GMO TRUST Form NPORT-P Filed 2020-07-28
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SECURITIES AND EXCHANGE COMMISSION FORM NPORT-P Filing Date: 2020-07-28 | Period of Report: 2020-05-31 SEC Accession No. 0001752724-20-146246 (HTML Version on secdatabase.com) FILER GMO TRUST Mailing Address Business Address 40 ROWES WHARF 40 ROWES WHARF CIK:772129| IRS No.: 000000000 | State of Incorp.:MA | Fiscal Year End: 0831 BOSTON MA 02110 BOSTON MA 02110 Type: NPORT-P | Act: 40 | File No.: 811-04347 | Film No.: 201052790 6173467646 Copyright © 2020 www.secdatabase.com. All Rights Reserved. Please Consider the Environment Before Printing This Document GMO Asset Allocation Bond Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) May 31, 2020 (Unaudited) Par Value / Shares Description Value ($) DEBT OBLIGATIONS 95.4% U.S. Government 95.4% 4,180,626 U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25(a) 4,322,632 9,708,322 U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27(a) 10,287,885 19,736,801 U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28(a) 21,285,579 32,786,545 U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28(a) 38,564,439 6,226,659 U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28(a) 6,899,050 11,269,835 U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29(a) 12,617,320 37,063,302 U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29(a) 46,777,790 20,266,660 U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30(a) 21,509,372 Total U.S. Government 162,264,067 TOTAL DEBT OBLIGATIONS (COST $150,765,299) 162,264,067 MUTUAL FUNDS 4.8% United States 4.8% Affiliated Issuers 4.8% 1,598,174 GMO U.S. Treasury Fund 8,054,797 TOTAL MUTUAL FUNDS (COST $8,038,263) 8,054,797 SHORT-TERM INVESTMENTS 0.5% Money Market Funds 0.5% 903,684 State Street Institutional Treasury Money Market Fund-Premier Class, 0.12%(b) 903,684 TOTAL SHORT-TERM INVESTMENTS (COST $903,684) 903,684 TOTAL INVESTMENTS 100.7% (Cost $159,707,246) 171,222,548 Other Assets and Liabilities (net) (0.7%) (1,182,770 ) TOTAL NET ASSETS 100.0% $170,039,778 Notes to Schedule of Investments: Denominated in U.S. Dollar, unless otherwise indicated. (a) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic. (b) The rate disclosed is the 7 day net yield as of May 31, 2020. Copyright © 2020 www.secdatabase.com. All Rights Reserved. Please Consider the Environment Before Printing This Document GMO Core Plus Bond Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) May 31, 2020 (Unaudited) Par Value / Par Value / Shares Description Value ($) Shares Description Value ($) DEBT OBLIGATIONS 39.9% U.S. Government 6.9% 7,407,000 U.S. Treasury Bond, 3.75%, due 11/15/43 11,003,735 United States 39.9% 4,750,000 U.S. Treasury Bond, 3.38%, due 05/15/44(a) 6,703,809 Asset-Backed Securities 18.5% 8,600,000 U.S. Treasury Note, 2.25%, due 08/15/49(a) 10,315,969 8,000,000 Americold LLC, Series 10-ARTA, Class C, 144A, Total U.S. Government 28,023,513 6.81%, due 01/14/29 8,052,867 1,145,000 Aventura Mall Trust, Series 13-AVM, Class C, U.S. Government Agency 14.5% 144A, Variable Rate, 3.74%, due 12/05/32 1,145,023 15,000,000 Federal National Mortgage Association, 500,000 BAMLL Commercial Mortgage Securities Trust, TBA, 2.50%, due 08/01/34 15,697,266 Series 12-PARK, Class A, 144A, 2.96%, due 12/10/ 13,300,000 Federal National Mortgage Association, 30 519,816 TBA, 4.00%, due 08/01/48 14,156,188 282,817 Bear Stearns Commercial Mortgage Securities 8,900,000 Federal National Mortgage Association, Trust, Series 05-PW10, Class AJ, Variable Rate, TBA, 3.50%, due 04/01/49 9,389,500 5.59%, due 12/11/40 282,617 17,700,000 Federal National Mortgage Association, 5,100,000 CGRBS Commercial Mortgage Trust, TBA, 3.00%, due 12/01/49 18,618,188 Series 13-VN05, Class C, 144A, Variable Rate, 3.58%, due 03/13/35 5,383,253 900,000 Government National Mortgage Association, TBA, 3.50%, due 06/01/49 953,789 29,970,000 Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31 31,676,869 Total U.S. Government Agency 58,814,931 2,210,000 Commercial Mortgage Trust, Series 13-WWP, TOTAL DEBT OBLIGATIONS Class B, 144A, 3.73%, due 03/10/31 2,347,763 (COST $154,599,460) 161,557,386 6,461,000 Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31 6,834,860 INVESTMENT FUNDS 18.4% 6,310,000 Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31 6,730,176 United States 18.4% 4,015,340 Four Times Square Trust Commercial Mortgage 565,862 iShares iBoxx $ Investment Grade Corporate Pass-Through Certificates, Series 06-4TS, Class A, Bond ETF 74,705,101 144A, 5.40%, due 12/13/28 4,064,998 1,000,000 Morgan Stanley Capital I Trust, Series 14-CPT, TOTAL INVESTMENT FUNDS Class A, 144A, 3.35%, due 07/13/29 1,018,873 (COST $68,276,976) 74,705,101 490,000 Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.45%, due 07/13/29 498,844 MUTUAL FUNDS 35.4% 250,000 Morgan Stanley Capital I Trust, Series 14-CPT, Class E, 144A, Variable Rate, 3.45%, due 07/13/29 254,665 United States 35.4% 300,000 Morgan Stanley Capital I Trust, Series 14-CPT, Affiliated Issuers 35.4% Class F, 144A, Variable Rate, 3.45%, due 07/13/29 305,598 859,465 GMO Emerging Country Debt Fund, 375,000 Morgan Stanley Capital I Trust, Series 14-MP, Class IV 21,366,312 Class A, 144A, 3.47%, due 08/11/33 383,384 3,218,662 GMO Opportunistic Income Fund, Class VI 81,721,830 100,000 Morgan Stanley Capital I Trust, Series 14-MP, 8,011,002 GMO U.S. Treasury Fund 40,375,453 Class C, 144A, Variable Rate, 3.69%, due 08/11/33 102,340 5,000,000 Morgan Stanley Capital I Trust, Series 14-MP, TOTAL MUTUAL FUNDS Class E, 144A, Variable Rate, 3.69%, due 08/11/33 5,116,996 (COST $150,344,466) 143,463,595 Total Asset-Backed Securities 74,718,942 SHORT-TERM INVESTMENTS 22.4% Foreign Government Obligations 19.9% JPY 1,900,000,000 Japan Treasury Discount Bill, Zero Coupon, due 06/15/20 17,618,879 JPY 1,300,000,000 Japan Treasury Discount Bill, Zero Coupon, due 06/22/20 12,055,423 JPY 3,300,000,000 Japan Treasury Discount Bill, Zero Coupon, due 07/06/20 30,604,123 JPY 2,200,000,000 Japan Treasury Discount Bill, Zero Coupon, due 07/27/20 20,404,100 Total Foreign Government Obligations 80,682,525 Copyright © 2020 www.secdatabase.com. All Rights Reserved. Please Consider the Environment Before Printing This Document GMO Core Plus Bond Fund (A Series of GMO Trust) Schedule of Investments (Continued) (showing percentage of total net assets) May 31, 2020 (Unaudited) Shares Description Value ($) Money Market Funds 2.5% 10,051,095 State Street Institutional Treasury Money Market Fund Premier Class, 0.12%(b) 10,051,095 TOTAL SHORT-TERM INVESTMENTS (COST $90,217,388) 90,733,620 TOTAL INVESTMENTS 116.1% (Cost $463,438,290) 470,459,702 Other Assets and Liabilities (net) (16.1%) (65,359,603 ) TOTAL NET ASSETS 100.0% $405,100,099 A summary of outstanding financial instruments at May 31, 2020 is as follows: Forward Currency Contracts Net Unrealized Settlement Currency Currency Appreciation Date Counterparty Sold Purchased (Depreciation) ($) 08/06/ 2020 MSCI AUD 12,246,000 USD 7,845,706 (316,960 ) 08/04/ 2020 MSCI BRL 7,000,629 USD 1,248,329 (60,036 ) 06/03/ 2020 GS CAD 3,012,344 USD 2,140,000 (47,852 ) 06/03/ 2020 JPM CAD 21,085,233 USD 14,840,000 (474,111 ) 06/03/ 2020 MSCI CAD 19,815,661 USD 13,890,000 (502,026 ) 08/14/ 2020 BCLY CHF 1,578,810 USD 1,630,000 (14,923 ) 08/14/ 2020 JPM CHF 3,792,946 USD 3,940,000 (11,777 ) 08/14/ 2020 MSCI CHF 401,389 USD 415,579 (2,618 ) 06/03/ 2020 MSCI CLP 2,021,698,500 USD 2,362,076 (163,782 ) 09/01/ 2020 JPM CLP 2,021,698,500 USD 2,476,358 (50,106 ) 08/06/ 2020 MSCI COP 5,615,026,500 USD 1,396,286 (100,799 ) 07/14/ 2020 JPM CZK 33,108,398 USD 1,340,000 (26,081 ) 07/14/ 2020 MSCI CZK 25,872,705 USD 1,041,281 (26,250 ) 07/27/ 2020 JPM EUR 2,521,000 USD 2,725,221 (76,407 ) 08/14/ 2020 JPM GBP 7,019,000 USD 8,668,283 (2,714 ) 07/14/ 2020 JPM HUF 721,912,819 USD 2,182,423 (125,638 ) 08/19/ 2020 BCLY IDR 4,504,830,000 USD 300,000 (2,381 ) 08/19/ 2020 JPM IDR 9,817,500,000 USD 660,000 1,013 08/31/ 2020 MSCI ILS 1,665,763 USD 475,919 622 Copyright © 2020 www.secdatabase.com.