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GMO Strategic Fixed Income III (GFITX)
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| Issue | Coupon | Maturity Date | Amount Owned | % of Fund |
|---|---|---|---|---|
| 90day Eurodollar (Fut) | 0 | 2011-03-14 | $2,147,483,647 | 73.26 |
| 30 Day Federal Funds Futures Dec10 Xcbt | 0 | 2010-12-31 | $0 | 42.51 |
| 10yr Australian Tbond Futures Dec10 Xsfe | 2010-12-15 | $1,184,500,000 | 20.18 | |
| GMO Short Duration Collateral | 0 | $96,859,391 | 19.01 | |
| GMO World Opportunity Overlay | $23,773,633 | 9.06 | ||
| GMO US Treasury | 0 | $10,196,633 | 4.34 | |
| US Treasury Note 2.375% | 2.38 | 2011-04-15 | $78,410,625 | 1.35 |
| GMO Emerging Country Debt IV | 0 | $7,397,456 | 1.25 | |
| US Treasury Note 1.75% | 1.75 | 2014-01-31 | $50,000,000 | 0.88 |
| US Treasury Note 1.375% | 1.38 | 2013-01-15 | $33,000,000 | 0.57 |
| US Treasury Bill | 0 | 2011-07-28 | $15,400,000 | 0.26 |
| US Treasury Bill | 0 | 2011-06-30 | $13,400,000 | 0.23 |
| Currency Australia | 0 | $5,727,028 | 0.1 | |
| SSgA Instl Treas Plus Money Market Instl | 0.05 | 2030-12-31 | $2,770,561 | 0.05 |
| 90day Eurodollar Futures Cme Mar12 Xcme | 0 | 2012-03-19 | $2,147,483,647 | -73.03 |