial assets and financial liabili ties Currency exposure Forward at fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 201 9 US$ US$ US$ US$ Currency Hong Kong Dollar 30,041,611 142,483 - 30,184,094 Taiwan New Dollar 22,660,593 86,403 - 22,746,996 Chinese Yuan Renminbi Onshore 13,184,124 - - 13,184,124 Turkish Lira 10,018,696 - - 10,018,696 South African Rand 6,797,255 15,692 - 6,812,947 Other 25,360,433 12 1,406 - 25,481,839 108,062,712 365,984 - 108,428,696
The tables above include currency exposure generated indirectly by EMEF’s investments in depositary receipts denominated in the functional currency of EMEF, which constitute Nil (30 September 2019: Nil) of EMEF’s net assets. The table above does not include currency exposure that could be generated by EMEF’s other investments in securities that are USD-denominated. Please see the Statement of Investments for additional detail on EMEF’s investments in depositary receipts and USD- denominated securities.
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9. Investment and other risks (continued)
(a) Market risk (continued)
(iii) Currency risk (continued)
EMEF (continued)
As at 30 September 2020, had the exchange rate between the U.S. Dollar and other currencies to which EMEF is exposed been increased or decreased by 10% with all other variables held constant, the increase or decrease in net assets attributable to redeemable participating shareholders would have amounted to approximately US$16,002,986 (30 September 2019: US$10,842,870). This sensitivity analysis is based on the assumption that the movements of non-U.S. Dollar currencies against the U.S. Dollar may have an effect on the valuation of EMEF’s investments. The Investment Manager believes that a variation of 10% of U.S. Dollar against the non-U.S. Dollar currency basket represents a reasonable estimate of how such currency exchange rates may have potentially varied.
Currency exposure on financial assets and GRRUF financial liabilities at Currency exposure Forward fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2020 US$ US$ US$ US$ Currency Pound Sterling 72,248,503 (1,110,526) 1,260,194,133 1,331,332,110 Euro 163,410,386 (6,981,16 5) 222,597,049 379,026,2 70 Hong Kong Dollar 200,508,331 518,862 (18,747,292) 182,279,901 Swedish Krona 12,227,247 4,682 154,270,027 166,501,956 Taiwan New Dollar 102,514,678 370,632 1,816,764 104,702,074 Other 511,315,529 5,273,457 (101,214,932) 415,374,054 1,062,224,674 (1,924,058) 1,518,915,749 2,579,216,365
Currency exposure on financial assets and financial liabilities at Currency exposure Forward fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2019 US$ US$ US$ US$ Currency Pound Sterling 83,842,897 589,223 1,993,601,745 2,078,033,865 Euro 199,063,325 954,680 507,666,808 707,684,813 Hong Kong Dollar 232,562,860 1,341,478 (29,101) 233,875,237 Swedish Krona 22,366,723 884 130,429,616 152,797,223 Japanese Yen 286,725,557 2,751,568 (149,348,417) 140,128,708 Other 649,484,183 (1,637,436) 113,826,990 761,673,737 1,474,045,545 4,000,397 2,596,147,641 4,074,193,583
The tables above do not reflect currency exposure as at 30 September 2020 and 30 September 2019, generated indirectly by GRRUF’s investments in depositary receipts as they constitute an immaterial portion of GRRUF’s net assets. Please see the Statement of Investments for additional detail.
GRRUF uses the VaR approach, see Note 9(ff).
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9. Investment and other risks (continued)
(a) Market risk (continued)
(iii) Currency risk (continued)
Currency exposure on financial assets and EDOEF financial liabilities at Currency exposure Forward fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2020 US$ US$ US$ US$ Currency Hong Kong Dollar 24,062,974 19,273 - 24,082,247 Taiwan New Dollar 21,482,272 (161,436) - 21,320,836 South Korean Won 11,792,965 1 - 11,792,966 Chinese Yuan Renminbi Onshore 11,324,052 - - 11,324,052 Indian Rupee 11,031,502 190,610 - 11,222,112 Other 16,217,095 210,311 (71,060) 16,356,346 95,910,860 258,759 (71,060) 96,098,559
Currency exposure on financial asse ts and financial liabilities at Currency exposure Forward fair value through on other assets/ currency Net currency profit or loss liabilities contracts exposure As at 30 September 2019 US$ US$ US$ US$ Currency Hong Kong Dollar 20,506,36 4 73,742 - 20,580,106 Taiwan New Dollar 14,335,698 51,184 - 14,386,882 Thai Baht 11,416,786 9,751 - 11,426,537 South Korean Won 8,429,098 42,694 - 8,471,792 Brazilian Real 7,317,82 7 (157,854) - 7,159,97 3 Other 37 ,438,94 4 155,223 - 37,594,16 7 99,444,717 174,740 - 99,619,457
The tables above include currency exposure generated indirectly by EDOEF’s investments in depositary receipts denominated in the functional currency of EDOEF, which constitute Nil (30 September 2019: 0.25%) of EDOEF’s net assets. The table above does not include currency exposure that could be generated by EDOEF’s other investments in securities that are USD- denominated. Please see the Statement of Investments for additional detail on EDOEF’s investments in depositary receipts and USD-denominated securities.
As at 30 September 2020, had the exchange rate between the U.S. Dollar and other currencies to which EDOEF is exposed been increased or decreased by 10% with all other variables held constant, the increase or decrease in net assets attributable to redeemable participating shareholders would have amounted to approximately US$9,616,962 (30 September 2019: US$9,961,946). This sensitivity analysis is based on the assumption that the movements of non-U.S. Dollar currencies against the U.S. Dollar may have an effect on the valuation of EDOEF’s investments. The Investment Manager believes that a variation of 10% of U.S. Dollar against the non-U.S. Dollar currency basket represents a reasonable estimate of how such currency exchange rates may have potentially varied.
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9. Investment and other risks (continued)
(b) Counterparty risk When a Fund enters into a contract with a counterparty, such as a repurchase or reverse repurchase agreement or an OTC derivatives contract, or lends its portfolio securities or allows an OTC derivative counterparty to retain possession of collateral, it runs the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honour its obligations. Lack of a common clearing facility creates counterparty risk. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, a Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. If the counterparty defaults, a Fund will have contractual remedies, but there can be no assurance that the counterparty will be able to meet its contractual obligations or that the Fund will be able to enforce its rights. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed 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 transaction 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. A Fund also may be exposed to similar risks with respect to brokers in jurisdictions where there are delayed settlement periods.
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.
There is a risk the counterparty might default on any OTC contract. The tables below detail the gross exposure on OTC derivatives to each counterparty.
GRRUF Credit As at Credit As at Rating 30 September 2020 Rating 30 September 2019 Counterparty US$ US$ Bank New York Melon AA - 152,616 N/A - Bank of America, N.A. A+ 1,119,974 A+ 2,467,052 Barclays Bank Plc A 8,928,208 A 815,780 Citibank N.A. A+ 1,183,149 A+ 175,334 Credit Suisse International A+ 25,566 A+ 18,731 Deutsche Bank AG BBB+ 2,310,779 BBB+ 5,227,883 Goldman Sachs International A+ 2,391,876 A+ 906,211 JP Mor gan Chase Bank, N.A. A+ 1,973,008 A+ 4,469,076 Morgan Stanley & Co. International Plc A+ 13,493,987 A+ 8,435,836 Morgan Stanley Capital Services A+ 2,407,991 A+ 962,399 National Australia Bank Ltd. N/A - AA - 6,773 State Street Bank and Trust Compan y AA - 1,124,583 AA - 6,088,299 UBS AG A+ 17,854 A+ 639,631 35,129,591 30,213,005
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9. Investment and other risks (continued)
(b) Counterparty risk (continued)
EDOEF Credit As at Credit As at Rating 30 September 2020 Rating 30 September 2019 Counterparty US$ US$ Barclays Bank Plc A 19,213 N/A - Morgan Stanley & Co. International Plc A+ 25,254 N/A - 44,467 -
The following tables represent the credit ratings of the Funds’ fixed income securities (excluding its exposure to derivative contracts):
GEAIF Credit Rating As at As at 30 September 2020 30 September 2019 %% Investment grade 97.43 100.00 Not Rated 2.57 - 100.00 100.00 Quality Credit Rating As at As at 30 September 2020 30 September 2019 %% Investment grade 99.19 100.00 Not Rated 0.81 - 100.00 100.00
EMEF Credit Rating As at As at 30 September 2020 30 September 2019 %% Investment grade 100.00 100.00 100.00 100.00
GRRUF Credit Rating As at As at 30 September 2 020 30 September 201 9 % % Investment grade 74.77 68.86 Non -investment grade 13.00 11.28 Not Rated 12.23 19.86 100.00 100.00
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9. Investment and other risks (continued)
(b) Counterparty risk (continued)
EDOEF Credit Rating As at As at 30 Se ptember 20 20 30 September 201 9 % % Investment grade 100.00 100.00 100.00 100.00
The Funds may invest in short-term investments, including money market funds and overnight deposits, for which maturities are typically three days or less. These investments are not included in the table above as credit ratings are not available for these securities.
(c) 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, or securities of companies with smaller market capitalizations or smaller total float- adjusted market capitalizations, 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 tends to 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 often 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, credit markets have experienced periods characterised by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell less liquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could, put significant downward price pressure on the market price of the securities being sold.
For the avoidance of doubt, none of the assets of the Funds were subject to special liquidity arrangements during the financial years ended 30 September 2020 and 30 September 2019 and no new arrangements were adopted to manage the liquidity of the Funds.
The liquidity profile of GEAIF's financial liabilities and derivative contracts as at 30 September 2020 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2020 £ £ £ £ Financial liabilities at fair value through profit or loss (565) - - (565) Forward currency contracts – gross inflows 12,204 - - 12,204 Forward currency contracts – gross outflows (12,204) - - (12,204) Due to broker (208) - - (208) Payables (106,606) - - (106,606) Net assets attributable to holders of redeemable participating shares (36,818,972) - - (36,818,972) Total liabilities (36,926,351) - - (36,926,351)
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9. Investment and other risks (continued)
(c) Illiquidity risk (continued)
The liquidity profile of GEAIF's financial liabilities and derivative contracts as at 30 September 2019 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2019 £ £ £ £ Financial liabilities at fair value through profit or loss (7,399) - - (7,399) Payables (175,633) - - (175,633) Net assets attributable to holders of redeemable participating shares (42,078,256) - - (42,078,256) Total liabilities (42,261,288) - - (42,261,288)
The liquidity profile of Quality's financial liabilities and derivative contracts as at 30 September 2020 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2020 US$ US$ US$ US$ Payables (293,986) - - (293,986) Net assets attributable to holders of redeemable participating shares (271,064,239) - - (271,064,239) Total liabilities (271,358,225) - - (271,358,225)
The liquidity profile of Quality's financial liabilities and derivative contracts as at 30 September 2019 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2019 US$ US$ US$ US$ Payables (5,000,426) - - (5,000,426) Net assets attributable to holders of redeemable participating shares (52,022,317) - - (52,022,317) Total liabilities (57,022,743) - - (57,022,743)
The liquidity profile of EMEF's financial liabilities and derivative contracts as at 30 September 2020 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2020 US$ US$ US$ US$ Financial liabilities at fair value through profit or loss (36,945) - - (36,945) Payables (386,377) - - (386,377) Net assets attributable to holders of redeemable participating shares (215,494,033) - - (215,494,033) Total liabilities (215,917,355) - - (215,917,355)
The liquidity profile of EMEF's financial liabilities and derivative contracts as at 30 September 2019 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2019 US$ US$ US$ US$ Financial liabilities at fair value through profit or loss (190,410) - - (190,410) Payables (397,417) - - (397,417) Net assets attributable to holders of redeemable participating shares (148,081,025) - - (148,081,025) Total liabilities (148,668,852) - - (148,668,852)
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9. Investment and other risks (continued)
(c) Illiquidity risk (continued)
The liquidity profile of GRRUF's financial liabilities and derivative contracts as at 30 September 2020 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2020 US$ US$ US$ US$ Financial liabilities at fair value through profit or loss (5,566,644) (1,614,382) (1,293,544) (8,474,570) Forward currency contracts – gross inflows 23,651,646,058 - - 23,651,646,058 Forward currency contracts – gross outflows (23,668,502,943) - - (23,668,502,943) Due to broker (9,674,710) - - (9,674,710) Payables (3,713,213) - - (3,713,213) Net assets attributable to holders of redeemable participating shares (2,102,394,605) - - (2,102,394,605) Total liabilities (2,138,206,057) (1,614,382) (1,293,544) (2,141,113,983)
The liquidity profile of GRRUF's financial liabilities and derivative contracts as at 30 September 2019 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2019 US$ US$ US$ US$ Financial liabilities at fair value through profit or loss (5,782,699) (2,572,674) (4,834,826) (13,190,199) Forward currency contracts – gross inflows 12,298,643,640 - - 12,298,643,640 Forward currency contracts – gross outflows (12,328,543,262) - - (12,328,543,262) Due to broker (8,080,693) - - (8,080,693) Payables (58,799,394) - - (58,799,394) Net assets attributable to holders of redeemable participating shares (2,988,012,692) - - (2,988,012,692) Total liabilities (3,090,575,100) (2,572,674) (4,834,826) (3,097,982,600)
The liquidity profile of EDOEF's financial liabilities and derivative contracts as at 30 September 2020 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2020 US$ US$ US$ US$ Financial liabilities at fair value through profit or loss (46,369) - - (46,369) Forward currency contracts – gross inflows 318,908,919 - - 318,908,919 Forward currency contracts – gross outflows (319,024,446) - - (319,024,446) Payables (2,620,166) - - (2,620,166) Net assets attributable to holders of redeemable participating shares (160,993,777) - - (160,993,777) Total liabilities (163,775,839) - - (163,775,839) The liquidity profile of EDOEF's financial liabilities and derivative contracts as at 30 September 2019 is as follows:
Up to 1 year 1 to 5 years Over 5 years Total As at 30 September 2019 US$ US$ US$ US$ Payables (753,604) - - (753,604) Net assets attributable to holders of redeemable participating shares (130,171,787) - - (130,171,787) Total liabilities (130,925,391) - - (130,925,391)
Illiquidity risk also arises from the redemption requests of investors.
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9. Investment and other risks (continued)
(d) Accelerated transactions risk For the Fund to take advantage of certain available investment opportunities, the Investment Manager may need to make investment decisions on an expedited basis. In such cases, the information available to the Investment Manager at the time of an investment decision may be limited. The Investment Manager may not, therefore, have access to the detailed information necessary for a full analysis and evaluation of the investment opportunity.
(e) Adjustable rate securities risks Although the rate adjustment feature may act as a buffer to reduce sharp changes in the market value of adjustable rate securities, changes in market interest rates or changes in the issuer’s creditworthiness may still affect their market value. Because the interest rate is reset only periodically, changes in the interest rates on adjustable rate securities may lag changes in prevailing market interest rates.
Also, some adjustable rate securities (or, in the case of securities backed by mortgage loans, the underlying mortgages) are subject to caps or floors that limit the maximum change in interest rate during a specified period or over the life of the security. Because of the rate adjustments, adjustable rate securities are less likely than non-adjustable rate securities of comparable quality and maturity to increase significantly in value when market interest rates fall.
(f) Asset-backed and related securities risks Investments in asset-backed securities not only are subject to all of the market risks described herein and in the Fund’s prospectus for fixed income securities 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 are particularly acute during periods of adverse market conditions, such as those that occurred in 2008.
(i) Mortgage-backed securities risks Unscheduled prepayments of the underlying mortgage loans may result in early payment of the applicable mortgage-backed securities held by the Fund. The Fund may be unable to invest prepayments in an investment that provides as high a yield as the mortgage-backed securities. Consequently, early payment associated with mortgage-backed securities may cause these securities to experience significantly greater price and yield volatility than traditional fixed income securities. Many factors affect the rate of mortgage loan prepayments, including changes in interest rates, general economic conditions, further deterioration of worldwide economic and liquidity conditions, the location of the property underlying the mortgage, the age of the mortgage loan, governmental action, including legal impairment of underlying home loans, changes in demand for products financed by those loans, the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages), and social and demographic conditions.
Mortgage-backed securities are subject to varying degrees of credit risk, depending on whether they are issued by agencies or instrumentalities of the U.S. or other governments (including those whose securities are neither guaranteed nor insured by the U.S. or other governments) or by non-governmental issuers. Securities issued by private organisations may not be readily marketable, and since the deterioration of worldwide economic and liquidity conditions that became acute in 2008, mortgage- backed securities have been subject to greater illiquidity risk. These conditions may occur again.
(ii) Other asset-backed securities risks These other asset-backed securities may be subject to risks associated with changes in interest rates and prepayment of underlying obligations similar to the risks of investment in mortgage-backed securities described immediately above. The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to herein 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 since the deterioration in worldwide economic and liquidity conditions referred to above. A single financial institution may serve as trustee for many asset-backed securities. As a result, a disruption in that institution’s business would likely have a material impact on many investments.
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9. Investment and other risks (continued)
(f) Asset-backed and related securities risks (continued)
(ii) Other asset-backed securities risks (continued) 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 depends on the cash flow generated by the underlying assets backing the securities and, in certain cases, may be supported by letters of credit, surety bonds, or other credit enhancements. The amount of market risk associated with investments in asset backed securities depends on many factors, including, the deal structure (i.e., 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, if any, provided for securities, and the credit quality of the credit-support provider, if any. A problem in any of these factors can lead to a reduction in the payment stream the Investment Manager expected a Fund to receive when the Fund purchased the asset- backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have.
(iii) Collateralised mortgage obligations ("CMOs"); residuals and strips risks CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage- or other asset-backed securities. A Fund may hold interest-only or principal-only strips (“IO/PO Strips”) and CMO residuals, which tend to be more volatile than other types of securities. If the underlying securities are prepaid, holders of IO/PO Strips and CMO residuals may lose a substantial portion or the entire value of their investment. In addition, if a CMO pays interest at an adjustable rate, the cash flows on the related CMO residual will be extremely sensitive to rate adjustments.
(iv) Collateralised debt obligations risks (“CDOs”) The risks of an investment in a CDO depend largely on the type of underlying collateral securities and the tranche in which a Fund invests. Due to the complex nature of a CDO, an investment in a CDO may not perform as expected. Typically, collateralised bond obligations (“CBOs”), collateralised loan obligations (“CLOs”) and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. CDOs are subject to the typical risks associated with fixed income securities. In addition to the other risks associated with investment in fixed income securities, investing in CDOs may entail a variety of unique risks. Also, among other risks, CDOs may be subject to prepayment risk, credit risk, illiquidity risk, market risk, structural risk, legal risk and interest rate risk (which may be exacerbated if the interest rate payable on a structured financing changes based on multiples of changes in interest rates or inversely to changes in interest rates). Additional risks include, without limitation, (i) the possibility that distributions from collateral securities will be insufficient to make interest or other payments; (ii) the possibility that the quality of the collateral may decline in value or default, due to factors such as the availability of any credit enhancement, the level and timing of payments and recoveries on and the characteristics of the underlying receivables, loans, or other assets that are being securitised, remoteness of those assets from the originator or transferor, the adequacy of and ability to realise upon any related collateral, and the capability of the servicer of the securitised assets; (iii) market and illiquidity risks affecting the price of a structured finance investment, if required to be sold, at the time of sale; and (iv) if the particular structured product is invested in a security in which a Fund is also invested, this would tend to increase the Fund’s overall exposure to the credit of the issuer of such securities, at least on an absolute, if not on a relative basis. An investment in a CDO also is subject to the risk that the issuer and the investors may interpret the terms of the instrument differently, giving rise to disputes.
(g) Auction rate securities risks While the auction process used to determine the dividend for auction rate securities is designed to permit auction rate securities to be traded at par value, there is a risk that an auction will fail due to insufficient demand for the securities.
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9. Investment and other risks (continued)
(h) Commodities risks A Fund may gain exposure to commodity markets by investing in commodities or commodity-related instruments directly or indirectly. Commodity prices can be extremely volatile and may be directly or indirectly affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, and factors affecting a particular industry or commodity, such as drought, floods, or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand, tariffs, and international regulatory, political, and economic developments (e.g., regime changes and changes in economic activity levels). In addition, some commodities are subject to limited pricing flexibility because of supply and demand factors, and others are subject to broad price fluctuations as a result of the volatility of prices for certain raw materials and the instability of supplies of other materials. Exposure to commodities can cause the net asset value of the Fund to decline or fluctuate in a rapid and unpredictable manner. In addition, 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. Additionally, economic leverage will increase the volatility of these instruments as they may increase or decrease in value more quickly than the underlying commodity or other relevant economic variable.
(i) Convertible securities risk The market value of a convertible security is a function of its “investment value” and its “conversion value.” The investment value of a convertible security is influenced by changes in interest rates, with investment value declining as interest rates increase and increasing as interest rates decline. The credit standing of the issuer and other factors also may have an effect on the convertible security’s investment value. The conversion value of a convertible security is determined by the market price of the underlying common stock. If the conversion value is low relative to the investment value, as in the case of “broken” or “busted” convertibles, the price of the convertible security is governed principally by its investment value. To the extent the market price of the underlying common stock approaches or exceeds the conversion price, the price of the convertible security will be increasingly influenced by its conversion value. A convertible security may be subject to redemption or conversion under specified circumstances and/or at the option of the issuer at a price established in the convertible security’s governing instrument. If a convertible security held by a Fund is called for redemption, the Fund will be required to permit the issuer to redeem the security, convert it into the underlying common stock, or sell it to a third-party.
(j) Credit 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 security. 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 particular government, supported by the ability to borrow from the its treasury, supported only by the credit of the issuing government agency, instrumentality, or corporation, or otherwise supported by the particular government. For example, in the U.S., 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 the U.S. 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).
The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or in anticipation of such failure, or the downgrading of the relevant credit rating. 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 are subject to illiquidity risk. See the sections entitled “Illiquidity Risks” and “Derivative Instruments Risks - Counterparty Risks”.
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9. Investment and other risks (continued)
(j) Credit risk (continued) Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will 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 can be expected to 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 will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging market 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, introducing greater uncertainty about the repayment by the U.S. 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 the Fund’s investments and increase the volatility of the Fund’s portfolio.
As described in the section entitled “Asset-Backed and Related Securities Risks”, 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 the section entitled “Asset-Backed and Related Securities Risks”. The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
The Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See the section entitled “Derivative Instruments Risks – Synthetic Short Selling” 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 "high yield" or “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 securities, 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 the Fund incurs additional expenses to seek recovery. If the Investment Manager’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the 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 default of sovereign debt, the Fund may be unable to pursue legal action against the issuer.
(k) Cross-liability risk - umbrella structure of the Company Under Irish law the Company generally will not be liable as a whole to third parties and there generally will not be the potential for cross-liability between the Funds. Notwithstanding the foregoing, there can be no assurance that, should an action be brought against the Company in the courts of another jurisdiction, the segregated nature of the Funds would necessarily be upheld.
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9. Investment and other risks (continued)
(k) Cross-liability risk - umbrella structure of the Company (continued) Although the Fund may offer multiple classes of shares, all of the assets of the Fund are available to meet all of the liabilities of the Fund, regardless of the class(es) of shares to which such assets or liabilities are attributable. The assets attributable to any one class of shares will not be isolated from the liabilities attributable to other classes of shares.
However, class-specific transactions such as class currency hedging transactions must be clearly attributable to a specific class. This means that costs and gains/losses of the hedging transactions will accrue solely to the relevant class. However, if the liabilities of a class exceed the assets attributable to that class, the assets attributable to the other classes will be exposed to such liabilities.
(l) Depositary receipts risks Because the market value of American Depositary Receipts (“ADRs”), Global Depositary Receipts (“GDRs”), European Depositary Receipts (“EDRs”) or other similar securities representing ownership of underlying securities (collectively, “Depositary Receipts”) are dependent upon the market price of the underlying security, Depositary Receipts are subject to most of the risks associated with investing in the underlying securities directly. Depositary Receipts also may be subject to illiquidity risk.
(m) Derivative instruments risks Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities, and indices, and include futures, currency contracts, swap contracts, options on securities and indices, options on futures contracts, options on swap contracts, forward contracts, contracts for differences, interest rate caps, floors and collars, repurchase or reverse repurchase agreements and other exchange-traded over-the-counter contracts. The Fund may use derivatives for many purposes, including as a substitute for direct investment, as a way to adjust its exposure to various securities, markets and currencies without actually having to sell existing investments and/or make new investments, and as a means to hedge other investments and to manage liquidity and excess cash. The use of derivatives involves 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. In addition, all derivative instruments involve risks that are in addition to, and potentially greater than, the risks of investing directly in securities, including:
(i) Counterparty risks This is the risk that a loss may be sustained by the Fund as a result of the failure of the other party to a derivative (usually referred to as a “counterparty”) to comply with the terms of the derivative contract. The Fund also may invest in derivatives that (i) do not require the counterparty to post collateral, (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require significant upfront deposits unrelated to the derivatives’ 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, the Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralised, the Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.
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9. Investment and other risks (continued)
(m) Derivative instruments risks (continued) (ii) Documentation risks Many derivative instruments are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction will lead to a dispute with the counterparty or unintended investment results.
(iii) Illiquidity risks If a derivative transaction is particularly large or if the relevant market is illiquid (as is the case with many over-the-counter derivatives), it may not be possible to initiate a transaction or liquidate a position at an advantageous price. Less liquid derivative instruments also may fall more in price than other securities during market falls. During periods of market disruptions, a Fund may have a greater need for cash to provide collateral for large swings in the mark-to-market obligations arising under the derivative instruments used by the Fund.
(iv) Synthetic short selling The Funds are not permitted to enter into physical short sales. A Fund may however take short positions through derivatives in respect of underlying assets in furtherance of the Fund’s investment objective and in accordance with the UCITS Regulations. In taking short positions through derivatives, the Fund will be exposed to the same market risks, and is seeking the same financial reward, as if it were entering into physical short sales. Taking short positions through derivatives involves trading on margin and accordingly can involve greater risk than investments based on long positions. Due to regulatory or legislative action taken by regulators around the world as a result of recent volatility in the global financial markets, taking short positions on certain assets has been restricted. The levels of restriction vary across different jurisdictions and are subject to change in the short to medium term. These restrictions have made it difficult and in some cases impossible for numerous market participants either to continue to implement their investment strategies or to control the risk of their open positions.
(v) Leverage risks 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 can 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. Subject to any applicable regulatory requirements, notional amounts of swap transactions are not subject to any limitations, and swap contracts may expose the Fund to unlimited risk of loss. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment.
(vi) Derivatives regulation In addition, the U.S. government has enacted legislation that provides for regulation of the derivatives market, including clearing, margin, reporting, and registration requirements, which could restrict the Fund’s ability to engage in derivatives transactions or increase the cost or uncertainty involved in such transactions. The European Union (and some other countries) are implementing similar requirements, which will affect the Fund when it enters into a derivatives transaction with a counterparty organised in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.
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9. Investment and other risks (continued)
(m) Derivative instruments risks (continued) (vii) Other risks Other risks in using derivatives include the risk of mispricing or incorrect valuation of derivatives. The Fund’s use of derivatives may not be effective or have the desired result. Also, suitable derivatives may not be available in all circumstances and there can be no assurance that the Fund will be able to identify or employ a desirable derivatives transaction at any time or from time or time, or that any such transactions will be successful. In addition, the Investment Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.
(n) Equities risks The net asset value of a Fund’s portfolio can be expected to change in light of factors affecting the equity markets. A decline in the market value of an equity may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances or reduced demand for its goods or services, or to factors affecting a particular industry, such as decline in demand, labour or raw material shortages or increased production costs. A decline may also result from general market conditions not specifically related to an issuer 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. Equities may be even more susceptible to such events than other types of investments a Fund may make, given their subordinate position in the issuer’s capital structure. As such, equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner.
(o) European market infrastructure regulation ("EMIR") Each Fund may enter into OTC derivative contracts. EMIR establishes certain requirements for OTC derivatives contracts including mandatory clearing obligations, bilateral risk-management requirements and reporting requirements.
Although not all the regulatory technical standards specifying the risk-management procedures, including the levels and type of collateral and segregation arrangements, required to give effect to EMIR have been phased in and it is therefore not possible to be definitive as to what the implications will actually be, investors should be aware that certain provisions of EMIR impose obligations on the Funds in relation to its transaction of OTC derivative contracts.
(p) Fixed income risks Fixed income securities are subject to interest rate risk, credit risk (see “Credit Risk”) and market risk, among other risks.
(i) Interest rate risk – fixed income securities Interest rate risk relates to changes in a security’s market value as a result of changes in interest rates. The market price of a Fund’s underlying investments in fixed income securities (including bonds, notes and asset-backed securities) will typically decrease as interest rates rise because prospective interest payments on new bonds will exceed current payments on existing bonds; the opposite is true when interest rates fall, because current investments have locked in a higher interest rate. Because interest rates vary, the future income of a Fund that invests in floating or adjustable-rate securities cannot be predicted with certainty. In addition, the market price of inflation-indexed bonds (including TIPS) normally changes when real interest rates change. Their value typically declines during periods of rising interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates.
(ii) Market-risk – fixed income securities Funds that invest in fixed income securities (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 a class of fixed income investments). In addition, the market price of fixed income securities with complex structures, such as asset-backed securities, and sovereign and quasi-sovereign fixed income instruments can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and the Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. Market risk for fixed income securities is amplified by illiquidity risk. Fixed income securities denominated in foreign currencies also are subject to currency risk.
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9. Investment and other risks (continued)
(p) Fixed income risks (continued) (ii) Market-risk – fixed income securities (continued) In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, the Fund could have unusually high shareholder repurchase requests, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavourable prices. Moreover, fixed income investments will be difficult to value during such periods.
(q) Focused investment risk Overall risk can be reduced by geographic or industry diversification, and increased by focusing investments in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or 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 particular securities than a Fund investing in the securities of a larger number of issuers.
(r) Forward contracts risks Forward contracts involve a number of the same characteristics and risks as futures contracts but there also are several differences. Forward contracts are not market traded, and are not necessarily marked-to-market on a daily basis. They settle only at the pre-determined settlement date. This can result in deviations between forward prices and futures prices, especially in circumstances where interest rates and futures prices are positively correlated. Second, in the absence of exchange trading and involvement of clearing houses, there are no standardised terms for forward contracts. Accordingly, the parties are free to establish such settlement times and underlying amounts of a security or currency as desirable, which may vary from the standardised provisions available through any futures contract. Finally, forward contracts, as two party obligations for which there is no secondary market, involve counterparty credit risk not present with futures.
(s) Futures risks Investment in futures contracts involves risk. A purchase or sale of futures contracts may result in losses in excess of the amount invested in the futures contract. If a futures contract is used for hedging, an imperfect correlation between movements in the price of the futures contract and the price of the security, currency, or other investment being hedged creates risk. Correlation is higher when the investment being hedged underlies the futures contract. Correlation is lower when the investment being hedged is different than the security, currency, or other investment underlying the futures contract, such as when a futures contract on an index of securities or commodities is used to hedge a single security, a futures contract on one security (e.g., U.S. Treasury bonds) is used to hedge a different security (e.g., a mortgage-backed security), or when a futures contract in one currency is used to hedge a security denominated in another currency.
In the case of Index Futures and futures on commodity indices, changes in the price of those futures contracts will not correlate perfectly with price movements in the relevant index due to market distortions. In the event of an imperfect correlation between a futures position and the portfolio position (or anticipated position) intended to be hedged, the Fund may realise a loss on the futures contract at the same time the Fund is realising a loss on the portfolio position intended to be hedged.
(t) High yield debt securities risks The lower rating of high yield debt reflects a greater possibility that adverse changes in the financial condition of the obligor or in general economic, regulatory or other conditions (including, for example, a substantial period of rising interest rates or declining earnings) may impair the ability of the obligor to make payment of principal and interest. Many issuers of high yield debt are highly leveraged, and their relatively high debt-to-equity ratios create increased risks that their operations might not generate sufficient cash flow to service their debt obligations. In addition, many issuers of high yield debt may be (i) in poor financial condition, (ii) experiencing poor operating results, (iii) having substantial capital needs or negative net worth, or (iv) facing special competitive or product obsolescence problems, and may include companies involved in bankruptcy or other reorganisations or liquidation proceedings. High yield debt has historically experienced greater default rates than has been the case for investment-grade securities. High yield debt is often less liquid than higher rated securities. Reduced liquidity can affect the values of high yield debt, make their valuation and sale more difficult, and result in greater volatility. Because high yield debt securities are difficult to value, particularly during erratic markets, the prices realised on their sale may differ from the values at which they are carried by a Fund. In addition, as with other types of investments, the market for high yield debt securities has historically been subject to disruptions that have caused substantial volatility in the prices of such securities.
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9. Investment and other risks (continued)
(u) Income trusts risks Investments in income trusts (including royalty trusts) are subject to operating risk based on the income trust’s underlying assets and their respective businesses. Such risks may include lack of or limited operating histories. Income trusts are particularly subject to interest rate risk and increases in interest rates offered by competing investments may diminish the value of trust units. Changes in the interest rate also may affect the value of future distributions from the income trust’s underlying assets or the value of the underlying assets themselves. Interest rate risk is also present within the income trusts themselves because they often hold very long-term capital assets, and much of the excess distributable income is derived from a maturity (or duration) mismatch between the life of the asset and the life of the financing associated with it. In an increasing interest rate environment, the income trust’s distributions to its unitholders may decrease. Income trusts also may be subject to additional risk, including, without limitation, limited access to debt markets. Income trusts do not guarantee minimum distributions or returns of capital to unitholders. The amount of distributions paid on a trust’s units will vary from time to time based on production levels, commodity prices, royalty rates and certain expenses, deductions and costs, as well as on the distribution payout ratio policy adopted.
(v) Indexed investments risks While investments that track the performance of an index may increase the number, and thus the diversity, of the underlying assets to which a Fund is exposed, such investments are subject to many of the same risks of investing in the underlying assets that comprise the index, as well as certain additional risks that are not typically associated with investments in such underlying assets. An investment that is designed to track the performance of an index may not replicate and maintain exactly the same composition and relative weightings of the assets in the index. Additionally, the liquidity of the market for such investments may be subject to the same conditions affecting liquidity in the underlying assets and markets and could be relatively less liquid in certain circumstances.
(w) Inflation/deflation risks Inflation risk is the risk that the value of assets or income from a Fund’s investments will be worth less in the future as inflation decreases the value of payments at future dates. As inflation increases, the real value of the Fund’s portfolio could decline. Deflation risk is the risk that prices throughout the economy decline over time. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely or materially impair the ability of distressed issuers to restructure, which may result in a decline in the net asset value of the Fund’s portfolio.
(x) IPOs and other limited opportunities risks Each Fund may purchase securities of companies that are offered pursuant to an initial public offering (“IPO”) or other similar limited opportunities. Although companies can be any age or size at the time of their IPO, they are often smaller and have a limited operating history, which involves a greater potential for the value of their securities to be impaired following the IPO. The price of a company’s securities may be highly unstable at the time of its IPO and for a period thereafter due to factors such as market psychology prevailing at the time of the IPO, the absence of a prior public market, the small number of shares available, and limited availability of investor information. In the case of securities purchased by a Fund in IPOs, such securities shall be valued at the offering price until such time as the securities are listed or traded on a Regulated Market. Securities purchased in IPOs have a tendency to fluctuate in value significantly shortly after the IPO relative to the price at which they were purchased. These fluctuations could impact the net asset value and return earned on the shares. Investors in IPOs can be adversely affected by substantial dilution in the value of their shares, by sales of additional shares, and by concentration of control in existing management and principal shareholders. In addition, all of the factors that affect the performance of an economy or equity markets may have a greater impact on the shares of IPO companies. IPO securities tend to involve greater risk due, in part, to public perception and the lack of publicly available information and trading history.
(y) Lack of correlation risks; hedging risks There can be no assurance that the short positions a Fund holds will act as an effective hedge against its long positions. Any decrease in negative correlation or increase in positive correlation between the positions the Investment Manager anticipated would be offsetting could result in significant losses for the Fund. To the extent the Investment Manager employs a hedging strategy for a Fund, the success of any such hedging strategy will depend, in part, upon the Investment Manager’s ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments being hedged.
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9. Investment and other risks (continued)
(z) 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 fund managed by the Investment Manager) or a group of shareholders with a common investment strategy (e.g., the Investment Manager’s asset allocation accounts), the Fund is subject to the risk that a repurchase of shares 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 to raise the cash needed to satisfy the repurchase request. In addition, the Fund and other accounts over which the Investment Manager has investment discretion that invest in the Fund are not limited in how often they may purchase or sell Shares in the Fund. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise have done so. Repurchases 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 is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, to the extent the Fund invests in other funds managed by the Investment Manager subject to large shareholder risk, the Fund is indirectly subject to this risk.
(aa) Leveraging risk The use of traditional borrowing (including to meet redemption requests) reverse repurchase agreements and other derivatives 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 is the business day prior to actual receipt by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. 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.
(bb) Management and operational risks A Fund is subject to management risk because it relies on the Investment Manager or its affiliates to achieve its investment objective. Each Fund runs the risk that the Investment Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. A Fund’s success will also be dependent on the Investment Manager’s ability to correctly identify long positions that will outperform the Fund’s short positions, if any, and to effectively reduce the Fund’s market exposure through long and/or short positions. The Investment Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
The Investment Manager may use quantitative models as part of its investment process and in making investment decisions for the Funds. The Funds run the risk that the Investment Manager’s models are not necessarily predictive of future market movements or characteristics and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect a Fund’s performance. Each Fund also runs the risk that the Investment Manager’s assessment of an investment and/or its risks may be wrong. There also can be no assurance that key personnel of the Investment Manager will continue to be employed by the Investment Manager. The loss of their services could have an adverse impact on the Investment Manager’s ability to achieve the Fund’s investment objective. Each Fund is also subject to the risk of loss as a result of other services provided by the Investment Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. The Fund and its service providers (including the Investment Manager) are susceptible to cyber-attacks and technological malfunctions that have effects that are similar to those of a cyber-attack.
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9. Investment and other risks (continued)
(bb) Management and operational risks (continued) The Investment Manager delegated some investment management functions for EMEF and EDOEF to GMO Singapore Pte. Limited during the financial year. As a result of this arrangement, EMEF and EDOEF are required to disclose that as at 30 September 2020 there were less than 10 shareholders for each Fund.
(cc) Market disruption and geopolitical risks Each Fund is subject to the risk that geopolitical and other events (e.g., wars, pandemics and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Fund’s investments. Sudden or significant changes in the supply or prices of commodities in or other economic inputs may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. 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. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, trade disputes (such as the “trade war” between the U.S. and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict. Natural and environmental disasters, epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below) and systemic market dislocations can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and the market price of the Funds' investments. Market disruptions, including sudden government interventions, can also prevent a Fund from implementing its investment program (including with respect to the Funds’ ability to enter and exit investments) and achieving its investment objective.
On January 31, 2020, the U.K. formally withdrew from the EU (commonly known as “Brexit”), and an 11-month transition period commenced during which most EU law will continue to apply in the U.K. while it negotiates its future relationship with the EU. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the U.K. The consequences of the U.K.’s or another country’s exit from the EU also could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by the Investment Manager.
An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and a shareholder’s in a Fund. 188 ______
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9. Investment and other risks (continued)
(dd) Master limited partnerships risks The risks of investing in a master limited partnership (“MLP”) are generally those inherent in investing in a partnership as opposed to a corporation. For example, state law governing partnerships is often less restrictive than state law governing corporations. Accordingly, there may be fewer protections afforded investors in an MLP than investors in a corporation. Additional risks involved with investing in an MLP are risks associated with the specific industry or industries in which the partnership invests.
(ee) Merger arbitrage risks If a Fund engages in a merger arbitrage transaction, and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, as the losses in failed transactions often far exceed the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines. A Fund’s merger arbitrage transactions could result in certain tax inefficiencies, including the imposition of significant income taxes.
(ff) Measurement of market risk and leverage using the commitment approach and VaR The Funds will seek to limit the market risk and leverage created through the use of derivatives by using either the commitment approach or by using a sophisticated risk measurement technique known as “value-at-risk” ("VAR"). All of the Funds (with the exception of GMO Global Real Return (UCITS) Fund) use the commitment approach. GMO Global Real Return (UCITS) Fund uses the VaR approach.
The commitment approach calculates leverage by measuring the market value of the underlying exposures of derivatives relative to the relevant Fund’s NAV. VaR is a statistical methodology that seeks to predict, using historical data, the likely maximum loss that a Fund could suffer, calculated to a specific (e.g., 99 per cent.) confidence level.
A Fund may use an “absolute” VaR model where the measurement of VaR is relative to the NAV of the Fund or the Fund may use a relative VaR model where the measurement of VaR is relative to a derivatives free comparable benchmark or equivalent portfolio. A VaR model has certain inherent limitations and it cannot be relied upon to predict or guarantee that the size or frequency of losses incurred by a Fund will be limited to any extent. As the VaR model relies on historical market data as one of its key inputs, if current market conditions differ from those during the historical observation period, the effectiveness of the VaR model in predicting the VaR of a Fund may be materially impaired. The effectiveness of the VaR model could be impaired in a similar fashion if other assumptions or components comprised in the VaR model prove to be inadequate or incorrect.
Because of these limitations shareholders may suffer serious financial consequences in abnormal market conditions or conditions that otherwise differ from those during the historical observation period.
The following calculation standards are employed for GRRUF’s VaR model. However, these calculation standards are dealt with in more detail in the risk management process of GRRUF and may change from time to time at the discretion of the Investment Manager and in accordance with the requirements of the Central Bank:
(i) one-tailed confidence interval of 99 per cent.; (ii) holding period equivalent to one month (20 Business Days); (iii) effective observation period (history) of risk factors is at least one year (250 Business Days) unless a shorter observation period is justified by a significant increase in price volatility (for instance, extreme market conditions); (iv) quarterly data set updates, or more frequent when market prices are subject to material changes; and (v) at least daily calculation.
In the case of GRRUF, the Investment Manager conducts back-testing in respect of the VaR model. This compares realised trading results with model generated risk measures in order to monitor the accuracy and performance of the VaR model (i.e., prediction capacity of risk estimates). Back- testing seeks to allow for improvement in the application of the VaR model and helps to prevent imperfect performance of the model against real market parameters that may not have been considered. In addition, the Investment Manager conducts stress tests for GRRUF.
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9. Investment and other risks (continued)
(ff) Measurement of market risk and leverage using the commitment approach and VaR (continued) The stress testing programme is designed to measure any potential major depreciation of GRRUF’s value as a result of unexpected changes in the relevant market parameters and correlation factors. In addition, the Investment Manager’s fundamental risk management approach analyses the potential for the permanent impairment of capital. This analysis consists of assessing the valuation risk, fundamental risk and financing risk associated with portfolio construction.
The table below details the maximum, minimum and average usage of regulatory limit calculated during the financial year:
Absolute VaR at Maximum usage of Minimum usage of Average usage of Fund Market Risk 30 September 2020 Regulatory Limit Regulatory Limit Regulatory Limit GRRUF Absolute VaR 3.98% 7.13% 2.38% 3.53%
Absolute VaR at Maximum usage of Minimum usage of Average usage of Fund Market Risk 30 September 2019 Regulatory Limit Regulatory Limit Regulatory Limit GRRUF Absolute VaR 5.18% 5.47% 3.43% 4.60%
Depending on market conditions, the Funds may employ leverage from time to time. In this context, “leverage” is calculated, in accordance with the requirements of the Central Bank, as the sum of the notionals of the derivatives used. Applying this calculation method, it is possible for the leverage of the Funds to be as high as 15 to 20 times (1,500 to 2,000 per cent.) of the NAV of the Funds.
The disclosed level of leverage is not intended to be an additional risk exposure limit for GRRUF. Furthermore, it is not intended that the leverage level by itself be indicative of the risk profile of GRRUF.
The table below details the level of leverage employed at the financial year end and is calculated as the sum of the absolute value of the notionals of the derivatives used and expressed as a percentage of the NAV:
Fund 30 September 2020 30 September 2019 GRRUF 152.89% 101.72%
(gg) Municipal securities risks Municipal obligations are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States. The ability of municipalities to meet their obligations will depend on the availability of tax and other revenues, economic, political and other conditions within the state and municipality and the underlying fiscal condition of the state and municipality. As with other fixed income securities, municipal securities also expose their holders to market risk because their market values typically change as interest rates fluctuate.
(hh) Options risks 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 fulfil its obligations as a writer of the option. The risk is not present when writing a European Style option since the holder may only exercise the option on its expiration date. If the Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited. The Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not exist when the Fund seeks to close out an option position. An exchange-traded option may be closed out by means of an offsetting transaction only on a national securities exchange, which provides a secondary market for an option of the same series. If a liquid secondary market for an exchange-traded option does not exist, the Fund might not be able to affect an offsetting closing transaction for a particular option.
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9. Investment and other risks (continued)
(hh) Options risks (continued) Unlike exchange-traded options the terms of OTC options generally are established through negotiation with the other party to the option contract. While the Fund has greater flexibility to tailor an OTC option, OTC options generally expose the Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organisation of the exchanges where they are traded. Purchasing and writing put and call options are highly specialised activities and entail greater than ordinary market risks.
(ii) Pooled investment vehicles risks Investments by a Fund in pooled investment vehicles may involve additional and/or a layering of fees, expenses, charges and other costs. In addition, investment decisions of such investment vehicles are made by their investment advisers independently of each other. As a result, at any particular time one investment vehicle may be purchasing securities of an issuer whose securities are being sold by another investment vehicle and the Fund could indirectly incur certain transaction costs without accomplishing any net investment result. In addition, the Fund is exposed to the risk that the underlying funds will not perform as expected. The Fund also is indirectly exposed to all of the risks of an investment in the pooled investment vehicle. Non-Irish domiciled collective investment schemes may not provide a level of investor protection equivalent to that provided by collective investment schemes authorised by the Central Bank.
Exchange traded funds (“ETFs”) typically hold a portfolio of common stocks that is intended to track the price and dividend performance of a particular index. Common examples of ETFs include S&P Depositary Receipts (“SPDRs”) and iShares, which may be purchased from the ETF issuing the securities or in the secondary market (SPDRs are listed on the American Stock Exchange and iShares are listed on the New York Stock Exchange). The market price for ETF shares may be higher or lower than the ETF’s net asset value. The sale and repurchase prices of ETF shares purchased from the issuer are based on the issuer’s net asset value.
(jj) Portfolio turnover risks No Fund has placed a limit on the rate of portfolio turnover and portfolio securities may be sold without regard to the time they have been held when, in the opinion of the Investment Manager, investment considerations warrant such action (which may include taking and reversing a position within the same day). Based on the Investment Manager’s assessment of market conditions, the Investment Manager may trade a Fund’s investments more frequently at sometimes than at others, resulting in a higher portfolio turnover rate. A high rate of portfolio turnover involves correspondingly greater expenses (such as brokerage commissions and transaction costs) than a lower rate, may act to adversely affect the Fund’s performance, or create a loss for investors. In addition, a high rate of portfolio turnover may result in increased tax costs for investors depending on the tax provisions applicable to such investors.
(kk ) Potential for insufficient investment opportunities The Investment Manager may not be able to identify and obtain a sufficient number of investment opportunities for a Fund. In particular, each Fund will compete with a broad spectrum of investors for portfolio investments. Increased competition for, or a diminishment in the available supply of, portfolio investments could result in lower returns on such portfolio investments.
(ll) Preferred securities risks Certain preferred stocks contain provisions that allow an issuer under certain conditions to skip or defer distributions. If a Fund owns a preferred stock that is deferring its distribution, it may be required to report income for tax purposes even when it is not receiving current income on the position. Preferred stocks are subordinated to other securities in an issuer’s capital structure in terms of priority for corporate income and liquidation payments, and therefore will be subject to greater credit risk than those other securities. Preferred stocks may trade less frequently and in a more limited volume and may be subject to more abrupt or erratic price movements than many other securities, such as common stocks or corporate and government fixed income securities. Depending on the features of the particular security, holders of preferred stock may bear the risks disclosed herein regarding equities or fixed income securities.
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9. Investment and other risks (continued)
(mm) Real estate-related investments The Fund may invest in real estate-related investments such as securities of companies principally engaged in the real estate industry. Companies in the real estate industry and real estate-related investments may include, for example, entities that either own properties or make construction or mortgage loans, real estate developers, and companies with substantial real estate holdings. Each of these types of investments is subject to risks similar to those associated with direct ownership of real estate. The net asset value of a Fund’s portfolio could change in light of factors affecting the real estate industry, including the supply of real property in certain markets, overbuilding, changes in zoning laws, casualty or condemnation losses, delays in completion of construction, changes in operating costs and property taxes, levels of occupancy, adequacy of rent to cover operating expenses, possible environmental liabilities, regulatory limitations on rent, fluctuations in rental income, increased competition and other risks related to local and regional economic conditions. The market value of real estate-related investments also may be affected by changes in interest rates, macroeconomic developments, and social and economic trends.
(nn) Repurchase agreements, reverse repurchase agreements and similar transactions risks Repurchase agreements afford each Fund the opportunity to earn a return on temporarily available cash without market risk, although the relevant Fund bears the risk of a seller’s failure to meet its obligation to pay the repurchase price when it is required to do so. Such a default may subject the Fund to expenses, delays and risks of loss including: (i) possible declines in the value of the underlying security while the Fund seeks to enforce its rights thereto; (ii) possible reduced levels of income and lack of access to income during this period; and (iii) the inability to enforce its rights and the expenses involved in attempted enforcement.
If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the relevant Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honour the Fund’s right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold in connection with a reverse repurchase agreement and as a result would realise a loss equal to the difference between the value of the securities and the payment it received for them. A Fund’s use of reverse repurchase agreements also subjects the Fund to interest costs based on the difference between the sale and repurchase price of a security involved in such a transaction. Additionally, repurchase agreements and reverse repurchase agreements entail the same risks as over-the-counter derivatives.
(oo) Risks associated with fund cash accounts and umbrella cash accounts Cash account arrangements have been put in place in respect of the Company and the Funds as a consequence of the introduction of requirements relating to subscription, repurchase and/or, if applicable, distribution collection accounts pursuant to the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) Investor Money Regulations 2019 for Fund Service Providers, as amended (the “Investor Money Regulations”). These cash accounts are not subject to the protections of the Investor Money Regulations and instead will be subject to the guidance issued by the Central Bank from time to time in relation to cash accounts.
An umbrella cash account will operate in respect of the Company (the “Umbrella Cash Account”) rather than a relevant Fund and the segregation of investor monies from the liabilities of Funds other than the relevant Fund to which the investor monies relate is dependent upon, among other things, the correct recording of the assets and liabilities attributable to individual Funds by or on behalf of the Company. In the event of an insolvency of the Fund, there is no guarantee that the Fund will have sufficient monies to pay unsecured creditors (including the investors entitled to Investor Monies) in full. Monies attributable to other Funds within the Company (with the exception of GRRUF) will also be held in the Umbrella Cash Accounts. In the event of the insolvency of a Fund (an “Insolvent Fund”), the recovery of any amounts to which another Fund (the “Beneficiary Fund”) is entitled, but which may have transferred in error to the Insolvent Fund as a result of the operation of the Umbrella Cash Account, will be subject to applicable law and the operational procedures for the Umbrella Cash Account. There may be delays in effecting, and/or disputes as to the recovery of, such amounts, and the Insolvent Fund may have insufficient funds to repay amounts due to the Beneficiary Fund.
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9. Investment and other risks (continued)
(pp) Risks associated with fund cash accounts and umbrella cash accounts (continued) In the event that an investor fails to provide the subscription monies within the timeframe stipulated in the prospectus, the investor may be required to indemnify the Fund against the liabilities that may be incurred by it. The Company may cancel any shares that have been issued to the investor and charge the investor interest and other expenses incurred by the relevant Fund. In the event that the Company is unable to recoup such amounts from the defaulting investor, the relevant Fund may incur losses or expenses in anticipation of receiving such amounts, for which the relevant Fund, and consequently its shareholders, may be liable.
(qq) Risks of cash and other high quality investments Each Fund may temporarily invest a portion of its assets in cash or cash equivalents pending other investments or to maintain liquid assets required in connection with its investments. These cash equivalents and other high quality debt securities may include money market instruments, such as government-issued securities, bankers’ acceptances, commercial paper, and bank certificates of deposit. If a depositary holds cash on behalf of the Fund, the Fund may be an unsecured creditor in the event of the insolvency of the depositary. In addition, the Fund will be subject to credit risk with respect to such a depositary, which may be heightened to the extent the Fund takes a temporary defensive position.
(rr) Risks of investment in emerging market countries A Fund may invest in emerging market countries. The risks involved in investments in emerging market countries are likely to exceed the risks of investment in more mature markets. Investment in issuers or securities in emerging market countries may involve special risks due to economic, political and legal developments, including favourable or unfavourable changes in currency exchange rates, exchange control regulations (including currency blockage), expropriation, nationalisation or confiscatory taxation of assets, other government involvement in the economy or in the affairs of specific companies or industries, imposition of withholding or other taxes, adverse changes in investment capital or exchange control regulations (which include suspension of the ability to transfer currency from a country), quota controls and dealing restrictions, political changes, diplomatic developments, including the imposition of economic sanctions, and possible difficulty in obtaining and enforcing judgments against entities in the market in question. In the event of a nationalisation, expropriation or other confiscation, the Fund could lose its entire investment in a security. Emerging market countries securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets may fluctuate more than those of U.S. securities. In addition, issuers of emerging market countries securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in emerging market countries securities generally involve higher commission rates, transfer taxes, and custodial costs. Issuers of securities in some countries, particularly emerging market countries, are subject to different, often less comprehensive, accounting, custody, reporting, and disclosure requirements. The securities of some foreign governments, companies, and securities markets are less liquid, and at times more volatile, than comparable securities and securities markets in the U.S. or the EU. It is possible that brokerage commissions and related fees could be higher than in the U.S. or the EU. Funds that invest in securities in such jurisdictions also may be affected by different custody and/or settlement practices or delayed settlements. In addition, some jurisdictions may limit the Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund may be subject to additional special risks when investing in emerging countries, Asian securities or Russian securities.
(ss) Risks of investment in other collective investment schemes A Fund expects to invest some of its assets in other funds, including funds for which the Investment Manager or an affiliate of the Investment Manager serves as general partner or investment adviser. The Fund may bear a pro rata share of certain operating costs of the underlying funds. In addition, in connection with an investment in or a withdrawal from such an underlying fund, the Fund may bear the cost of purchase premiums and/or withdrawal charges imposed by such underlying fund. If the Fund invests in one or more underlying funds, it will be subject to the risks to which the underlying funds are subject. Adverse events could impact one or more of the underlying funds at the same time. There is no assurance that the investments or investment strategies employed by such underlying funds will be successful.
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9. Investment and other risks (continued)
(ss) Risks of investment in other collective investment schemes (continued) Underperformance by the underlying funds could cause the Fund to underperform, even though the Investment Manager’s asset allocation strategies with respect to the Fund were appropriate given market conditions. The Investment Manager has the discretion to invest in underlying funds however it deems most appropriate. The Fund’s allocations to one or more underlying funds, from time to time, may be impacted by its investors’ repurchase requests, for example where the Fund’s liquidity terms do not align with those of the underlying funds or where the Investment Manager elects to shift the Fund’s allocations more gradually so as to minimise withdrawal charges at the level of the underlying fund. If the Fund takes any such steps it may affect the Fund’s overall portfolio composition until any such withdrawal request is satisfied. Such deviations in allocations could adversely impact the Fund’s ability to achieve its investment objective.
(tt) Securities lending risks The risks in lending portfolio securities, as with other extensions of credit, consist of possible delay in recovery of the securities or possible loss of rights in the collateral should the borrower fail financially, including possible impairment of a Fund’s ability to vote the securities. However, securities loans will be made to brokers that the Investment Manager believes to be of relatively high credit standing pursuant to agreements requiring that the loans be collateralised by cash or liquid securities with a value at least equal to the market value of the loaned securities (marked to market daily). As with other extensions of credit, the Fund bears the risk of delay in the recovery of loaned securities and of loss of rights in the collateral should the borrower fail financially. The Fund also bears the risk that the value of the investments made with collateral may decline. The Fund bears the risk of total loss with respect to the investment of collateral.
(uu) Securities of stressed, distressed or defaulted issuers risks Investments in distressed or defaulted or other low quality debt securities may trade significantly below par, generally are considered speculative, and may involve substantial inherent risks that are generally significantly higher than the risks involved in investing in companies that are not experiencing, or expected to experience, financial stress and not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers.
In particular, defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. The amount of any recovery may be adversely affected by the relative priority of the Fund’s investment in the issuer’s capital structure. The ability to enforce obligations may be adversely affected by actions or omissions of predecessors in interest that give rise to counterclaims or defences, including causes of action for equitable subordination or debt recharacterisation. In addition, such investments, collateral securing such investments, and payments made in respect of such investments may be challenged as fraudulent conveyances or to be subject to avoidance as preferences under certain circumstances.
(vv) Service provider risks The Fund’s Depositary and sub-custodian(s), if any, will have custody of the Fund’s securities, cash, distributions and rights accruing to the Fund’s securities accounts. If the Depositary or a sub-custodian holds cash on behalf of the Fund, the Fund may be an unsecured creditor in the event of the insolvency of the relevant entity. The Fund will be subject to credit risk with respect to a Depositary and its sub-custodians. The Depositary credit rating for the financial year ended 30 September 2020 was AA- (30 September 2019: AA-).
(ww) Small company risks Companies with smaller market capitalisations or smaller total float adjusted market capitalisations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. In addition, their securities are often 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 capitalisations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
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9. Investment and other risks (continued)
(xx) Structured notes risks Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference asset, rate or index. Structured notes also may be more volatile, less liquid, and more difficult to price accurately than less complex securities or more traditional debt securities.
(yy) Investment via stock connect A Fund may, directly or indirectly (through, for example, participation notes or other types of equity-linked notes), purchase shares in mainland China-based companies that trade on Chinese stock exchanges such as the Shanghai Stock Exchange and the Shenzhen Stock Exchange (“China A-Shares”) through the Shanghai and Shenzhen—Hong Kong Stock Connect (“Stock Connect”), or that may be available in the future through additional stock connect programs, a mutual market access program designed to, among other things, enable foreign investment in the People’s Republic of China (“PRC”) via brokers in Hong Kong. There are significant risks inherent in investing in China A-Shares through Stock Connect. The underdeveloped state of PRC’s investment and banking systems subjects the settlement, clearing, and registration of China A-Shares transactions to heightened risks. Stock Connect can only operate when both PRC and Hong Kong markets are open for trading and when banking services are available in both markets on the corresponding settlement days. As such, if either or both markets are closed on a U.S. trading day, a Fund may not be able to dispose of its China A-Shares in a timely manner, which could adversely affect the Fund’s performance. Additionally, Stock Connect is subject to daily quota limitations on purchases of China A-Shares. Once the daily quota is reached, orders to purchase additional China A-Shares through Stock Connect will be rejected. A Fund’s investment in China A-Shares may only be traded through Stock Connect and is not otherwise transferable. Stock Connect utilizes an omnibus clearing structure, and the Fund’s shares will be registered in its custodian’s name on the Central Clearing and Settlement System. This may limit the ability of GMO to effectively manage a Fund, and may expose the Fund to the credit risk of its custodian or to greater risk of expropriation. Stock Connect restrictions could also limit the ability of a Fund to sell its China A-Shares in a timely manner, or to sell them at all. Further, different fees, costs, and taxes are imposed on foreign investors acquiring China A-Shares acquired through Stock Connect, and these fees, costs, and taxes may be higher than comparable fees, costs, and taxes imposed on owners of other securities providing similar investment exposure.
10. Related party transactions
Under FRS 102 Section 33: “Related Party Transactions” related parties are described as related if any one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions.
Please refer to Note 3 for information regarding Directors' and Investment Manager's fees. Transactions with these related parties were entered into during the financial year under review by the Company in the ordinary course of business and on normal commercial terms.
GMO LLC is the parent entity of GMO UK Limited and GMO Netherlands B.V.
Mr. David Bohan, who is a Director of the Company, is an employee of the Investment Manager. Mr. Arron Day, who is a Director of the Company, is an employee of GMO UK Limited.
During the financial year ended 30 September 2020, a shareholder of GMO Quality Investment Fund made an in-specie repurchase of redeemable participating shares of US$21,424,883.
During the financial year, GRRUF purchased 2,475,000 shares in GMO Emerging Country Debt UCITS Fund, a sub-fund of GMO Investments ICAV, valued at US$49,500,000. The directors of GMO Investments ICAV are also the Directors of the Company. The investment adviser of GMO Investments ICAV is also the Investment Manager of the Company. The transaction was conducted at arms’ length in accordance with the connected party transaction policy of the Company, and the valuation of the transaction was certified by the Depositary.
The Board of Directors is not aware of any transactions with related parties during the financial years ended 30 September 2020 or 30 September 2019, other than those included in these financial statements.
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11. Soft commission/direct brokerage
The Investment Manager may use a portion of the commissions generated when executing transactions to acquire external research and brokerage services. Specifically, the Investment Manager may utilise commissions (typically only for transactions in listed equities) to purchase eligible brokerage and research services where those services assist in the investment decision- making process for the Funds and where the Investment Manager in good faith believes the amount of the commission is reasonable in relation to the value of the product or services provided by the broker/dealer.
12. Concentration of principal shareholders
The following table details the number of shareholders with significant holdings of at least 20% of the relevant Fund and the percentage of that holding of the respective Fund’s NAV as at 30 September 2020 and 30 September 2019.
GEAIF Number of Shareholders % of Shares Number of As at As at Shareholders % of Shares 30 September 30 September As at As at 2020 2020 30 September 2019 30 September 2019 Class of Shares Class A EUR 1 100.00 1 100.00 Class A GBP 2 100.00 2 100.00 Class A USD 1 100.00 1 100.00
Quality Class of Shares Class A GBP 1 1 100.00 - - Class A USD 1 42.17 3 88.61
EMEF
2 81.56 1 68.34
GRRUF Class of Shares Class A AUD 2 - - 2 100.00 Class A CHF 1 100.00 1 100.00 Class A EUR 2 52.30 1 38.65 Class A GBP 3 - --- Class A NOK 1 75.05 1 70.27 Class A SEK 1 95.05 1 88.70 Class A USD 1 42.24 1 21.69 Class B EUR 1 100.00 2 85.20 Class B GBP 2 78.35 2 77.46
1 Share class launched on 8 April 2020. 2 Share class closed on 7 July 2020. 3 As at 30 September 2020 and 30 September 2019, none of the shareholders held more than 20% of the share class.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
12. Concentration of principal shareholders (continued)
EDOEF Number of Shareholders % of Shares Number of As at As at Shareholders % of Shares 30 Septe mber 30 September As at As at 2020 2020 30 September 2019 30 September 2019
2 100.00 2 100.00
13. Redeemable participating shares and share capital
Authorised The Company has variable share capital. The authorised share capital of the Company is divided into 500,000,000,000 shares of no par value. The Directors have the power to allot shares up to the authorised share capital of the Company.
Subscriber shares The initial issued share capital of the Company was 38,997 subscriber shares of no par value. 38,994 subscriber shares are held by GMO UK Limited, one is held by the Investment Manager and two are held by Directors. The non-participating subscriber shares are not included as part of the NAV of the Company and do not entitle the holders to participate in the dividends or net assets of the Company.
Redeemable participating shares The issued redeemable participating share capital is at all times equal to the NAV of the Company. Redeemable participating shares are generally redeemable at the shareholder’s option. Each of the redeemable participating shares entitles the holder to attend and vote at meetings of the Company and of the Fund represented by those redeemable participating shares.
Share transactions
For the financial For the financial year ended year ended 30 September 2020 30 September 2019 GEAIF Shares Shares Class A EUR Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 233,711 222,359 Number of shares issued 19,819 11,352 Number of shares redeemed - - Redeemable participating shares in issue at the end of the financial year 253,530 233,711
Class A GBP Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 525,832 525,832 Number of shares issued - - Number of shares redeemed (135,953) - Redeemable participating shares in issue at the end of the financial year 389,879 525,832
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
13. Redeemable participating shares and share capital (continued)
Share transactions (continued)
For the financial For the financial year ended year ended 30 September 2020 30 September 2019 GEAIF (continued) Shares Shares Class A USD Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 860,382 601,737 Number of shares issued 1,008 263,406 Number of shares redeemed - (4,761) Redeemable participating shares in issue at the end of the financial year 861,390 860,382
Quality Class A GBP 1 Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year - - Number of shares issued 496,253 - Number of shares redeemed - - Redeemable participating shares in issue at the end of the financial year 496,253 -
Class A USD Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 898,136 1,249,351 Number of shares issued 3,401,007 85,005 Number of shares redeemed (407,070) (436,220) Redeemable participating shares in issue at the end of the financial year 3,892,073 898,136
EMEF Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 3,987,231 2,566,421 Number of shares issued 2,470,028 2,006,194 Number of shares redeemed (673,012) (585,384) Redeemable participating shares in issue at the end of the financial year 5,784,247 3,987,231
GRRUF Class A AUD 2(H) Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 2,923,192 2,917,489 Number of shares issued - 66,229 Number of shares redeemed (2,923,192) (60,526) Redeemable participating shares in issue at the end of the financial year - 2,923,192
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
13. Redeemable participating shares and share capital (continued)
Share transactions (continued)
For the financial For the financial year ended year ended GRRUF (continued) 30 September 2020 30 September 2019 Class A CHF (H) Shares Shares Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 2,747,250 3,096,783 Number of shares issued - - Number of shares redeemed - (349,533) Redeemable participating shares in issue at the end of the financial year 2,747,250 2,747,250
Class A EUR (H) Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 8,655,636 13,323,535 Number of shares issued 637,711 756,425 Number of shares redeemed (4,874,295) (5,424,324) Redeemable participating shares in issue at the end of the financial year 4,419,052 8,655,636
Class A GBP (H) Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 43,111,279 60,439,603 Number of shares issued 2,430,521 2,679,014 Number of shares redeemed (19,643,309) (20,007,338) Redeemable participating shares in issue at the end of the financial year 25,898,491 43,111,279
Class A NOK (H) Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 2,406,695 2,019,699 Number of shares issued 1,130,223 1,634,031 Number of shares redeemed (305,350) (1,247,035) Redeemable participating shares in issue at the end of the financial year 3,231,568 2,406,695
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
13. Redeemable participating shares and share capital (continued)
Share transactions (continued)
For the financial For the financial year ended year ended GRRUF (continued) 30 September 2020 30 September 2019 Class A SEK (H) Shares Shares Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 4,869,809 4,534,235 Number of shares issued 997,108 422,911 Number of shares redeemed (237,521) (87,337) Redeemable participating shares in issue at the end of the financial year 5,629,396 4,869,809
Class A USD Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 5,178,524 7,039,515 Number of shares issued 6,473,466 193,615 Number of shares redeemed (2,868,563) (2,054,606) Redeemable participating shares in issue at the end of the financial year 8,783,427 5,178,524
Class B EUR (H) Movement in redeemable participating shares during the financial year Shares in issue at the beginning of financial year 15,158,642 15,341,270 Number of shares issued 748,584 1,401,945 Number of shares redeemed (7,587,176) (1,584,573) Redeemable participating shares in issue at the end of the financial year 8,320,050 15,158,642
Class B GBP (H) Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 26,565,509 24,744,173 Number of shares issued 3,747,650 2,331,639 Number of shares redeemed (11,448,619) (510,303) Redeemable participating shares in issue at the end of the financial year 18,864,540 26,565,509
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
13. Redeemable participating shares and share capital (continued)
Share transactions (continued)
For the financial For the financial year ended year ended 30 September 2020 30 September 2019 EDOEF Movement in redeemable participating shares during the financial year Shares in issue at the beginning of the financial year 5,697,684 5,373,497 Number of shares issued 584,900 324,187 Number of shares redeemed (20,149) - Redeemable participating shares in issue at the end of the financial year 6,262,435 5,697,684
1 Share class launched on 8 April 2020. 2 Share class closed on 7 July 2020. (H) Hedged share class.
14. NAV comparison table
As at As at As at 30 September 2020 30 September 2019 30 September 2018 GEAIF Class A EUR Net assets £6,499,505 £6,173,372 £5,634,380 Shares in issue 253,530 233,711 222,359 NAV per share £25.64 £26.41 £25.34 €28.26 €29.85 €28.45 Class A GBP Net assets £13,039,390 £18,120,855 £17,383,310 Shares in issue 389,879 525,832 525,832 NAV per share £33.44 £34.46 £33.06
Class A USD Net assets £17,280,077 £17,784,029 £11,931,046 Shares in issue 861,390 860,382 601,737 NAV per share £20.06 £20.67 £19.83 US$25.93 US$25.47 US$25.86
Quality Class A GBP (1) Net assets US$14,432,008 - - Shares in issue 496,253 - - NAV per share US$29.08 - - £22.49 - -
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
14. NAV comparison table (continued)
As at As at As at 30 September 2020 30 September 2019 30 September 2018 Quality Class A USD Net assets US$256,632,231 US$52,022,317 US$69,308,806 Shares in issue 3,892,073 898,136 1,249,351 NAV per share US$65.94 US$57.92 US$55.48
EMEF US$215,494,033 US$148,081,025 US$94,750,569 Net assets 5,784,247 3,987,231 2,566,421 Shares in issue US$37.26 US$37.14 US$36.92 NAV per share
GRRUF Class A AUD 2(H) Net assets - US$47,411,124 US$50,534,723 Shares in issue - 2,923,192 2,917,489 NAV per share - US$16.22 US$17.32 - AUD24.05 AUD23.94 Class A CHF (H) Net assets US$56,835,202 US$54,213,744 US$63,703,602 Shares in issue 2,747,250 2,747,250 3,096,783 NAV per share US$20.69 US$19.73 US$20.57 CHF19.01 CHF19.67 CHF20.09 Class A EUR (H) Net assets US$105,712,803 US$199,051,409 US$332,469,591 Shares in issue 4,419,052 8,655,636 13,323,535 NAV per share US$23.92 US$23.00 US$24.95 €20.40 €21.10 €21.48 Class A GBP (H) Net assets US$804,377,432 US$1,318,630,044 US$1,967,520,675 Shares in issue 25,898,491 43,111,279 60,439,603 NAV per share US$31.06 US$30.59 US$32.55 £24.02 £24.82 £24.96
Class A NOK 3(H) Net assets US$68,039,020 US$53,796,759 US$50,562,887 Shares in issue 3,231,568 2,406,695 2,019,699 NAV per share US$21.05 US$22.35 US$25.03 NOK196.96 NOK203.07 NOK203.83
Class A SEK (H) Net assets US$123,148,852 US$100,471,481 US$105,154,474 Shares in issue 5,629,396 4,869,809 4,534,235 NAV per share US$21.88 US$20.63 US$23.19 SEK195.83 SEK202.84 SEK206.23 Class A USD Net assets US$215,266,928 US$128,168,344 US$171,961,855 Shares in issue 8,783,427 5,178,524 7,039,515 NAV per share US$24.51 US$24.75 US$24.43
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
14. NAV comparison table (continued)
As at As at As at GRRUF (continued) 30 September 2020 30 September 2019 30 September 201 8 Class B EUR (H) Net assets US$218,321,701 US$380,842,035 US$416,553,152 Shares in issue 8,320,050 15,158,642 15,341,270 NAV per share US$26.24 US$25.12 US$27.15 €22.38 €23.04 €23.38 Class B GBP (H) Net assets US$510,692,667 US$705,427,752 US$696,517,952 Shares in issue 18,864,540 26,565,509 24,744,173 NAV per share US$27.07 US$26.55 US$28.15 £20.94 £21.55 £21.59
EDOEF Ne t assets US$160,993,777 US$130,171,787 US$119,283,231 Shares in issue 6,262,435 5,697,684 5,373,497 NAV per share US$25.71 US$22.85 US$22.20
1 Share class launched on 8 April 2020. 2 Share class closed on 7 July 2020. 3 Share class launched on 12 September 2018.
15. Contingent liabilities
The Investment Manager is not aware of any contingent liabilities as at 30 September 2020 or as at 30 September 2019.
16. Significant events during the financial year
Effective 1 January 2020, GMO Netherlands B.V. was appointed as a distributor of the Company with primary responsibility for the distribution of shares in continental Europe.
On 20 March 2020, the Company issued a supplement to include disclosures in relation to the performance comparative indices applicable to each of the Funds.
On 15 April 2020, the Company issued a second supplement to amend certain parameters for the permitted value at risk of GRRUF as follows: (i) the maximum permitted VaR from 20 per cent. of Net Asset Value to 14 per cent. of Net Asset Value; and (ii) the related confidence interval for the calculation of VaR, from 99 per cent. to 95 per cent.
An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 spread internationally and was declared a pandemic by the World Health Organization on 11 March 2020. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. In order to protect the health and wellbeing of its employees, the Company’s Investment Manager commenced a global work from home policy effective from 13 March 2020. The Company’s Administrator and Depositary have also implemented the business continuity procedures and are working primarily from home. No date for returning to the office has been determined by the Investment Manager, Administrator and Depositary at this time.
On 3 August 2020, the Company entered into an amendment administration agreement to reflect updated anti-money laundering arrangements with the Administrator.
There were no other significant events during the financial year requiring financial statement disclosure.
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GMO FUNDS PLC NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020 ______
17. Significant events since the financial year end
On 12 November 2020, the Company issued a third supplemental prospectus to reflect the creation of five new share classes in respect of Quality.
On January 31, 2020, the U.K. formally withdrew from the EU (commonly known as “Brexit”), and an 11-month transition period commenced during which the U.K. negotiated an agreement for its future relationship with the EU. On 29 December 2020, the EU member states approved this agreement, and the European Parliament is expected to approve the agreement in 2021. On 1 January 2021, a provisional application of the agreement took effect. Brexit did not have any direct impact on the Company.
There were no other significant events occurring since the financial year end requiring financial statement disclosure.
18. Approval of the financial statements
The Board of Directors of the Company approved these audited financial statements on 14 January 2021 for circulation to the shareholders and for filing with the Central Bank of Ireland.
204 ______
GMO FUNDS PLC GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) ______
The following statement of changes in the portfolio reflect the aggregate purchases of a security exceeding 1% of the total value of purchases and aggregate disposals greater than 1% of the total sales in the financial year. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.
Schedule of material purchases for the financial year ended 30 September 2020*
Cost Security Description Nominal £ State Street US Treasury Liquidity Fund 818,133 628,236 United States Treasury Floating Rate Note, 0.23%, due 30/04/21 600,000 457,973 DBS Group Holdings Ltd. 21,900 292,853 JPMorgan Chase & Co. 3,495 286,183 Hon Hai Precision Industry Co. Ltd. 133,000 277,939 China Mobile Ltd. 47,500 267,159 KDDI Corp. 11,200 258,423 Bank of China Ltd. 705,000 211,472 China National Building Material Co. Ltd. 258,000 205,766 Royal Dutch Shell Plc (A Shares) 14,241 205,633 Naspers Ltd. 1,350 186,783 Rio Tinto Ltd. 3,401 166,883 LUKOIL PJSC - Depositary Receipts 2,155 161,038 Lam Research Corp. 629 153,914 Tokyo Electron Ltd. 900 153,459 Coca-Cola Co. 3,706 146,260 BNP Paribas SA 3,621 139,073 Sun Life Financial Inc. (Canada listed) 4,000 136,119 Electronic Arts Inc. 1,476 128,915 NetEase Inc. - Depositary Receipts 400 125,351
Schedule of material sales for the financial year ended 30 September 2020*
Proceeds Security Description Nominal £ United States Treasury Floating Rate Note, 0.23%, due 30/04/21 950,000 749,457 State Street US Treasury Liquidity Fund 802,291 622,994 Apple Inc. 2,353 368,797 Gazprom Neft PJSC - Depositary Receipts 62,736 353,126 Microsoft Corp. 2,297 325,123 Roche Holding AG 982 252,515 ITOCHU Corp. 14,400 250,777 Toronto-Dominion Bank 6,000 248,965 Macquarie Infrastructure Corp. 3,342 239,102 FUJIFILM Holdings Corp. 6,200 228,685 Allianz SE 1,379 225,980 Alphabet Inc. Class C 196 223,936 Sandvik AB 14,253 206,783 Honda Motor Co. Ltd. 9,000 183,126 Neste Oyj 6,858 175,253 Iberdrola SA 20,187 169,778 L'Oreal SA 711 168,718 Volvo AB Class B 12,638 160,914 Target Corp. 1,636 154,480 Nestle SA 1,832 151,440
* United States Treasury Bills are not included in the above tables.
205 ______
GMO FUNDS PLC GMO QUALITY INVESTMENT FUND STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) (CONTINUED) ______
The following statement of changes in the portfolio reflect the aggregate purchases of a security exceeding 1% of the total value of purchases and aggregate disposals greater than 1% of the total sales in the financial year. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.
Schedule of material purchases for the financial year ended 30 September 2020*
Cost Security Description Nominal US$ State Street Global Advisors Offshore USD - Class D 35,747,134 35,747,134 State Street US Treasury Liquidity Fund 29,341,293 29,341,293 Microsoft Corp. 79,929 15,954,612 Apple Inc. 43,500 13,971,576 Coca-Cola Co. 232,831 11,362,561 UnitedHealth Group Inc. 37,233 11,064,484 Johnson & Johnson 57,615 8,411,247 Accenture Plc 38,696 8,316,478 Oracle Corp. 148,500 8,232,178 US Bancorp 207,925 7,845,406 Medtronic Plc 69,728 6,838,562 Facebook Inc. 28,826 6,710,245 Roche Holding AG 18,245 6,436,002 Taiwan Semiconductor Manufacturing Co. Ltd. 513,000 6,356,303 Anthem Inc. 23,370 6,246,132 Lam Research Corp. 17,976 6,212,989 Cisco Systems Inc. 137,332 6,203,143 Alphabet Inc. Class A 4,200 6,193,733 Texas Instruments Inc. 46,695 5,998,257 TJX Cos. Inc. 112,328 5,929,954 3M Co. 37,300 5,876,637 Wells Fargo & Co. 208,067 5,768,441 American Express Co. 57,366 5,629,533 SAP SE 37,005 5,558,848 Merck & Co. Inc. 65,800 5,224,83 3 Quest Diagnostics Inc. 44,569 5,222,858 Unilever NV 90,074 4,997,618 Alphabet Inc. Class C 3,300 4,873,973 Eli Lilly & Co. 29,200 4,489,368 Abbott Laboratories 45,019 4,371,626 Philip Morris International Inc. 53,119 4,062,3 77 Compass Group Plc 273,396 4,046,574 Raytheon Technologies Corp. 62,813 4,007,765 Visa Inc. 18,908 3,649,732 Charles Schwab Corp. 89,915 3,124,824
206 ______
GMO FUNDS PLC GMO QUALITY INVESTMENT FUND STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) (CONTINUED) ______
The following statement of changes in the portfolio reflect the aggregate purchases of a security exceeding 1% of the total value of purchases and aggregate disposals greater than 1% of the total sales in the financial year. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.
Schedule of material sales for the financial year ended 30 September 2020*
Proceeds Security Description Nominal US$ State Street Global Advisors Offshore USD - Class D 35,873,293 35,873,293 State Street US Treasury Liquidity Fund 29,285,154 29,285,154 Apple Inc. 51,390 7,122,693 Microsoft Corp. 15,765 3,165,714 Nike Inc. 21,128 2,429,671 Taiwan Semiconductor Manufacturing Co. Ltd. 154,000 1,808,375 Honeywell International Inc. 8,244 1,353,952 Cognizant Technology Solutions Corp. 23,446 1,310,037 Alphabet Inc. Class C 753 994,617 Alphabet Inc. Class A 618 931,787 Costco Wholesale Corp. 2,685 794,767 Mastercard Inc. 2,253 667,292 Becton Dickinson and Co. 2,731 661,642 Roche Holding AG 2,029 613,684 Reckitt Benckiser Group Plc 8,102 594,918 Oracle Corp. 11,109 538,382 Nestle SA 5,191 535,913 Humana Inc. 1,673 526,174 Booking Holdings Inc. 283 519,556 Facebook Inc. 2,228 512,956
* United States Treasury Bills are not included in the above tables.
207 ______
GMO FUNDS PLC GMO EMERGING MARKETS EQUITY FUND STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) (CONTINUED) ______
The following statement of changes in the portfolio reflect the aggregate purchases of a security exceeding 1% of the total value of purchases and aggregate disposals greater than 1% of the total sales in the financial year. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.
Schedule of material purchases for the financial year ended 30 September 2020*
Cost Security Description Nominal US$ iShares Core MSCI EM IMI UCITS ETF 2,996,736 81,796,802 State Street US Treasury Liquidity Fund 21,575,341 21,575,341 Alibaba Group Holding Ltd. - Depositary Receipts 69,900 14,406,885 Taiwan Semiconductor Manufacturing Co. Ltd. 823,000 9,730,293 Anhui Conch Cement Co. Ltd. (A Shares) 708,967 5,568,031 China Construction Bank Corp. (H Shares) 6,716,000 5,133,839 MMC Norilsk Nickel PJSC - Depositary Receipts 188,720 5,107,295 LUKOIL PJSC - Depositary Receipts 67,231 4,855,386 NetEase Inc. - Depositary Receipts 11,9 00 4,625,597 Hon Hai Precision Industry Co. Ltd. 1,483,000 3,946,429 Vipshop Holdings Ltd. - Depositary Receipts 174,400 3,493,781 Catcher Technology Co. Ltd. 444,000 3,383,952 Samsung Electronics Co. Ltd. 75,886 3,132,928 Industrial & Commercial Bank of China Ltd. 4,182,000 2,670,058 Tencent Holdings Ltd. 44,400 2,567,030 China Vanke Co. Ltd. (A Shares) 607,900 2,435,077 Tatneft PJSC - Depositary Receipts 46,893 2,378,956 Surgutneftegas PJSC - Depositary Receipts 417,219 2,283,287 Powszechny Zaklad Ubezpieczen SA 259,779 2,097,161 Sberbank of Russia PJSC - Depositary Receipts 179,367 2,080,016
Schedule of material sales for the financial year ended 30 September 2020*
Proceeds Security Description Nominal US$ iShares Core MSCI EM IMI UCITS ETF 3,142,464 87,041,824 State Street US Treasury Liquidity Fund 18,296,626 18,296,626 Alibaba Group Holding Ltd. - Depositary Receipts 53,200 11,001,431 Samsung Electronics Co. Ltd. 100,611 4, 517,630 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 77,300 4,357,220 Tencent Holdings Ltd. 76,800 3,465,768 Anhui Conch Cement Co. Ltd. (A Shares) 390,900 3,296,570 Sberbank of Russia PJSC - Depositary Receipts 259,3 67 3,090,551 Anhui Conch Cement Co. Ltd. (H Shares) 383,200 2,951,130 Ping An Insurance Group Co. of China Ltd. 258,958 2,779,914 Midea Group Co. Ltd. 273,445 2,428,159 Asustek Computer Inc. 277,510 2,155,788 China Yangtze Power Co. Ltd. 758,573 1,831,802 China Vanke Co. Ltd. (A Shares) 379,700 1,562,830 CNOOC Ltd. 1,343,000 1,516,396 Polski Koncern Naftowy ORLEN SA 90,294 1,431,896 Gazprom Neft PJSC - Depositary Receipts 180,412 1,404,161 China Shenhua Energy Co. Ltd. (A Shares) 591,600 1,375,796 China Merchants Bank Co. Ltd. (A Shares) 268,700 1,363,854 Nanya Technology Corp. 549,000 1,327,182
* United States Treasury Bills are not included in the above tables.
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GMO FUNDS PLC GMO GLOBAL REAL RETURN (UCITS) FUND STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) (CONTINUED) ______
The following statement of changes in the portfolio reflect the aggregate purchases of a security exceeding 1% of the total value of purchases and aggregate disposals greater than 1% of the total sales in the financial year. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.
Schedule of material purchases for the financial year ended 30 September 2020*
Cost Security Description Nominal US$ Mizuho Securities USA Inc. Repurchase Agreement 11,564,196,973 11,564,196,973 State Street US Treasury Liquidity Fund 169,054,244 169,054,244 United States Treasury Note, 1.75%, due 28/02/22 158,000,000 162,587,594 United States Treasury Note/Bond, 1.38%, due 31/01/22 130,000,000 132,563,917 United States Treasury Note, 1.88%, due 31/05/22 85,000,000 87,666,211 iShares Core MSCI EM IMI UCITS ETF 2,512,081 69,563,204 United States Treasury Floating Rate Note, 0.25%, due 31/01/22 65,000,000 65,070,150 United States Treasury Note, 1.88%, due 30/04/22 50,000,000 51,561,9 14 United States Treasury Note, 1.75%, due 31/03/22 50,000,000 51,380,859 GMO Emerging Country Debt Ucits Fund 2,475,000 49,500,000 United States Treasury Note, 1.50%, due 31/01/22 35,000,000 35,709,570 Canada Treasury Bill, 0.00%, due 19/03/20 45,000,000 34,077,683 United States Treasury Note/Bond, 1.63%, due 31/12/21 30,000,000 30,639,141 United States Treasury Note/Bond, 1.38%, due 31/01/21 25,600,000 25,507,145 United States Treasury Floating Rate Note, 0.40%, due 31/10/21 25,000,000 25,034,416 Alibaba Group Holding Ltd. - Depositary Receipts 90,300 18,403,123 United States Treasury Inflation Indexed Bonds, 0.13%, due 15/01/30 18,114,926 18,349,947 United States Treasury Note, 1.63%, due 31/08/22 15,000,000 15,438,281 Hon Hai Precision Industry Co. Ltd. 5,369,000 14,470,759 Allergan Plc 80,246 14,092,269
Schedule of material sales for the financial year ended 30 September 2020*
Proceeds Security Description Nominal US$ State Street US Treasury Liquidity Fund 159,179,694 159,179,694 United States Treasury Note/Bond, 1.38%, due 31/01/22 130,000,000 132,411,875 iShares Core MSCI EM IMI UCITS ETF 2,877,270 76,963,667 United States Treasury Floating Rate Note, 1.00%, due 31/07/20 76,956,000 76,939,012 United States Treasury Inflation Indexed Bonds, 1.75%, due 15/01/28 61,982,589 70,952,129 United States Treasury Floating Rate Note, 1.00%, due 30/04/20 59,300,000 59,293,964 United States Treasury Note, 1.75%, due 28/02/22 55,000,000 56,395,898 United States Treasury Inflation Indexed Bonds, 0.38%, due 15/01/27 55,085,874 56,378,830 United States Treasury Inflation Indexed Bonds, 2.50%, due 15/01/29 42,846,710 52,919,947 United States Treasury Floating Rate Note, 0.25%, due 31/01/22 44,000,000 44,059,827 Federal Home Loan Banks, 1.27%, due 03/04/20 44,000,000 44,025,511 United States Treasury Inflation Indexed Bonds, 0.50%, due 15/01/28 41,621,042 43,955,719 United States Treasury Inflation Indexed Bonds, 0.63%, due 15/01/26 31,566,198 32,116,262 United States Treasury Note/Bond, 1.38%, due 31/01/21 30,500,000 30,709,414 United States Treasury Note/Bond, 1.63%, due 31/12/21 30,000,000 30,622,852 United States Treasury Floating Rate Note, 0.15%, due 31/10/20 28,500,000 28,496,337 Wayfair Inc. 218,500 28,151,889 United States Treasury Floating Rate Note, 0.40%, due 31/10/21 25,000,000 25,069,742 Carvana Co. 203,400 23,544,359 United States Treasury Note/Bond, 1.13%, due 28/02/21 22,400,000 22,527,492
* United States and Japan Treasury Bills are not included in the above tables.
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GMO FUNDS PLC GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) (CONTINUED) ______
The following statement of changes in the portfolio reflect the aggregate purchases of a security exceeding 1% of the total value of purchases and aggregate disposals greater than 1% of the total sales in the financial year. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.
Schedule of material purchases for the financial year ended 30 September 2020*
Cost Security Description Nominal US$ iShares Core MSCI EM IMI UCITS ETF 1,987,487 52,862,512 State Street US Treasury Liquidity Fund 22,352,191 22,352,191 iShares MSCI Russia ADR 101,967 12,699,360 iShares MSCI Brazil UCITS ETF 305,375 7,672,455 iShares MSCI Taiwan UCITS ETF 150,198 6,946,380 JD.com Inc. - Depositary Receipts 131,600 5,589,493 Facebook Inc. 20,400 5,449,277 Taiwan Semiconductor Manufacturing Co. Ltd. 472,000 5,359,444 Xtrackers MSCI China UCITS ETF 265,043 4,965,006 Tencent Holdings Ltd. 99,000 4,621,610 Bharti Airtel Ltd. 604,608 4,146,515 iShares MSCI Korea UCITS ETF 98,433 3,962,905 China Merchants Bank Co. Ltd. 795,500 3,954,584 iShares MSCI China A UCITS ETF 697,639 3,776,169 HDFC Bank Ltd. 220,269 3,602,834 ICICI Bank Ltd. 563,263 3,439,544 NetEase Inc. - Depositary Receipts 9,000 3,196,951 Alibaba Group Holding Ltd. 96,000 2,893,479 Reliance Industries Ltd. 120,470 2,709,480 Samsung Electronics Co. Ltd. 59,527 2,657,335
Schedule of material sales for the financial year ended 30 September 2020*
Proceeds Security Description Nominal US$ iShares Core MSCI EM IMI UCITS ETF 1,978,388 53,423,110 State Street US Treasury Liquidity Fund 11,478,870 11,478,870 iShares MSCI Taiwan UCITS ETF 187,773 9,127,273 iShares MSCI Russia ADR 75,404 8,815,705 iShares MSCI Brazil UCITS ETF 305,375 7,846,805 iShares MSCI Korea UCITS ETF 158,302 6,657,184 Taiwan Semiconductor Manufacturing Co. Ltd. 601,000 6,046,420 Tencent Holdings Ltd. 99,600 5,565,619 Xtrackers MSCI China UCITS ETF 265,043 4,840,730 Bharti Airtel Ltd. 604,608 4,347,064 Ping An Insurance Group Co. of China Ltd. 397,500 4,276,816 China Merchants Bank Co. Ltd. 883,054 4,177,607 Alibaba Group Holding Ltd. - Depositary Receipts 20,800 4,046,305 Digital Telecommunications Infrastructure Fund 7,761,500 3,784,263 Bank Central Asia Tbk PT 2,198,900 3,725,475 HDFC Bank Ltd. 242,385 3,399,301 China Construction Bank Corp. (H Shares) 4,207,647 3,323,141 Facebook Inc. 10,800 3,002,905 Itau Unibanco Holding SA - Preferred Shares 468,310 2,929,194 Samsung Electronics Co. Ltd. 71,363 2,926,015
* United States Treasury Bills are not included in the above tables.
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GMO FUNDS PLC APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE (UNAUDITED) ______
Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (“SFTR”) introduces reporting requirements for securities financing transactions (“SFTs”) and total return swaps.
A SFT is defined as per Article 3(11) of the SFTR as: • a repurchase/reverse repurchase agreement; • securities or commodities lending and securities or commodities borrowing; • a buy-sell back transaction or sell-buy back transaction; or • a margin lending transaction.
As at 30 September 2020, the following Sub-Funds held total return swaps, repurchase agreements and/or reverse repurchase agreements, as specified below, as types of instruments under the scope of SFTR:
GMO Emerging Markets Equity Fund GMO Global Real Return (UCITS) Fund
GMO EMERGING MARKETS EQUITY FUND
Global data
The amount of assets across total return swaps as at 30 September 2020 was as follows:
Type of Asset Notional Amount US$ % of NAV Total Return Swaps 1,025,075 0.48%
No securities of EMEF were on loan during the financial year ended 30 September 2020.
Data on reuse of collateral
There was no reuse of collateral during the financial year ended 30 September 2020.
Concentration data
The EMEF’s portfolio did not receive any securities as collateral for the total return swaps as at 30 September 2020.
The counterparty across all total return swaps as at 30 September 2020 was as follows:
Counterparty Type of Asset Notional Amount US$ Goldman Sachs International Total Return Swaps 1,025,075
Safekeeping of collateral received or granted
As at 30 September 2020 there was no collateral received or held with the Depositary.
Aggregate transaction data
As at 30 September 2020 there were no collateral positions, including cash, pledged/received across all total return swaps.
Cash denominated in USD is deemed to be at highest quality due to its highly liquid nature.
The settlement mechanism for all total return swap positions as at 30 September 2020 was bilateral.
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GMO FUNDS PLC APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE (UNAUDITED) (CONTINUED) ______
GMO EMERGING MARKETS EQUITY FUND (CONTINUED)
Aggregate transaction data (continued)
The maturity tenor of all total return swaps positions as at 30 September 2020 was as follows:
Maturity Notional Amount US$ Total Return Swaps 1 month to 3 months 1,025,075
Returns and costs for total return swaps for the financial year ended 30 September 2020 were as follows:
Returns: Amount US$ % overall returns To Fund: - Total Return Swaps 1,140,602 100% To 3rd Party: - Total Return Swaps - 0% Total 1,140,602 100%
Costs Amount US$ % overall returns To Fund: - Total Return Swaps (197,620) 100% To 3rd Party: - Total Return Swaps - 0% Total (197,620) 100%
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GMO FUNDS PLC APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE (UNAUDITED) (CONTINUED) ______
GMO GLOBAL REAL RETURN (UCITS) FUND
Global data
The amount of assets across total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 30 September 2020 was as follows:
Type of Asset Notional Amount US$ % of NAV Total Return Swaps 122,642,450 5.83%
No securities of GRRUF were on loan during the financial year ended 30 September 2020.
Data on reuse of collateral
There was no reuse of collateral during the financial year ended 30 September 2020.
Concentration data
The issuer for collateral securities received across all total return swaps repurchase agreements and reverse repurchase agreements, if any, as at 30 September 2020 was as follows:
Collateral Issuer Amount US$ GVT of the United States of America 7,889,739
Security collateral may cover a combination of swaps contracts, and as such, a portion of the collateral relates to swap contracts not in scope of the SFTR.
The counterparties across all total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 30 September 2020 were as follows:
Counterparty Type of asset Notional Amount US$ Barclays Bank Plc Total Return Swaps 1,800,000 Goldman Sachs International Total Return Swaps 3,467,447 JPMorgan Chase Bank, N.A. Total Return Swaps 13,039,999 Morgan Stanley Capital Services LLC Total Return Swaps 104,335,004
Safekeeping of collateral received
The Depositary held collateral received as at 30 September 2020 as follows:
Depositary Type of collateral Amount US$ State Street Custodial Services (Ireland) Limited Cash collateral 9,450,000 State Street Custodial Services (Ireland) Limited Security collateral 7,889,739
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GMO FUNDS PLC APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE (UNAUDITED) (CONTINUED) ______
GMO GLOBAL REAL RETURN (UCITS) FUND (CONTINUED)
Safekeeping of collateral granted
The proportion of collateral held in segregated, pooled or other accounts as at 30 September 2020 was as follows:
% Segregated Accounts 0% Pooled Accounts 0% Other 100% Total 100%
Aggregate transaction data
The aggregate transaction data for collateral positions, including cash, (pledged)/received across all total return swaps, repurchase agreements and reverse repurchase agreements, as at 30 September 2020 was as follows:
Maturity Country of Type of Amount Quality tenor Currency of counterparty Settlement Counterparty collateral US$ (credit rating)* (collateral)* collateral establishment and clearing Total Return Swaps government Bank of America, N.A. bonds 518,596 A+ > 1 year US$ United States bilateral Barclays Bank Plc cash 5,910,000 N/A N/A US$ United States bilateral Citibank N.A. cash 690,000 N/A N/A US$ United States bilateral Citigroup Global Markets, Inc. cash 650,000 N/A N/A US$ United States bilateral Credit Suisse International cash (50,000) N/A N/A US$ United States bilateral Deutsche Bank AG cash 2,200,000 N/A N/A US$ Germany bilateral Goldman Sachs cash (1,820,000) N/A N/A US$ United States bilateral JPMorgan Chase Bank, government N.A. bonds (4,542,514) A+ > 1 year US$ United States bilateral Morgan Stanley & Co. government International Plc bonds 5,605,917 A+ > 1 year US$ United States bilateral Morgan Stanley government Capital Services bonds 1,765,226 A+ > 1 year US$ United States bilateral State Street Bank and government Trust Company bonds (4,773,831) AA- > 1 year US$ United States bilateral
* Not applicable to cash collateral.
Collateral may cover a combination of swap contracts, and as such, a portion of the collateral relates to swap contracts not in scope of SFTR.
Cash denominated in USD is deemed to be at highest quality due to its highly liquid nature.
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GMO FUNDS PLC APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE (UNAUDITED) (CONTINUED) ______
GMO GLOBAL REAL RETURN (UCITS) FUND (CONTINUED)
Aggregate transaction data (continued)
The maturity tenor of all total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 30 September 2020 was as follows:
Maturity Notional Amount US$ Total Return Swaps 1 month to 3 months 19,907,444 3 months to 1 year 2,897,838 Over 1 year 99,837,168
Return/costs
Returns and costs for total return swaps, repurchase agreement and reverse repurchase agreement positions, if any, for the financial year ended 30 September 2020 were as follows:
Returns: Amount US$ % Overall returns To Fund: - Total Return Swaps 56,626,734 99% - Repurchase Agreements 701,622 1% - Reverse Repurchase Agreements 775 0% To 3rd Party: - Total Return Swaps - 0% - Repurchase Agreements - 0% Total 57,329,131 100%
Costs: Amount US$ % Overall returns To Fund: - Total Return Swaps (58,302,133) 100% To 3rd Party: - Total Return Swaps - 0% - Reverse Repurchase Agreements - 0% Total (58,302,133) 100%
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GMO FUNDS PLC DIRECTORY ______
Board of Directors Depositary Mr. David Bohan (United States) State Street Custodial Services (Ireland) Limited Ms. Eimear Cowhey (Ireland) 1 78 Sir John Rogerson’s Quay Mr. Arron Day (United Kingdom) Dublin 2 Mr. John Fitzpatrick (Ireland) 1 Ireland
Administrator Company Secretary State Street Fund Services (Ireland) Limited Bradwell Limited 78 Sir John Rogerson’s Quay 10 Earlsfort Terrace Dublin 2 Dublin 2 Ireland Ireland
Auditor Investment Manager PricewaterhouseCoopers Grantham, Mayo, Van Otterloo & Co. LLC Chartered Accountants and Statutory Audit Firm 40 Rowes Wharf One Spencer Dock Boston North Wall Quay Massachusetts 02110 Dublin 1 USA Ireland
Legal Adviser Distributor and UK Facilities Agent Arthur Cox GMO UK Limited 10 Earlsfort Terrace No. 1 London Bridge Dublin 2 London SE1 9BG Ireland England
Registered Office Distributor (Effective from 1 January 2020) 78 Sir John Rogerson’s Quay GMO Netherlands B.V. Dublin 2 Gustav Mahlerplein 109-115, Ireland 26th floor 1082 MS Amsterdam Registered Number: 351477 The Netherlands
1 Independent Director.
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