GMO Core Plus Bond IV (GPBFX)

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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