| Issue |
Coupon |
Maturity Date |
Amount Owned |
% of Fund |
| GMO Short Duration Collateral |
0 |
|
$7,417,054 |
57.55 |
| GMO World Opportunity Overlay |
|
|
$2,073,829 |
31.23 |
| US Treasury Note 2.5% |
2.5 |
2015-03-31 |
$30,000,000 |
21.3 |
| US Treasury Note 2.375% |
2.38 |
2011-04-15 |
$18,598,384 |
12.64 |
| 10yr Japan Govt Bond Ftrs Lif Dec10 Xlif |
0 |
2010-12-08 |
$1,000,000,000 |
11.35 |
| Treasury Bd Rcpts Int Pmt On 13.375 2001 |
0 |
2012-02-15 |
$10,100,000 |
6.69 |
| Tzer 0% |
0 |
2012-08-15 |
$10,100,000 |
6.63 |
| US Treasury Bond (Fut) |
0 |
2011-03-31 |
$7,200,000 |
5.32 |
| GMO Emerging Country Debt IV |
0 |
|
$713,746 |
4.75 |
| Albania(Rep Of) |
0.01 |
2025-08-31 |
$14,281,227 |
4.04 |
| 10yr Govt Of Canada Bond Ftrs Mar11 Xmon |
0 |
2011-03-22 |
$1,900,000 |
1.53 |
| Uk Long Gilt Bond Futures Mar11 Xlif |
0 |
2011-03-29 |
$1,100,000 |
1.39 |
| GMO US Treasury |
0 |
|
$49,750 |
0.84 |
| US Treasury Bill |
0 |
2011-11-17 |
$1,000,000 |
0.67 |
| Curr Opt .95 Put 12may11 Aud Put Usd Call Opcb11k12au1 |
0 |
2011-05-12 |
$18,200,000 |
0.54 |
| Wachovia Auto Tr 2008-A FRN |
3.63 |
2014-03-20 |
$800,000 |
0.54 |
| SSgA Instl Treas Plus Money Market Instl |
0.05 |
2030-12-31 |
$806,591 |
0.54 |
| Gs Mtg Coml 2007-Eop CMO |
5.45 |
2020-03-06 |
$800,000 |
0.51 |
| Ge Busn Ln Tr 2005-2 FRN |
4.61 |
2033-11-15 |
$844,267 |
0.47 |
| Euro Bund (Fut) |
0 |
2010-12-08 |
$500,000 |
-0.56 |
| 10yr Australian Tbond Futures Dec10 Xsfe |
|
2010-12-15 |
$4,500,000 |
-3.03 |
| 3yr Australian Tbond Futures Dec10 Xsfe |
0 |
2010-12-15 |
$8,100,000 |
-5.37 |
| US Treasury Bond (Fut) |
0 |
2011-03-31 |
$18,800,000 |
-15.18 |
| US Treasury Bond (Fut) |
0 |
2011-03-22 |
$18,600,000 |
-15.74 |
| 10yr Japan Govt Bond Ftrs Tse Dec10 Xtks |
|
2010-12-09 |
$2,147,483,647 |
-35.14 |
