GMO Inflation Indexed Plus Bond VI (GMIPX)

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Issue Coupon Maturity Date Amount Owned % of Fund
GMO Short Duration Collateral 0 $13,970,321 49.29
GMO World Opportunity Overlay $4,132,071 28.29
US Treasury Note 2.375% 2.38 2011-04-15 $35,546,150 10.98
GMO US Treasury 0 $924,168 7.08
US Treasury Note 2.125% 2.12 2019-01-15 $15,261,000 5.29
US Treasury Bond (Fut) 0 2011-03-31 $14,000,000 4.89
GMO Emerging Country Debt IV 0 $1,423,864 4.31
US Treasury Bond 2.5 2029-01-15 $8,240,940 2.98
US Treasury Bond 3.88 2029-04-15 $5,314,920 2.27
US Treasury Bond 2.12 2040-02-15 $6,063,720 2.07
US Treasury Bond 3.38 2032-04-15 $4,922,480 2.03
US Treasury Note 1.25 2020-07-15 $5,007,860 1.61
US Treasury Bond (Fut) 0 2011-03-22 $3,800,000 1.48
10yr Govt Of Canada Bond Ftrs Mar11 Xmon 0 2011-03-22 $3,100,000 1.13
Uk Long Gilt Bond Futures Mar11 Xlif 0 2011-03-29 $1,900,000 1.09
Curr Opt .95 Put 12may11 Aud Put Usd Call Opcb11k12au1 0 2011-05-12 $20,900,000 0.28
US Treasury Bill 0.01 2011-11-17 $750,000 0.23
SSgA Instl Treas Plus Money Market Instl 0.05 2030-12-31 $252,715 0.08
Curr Opt .89 Put 12may11 Aud Put Usd Call Opcb11k12au2 0 2011-05-12 $20,900,000 -0.15
Euro BOBL (Fut) 0 2010-12-08 $600,000 -0.29
Euro Bund (Fut) 0 2010-12-08 $1,400,000 -0.71
10yr Australian Tbond Futures Dec10 Xsfe 2010-12-15 $5,000,000 -1.53
US Treasury Bond (Fut) 0 2011-03-22 $5,400,000 -2.05
3yr Australian Tbond Futures Dec10 Xsfe 0 2010-12-15 $8,900,000 -2.68
10yr Japan Govt Bond Ftrs Tse Dec10 Xtks 2010-12-09 $2,147,483,647 -18.04