GMO International Bond III (GMIBX)

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Issue Coupon Maturity Date Amount Owned % of Fund
30 Day Federal Funds Futures Dec10 Xcbt 0 2010-12-31 $83,340,000 34.74
GMO Short Duration Collateral 0 $5,107,044 24.57
GMO World Opportunity Overlay $1,383,141 12.91
Japan(Govt Of) 2.2% 2.2 2026-06-20 $1,638,400,000 8.67
Euro Bund (Fut) 0 2010-12-08 $6,900,000 4.79
United Kingdom (Government Of) 4.25% 4.25 2027-12-07 $5,500,000 3.67
10yr Japan Govt Bond Ftrs Tse Dec10 Xtks 2010-12-09 $400,000,000 2.81
France(Govt Of) 4% 4 2038-10-25 $4,500,000 2.62
US Treasury Bond (Fut) 0 2011-03-31 $5,300,000 2.53
GMO Emerging Country Debt IV 0 $514,117 2.12
US Treasury Note 2.375% 2.38 2011-04-15 $4,831,195 2.04
Germany (Federal Republic Of) 4.75% 4.75 2034-07-04 $2,000,000 1.35
Canada Govt 3.5% 3.5 2020-06-01 $3,000,000 1.26
Uk Long Gilt Bond Futures Mar11 Xlif 0 2011-03-29 $1,500,000 1.18
Italy(Rep Of) 4% 4 2037-02-01 $2,500,000 1.13
Spain(Kingdom Of) 4.7% 4.7 2041-07-30 $1,900,000 0.82
US Treasury Bond (Fut) 0 2011-03-22 $1,400,000 0.74
10yr Govt Of Canada Bond Ftrs Mar11 Xmon 0 2011-03-22 $1,200,000 0.6
US Treasury Bill 0.01 2011-11-17 $600,000 0.25
SSgA Instl Treas Plus Money Market Instl 0.05 2030-12-31 $429,857 0.18
Curr Opt .95 Put 12may11 Aud Put Usd Call Opcb11k12au1 0 2011-05-12 $8,000,000 0.15
10yr Australian Tbond Futures Dec10 Xsfe 2010-12-15 $1,400,000 -0.58
US Treasury Bond (Fut) 0 2011-03-22 $1,800,000 -0.93
3yr Australian Tbond Futures Dec10 Xsfe 0 2010-12-15 $2,600,000 -1.07
Euro BOBL (Fut) 0 2010-12-08 $10,200,000 -6.64