GMO Strategic Fixed Income VI (GMFIX)

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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