UNAUDITED CONDENSED FINANCIAL STATEMENTS FOR THE …€¦ · 1,600 BRP Inc. 20,815 0.07 200 CGI...

GMO FUNDS PLC

(an umbrella fund with segregated liability between sub-funds)

UNAUDITED CONDENSED FINANCIAL STATEMENTS

FOR THE SIX-MONTH FINANCIAL PERIOD ENDED 31 MARCH 2020

Registered Number 351477

No notification pursuant to Sec. 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for the

following sub-funds of GMO Funds Plc and the shares in these funds may not be marketed to investors in the Federal Republic

of Germany:

• GMO Global Equity Allocation Investment Fund;

• GMO Quality Investment Fund;

• GMO Emerging Markets Equity Fund; and

• GMO Emerging Domestic Opportunities Equity Fund.

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GMO FUNDS PLC

UNAUDITED CONDENSED FINANCIAL STATEMENTS

TABLE OF CONTENTS

_____________________________________________________________________________________________

Page

Statement of Investments

GMO Global Equity Allocation Investment Fund 1

GMO Quality Investment Fund 21

GMO Emerging Markets Equity Fund 24

GMO Global Real Return (UCITS) Fund 38

GMO Emerging Domestic Opportunities Equity Fund 116

Portfolio Abbreviations, Counterparty Abbreviations and Currency Abbreviations 123

Statement of Comprehensive Income 124

Statement of Financial Position 126

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 128

Notes to the Unaudited Condensed Financial Statements 130

Statement of Changes in the Portfolio

GMO Global Equity Allocation Investment Fund 154

GMO Quality Investment Fund 155

GMO Emerging Markets Equity Fund 157

GMO Global Real Return (UCITS) Fund 158

GMO Emerging Domestic Opportunities Equity Fund 159

Appendix - Securities Financing Transactions Regulation Disclosure 160

Directory 166

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GMO FUNDS PLC

GMO GLOBAL EQUITY ALLOCATION INVESTMENT FUND

STATEMENT OF INVESTMENTS

AS AT 31 MARCH 2020

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The accompanying notes form an integral part of these unaudited condensed financial statements.

1

Shares Description

Value

£

% of Net

Asset

Value

TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE UNLESS OTHERWISE NOTED

Equities

Australia (30 September 2019: 1.38%)

9,437 Australian Pharmaceutical Industries Ltd. 5,823 0.02

6,040 Beach Energy Ltd. 3,429 0.01

933 Brickworks Ltd. 6,084 0.02

2,905 Caltex Australia Ltd. 32,005 0.10

674 Charter Hall Group REIT 2,282 0.01

6,795 Downer EDI Ltd. 9,995 0.03

21,695 Fortescue Metals Group Ltd. 107,088 0.35

1,648 IDP Education Ltd. 9,404 0.03

1,760 McMillan Shakespeare Ltd. 6,177 0.02

3,387 Navigator Global Investments Ltd. 3,845 0.01

473 New Hope Corp. Ltd. 325 0.00

4,214 Rio Tinto Ltd. 175,910 0.56

2,138 Sandfire Resources NL 3,483 0.01

1,969 Super Retail Group Ltd. 4,500 0.01

370,350 1.18

Austria (30 September 2019: 0.02%)

253 Oesterreichische Post AG 7,299 0.02

7,299 0.02

Belgium (30 September 2019: 0.21%)

2,071 UCB SA 144,780 0.46

144,780 0.46

Brazil (30 September 2019: 3.18%)

3,600 Banco do Brasil SA 15,612 0.05

12,600 Banco Santander Brasil SA 52,252 0.17

12,100 Cia de Saneamento Basico do Estado de Sao Paulo 73,584 0.24

5,300 Cia Paranaense de Energia - Preferred Shares 44,090 0.14

48,900 JBS SA 154,659 0.49

16,300 MRV Engenharia e Participacoes SA 31,023 0.10

44,200 Petrobras Distribuidora SA 106,598 0.34

4,300 Telefonica Brasil SA - Preferred Shares 33,063 0.11

5,000 TIM Participacoes SA 9,672 0.03

7,400 Yduqs Participacoes 25,510 0.08

546,063 1.75

Canada (30 September 2019: 2.66%)

200 Bank of Montreal 8,107 0.03

1,600 BRP Inc. 20,815 0.07

200 CGI Group Inc. 8,634 0.03

100 Cogeco Communications Inc. 5,409 0.02

200 Cogeco Inc. 9,845 0.03

600 Enbridge Inc. 14,076 0.05

3,000 Fortuna Silver Mines Inc. 5,589 0.02

1,100 IA Financial Corp. Inc. 27,574 0.09

200 Magna International Inc. (Canada listed) 5,089 0.02

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GMO FUNDS PLC


STATEMENT OF INVESTMENTS (CONTINUED)

AS AT 31 MARCH 2020

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2

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)

Equities (continued)

Canada (30 September 2019: 2.66%) (continued)

200 Magna International Inc. (USA listed) 5,149 0.02

2,200 Martinrea International Inc. 8,489 0.03

500 Medical Facilities Corp. 989 0.00

6,900 Royal Bank of Canada (Canada listed) 340,801 1.08

400 Royal Bank of Canada (USA listed) 19,856 0.06

3,500 Sun Life Financial Inc. (Canada listed) 89,776 0.28

1,500 Sun Life Financial Inc. (USA listed) 38,820 0.12

1,200 TFI International Inc. 21,112 0.07

1,800 Toronto-Dominion Bank 61,020 0.19

1,100 Transcontinental Inc. 7,785 0.02

700 Westshore Terminals Investment Corp. 5,188 0.02

704,123 2.25

Chile (30 September 2019: 0.07%)

122,034 Enel Americas SA 12,078 0.04

8,773 Enel Americas SA - Depositary Receipts 42,876 0.14

54,954 0.18

China (30 September 2019: 7.84%)

92,000 Agile Group Holdings Ltd. 80,314 0.26

342,000 Agricultural Bank of China Ltd. 110,670 0.35

44,000 Anhui Conch Cement Co. Ltd. 246,537 0.80

4,816 ANTA Sports Products Ltd. 28,538 0.09

152,000 BAIC Motor Corp. Ltd., 144A 48,712 0.16

472,000 Bank of China Ltd. 145,862 0.47

398,000 Bank of Communications Co. Ltd. 196,707 0.63

22,932 China BlueChemical Ltd. 2,863 0.01

41,000 China Cinda Asset Management Co. Ltd. 6,271 0.02

300,000 China CITIC Bank Corp. Ltd. 119,554 0.38

129,136 China Communications Services Corp. Ltd. 75,783 0.24

35,000 China Everbright Bank Co. Ltd. 10,816 0.03

38,000 China Foods Ltd. 11,229 0.04

1,000 China Huarong Asset Management Co. Ltd., 144A 102 0.00

101,000 China Lesso Group Holdings Ltd. 107,403 0.34

8,000 China Lilang Ltd. 3,729 0.01

7,000 China Machinery Engineering Corp. 1,530 0.00

53,000 China Medical System Holdings Ltd. 46,268 0.15

256,000 China National Building Material Co. Ltd. 225,615 0.73

569,808 China Petroleum & Chemical Corp. 226,483 0.72

182,896 China Railway Construction Corp. Ltd. 165,184 0.53

143,000 China Railway Group Ltd. 61,451 0.20

63,330 China Resources Cement Holdings Ltd. 60,953 0.19

129,000 China Resources Pharmaceutical Group Ltd., 144A 62,415 0.20

84,000 China SCE Group Holdings Ltd. 30,154 0.10

55,000 China Shenhua Energy Co. Ltd. 84,468 0.27

6,000 China Shineway Pharmaceutical Group Ltd. 3,640 0.01

542,991 China Telecom Corp. Ltd. 132,771 0.42

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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3

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


China (30 September 2019: 7.84%) (continued)

800 China Yuchai International Ltd. 6,942 0.02

22,000 Dongyue Group Ltd. 7,073 0.02

18,000 Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. 39,144 0.13

96,800 Guangzhou R&F Properties Co. Ltd. 101,929 0.33

27,000 Haier Electronics Group Co. Ltd. 58,013 0.19

14,000 Harbin Electric Co. Ltd. 2,564 0.01

4,000 Hisense Home Appliances Group Co. Ltd. 2,976 0.01

46,301 Huabao International Holdings Ltd. 13,586 0.04

81,000 IGG Inc. 39,022 0.12

19,704 Kingboard Holdings Ltd. 37,232 0.12

5,000 Kingboard Laminates Holdings Ltd. 3,730 0.01

5,773 Livzon Pharmaceutical Group Inc. 17,149 0.05

20,000 Lonking Holdings Ltd. 4,828 0.02

100 NetEase Inc. - Depositary Receipts 25,885 0.08

19,000 Nine Dragons Paper Holdings Ltd. 13,977 0.04

237,000 Postal Savings Bank of China Co. Ltd., 144A 116,395 0.38

6,000 Powerlong Real Estate Holdings Ltd. 2,847 0.01

63,500 Shanghai Pharmaceuticals Holding Co. Ltd. 87,083 0.28

74,000 Shimao Property Holdings Ltd. 210,202 0.67

26,000 Sihuan Pharmaceutical Holdings Group Ltd. 2,110 0.01

120,000 Sinopec Shanghai Petrochemical Co. Ltd. 23,973 0.08

8,400 Sinopharm Group Co. Ltd. 15,243 0.05

10,000 Sinotruk Hong Kong Ltd. 13,423 0.04

50,000 Tianneng Power International Ltd. 30,019 0.10

1,153 Times Neighborhood Holdings Ltd. 744 0.00

25,000 Weichai Power Co. Ltd. 32,464 0.10

8,000 Xinhua Winshare Publishing and Media Co. Ltd. 4,154 0.01

1,800 YiChang HEC ChangJiang Pharmaceutical Co. Ltd., 144A 6,855 0.02

14,000 Yuexiu Transport Infrastructure Ltd. 6,890 0.02

2,544 Zhejiang Expressway Co. Ltd. 1,429 0.00

3,223,903 10.31

Denmark (30 September 2019: 0.03%)

836 Alm Brand AS 4,905 0.02

965 Scandinavian Tobacco Group AS, 144A 7,833 0.02

12,738 0.04

France (30 September 2019: 4.16%)

290 Alten SA 16,796 0.05

1,435 BNP Paribas SA 34,934 0.11

35 Christian Dior SE 10,109 0.03

486 Dassault Systemes SE 58,059 0.19

102 Fnac Darty SA 2,136 0.01

321 Gaztransport Et Technigaz SA 19,032 0.06

115 Hermes International 63,990 0.20

37 Ipsen SA 1,545 0.00

1,896 L'Oreal SA 400,826 1.28

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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4

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


France (30 September 2019: 4.16%) (continued)

114 LVMH Moet Hennessy Louis Vuitton SE 34,143 0.11

1,001 Metropole Television SA 9,053 0.03

13,355 Peugeot SA 143,766 0.46

146 Quadient 2,067 0.01

846 Safran SA 59,996 0.19

5,542 Sanofi 393,023 1.26

500 Sanofi - Depositary Receipts 17,630 0.06

122 Schneider Electric SE 8,483 0.03

67 STMicroelectronics NV 1,178 0.00

9,900 STMicroelectronics NV NY Shares - Depositary Receipts 170,622 0.55

1,447,388 4.63

Germany (30 September 2019: 2.73%)

180 adidas AG 32,797 0.10

756 ADVA Optical Networking SE 3,459 0.01

1,654 Allianz SE 229,617 0.74

364 Bauer AG 3,247 0.01

2,330 Bayerische Motoren Werke AG 97,143 0.31

201 Bechtle AG 20,793 0.07

2,948 Dialog Semiconductor Plc 64,279 0.21

476 Hamburger Hafen und Logistik AG 5,354 0.02

94 Hannover Rueck SE 10,897 0.03

581 Knorr-Bremse AG 41,563 0.13

381 Merck KGaA 31,564 0.10

1,036 SAP SE 94,244 0.31

111 Siltronic AG 6,705 0.02

560 Software AG 13,529 0.04

330 Volkswagen AG 35,451 0.11

271 Wacker Neuson SE 2,408 0.01

693,050 2.22

Greece (30 September 2019: 0.01%)

511 Aegean Airlines SA 1,877 0.01

1,877 0.01

Hong Kong (30 September 2019: 0.53%)

1,900 ASM Pacific Technology Ltd. 14,353 0.05

25,000 Champion REIT 12,174 0.04

1,200 Dah Sing Financial Holdings Ltd. 2,753 0.01

3,000 Luk Fook Holdings International Ltd. 4,876 0.02

8,000 Pacific Textiles Holdings Ltd. 3,105 0.01

52,000 Singamas Container Holdings Ltd. 2,245 0.01

10,000 SJM Holdings Ltd. 6,815 0.02

166,000 WH Group Ltd., 144A 125,225 0.39

7,000 Wheelock & Co. Ltd. 38,530 0.12

210,076 0.67

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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5

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


Hungary (30 September 2019: 0.08%)

10,280 Magyar Telekom Telecommunications Plc 9,218 0.03

1,717 Richter Gedeon Nyrt 26,011 0.08

35,229 0.11

India (30 September 2019: 1.63%)

4 Aurobindo Pharma Ltd. 18 0.00

807 Bajaj Auto Ltd. 17,292 0.06

2,285 Birlasoft Ltd. 1,512 0.00

1,600 Dr Reddy's Laboratories Ltd. - Depositary Receipts 52,041 0.17

4,799 Firstsource Solutions Ltd. 1,407 0.00

38,079 HCL Technologies Ltd. 175,773 0.57

4 Hindustan Petroleum Corp. Ltd. 8 0.00

23,205 Indian Oil Corp. Ltd. 20,112 0.06

19,034 ITC Ltd. 34,475 0.11

1,065 Jubilant Life Sciences Ltd. 2,895 0.01

2,567 Just Dial Ltd. 8,011 0.03

7,882 Karnataka Bank Ltd. 3,588 0.01

2,285 KPIT Technologies Ltd. 853 0.00

275 Larsen & Toubro Infotech Ltd., 144A 4,236 0.01

194 Mahindra & Mahindra Ltd. 588 0.00

1,229 Mphasis Ltd. 8,650 0.03

858 NIIT Technologies Ltd. 10,493 0.03

103 Oracle Financial Services Software Ltd. 2,227 0.01

10,496 PC Jeweller Ltd. 1,281 0.00

58,189 Power Finance Corp. Ltd. 56,883 0.18

11,060 PTC India Ltd. 4,634 0.01

1,498 Rajesh Exports Ltd. 8,911 0.03

8,596 Reliance Capital Ltd. 408 0.00

64,244 Rural Electrification Corp. Ltd. 61,090 0.20

600 Vedanta Ltd. - Depositary Receipts 1,723 0.01

479,109 1.53

Indonesia (30 September 2019: 0.03%)

59,600 Erajaya Swasembada Tbk PT 2,756 0.02

3,700 Indo Tambangraya Megah Tbk PT 1,482 0.00

208,100 Sri Rejeki Isman Tbk PT 1,491 0.00

5,729 0.02

Ireland (30 September 2019: 0.04%)

2,500 CRH Plc - Depositary Receipts 54,115 0.18

123 Flutter Entertainment Plc 8,964 0.03

216 Kerry Group Plc 20,108 0.06

83,187 0.27

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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6

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


Israel (30 September 2019: 0.05%)

1,408 Harel Insurance Investments & Financial Services Ltd. 6,227 0.02

6,227 0.02

Italy (30 September 2019: 2.00%)

834 Assicurazioni Generali SpA 9,159 0.03

1,289 ASTM SpA 18,227 0.06

476 Azimut Holding SpA 5,552 0.02

1,091 Banca Mediolanum SpA 4,489 0.01

1,073 Cementir Holding NV 4,671 0.01

203 De' Longhi SpA 2,738 0.01

1,935 Enav SpA, 144A 6,870 0.02

64,358 Enel SpA 361,015 1.16

3,701 EXOR NV 153,928 0.50

254 Hera SpA 735 0.00

4,626 Iren SpA 9,211 0.03

858 Leonardo SpA 4,610 0.01

1,182 Mediobanca Banca di Credito Finanziario SpA 5,259 0.02

1,887 Societa Cattolica di Assicurazioni SC 7,534 0.02

3,976 Unipol Gruppo SpA 11,026 0.04

465 UnipolSai Assicurazioni SpA 922 0.00

605,946 1.94

Japan (30 September 2019: 9.55%)

600 AOKI Holdings Inc. 3,254 0.01

700 Aruhi Corp. 6,406 0.02

18,496 Asahi Kasei Corp. 105,677 0.34

29,700 Astellas Pharma Inc. 370,754 1.19

1,300 Bandai Namco Holdings Inc. 50,899 0.16

4,900 Brother Industries Ltd. 60,546 0.19

200 Central Glass Co. Ltd. 2,812 0.01

597 Denka Co. Ltd. 10,155 0.03

600 DTS Corp. 8,427 0.03

2,300 Fuji Electric Co. Ltd. 42,079 0.13

700 FUJIFILM Holdings Corp. 28,443 0.09

3,400 Fujitsu Ltd. 247,776 0.79

1,100 Hakuhodo DY Holdings Inc. 8,957 0.03

100 Hitachi High-Tech Corp. 5,962 0.02

11,900 Hitachi Ltd. 279,411 0.89

3,900 Honda Motor Co. Ltd. 70,798 0.23

700 Ishihara Sangyo Kaisha Ltd. 2,887 0.01

4,874 ITOCHU Corp. 81,653 0.26

300 ITOCHU Techno-Solutions Corp. 6,914 0.02

800 Jtekt Corp. 4,393 0.01

500 Kaga Electronics Co. Ltd. 6,357 0.02

1,000 Kanematsu Corp. 8,285 0.03

300 Kato Sangyo Co. Ltd. 7,631 0.02

15,000 KDDI Corp. 357,465 1.14

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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7

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


Japan (30 September 2019: 9.55%) (continued)

600 Keihin Corp. 11,318 0.04

15,300 Konica Minolta Inc. 50,177 0.16

200 Makino Milling Machine Co. Ltd. 4,263 0.01

20,014 Mitsubishi Chemical Holdings Corp. 96,109 0.31

2,900 Mitsubishi Electric Corp. 28,922 0.09

1,500 Mitsubishi Gas Chemical Co. Inc. 13,178 0.04

2,200 NEC Corp. 64,837 0.21

19,832 Nippon Telegraph & Telephone Corp. 381,576 1.23

400 Nisshin Oillio Group Ltd. 10,907 0.03

1,600 Nisshinbo Holdings Inc. 8,618 0.03

600 Nitto Kogyo Corp. 7,750 0.02

200 Noritake Co. Ltd. 5,140 0.02

4,900 Obayashi Corp. 33,897 0.11

800 Raito Kogyo Co. Ltd. 7,333 0.02

300 Rohto Pharmaceutical Co. Ltd. 6,634 0.02

400 Seiko Holdings Corp. 5,211 0.02

3,323 Sekisui Chemical Co. Ltd. 35,574 0.11

400 Sekisui House Ltd. 5,332 0.02

21,334 Sojitz Corp. 40,482 0.13

200 Sony Corp. 9,594 0.03

52,500 Sumitomo Chemical Co. Ltd. 125,898 0.40

772 Sumitomo Forestry Co. Ltd. 7,988 0.03

500 Takasago Thermal Engineering Co. Ltd. 6,204 0.02

1,000 Tanseisha Co. Ltd. 5,439 0.02

600 Teijin Ltd. 8,203 0.03

114 TIS Inc. 1,522 0.00

733 Tokyo Century Corp. 18,536 0.06

700 Tokyo Electron Ltd. 106,444 0.34

600 TS Tech Co. Ltd. 11,466 0.04

321 Tsumura & Co. 6,599 0.02

2,903,092 9.28

Malaysia (30 September 2019: 0.01%)

18,300 DRB-Hicom Bhd 4,510 0.01

18,276 Supermax Corp. Bhd 5,766 0.02

10,276 0.03

Mexico (30 September 2019: 0.79%)

18,700 Aleatica SAB de CV 11,250 0.04

13,772 Bolsa Mexicana de Valores SAB de CV 17,096 0.05

3,800 Megacable Holdings SAB de CV 8,443 0.03

106,300 Wal-Mart de Mexico SAB de CV 204,245 0.65

241,034 0.77

Netherlands (30 September 2019: 2.61%)

83 ASML Holding NV 17,807 0.06

2,902 ASR Nederland NV 58,962 0.19

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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8

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


Netherlands (30 September 2019: 2.61%) (continued)

561 Heineken Holding NV 34,676 0.11

11,063 ING Groep NV 46,810 0.15

13,062 Koninklijke Ahold Delhaize NV 246,029 0.79

3,105 Koninklijke Philips NV 101,430 0.32

584 Randstad NV 16,625 0.05

6,091 Signify NV, 144A 95,349 0.30

5,202 Wolters Kluwer NV 295,442 0.95

913,130 2.92

New Zealand (30 September 2019: 0.01%)

4,223 Air New Zealand Ltd. 1,716 0.01

1,716 0.01

Norway (30 September 2019: 0.50%)

1,129 Austevoll Seafood ASA 6,408 0.02

439 Bakkafrost P/F 16,676 0.05

8,750 DNB ASA 78,457 0.26

805 Grieg Seafood ASA 5,978 0.02

9,809 Orkla ASA 67,062 0.21

857 SpareBank 1 SR-Bank ASA 3,896 0.01

178,477 0.57

Philippines (30 September 2019: 0.02%)

255 Globe Telecom Inc. 7,804 0.02

7,804 0.02

Poland (30 September 2019: 0.24%)

2,064 Asseco Poland SA 23,244 0.07

6,331 Enea SA 5,819 0.02

11,117 Energa SA 14,894 0.05

2,363 PLAY Communications SA, 144A 13,434 0.04

1,063 Polski Koncern Naftowy ORLEN SA 11,497 0.04

3,145 Powszechny Zaklad Ubezpieczen SA 19,132 0.06

46,520 Tauron Polska Energia SA 10,099 0.03

98,119 0.31

Portugal (30 September 2019: 0.66%)

1,548 Altri SGPS SA 4,962 0.02

2,355 CTT-Correios de Portugal SA 4,760 0.02

61,281 EDP - Energias de Portugal SA 198,367 0.63

15,747 Galp Energia SGPS SA 144,852 0.46

5,293 Jeronimo Martins SGPS SA 77,003 0.25

1,901 Navigator Co. SA 3,630 0.01

433,574 1.39

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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9

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


Russia (30 September 2019: 2.14%)

2 Gazprom PJSC - Depositary Receipts 7 0.00

1,397,000 Inter RAO UES PJSC 70,981 0.23

4,178 LUKOIL PJSC - Depositary Receipts 202,170 0.65

2,848 MMC Norilsk Nickel PJSC - Depositary Receipts 57,238 0.18

3,760 Novolipetsk Steel PJSC - Depositary Receipts 48,215 0.15

245,000 Rosseti PJSC 2,982 0.01

19,563 Sberbank of Russia PJSC - Depositary Receipts 150,357 0.48

8,300 Sberbank of Russia PJSC - Preferred Shares 15,149 0.05

547,099 1.75

Singapore (30 September 2019: 0.50%)

20,500 CapitaLand Ltd. 33,093 0.11

5,000 ComfortDelGro Corp. Ltd. 4,305 0.01

18,000 DBS Group Holdings Ltd. 189,328 0.61

6,700 Mapletree Commercial Trust REIT 6,945 0.02

9,000 Mapletree Logistics REIT 8,054 0.03

13,500 Mapletree North Asia Commercial Trust REIT 6,155 0.02

14,300 Singapore Exchange Ltd. 74,436 0.24

1,834 StarHub Ltd. 1,382 0.00

12,200 UMS Holdings Ltd. 4,319 0.01

4,100 United Overseas Bank Ltd. 45,168 0.14

900 Venture Corp. Ltd. 6,918 0.02

83,900 Yangzijiang Shipbuilding Holdings Ltd. 39,443 0.13

419,546 1.34

South Africa (30 September 2019: 1.62%)

30,931 Absa Group Ltd. 104,754 0.34

2,355 Astral Foods Ltd. 20,414 0.07

8,798 Barloworld Ltd. 25,724 0.08

16,241 Blue Label Telecoms Ltd. 1,261 0.00

2,057 DataTec Ltd. 2,591 0.01

2,978 Kumba Iron Ore Ltd. 37,661 0.12

6,549 Liberty Holdings Ltd. 19,607 0.06

18,726 Momentum Metropolitan Holdings 13,183 0.04

3,892 Motus Holdings Ltd. 4,780 0.02

1,285 MultiChoice Group 4,977 0.02

5,455 Murray & Roberts Holdings Ltd. 1,379 0.00

787 Nedbank Group Ltd. 2,938 0.01

29,430 Netcare Ltd. 19,934 0.06

4,955 Reunert Ltd. 9,697 0.03

851 Sappi Ltd. 807 0.00

23,657 Telkom SA SOC Ltd. 21,931 0.07

13,439 Tsogo Sun Gaming Ltd. 1,881 0.01

13,439 Tsogo Sun Hotels Ltd. 959 0.00

1,029 Wilson Bayly Holmes-Ovcon Ltd. 3,724 0.01

298,202 0.95

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GMO FUNDS PLC



AS AT 31 MARCH 2020

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10

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


South Korea (30 September 2019: 3.79%)

1,142 Cheil Worldwide Inc. 11,992 0.04

52 Chong Kun Dang Pharmaceutical Corp. 2,928 0.01

35 Daelim Industrial Co. Ltd. 1,709 0.01

370 DB HiTek Co. Ltd. 5,307 0.02

61 GS Home Shopping Inc. 4,284 0.01

10,643 Hana Financial Group Inc. 162,876 0.53

567 Hanwha General Insurance Co. Ltd. 637 0.00

220 Hanwha Life Insurance Co. Ltd. 203 0.00

130 Hyundai Home Shopping Network Corp. 4,969 0.02

2,553 Hyundai Motor Co. 150,022 0.48

93 Hyundai Motor Co. - Preferred Shares 3,179 0.01

232 Hyundai Motor Co. 2nd - Preferred Shares 8,745 0.03

11,419 Industrial Bank of Korea 56,737 0.18

2,575 JB Financial Group Co. Ltd. 7,634 0.02

1,157 KB Financial Group Inc. 26,483 0.08

200 KB Financial Group Inc. - Depositary Receipts 4,386 0.01

9,506 Kia Motors Corp. 163,739 0.52

777 Korea Autoglass Corp. 6,434 0.02

306 Korea United Pharm Inc. 3,994 0.01

1,680 Korean Reinsurance Co. 8,125 0.03

500 KT Corp. - Depositary Receipts 3,137 0.01

1,264 KT&G Corp. 62,553 0.20

117 LG Electronics Inc. 3,736 0.01

162 LG Electronics Inc. - Preferred Shares 1,916 0.01

468 LOTTE Himart Co. Ltd. 4,852 0.02

8 Namyang Dairy Products Co. Ltd. 1,558 0.00

339 Poongsan Corp. 3,964 0.01

38 Samsung Electronics Co. Ltd. - Depositary Receipts 25,467 0.08

1,607 Samsung Electronics Co. Ltd. - Preferred Shares 42,691 0.14

20 Samsung Electronics Co. Ltd. Reg S - Depositary Receipts 16,017 0.05

668 Seah Besteel Corp. 3,319 0.01

8,909 Shinhan Financial Group Co. Ltd. 168,800 0.54

3,200 SK Telecom Co. Ltd. - Depositary Receipts 41,989 0.13

7 Taekwang Industrial Co. Ltd. 2,917 0.01

524 Tongyang Life Insurance Co. Ltd. 816 0.00

12,766 Woori Financial Group Inc. 64,699 0.21

1,082,814 3.46

Spain (30 September 2019: 2.82%)

1,150 ACS Actividades de Construccion y Servicios SA 18,129 0.06

2,389 Aena SME SA, 144A 210,391 0.67

11,337 Endesa SA 195,329 0.62

30,802 Iberdrola SA 244,879 0.78

824 Industria de Diseno Textil SA 17,252 0.06

10,524 Mapfre SA 14,495 0.05

700,475 2.24

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


11

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


Sweden (30 September 2019: 1.81%)

70 Atlas Copco AB 1,903 0.01

1,249 Betsson AB 4,060 0.01

716 Bilia AB 3,573 0.01

1,428 Resurs Holding AB, 144A 3,966 0.01

5,559 Swedish Match AB 257,020 0.82

28,882 Volvo AB 280,943 0.91

120 Wihlborgs Fastigheter AB 1,351 0.00

552,816 1.77

Switzerland (30 September 2019: 2.88%)

304 Alcon Inc. 12,500 0.04

168 BKW AG 11,119 0.04

83 Bobst Group SA 3,039 0.01

23 Bucher Industries AG 4,923 0.02

152 Huber & Suhner AG 7,678 0.02

774 Nestle SA 64,161 0.21

3,152 Novartis AG 209,789 0.67

2,766 Roche Holding AG 724,057 2.31

5 Schweiter Technologies AG 3,913 0.01

183 Wizz Air Holdings Plc, 144A 4,222 0.01

1,045,401 3.34

Taiwan (30 September 2019: 3.58%)

21,820 Ardentec Corp. 12,133 0.04

15,035 Asustek Computer Inc. 81,995 0.26

17,000 Chicony Electronics Co. Ltd. 34,365 0.11

11,893 China General Plastics Corp. 4,488 0.01

34,480 China Man-Made Fiber Corp. 4,800 0.02

35,000 Coretronic Corp. 26,228 0.08

2,800 Elan Microelectronics Corp. 6,265 0.02

4,000 Farglory Land Development Co. Ltd. 4,054 0.01

14,400 Feng Tay Enterprise Co. Ltd. 49,923 0.16

12,000 Formosa Taffeta Co. Ltd. 9,857 0.03

36,000 Gigabyte Technology Co. Ltd. 48,963 0.16

29,000 Grand Pacific Petrochemical 9,977 0.03

6,741 Great Wall Enterprise Co. Ltd. 6,642 0.02

3,000 Greatek Electronics Inc. 3,360 0.01

14,000 Holtek Semiconductor Inc. 22,252 0.07

59,000 Hon Hai Precision Industry Co. Ltd. 109,981 0.35

5,000 Lite-On Semiconductor Corp. 5,314 0.02

38,499 Mercuries Life Insurance Co. Ltd. 8,481 0.03

29,088 Mitac Holdings Corp. 21,061 0.07

44,000 Novatek Microelectronics Corp. 201,824 0.64

11,900 OptoTech Corp. 5,665 0.02

13,000 Phison Electronics Corp. 85,977 0.27

94,000 Pou Chen Corp. 64,299 0.21

41,000 Radiant Opto-Electronics Corp. 86,377 0.28

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


12

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


Taiwan (30 September 2019: 3.58%) (continued)

6,000 Realtek Semiconductor Corp. 34,962 0.11

1,000 Ruentex Industries Ltd. 1,851 0.01

2,000 Soft-World International Corp. 3,926 0.01

11,000 Sunplus Technology Co. Ltd. 2,526 0.01

2,250 Syncmold Enterprise Corp. 3,888 0.01

2,000 Systex Corp. 3,926 0.01

9,000 Taiwan FU Hsing Industrial Co. Ltd. 8,664 0.03

4,000 Taiwan PCB Techvest Co. Ltd. 3,078 0.01

11,000 Taiwan Semiconductor Co. Ltd. 8,962 0.03

3,004 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 115,779 0.37

9,000 Taiwan Surface Mounting Technology Corp. 16,585 0.05

4,595 TOPBI International Holdings Ltd. 7,144 0.02

2,152 Topco Scientific Co. Ltd. 5,200 0.02

3,000 Transcend Information Inc. 5,320 0.02

2,000 Tripod Technology Corp. 5,067 0.02

75,000 Walsin Lihwa Corp. 22,001 0.07

153,000 Yuanta Financial Holding Co. Ltd. 63,447 0.20

1,226,607 3.92

Thailand (30 September 2019: 0.10%)

6,400 Mega Lifesciences PCL - Depositary Receipts 3,492 0.01

26,500 Thai Beverage PCL 9,081 0.03

10,500 Thai Vegetable Oil PCL 5,806 0.02

16,800 Thanachart Capital PCL - Depositary Receipts 13,727 0.04

32,106 0.10

Turkey (30 September 2019: 0.61%)

13,035 Enerjisa Enerji AS, 144A 10,815 0.03

46,878 Eregli Demir ve Celik Fabrikalari TAS 43,083 0.14

51,912 KOC Holding AS 85,317 0.28

10,660 Selcuk Ecza Deposu Ticaret ve Sanayi AS 9,745 0.03

4,986 TAV Havalimanlari Holding AS 10,104 0.03

41,501 Turkiye Garanti Bankasi AS 41,290 0.13

91,106 Turkiye Is Bankasi AS 52,624 0.17

252,978 0.81

United Arab Emirates (30 September 2019: 0.02%)

10,015 Emaar Properties PJSC 4,882 0.02

4,882 0.02

United Kingdom (30 September 2019: 7.31%)

18,222 3i Group Plc 144,355 0.46

196 Ashmore Group Plc 699 0.00

5,468 Ashtead Group Plc 96,538 0.31

990 Aveva Group Plc 34,591 0.11

6,409 Bae Systems Plc 33,442 0.11

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


13

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


United Kingdom (30 September 2019: 7.31%) (continued)

22,287 Barratt Developments Plc 98,286 0.31

1,723 Bellway Plc 37,148 0.12

3,001 Berkeley Group Holdings Plc 108,486 0.35

4,888 British American Tobacco Plc 134,860 0.43

7,300 British American Tobacco Plc - Depositary Receipts 201,288 0.65

2,500 Coca-Cola HBC AG 43,425 0.14

6,338 Compass Group Plc 80,112 0.26

646 Computacenter Plc 9,238 0.03

236 Cranswick Plc 8,727 0.03

1,278 Crest Nicholson Holdings plc 2,243 0.01

1,038 Dart Group Plc 5,719 0.02

2,635 Electrocomponents Plc 13,602 0.04

367 Ferguson Plc 18,556 0.06

6,587 Ferrexpo Plc 7,776 0.02

1,197 GlaxoSmithKline Plc 18,130 0.06

4,608 Gulf Keystone Petroleum Ltd. 3,110 0.01

1,604 Halma Plc 30,813 0.10

535 HSBC Holdings Plc 2,430 0.01

3,046 IG Group Holdings Plc 21,084 0.07

306 Imperial Brands Plc 4,580 0.01

4,438 Inchcape Plc 19,225 0.06

2,718 Intermediate Capital Group Plc 24,367 0.08

56,384 International Consolidated Airlines Group SA 121,644 0.39

9,590 JD Sports Fashion Plc 43,893 0.14

67,385 Legal & General Group Plc 130,626 0.42

63 Mondi Plc (South Africa listed) 863 0.00

1,351 Mondi Plc (UK listed) 18,657 0.06

3,591 N Brown Group Plc 528 0.00

2,342 Next Plc 95,366 0.30

9,288 Persimmon Plc 178,005 0.58

52 Phoenix Group Holdings Plc 326 0.00

3,028 Plus500 Ltd. 32,702 0.10

4,971 QinetiQ Group Plc 16,007 0.05

408 Reckitt Benckiser Group Plc 25,092 0.08

409 Redrow Plc 1,470 0.00

193 Royal Dutch Shell Plc 2,784 0.01

1,300 Royal Dutch Shell Plc - Depositary Receipts 34,242 0.11

1,252 Savills Plc 10,329 0.03

1,800 Smith & Nephew Plc - Depositary Receipts 52,071 0.17

647 Spectris Plc 15,903 0.05

8,759 Tate & Lyle Plc 57,459 0.18

2,742 Unilever Plc 111,750 0.36

1,207 Vesuvius Plc 3,891 0.01

227 Vistry Group Plc 1,308 0.00

1,419 WH Smith Plc 16,191 0.05

2,173,937 6.95

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


14

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


United States (30 September 2019: 29.74%)

1,129 3M Co. 124,295 0.40

860 Abbott Laboratories 54,730 0.17

1,077 Accenture Plc 141,805 0.45

700 ACCO Brands Corp. 2,851 0.01

1,238 Activision Blizzard Inc. 59,386 0.19

270 Acushnet Holdings Corp. 5,601 0.02

200 AGCO Corp. 7,621 0.02

160 Akamai Technologies Inc. 11,806 0.04

84 Albany International Corp. 3,206 0.01

682 Allstate Corp. 50,454 0.16

25 Alphabet Inc. Class A 23,427 0.07

295 Alphabet Inc. Class C 276,646 0.88

23 Amazon.com Inc. 36,166 0.12

364 Amdocs Ltd. 16,137 0.05

2,673 American Express Co. 184,551 0.59

58 American Woodmark Corp. 2,132 0.01

371 Ameriprise Financial Inc. 30,663 0.10

301 AmerisourceBergen Corp. 21,484 0.07

831 Amgen Inc. 135,867 0.43

440 Amkor Technology Inc. 2,764 0.01

415 Amphenol Corp. 24,392 0.08

684 Anthem Inc. 125,243 0.40

588 Apple Hospitality Inc. REIT 4,349 0.01

1,657 Apple Inc. 339,819 1.08

2,194 Applied Materials Inc. 81,075 0.26

567 Aptiv Plc 22,516 0.07

343 Arch Capital Group Ltd. 7,873 0.03

195 Arrow Electronics Inc. 8,157 0.03

169 Artisan Partners Asset Management Inc. 2,929 0.01

100 Asbury Automotive Group Inc. 4,454 0.01

196 Atkore International Group Inc. 3,331 0.01

208 AutoNation Inc. 4,707 0.02

140 Avery Dennison Corp. 11,502 0.04

267 Avnet Inc. 5,405 0.02

57 Barrett Business Services Inc. 1,822 0.01

726 Baxter International Inc. 47,537 0.15

203 Becton Dickinson and Co. 37,617 0.12

150 Benchmark Electronics Inc. 2,418 0.01

1,258 Best Buy Co. Inc. 57,830 0.18

236 Biogen Inc. 60,217 0.19

500 Bloomin' Brands Inc. 2,879 0.01

213 BMC Stock Holdings Inc. 3,046 0.01

429 Booz Allen Hamilton Holding Corp. 23,748 0.08

447 BorgWarner Inc. 8,785 0.03

1,038 Boston Scientific Corp. 27,316 0.09

336 Brady Corp. 12,229 0.04

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


15

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)


United States (30 September 2019: 29.74%) (continued)

187 Brinker International Inc. 1,811 0.01

1,899 Bristol-Myers Squibb Co. 85,367 0.27

1,008 Builders Firstsource Inc. 9,942 0.03

100 CACI International Inc. 17,029 0.05

1,029 Cadence Design Systems Inc. 54,805 0.18

400 Callaway Golf Co. 3,297 0.01

371 CBIZ Inc. 6,259 0.02

500 CBRE Group Inc. 15,206 0.05

197 CDW Corp. 14,818 0.05

271 Cerner Corp. 13,767 0.04

1,252 Charles Schwab Corp. 33,947 0.11

443 Ciena Corp. 14,223 0.05

90 Cimpress Plc 3,861 0.01

3,720 Cisco Systems Inc. 117,935 0.38

369 Citrix Systems Inc. 42,124 0.13

4,430 Coca-Cola Co. 158,093 0.51

2,158 Cognizant Technology Solutions Corp. 80,876 0.26

1,218 Colgate-Palmolive Co. 65,185 0.21

59 Columbia Sportswear Co. 3,320 0.01

1,928 Comcast Corp. 53,458 0.17

189 CoreCivic Inc. REIT 1,703 0.01

129 Costco Wholesale Corp. 29,664 0.09

180 Crane Co. 7,139 0.02

200 CSG Systems International Inc. 6,750 0.02

286 Cummins Inc. 31,212 0.10

121 Curtiss-Wright Corp. 9,018 0.03

397 Dana Inc. 2,501 0.01

64 Deckers Outdoor Corp. 6,916 0.02

164 Deluxe Corp. 3,430 0.01

300 Designer Brands Inc. 1,205 0.00

300 Dick's Sporting Goods Inc. 5,144 0.02

92 Douglas Dynamics Inc. 2,635 0.01

172 Dover Corp. 11,644 0.04

454 DR Horton Inc. 12,449 0.04

168 DTE Energy Co. 12,867 0.04

559 Eaton Corp. Plc 35,025 0.11

2,144 eBay Inc. 51,977 0.17

1,099 Electronic Arts Inc. 88,783 0.28

1,652 Eli Lilly & Co. 184,817 0.59

159 EMCOR Group Inc. 7,863 0.03

374 Emerson Electric Co. 14,372 0.05

200 Enova International Inc. 2,337 0.01

345 Entegris Inc. 12,457 0.04

303 Essent Group Ltd. 6,437 0.02

565 Estee Lauder Cos. Inc. 72,605 0.23

819 Facebook Inc. 110,173 0.35

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


16

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)



242 Federal Signal Corp. 5,324 0.02

504 Federated Investors Inc. 7,743 0.02

899 Fidelity National Financial Inc. 18,039 0.06

463 First American Financial Corp. 15,836 0.05

1,130 Flex Ltd. 7,632 0.02

141 FTI Consulting Inc. 13,620 0.04

616 Garmin Ltd. 37,240 0.12

626 General Mills Inc. 26,641 0.09

378 Genpact Ltd. 8,902 0.03

748 Gentex Corp. 13,368 0.04

107 Gibraltar Industries Inc. 3,704 0.01

569 Gilead Sciences Inc. 34,307 0.11

16 Graham Holdings Co. 4,402 0.01

167 Group 1 Automotive Inc. 5,961 0.02

643 H&R Block Inc. 7,301 0.02

1,151 Hanesbrands Inc. 7,305 0.02

260 HCA Healthcare Inc. 18,840 0.06

512 Herman Miller Inc. 9,167 0.03

367 Hershey Co. 39,217 0.13

3,421 Hewlett Packard Enterprise Co. 26,790 0.09

212 HNI Corp. 4,307 0.01

280 Hologic Inc. 7,926 0.03

658 Honeywell International Inc. 70,998 0.23

965 Host Hotels & Resorts Inc. REIT 8,592 0.03

3,795 HP Inc. 53,132 0.17

56 Humana Inc. 14,182 0.05

358 Huntsman Corp. 4,166 0.01

60 ICF International Inc. 3,324 0.01

96 Innospec Inc. 5,380 0.02

200 Insight Enterprises Inc. 6,795 0.02

88 Integer Holdings Corp. 4,461 0.01

3,724 Intel Corp. 162,541 0.52

296 Interface Inc. 1,805 0.01

1,173 Interpublic Group of Cos. Inc. 15,316 0.05

279 Intuit Inc. 51,752 0.17

33 Itron Inc. 1,486 0.00

211 ITT Inc. 7,719 0.02

68 j2 Global Inc. 4,105 0.01

345 Jabil Inc. 6,839 0.02

1,636 Johnson & Johnson 173,013 0.55

63 Johnson Outdoors Inc. 3,186 0.01

100 Jones Lang LaSalle Inc. 8,144 0.03

319 JPMorgan Chase & Co. 23,162 0.07

1,900 Juniper Networks Inc. 29,329 0.09

120 K12 Inc. 1,825 0.01

332 KB Home 4,846 0.02

156 Kforce Inc. 3,217 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


17

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)



844 Kimberly-Clark Corp. 87,038 0.28

330 KLA-Tencor Corp. 38,255 0.12

237 Knoll Inc. 1,973 0.01

565 Kroger Co. 13,725 0.04

220 L3Harris Technologies Inc. 31,958 0.10

321 Lam Research Corp. 62,132 0.20

200 La-Z-Boy Inc. 3,315 0.01

83 Lithia Motors Inc. 5,475 0.02

360 Lockheed Martin Corp. 98,409 0.31

638 Lowe's Cos Inc. 44,276 0.14

200 LPL Financial Holdings Inc. 8,779 0.03

2,038 Lyft Inc. 44,131 0.14

539 LyondellBasell Industries NV 21,574 0.07

138 M/I Homes Inc. 1,840 0.01

68 ManTech International Corp. 3,985 0.01

83 Masimo Corp. 11,856 0.04

104 Materion Corp. 2,936 0.01

348 Maxim Integrated Products Inc. 13,643 0.04

165 McKesson Corp. 17,999 0.06

333 MDC Holdings Inc. 6,231 0.02

3,988 Medtronic Plc 290,042 0.92

4,675 Merck & Co. Inc. 290,088 0.92

867 MGIC Investment Corp. 4,440 0.01

884 Micron Technology Inc. 29,986 0.10

3,266 Microsoft Corp. 415,404 1.33

1,579 Mondelez International Inc. 63,774 0.20

157 Moog Inc. 6,398 0.02

572 Motorola Solutions Inc. 61,317 0.20

206 Mueller Industries Inc. 3,977 0.01

98 Murphy USA Inc. 6,667 0.02

349 National Instruments Corp. 9,311 0.03

513 Navient Corp. 3,136 0.01

236 NCR Corp. 3,369 0.01

370 NetApp Inc. 12,440 0.04

490 Newmark Group Inc. 1,680 0.01

30 NewMarket Corp. 9,263 0.03

275 NIC Inc. 5,101 0.02

1,887 NIKE Inc. 125,917 0.40

200 Northrop Grumman Corp. 48,800 0.16

6 NVR Inc. 12,432 0.04

800 Old Republic International Corp. 9,839 0.03

410 Omnicom Group Inc. 18,153 0.06

231 Onemain Holdings Inc. 3,562 0.01

7,078 Oracle Corp. 275,882 0.87

247 Oshkosh Corp. 12,815 0.04

309 Owens Corning 9,672 0.03

178 PennyMac Financial Services Inc. 3,174 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


18

Shares Description

Value

£

% of Net

Asset

Value


(CONTINUED)



101 Penske Automotive Group Inc. 2,281 0.01

1,430 PepsiCo Inc. 138,508 0.44

307 Perdoceo Education Corp. 2,672 0.01

4,285 Pfizer Inc. 112,797 0.36

1,513 Philip Morris International Inc. 89,027 0.28

669 Phillips 66 28,946 0.09

300 PolyOne Corp. 4,590 0.01

128 Portland General Electric Co. 4,949 0.02

263 PrInc.ipal Financial Group Inc. 6,647 0.02

200 Progress Software Corp. 5,162 0.02

1,031 Progressive Corp. 61,397 0.20

524 PulteGroup Inc. 9,432 0.03

150 Qorvo Inc. 9,754 0.03

969 Quest Diagnostics Inc. 62,753 0.20

796 Radian Group Inc. 8,313 0.03

175 Raymond James Financial Inc. 8,920 0.03

312 Reliance Steel & Aluminum Co. 22,040 0.07

54 Rogers Corp. 4,112 0.01

230 S&P Global Inc. 45,455 0.15

285 Sanmina Corp. 6,270 0.02

166 Schweitzer-Mauduit International Inc. 3,724 0.01

783 Seagate Technology Plc 30,816 0.10

287 Sealed Air Corp. 5,719 0.02

317 SEI Investments Co. 11,847 0.04

268 Silgan Holdings Inc. 6,272 0.02

415 Skechers U.S.A. Inc. 7,946 0.03

125 Sleep Number Corp. 1,932 0.01

182 Sonic Automotive Inc. 1,949 0.01

100 SP Plus Corp. 1,673 0.01

182 SPX Corp. 4,791 0.02

816 Starbucks Corp. 43,263 0.14

379 Steelcase Inc. 3,017 0.01

74 Stepan Co. 5,279 0.02

131 Steris Plc 14,788 0.05

172 Stoneridge Inc. 2,323 0.01

203 Sykes Enterprises Inc. 4,440 0.01

138 SYNNEX Corp. 8,136 0.03

700 Synopsys Inc. 72,707 0.23

255 T Rowe Price Group Inc. 20,082 0.06

1,262 Target Corp. 94,623 0.30

736 TE Connectivity Ltd. 37,383 0.12

869 TEGNA Inc. 7,611 0.02

152 Teledyne Technologies Inc. 36,441 0.12

99 Tempur Sealy International Inc. 3,490 0.01

397 Teradyne Inc. 17,344 0.06

1,297 Texas Instruments Inc. 104,528 0.33

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


19

Shares/

Par Value† Description

Value

£

% of Net

Asset

Value


(CONTINUED)



779 Textron Inc. 16,755 0.05

178 Timken Co. 4,643 0.01

3,011 TJX Cos. Inc. 116,098 0.37

542 TRI Pointe Group Inc. 3,833 0.01

819 Tyson Foods Inc. 38,224 0.12

1,758 United Technologies Corp. 133,741 0.43

931 UnitedHealth Group Inc. 187,244 0.60

108 Universal Corp. 3,851 0.01

315 Universal Forest Products Inc. 9,448 0.03

5,469 US BanCorp. 151,947 0.49

409 US Foods Holding Corp. 5,842 0.02

456 Valvoline Inc. 4,814 0.02

2,819 Verizon Communications Inc. 122,154 0.39

517 Visa Inc. 67,179 0.21

106 Visteon Corp. 4,102 0.01

104 Walker & Dunlop Inc. 3,378 0.01

5,280 Wells Fargo & Co. 122,211 0.39

119 West Pharmaceutical Services Inc. 14,612 0.05

74 Whirlpool Corp. 5,121 0.02

219 Williams-Sonoma Inc. 7,510 0.02

345 Wolverine World Wide Inc. 4,229 0.01

383 World Fuel Services Corp. 7,778 0.02

214 WR Berkley Corp. 9,004 0.03

316 Wyndham Destinations Inc. 5,530 0.02

650 Xerox Holdings Corp. 9,929 0.03

46 Zebra Technologies Corp. 6,811 0.02

2,088 Zynga Inc. 11,535 0.04

9,161,962 29.29

TOTAL EQUITIES 30,918,075 98.85

TOTAL TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE

UNLESS OTHERWISE NOTED 30,918,075 98.85 TRANSFERABLE SECURITIES TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED Debt Obligations


200,000 United States Treasury Floating Rate Note, 0.22%, due 30/04/2021 161,453 0.52

161,453 0.52

TOTAL DEBT OBLIGATIONS 161,453 0.52

TOTAL TRANSFERABLE SECURITIES TRADED ON A REGULATED MARKET UNLESS

OTHERWISE NOTED 161,453 0.52

TOTAL INVESTMENTS AT FAIR VALUE 31,079,528 99.37

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


20

FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET FUTURES CONTRACTS* (30 September 2019: Nil)

Number of

Contracts Type Expiration Date Position+

Notional

Amount

£

Net

Unrealised

Appreciation

£

% of

Net

Asset

Value

3 MSCI Emerging Markets Futures June 2020 Buy 99,774 2,194 0.01

TOTAL 99,774 2,194 0.01

* The clearing broker for the futures contracts is Morgan Stanley & Co. LLC.

+ Buy - Fund is long the futures contract.

Sale - Fund is short the futures contract.

FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO FINANCIAL

DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET 2,194

0.01

TOTAL FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET 2,194 0.01

As at 31 March 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or

collateral requirements, if any, of the relevant broker or exchange.

Value

£

% of Net

Asset

Value

Total financial assets at fair value through profit or loss 31,081,722 99.38

Cash at bank 109,032 0.35

Other assets in excess of liabilities 86,598 0.27

Net assets attributable to holders of redeemable participating shares 31,277,352 100.00

Analysis of Total Assets

% of Total

Asset

Value

Transferable securities listed on an official stock exchange unless otherwise noted 98.19

Transferable securities traded on a regulated market unless otherwise noted 0.51

Financial derivative instruments traded on a regulated market 0.01

98.71

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement of Investments,

if any, please refer to page 123.

_____________________________________________________________________________________________

GMO FUNDS PLC

GMO QUALITY INVESTMENT FUND


AS AT 31 MARCH 2020

_____________________________________________________________________________________________


21

Shares Description

Value

US$

% of Net

Asset

Value


Equities

France (30 September 2019: Nil)

827 LVMH Moet Hennessy Louis Vuitton SE 307,118 0.79

307,118 0.79


4,126 Knorr-Bremse AG 365,983 0.95

7,191 SAP SE 811,126 2.10

1,177,109 3.05

Netherlands (30 September 2019: Nil)

560 ASML Holding NV 148,976 0.39

148,976 0.39


1,961 Alcon Inc. 99,981 0.26

5,447 Nestle SA 559,872 1.45

3,582 Roche Holding AG 1,162,655 3.01

1,822,508 4.72


109,318 Taiwan Semiconductor Manufacturing Co. Ltd. 990,464 2.56

990,464 2.56


40,268 Compass Group Plc 631,119 1.63

2,803 Reckitt Benckiser Group Plc 213,748 0.55

18,811 Unilever Plc 950,598 2.46

1,795,465 4.64


7,714 3M Co. 1,053,038 2.73

6,776 Abbott Laboratories 534,694 1.38

7,917 Accenture Plc 1,292,529 3.35

958 Alphabet Inc. Class A 1,113,148 2.88

612 Alphabet Inc. Class C 711,640 1.84

11,227 American Express Co. 961,143 2.49

4,837 Anthem Inc. 1,098,192 2.84

6,941 Apple Inc. 1,765,027 4.57

1,301 Becton Dickinson and Co. 298,931 0.77

8,928 Charles Schwab Corp. 300,159 0.78

25,529 Cisco Systems Inc. 1,003,545 2.60

29,360 Coca-Cola Co. 1,299,180 3.36

14,958 Cognizant Technology Solutions Corp. 695,098 1.80

722 Costco Wholesale Corp. 205,864 0.53

6,046 Eli Lilly & Co. 838,701 2.17

6,056 Facebook Inc. 1,010,141 2.61

4,587 Honeywell International Inc. 613,695 1.59

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


22

Shares/


Value

US$

% of Net

Asset

Value

TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE UNLESS OTHERWISE NOTED (CONTINUED)



335 Humana Inc. 105,197 0.27

10,696 Johnson & Johnson 1,402,566 3.63

14,315 Lyft Inc. 384,358 0.99

14,854 Medtronic Plc 1,339,534 3.47

13,494 Merck & Co. Inc. 1,038,228 2.69

14,210 Microsoft Corp. 2,241,059 5.80

3,628 Nike Inc. 300,181 0.78

28,778 Oracle Corp. 1,390,841 3.60

9,986 Philip Morris International Inc. 728,579 1.89

6,307 Quest Diagnostics Inc. 506,452 1.31

5,782 Starbucks Corp. 380,109 0.98

9,142 Texas Instruments Inc. 913,560 2.36

20,343 TJX Cos. Inc. 972,599 2.52

5,327 United Technologies Corp. 502,496 1.30

6,858 UnitedHealth Group Inc. 1,710,248 4.43

37,682 US Bancorp 1,298,145 3.36

3,604 Visa Inc. 580,676 1.50

36,794 Wells Fargo & Co. 1,055,989 2.74

31,645,542 81.91



UNLESS OTHERWISE NOTED 37,887,182 98.06

TRANSFERABLE SECURITIES TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED

Debt Obligations


370,000 United States Treasury Bill, 0.00%, due 16/04/2020(a) 369,989 0.95

369,989 0.95


Short-Term Investments (30 September 2019: 0.23%)

Money Market Fund

385,110 State Street Global Advisors Offshore USD - Class D 385,110 1.00

385,110 1.00

TOTAL SHORT-TERM INVESTMENTS 385,110 1.00

TOTAL TRANSFERABLE SECURITIES TRADED ON A REGULATED MARKET UNLESS

OTHERWISE NOTED 755,099 1.95


_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


23

Value

US$

% of Net

Asset

Value


Cash at bank and Bank overdraft 351 0.00

Other liabilities in excess of assets (5,462) (0.01)



% of Total

Asset

Value



97.73

† Denominated in U.S. Dollar, unless otherwise indicated. (a)The rate shown represents yield-to-maturity. Yield rounds to 0.00%.



_____________________________________________________________________________________________

GMO FUNDS PLC

GMO EMERGING MARKETS EQUITY FUND


AS AT 31 MARCH 2020

_____________________________________________________________________________________________


24

Shares Description

Value

US$

% of Net

Asset

Value


Equities

Argentina (30 September 2019: 0.04%)

14,500 Banco BBVA Argentina SA - Depositary Receipts 37,990 0.03

6,800 Banco Macro SA - Depositary Receipts 115,464 0.10

30 Transportadora de Gas del Sur SA - Depositary Receipts 138 0.00

153,592 0.13


93,604 Aguas Andinas SA 27,675 0.03

20,596 Banco de Chile 1,670 0.00

63,710 Enel Americas SA 7,819 0.01

2,737 Inversiones La Construccion SA 17,598 0.01

16,538 Parque Arauco SA 23,284 0.02

78,046 0.07


6,500 AAC Technologies Holdings Inc. 33,712 0.03

132,000 Agile Group Holdings Ltd. 142,884 0.12

446,600 Agricultural Bank of China Ltd. Class A 212,184 0.18

3,689,550 Agricultural Bank of China Ltd. Class H 1,480,409 1.24

26,880 Alibaba Group Holding Ltd. - Depositary Receipts 5,227,623 4.35

243,851 Anhui Conch Cement Co. Ltd. (A Shares) 1,894,262 1.57

129,700 Anhui Conch Cement Co. Ltd. (H Shares) 901,101 0.75

123,895 Anhui Expressway Co. Ltd. (A Shares) 89,256 0.07

6,000 Anhui Expressway Co. Ltd. (H Shares) 2,957 0.00


24,500 Asia Cement China Holdings Corp. 24,940 0.02

4,264,810 Bank of China Ltd. (H Shares) 1,634,195 1.37

16,000 Baoye Group Co. Ltd. 8,587 0.01

34,000 Beijing Capital International Airport Co. Ltd. 21,670 0.02

24,000 Beijing Enterprises Water Group Ltd. 9,382 0.01

286,600 Beijing North Star Co. Ltd. 107,074 0.09

29,400 Budweiser Brewing Co. APAC Ltd., 144A 75,862 0.06

143,000 CGN Power Co. Ltd., 144A 32,840 0.03

2,200 Changyou.com Ltd. - Depositary Receipts 23,540 0.02

4,000 China Aoyuan Group Ltd. 4,686 0.00

938,700 China Communications Services Corp. Ltd. 683,052 0.57

1,567,455 China Construction Bank Corp. (A Shares) 1,401,033 1.17

3,850,009 China Construction Bank Corp. (H Shares) 3,149,191 2.62

10,200 China Gas Holdings Ltd. 35,531 0.03

618,000 China Jinmao Holdings Group Ltd. 400,258 0.33

167,000 China Lesso Group Holdings Ltd. 220,199 0.18

338,300 China Machinery Engineering Corp. 91,658 0.08

46,000 China Medical System Holdings Ltd. 49,793 0.04

38,700 China Merchants Bank Co. Ltd. (A Shares) 176,120 0.15

12,500 China Merchants Bank Co. Ltd. (H Shares) 56,445 0.05

58,540 China Mobile Ltd. 435,412 0.36

1,257 China Mobile Ltd. - Depositary Receipts 47,351 0.04

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


25

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



215,300 China National Chemical Engineering Co. Ltd. 181,210 0.15

224,000 China Oriental Group Co. Ltd. 57,511 0.05

92,000 China Overseas Grand Oceans Group Ltd. 53,888 0.05

406,000 China Overseas Land & Investment Ltd. 1,259,763 1.05

117,600 China Pacific Insurance Group Co. Ltd. (A Shares) 467,873 0.39

155,400 China Pacific Insurance Group Co. Ltd. (H Shares) 470,156 0.39

466,000 China Resources Cement Holdings Ltd. 556,129 0.47

60,000 China Resources Gas Group Ltd. 301,900 0.25

326,000 China Resources Land Ltd. 1,345,908 1.13

177,000 China SCE Group Holdings Ltd. 78,784 0.07

886,000 China Shenhua Energy Co. Ltd. 1,687,205 1.41

493,643 China Shenhua Energy Co. Ltd. (A Shares) 1,130,220 0.95

48,200 China Taiping Insurance Holdings Co. Ltd. 78,977 0.07

393,300 China Vanke Co. Ltd. (A Shares) 1,422,248 1.19

585,573 China Yangtze Power Co. Ltd. 1,427,381 1.19

46,500 China Yongda Automobiles Services Holdings Ltd. 37,976 0.03

838,000 CNOOC Ltd. 878,987 0.74

400 CNOOC Ltd. - Depositary Receipts 41,388 0.03

610,207 Country Garden Holdings Co. Ltd. 738,462 0.62

88,500 Dali Foods Group Co. Ltd., 144A 61,657 0.05

638,997 Daqin Railway Co. Ltd. 612,592 0.51


4,300 ENN Energy Holdings Ltd. 41,636 0.03

700 Fanhua Inc. - Depositary Receipts 14,084 0.01

36,000 Fu Shou Yuan International Group Ltd. 31,676 0.03

471,000 Geely Automobile Holdings Ltd. 695,176 0.58

196,000 Gemdale Properties & Investment Corp. Ltd. 32,621 0.03

98,000 Greenland Hong Kong Holdings Ltd. 37,678 0.03

694,000 Guangdong Investment Ltd. 1,337,698 1.12


10,000 Haitian International Holdings Ltd. 18,578 0.02

41,500 Hebei Construction Group Corp. Ltd. 25,004 0.02

97,861 Heilan Home Co. Ltd. 87,333 0.07

332,147 Hisense Home Appliances Group Co. Ltd. (A Shares) 443,918 0.37

12,000 Hollysys Automation Technologies Ltd. 154,800 0.13

608,000 Hua Han Health Industry Holdings Ltd. 40,790 0.03

255,400 Huabao International Holdings Ltd. 92,922 0.08

107,525 Huaxin Cement Co. Ltd. 352,752 0.30

15,000 IGG Inc. 8,960 0.01

3,560,780 Industrial & Commercial Bank of China Ltd. 2,439,426 2.03

975,900 Industrial & Commercial Bank of China Ltd. (A Shares) 708,560 0.59

82,000 Kaisa Group Holdings Ltd. 30,363 0.03



104,000 Kunlun Energy Co. Ltd. 60,783 0.05

5,600 Lao Feng Xiang Co. Ltd. 31,627 0.03

330,000 Logan Property Holdings Co. Ltd. 509,205 0.43

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


26

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



95,500 Longfor Group Holdings Ltd., 144A 465,123 0.39

44,000 Lonking Holdings Ltd. 13,170 0.01

152,045 Midea Group Co. Ltd. 1,037,913 0.87

3,600 NetEase Inc. - Depositary Receipts 1,155,456 0.97

25,100 New China Life Insurance Co. Ltd. 78,206 0.07

71,000 PAX Global Technology Ltd. 26,748 0.02

1,458,250 PICC Property & Casualty Co. Ltd. 1,411,046 1.18

171,358 Ping An Insurance Group Co. of China Ltd. (A Shares) 1,671,037 1.40

22,000 Ping An Insurance Group Co. of China Ltd. (H Shares) 216,143 0.18

547,000 Postal Savings Bank of China Co. Ltd., 144A 333,102 0.28


148,000 Qingling Motors Co. Ltd. 30,169 0.03

73,000 Redsun Properties Group Ltd. 23,828 0.02

5,000 Shanghai Industrial Holdings Ltd. 7,560 0.01

31,151 Shenzhen Expressway Co. Ltd. (A Shares) 38,120 0.03

4,000 Shenzhen Expressway Co. Ltd. (H Shares) 4,077 0.00

140,000 Shenzhen Investment Ltd. 43,711 0.04

21,200 Shenzhou International Group Holdings Ltd. 225,378 0.19

151,500 Shimao Property Holdings Ltd. 533,609 0.45

111,572 Sinoma International Engineering Co. 95,007 0.08

162,500 Sinopec Engineering Group Co. Ltd. 68,347 0.06

181,653 Sinopec Shanghai Petrochemical Co. Ltd. (A Shares) 99,622 0.08

1,136,000 Sinopec Shanghai Petrochemical Co. Ltd. (H Shares) 281,402 0.24


377,889 Suning Universal Co. Ltd. 161,958 0.14

3,400 Sunny Optical Technology Group Co. Ltd. 45,796 0.04

18,463 Tencent Holdings Ltd. 905,654 0.76

58,000 Tianneng Power International Ltd. 43,177 0.04

3,000 Times China Holdings Ltd. 5,024 0.00

13,000 Uni-President China Holdings Ltd. 12,613 0.01

212,000 Want Want China Holdings Ltd. 153,716 0.13

360,169 Weifu High-Technology Group Co. Ltd. 964,770 0.81

66,000 West China Cement Ltd. 10,303 0.01

66,000 Xinyi Glass Holdings Ltd. 75,785 0.06

100,500 Xtep International Holdings Ltd. 33,064 0.03

1,554,800 Yangzijiang Shipbuilding Holdings Ltd. 906,334 0.76

184,000 Yuexiu Property Co. Ltd. 33,235 0.03

2,400 Yum China Holdings Inc. 102,312 0.09

459,237 Yuzhou Properties Co. Ltd. 195,523 0.16


250,403 Zhejiang Weixing New Building Materials Co. Ltd. 390,444 0.33

12,800 Zhengzhou Coal Mining Machinery Group Co. Ltd. 9,961 0.01

18,000 Zhenro Properties Group Ltd. 11,286 0.01

9,100 Zhuzhou CRRC Times Electric Co. Ltd. 26,945 0.02

51,238,948 42.86

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


27

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Colombia (30 September 2019: 0.08%)

3,046 Banco Davivienda SA - Preferred Shares 22,882 0.02

3,800 Grupo Aval Acciones y Valores SA - Depositary Receipts 16,644 0.01

149,577 Grupo Aval Acciones y Valores SA - Preferred Shares 33,046 0.03

72,572 0.06

Czech Republic (30 September 2019: 0.04%)

34,412 Moneta Money Bank AS, 144A 70,841 0.06

70,841 0.06

Egypt (30 September 2019: 0.12%)

2,944 Commercial International Bank Egypt SAE 10,942 0.01

10,942 0.01

Hungary (30 September 2019: Nil)


49,759 0.04


11,688 Asian Paints Ltd. 255,849 0.21

416,861 Gayatri Projects Ltd. 47,113 0.04

9,938 HDFC Bank Ltd. 112,705 0.09

600 HDFC Bank Ltd. - Depositary Receipts 23,076 0.02

9,004 Hindustan Unilever Ltd. 273,567 0.22

11,480 Housing Development Finance Corp. Ltd. 246,592 0.21

53,148 ICICI Bank Ltd. 225,094 0.19

3,700 ICICI Bank Ltd. - Depositary Receipts 31,450 0.03

25,880 Indiabulls Housing Finance 33,320 0.03

27,651 Jai Balaji Industries Ltd. 6,287 0.01

32,021 Kiri Industries Ltd. 115,490 0.10

17,509 Kotak Mahindra Bank Ltd. 297,857 0.24

1,241 SBI Cards & Payment Services Ltd. 10,144 0.01

14,219 Titan Co. Ltd. 175,738 0.15

1,854,282 1.55


67,000 Astra International Tbk PT 16,021 0.01

87,700 Bank Central Asia Tbk PT 148,541 0.13

143,200 Bank Mandiri Persero Tbk PT 41,090 0.03

171,100 Bank Negara Indonesia Persero Tbk PT 40,074 0.03

167,000 Bank Pembangunan Daerah Jawa Timur Tbk PT 4,485 0.00

1,222,600 Bank Rakyat Indonesia Persero Tbk PT 226,379 0.20


158,900 Matahari Department Store Tbk PT 13,006 0.01

10,128,800 Panin Financial Tbk PT 131,656 0.12

501,900 Ramayana Lestari Sentosa Tbk PT 14,340 0.01

150,000 Telekomunikasi Indonesia Persero Tbk PT 29,062 0.02

777,488 0.65

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


28

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Kuwait (30 September 2019: Nil)

75,875 Alimtiaz Investment Group KSC 21,647 0.02

4,454 Humansoft Holding Co. KSC 33,441 0.03

90,272 Kuwait Finance House KSCP 182,274 0.15

23,318 Kuwait Projects Co. Holding KSCP 12,665 0.01

186,453 National Bank of Kuwait SAKP 428,902 0.36

678,929 0.57


123,700 America Movil SAB de CV 74,349 0.06

51,100 Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 33,523 0.03

8,100 Concentradora Fibra Danhos SA de CV REIT 6,698 0.01

6,700 Corp. Inmobiliaria Vesta SAB de CV 7,837 0.01

31,400 Credito Real SAB de CV SOFOM ER 22,366 0.02

621,400 Fibra Uno Administracion SA de CV REIT 493,217 0.40

110,500 Gentera SAB de CV 43,193 0.04

14,000 Grupo Aeroportuario del Centro Norte SAB de CV 47,909 0.04

100 Grupo Aeroportuario del Centro Norte SAB de CV - Depositary Receipts 2,694 0.00

400 Grupo Aeroportuario del Pacifico SAB de CV 2,187 0.00

400 Grupo Aeroportuario del Pacifico SAB de CV - Depositary Receipts 21,576 0.02

100 Grupo Aeroportuario del Sureste SAB de CV - Depositary Receipts 9,414 0.01

136,400 Grupo Financiero Banorte SAB de CV 377,932 0.32

16,300 Qualitas Controladora SAB de CV 42,134 0.04

5,900 Regional SAB de CV 15,694 0.01

19,600 Unifin Financiera SAB de CV 15,757 0.01

1,216,480 1.02

Pakistan (30 September 2019: 0.19%)

9,570 Engro Corp. Ltd. 15,441 0.01

158,500 Engro Fertilizers Ltd. 54,879 0.05

330,500 Oil & Gas Development Co. Ltd. 153,390 0.13

10,850 Pakistan Oilfields Ltd. 17,114 0.01

106,380 Pakistan Petroleum Ltd. 46,235 0.04

44,140 Pakistan State Oil Co. Ltd. 32,155 0.03

17,900 Searle Co. Ltd. 16,903 0.01

12,400 United Bank Ltd. 7,527 0.01

343,644 0.29

Peru (30 September 2019: 0.07%)

5,400 Southern Copper Corp. 152,064 0.13

152,064 0.13


11,910 Manila Electric Co. 52,689 0.04

875,000 Megaworld Corp. 43,010 0.04

1,542,000 Metro Pacific Investments Corp. 73,371 0.06

113,775 Semirara Mining & Power Corp. 24,607 0.02

193,677 0.16

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


29

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



14,946 Alior Bank SA 46,348 0.04

48,782 Bank Pekao SA 659,353 0.55

3,000 Budimex SA 113,976 0.10

682 CD Projekt SA 47,470 0.04

12,032 Grupa Lotos SA 150,230 0.13

682 KRUK SA 10,755 0.01

1,654 Lubelski Wegiel Bogdanka SA 7,128 0.01

68,588 Polski Koncern Naftowy ORLEN SA 919,790 0.76

585,047 Polskie Gornictwo Naftowe i Gazownictwo SA 484,546 0.41

65,472 Powszechna Kasa Oszczednosci Bank Polski SA 356,561 0.30

251,683 Powszechny Zaklad Ubezpieczen SA 1,898,453 1.58

1,636 Santander Bank Polska SA 68,339 0.06

967 Stalprodukt SA 28,823 0.02

5,906 Warsaw Stock Exchange 49,057 0.04

4,840,829 4.05

Qatar (30 September 2019: 1.22%)

194,470 Barwa Real Estate Co. 160,233 0.13

79,512 Doha Bank QPSC 39,308 0.03

7,899 Qatar Electricity & Water Co. QSC 29,570 0.02

92,055 Qatar Gas Transport Co. Ltd. 53,069 0.04

123,112 Qatar National Bank QPSC 568,054 0.49

34,000 Qatar National Cement Co. QSC 31,936 0.03

882,170 0.74


1,113,830 Alrosa PJSC 920,758 0.77

10,389 Bashneft PJSC - Preferred Shares 176,843 0.15

262,200 Credit Bank of Moscow PJSC 18,440 0.02

49,890 Detsky Mir PJSC, 144A 58,118 0.05

19,278 Etalon Group Plc - Depositary Receipts 24,869 0.02

38,490,000 Federal Grid Co. Unified Energy System PJSC 79,301 0.07

2,940 Gazprom Neft PJSC 11,476 0.01

8,167 Gazprom Neft PJSC - Depositary Receipts 159,747 0.13

7,449 Globaltrans Investment Plc - Depositary Receipts 39,480 0.03

4,950,000 Inter RAO UES PJSC 311,855 0.26

858 LSR Group PJSC 6,446 0.01

12,950 LSR Group PJSC - Depositary Receipts 18,311 0.02

52,665 LUKOIL PJSC - Depositary Receipts 3,159,900 2.63

13,120 M.Video PJSC 65,488 0.05

357,600 Magnitogorsk Iron & Steel Works PJSC 176,206 0.15

6,693 Magnitogorsk Iron & Steel Works PJSC - Depositary Receipts 41,965 0.04

87,469 MMC Norilsk Nickel PJSC - Depositary Receipts 2,179,727 1.82

19,100 Mobile TeleSystems PJSC - Depositary Receipts 145,160 0.12

369,994 Moscow Exchange MICEX-RTS PJSC 460,517 0.39

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


30

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Russia (30 September 2019: 16.12%) (continued)

17,590 Nizhnekamskneftekhim PJSC - Preferred Shares 18,280 0.02

6,163 Novatek PJSC - Depositary Receipts 710,594 0.59

92,420 Novolipetsk Steel PJSC 146,673 0.12

53,509 Novolipetsk Steel PJSC - Depositary Receipts 850,793 0.71

13,340 PhosAgro PJSC - Depositary Receipts 137,669 0.12

13,300 QIWI Plc - Depositary Receipts 142,443 0.12

37,950 Raspadskaya OJSC 47,453 0.04

1,912,000 Rosseti PJSC 28,856 0.02

148,639 Rostelecom PJSC 140,775 0.12

989 Rostelecom PJSC - Depositary Receipts 5,479 0.00

2,853,000 RusHydro PJSC 22,190 0.02

6,270 Safmar Financial Investment 37,684 0.03

275,946 Sberbank of Russia PJSC - Depositary Receipts 2,629,765 2.19

36,390 Severstal PJSC - Depositary Receipts 402,473 0.34

400,799 Surgutneftegas OJSC - Depositary Receipts 1,713,817 1.43

983,400 Surgutneftegas PJSC 426,669 0.36

2,450,600 Surgutneftegas PJSC - Preferred Shares 1,179,293 0.99

6,916 Tatneft PJSC 48,913 0.04

55,637 Tatneft PJSC - Depositary Receipts 2,350,663 1.97

11,263 TCS Group Holding Plc - Depositary Receipts 130,200 0.11

12 Transneft PJSC - Preferred Shares 22,692 0.02

3,490,000 Unipro PJSC 114,973 0.10

1,200 Yandex NV 40,860 0.03

19,403,814 16.23


571 Anglo American Platinum Ltd. 24,112 0.02

3,293 Astral Foods Ltd. 35,395 0.03

12,445 Barloworld Ltd. 45,118 0.04

1,043 Clicks Group Ltd. 15,049 0.01

12,173 Discovery Ltd. 53,136 0.04

67,321 Emira Property Fund Ltd. REIT 23,747 0.02

15,914 Foschini Group Ltd. 60,297 0.05

393,522 Growthpoint Properties Ltd. REIT 283,574 0.24

5,712 Hyprop Investments Ltd. REIT 6,077 0.01

8,140 Investec Ltd. 15,492 0.01

1,839 JSE Ltd. 10,425 0.01

10,318 Lewis Group Ltd. 10,295 0.01



41,881 Mr Price Group Ltd. 267,513 0.22


5,141 Nedbank Group Ltd. 23,794 0.02

641,309 Old Mutual Ltd. (South Africa listed) 425,505 0.36

104,810 Old Mutual Ltd. (UK listed) 67,761 0.06

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


31

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


South Africa (30 September 2019: 4.66%) (continued)

13,876 Rand Merchant Investment Holdings Ltd. 17,124 0.01

4,270 RMB Holdings Ltd. 11,820 0.01

194,689 Sanlam Ltd. 556,923 0.46

171,886 Truworths International Ltd. 240,409 0.20

1,829 Vodacom Group Ltd. 11,983 0.01


2,358,108 1.97


132 Celltrion Pharm Inc. 8,664 0.01

3,507 DB Insurance Co. Ltd. 100,109 0.08

52,775 Dongwon Development Co. Ltd. 141,762 0.12

675 HDC Hyundai Development Co. 8,622 0.01

2,040 Hyundai Marine & Fire Insurance Co. Ltd. 37,956 0.03

2,543 Hyundai Mobis Co. Ltd. 354,079 0.30

710 Kia Motors Corp. 15,164 0.01

15,294 Korea Asset In Trust Co. Ltd. REIT 24,687 0.02

1,058 Meritz Fire & Marine Insurance Co. Ltd. 10,603 0.01

58,882 Samsung Electronics Co. Ltd. 2,309,620 1.93

90,405 Samsung Electronics Co. Ltd. - Preferred Shares 2,977,978 2.49

5,989,244 5.01

Sri Lanka (30 September 2019: 0.01%)

2,080,776 Anilana Hotels & Properties Ltd. 7,696 0.01

7,696 0.01


67,000 AcBel Polytech Inc. 39,768 0.03

2,000 Advantech Co. Ltd. 16,501 0.01

16,000 Amazing Microelectronic Corp. 40,157 0.03

5,000 Arcadyan Technology Corp. 11,292 0.01

291,337 Asustek Computer Inc. 1,970,087 1.65

14,000 Aten International Co. Ltd. 36,248 0.03

9,900 Aurora Corp. 27,662 0.02

305,000 Catcher Technology Co. Ltd. 1,971,710 1.65

193,164 Cathay Financial Holding Co. Ltd. 225,475 0.19

157,596 Chailease Holding Co. Ltd. 476,829 0.40

37,291 Chicony Electronics Co. Ltd. 93,470 0.08

803,000 China Development Financial Holding Corp. 197,023 0.16

21,000 China Life Insurance Co. Ltd. 11,701 0.01

30,720 China Motor Corp. 25,294 0.02

28,000 Chong Hong Construction Co. Ltd. 69,534 0.06

4,000 Cleanaway Co. Ltd. 18,385 0.02

204,100 Coretronic Corp. 189,647 0.16

2,190,520 CTBC Financial Holding Co. Ltd. 1,296,572 1.08

9,424 CTBC Financial Holding Co. Ltd. - Preferred Shares 19,944 0.02

10,000 Elite Advanced Laser Corp. 20,138 0.02

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


32

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



56,000 Elite Material Co. Ltd. 196,287 0.16


175,000 FLEXium Interconnect Inc. 552,056 0.46

24,000 Formosa Chemicals & Fibre Corp. 53,172 0.04

130,600 Formosa Plastics Corp. 324,325 0.27

150,684 Foxconn Technology Co. Ltd. 246,643 0.21

389,000 Fubon Financial Holding Co. Ltd. 483,010 0.40

7,000 Gigabyte Technology Co. Ltd. 11,805 0.01

35,000 Grand Pacific Petrochemical 14,930 0.01

184,150 Highwealth Construction Corp. 246,617 0.21

96,000 Holtek Semiconductor Inc. 189,197 0.16

7,000 Holy Stone Enterprise Co. Ltd. 20,647 0.02

967,847 Hon Hai Precision Industry Co. Ltd. 2,237,074 1.86

98,900 Huaku Development Co. Ltd. 270,130 0.23

66,160 IBF Financial Holdings Co. Ltd. 22,643 0.02

43,656 IEI Integration Corp. 42,730 0.04

13,000 Innodisk Corp. 66,200 0.06

1,000 International Games System Co. Ltd. 18,253 0.02

31,100 Kung Long Batteries Industrial Co. Ltd. 136,776 0.11

189,000 Lite-On Technology Corp. 258,112 0.22

1,000 Lotes Co. Ltd. 9,093 0.01

75,645 Mercuries Life Insurance Co. Ltd. 20,661 0.02

72,000 Merry Electronics Co. Ltd. 296,414 0.25

82,000 Micro-Star International Co. Ltd. 240,511 0.20

12,000 Mitac Holdings Corp. 10,773 0.01

37,000 Nan Ya Plastics Corp. 66,925 0.06

39,000 Nantex Industry Co. Ltd. 34,626 0.03

215,000 Nanya Technology Corp. 381,777 0.32

1,000 Nien Made Enterprise Co. Ltd. 5,969 0.00

71,800 Novatek Microelectronics Corp. 408,366 0.34

14,000 On-Bright Electronics Inc. 103,699 0.09

14,000 Pegatron Corp. 26,851 0.02

126,550 Quanta Computer Inc. 251,916 0.21

81,000 Quanta Storage Inc. 72,318 0.06

532,600 Radiant Opto-Electronics Corp. 1,391,312 1.16

62,178 Ruentex Development Co. Ltd. 78,541 0.07

57,300 Sercomm Corp. 118,990 0.10

29,000 Shinkong Insurance Co. Ltd. 32,269 0.03

149,284 Sigurd Microelectronics Corp. 152,781 0.13

63,320 Simplo Technology Co. Ltd. 554,859 0.46

3,000 Sinbon Electronics Co. Ltd. 12,450 0.01

13,800 Sitronix Technology Corp. 53,847 0.05


11,000 Synnex Technology International Corp. 13,513 0.01

13,000 Taiflex Scientific Co. Ltd. 18,012 0.02


447,000 Taiwan Semiconductor Manufacturing Co. Ltd. 4,049,997 3.37

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


33

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



9,540 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 455,917 0.38

64,000 Taiwan Styrene Monomer 28,993 0.02

4,000 Taiwan Union Technology Corp. 16,137 0.01

61,200 Teco Electric and Machinery Co. Ltd. 48,771 0.04

4,000 Thinking Electronic Industrial Co. Ltd. 9,709 0.01

27,765 Topco Scientific Co. Ltd. 83,181 0.07



22,000 TXC Corp. 32,009 0.03

72,240 United Integrated Services Co. Ltd. 395,342 0.33

75,000 Walsin Technology Corp. 399,286 0.33

2,000 Wiwynn Corp. 46,426 0.04

32,000 Yageo Corp. 290,462 0.24

46,000 YC INOX Co. Ltd. 33,312 0.03

7,400 Yulon Finance Corp. 21,240 0.02

5,000 Yulon Nissan Motor Co. Ltd. 38,193 0.03

9,000 Zhen Ding Technology Holding Ltd. 27,677 0.02

23,213,440 19.41


40,900 Bangkok Bank PCL - Depositary Receipts 125,252 0.10

26,200 Bangkok Life Assurance PCL - Depositary Receipts 9,500 0.01

78,400 Banpu Power PCL 28,668 0.02

1,856,700 Beauty Community PCL 72,418 0.06

397,282 Digital Telecommunications Infrastructure Fund 181,587 0.15

29,300 Hana Microelectronics PCL 20,535 0.02

185,000 Jasmine International PCL 27,622 0.02

42,700 Kasikornbank PCL - Depositary Receipts 119,054 0.10

21,000 Krung Thai Bank PCL 7,295 0.01

288,500 Land & Houses PCL 58,900 0.05

171,300 Origin Property PCL 18,478 0.02

142,700 Pruksa Holding PCL 40,222 0.03

1,254,011 Quality Houses PCL 71,074 0.06

32,100 Siam Commercial Bank PCL 67,736 0.06

29,800 SPCG PCL 12,985 0.01

272,450 Supalai PCL 123,699 0.10

32,500 Thai Vegetable Oil PCL 22,282 0.02

53,500 Thanachart Capital PCL 54,205 0.05

44,000 Tipco Asphalt PCL 23,061 0.02

66,100 TTW PCL 25,580 0.02

127,000 Univentures PCL 9,288 0.01

1,119,441 0.94


88,150 Akbank Turk AS 74,905 0.06

11,663 Aksa Akrilik Kimya Sanayii AS 11,220 0.01

178,839 Enerjisa Enerji AS, 144A 183,988 0.15

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


34

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Turkey (30 September 2019: 6.77%) (continued)


4,774 Koza Altin Isletmeleri AS 44,442 0.04


193,296 Soda Sanayii AS 149,586 0.13

194,883 Tekfen Holding AS 375,558 0.32

337,295 Turkiye Is Bankasi AS 241,574 0.20

390,106 Turkiye Sinai Kalkinma Bankasi AS 55,643 0.05

159,469 Turkiye Vakiflar Bankasi TAO 112,277 0.09

103,105 Yapi ve Kredi Bankasi AS 29,569 0.02

1,374,465 1.15


19,609 Abu Dhabi Islamic Bank PJSC 21,300 0.02

24,226 Al Waha Capital PJSC 5,375 0.00

80,088 Dubai Islamic Bank PJSC 78,493 0.07

19,702 Emaar Developments PJSC 11,639 0.01

66,867 Emaar Malls PJSC 19,479 0.02

231,596 Emaar Properties PJSC 139,974 0.11

8,578 Emirates NBD Bank PJSC 16,884 0.01

320,779 RAK Properties PJSC 32,662 0.03

325,806 0.27


6,364 Unilever Plc 321,599 0.27

321,599 0.27

Vietnam (30 September 2019: Nil)

74,600 Kinh Bac City Development Share Holding Corp. 35,062 0.03

8,490 PetroVietnam Gas JSC 19,700 0.02

6,360 Pha Lai Thermal Power JSC 5,682 0.00

14,300 Vinh Hoan Corp. 12,413 0.01

72,857 0.06




_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


35


Value

US$

% of Net

Asset

Value


Debt Obligations




584,976 0.49


TOTAL TRANSFERABLE SECURITIES TRADED ON A REGULATED MARKET

UNLESS OTHERWISE NOTED 584,976 0.49

Collective Investment Schemes


43,931 iShares Core MSCI EM IMI UCITS ETF 1,010,193 0.85

1,010,193 0.85

TOTAL COLLECTIVE INVESTMENT SCHEME 1,010,193 0.85


FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET

FUTURES CONTRACTS* (30 September 2019: Nil)

Number of

Contracts Type

Expiration

Date Position†

Notional

Amount

US$

Net Unrealised

Appreciation

US$

% of

Net

Asset

Value

45 MSCI Emerging Markets Futures June 2020 Buy 1,896,525 91,781 0.08

TOTAL 1,896,525 91,781 0.08

* The clearing broker for the futures contracts is Morgan Stanley & Co. LLC.

† Buy - Fund is long the futures contract.


FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO

FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET 91,781 0.08

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


36

FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET (CONTINUED)

FUTURES CONTRACTS* (30 September 2019: Nil)

Number of

Contracts Type

Expiration

Date Position†

Notional

Amount

US$

Net

Unrealised

Depreciation

US$

% of

Net

Asset

Value

(28) SGX NIFTY 50 Futures April 2020 Sale (479,948) (50,597) (0.04)

TOTAL (479,948) (50,597) (0.04)

* The clearing brokers for the futures contracts is J.P. Morgan Securities LLC.

† Buy - Fund is long the futures contract.


FINANCIAL LIABILITEIS AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO

FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET (50,597) (0.04)

TOTAL FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON REGULATED MARKET 41,184 0.04 OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS SWAP CONTRACTS Total Return Swaps (30 September 2019: (0.13)%)

Notional Amount Expiration Date Counterparty Fund Receives Fund Pays

Value

US$

% of

Net

Asset

Value

USD 851,039 07/12/20 GS CSI N0905

1 Month USD LIBOR

plus spread of (5.70)%

(88,137) (0.08)

TOTAL (88,137) (0.08)

FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO OVER-

THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (88,137) (0.08)

TOTAL OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (88,137) (0.08) As at 31 March 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover

commitments or collateral requirements, if any, of the relevant broker or exchange.

Value

US$

% of Net

Asset

Value


Total financial liabilities at fair value through profit or loss (138,734) (0.12)

Cash at bank 1,020,561 0.85

Other assets in excess of liabilities 163,291 0.14


_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


37


% of Total

Asset

Value



Collective investment schemes 0.84


98.71† Denominated in U.S. Dollar, unless otherwise indicated. (a) The rate shown represents yield-to-maturity. Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement

of Investments, if any, please refer to page 123.

_____________________________________________________________________________________________

GMO FUNDS PLC

GMO GLOBAL REAL RETURN (UCITS) FUND


AS AT 31 MARCH 2020

_____________________________________________________________________________________________


38

Shares Description

Value

US$

% of Net

Asset

Value


Equities

Argentina (30 September 2019: 0.01%)

45,000 Banco BBVA Argentina SA - Depositary Receipts 117,900 0.01

20,500 Banco Macro SA - Depositary Receipts 348,090 0.01

465,990 0.02

Australia (30 September 2019: 0.62%)

243,845 Accent Group Ltd. 117,158 0.01

32,447 Alliance Aviation Services Ltd. 33,066 0.00

13,335 Ansell Ltd. 221,916 0.01

50,018 Appen Ltd. 602,780 0.03

104,537 Asaleo Care Ltd. 64,622 0.00

112,447 Austal Ltd. 200,276 0.01

435,325 Australian Pharmaceutical Industries Ltd. 333,051 0.02

39,184 Aventus Retail Property Fund Ltd. REIT 35,614 0.00

171,490 Beach Energy Ltd. 120,705 0.01

52,509 Brickworks Ltd. 424,545 0.02

13,888 Caltex Australia Ltd. 189,723 0.01

74,336 Charter Hall Retail REIT 141,497 0.01

298 Cochlear Ltd. 34,189 0.00

40,987 Codan Ltd. 135,716 0.01

820 CSL Ltd. 148,898 0.01

162,450 CSR Ltd. 315,185 0.02

674,503 Fortescue Metals Group Ltd. 4,128,297 0.21

142,611 GDI Property Group REIT 81,612 0.00

107,338 Genworth Mortgage Insurance Australia Ltd. 142,561 0.01

109,386 Harvey Norman Holdings Ltd. 197,502 0.01

41,913 JB Hi-Fi Ltd. 718,280 0.04

302,695 Mount Gibson Iron Ltd. 122,275 0.01

108,909 New Hope Corp. Ltd. 92,654 0.00

45,729 NRW Holdings Ltd. 35,126 0.00

113,838 Rio Tinto Ltd. 5,892,378 0.29

145,384 Sandfire Resources NL 293,642 0.02

146,910 Seven West Media Ltd. 7,013 0.00

213,931 Southern Cross Media Group Ltd. 21,605 0.00

51,674 Stockland REIT 80,017 0.00

16,595 Super Retail Group Ltd. 47,027 0.00

11,939 Virtus Health Ltd. 13,665 0.00

81,703 Viva Energy REIT 115,015 0.01

15,107,610 0.77

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


39

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Austria (30 September 2019: 0.04%) 10,433 FACC AG 89,234 0.00

1,864 POLYTEC Holding AG 8,836 0.00

6,261 Vienna Insurance Group AG Wiener Versicherung Gruppe 117,750 0.01

215,820 0.01


37,538 Ageas 1,561,459 0.08

158,208 AGFA-Gevaert NV 590,913 0.03

2,367 Barco NV 365,685 0.02

347 Sipef NV 17,057 0.00

42,991 UCB SA 3,726,579 0.19

6,261,693 0.32


210,300 Atacadao Distribuicao Comercio e Industria Ltd. 836,480 0.04

181,300 Banco do Brasil SA 974,908 0.05

138,700 Banco do Estado do Rio Grande do Sul SA - Preferred Shares 319,032 0.02

253,900 Banco Santander Brasil SA 1,305,578 0.07

384,400 Cia de Saneamento Basico do Estado de Sao Paulo 2,898,601 0.15

15,700 Cia de Saneamento Basico do Estado de Sao Paulo - Depositary Receipts 115,866 0.01

28,900 Cia Paranaense de Energia 325,296 0.02

194,800 Cia Paranaense de Energia - Preferred Shares 2,009,370 0.10

11,300 Construtora Tenda SA 44,925 0.00

194,000 Grendene SA 281,653 0.01

61,200 Hypera SA 337,352 0.02

12,700 Instituto Hermes Pardini SA 47,062 0.00

1,799,900 JBS SA 7,058,567 0.36

3,700 JSL SA 9,238 0.00

27,600 Mahle-Metal Leve SA 93,337 0.00

143,700 MRV Engenharia e Participacoes SA 339,122 0.02

1,437,196 Petrobras Distribuidora SA 4,297,789 0.22

4,800 Qualicorp Consultoria e Corretora de Seguros SA 21,841 0.00

221,100 Telefonica Brasil SA - Preferred Shares 2,108,008 0.11

156,100 TIM Participacoes SA 374,404 0.02

169,700 Tupy SA 429,272 0.02

24,227,701 1.24


7,500 Absolute Software Corp. 45,421 0.00

44,300 AGF Management Ltd. 93,371 0.00

5,400 Atco Ltd. 147,847 0.01

5,900 Bank of Nova Scotia 238,222 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


40

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



34,900 Bausch Health Cos. Inc. 534,773 0.03

11,600 Bird Construction Inc. 37,163 0.00

29,185 BRP Inc. 470,782 0.02

23,000 Canaccord Genuity Group Inc. 69,969 0.00

25,400 Canfor Pulp Products Inc. 90,475 0.00

15,300 Cascades Inc. 135,119 0.01

38,500 Celestica Inc. 133,621 0.01

17,900 Centerra Gold Inc. 105,261 0.01

7,700 CGI Group Inc. 412,171 0.02

28,100 CI Financial Corp. 275,798 0.01

22,100 Cineplex Inc. 181,663 0.01

14,100 Cogeco Communications Inc. 945,746 0.05

7,200 Cogeco Inc. 439,482 0.02

2,500 Dorel Industries Inc. 2,635 0.00

19,200 Dundee Precious Metals Inc. 59,893 0.00

15,000 Enerflex Ltd. 61,440 0.00

2,100 Exco Technologies Ltd. 7,938 0.00

25,400 First Majestic Silver Corp. 155,610 0.01

30,600 Fortuna Silver Mines Inc. (Canada listed) 69,655 0.00

36,000 Fortuna Silver Mines Inc. (USA listed) 83,160 0.00

2,300 Genworth MI Canada Inc. 50,529 0.00

1,000 Home Capital Group Inc. 11,283 0.00

73,300 IA Financial Corp. Inc. 2,278,282 0.12

2,600 IGM Financial Inc. 42,653 0.00

18,400 Labrador Iron Ore Royalty Corp. 217,307 0.01

11,200 Magna International Inc. (Canada listed) 353,386 0.02

2,200 Magna International Inc. (USA listed) 70,224 0.00

10,800 Manulife Financial Corp. 135,432 0.01

37,000 Martinrea International Inc. 177,026 0.01

5,100 Minto Apartment Real Estate Investment Trust REIT 69,870 0.00

14,700 Morguard North American Residential REIT 138,289 0.01

6,800 Real Matters Inc. 66,884 0.00

4,500 Reitmans Canada Ltd. 1,296 0.00

2,200 Rocky Mountain Dealerships Inc. 6,183 0.00

47,300 Rogers Sugar Inc. 145,886 0.01

131,000 Royal Bank of Canada 8,022,812 0.42

2,900 Russel Metals Inc. 26,670 0.00

332,746 Stars Group Inc. 6,794,673 0.36

99,700 Sun Life Financial Inc. (Canada listed) 3,170,983 0.16

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


41

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



53,800 Sun Life Financial Inc. (USA listed) 1,726,442 0.09

26,700 Teranga Gold Corp. 129,622 0.01

4,700 Timbercreek Financial Corp. 23,412 0.00

44,200 Toronto-Dominion Bank 1,857,931 0.10

13,800 Transat AT Inc. 82,702 0.00

14,200 Transcontinental Inc. 124,606 0.01

11,200 Wajax Corp. 50,832 0.00

14,500 Westshore Terminals Investment Corp. 133,249 0.01

30,705,679 1.57


185,399 Aguas Andinas SA 54,816 0.00

168,565 Banco de Chile 13,666 0.00

700 Banco Santander Chile - Depositary Receipts 10,591 0.00

5,564,726 Enel Americas SA 682,925 0.03

246,700 Enel Americas SA - Depositary Receipts 1,495,002 0.09

5,110 Inversiones La Construccion SA 32,855 0.00

30,537 Parque Arauco SA 42,994 0.00

2,332,849 0.12


1,107,000 361 Degrees International Ltd. 181,384 0.01

8,500 AAC Technologies Holdings Inc. 44,085 0.00

3,750,000 Agile Group Holdings Ltd. 4,059,206 0.21

50,300 Agricultural Bank of China Ltd. Class A 23,898 0.00

26,459,000 Agricultural Bank of China Ltd. Class H 10,616,508 0.55


358,400 Anhui Conch Cement Co. Ltd. (A Shares) 2,784,092 0.14

2,090,000 Anhui Conch Cement Co. Ltd. (H Shares) 14,520,442 0.75

218,500 Anhui Expressway Co. Ltd. 157,411 0.01


76,000 Asia Cement China Holdings Corp. 77,364 0.00

5,278,500 BAIC Motor Corp. Ltd., 144A 2,097,534 0.11

29,042,000 Bank of China Ltd. 11,128,352 0.58

14,586,000 Bank of Communications Co. Ltd. 8,938,768 0.47

78,000 Beijing Capital International Airport Co. Ltd. 49,713 0.00

30,000 Beijing Enterprises Water Group Ltd. 11,728 0.00

1,093,548 Beijing North Star Co. Ltd. 408,552 0.02

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


42

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



21,000 BYD Electronic International Co. Ltd. 35,059 0.00

8,600 Changyou.com Ltd. - Depositary Receipts 92,020 0.00

9,000 China Aoyuan Group Ltd. 10,543 0.00

1,922,000 China Cinda Asset Management Co. Ltd. 364,518 0.02

8,742,000 China CITIC Bank Corp. Ltd. 4,319,738 0.22

4,800,000 China Communications Services Corp. Ltd. 3,492,756 0.18

2,393,700 China Construction Bank Corp. (A Shares) 2,139,552 0.11

11,828,000 China Construction Bank Corp. (H Shares) 9,674,944 0.50

2,151,000 China Everbright Bank Co. Ltd. 824,223 0.04

12,000 China Gas Holdings Ltd. 41,802 0.00

948,000 China Greenfresh Group Co. Ltd. 21,526 0.00

1,602,000 China Jinmao Holdings Group Ltd. 1,037,562 0.05

24,000 China Kepei Education Group Ltd. 12,540 0.00

3,455,000 China Lesso Group Holdings Ltd. 4,555,613 0.23

657,000 China Lilang Ltd. 379,744 0.02

2,656,000 China Machinery Engineering Corp. 719,607 0.04

2,129,000 China Medical System Holdings Ltd. 2,304,547 0.12

115,645 China Merchants Bank Co. Ltd. (A Shares) 526,289 0.03

7,500 China Merchants Bank Co. Ltd. (H Shares) 33,867 0.00

23,600 China Mobile Ltd. - Depositary Receipts 889,012 0.05

8,556,000 China National Building Material Co. Ltd. 9,349,794 0.49

554,982 China National Chemical Engineering Co. Ltd. 467,108 0.02

584,000 China Oriental Group Co. Ltd. 149,939 0.01

93,000 China Overseas Grand Oceans Group Ltd. 54,474 0.00

1,088,000 China Overseas Land & Investment Ltd. 3,375,918 0.17

15,000 China Overseas Property Holdings Ltd. 14,127 0.00

265,700 China Pacific Insurance Group Co. Ltd. (A Shares) 1,057,091 0.05

343,800 China Pacific Insurance Group Co. Ltd. (H Shares) 1,040,151 0.05

16,809,801 China Petroleum & Chemical Corp. 8,284,643 0.42

5,800 China Petroleum & Chemical Corp. - Depositary Receipts 282,460 0.01

6,612,406 China Railway Construction Corp. Ltd. 7,405,035 0.38

2,535,932 China Railway Group Ltd. 1,351,249 0.07

1,420,000 China Resources Cement Holdings Ltd. 1,694,642 0.09

138,000 China Resources Gas Group Ltd. 694,371 0.04

892,000 China Resources Land Ltd. 3,682,669 0.19

4,725,190 China Resources Pharmaceutical Group Ltd., 144A 2,834,785 0.14

1,890,000 China SCE Group Holdings Ltd. 841,257 0.04

1,319,771 China Shenhua Energy Co. Ltd. (A Shares) 3,021,680 0.15

3,498,500 China Shenhua Energy Co. Ltd. (H Shares) 6,662,176 0.34

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


43

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



760,000 China Shineway Pharmaceutical Group Ltd. 571,650 0.03

81,600 China Taiping Insurance Holdings Co. Ltd. 133,703 0.01

16,046,557 China Telecom Corp. Ltd. 4,865,165 0.25

542,183 China Vanke Co. Ltd. (A Shares) 1,960,637 0.10

298,900 China Vanke Co. Ltd. (H Shares) 985,291 0.05

1,526,736 China Yangtze Power Co. Ltd. 3,721,541 0.19

48,500 China Yongda Automobiles Services Holdings Ltd. 39,609 0.00

10,800 China Yuchai International Ltd. 116,208 0.01

204,000 Chongqing Rural Commercial Bank Co. Ltd. 83,696 0.00

2,035,000 CNOOC Ltd. 2,134,533 0.11

1,671,726 Country Garden Holdings Co. Ltd. 2,023,093 0.10

190,000 CSPC Pharmaceutical Group Ltd. 380,446 0.02

121,000 Dali Foods Group Co. Ltd., 144A 84,300 0.00

2,116,475 Daqin Railway Co. Ltd. 2,029,018 0.10


5,100 ENN Energy Holdings Ltd. 49,382 0.00

200 Fanhua Inc. - Depositary Receipts 4,024 0.00

67,000 Fu Shou Yuan International Group Ltd. 58,953 0.00

1,281,000 Geely Automobile Holdings Ltd. 1,890,702 0.10

612,000 Gemdale Properties & Investment Corp. Ltd. 101,857 0.01

263,000 Greenland Hong Kong Holdings Ltd. 101,116 0.01

2,780,000 Guangdong Investment Ltd. 5,358,500 0.27

588,000 Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. 1,585,519 0.08

3,071,162 Guangzhou R&F Properties Co. Ltd. 4,009,877 0.21


14,000 Haitian International Holdings Ltd. 26,010 0.00

190,500 Hebei Construction Group Corp. Ltd. 114,778 0.01

1,161,163 Hisense Home Appliances Group Co. Ltd. (A Shares) 1,551,906 0.08

511,000 Hisense Home Appliances Group Co. Ltd. (H Shares) 471,384 0.02

324,700 HLA Corp. Ltd. 289,768 0.01

24,800 Hollysys Automation Technologies Ltd. 319,920 0.02

24,000 Hopson Development Holdings Ltd. 21,427 0.00

2,350,450 Huabao International Holdings Ltd. 855,161 0.04

288,127 Huaxin Cement Co. Ltd. 945,245 0.05

2,600 Hutchison China MediTech Ltd. - Depositary Receipts 46,410 0.00

1,876,000 IGG Inc. 1,120,629 0.06

2,219,600 Industrial & Commercial Bank of China Ltd. (A Shares) 1,611,558 0.08

9,812,000 Industrial & Commercial Bank of China Ltd. (H Shares) 6,722,022 0.34

32,000 Jingrui Holdings Ltd. 8,835 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


44

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



10,500 JNBY Design Ltd. 9,171 0.00

410,000 Ju Teng International Holdings Ltd. 75,643 0.00

800 Jumei International Holding Ltd - Depositary Receipts 14,784 0.00

26,000 Kaisa Group Holdings Ltd. 9,627 0.00



270,000 Kunlun Energy Co. Ltd. 157,801 0.01

6,800 Lao Feng Xiang Co. Ltd. 38,405 0.00

424,357 Livzon Pharmaceutical Group Inc. 1,563,095 0.08

792,000 Logan Property Holdings Co. Ltd. 1,222,093 0.06

271,000 Longfor Group Holdings Ltd., 144A 1,319,879 0.07

1,636,000 Lonking Holdings Ltd. 489,688 0.03

187,000 Metallurgical Corp. of China Ltd. 32,812 0.00



37,300 New China Life Insurance Co. Ltd. 116,218 0.01

325,000 Nine Dragons Paper Holdings Ltd. 296,449 0.02

192,000 PAX Global Technology Ltd. 72,332 0.00

4,275,000 PICC Property & Casualty Co. Ltd. 4,136,616 0.21

464,292 Ping An Insurance Group Co. of China Ltd. (A Shares) 4,527,650 0.23

7,000 Ping An Insurance Group Co. of China Ltd. (H Shares) 68,773 0.00

9,121,000 Postal Savings Bank of China Co. Ltd., 144A 5,554,338 0.28


195,000 Redsun Properties Group Ltd. 63,651 0.00

27,000 Road King Infrastructure Ltd. 40,896 0.00

2,529,000 Shanghai Pharmaceuticals Holding Co. Ltd. 4,300,432 0.22

69,696 Shenzhen Expressway Co. Ltd. 85,289 0.00

290,773 Shenzhen Investment Ltd. 90,786 0.00


3,633,829 Shimao Property Holdings Ltd. 12,798,968 0.66

262,000 Shui On Land Ltd. 43,943 0.00

1,324,000 Sino Biopharmaceutical Ltd. 1,745,769 0.09

284,494 Sinoma International Engineering Co. 242,256 0.01

318,000 Sinopec Engineering Group Co. Ltd. 133,750 0.01

568,450 Sinopec Shanghai Petrochemical Co. Ltd. (A Shares) 311,750 0.02

8,704,000 Sinopec Shanghai Petrochemical Co. Ltd. (H Shares) 2,156,095 0.11


934,588 Suning Universal Co. Ltd. 400,551 0.02


120,000 TCL Electronics Holdings Ltd. 50,317 0.00

_____________________________________________________________________________________________

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AS AT 31 MARCH 2020

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45

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



27,300 Tencent Holdings Ltd. 1,339,130 0.07

28,300 Tencent Holdings Ltd. - Depositary Receipts 1,389,247 0.07

228,000 Texhong Textile Group Ltd. 173,260 0.01

256,000 Tianjin Development Holdings Ltd. 50,203 0.00

764,000 Tianjin Port Development Holdings Ltd. 50,270 0.00

2,534,000 Tianneng Power International Ltd. 1,886,385 0.10

6,000 Times China Holdings Ltd. 10,048 0.00

727,000 Want Want China Holdings Ltd. 527,131 0.03

3,136,660 Weichai Power Co. Ltd. 5,050,448 0.26

1,066,517 Weifu High-Technology Group Co. Ltd. 2,856,836 0.15

644,000 West China Cement Ltd. 100,535 0.01

189,500 Xtep International Holdings Ltd. 62,344 0.00

414,000 Yadea Group Holdings Ltd., 144A 116,441 0.01

3,400 YiChang HEC ChangJiang Pharmaceutical Co. Ltd., 144A 16,055 0.00

48,000 Yuexiu Property Co. Ltd. 8,670 0.00


1,369,722 Yuzhou Properties Co. Ltd. 583,169 0.03


661,793 Zhejiang Weixing New Building Materials Co. Ltd. 1,031,909 0.05

39,400 Zhengzhou Coal Mining Machinery Group Co. Ltd. 30,662 0.00

105,000 Zhongsheng Group Holdings Ltd. 367,119 0.02

5,500 Zhuzhou CRRC Times Electric Co. Ltd. 16,285 0.00

267,835,189 13.70

Colombia (30 September 2019: 0.02%)

7,909 Banco Davivienda SA - Preferred Shares 59,413 0.01

42,301 Cementos Argos SA 42,613 0.00

178,832 Grupo Aval Acciones y Valores SA - Preferred Shares 39,509 0.00

141,535 0.01

Cyprus (30 September 2019: 0.05%)

37,320 QIWI Plc - Depositary Receipts 399,697 0.02

30,581 TCS Group Holding Plc - Depositary Receipts 353,516 0.02

753,213 0.04

Czech Republic (30 September 2019: 0.00%)

67,857 Moneta Money Bank AS, 144A 139,691 0.01

139,691 0.01

Denmark (30 September 2019: 0.03%)

7,467 Matas AS 46,828 0.00

5,312 Novo Nordisk AS 319,581 0.01

30,187 Scandinavian Tobacco Group AS, 144A 303,832 0.02

670,241 0.03

_____________________________________________________________________________________________

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AS AT 31 MARCH 2020

_____________________________________________________________________________________________


46

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Finland (30 September 2019: 0.15%)

659 Aktia Bank Oyj 5,213 0.00

13,216 Kemira Oyj 128,046 0.01

3,890 Orion Oyj 159,122 0.00

3,187 Sanoma Oyj 29,217 0.00

11,606 Tokmanni Group Corp. 115,886 0.01

437,484 0.02

France (30 September 2019: 1.74%)

8,356 Alten SA 600,086 0.03

8,668 APERAM SA 183,371 0.01

13,885 Arkema SA 959,825 0.05

819 Assystem SA 16,176 0.00

762 Axway Software SA 12,960 0.00

313 BioMerieux 35,237 0.00

36,644 BNP Paribas SA 1,106,112 0.06

655 Boiron SA 20,195 0.00

1,002 Bonduelle SCA 20,670 0.00

325 Caisse Regionale de Credit Agricole Mutuel Nord de France 9,277 0.00

2,378 Christian Dior SE 851,663 0.04

2,014 Cie des Alpes 34,739 0.00

52,676 Coface SA 338,123 0.02

1,802 Dassault Systemes SE 266,928 0.01

2,649 Eiffage SA 187,477 0.01

8,182 Faurecia SE 245,091 0.01

8,673 Fnac Darty SA 225,159 0.01

27,356 Gaztransport Et Technigaz SA 2,011,098 0.10

1,245 GL Events 18,387 0.00

306 Groupe Crit 15,881 0.00

353 HEXAOM 8,928 0.00

61,678 Ingenico Group SA 6,560,532 0.34

1,740 Interparfums SA 58,422 0.00

1,361 Ipsen SA 70,457 0.00

19,782 IPSOS 412,410 0.02

6,366 Kaufman & Broad SA 197,119 0.01

46,636 L'Oreal SA 12,224,839 0.64

1,134 Manitou BF SA 17,121 0.00

575 Mersen SA 10,536 0.00

39,346 Metropole Television SA 441,222 0.02

1,391 Nexans SA 41,240 0.00

_____________________________________________________________________________________________

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AS AT 31 MARCH 2020

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47

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


France (30 September 2019: 1.74%) (continued)

297,420 Peugeot SA 3,969,977 0.20

28,235 Quadient 495,694 0.03

2,770 Rothschild & Co. 56,229 0.00

13,766 Safran SA 1,210,495 0.06

130,520 Sanofi 11,477,100 0.60

13,000 Sanofi - Depositary Receipts 568,360 0.03

4,744 Schneider Electric SE 409,037 0.02

200,100 STMicroelectronics NV NY Shares - Depositary Receipts 4,276,137 0.22

632 Synergie SA 10,610 0.00

11,192 Television Francaise 1 61,181 0.00

352 Union Financiere de France BQE SA 6,083 0.00

440 Vilmorin & Cie SA 17,332 0.00

49,759,516 2.54


1,916 adidas AG 432,870 0.02

27,771 Allianz SE 4,780,407 0.24

2,861 Amadeus Fire AG 243,918 0.01

1,045 Bauer AG 11,558 0.00

23,297 Bayer AG 1,350,986 0.07

28,061 Bayerische Motoren Werke AG 1,450,668 0.07

5,578 Beiersdorf AG 566,510 0.03

1,126 Carl Zeiss Meditec AG 109,157 0.01

203,065 CECONOMY AG 442,507 0.02

2,187 Cewe Stiftung & Co. KGAA 191,975 0.01

10,587 Covestro AG, 144A 323,754 0.02

14,793 CropEnergies AG 129,366 0.01

12,871 Deutsche Lufthansa AG 120,919 0.01

90,459 Deutsche Pfandbriefbank AG, 144A 693,801 0.04

128,774 Deutz AG 474,759 0.02

91,936 Dialog Semiconductor Plc 2,485,605 0.13

441 Draegerwerk AG & Co. KGaA 32,711 0.00

669 Draegerwerk AG & Co. KGaA - Preferred Shares 65,111 0.00

4,316 DWS Group SE, 144A 106,743 0.01

2,560 Eckert & Ziegler AG 401,120 0.02

1,894 Elmos Semiconductor AG 39,361 0.00

379 Grammer AG 7,984 0.00

17,159 Hamburger Hafen Und Logistik AG 239,300 0.01

11,913 Hannover Rueck SE 1,712,372 0.09

3,871 Henkel AG & Co. KGaA 286,066 0.01

_____________________________________________________________________________________________

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AS AT 31 MARCH 2020

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48

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Germany (30 September 2019: 0.94%) (continued)

10,434 Henkel AG & Co. KGaA - Preferred Shares 838,046 0.04

2,643 Hornbach Holding AG & Co. KGaA 110,491 0.01

3,320 Merck KGaA 341,046 0.02

22,516 METRO AG 194,384 0.01

1,019 OHB SE 35,779 0.00

124,067 QIAGEN NV 5,161,187 0.25

24,087 Siemens Healthineers AG, 144A 952,650 0.05

10,636 Siltronic AG 796,618 0.04

772 Sixt SE - Preferred Shares 30,283 0.00

7,330 Software AG 219,570 0.01

17,025 TAG Immobilien AG 337,000 0.02

18,016 Takkt AG 139,958 0.01

15,520 Talanx AG 527,228 0.03

15,908 VERBIO Vereinigte BioEnergie AG 145,575 0.01

1,724 Villeroy & Boch AG - Preferred Shares 19,390 0.00

16,123 Volkswagen AG 2,147,684 0.11

19,937 Wacker Neuson SE 219,634 0.01

644 Washtec AG 25,545 0.00

6,538 Wuestenrot & Wuerttembergische AG 100,290 0.01

29,041,886 1.48

Greece (30 September 2019: 0.00%)

8,593 FF Group(a) - 0.00

4,089 JUMBO SA 55,276 0.00

101 Motor Oil Hellas Corinth Refineries SA 1,247 0.00

56,523 0.00




208,000 Cafe de Coral Holdings Ltd. 341,349 0.02

1,007,000 CITIC Telecom International Holdings Ltd. 333,895 0.02

20,500 CLP Holdings Ltd. 189,107 0.01

500,000 CSI Properties Ltd. 14,514 0.00

146,400 Dah Sing Banking Group Ltd. 127,495 0.01

168,400 Dah Sing Financial Holdings Ltd. 479,070 0.02

270,000 Giordano International Ltd. 49,117 0.00

32,500 HK Electric Investments & HK Electric Investments Ltd. 31,280 0.00

423,000 HKT Trust & HKT Ltd. 576,305 0.03

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AS AT 31 MARCH 2020

_____________________________________________________________________________________________


49

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Hong Kong (30 September 2019: 0.26%) (continued)

220,500 Johnson Electric Holdings Ltd. 347,069 0.02

108,500 Langham Hospitality Investments and Langham Hospitality Investments Ltd. 19,458 0.00

66,000 Luk Fook Holdings International Ltd. 133,006 0.01

38,000 LVGEM China Real Estate Investment Co. Ltd. 11,619 0.00

191,600 Man Wah Holdings Ltd. 105,059 0.01

47,000 Pacific Textiles Holdings Ltd. 22,618 0.00

44,000 Pico Far East Holdings Ltd. 7,664 0.00

77,000 Prosperity REIT 24,140 0.00

72,000 Regal Real Estate Investment Trust REIT 12,540 0.00

210,000 Singamas Container Holdings Ltd. 11,244 0.00

257,000 SJM Holdings Ltd. 217,181 0.01

185,000 Sun Hung Kai & Co. Ltd. 69,695 0.00

6,000 Sunlight Real Estate Investment Trust REIT 2,942 0.00

15,000 TAI Cheung Holdings Ltd. 10,025 0.00

88,500 VTech Holdings Ltd. 639,981 0.03

4,612,500 WH Group Ltd., 144A 4,314,418 0.22

158,000 Wheelock & Co. Ltd. 1,078,352 0.06

242,000 Xinyi Glass Holdings Ltd. 277,877 0.01

338,000 Yue Yuen Industrial Holdings Ltd. 518,061 0.03

10,788,942 0.55

Hungary (30 September 2019: 0.03%)

669,159 Magyar Telekom Telecommunications Plc 743,995 0.04


945,285 0.05


2,399 Alkem Laboratories Ltd. 73,634 0.00

30,980 Asian Paints Ltd. 678,150 0.03

66,280 Aurobindo Pharma Ltd. 362,716 0.02

30,042 Bajaj Auto Ltd. 798,195 0.04

289,484 Balrampur Chini Mills Ltd. 398,154 0.02

55,400 Dr Reddy's Laboratories Ltd. - Depositary Receipts 2,234,282 0.12

182,573 Firstsource Solutions Ltd. 66,367 0.00

549 GlaxoSmithKline Consumer Healthcare Ltd. 72,352 0.00

46,029 Granules India Ltd. 87,463 0.00

1,073,378 HCL Technologies Ltd. 6,143,622 0.32

27,944 HDFC Bank Ltd. 316,909 0.02

208,917 Hindustan Petroleum Corp. Ltd. 523,319 0.03


_____________________________________________________________________________________________

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AS AT 31 MARCH 2020

_____________________________________________________________________________________________


50

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


India (30 September 2019: 1.21%) (continued)


161,274 ICICI Bank Ltd. 683,032 0.03

63,612 Indiabulls Housing Finance 81,900 0.00

525,000 Indian Oil Corp. Ltd. 564,201 0.03

337,465 ITC Ltd. 757,890 0.04

41,166 Jammu & Kashmir Bank Ltd. 6,775 0.00

92,671 Just Dial Ltd. 358,612 0.02

53,559 Kiri Industries Ltd. 193,170 0.01


75,646 Mphasis Ltd. 660,154 0.03

125,686 National Aluminium Co. Ltd. 48,263 0.00

1,687,059 Power Finance Corp. Ltd. 2,044,954 0.11

588,861 PTC India Ltd. 305,907 0.02

54,859 Rain Industries Ltd. 40,826 0.00

1,967,536 Rural Electrification Corp. Ltd. 2,319,912 0.13


49,575 Sonata Software Ltd. 108,126 0.01

37,691 Titan Co. Ltd. 465,836 0.02

4,407 TV Today Network Ltd. 9,699 0.00

22,594,997 1.16


169,800 Astra International Tbk PT 40,602 0.00

212,800 Bank Central Asia Tbk PT 360,429 0.02

495,600 Bank Mandiri Persero Tbk PT 142,208 0.01

542,000 Bank Negara Indonesia Persero Tbk PT 126,943 0.01

449,900 Bank Pembangunan Daerah Jawa Timur Tbk PT 12,082 0.00

3,843,400 Bank Rakyat Indonesia Persero Tbk PT 711,653 0.04


92,000 Indofood CBP Sukses Makmur Tbk PT 57,676 0.00

861,600 Kalbe Farma Tbk PT 63,392 0.00

450,000 Matahari Department Store Tbk PT 36,833 0.00

28,120,100 Panin Financial Tbk PT 365,510 0.02

2,101,700 Ramayana Lestari Sentosa Tbk PT 60,049 0.00

370,700 Telekomunikasi Indonesia Persero Tbk PT 71,822 0.00

2,390,929 0.12

_____________________________________________________________________________________________

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AS AT 31 MARCH 2020

_____________________________________________________________________________________________


51

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Ireland (30 September 2019: 0.03%)

15,107 AIB Group Plc 16,941 0.00

78,215 Bank of Ireland Group Plc 147,956 0.01

73,600 CRH Plc - Depositary Receipts 1,975,424 0.09

8,648 Glanbia Plc 93,657 0.00

271,330 Hibernia REIT Plc 316,175 0.02

131,115 Irish Residential Properties REIT Plc 175,517 0.01

2,717 Kerry Group Plc 313,625 0.02

46,225 Origin Enterprises Plc 101,339 0.01

29,745 Permanent TSB Group Holdings Plc 17,526 0.00

38,125 Smurfit Kappa Group Plc 1,075,936 0.06

25,579 Total Produce Plc 23,857 0.00

4,257,953 0.22

Israel (30 September 2019: 0.04%)

3,726 AudioCodes Ltd. 94,797 0.00

4,565 Camtek Ltd. 39,773 0.00

868 Israel Corp. Ltd. 88,089 0.00

366,059 Oil Refineries Ltd. 100,480 0.01

59 Paz Oil Co. Ltd. 4,977 0.00

62,400 Wix.com Ltd. 6,291,168 0.33

6,619,284 0.34


17,000 ACEA SpA 270,099 0.01

14,645 Anima Holding SpA, 144A 39,337 0.00

26,683 Arnoldo Mondadori Editore SpA 38,530 0.00

9,388 Ascopiave SpA 34,663 0.00

19,008 Assicurazioni Generali SpA 258,830 0.01

169,990 Banca Mediolanum SpA 867,325 0.04

70,538 Buzzi Unicem SpA 1,290,222 0.07

14,070 Cementir Holding NV 75,941 0.00

44,632 CIR SpA-Compagnie Industriali 20,471 0.00

117,183 Enav SpA, 144A 515,859 0.03

1,520,023 Enel SpA 10,572,475 0.55

152,829 EXOR NV 7,881,509 0.41

502,934 Fiat Chrysler Automobiles NV 3,626,722 0.19

7,211 Fiera Milano SpA 21,996 0.00

442,965 Hera SpA 1,588,390 0.08

47,431 IMMSI SpA 17,070 0.00

515,405 Iren SpA 1,272,439 0.07

_____________________________________________________________________________________________

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AS AT 31 MARCH 2020

_____________________________________________________________________________________________


52

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Italy (30 September 2019: 1.00%) (continued)

137,564 Italgas SpA 753,050 0.04

16,239 La Doria SpA 156,088 0.01

111,662 Piaggio & C SpA 199,710 0.01

1,403 Prima Industrie SpA 19,859 0.00

1,784 Sabaf SpA 18,635 0.00

176,862 Saras SpA 164,953 0.01

1,346 Sesa SpA 58,338 0.00

73,427 Societa Cattolica di Assicurazioni SC 363,522 0.02

3,008 Unieuro SpA, 144A 20,430 0.00

78,935 Unipol Gruppo SpA 271,440 0.01

261,811 UnipolSai Assicurazioni SpA 643,490 0.03

31,061,393 1.59


13,000 ADEKA Corp. 162,688 0.01

5,500 Aichi Corp. 34,899 0.00

10,400 Aida Engineering Ltd. 66,568 0.00

2,100 Albis Co. Ltd. 40,170 0.00

4,300 Altech Corp. 58,074 0.00

22,700 AOKI Holdings Inc. 152,658 0.01

2,000 Arakawa Chemical Industries Ltd. 22,287 0.00

3,500 Arata Corp. 149,947 0.01

3,600 Arcland Sakamoto Co. Ltd. 32,514 0.00

537,400 Asahi Kasei Corp. 3,807,174 0.19

721,300 Astellas Pharma Inc. 11,164,766 0.58

32,700 Bandai Namco Holdings Inc. 1,587,520 0.08

3,300 Bando Chemical Industries Ltd. 19,227 0.00

230,700 Brother Industries Ltd. 3,534,601 0.18

3,800 Canon Electronics Inc. 56,144 0.00

12,300 Canon Marketing Japan Inc. 244,280 0.01

36,100 Casio Computer Co. Ltd. 507,283 0.03

1,700 Cawachi Ltd. 37,353 0.00

10,700 Central Glass Co. Ltd. 186,535 0.01

7,200 Chiba Kogyo Bank Ltd. 16,874 0.00

1,400 Chiyoda Integre Co. Ltd. 20,801 0.00

700 Chugai Pharmaceutical Co. Ltd. 81,052 0.00

2,600 Cleanup Corp. 12,885 0.00

4,100 CONEXIO Corp. 51,461 0.00

24,500 Dai Nippon Printing Co. Ltd. 522,204 0.03

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


53

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



4,900 Dai Nippon Toryo Co. Ltd. 36,084 0.00

34,300 Daicel Corp. 250,685 0.01

1,400 Dai-Dan Co. Ltd. 37,686 0.00

1,700 Daiichi Jitsugyo Co. Ltd. 54,171 0.00

1,700 Dainichiseika Color & Chemicals Manufacturing Co. Ltd. 37,148 0.00

4,700 Daiwa Industries Ltd. 41,099 0.00

13,600 Daiwabo Holdings Co. Ltd. 653,828 0.03

4,100 Doshisha Co. Ltd. 48,613 0.00

16,800 DTS Corp. 292,566 0.01

5,100 Elecom Co. Ltd. 177,866 0.01

3,500 ESPEC Corp. 53,235 0.00

6,200 Foster Electric Co. Ltd. 63,864 0.00

77,900 Fuji Electric Co. Ltd. 1,767,191 0.09

31,000 FUJIFILM Holdings Corp. 1,561,845 0.08

5,800 Fujitec Co. Ltd. 74,733 0.00

23,700 Fujitsu General Ltd. 428,754 0.02

62,300 Fujitsu Ltd. 5,629,535 0.30

600 Fukuda Corp. 23,510 0.00

9,600 Furuno Electric Co. Ltd. 74,965 0.00

14,400 Geo Holdings Corp. 174,473 0.01

3,800 Glory Ltd. 87,648 0.00

9,800 Gurunavi Inc. 50,382 0.00

18,800 Hakuhodo DY Holdings Inc. 189,820 0.01

3,200 Hakuto Co. Ltd. 28,664 0.00

1,000 Hamakyorex Co. Ltd. 24,381 0.00

26,100 Haseko Corp. 279,725 0.01

6,000 Heiwa Corp. 112,325 0.01

11,100 Hisamitsu Pharmaceutical Co. Inc. 518,216 0.03

213,000 Hitachi Ltd. 6,201,278 0.33

1,000 Hochiki Corp. 12,653 0.00

3,600 Hokuetsu Industries Co. Ltd. 36,115 0.00

86,700 Honda Motor Co. Ltd. 1,951,563 0.10

500 Hosokawa Micron Corp. 22,162 0.00

6,200 Hoya Corp. 528,368 0.03

6,600 Inaba Denki Sangyo Co. Ltd. 140,736 0.01

7,800 Infocom Corp. 178,246 0.01

1,200 Information Services International-Dentsu Ltd. 43,629 0.00

151,530 ITOCHU Corp. 3,147,664 0.16

11,500 Itochu Enex Co. Ltd. 89,908 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


54

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



27,900 ITOCHU Techno-Solutions Corp. 797,291 0.04

600 Itochu-Shokuhin Co. Ltd. 24,260 0.00

10,500 Itoki Corp. 31,027 0.00

9,700 Jeol Ltd. 236,940 0.01

900 J-Oil Mills Inc. 38,099 0.00

1,900 JSP Corp. 24,605 0.00

143,900 JVCKenwood Corp. 259,928 0.01

20,300 Kajima Corp. 208,538 0.01

7,000 Kaken Pharmaceutical Co. Ltd. 326,154 0.02

3,100 Kamei Corp. 29,146 0.00

46,500 Kanematsu Corp. 477,685 0.02

4,000 Kanematsu Electronics Ltd. 125,978 0.01

7,200 Kasai Kogyo Co. Ltd. 35,215 0.00

1,900 Kato Sangyo Co. Ltd. 59,928 0.00

274,200 KDDI Corp. 8,102,432 0.42

19,500 Keihin Corp. 456,093 0.02

7,100 Kissei Pharmaceutical Co. Ltd. 182,901 0.01

14,900 Kitz Corp. 90,127 0.00

3,100 Komori Corp. 21,163 0.00

530,835 Konica Minolta Inc. 2,158,645 0.11

1,100 KRS Corp. 16,273 0.00

42,800 K's Holdings Corp. 405,580 0.02

8,700 Kumagai Gumi Co. Ltd. 201,553 0.01

5,400 Kureha Corp. 220,342 0.01

10,800 Kyoei Steel Ltd. 124,752 0.01

8,700 KYORIN Holdings Inc. 177,135 0.01

117,275 LINE Corp. 5,659,791 0.30

31,600 LIXIL VIVA Corp. 537,424 0.03

26,100 Makino Milling Machine Co. Ltd. 689,762 0.04

4,200 Marubun Corp. 18,519 0.00

1,900 Maruzen Showa Unyu Co. Ltd. 42,046 0.00

11,200 Marvelous Inc. 55,401 0.00

1,800 Matsuda Sangyo Co. Ltd. 21,142 0.00

19,700 MCJ Co. Ltd. 109,125 0.01

22,200 Medipal Holdings Corp. 414,984 0.02

16,100 Meidensha Corp. 241,899 0.01

4,700 MEIJI Holdings Co. Ltd. 334,362 0.02

2,800 METAWATER Co. Ltd. 100,245 0.01

423,038 Mitsubishi Chemical Holdings Corp. 2,518,909 0.13

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


55

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



3,100 Mitsubishi Electric Corp. 38,335 0.00

1,100 Mitsubishi Gas Chemical Co. Inc. 11,983 0.00

4,000 Mitsuboshi Belting Ltd. 45,241 0.00

4,500 Mitsui Sugar Co. Ltd. 86,578 0.00

3,300 Mochida Pharmaceutical Co. Ltd. 127,470 0.01

4,700 MTI Ltd. 23,771 0.00

30,200 NEC Corp. 1,103,599 0.06

19,700 Nichias Corp. 369,346 0.02

6,500 Nichiha Corp. 123,311 0.01

89,500 Nikon Corp. 827,391 0.04

11,500 Nippo Corp. 253,532 0.01

13,100 Nippon Flour Mills Co. Ltd. 204,712 0.01

31,300 Nippon Kayaku Co. Ltd. 288,486 0.01

225,500 Nippon Light Metal Holdings Co. Ltd. 353,013 0.02

8,400 Nippon Soda Co. Ltd. 209,854 0.01

471,140 Nippon Telegraph & Telephone Corp. 11,240,064 0.58

4,800 Nisshin Oillio Group Ltd. 162,290 0.01

1,400 Nissin Corp. 20,736 0.00

26,100 Nissin Electric Co. Ltd. 223,877 0.01

7,600 Nojima Corp. 125,523 0.01

46,300 Nomura Real Estate Holdings Inc. 752,689 0.04

800 Noritake Co. Ltd. 25,492 0.00

4,400 NS Solutions Corp. 107,274 0.01

293,500 Obayashi Corp. 2,517,540 0.13

500 Okinawa Cellular Telephone Co. 16,650 0.00

4,200 Organo Corp. 213,200 0.01

2,200 Osaka Soda Co. Ltd. 52,455 0.00

3,100 Paramount Bed Holdings Co. Ltd. 128,503 0.01

13,100 Prima Meat Packers Ltd. 297,664 0.02

7,900 Proto Corp. 62,714 0.00

7,900 Raiznext Corp. 89,644 0.00

1,800 Rock Field Co. Ltd. 24,460 0.00

3,000 Sac's Bar Holdings Inc. 17,035 0.00

8,300 San-Ai Oil Co. Ltd. 86,802 0.00

11,400 Sanki Engineering Co. Ltd. 127,881 0.01

3,400 Sanyo Chemical Industries Ltd. 124,561 0.01

18,600 Seiko Holdings Corp. 300,481 0.02

27,900 Seino Holdings Co. Ltd. 303,151 0.02

56,300 Sekisui Chemical Co. Ltd. 747,329 0.04

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


56

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



13,200 Sekisui House Ltd. 218,196 0.01

2,300 Sekisui Jushi Corp. 42,397 0.00

216,200 Shimizu Corp. 1,692,270 0.09

1,700 Shinsho Corp. 29,684 0.00

5,500 Shionogi & Co. Ltd. 270,886 0.01

6,000 Shizuoka Gas Co. Ltd. 48,798 0.00

58,100 Showa Corp. 1,211,998 0.06

700 Sinanen Holdings Co. Ltd. 16,976 0.00

5,700 Sinko Industries Ltd. 73,708 0.00

6,800 Sintokogio Ltd. 47,431 0.00

9,200 Softbank Corp. 117,136 0.01

544,875 Sojitz Corp. 1,281,999 0.07

10,300 Sony Corp. 612,628 0.03

3,600 Starzen Co. Ltd. 148,062 0.01

84,600 SUMCO Corp. 1,091,638 0.06

1,501,600 Sumitomo Chemical Co. Ltd. 4,464,949 0.24

41,200 Sumitomo Dainippon Pharma Co. Ltd. 535,442 0.03

4,400 Sumitomo Seika Chemicals Co. Ltd. 108,334 0.01

31,400 Takara Leben Co. Ltd. 101,511 0.01

7,300 Takasago Thermal Engineering Co. Ltd. 112,318 0.01

7,300 Tamron Co. Ltd. 122,596 0.01

72,100 Teijin Ltd. 1,222,204 0.06

33,300 T-Gaia Corp. 631,730 0.03

1,100 TKC Corp. 49,470 0.00

1,600 Token Corp. 118,420 0.01

22,200 Tokyo Electron Ltd. 4,185,827 0.22

4,600 Tokyo Seimitsu Co. Ltd. 131,240 0.01

36,900 Tokyu Construction Co. Ltd. 194,489 0.01

3,500 Toli Corp. 8,429 0.00

14,500 Toppan Forms Co. Ltd. 129,346 0.01

53,800 Toppan Printing Co. Ltd. 825,277 0.04

4,200 Torii Pharmaceutical Co. Ltd. 105,005 0.01

18,900 Tosei Corp. 162,993 0.01

2,400 Toshiba TEC Corp. 75,587 0.00

52,800 Tosoh Corp. 601,584 0.03

14,200 Toyo Construction Co. Ltd. 57,613 0.00

5,700 Toyo Ink SC Holdings Co. Ltd. 107,976 0.01

17,200 Toyo Suisan Kaisha Ltd. 831,680 0.04

2,700 TPR Co. Ltd. 28,812 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


57

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



4,800 Trend Micro Inc. 237,432 0.01

37,600 TS Tech Co. Ltd. 890,934 0.05

2,400 Tsubakimoto Chain Co. 54,689 0.00

34,400 Ushio Inc. 329,167 0.02

10,800 Wacoal Holdings Corp. 234,798 0.01

12,300 YAMABIKO Corp. 92,516 0.00

32,400 Yamaha Motor Co. Ltd. 392,263 0.02

1,800 Yamaya Corp. 33,564 0.00

2,100 Yamazaki Baking Co. Ltd. 43,904 0.00

11,000 Yamazen Corp. 91,807 0.00

10,300 Yellow Hat Ltd. 143,401 0.01

3,400 Yuasa Trading Co. Ltd. 90,012 0.00

119,556,461 6.11

Malaysia (30 September 2019: 0.05%)

15,600 Carlsberg Brewery Malaysia Bhd 90,278 0.00

1,239,800 DRB-Hicom Bhd 378,828 0.02

42,100 Hartalega Holdings Bhd 67,048 0.00

53,000 MISC Bhd 91,278 0.00

71,300 Padini Holdings Bhd 33,339 0.00

1,706,252 Supermax Corp. Bhd 667,492 0.04

226,740 Ta Ann Holdings Bhd 108,646 0.01

88,200 Telekom Malaysia Bhd 76,563 0.00

69,000 Top Glove Corp. Bhd 103,021 0.01

1,616,493 0.08


302,900 America Movil SAB de CV 182,056 0.01

1,000 America Movil SAB de CV - Depositary Receipts 11,780 0.00

34,900 Banco del Bajio SA, 144A 30,468 0.00

197,085 Banco Santander Mexico SA Institucion de Banca

Multiple Grupo Financiero Santand

129,294 0.01

27,500 Concentradora Fibra Danhos SA de CV REIT 22,742 0.00

30,000 Corp. Inmobiliaria Vesta SAB de CV 35,091 0.00

125,000 Credito Real SAB de CV SOFOM ER 89,037 0.00

12,200 El Puerto de Liverpool SAB de CV 26,580 0.00

1,796,300 Fibra Uno Administracion SA de CV REIT 1,425,753 0.08

300 Fomento Economico Mexicano SAB de CV - Depositary Receipts 18,153 0.00

374,300 Gentera SAB de CV 146,310 0.01

44,700 Grupo Aeroportuario del Centro Norte SAB de CV 152,968 0.01

1,200 Grupo Aeroportuario del Centro Norte SAB de CV - Depositary Receipts 32,328 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


58

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Mexico (30 September 2019: 0.55%) (continued)

3,800 Grupo Aeroportuario del Pacifico SAB de CV 20,776 0.00

1,000 Grupo Aeroportuario del Pacifico SAB de CV - Depositary Receipts 53,940 0.00

500 Grupo Aeroportuario del Sureste SAB de CV - Depositary Receipts 47,070 0.00

415,500 Grupo Financiero Banorte SAB de CV 1,151,252 0.06

57,400 Grupo Financiero Inbursa SAB de CV 41,596 0.00

270,300 Grupo Herdez SAB de CV 338,520 0.02

54,300 Kimberly-Clark de Mexico SAB de CV 83,466 0.00

33,500 Qualitas Controladora SAB de CV 86,594 0.00

10,900 Regional SAB de CV 28,993 0.00

33,700 Unifin Financiera SAB de CV 27,093 0.00

3,823,700 Wal-Mart de Mexico SAB de CV 9,109,694 0.48

13,291,554 0.68

Netherlands (30 September 2019: 1.29%)

2,186 Aalberts NV 51,905 0.00

1,445 Adyen NV, 144A 1,221,807 0.06

126,841 ASR Nederland NV 3,195,489 0.16

41,224 Heineken Holding NV 3,159,529 0.16

256 Hunter Douglas NV 11,517 0.00

145,143 ING Groep NV 761,493 0.04

261,909 Koninklijke Ahold Delhaize NV 6,116,878 0.32

43,901 Koninklijke Philips NV 1,778,210 0.09

1,705 Koninklijke Vopak NV 88,714 0.00

77,303 Randstad NV 2,728,683 0.14

216,766 Signify NV, 144A 4,207,506 0.22

6,585 TomTom NV 51,445 0.00

136,386 Wolters Kluwer NV 9,604,511 0.50

32,977,687 1.69

New Zealand (30 September 2019: 0.03%)

492,779 Air New Zealand Ltd. 248,322 0.01

336,317 Ryman Healthcare Ltd. 2,053,671 0.11

54,340 SKY Network Television Ltd. 9,020 0.00

2,311,013 0.12

Norway (30 September 2019: 0.36%)

107,187 Austevoll Seafood ASA 754,320 0.04

13,450 Avance Gas Holding Ltd., 144A 27,282 0.00

125,762 BW LPG Ltd., 144A 378,448 0.02

203,190 DNB ASA 2,259,064 0.12

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


59

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Norway (30 September 2019: 0.36%) (continued)

218,886 Elkem ASA, 144A 275,145 0.01

17,064 Entra ASA, 144A 201,499 0.01

48,666 Europris ASA, 144A 140,886 0.01

62,477 Gjensidige Forsikring ASA 1,059,331 0.05

124,402 Kongsberg Automotive ASA 20,779 0.00

61,854 Kvaerner ASA 37,168 0.00

277,273 Orkla ASA 2,350,523 0.12

17,233 Salmar ASA 570,112 0.03

12,783 Selvaag Bolig ASA 56,362 0.00

35,764 SpareBank 1 Nord Norge 177,441 0.01

1,603 SpareBank 1 Oestlandet 11,449 0.00

17,524 SpareBank 1 SMN 112,810 0.01

109,235 SpareBank 1 SR-Bank ASA 615,819 0.03

261 Stolt-Nielsen Ltd. 2,093 0.00

12,283 Veidekke ASA 101,939 0.01

9,152,470 0.47

Pakistan (30 September 2019: 0.04%)

39,400 Engro Corp. Ltd. 63,571 0.00

950,000 Engro Fertilizers Ltd. 328,925 0.02

31,500 Fauji Fertilizer Co. Ltd. 17,646 0.00

36,800 Nishat Mills Ltd. 13,114 0.00

929,000 Oil & Gas Development Co. Ltd. 431,166 0.02

124,920 Pakistan Oilfields Ltd. 197,044 0.01

331,100 Pakistan Petroleum Ltd. 143,902 0.01

70,340 Pakistan State Oil Co. Ltd. 51,241 0.00

84,200 Searle Co. Ltd. 79,511 0.00

181,000 SUI Northern Gas Pipeline 40,570 0.00

162,100 United Bank Ltd. 98,392 0.01

1,465,082 0.07

Peru (30 September 2019: 0.01%)

14,900 Southern Copper Corp. 419,584 0.02

419,584 0.02


13,015 Globe Telecom Inc. 493,884 0.04

56,420 Manila Electric Co. 249,597 0.01

5,522,900 Megaworld Corp 271,476 0.01

4,156,000 Metro Pacific Investments Corp. 197,749 0.01

388,875 Semirara Mining & Power Corp. 84,106 0.00

1,296,812 0.07

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


60

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



39,267 Alior Bank SA 121,767 0.01

81,817 Asseco Poland SA 1,142,503 0.06

56,340 Bank Millennium SA 43,705 0.00

147,514 Bank Pekao SA 1,993,845 0.10

11,143 Budimex SA 423,345 0.02

1,770 CD Projekt SA 123,199 0.01

68,884 Cyfrowy Polsat SA 395,044 0.02

23,371 Enea SA 26,637 0.00

105,133 Energa SA 174,652 0.01

28,801 Grupa Lotos SA 359,605 0.02

6,997 Lubelski Wegiel Bogdanka SA 30,154 0.00

559 mBank SA 29,851 0.00

139,822 PLAY Communications SA, 144A 985,672 0.05

274,346 Polski Koncern Naftowy ORLEN SA 3,679,083 0.19

1,682,751 Polskie Gornictwo Naftowe i Gazownictwo SA 1,393,683 0.07

301,451 Powszechna Kasa Oszczednosci Bank Polski SA 1,641,705 0.08

786,510 Powszechny Zaklad Ubezpieczen SA 5,932,673 0.30

4,478 Santander Bank Polska SA 187,055 0.01

3,290 Stalprodukt SA 98,062 0.01

16,251 Warsaw Stock Exchange 134,985 0.01

18,917,225 0.97

Portugal (30 September 2019: 0.40%)

145,365 Altri SGPS SA 577,716 0.03

84,220 CTT-Correios de Portugal SA 211,065 0.01

1,110,385 EDP - Energias de Portugal SA 4,456,799 0.23

13,102 EDP Renovaveis SA 157,850 0.01

527,937 Galp Energia SGPS SA 6,021,606 0.30

144,149 Jeronimo Martins SGPS SA 2,600,274 0.13

70,330 Mota-Engil SGPS SA 84,887 0.00

134,859 Navigator Co. SA 319,328 0.02

242,981 NOS SGPS SA 813,697 0.04

123,560 REN - Redes Energeticas Nacionais SGPS SA 314,537 0.02

12,028 Semapa-Sociedade de Investimento e Gestao 102,282 0.01

823,896 Sonae SGPS SA 532,920 0.03

16,192,961 0.83

Qatar (30 September 2019: 0.22%)

801,453 Barwa Real Estate Co. 660,357 0.03

190,400 Doha Bank QPSC 94,128 0.00

43,485 Masraf Al Rayan QSC 43,712 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


61

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Qatar (30 September 2019: 0.22%) (continued)

28,315 Qatar Electricity & Water Co. QSC 105,997 0.01

4,988 Qatar Fuel QSC 22,426 0.00

260,681 Qatar Gas Transport Co. Ltd. 150,280 0.01

357,349 Qatar National Bank QPSC 1,648,850 0.09

143,680 Qatar National Cement Co. QSC 134,959 0.01

2,860,709 0.15


3,239,840 Alrosa PJSC 2,678,244 0.14

28,889 Bashneft PJSC - Preferred Shares 491,751 0.03

221,000 Credit Bank of Moscow PJSC 15,543 0.00

140,330 Detsky Mir PJSC, 144A 163,474 0.01

21,705,000 Enel Russia PJSC 241,819 0.01

111,410,000 Federal Grid Co Unified Energy System PJSC 229,540 0.01

309,420 Gazprom Neft PJSC 1,207,840 0.06

1,317 Gazprom Neft PJSC - Depositary Receipts 25,761 0.00

187,737 Gazprom PJSC - Depositary Receipts 870,912 0.04

88,694 Globaltrans Investment Plc - Depositary Receipts 470,078 0.02

87,599,999 Inter RAO UES PJSC 5,518,883 0.28

13,374 LSR Group PJSC 100,476 0.01

5,517 LSR Group PJSC - Depositary Receipts 7,801 0.00

187,740 LUKOIL PJSC - Depositary Receipts 11,264,400 0.59

69,180 M.Video PJSC 345,308 0.02

3,377,400 Magnitogorsk Iron & Steel Works PJSC 1,664,196 0.09

34,543 Magnitogorsk Iron & Steel Works PJSC - Depositary Receipts 216,585 0.01

265,747 MMC Norilsk Nickel PJSC - Depositary Receipts 6,622,415 0.34

53,700 Mobile TeleSystems PJSC - Depositary Receipts 408,120 0.02

1,287,320 Moscow Exchange MICEX-RTS PJSC 1,602,276 0.08

49,820 Nizhnekamskneftekhim PJSC - Preferred Shares 51,775 0.00

17,541 Novatek PJSC - Depositary Receipts 2,022,477 0.10

141,480 Novolipetsk Steel PJSC 224,532 0.01

289,407 Novolipetsk Steel PJSC - Depositary Receipts 4,601,571 0.24

32,855 PhosAgro PJSC - Depositary Receipts 339,064 0.02

1,054 Polymetal International Plc 18,029 0.00

270 Polyus PJSC - Depositary Receipts 18,414 0.00

59,060 Raspadskaya OJSC 73,850 0.00

65,619,000 Rosseti PJSC 990,327 0.05

130,330 Rostelecom PJSC 123,435 0.01

19,860 Safmar Financial Investment 119,363 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


62

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Russia (30 September 2019: 3.85%) (continued)

1,273,272 Sberbank of Russia PJSC - Depositary Receipts 12,134,281 0.63

617,880 Sberbank of Russia PJSC - Preferred Shares 1,398,368 0.07

96,748 Severstal PJSC - Depositary Receipts 1,070,033 0.05

554,631 Surgutneftegas PJSC - Depositary Receipts 2,371,602 0.12

5,300 Surgutneftegas PJSC - Depositary Receipts - Preferred Shares 24,804 0.00

1,784,100 Surgutneftegas PJSC 774,070 0.04

14,626,600 Surgutneftegas PJSC - Preferred Shares 7,038,702 0.36

133,224 Tatneft PJSC 942,225 0.05

131,677 Tatneft PJSC - Depositary Receipts 5,563,353 0.28

45 Transneft PJSC - Preferred Shares 85,094 0.00

7,841,000 Unipro PJSC 258,310 0.01

180,110 VTB Bank PJSC - Depositary Receipts 148,591 0.01

1,600 Yandex NV 54,480 0.00

74,592,172 3.82

Singapore (30 September 2019: 0.45%)

97,400 Accordia Golf Trust 33,177 0.00

106,100 AEM Holdings Ltd. 124,442 0.01

124,300 Ascendas Real Estate Investment Trust REIT 247,055 0.01

224,800 Asian Pay Television Trust 18,946 0.00

48,000 Best World International Ltd. 45,848 0.00

72,800 Cache Logistics Trust REIT 23,775 0.00

493,400 Capitaland Commercial Trust REIT 530,184 0.03

324,800 CapitaLand Ltd. 650,125 0.03

685,200 Capitaland Mall Trust REIT 861,403 0.04

29,400 China Aviation Oil Singapore Corp. Ltd. 17,654 0.00

1,013,300 ComfortDelGro Corp. Ltd. 1,081,726 0.06

506,500 DBS Group Holdings Ltd. 6,605,826 0.35

170,400 First Real Estate Investment Trust REIT 81,379 0.00

260,200 Frasers Logistics & Industrial REIT 161,728 0.01

204,600 Japfa Ltd. 58,915 0.00

103,100 Keppel DC REIT 165,817 0.01

453,300 Mapletree Commercial Trust REIT 582,603 0.03

510,100 Mapletree Industrial Trust REIT 870,557 0.04

405,400 Mapletree Logistics REIT 449,859 0.02

1,508,700 Mapletree North Asia Commercial Trust REIT 852,972 0.04

12,900 QAF Ltd. 6,704 0.00

179,200 Sasseur Real Estate Investment Trust REIT 74,255 0.00

164,000 Silverlake Axis Ltd. 28,219 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


63

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Singapore (30 September 2019: 0.45%) (continued)

317,000 Singapore Exchange Ltd. 2,046,023 0.11

211,100 Singapore Technologies Engineering Ltd. 462,571 0.02

173,100 SPH REIT 93,610 0.00

116,700 StarHub Ltd. 109,008 0.01

69,800 United Overseas Bank Ltd. 953,478 0.05

161,500 Venture Corp. Ltd. 1,539,175 0.08

149,200 Wilmar International Ltd. 338,460 0.02

11,500 Wing Tai Holdings Ltd. 12,519 0.00

8,848,700 Yangzijiang Shipbuilding Holdings Ltd. 5,158,142 0.27

455,300 Yanlord Land Group Ltd. 314,970 0.02

24,601,125 1.26


1,014,699 Absa Group Ltd. 4,261,054 0.23

3,593 Anglo American Platinum Ltd. 151,725 0.01

69,811 Astral Foods Ltd. 750,371 0.04

127,556 Barloworld Ltd. 462,444 0.02

1,211,880 Blue Label Telecoms Ltd. 116,710 0.01

3,577 Clicks Group Ltd. 51,612 0.00

53,645 Discovery Ltd. 234,164 0.01

340,302 Emira Property Fund Ltd. REIT 120,039 0.01

11,691 FirstRand Ltd. 26,360 0.00

25,383 Foschini Group Ltd. 96,174 0.00

1,277,014 Growthpoint Properties Ltd. REIT 920,222 0.05

34,131 Imperial Holdings Ltd. 50,566 0.00

27,891 Investec Ltd. 53,080 0.00

188,601 Kumba Iron Ore Ltd. 2,957,424 0.16

66,478 Lewis Group Ltd. 66,329 0.00



35,547 Mpact Ltd. 15,923 0.00

19,398 Mr Price Group Ltd. 123,904 0.01

7,172 MTN Group Ltd. 19,432 0.00


16,497 Nedbank Group Ltd. 76,352 0.00

59,112 Netcare Ltd. 49,646 0.00

1,959,305 Old Mutual Ltd. 1,299,987 0.07

39,294 Rand Merchant Investment Holdings Ltd. 48,490 0.00

21,084 Raubex Group Ltd. 20,659 0.00

144,141 Redefine Properties Ltd. REIT 19,127 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


64

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


South Africa (30 September 2019: 1.55%) (continued)

265,469 Reunert Ltd. 644,201 0.03

11,450 RMB Holdings Ltd. 31,696 0.00

529,331 SA Corporate Real Estate Ltd. REIT 33,491 0.00

469,128 Sanlam Ltd. 1,341,979 0.08

30,389 Santam Ltd. 456,022 0.02

26,635 Sappi Ltd. 31,318 0.00

836,573 Telkom SA SOC Ltd. 961,637 0.05

7,023 Tiger Brands Ltd. 72,747 0.00

529,340 Truworths International Ltd. 740,365 0.04

84,601 Tsogo Sun Gaming Ltd. 14,684 0.00

9,776 Vodacom Group Ltd. 64,048 0.00


18,380,087 0.94


25,669 Aekyung Petrochemical Co. Ltd. 121,244 0.01

13,323 Aju Capital Co. Ltd. 130,237 0.01

394 Celltrion Pharm Inc. 25,860 0.00

13,808 DB HiTek Co. Ltd. 245,569 0.01

467 DB Insurance Co. Ltd. 13,331 0.00

22,818 Dongwha Pharm Co. Ltd. 122,773 0.01

175,727 Dongwon Development Co. Ltd. 472,031 0.02

4,716 GS Home Shopping Inc. 410,643 0.02

2,425 Halla Holdings Corp. 53,984 0.00

347,031 Hana Financial Group Inc. 6,585,137 0.35

12,896 Huons Co. Ltd. 483,064 0.02

11,542 Hyundai Home Shopping Network Corp. 547,068 0.03

4,779 Hyundai Marine & Fire Insurance Co. Ltd. 88,918 0.00

7,118 Hyundai Mobis Co. Ltd. 991,088 0.05

46,101 Hyundai Motor Co. 3,359,066 0.17

5,401 Hyundai Motor Co. - Preferred Shares 228,933 0.01

4,802 Hyundai Motor Co. 2nd - Preferred Shares 224,450 0.01

12,581 Il Dong Pharmaceutical Co. Ltd. 130,218 0.01

395,941 Industrial Bank of Korea 2,439,362 0.12

118,690 JB Financial Group Co. Ltd. 436,307 0.02

49,162 KB Financial Group Inc. 1,395,282 0.07

3,403 KEPCO Plant Service & Engineering Co. Ltd. 81,207 0.00

365,749 Kia Motors Corp. 7,811,619 0.40

49,238 Korea Asset In Trust Co. Ltd. REIT 79,478 0.00

12,459 Korea Autoglass Corp. 127,932 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


65

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


South Korea (30 September 2019: 2.95%) (continued)

40,537 Korean Reinsurance Co. 243,085 0.01

29,185 KT&G Corp. 1,790,873 0.09

9,990 Kyungdong Pharm Co. Ltd. 60,809 0.00

37,112 LF Corp. 327,723 0.02

10,939 LG Electronics Inc. 433,121 0.02

27,361 LG Electronics Inc. - Preferred Shares 401,194 0.02

3,140 Meritz Fire & Marine Insurance Co. Ltd. 31,468 0.00

8,350 Mirae Asset Life Insurance Co. Ltd. 21,263 0.00

197 NAVER Corp. 27,511 0.00

3,210 NS Shopping Co. Ltd. 16,164 0.00

6,115 S&T Motiv Co. Ltd. 138,640 0.01

24,217 Samjin Pharmaceutical Co. Ltd. 444,613 0.02


1,777 Samsung Electronics Co. Ltd. - Depositary Receipts 1,764,561 0.09

1,621 Samsung Electronics Co. Ltd. - Depositary Receipts - Preferred Shares 1,347,051 0.07

344,720 Samsung Electronics Co. Ltd. - Preferred Shares 11,355,216 0.59

2,242 Sebang Global Battery Co. Ltd. 47,884 0.00

233,705 Shinhan Financial Group Co. Ltd. 5,490,584 0.29

35,722 SK Hynix Inc. 2,444,361 0.12

159,000 SK Telecom Co. Ltd. - Depositary Receipts 2,586,930 0.13

3,970 SL Corp. 43,048 0.00

49 Taekwang Industrial Co. Ltd. 25,318 0.00

15,634 Tongyang Life Insurance Co. Ltd. 30,180 0.00

111,827 Woori Financial Group Inc. 702,737 0.04

63,164,589 3.23

Spain (30 September 2019: 1.34%)

41,889 Acerinox SA 285,520 0.01

36,662 ACS Actividades de Construccion y Servicios SA 716,651 0.04

63,007 Aena SME SA, 144A 6,880,261 0.35

48,405 Almirall SA 559,805 0.03

63,469 Cia de Distribucion Integral Logista Holdings SA 1,016,068 0.05

4,397 Ebro Foods SA 89,786 0.00

9,158 eDreams ODIGEO SA 18,590 0.00

56,399 Enagas SA 1,119,788 0.06

333,869 Endesa SA 7,132,599 0.37

46,441 Faes Farma SA 180,644 0.01

19,671 Grifols SA 669,104 0.03

527,621 Iberdrola SA 5,201,128 0.27

73,655 Industria de Diseno Textil SA 1,912,153 0.10

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


66

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Spain (30 September 2019: 1.34%) (continued)

548,375 Mapfre SA 936,553 0.05

173,877 Mediaset Espana Comunicacion SA 644,096 0.03

90,400 Red Electrica Corp. SA 1,623,268 0.08

99 Repsol SA 905 0.00

7,616 Viscofan SA 416,496 0.02

29,403,415 1.50

Sweden (30 September 2019: 0.75%)

1,431 AcadeMedia AB, 144A 7,056 0.00

8,651 Atlas Copco AB 255,836 0.01

31,200 Axfood AB 636,741 0.03

72,130 Betsson AB 290,771 0.01

29,433 Bilia AB 182,105 0.01

87,033 Boliden AB 1,592,608 0.08

1,488 Bufab AB 11,459 0.00

56,696 Cloetta AB 134,591 0.01

1,102 Epiroc AB 10,947 0.00

6,732 Humana AB 26,499 0.00

26,655 Inwido AB 153,887 0.01

31,414 JM AB 547,415 0.03

143,502 Klovern AB 214,072 0.01

1,182 KNOW IT AB 16,225 0.00

21,814 Lindab International AB 169,533 0.01

12,537 Loomis AB 255,607 0.01

48,398 Nobia AB 172,730 0.01

17,204 Nobina AB, 144A 93,941 0.00

3,923 Nordic Waterproofing Holding AS, 144A 29,736 0.00

8,427 Peab AB 60,942 0.00

117,586 Resurs Holding AB, 144A 404,941 0.02

104,784 Skanska AB 1,601,738 0.08

66,475 Swedish Match AB 3,810,955 0.20

24,623 Volvo AB Class A 296,240 0.02

710,898 Volvo AB Class B 8,574,373 0.45

19,550,948 1.00


19,184 ABB Ltd. 337,165 0.02

4,524 ALSO Holding AG 716,321 0.04

101 Bell Food Group AG 26,201 0.00

7,337 BKW AG 602,096 0.03

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


67

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Switzerland (30 September 2019: 0.81%) (continued)

3,155 Bobst Group SA 143,215 0.01

415 Feintool International Holding AG 16,106 0.00

9,305 Galenica AG, 144A 634,727 0.03

140 Gurit Holding AG 166,689 0.01

4,655 Huber & Suhner AG 291,554 0.01

104 Inficon Holding AG 67,717 0.00

20 Interroll Holding AG 33,073 0.00

1,975 Kardex AG 275,567 0.01

790 Liechtensteinische Landesbank AG 44,091 0.00

13,316 Mobilezone Holding AG 115,331 0.01

2,116 Nestle SA 217,494 0.01

27,368 Novartis AG 2,258,627 0.12

2,469 Orior AG 200,572 0.01

43,042 Roche Holding AG 13,970,688 0.72

8,146 Roche Holding AG Genusschein 2,611,637 0.14

9 Schweizerische Nationalbank 41,440 0.00

35 Vetropack Holding AG 92,967 0.00

5,011 Wizz Air Holdings Plc, 144A 143,343 0.01

1,137 Zehnder Group AG 43,421 0.00

23,050,042 1.18


114,000 AcBel Polytech Inc. 67,665 0.00

79,000 Advantech Co. Ltd. 651,770 0.03

16,000 Amazing Microelectronic Corp. 40,157 0.00

14,000 Arcadyan Technology Corp. 31,619 0.00

1,008,101 Asustek Computer Inc. 6,817,012 0.35

55,000 Aten International Co. Ltd. 142,404 0.01

902,000 Catcher Technology Co. Ltd. 5,831,093 0.30

309,000 Cathay Financial Holding Co. Ltd. 360,686 0.02

571,185 Chailease Holding Co. Ltd. 1,728,202 0.09

837,480 Chicony Electronics Co. Ltd. 2,099,135 0.11

2,577,000 China Development Financial Holding Corp. 632,288 0.03

69,000 China Life Insurance Co. Ltd. 38,446 0.00

278,200 China Motor Corp. 229,062 0.01

323,000 Chin-Poon Industrial Co. Ltd. 222,158 0.01

121,000 Chong Hong Construction Co. Ltd. 300,484 0.02

1,521,000 Coretronic Corp. 1,413,293 0.07

5,293,000 CTBC Financial Holding Co. Ltd. 3,132,937 0.16

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


68

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



68,590 CTBC Financial Holding Co. Ltd. - Preferred Shares 145,157 0.01

22,000 Cyberlink Corp. 73,475 0.00

16,000 Depo Auto Parts Ind Co. Ltd. 22,724 0.00

4,000 Eclat Textile Co. Ltd. 31,811 0.00

58,000 Elan Microelectronics Corp. 160,911 0.01

174,000 Elite Material Co. Ltd. 609,890 0.03

58,000 Far Eastern Department Stores Ltd. 41,522 0.00


341,200 Feng Tay Enterprise Co. Ltd. 1,466,726 0.07

503,000 FLEXium Interconnect Inc. 1,586,767 0.08

67,000 Formosa Chemicals & Fibre Corp. 148,438 0.01

257,000 Formosa Plastics Corp. 638,219 0.03

503,000 Formosa Taffeta Co. Ltd. 512,289 0.03

397,000 Foxconn Technology Co. Ltd. 649,819 0.03

1,077,000 Fubon Financial Holding Co. Ltd. 1,337,280 0.07

851,000 Gigabyte Technology Co. Ltd. 1,435,147 0.07

26,000 Global Mixed Mode Technology Inc. 87,264 0.00

2,564,000 Grand Pacific Petrochemical 1,093,716 0.06

591,553 Great Wall Enterprise Co. Ltd. 722,778 0.04

135,000 Greatek Electronics Inc. 187,491 0.01

436,000 Highwealth Construction Corp. 583,900 0.03

30,000 Holiday Entertainment Co. Ltd. 54,362 0.00

542,000 Holtek Semiconductor Inc. 1,068,175 0.05

6,000 Holy Stone Enterprise Co. Ltd. 17,698 0.00

5,282,600 Hon Hai Precision Industry Co. Ltd. 12,210,165 0.63

112,000 Huaku Development Co. Ltd. 305,911 0.02

78,300 IEI Integration Corp. 76,639 0.00

12,000 Innodisk Corp. 61,108 0.00

12,000 International Games System Co. Ltd. 219,037 0.01

457,081 Inventec Corp. 352,165 0.02

66,000 Kinik Co. 111,740 0.01

42,000 Kung Long Batteries Industrial Co. Ltd. 184,713 0.01

21,000 Lion Travel Service Co. Ltd. 38,609 0.00

608,000 Lite-On Semiconductor Corp. 801,177 0.04

656,000 Lite-On Technology Corp. 895,881 0.05

3,000 Lotes Co. Ltd. 27,280 0.00

60,000 MediaTek Inc. 649,769 0.03

1,776,352 Mercuries Life Insurance Co. Ltd. 485,183 0.02

175,000 Merry Electronics Co. Ltd. 720,450 0.04

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


69

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



213,000 Micro-Star International Co. Ltd. 624,741 0.03

1,176,814 Mitac Holdings Corp. 1,056,512 0.05

10,000 Nan Ya Plastics Corp. 18,088 0.00

139,000 Nantex Industry Co. Ltd. 123,412 0.01

842,000 Nanya Technology Corp. 1,495,144 0.08

11,000 Nichidenbo Corp. 15,204 0.00

1,081,285 Novatek Microelectronics Corp. 6,149,861 0.31

69,342 Nuvoton Technology Corp. 71,310 0.00

51,000 On-Bright Electronics Inc. 377,759 0.02

86,000 Pegatron Corp. 164,939 0.01

370,000 Phison Electronics Corp. 3,034,241 0.16

4,413,251 Pou Chen Corp. 3,743,197 0.19

1,233,000 Qisda Corp. 603,422 0.03

22,000 Quanta Computer Inc. 43,794 0.00

201,000 Quanta Storage Inc. 179,455 0.01

3,020,486 Radiant Opto-Electronics Corp. 7,890,429 0.41

307,880 Ruentex Development Co. Ltd. 388,903 0.02

5,000 Sercomm Corp. 10,383 0.00

28,000 Shin Zu Shing Co. Ltd. 107,865 0.01

111,000 Shinkong Insurance Co. Ltd. 123,511 0.01

12,000 Sigurd Microelectronics Corp. 12,281 0.00

202,200 Simplo Technology Co. Ltd. 1,771,837 0.09

72,000 Sinbon Electronics Co. Ltd. 298,795 0.02

39,000 Sitronix Technology Corp. 152,175 0.01

144,000 Soft-World International Corp. 350,459 0.02

40,000 Standard Chemical & Pharmaceutical Co. Ltd. 45,236 0.00

4,000 Standard Foods Corp. 8,068 0.00

560,000 Sunplus Technology Co. Ltd. 159,437 0.01


19,000 Synnex Technology International Corp. 23,340 0.00

24,000 Taiflex Scientific Co. Ltd. 33,252 0.00


1,199,000 Taiwan Semiconductor Manufacturing Co. Ltd. 10,863,416 0.57

50,156 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 2,396,955 0.12

97,000 Taiwan Styrene Monomer 43,943 0.00

250,000 Taiwan Surface Mounting Technology Corp. 571,235 0.03

9,000 Taiwan Union Technology Corp. 36,308 0.00

9,000 Test Research Inc. 13,571 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


70

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



9,000 Thinking Electronic Industrial Co. Ltd. 21,844 0.00

188,988 TOPBI International Holdings Ltd. 364,334 0.02

344,066 Topco Scientific Co. Ltd. 1,030,782 0.05

87,000 Topkey Corp. 262,080 0.01



26,000 TXC Corp. 37,829 0.00

106,000 Uni-President Enterprises Corp. 229,936 0.01

204,400 United Integrated Services Co. Ltd. 1,118,602 0.06

46,000 Wah Lee Industrial Corp. 72,708 0.00

286,000 Walsin Lihwa Corp. 104,029 0.01

172,000 Walsin Technology Corp. 915,695 0.05

4,000 Wiwynn Corp. 92,853 0.00

74,000 Yageo Corp. 671,693 0.03

355,000 YC INOX Co. Ltd. 257,081 0.01

143,000 Youngtek Electronics Corp. 197,892 0.01

2,618,000 Yuanta Financial Holding Co. Ltd. 1,346,160 0.07

18,000 Yulon Nissan Motor Co. Ltd. 137,493 0.01

22,000 Zhen Ding Technology Holding Ltd. 67,655 0.00

106,234,946 5.43


1,298,500 AP Thailand PCL 150,356 0.01

535,600 AP Thailand PCL - Depositary Receipts 62,018 0.00

152,600 Bangkok Bank PCL - Depositary Receipts 467,321 0.03

70,600 Bangkok Life Assurance PCL - Depositary Receipts 25,600 0.00

211,100 Banpu Power PCL - Depositary Receipts 77,191 0.00

5,344,300 Beauty Community PCL - Depositary Receipts 208,447 0.01

79,100 Hana Microelectronics PCL - Depositary Receipts 55,437 0.00

498,100 Jasmine International PCL - Depositary Receipts 74,372 0.00

174,700 Kasikornbank PCL - Depositary Receipts 487,089 0.03

134,300 Krung Thai Bank PCL - Depositary Receipts 46,653 0.00

705,200 Land & Houses PCL - Depositary Receipts 143,973 0.01

461,200 Origin Property PCL - Depositary Receipts 49,749 0.00

108,300 Pruksa Holding PCL 30,526 0.00

606,900 Pruksa Holding PCL - Depositary Receipts 171,062 0.01

1,477,400 Quality Houses PCL - Depositary Receipts 83,735 0.00

158,400 Siam Commercial Bank PCL - Depositary Receipts 334,249 0.02

60,300 Somboon Advance Technology PCL - Depositary Receipts 14,516 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


71

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Thailand (30 September 2019: 0.15%) (continued)

83,000 SPCG PCL - Depositary Receipts 36,167 0.00

310,450 Supalai PCL 140,952 0.01

365,400 Supalai PCL - Depositary Receipts 165,901 0.01

962,800 Thai Beverage PCL 409,098 0.02

87,400 Thai Vegetable Oil PCL - Depositary Receipts 59,922 0.00

516,400 Thanachart Capital PCL 523,206 0.04

673,300 Thanachart Capital PCL - Depositary Receipts 682,173 0.04

118,600 Tipco Asphalt PCL - Depositary Receipts 62,160 0.00

18,100 Tisco Financial Group PCL - Depositary Receipts 38,470 0.00

177,900 TTW PCL - Depositary Receipts 68,845 0.00

342,200 Univentures PCL - Depositary Receipts 25,026 0.00

4,694,214 0.24


193,811 Akbank Turk AS 164,689 0.01

1,110,814 Enerjisa Enerji AS, 144A 1,142,797 0.06


1,978,359 KOC Holding AS 4,031,617 0.20

14,066 Koza Altin Isletmeleri AS 130,943 0.01


248,495 TAV Havalimanlari Holding AS 624,419 0.03

493,639 Tekfen Holding AS 951,286 0.05

27,212 Tofas Turk Otomobil Fabrikasi AS 67,924 0.00

1,709,550 Turkiye Garanti Bankasi AS 2,108,970 0.11

4,259,063 Turkiye Is Bankasi AS 3,050,382 0.15

284,791 Turkiye Sinai Kalkinma Bankasi AS 40,621 0.00

1,173,336 Turkiye Vakiflar Bankasi TAO 826,111 0.04

526,190 Yapi ve Kredi Bankasi AS 150,905 0.01

13,972,736 0.71


52,802 Abu Dhabi Islamic Bank PJSC 57,357 0.00

160,509 Al Waha Capital PJSC 35,614 0.00

41,524 Dubai Islamic Bank PJSC 40,697 0.00

58,878 Emaar Development PJSC 34,784 0.00

180,053 Emaar Malls PJSC 52,450 0.00

2,588,708 Emaar Properties PJSC 1,564,579 0.09

23,098 Emirates NBD Bank PJSC 45,465 0.00

1,347,390 RAK Properties PJSC 137,191 0.01

1,968,137 0.10

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


72

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



736,943 3i Group Plc 7,238,907 0.36

40,487 Aggreko Plc 244,684 0.01

56,224 Alliance Pharma Plc 45,315 0.00

12,176 Ashmore Group Plc 53,868 0.00

27,660 Ashtead Group Plc 605,514 0.03

17,675 Avast Plc, 144A 86,218 0.00

42,218 Aveva Group Plc 1,829,047 0.09

23,991 BAE Systems Plc 155,223 0.01

8,400 Bank of Georgia Group Plc 95,303 0.00

789,741 Barratt Developments Plc 4,318,446 0.22

77,252 Bellway Plc 2,065,203 0.11

38,498 Berkeley Group Holdings Plc 1,725,642 0.09

136,650 Blue Prism Group Plc 1,906,191 0.10

216,856 British American Tobacco Plc 7,418,693 0.37

88,700 British American Tobacco Plc - Depositary Receipts 3,032,653 0.16

7,128 Burberry Group Plc 117,064 0.01

124,800 Burford Capital Ltd. 649,932 0.03

554,432 Centamin Plc 835,961 0.04

31,071 CMC Markets Plc, 144A 69,348 0.00

63,858 Coca-Cola HBC AG 1,375,369 0.07

43,361 Computacenter Plc 768,846 0.04

2,843 Cranswick Plc 130,361 0.01

39,824 Daily Mail & General Trust Plc 336,770 0.02

8,285 Dart Group Plc 56,604 0.00

13,224 Derwent London Plc REIT 536,185 0.03

3,600 Diageo Plc - Depositary Receipts 457,632 0.02

2,690 Diploma Plc 53,834 0.00

52,358 Direct Line Insurance Group Plc 192,102 0.01

185,347 Dixons Carphone Plc 179,444 0.01

65,317 Dunelm Group Plc 572,193 0.03

170,765 Electrocomponents Plc 1,093,002 0.06

4,915 EMIS Group Plc 63,381 0.00

83,119 Empiric Student Property Plc REIT 68,125 0.00

7,288 Evraz Plc 20,929 0.00

8,008 Ferguson Plc 502,037 0.03

649,554 Ferrexpo Plc 950,792 0.05

59,336 Frasers Group Plc 134,346 0.01

2,998 Games Workshop Group Plc 160,962 0.01

17,093 Gem Diamonds Ltd. 5,977 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


73

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



7,900 GlaxoSmithKline Plc - Depositary Receipts 299,331 0.02

23,133 Go-Ahead Group Plc 237,071 0.01

19,284 Grafton Group Plc 126,968 0.01

60,773 Great Portland Estates Plc REIT 513,322 0.03

21,146 Greggs Plc 423,191 0.02

14,526 Halma Plc 346,001 0.02

195,499 IG Group Holdings Plc 1,677,955 0.09

39,104 Imperial Brands Plc 725,754 0.04

73,672 Inchcape Plc 395,727 0.02

115,464 Indivior Plc 65,214 0.00

34,544 Intermediate Capital Group Plc 383,996 0.02

1,298,175 International Consolidated Airlines Group SA 3,472,743 0.18

29,670 International Personal Finance Plc 28,033 0.00

366,939 J Sainsbury Plc 957,291 0.05

273,141 JD Sports Fashion Plc 1,550,144 0.08

127,071 John Laing Group Plc, 144A 535,080 0.03

34,365 Jupiter Fund Management Plc 85,222 0.00

228,367 Kingfisher Plc 407,473 0.02

1,023,797 Legal & General Group Plc 2,460,843 0.13

162,441 LondonMetric Property Plc REIT 354,296 0.02

47,220 Lookers Plc 9,368 0.00

18,340 McBride Plc 12,962 0.00

165,207 Meggitt Plc 594,675 0.03

79,027 Mitchells & Butlers Plc 178,145 0.01

21,730 Mondi Plc 372,098 0.02

72,586 Morgan Advanced Materials Plc 166,596 0.01

19,436 Morgan Sindall Group Plc 289,196 0.01

42,517 N Brown Group Plc 7,750 0.00

132,450 National Express Group Plc 337,988 0.02

39,309 Next Plc 1,984,742 0.10

17,287 Numis Corp. Plc 45,014 0.00

94,652 OneSavings Bank Plc 294,348 0.02

24,047 PageGroup Plc 108,594 0.01

45,006 Paragon Group of Cos. Plc 185,496 0.01

116,165 Pendragon Plc 9,074 0.00

78,094 Pennon Group Plc 1,051,119 0.05

285,745 Persimmon Plc 6,790,343 0.35

185,541 Pets at Home Group Plc 592,179 0.03

6,459 Phoenix Group Holdings Plc 50,183 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


74

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



55,067 Playtech Plc 115,872 0.01

139,501 Plus500 Ltd. 1,868,122 0.10

581,055 Qinetiq Group Plc 2,319,943 0.12

14,014 Redde Northgate Plc 24,154 0.00

93,003 Regional REIT Ltd., 144A 94,562 0.00

3,400 Royal Dutch Shell Plc - Depositary Receipts 111,044 0.01

11,595 RPS Group Plc 4,931 0.00

279,378 Sirius Real Estate Ltd. 228,287 0.01

22,200 Smith & Nephew Plc - Depositary Receipts 796,314 0.04

46,563 Smiths Group Plc 707,841 0.04

33,692 Softcat Plc 433,221 0.02

13,639 Spectris Plc 415,689 0.02

292,232 Spirent Communications Plc 753,695 0.04

94,397 Stock Spirits Group Plc 191,958 0.01

514,023 Tate & Lyle Plc 4,181,101 0.21

45,369 TI Fluid Systems Plc, 144A 82,695 0.00

116,456 UK Commercial Property REIT Ltd. 108,300 0.01

11,067 Ultra Electronics Holdings Plc 275,548 0.01

36,520 UNITE Group Plc REIT 362,943 0.02

63,459 Vesuvius Plc 253,684 0.01

326,936 Wm Morrison Supermarkets Plc 721,584 0.04

82,329,116 4.21


1,000 1st Source Corp. 32,430 0.00

4,400 A10 Networks Inc 27,324 0.00

18,332 Acacia Communications Inc. 1,231,544 0.06

174,400 ACCO Brands Corp. 880,720 0.05

63,000 Acushnet Holdings Corp. 1,620,360 0.08

32,500 ADTRAN Inc. 249,600 0.01

208,021 Advanced Disposal Services Inc. 6,823,089 0.36

13,300 AgroFresh Solutions Inc. 21,812 0.00

47,020 Allergan Plc 8,327,242 0.44

1,100 Allied Motion Technologies Inc. 26,070 0.00

60,800 Ally Financial Inc. 877,344 0.04

27,000 Alpha & Omega Semiconductor Ltd. 173,070 0.01

6,000 Amalgamated Bank 64,920 0.00

10,900 American Equity Investment Life Holding Co. 204,920 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


75

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



700 American Vanguard Corp. 10,122 0.00

75,500 Amkor Technology Inc. 588,145 0.03

7,800 Ares Commercial Real Estate Corp. REIT 54,522 0.00

15,100 Arlo Technologies Inc. 36,693 0.00

618 Arrow Financial Corp. 17,224 0.00

13,500 Artisan Partners Asset Management Inc. 290,115 0.01

99 Ashford Inc. 569 0.00

253,555 At Home Group Inc. 512,181 0.03

17,800 Avista Corp. 756,322 0.04

186,672 Axalta Coating Systems Ltd. 3,223,825 0.16

6,200 Axcelis Technologies Inc. 113,522 0.01

7,400 Bankfinancial Corp. 65,194 0.00

5,800 Bassett Furniture Industries Inc. 31,610 0.00

1,100 BCB BanCorp. Inc. 11,715 0.00

2,200 Bel Fuse Inc. 21,428 0.00

70,700 Benchmark Electronics Inc. 1,413,293 0.07

390 Biglari Holdings Inc. 20,046 0.00

36,400 Bloomin' Brands Inc. 259,896 0.01

6,600 Boston Private Financial Holdings Inc. 47,190 0.00

49,700 Brady Corp. 2,242,961 0.11

35,200 Brinker International Inc. 422,752 0.02

8,000 Brooks Automation Inc. 244,000 0.01

100 BRT Apartments Corp. REIT 1,025 0.00

97,600 Builders Firstsource Inc. 1,193,648 0.06

435,153 Caesars Entertainment Corp. 2,941,634 0.15

5,900 Camden National Corp. 185,555 0.01

158,000 Cardlytics Inc. 5,523,680 0.29

1,400 Carpenter Technology Corp. 27,300 0.00

177,350 Carvana Co. 9,770,212 0.51

13,000 CBIZ Inc. 271,960 0.01

33,700 Cedar Realty Trust Inc. REIT 31,445 0.00

1,600 Central Garden & Pet Co. 44,000 0.00

2,500 Century Bancorp Inc. 155,600 0.01

1,300 ChannelAdvisor Corp. 9,438 0.00

42,583 Charles Schwab Corp. 1,431,640 0.07

400 Chemung Financial Corp. 13,192 0.00

5,100 Citi Trends Inc. 45,390 0.00

4,700 Civista Bancshares Inc. 70,312 0.00

11,000 Clarus Corp. 107,800 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


76

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



2,400 CNB Financial Corp. 45,288 0.00

1,700 Cohu Inc. 21,046 0.00

2,800 Community Trust Bancorp Inc. 89,012 0.00

15,900 Computer Programs & Systems Inc. 353,775 0.02

47,700 Comtech Telecommunications Corp. 633,933 0.03

7,700 CONMED Corp. 440,979 0.02

3,500 Consolidated Water Co. Ltd. 57,400 0.00

137,800 CoreCivic Inc. REIT 1,539,226 0.08

18,700 Core-Mark Holding Co. Inc. 534,259 0.03

81,600 CorePoint Lodging Inc. REIT 319,872 0.02

8,000 CRA International Inc. 267,280 0.01

6,000 Credit Acceptance Corp. 1,534,140 0.08

3,000 Crocs Inc. 50,970 0.00

10,700 CSG Systems International Inc. 447,795 0.02

5,100 CTS Corp. 126,939 0.01

25,000 Curo Group Holdings Corp. 132,500 0.01

184,548 Cypress Semiconductor Corp. 4,303,659 0.23

44,800 Dana Inc. 349,888 0.02

8,900 Deluxe Corp. 230,777 0.01

54,400 Designer Brands Inc. 270,912 0.01

57,800 DHI Group Inc. 124,848 0.01

34,300 Digi International Inc. 327,222 0.02

84,238 Digital Realty Trust Inc. REIT 11,701,501 0.61

27,600 Dime Community Bancshares Inc. 378,396 0.02

1,500 Donegal Group Inc. 22,800 0.00

39,200 Donnelley Financial Solutions Inc. 206,584 0.01

2,800 Douglas Dynamics Inc. 99,428 0.01

29,900 DSP Group Inc. 400,660 0.02

5,400 Ducommun Inc. 134,190 0.01

37,244 DuPont de Nemours Inc. 1,270,020 0.06

700 Eagle Pharmaceuticals Inc. 32,200 0.00

74,865 El Paso Electric Co. 5,087,825 0.27

60,200 Ellington Financial Inc. 343,742 0.02

1,200 Emergent BioSolutions Inc. 69,432 0.00

5,500 Employers Holdings Inc. 222,805 0.01

2,100 Enanta Pharmaceuticals Inc. 108,003 0.01

15,400 Encore Capital Group Inc. 360,052 0.02

15,100 Ennis Inc. 283,578 0.01

68,619 Enova International Inc. 994,289 0.05

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


77

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



2,700 ePlus Inc. 169,074 0.01

2,100 Escalade Inc. 12,495 0.00

2,300 ESSA BanCorp. Inc. 31,395 0.00

56,500 Essent Group Ltd. 1,488,210 0.08

51,300 Ethan Allen Interiors Inc. 524,286 0.03

114,700 Eventbrite Inc. 837,310 0.04

4,800 EVERTEC Inc. 109,104 0.01

584,225 Everyware Global(a) 601,752 0.03

14,200 Evolution Petroleum Corp. 37,062 0.00

6,900 Farmers National BanCorp. 80,247 0.00

71,700 Fastly Inc. 1,360,866 0.07

2,200 Federal Agricultural Mortgage Corp. 122,386 0.01

72,400 Federal Signal Corp. 1,975,072 0.10

31,500 Federated Hermes Inc. 600,075 0.03

9,700 FedNat Holding Co. 111,356 0.01

165,949 FGL Holdings 1,626,300 0.08

7,055 Financial Institutions Inc. 127,978 0.01

6,200 First Community Bankshares Inc. 144,460 0.01

28,240 First Defiance Financial Corp. 416,258 0.02

2,900 First Financial Corp. 97,788 0.01

2,200 First Financial Northwest Inc. 22,088 0.00

63,800 Flagstar Bancorp Inc. 1,265,154 0.06

300 Flexsteel Industries Inc. 3,288 0.00

5,300 Flushing Financial Corp. 70,808 0.00

3,800 FONAR Corp. 55,556 0.00

13,600 FormFactor Inc. 273,224 0.01

53,400 Fulton Financial Corp. 613,566 0.03

130,300 General Motors Co. 2,707,634 0.14

26,000 Genie Energy Ltd. 186,680 0.01

462,572 Genworth Financial Inc. 1,535,739 0.08

14,800 GEO Group Inc. REIT 179,968 0.01

10,100 Gorman-Rupp Co. 315,221 0.02

4,300 Great Southern Bancorp Inc. 173,720 0.01

21,400 Greif Inc. 665,326 0.03

39,097 Griffon Corp. 494,577 0.03

29,100 Group 1 Automotive Inc. 1,287,966 0.07

2,000 Hackett Group Inc. 25,440 0.00

2,813 Hallmark Financial Services Inc. 11,365 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


78

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



34,400 Haverty Furniture Cos. Inc. 409,016 0.02

5,300 HealthStream Inc. 126,935 0.01

5,100 Heidrick & Struggles International Inc. 114,750 0.01

62,200 Herman Miller Inc. 1,380,840 0.07

2,500 Hill-Rom Holdings Inc. 251,500 0.01

36,500 Hilltop Holdings Inc. 551,880 0.03

4,500 HMS Holdings Corp. 113,715 0.01

2,200 HNI Corp. 55,418 0.00

500 Home BanCorp. Inc. 12,210 0.00

1,600 HomeTrust Bancshares Inc. 25,472 0.00

1,600 Hurco Cos. Inc. 46,560 0.00

13,000 Hyster-Yale Materials Handling Inc. 521,170 0.03

131,406 IBERIABANK Corp. 4,751,641 0.25

14,300 IDT Corp. 77,506 0.00

400 Independence Holding Co. 10,224 0.00

16,200 Independent Bank Corp. 208,494 0.01

14,900 Information Services Group Inc. 38,293 0.00

9,900 Ingles Markets Inc. 357,984 0.02

26,200 Innospec Inc. 1,820,638 0.09

43,900 Insight Enterprises Inc. 1,849,507 0.09

300 Inspire Medical Systems Inc. 18,084 0.00

6,400 Integer Holdings Corp. 402,304 0.02

20,400 Inter Parfums Inc. 945,540 0.05

64,700 Interactive Brokers Group Inc. 2,793,099 0.14

4,700 Interface Inc. 35,532 0.00

27,000 International Bancshares Corp. 725,760 0.04

17,300 INTL. FCStone Inc. 627,298 0.03

126,100 Investors BanCorp. Inc. 1,007,539 0.05

14,300 iStar Inc. REIT 151,723 0.01

11,600 Johnson Outdoors Inc. 727,320 0.04

5,400 Kelly Services Inc. 68,526 0.00

11,000 Kimball Electronics Inc. 120,120 0.01

31,000 Kimball International Inc. 369,210 0.02

10,000 Knoll Inc. 103,200 0.01

16,100 Koppers Holdings Inc. 199,157 0.01

288,300 Laredo Petroleum Inc. 109,496 0.01

35,200 Laureate Education Inc. 369,952 0.02

13,000 La-Z-Boy Inc. 267,150 0.01

1,600 LB Foster Co. 19,776 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


79

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



3,630 LCNB Corp. 45,738 0.00

3,300 Leaf Group Ltd. 4,422 0.00

74,373 Legg Mason Inc. 3,633,121 0.19

3,500 LHC Group Inc. 490,700 0.03

163,441 Liberty Global Plc 2,567,658 0.13

6,000 Liberty Media Corp-Liberty SiriusXM 189,720 0.01

47,500 Liberty TripAdvisor Holdings Inc. 85,500 0.00

1,900 Luminex Corp. 52,307 0.00

8,900 Macatawa Bank Corp. 63,368 0.00

20,060 Macquarie Infrastructure Corp. 506,515 0.03

15,100 Marchex Inc. 21,895 0.00

1,500 Marlin Business Services Corp. 16,755 0.00

1,700 Masimo Corp. 301,104 0.02

23,729 Materion Corp. 830,752 0.04

12,405 Matrix Service Co. 117,475 0.01

30,200 MDC Holdings Inc. 700,640 0.04

44,761 Mellanox Technologies Ltd. 5,430,405 0.29

1,500 Mercantile Bank Corp. 31,755 0.00

7,100 Meridian Bioscience Inc. 59,640 0.00

60,800 Meritor Inc. 805,600 0.04

4,600 Miller Industries Inc. 130,088 0.01

18,500 Modine Manufacturing Co. 60,125 0.00

32,100 Moog Inc. 1,622,013 0.08

6,200 Mueller Industries Inc. 148,428 0.01

2,700 MutualFirst Financial Inc. 76,140 0.00

14,200 National CineMedia Inc. 46,292 0.00

25,100 National General Holdings Corp. 415,405 0.02

2,300 Natus Medical Inc. 53,199 0.00

25,200 Navient Corp. 191,016 0.01

210,900 Newmark Group Inc. 896,325 0.05

2,700 NextGen Healthcare Inc. 28,188 0.00

8,600 NIC Inc. 197,800 0.01

900 Nicolet Bankshares Inc. 49,122 0.00

224,308 Nielsen Holdings Plc 2,812,822 0.14

398,300 NII Holdings Inc. 856,345 0.04

2,020 Northrim BanCorp Inc. 54,540 0.00

78,700 Northwest Bancshares Inc. 910,559 0.05

276,700 Office Depot Inc. 453,788 0.02

54,300 OFG BanCorp. 607,074 0.03

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


80

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



200 Oil-Dri Corp. of America 6,688 0.00

55 Old Second BanCorp. Inc. 380 0.00

4,300 Olympic Steel Inc. 44,505 0.00

5,904 Onto Innovation Inc. 175,172 0.01

2,300 Ooma Inc. 27,439 0.00

16,000 Oppenheimer Holdings Inc. 316,160 0.02

555 Orrstown Financial Services Inc. 7,642 0.00

3,000 Park-Ohio Holdings Corp. 56,820 0.00

19,000 PC Connection Inc. 782,990 0.04

116,400 PDL BioPharma Inc. 328,248 0.02

600 Penns Woods Bancorp Inc. 14,580 0.00

70,700 PennyMac Financial Services Inc. 1,563,177 0.08

125,400 PennyMac Mortgage Investment Trust REIT 1,331,748 0.07

10,100 Perspecta Inc. 184,224 0.01

50,803 PG&E Corp. 456,719 0.02

1,100 Phibro Animal Health Corp. 26,587 0.00

3,900 Plexus Corp. 212,784 0.01

27,700 PNM Resources Inc. 1,052,600 0.05

58,800 PolyOne Corp. 1,115,436 0.06

42,700 Popular Inc. 1,494,500 0.08

29,600 Portland General Electric Co. 1,419,024 0.07

500 Preformed Line Products Co. 24,915 0.00

3,600 Premier Financial BanCorp. Inc. 44,640 0.00

41,300 Prestige Consumer Healthcare Inc. 1,514,884 0.08

700 PrIncipia Biopharma Inc. 41,566 0.00

42,600 Progress Software Corp. 1,363,200 0.07

4,500 Protective Insurance Corp. 61,875 0.00

200 PS Business Parks Inc. REIT 27,104 0.00

25,900 Qurate Retail Inc. 158,120 0.01

8,662 Ra Pharmaceuticals Inc. 415,863 0.02

122,800 Radian Group Inc. 1,590,260 0.08

7,100 Rambus Inc. 78,810 0.00

35,400 Realogy Holdings Corp. 106,554 0.01

455,050 Redfin Corp. 7,016,871 0.37

1,700 Regional Management Corp. 23,222 0.00

2,567 Republic Bancorp Inc. 84,788 0.00

23,700 Resources Connection Inc. 259,989 0.01

8,900 Retail Properties of America Inc. REIT 46,013 0.00

4,438 Riverview Bancorp Inc. 22,234 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


81

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



6,700 Rocky Brands Inc. 129,645 0.01

3,700 RTI Surgical Inc. 6,327 0.00

12,200 Ryerson Holding Corp. 64,904 0.00

54,500 Sandridge Energy Inc. 49,001 0.00

92,100 Sanmina Corp. 2,512,488 0.13

3,200 Scholastic Corp. 81,568 0.00

51,500 Schweitzer-Mauduit International Inc. 1,432,730 0.07

2,300 SeaSpine Holdings Corp. 18,791 0.00

1,000 Semtech Corp. 37,500 0.00

4,600 Seneca Foods Corp. 182,988 0.01

2,600 Shiloh Industries Inc. 3,250 0.00

23,900 Shoe Carnival Inc. 496,403 0.03

10,400 Sierra BanCorp. 182,832 0.01

3,100 SilverBow Resources Inc. 7,657 0.00

700 Simulations Plus Inc. 24,444 0.00

47,400 Sonic Automotive Inc. 629,472 0.03

500 Southern First Bancshares Inc. 14,185 0.00

9,300 SpartanNash Co. 133,176 0.01

39,400 Spok Holdings Inc. 421,186 0.02

25,800 SPX Corp. 842,112 0.04

4,200 Standard Motor Products Inc. 174,594 0.01

3,900 Star Group LP 30,030 0.00

24,700 Steelcase Inc. 243,789 0.01

11,700 Stepan Co. 1,034,982 0.05

43,800 Stoneridge Inc. 733,650 0.04

140,100 Summit Hotel Properties Inc. REIT 591,222 0.03

144,500 Sunstone Hotel Investors Inc. REIT 1,258,595 0.06

31,400 Sykes Enterprises Inc. 851,568 0.04

465,500 Syncora Holdings Ltd. 172,235 0.01

10,400 Systemax Inc. 184,392 0.01

17,824 Taubman Centers Inc. REIT 746,469 0.04

50,893 Tech Data Corp. 6,659,349 0.35

195,700 TEGNA Inc. 2,125,302 0.11

62,300 Telephone & Data Systems Inc. 1,044,148 0.05

3,800 Territorial BanCorp. Inc. 93,290 0.00

34,345 Texas Capital Bancshares Inc. 761,429 0.04

36,977 Tiffany & Co. 4,788,522 0.25

900 Timberland Bancorp Inc. 16,461 0.00

8,000 Timken Co. 258,720 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


82

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



8,500 TPG RE Finance Trust Inc. REIT 46,665 0.00

30,200 Tredegar Corp. 472,026 0.02

27,100 Tribune Publishing Co. 219,781 0.01

15,900 TriCo Bancshares 474,138 0.02

1,846 TRU TAJ Liquidation Unit Trust 110,760 0.01

134,666 TRU TAJ(a) 690,163 0.04

3,800 TrueBlue Inc. 48,488 0.00

10,400 TrustCo Bank Corp. NY 56,264 0.00

1,831 United Security Bancshares 11,718 0.00

5,700 Unitil Corp. 298,224 0.02

41,764 Universal Corp. 1,846,386 0.09

1,800 Universal Electronics Inc. 69,066 0.00

46,500 Universal Forest Products Inc. 1,729,335 0.09

8,600 Varex Imaging Cop. 195,306 0.01

22,800 Vectrus Inc. 944,148 0.05

48,392 Vera Bradley Inc. 199,375 0.01

4,400 Veritiv Corp. 34,584 0.00

142,708 ViacomCBS Inc. 1,999,339 0.10

3,700 Village Super Market Inc. 90,946 0.00

7,000 Vishay Precision Group Inc. 140,560 0.01

25,981 WABCO Holdings Inc. 3,508,734 0.18

16,600 Waddell & Reed Financial Inc. 188,908 0.01

26,360 Walgreens Boots Alliance Inc. 1,205,970 0.06

29,100 Walker & Dunlop Inc. 1,171,857 0.06

21,700 Warrior Met Coal Inc. 230,454 0.01

22,495 Waterstone Financial Inc. 327,077 0.02

223,276 Wayfair Inc. 11,931,869 0.62

4,100 Weis Markets Inc. 170,806 0.01

2,600 West Bancorporation Inc. 42,510 0.00

28,137 Westmoreland Mining Holdings(a) 225,096 0.01

11,100 Westwood Holdings Group Inc. 203,241 0.01

4,014 Weyco Group Inc. 80,962 0.00

6,800 WideOpenWest Inc. 32,368 0.00

500 Willis Lease Finance Corp. 13,300 0.00

33,238 Willis Towers Watson Plc 5,645,474 0.30

83,600 World Fuel Services Corp. 2,105,048 0.11

7,300 Worthington Industries Inc. 191,625 0.01

233,871 Wright Medical Group NV 6,700,404 0.35

155,858 Xenia Hotels & Resorts Inc. REIT 1,605,337 0.08

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


83

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



28,500 Xperi Corp. 396,435 0.02

27,000 Zumiez Inc. 467,640 0.02

253,054,622 12.93

Vietnam (30 September 2019: Nil)

190,500 Kinh Bac City Development Share Holding Corp. 89,535 0.01

22,890 PetroVietnam Gas JSC 53,113 0.00

17,130 Pha Lai Thermal Power JSC 15,304 0.00

76,120 Vinh Hoan Corp. 66,074 0.00

224,026 0.01

TOTAL EQUITIES 1,442,089,629 73.73

Rights/Warrants

Japan (30 September 2019: Nil)

7,200 Chiba Kogyo Bank Ltd. - 0.00

- 0.00


155,700 Bristol-Myers Squibb Co. - CVR 591,660 0.03

62,994 Contra Clementia Pharmaceuticals - CVR 85,042 0.00

797,400 Media General Inc. - CVR 39,870 0.00

716,572 0.03

TOTAL RIGHTS/WARRANTS 716,572 0.03


UNLESS OTHERWISE NOTED 1,442,806,201 73.76

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


84


Value

US$

% of Net

Asset

Value


Debt Obligations

Australia (30 September 2019: Nil)

Corporate Debt (30 September 2019: Nil)

125,000 Virgin Australia Holdings Ltd., 7.88%, due 15/10/21, 144A 56,313 0.00

56,313 0.00


Corporate Debt (30 September 2019: 0.04%)

1,533,000 Oi SA, 10.00%, due 27/07/25 1,046,273 0.05

1,046,273 0.05



125,000 Bombardier Inc., 5.75%, due 15/03/22, 144A 94,688 0.01

125,000 Taseko Mines Ltd., 8.75%, due 15/06/22, 144A 56,250 0.00

125,000 Tervita Corp., 7.63%, due 01/12/21, 144A 87,500 0.00

238,438 0.01

France (30 September 2019: Nil)


EUR 350,000 Altice France SA, 3.38%, due 15/01/28 359,075 0.02

654,000 Altice France SA, 7.38%, due 01/05/26, 144A 660,540 0.03

1,019,615 0.05

Israel (30 September 2019: Nil)


180,000 Teva Pharmaceutical Finance Co. BV, 3.65%, due 10/11/21 172,913 0.01

1,861,000 Teva Pharmaceutical Finance Co. LLC, 6.15%, due 01/02/36 1,619,070 0.08

1,791,983 0.09



250,000 Intesa Sanpaolo SpA, 5.02%, due 26/06/24, 144A 255,133 0.01

430,000 Intesa Sanpaolo SpA, 4.70%, due 23/09/49, 144A 369,745 0.02

624,878 0.03

Jamaica (30 September 2019: 0.05%)


320,000 Digicel Group One Ltd., 8.25%, due 30/12/22, 144A 128,320 0.01

554,000 Digicel Group One Ltd., 8.25%, due 30/12/22 222,154 0.01

844,000 Digicel Ltd., 6.75%, due 01/03/23 331,798 0.01

682,272 0.03

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


85


Value

US$

% of Net

Asset

Value

TRANSFERABLE SECURITIES TRADED ON A REGULATED MARKET UNLESS OTHERWISE NOTED (CONTINUED)

Debt Obligations (continued)


Foreign Government Obligations (30 September 2019: 5.42%)

JPY 2,025,000,000 Japan Treasury Discount Bill, 0.00%, due 06/04/20 18,758,108 0.96

JPY 1,750,000,000 Japan Treasury Discount Bill, 0.00%, due 07/05/20 16,213,925 0.83

JPY 650,000,000 Japan Treasury Discount Bill, 0.00%, due 15/06/20 6,023,699 0.31

40,995,732 2.10

Jersey (30 September 2019: 0.01%) Asset Backed Securities (30 September 2019: 0.01%)

376,640 Saranac CLO III Ltd., 2.30%, due 22/06/30, 144A(b) 357,324 0.02

357,324 0.02

Luxembourg (30 September 2019: Nil)


125,000 Intelsat Jackson Holdings SA, 9.50%, due 30/09/22, 144A 127,500 0.01

330,000 Intelsat Jackson Holdings SA, 8.00%, due 15/02/24, 144A 318,859 0.01

446,359 0.02

Netherlands (30 September 2019: Nil)


EUR 2,394,000 Hema Bondco I BV, 6.25%, due 15/07/22 1,050,727 0.05

1,050,727 0.05

New Zealand (30 September 2019: Nil)


250,000 Trilogy International Partners LLC, 8.88%, due 01/05/22, 144A 210,625 0.01

210,625 0.01

Puerto Rico (30 September 2019: 0.18%)

Municipal Debt (30 September 2019: 0.18%)

1,930,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.35%, due 01/07/27 1,751,475 0.10

974,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.05%, due 01/07/28 868,078 0.04

980,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 01/07/34 853,825 0.04

142 Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.00%, due 01/07/44 143 0.00

3,473,521 0.18

Saint Lucia (30 September 2019: 0.10%)


605,000 Digicel Holdings Bermuda Ltd., 8.75%, due 25/05/24 532,400 0.03

440,000 Digicel Holdings Bermuda Ltd., 8.75%, due 25/05/24, 144A 387,200 0.02

919,600 0.05

United Kingdom (30 September 2019: Nil)


350,000 Ardonagh Midco 3 Plc, 8.63%, due 15/07/23, 144A 302,750 0.02

GBP 700,000 Pizzaexpress Financing 2 Plc, 6.63%, due 01/08/21 546,818 0.02

849,568 0.04

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


86


Value

US$

% of Net

Asset

Value




Asset Backed Securities (30 September 2019: 5.43%)

329,137 ABFC 2005-AQ1 Trust, 4.67%, due 25/06/35 319,300 0.02

621,537 Access Group Inc., 2.59%, due 25/07/34 585,106 0.03

2,766,903 AccessLex Institute, 1.85%, due 25/01/23 2,715,812 0.14


126,683 AccessLex Institute, 2.77%, due 01/07/38 126,324 0.01


32,733 ACE Securities Corp. Home Equity Loan Trust Series 2006-ASL1, 1.23%, due

25/02/36

12,019 0.00

1,913,654 Acis CLO 2015-6 Ltd., 3.35%, due 01/05/27, 144A 1,861,147 0.10

177,545 Alternative Loan Trust 2006-7CB, 1.65%, due 25/05/36 73,376 0.00

245,169 Alternative Loan Trust 2006-28CB, 1.65%, due 25/10/36 91,439 0.00

3,083,944 American Home Mortgage Investment Trust 2006-2, 1.31%, due 25/02/36 345,928 0.02

384,000 Apex Credit CLO 2015-II Ltd., 3.73%, due 17/10/26, 144A(b) 334,741 0.02

291,440 ARCap 2003-1 Resecuritization Trust, 7.11%, due 20/08/38, 144A 284,845 0.01

187,331 ARCap 2005-1 Resecuritization Trust, 5.45%, due 21/12/42, 144A 189,290 0.01

1,414,000 ARCap 2005-1 Resecuritization Trust, 5.55%, due 21/12/42, 144A(b) 613,110 0.03

2,551,812 BankAmerica Manufactured Housing Contract Trust, 8.00%, due 10/08/25 1,504,237 0.08

63,381 Bayview Commercial Asset Trust 2004-1, 1.79%, due 25/04/34, 144A 61,543 0.00




2,261,035 Bayview Commercial Asset Trust 2006-3, 1.20%, due 25/10/36, 144A 1,870,551 0.10







1,552,000 BBCMS 2018-CHRS Mortgage Trust, 4.27%, due 05/08/38, 144A 1,096,866 0.06

421,483 BCAP LLC 2014-RR2, 1.96%, due 26/05/37, 144A 378,170 0.02

1,221,081 BCMSC Trust 1999-A, 6.79%, due 15/03/29 996,937 0.05

218,529 Bear Stearns ARM Trust 2005-6, 4.29%, due 25/08/35 198,019 0.01

203,176 Bear Stearns ARM Trust 2005-9, 4.27%, due 25/10/35 189,008 0.01

440,427 Bear Stearns Asset Backed Securities I Trust 2004-AC5, 5.75%, due 25/10/34 417,348 0.02

279,328 Bear Stearns Asset Backed Securities I Trust 2007-AQ1, 1.06%, due 25/04/31(a) 619,355 0.03

85,620 BFNS 2017-1, 2.77%, due 25/01/29, 144A(b) 85,536 0.00

674,473 Bravo Mortgage Asset Trust, 1.35%, due 25/07/36, 144A 510,038 0.03

35,822 BXG Receivables Note Trust 2012-A, 3.99%, due 02/12/27, 144A 35,027 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


87


Value

US$

% of Net

Asset

Value




Asset Backed Securities (30 September 2019: 5.43%) (continued)

149,361 BXG Receivables Note Trust 2013-A, 4.00%, due 04/12/28, 144A 144,445 0.01

68,873 Capitalsource Real Estate Loan Trust, 2.24%, due 20/01/37, 144A(b) 68,529 0.00

852,600 Catamaran CLO 2013-1 Ltd., 3.59%, due 27/01/28, 144A(b) 750,875 0.04

334,735 CHL Mortgage Pass-Through Trust 2004-HYB6, 3.92%, due 20/11/34 287,813 0.01

700,551 Citigroup Mortgage Loan Trust 2005-3, 4.44%, due 25/08/35 667,330 0.03

687,877 Citigroup Mortgage Loan Trust 2006-AR5, 3.76%, due 25/07/36 408,637 0.02

503,331 Collegiate Funding Services Education Loan Trust 2005B, 2.28%, due 28/03/35 420,356 0.02

679,058 COMM 2015-CCRE25 Mortgage Trust, 3.76%, due 10/08/48 716,743 0.04

512,791 Conseco Finance Corp., 6.97%, due 15/05/29 457,623 0.02

430,732 Conseco Finance Corp., 6.63%, due 01/06/30 385,439 0.02

867,937 Conseco Finance Securitizations Corp., 7.15%, due 01/05/33 754,574 0.04

88,996 CPS Auto Receivables Trust 2015-C, 4.63%, due 16/08/21, 144A 89,044 0.00

33,389 Credit Suisse First Boston Mortgage Securities Corp., 1.05%, due 15/04/37 33,364 0.00

32,196 Credit Suisse First Boston Mortgage Securities Corp., 4.88%, due 15/04/37 31,545 0.00

2,216,195 Crest G-Star 2001-1 LP, 9.00%, due 28/11/35, 144A(b) 2 0.00

1,110,000 Crestline Denali CLO XVI Ltd., 2.94%, due 20/01/30, 144A 1,027,121 0.05

2,470,254 CSAIL 2015-C3 Commercial Mortgage Trust, 3.72%, due 15/08/48 2,587,716 0.13

1,024,307 CSMC Mortgage-Backed Trust 2007-4, 6.00%, due 25/06/37 797,080 0.04

4,140,000 Garrison BSL CLO 2018-1 Ltd., 2.81%, due 17/07/28, 144A(b) 3,979,182 0.21

235,400 Garrison BSL CLO 2018-1 Ltd., 3.49%, due 17/07/28, 144A(b) 215,386 0.01

92,191 GE Business Loan Trust 2007-1, 0.87%, due 15/04/35, 144A 83,817 0.00

1,258,974 GMACM Home Equity Loan Trust 2007-HE3, 7.00%, due 25/09/37 1,219,048 0.06

403,663 GS Mortgage Securities Corp. II, 5.33%, due 21/03/46, 144A 389,487 0.02

1,132,821 GS Mortgage Securities Trust 2015-GS1, 3.73%, due 10/11/48 1,217,201 0.06

898,399 GS Mortgage Securities Trust 2016-GS2, 2.75%, due 10/05/49, 144A 621,438 0.03

313,600 GSAA Trust, 5.30%, due 25/11/34 309,948 0.02

1,082,507 Halcyon Loan Advisors Funding 2012-1 Ltd., 4.69%, due 15/08/23, 144A 1,067,162 0.05

3,408,291 Home Equity Loan Trust 2005-HS1, 5.61%, due 25/09/35 1,264,030 0.06

4,303,842 Home Equity Mortgage Loan Asset-Backed Trust Series INDS- 2006-A, 1.21%,

due 25/06/36

374,590 0.02

2,540,262 Home Loan Trust 2006-HI4, 5.72%, due 25/09/36 1,702,154 0.09

2,305,565 Home Loan Trust 2007-HI1, 0.00%, due 25/03/37 1,021,207 0.05

783,683 IndyMac INDA Mortgage Loan Trust 2006-AR3, 3.83%, due 25/12/36 637,412 0.03

251,759 IndyMac INDA Mortgage Loan Trust 2007-AR1, 3.68%, due 25/03/37 210,368 0.01

877,500 Jamestown CLO XI Ltd., 3.54%, due 14/07/31, 144A 742,332 0.04

183,716 JP Morgan Resecuritization Trust Series 2009-10, 6.05%, due 26/02/37, 144A 182,440 0.01

507,500 JPMBB Commercial Mortgage Securities Trust 2015-C29, 3.61%, due 15/05/48 536,561 0.03

453,112 KeyCorp. Student Loan Trust 2004-A, 2.59%, due 28/04/42 443,650 0.02

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


88


Value

US$

% of Net

Asset

Value







3,211,957 KeyCorp. Student Loan Trust 2006-A, 1.75%, due 27/12/41 3,129,647 0.16

265,081 L2L Education Loan Trust 2006-1, 1.20%, due 15/10/28, 144A 254,915 0.01

282,048 Lehman Brothers Small Balance Commercial Mortgage Trust 2005-1, 1.88%,

due 25/02/30, 144A

275,644 0.01


due 25/09/30, 144A

194,304 0.01


due 25/09/30, 144A

460,297 0.02


due 25/04/31, 144A

126,000 0.01


due 25/04/31, 144A

882,779 0.05


due 25/04/31, 144A

285,476 0.01


due 25/09/36, 144A

356,779 0.02


due 25/06/37, 144A

616,726 0.03

1,170,000 Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, 5.26%,

due 25/10/37, 144A

1,177,109 0.06

839,000 Man GLG US CLO, 2.96%, due 22/04/30, 144A(b) 774,608 0.04

1,337,585 Merrill Lynch Mortgage Investors Trust Series 1998-C1-CTL, 6.25%, due

15/11/26

1,338,401 0.07

216,450 Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 7.79%, due 15/07/33,

144A

200,329 0.01

2,969,100 Mountain View CLO 2015-9 Ltd., 2.95%, due 15/07/31, 144A 2,722,522 0.14

1,225,000 National Collegiate 2007-3 Commutation Trust, 0.00%, due 31/03/38, 144A(a) 361,375 0.02

475,000 National Collegiate II Commutation Trust - A3R6, 0.00%, due 25/03/38(a) 137,750 0.01

1,075,000 National Collegiate II Commutation Trust - A3R7, 0.00%, due 25/03/38 326,491 0.02

744,000 National Collegiate Student Loan Trust 2004-2, 1.49%, due 26/12/33 555,547 0.03

1,860,040 National Collegiate Student Loan Trust 2005-2, 1.32%, due 25/06/33 1,389,149 0.07





25,000 National Collegiate Student Loan Trust 2007-3, 4.31%, due 25/03/38(b) 23,500 0.00

25,000 National Collegiate Student Loan Trust 2007-4, 4.21%, due 25/03/38(b) 23,063 0.00

2,179,854 New Century Home Equity Loan Trust 2006-S1, 1.15%, due 25/03/36 126,306 0.01



_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


89


Value

US$

% of Net

Asset

Value





1,484,084 Newfleet CLO 2016-1 Ltd., 3.82%, due 20/04/28, 144A 1,313,748 0.07

159,344 Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-S3, 1.85%,

due 25/08/35

191,117 0.01

1,606,870 Oakwood Mortgage Investors Inc., 7.48%, due 15/08/27 1,442,316 0.07

255,450 Oakwood Mortgage Investors Inc., 7.50%, due 15/05/28 249,292 0.01

307,444 Oakwood Mortgage Investors Inc., 7.42%, due 15/01/29, 144A 299,496 0.02


2,477,060 Oakwood Mortgage Investors Inc., 7.40%, due 15/07/30 936,159 0.05



205,318 RFMSI Series 2005-SA4 Trust, 4.49%, due 25/09/35 190,563 0.01

1,466,000 Saratoga Investment Corp. CLO 2013-1 Ltd., 4.12%, due 20/01/30, 144A(b) 1,356,370 0.07

508,800 Shackleton 2013-IV-R CLO Ltd., 2.85%, due 13/04/31, 144A(b) 471,185 0.02

1,372,882 SLC Student Loan Trust 2008-2, 1.64%, due 15/06/21 1,319,621 0.07

1,086,000 SLM Private Credit Student Loan Trust 2003-A, 5.05%, due 15/06/32(a) 999,120 0.05

1,097,485 SLM Private Credit Student Loan Trust 2003-C, 2.34%, due 15/09/32 276,063 0.01

550,000 SLM Private Credit Student Loan Trust 2003-C, 5.08%, due 15/09/32(a) 506,000 0.03

3,000,000 SLM Private Credit Student Loan Trust 2004-B, 1.17%, due 15/09/33 2,805,059 0.14

921,868 SLM Private Credit Student Loan Trust 2005-A, 1.02%, due 15/12/38 907,957 0.05

409,702 SLM Private Credit Student Loan Trust 2006-C, 1.13%, due 15/12/39 337,344 0.02

1,500,000 SLM Student Loan Trust 2007-2, 1.96%, due 25/07/25 1,194,459 0.06

3,026,000 Sound Point CLO II Ltd., 2.86%, due 26/01/31, 144A(b) 2,800,608 0.14

1,174,975 Sound Point CLO XIX Ltd., 2.83%, due 15/04/31, 144A(b) 1,076,610 0.06

2,633,773 South Carolina Student Loan Corp. 2015-A, 2.45%, due 25/01/36 2,586,355 0.13

1,411,300 Towd Point Asset Trust 2018-SL1, 2.68%, due 25/01/46, 144A 1,296,333 0.07

2,338,000 US 2018-USDC, 4.49%, due 13/05/38, 144A 1,935,482 0.10

7,787 Velocity Commercial Capital Loan Trust 2016-2, 2.75%, due 25/10/46 7,766 0.00

1,006,800 Venture 32 CLO Ltd., 2.92%, due 18/07/31, 144A 934,908 0.05

504,000 Venture XII CLO Ltd., 2.81%, due 28/02/26, 144A(b) 480,153 0.02

271,216 Voya CLO 2014-3 Ltd., 3.69%, due 25/07/26, 144A 263,346 0.01

2,250,000 WaMu Commercial Mortgage Securities Trust 2006-SL1, 3.89%, due 23/11/43,

144A

2,241,715 0.11

144,031 WaMu Commercial Mortgage Securities Trust 2007-SL2, 3.85%, due 27/12/49,

144A(b)

144,067 0.01


144A

578,235 0.03


144A

550,423 0.03

1,362,106 WaMu Commercial Mortgage Securities Trust 2007-SL3, 4.43%, due 23/03/45,

144A(b)

1,377,410 0.07

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


90


Value

US$

% of Net

Asset

Value





207,920 WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust, 4.12%,

due 25/09/35

196,341 0.01

245,776 WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust, 2.23%,

due 25/01/47

204,043 0.01

4,498,424 Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5

Trust, 6.00%, due 25/06/37

4,229,757 0.23

283,000 Wells Fargo Commercial Mortgage Trust 2013-BTC, 3.55%, due 16/04/35,

144A

258,392 0.01

1,437,000 Wells Fargo Commercial Mortgage Trust 2013-BTC F, 3.55%, due 16/04/35,

144A(b)

1,179,225 0.06

215,934 WhiteHorse IX Ltd., 3.00%, due 17/07/26, 144A 211,899 0.01

1,251,300 Whitehorse XII Ltd., 3.08%, due 15/10/31, 144A(b) 1,153,272 0.06

3,750,000 Zais CLO 1 Ltd., 2.98%, due 15/04/28, 144A(b) 3,645,461 0.20

1,250,000 Zais CLO 1 Ltd., 3.33%, due 15/04/28, 144A(b) 1,157,240 0.06

381,800 Zais CLO 8 Ltd., 2.78%, due 15/04/29, 144A(b) 359,390 0.02

118,057,290 6.04


414,000 Ahern Rentals Inc., 7.38%, due 15/05/23, 144A 235,980 0.01

330,000 Ally Financial Inc., 8.00%, due 01/11/31 379,335 0.02

375,000 Ascent Resources Utica Holdings LLC, 10.00%, due 01/04/22, 144A 200,625 0.01

710,000 Bruin E&P Partners LLC, 8.88%, due 01/08/23, 144A 49,700 0.00

731,000 CCO Holdings LLC, 5.13%, due 01/05/27, 144A 735,730 0.04

250,000 CEC Entertainment Inc., 8.00%, due 15/02/22 107,500 0.01

250,000 Century Aluminum Co., 7.50%, due 01/06/21, 144A 228,125 0.01

250,000 CenturyLink Inc., 5.80%, due 15/03/22 252,330 0.01

328,000 Citrix Systems Inc., 3.30%, due 01/03/30 305,124 0.02

250,000 CSC Holdings LLC, 6.75%, due 15/11/21 257,500 0.01

250,000 Denbury Resources Inc., 9.00%, due 15/05/21, 144A 73,125 0.00

250,000 DISH DBS Corp., 5.88%, due 15/07/22 243,455 0.01

250,000 Diversified Healthcare Trust, 4.75%, due 15/02/28 223,398 0.01

250,000 Edgewell Personal Care Co., 4.70%, due 24/05/22 243,193 0.01

350,000 Endo DAC, 6.00%, due 01/02/25, 144A 238,000 0.01

375,000 EnLink Midstream Partners LP, 4.15%, due 01/06/25 181,763 0.01

350,000 EnLink Midstream Partners LP, 5.60%, due 01/04/44 118,125 0.01

500,000 EQM Midstream Partners LP, 4.75%, due 15/07/23 361,850 0.02

250,000 Ferrellgas LP, 6.50%, due 01/05/21 218,125 0.01

561,100 Ford Motor Credit Co. LLC, 2.43%, due 12/06/20 545,670 0.03



_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


91


Value

US$

% of Net

Asset

Value




Corporate Debt (30 September 2019: 1.53%) (continued)


250,000 Fortress Transportation & Infrastructure Investors LLC, 6.75%, due 15/03/22,

144A

231,393 0.01

350,000 Frontier Communications Corp., 10.50%, due 15/09/22 91,438 0.00



3,048,000 Frontier Communications Corp., 8.50%, due 01/04/26, 144A 2,785,567 0.13

330,000 Goldman Sachs Group Inc., 4.95%, due 10/02/25 293,700 0.02

900,000 Gulfport Energy Corp., 6.38%, due 15/01/26 175,874 0.01

125,000 Harland Clarke Holdings Corp., 9.25%, due 01/03/21, 144A 127,188 0.01

125,000 Hillman Group Inc., 6.38%, due 15/07/22, 144A 97,031 0.00

1,198,000 iHeartCommunications Inc., 6.38%, due 01/05/26 1,133,615 0.06

5,100,000 JC Penney Corp. Inc., 5.88%, due 01/07/23, 144A 1,887,000 0.09

877,000 JPMorgan Chase & Co., 4.00%, due 01/04/20 748,958 0.04

343,000 Mack-Cali Realty LP, 4.50%, due 18/04/22 318,640 0.02

250,000 Martin Midstream Partners LP, 7.25%, due 15/02/21 134,088 0.01

105,000 MGM Growth Properties Operating Partnership LP, 4.50%, due 01/09/26 87,150 0.00

264,000 MGM Growth Properties Operating Partnership LP, 5.75%, due 01/02/27 229,680 0.01

125,000 Midas Intermediate Holdco II LLC, 7.88%, due 01/10/22, 144A 80,000 0.00

3,966,000 Murray Energy Corp., 11.25%, due 15/04/21, 144A(c) 40 0.00

496,000 NGL Energy Partners LP, 7.50%, due 15/04/26 173,600 0.01

87,000 Ortho-Clinical Diagnostics Inc., 6.63%, due 15/05/22, 144A 82,215 0.00

564,000 Owens & Minor Inc., 4.38%, due 15/12/24 451,200 0.02

250,000 Owens-Brockway Glass Container Inc., 5.00%, due 15/01/22, 144A 252,538 0.01

1,600,000 Pacific Gas & Electric Co., 3.50%, due 01/10/20(c) 1,568,000 0.08

500,000 Pacific Gas & Electric Co., 3.25%, due 15/09/21 490,000 0.03

355,700 Prologis LP, 3.00%, due 15/04/50 307,351 0.02

125,000 Pyxus International Inc., 8.50%, due 15/04/21, 144A 111,250 0.01

125,000 QEP Resources Inc., 5.25%, due 01/05/23 46,250 0.00

125,000 Realogy Group LLC, 5.25%, due 01/12/21, 144A 116,250 0.01

125,000 RR Donnelley & Sons Co., 7.88%, due 15/03/21 126,563 0.01

1,185,000 Sysco Corp., 3.30%, due 15/07/26 1,129,295 0.06

525,000 Tenet Healthcare Corp., 4.63%, due 15/07/24 500,063 0.03

125,000 Trinity Industries Inc., 4.55%, due 01/10/24 106,610 0.01

3,350,000 Uniti Group LP, 6.00%, due 15/04/23, 144A 3,048,500 0.16

125,000 Urban One Inc., 7.38%, due 15/04/22, 144A 113,169 0.01

125,000 Veritas US Inc., 7.50%, due 01/02/23, 144A 110,000 0.01

224,000 VICI Properties LP, 4.25%, due 01/12/26, 144A 205,520 0.01

78,000 VICI Properties LP, 4.63%, due 01/12/29, 144A 70,980 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


92


Value

US$

% of Net

Asset

Value




Corporate Debt (30 September 2019: 1.53%) (continued)

879,000 Viking Cruises Ltd., 5.88%, due 15/09/27, 144A 514,312 0.03

876,000 VOC Escrow Ltd., 5.00%, due 15/02/28, 144A 640,487 0.03

410,000 Western Midstream Operating LP, 5.38%, due 01/06/21 329,965 0.02

25,603,653 1.31

U.S. Government Agency (30 September 2019: 4.30%)

19,000,000 Federal Home Loan Banks, 1.47%, due 22/05/20 19,000,228 0.97



32,998,393 1.69

U.S. Government (30 September 2019: 17.23%)

35,000,000 United States Treasury Bond, 1.50%, due 31/01/22(d) 35,802,538 1.83

58,000,000 United States Treasury Bond, 1.75%, due 28/02/22(d) 59,683,359 3.05

12,000,000 United States Treasury Floating Rate Note, 0.13%, due 31/10/20 11,998,224 0.61

25,000,000 United States Treasury Floating Rate Note, 0.39%, due 31/10/21(d) 25,070,104 1.28

50,000,000 United States Treasury Floating Rate Note, 0.24%, due 31/01/22(d) 49,994,428 2.56

9,946,020 United States Treasury Inflation Indexed Bonds, 0.25%, due 15/01/25(d)(e) 10,036,345 0.51


21,429,530 United States Treasury Inflation Indexed Bonds, 0.50%, due 15/01/28(e) 22,344,962 1.14





7,500,000 United States Treasury Note, 1.38%, due 31/01/21 7,579,688 0.39

8,100,000 United States Treasury Note, 1.13%, due 28/02/21(d) 8,173,406 0.42



328,514,690 16.81

Total United States 505,174,026 25.85

TOTAL DEBT OBLIGATIONS 558,937,254 28.58


UNLESS OTHERWISE NOTED

558,937,254 28.58

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


93

Shares Description

Value

US$

% of Net

Asset

Value


Ireland (30 September 2019: Nil)


1,161,638 0.06


350,212 Altaba Inc. 7,179,346 0.38

7,179,346 0.38

TOTAL COLLECTIVE INVESTMENT SCHEMES 8,340,984 0.44

TOTAL INVESTMENTS AT FAIR VALUE 2,010,084,439 102.78


FUTURES CONTRACTS* (30 September 2019: 0.14%)

Number of

Contracts Type

Expiration

Date Position+

Notional

Amount

US$

Net Unrealised

Appreciation

US$

% of Net

Asset

Value


19 U.S. (CBT) Note 10 yr. June 20 Buy 2,635,063 62,911 0.00

(8) U.S. Ultra Bond 10 Futures yr. June 20 Sale (1,248,250) 4,635 0.00

7 U.S. (CBT) Note 2 yr. June 20 Buy 1,542,680 4,507 0.00

2 U.S. (CBT) Note 5 yr. June 20 Buy 250,719 1,013 0.00

TOTAL 7,605,437 287,739 0.01

* The clearing brokers for the futures contracts are Morgan Stanley & Co. LLC and J.P. Morgan Securities LLC. + Buy - Fund is long the futures contract.


OPTIONS PURCHASED

Equity Options (30 September 2019: 0.00%)

Currency

Number of

Contracts Description Counterparty

Value

US$

% of Net

Asset

Value

USD 993 Put, DuPont de Nemours Inc., Expires 19/06/20, Strike 50.00 MSLC 1,608,660 0.08

USD 258 Put, PPG Industries Inc., Expires 21/08/20, Strike 120.00 MSLC 918,480 0.05

USD 322 Put, PPG Industries Inc., Expires 15/05/20, Strike 110.00 MSLC 801,780 0.04

USD 247 Call, DuPont de Nemours Inc., Expires 19/06/20, Strike 85.00 MSLC - 0.00

USD 209 Call, Bunge Ltd., Expires 17/07/20, Strike 65.00 MSLC - 0.00

TOTAL 3,328,920 0.17

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


94


OPTIONS PURCHASED (continued)

Foreign Currency Options (30 September 2019: Nil)

Currency

Number of


Value

US$

% of Net

Asset

Value

EUR 14,510,000 Put, EUR, Call, CHF, Expires 28/04/20,

Strike 1.06

CITI 55,517 0.00

TOTAL 55,517 0.00

Index Options (30 September 2019: 0.02%)

Currency

Number of


Value

US$

% of Net

Asset

Value

USD 56 Put, S&P 500 index, Expires 16/10/20,

Strike 2,750

MSLC

1,893,360 0.10

USD 14 Put, S&P 500 index, Expires 19/06/20,

Strike 2,850

MSLC

471,940 0.02

TOTAL 2,365,300 0.12

TOTAL OPTIONS PURCHASED 5,749,737 0.29

SWAP CONTRACTS

Centrally Cleared Credit Default Swaps (30 September 2019: 0.04%)

Notional

Amount

Expiration

Date Counterparty

Receive

(Pay)(1)

Annual

Premium Reference Entity

Maximum Potential

Amount of Future

Payments by the

Fund Under the

Contract(2)

Value

US$

% of Net

Asset

Value

4,187,125 USD 21/12/22 CSS (Pay) 5.00% CDX.NA.HY.29 N/A 182,894 0.01

1,540,560 USD 21/12/24 JPMF (Pay) 5.00% CDX.NA.HY.33 N/A 95,055 0.01

2,125,936 USD 21/12/21 CSS (Pay) 5.00% CDX.NA.HY.27 N/A 67,967 0.00

4,308,480 EUR 21/12/23 CSS (Pay) 5.00% iTraxxEurope

Crossover Index

N/A

55,469 0.00

4,400,000 USD 21/12/24 JPMF (Pay) 1.00% CDX.NA.IG.33 N/A 13,815 0.00

TOTAL 415,200 0.02

Premiums Paid (Received) (947,148)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


95


SWAP CONTRACTS (CONTINUED)

Centrally Cleared Interest Rate Swaps (30 September 2019: 0.09%)

Currency

Notional

Amount Description Counterparty

Value

US$

% of Net

Asset

Value

NZD 20,060,000 Fund pays floating rate 3 Month NZD NFIX every 3 months,

Fund receives fixed rate 1.45% every 6 months, Maturity 17/06/30

JPMF

581,087 0.04



JPMF

423,859 0.03

GBP 22,360,000 Fund receives floating rate 6 Month GBP LIBOR every 6 months,

Fund pays fixed rate 0.50% every 6 months, Maturity 19/06/30

JPMF

282,153 0.02

GBP 7,480,000 Fund pays floating rate 6 Month GBP LIBOR every 6 months,


JPMF

180,123 0.01



JPMF

143,635 0.01

USD 14,450,000 Fund receives floating rate 3 Month USD LIBOR every 3 months,


JPMF

94,261 0.00

AUD 7,260,000 Fund pays floating rate 6 Month AUD BBSW every 6 months,


JPMF

91,501 0.00



JPMF

89,805 0.00



JPMF

75,058 0.00



JPMF

23,757 0.00

NZD 6,780,000 Fund receives floating rate 3 Month NZD NFIX every 3 months,


JPMF

21,630 0.00

EUR 3,440,000 Fund pays floating rate 6 Month EUR LIBOR every 6 months,


JPMF

13,784 0.00



JPMF

1,517 0.00

TOTAL 2,022,170 0.11

FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO FINANCIAL

DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET 8,474,846 0.43

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


96

FINANCIAL DERIVATIVE INSTRUMNETS TRADED ON A REGULATED MARKET (CONTINUED)

FUTURES CONTRACTS* (30 September 2019: (0.08)%)

Number of

Contracts Type

Expiration

Date Position+

Notional Amount

US$

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

(109) Topix Index Futures June 20 Sale (14,165,810) (36,752) (0.00)

(34) SGX Nifty Futures April 20 Sale (582,794) (61,318) (0.00)

(912) S&P 500 E-mini Futures June 20 Sale (117,178,320) (1,986,160) (0.11)

TOTAL (131,926,924) (2,084,230) (0.11)

* The clearing brokers for the futures contracts are Morgan Stanley & Co. LLC and J.P. Morgan Securities LLC.

+ Buy - Fund is long the futures contract.


OPTIONS WRITTEN

Equity Options (30 September 2019: (0.07)%)

Currency

Number of


Value

US$

% of Net

Asset

Value

USD (1,110) Call, Axalta Coating Systems Ltd., Expires 17/04/20, Strike 30.00 MSLC (1,110) (0.00)

USD (716) Call, Axalta Coating Systems Ltd., Expires 17/07/20, Strike 30.00 MSLC (39,380) (0.00)

USD (951) Call, Liberty Global Plc, Expires 17/07/20, Strike 20.00 MSLC (57,060) (0.00)

USD (3,206) Call, Nielsen Holdings Plc, Expires 21/08/20, Strike 21.00 MSLC (64,120) (0.00)

USD (322) Put, Liberty Global Plc, Expires 17/07/20, Strike 22.50 MSLC (270,480) (0.01)

USD (319) Put, Axalta Coating Systems Ltd., Expires 17/07/20, Strike 28.00 MSLC (389,180) (0.02)




USD (580) Put,Walgreens Boots Alliance Inc., Expires 19/06/20, Strike 55.00 MSLC (736,600) (0.04)

USD (1,622) Put, Nielsen Holdings Plc, Expires 21/08/20, Strike 18.00 MSLC (989,420) (0.05)

USD (1,584) Put, Nielsen Holdings Plc, Expires 21/08/20, Strike 19.00 MSLC (1,092,960) (0.06)

USD (633) Put, Viacom Inc., Expires 18/09/20, Strike 35.00 MSLC (1,332,465) (0.07)

USD (483) Put, Viacom Inc., Expires 19/06/20, Strike 40.00 MSLC (1,371,720) (0.07)

USD (621) Put, DuPont de Nemours Inc., Expires 19/06/20, Strike 60.00 MSLC (1,760,535) (0.09)

TOTAL (9,880,980) (0.50)

TOTAL OPTIONS WRITTEN (9,880,980) (0.50)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


97


SWAP CONTRACTS

Centrally Cleared Credit Default Swaps (30 September 2019: (0.06)%)

Notional

Amount

Expiration

Date Counterparty

Receive

(Pay)(1)

Annual


Maximum Potential

Amount of Future

Payments by the

Fund Under the

Contract(2)

Value

US$

% of Net

Asset

Value

2,800,000 USD 21/06/22 CSS Receive 1.00% CDX.NA.IG.28 2,800,000 USD (8,323) (0.00)

5,530,000 EUR 21/12/24 JPMF (Pay) 1.00% iTraxxEurope

Crossover Index N/A

(13,667) (0.00)

10,630,000 USD 21/06/25 JPMF Receive 5.00% CDX.NA.HY.34 10,630,000 USD (664,729) (0.04)

TOTAL (686,719) (0.04)

Premiums Paid (Received) (703,053)

Centrally Cleared Interest Rate Swaps (30 September 2019: (0.14)%)

Currency

Notional


Value

US$

% of Net

Asset

Value



JPMF

(2,198) (0.00)

NZD 10,170,000 Fund receives floating rate 3 Month NZD NFIX every 3 months,

Fund pays fixed rate 0.96% every 6 months, Maturity 17/06/30 JPMF

(2,228) (0.00)

USD 513,000 Fund receives floating rate 3 Month USD LIBOR every 3 months,


(6,490) (0.00)



JPMF

(21,597) (0.00)

CAD 11,400,000 Fund pays floating rate 6 Month CAD LIBOR every 3 months,

Fund receives fixed rate 1.10% every 6 months, Maturity 17/06/30 JPMF

(28,979) (0.00)

EUR 4,220,000 Fund pays floating rate 6 Month EUR LIBOR every 6 months,

Fund receives fixed rate (0.06%) every 12 months, Maturity 19/06/30 JPMF

(30,514) (0.00)

SEK 27,500,000 Fund pays floating rate 3 Month SEK STIBOR every 3 months,


(39,820) (0.00)

USD 600,000 Fund receives floating rate 3 Month USD LIBOR every 3 months,


(49,516) (0.00)

SEK 31,700,000 Fund receives floating rate 3 Month SEK STIBOR every 3 months,


(53,000) (0.00)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


98



Centrally Cleared Interest Rate Swaps (30 September 2019: (0.14)%) (continued)

Currency

Notional


Value

US$

% of Net

Asset

Value



(65,289) (0.00)

SEK 67,600,000 Fund receives floating rate 3 Month SEK STIBOR every 3 months,


(82,554) (0.00)



(104,880) (0.01)



(105,926) (0.01)

AUD 45,790,000 Fund receives floating rate 6 Month AUD BBSW every 6 months,


(142,293) (0.01)



(196,727) (0.01)



(241,940) (0.01)



(243,587) (0.01)

CHF 8,900,000 Fund pays floating rate 6 Month CHF LIBOR every 6 months,


(307,703) (0.02)



(313,593) (0.02)

SEK 179,390,000 Fund pays floating rate 3 Month SEK STIBOR every 3 months,


(364,864) (0.02)

CAD 36,210,000 Fund pays floating rate 6 Month CAD LIBOR every 3 months,


(398,812) (0.02)



(403,363) (0.02)



(725,310) (0.04)

TOTAL (3,931,183) (0.20)

FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO

FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET (16,583,112) (0.85)

TOTAL FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED

MARKET (8,108,266) (0.42)

The clearing exchanges for centrally cleared interest rate swaps is LCH Clearnet Group Ltd. The clearing exchange for

centrally cleared credit default swaps is Intercontinental Exchange.

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


99

OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS

FORWARD CURRENCY CONTRACTS (30 September 2019: 0.18%)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Appreciation

US$

% of Net

Asset

Value

USD 32,105,940 AUD 47,692,950 06/05/20 MSCI 2,909,705 0.15

USD 14,079,447 CAD 18,813,155 03/04/20 JPM 861,717 0.05

USD 4,141,936 BRL 17,527,018 05/05/20 MSCI 770,681 0.05

JPY 4,883,000,000 USD 44,605,718 18/05/20 JPM 718,391 0.05

USD 4,737,363 CLP 3,592,816,300 07/04/20 MSCI 521,655 0.04

JPY 3,254,700,000 USD 29,699,203 27/04/20 DB 482,740 0.03

USD 2,856,003 COP 9,682,991,500 06/05/20 MSCI 476,636 0.03

USD 10,233,787 GBP 7,865,700 14/05/20 JPM 472,531 0.03

USD 4,778,204 HUF 1,422,901,233 14/04/20 MSCI 448,554 0.02

AUD 15,890,000 USD 9,359,369 06/05/20 DB 368,026 0.02

USD 7,720,188 GBP 5,949,122 20/04/20 MSCI 341,008 0.02

USD 1,600,000 BRL 6,830,400 05/05/20 MSCI 286,198 0.01

USD 4,240,914 NZD 6,720,000 05/05/20 JPM 258,067 0.01

USD 5,317,510 GBP 4,080,000 14/05/20 MSCI 254,270 0.01

USD 2,695,478 TRY 16,162,356 16/04/20 MSCI 253,648 0.01

USD 1,560,017 ZAR 23,469,873 30/04/20 JPM 251,436 0.01

USD 3,168,961 AUD 4,790,000 06/05/20 MSCI 236,663 0.01

AUD 7,480,000 USD 4,364,580 06/05/20 MSCI 214,458 0.01

USD 5,152,910 EUR 4,520,000 27/04/20 MSCI 188,680 0.01

USD 1,150,000 ZAR 17,364,885 30/04/20 MSCI 181,807 0.01

USD 2,143,157 PLN 8,183,646 15/06/20 MSCI 173,554 0.01

USD 2,739,824 AUD 4,200,000 06/05/20 DB 168,706 0.01

USD 1,866,155 CZK 42,398,582 14/04/20 MSCI 168,005 0.01

USD 1,080,000 COP 3,731,400,000 06/05/20 JPM 163,096 0.01

USD 3,742,969 EUR 3,260,000 27/04/20 MSCI 162,573 0.01

USD 2,485,787 CAD 3,319,968 03/04/20 JPM 153,247 0.01

USD 950,000 ZAR 14,430,671 30/04/20 JPM 145,407 0.01

USD 1,590,000 CZK 36,084,866 14/04/20 JPM 144,727 0.01

USD 950,000 ZAR 14,515,133 30/04/20 JPM 140,697 0.01

USD 1,842,662 CAD 2,459,235 03/04/20 JPM 114,855 0.01

CHF 5,484,278 USD 5,570,000 14/05/20 JPM 110,486 0.01

USD 2,994,743 CHF 2,792,140 30/04/20 UBS 104,636 0.01

JPY 675,000,000 USD 6,150,235 06/04/20 DB 103,121 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


100

OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

FORWARD CURRENCY CONTRACTS (30 September 2019: 0.18%) (CONTINUED)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Appreciation

US$

% of Net

Asset

Value

USD 650,000 RUB 43,433,000 20/04/20 MSCI 95,327 0.00

JPY 470,049,128 USD 4,271,716 09/06/20 CITI 95,071 0.00

USD 2,216,170 GBP 1,710,000 14/05/20 DB 94,077 0.00

USD 620,000 ZAR 9,720,521 30/04/20 DB 78,025 0.00

CHF 9,557,883 USD 9,823,767 14/05/20 CITI 76,063 0.00

USD 480,000 RUB 31,700,340 20/04/20 GS 75,162 0.00

JPY 500,000,000 USD 4,572,211 18/05/20 BCLY 68,800 0.00

USD 6,098,313 JPY 650,000,000 15/06/20 BCLY 58,389 0.00

USD 350,000 BRL 1,517,145 05/05/20 CITI 58,183 0.00

CHF 4,419,599 USD 4,520,000 14/05/20 JPM 57,717 0.00

USD 10,691,512 CHF 10,272,191 04/05/20 JPM 56,453 0.00

USD 640,000 CZK 14,772,774 14/04/20 MSCI 48,320 0.00

USD 897,512 NZD 1,435,365 20/04/20 JPM 46,689 0.00

CHF 6,839,525 USD 7,040,000 14/05/20 JPM 44,219 0.00

USD 863,134 GBP 661,651 17/04/20 MSCI 42,492 0.00

USD 3,150,376 RON 13,723,985 30/04/20 MSCI 41,536 0.00

USD 2,800,000 CAD 3,930,021 03/06/20 JPM 37,430 0.00

AUD 6,450,000 USD 3,913,339 06/05/20 JPM 35,163 0.00

CHF 3,096,082 USD 3,180,000 04/05/20 JPM 25,452 0.00

USD 2,101,181 EUR 1,890,000 27/04/20 DB 25,430 0.00

JPY 93,989,000 USD 845,772 17/04/20 DB 25,388 0.00

USD 1,829,079 AUD 2,950,000 06/05/20 MSCI 23,175 0.00

JPY 169,476,600 USD 1,548,047 17/04/20 DB 22,788 0.00

USD 1,230,000 CLP 1,028,858,100 07/04/20 JPM 22,767 0.00

USD 665,502 AUD 1,050,000 06/05/20 MSCI 22,723 0.00

USD 520,000 IDR 8,155,680,000 20/05/20 JPM 22,682 0.00

USD 1,031,160 EUR 919,103 17/04/20 MSCI 22,146 0.00

AUD 8,440,000 USD 5,145,438 06/05/20 JPM 21,284 0.00

USD 8,710,000 JPY 935,280,671 09/06/20 BOA 21,182 0.00

USD 750,000 INR 55,602,000 04/05/20 MSCI 19,433 0.00

USD 699,096 SGD 970,734 18/05/20 JPM 16,843 0.00

EUR 1,900,000 USD 2,070,791 27/04/20 MSCI 15,943 0.00

USD 272,152 EUR 236,854 17/04/20 DB 12,128 0.00

EUR 2,790,000 USD 3,052,466 27/04/20 BOA 11,737 0.00

CHF 5,265,539 USD 5,440,000 04/05/20 JPM 11,546 0.00

RON 5,038,808 USD 1,130,000 30/04/20 CITI 11,421 0.00

INR 73,150,000 USD 950,000 04/05/20 MSCI 11,134 0.00

USD 610,000 TWD 18,188,980 08/04/20 JPM 7,646 0.00

USD 2,816,851 NZD 4,740,000 05/05/20 JPM 7,521 0.00

USD 1,450,000 CAD 2,052,338 03/06/20 JPM 7,329 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


101


FORWARD CURRENCY CONTRACTS (30 September 2019: 0.18%) (CONTINUED)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Appreciation

US$

% of Net

Asset

Value

USD 619,595 TWD 18,492,440 08/04/20 JPM 7,192 0.00

USD 550,000 PEN 1,866,975 08/04/20 JPM 7,184 0.00

JPY 100,253,390 USD 922,671 17/04/20 DB 6,552 0.00

USD 484,699 PEN 1,645,070 08/04/20 JPM 6,401 0.00

USD 1,521,090 JPY 163,472,000 17/04/20 MSCI 5,910 0.00

USD 390,000 TRY 2,542,430 16/04/20 CITI 5,886 0.00

USD 515,405 EUR 464,577 17/04/20 MSCI 5,381 0.00

USD 60,107 BRL 284,750 05/05/20 JPM 5,336 0.00

USD 12,974,394 JPY 1,400,000,000 06/04/20 JPM 4,469 0.00

USD 442,580 EUR 399,149 17/04/20 DB 4,384 0.00

USD 170,000 TRY 1,103,811 16/04/20 JPM 3,235 0.00

USD 8,711,379 JPY 940,000,000 06/04/20 JPM 3,000 0.00

SGD 302,643 USD 210,000 18/05/20 BOA 2,704 0.00

USD 260,000 INR 19,611,540 04/05/20 JPM 2,320 0.00

IDR 8,065,400,000 USD 490,000 20/05/20 MSCI 1,813 0.00

USD 220,000 THB 7,171,239 13/05/20 JPM 1,450 0.00

USD 21,041 CAD 27,970 12/05/20 MSCI 1,383 0.00

COP 3,993,500,000 USD 980,000 06/05/20 MSCI 1,308 0.00

EUR 89,732 USD 97,515 17/04/20 DB 995 0.00

SGD 157,781 USD 110,000 18/05/20 MSCI 892 0.00

USD 576,583 PHP 29,653,640 02/06/20 MSCI 733 0.00

CAD 27,970 USD 19,234 12/05/20 GS 424 0.00

IDR 2,138,630,000 USD 130,000 20/05/20 JPM 410 0.00

EUR 26,195 USD 28,503 17/04/20 DB 254 0.00

USD 101,334 EUR 92,101 17/04/20 MSCI 223 0.00

USD 110,000 CLP 93,423,000 03/06/20 MSCI 182 0.00

USD 4,952 JPY 520,000 17/04/20 MSCI 132 0.00

EUR 20,971 USD 22,896 17/04/20 MSCI 126 0.00

USD 9,436 EUR 8,526 17/04/20 MSCI 76 0.00

TOTAL 13,927,150 0.71

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


102


SHARE CLASS HEDGES (30 September 2019: 0.56%)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Appreciation

US$

% of Net

Asset

Value

USD 94,863,093 GBP 73,334,900 17/04/20 JPM 3,906,279 0.20

USD 55,910,620 GBP 42,463,900 17/04/20 JPM 3,242,912 0.17

USD 62,275,180 GBP 48,618,300 14/05/20 JPM 1,940,349 0.09

USD 46,197,489 GBP 35,686,600 14/05/20 JPM 1,910,770 0.09

GBP 31,852,000 USD 37,803,113 17/04/20 MSCI 1,702,722 0.09

GBP 65,663,100 USD 79,827,681 14/05/20 MSCI 1,659,579 0.08

USD 26,175,294 EUR 23,078,200 17/04/20 JPM 839,471 0.05

USD 45,727,762 EUR 41,126,700 14/05/20 BCLY 528,381 0.04

EUR 245,645,701 USD 269,544,571 14/05/20 SSB 426,851 0.02

USD 2,830,944 NOK 26,958,300 17/04/20 BOA 263,494 0.02

USD 5,310,934 SEK 50,506,800 14/05/20 BCLY 208,419 0.02

USD 10,507,517 EUR 9,393,000 17/04/20 DB 195,647 0.01

USD 16,179,970 EUR 14,573,400 17/04/20 SSB 180,928 0.01

GBP 2,548,900 USD 2,993,033 17/04/20 BOA 168,352 0.01

NOK 18,710,600 USD 1,647,974 14/05/20 BOA 134,209 0.01

USD 2,315,951 AUD 3,570,500 17/04/20 BOA 130,441 0.01

CHF 27,954,327 USD 28,833,929 14/05/20 JPM 120,504 0.01

USD 1,111,072 NOK 10,421,300 14/05/20 BOA 118,444 0.01

USD 2,845,778 NOK 28,821,600 14/05/20 JPM 100,523 0.01

USD 2,835,278 CHF 2,648,400 17/04/20 BCLY 96,003 0.01

USD 1,080,562 AUD 1,609,700 17/04/20 MSCI 95,261 0.00

USD 9,793,465 EUR 8,836,100 17/04/20 DB 92,974 0.00

USD 4,996,149 SEK 48,621,800 14/05/20 DB 84,069 0.00

SEK 39,046,600 USD 3,865,456 14/05/20 BCLY 79,277 0.00

USD 1,312,154 AUD 2,017,600 14/05/20 CITI 77,033 0.00

USD 6,578,347 EUR 5,918,100 14/05/20 DB 74,191 0.00

USD 2,838,406 SEK 27,410,900 17/04/20 BOA 70,842 0.00

USD 12,392,795 EUR 11,234,600 17/04/20 BCLY 59,171 0.00

USD 2,984,631 CHF 2,833,000 14/05/20 MSCI 50,276 0.00

AUD 2,557,300 USD 1,525,025 14/05/20 DB 40,486 0.00

NOK 17,911,800 USD 1,665,739 17/04/20 MSCI 40,142 0.00

USD 21,113,744 EUR 19,197,000 17/04/20 DB 38,798 0.00

EUR 6,059,500 USD 6,617,222 17/04/20 BOA 35,048 0.00

NOK 5,082,000 USD 453,265 17/04/20 BOA 30,734 0.00

USD 3,096,504 AUD 5,020,100 14/05/20 MSCI 23,331 0.00

CHF 2,001,500 USD 2,050,711 14/05/20 DB 22,396 0.00

USD 2,707,976 CHF 2,598,400 17/04/20 BOA 20,416 0.00

AUD 2,363,600 USD 1,432,821 17/04/20 MSCI 13,944 0.00

SEK 55,917,600 USD 5,638,310 17/04/20 MSCI 7,458 0.00

USD 1,406,347 CHF 1,352,900 17/04/20 SSB 7,025 0.00

USD 4,274,210 SEK 42,247,500 14/05/20 MSCI 6,102 0.00

USD 1,359,852 EUR 1,231,800 14/05/20 JPM 6,069 0.00

USD 1,680,535 CHF 1,617,100 14/05/20 CITI 5,581 0.00

USD 2,961,114 NOK 31,076,600 17/04/20 MSCI 1,446 0.00

TOTAL SHARE CLASS HEDGES 18,856,348 0.96

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


103


OPTIONS PURCHASED

Credit Default Swaptions (30 September 2019: 0.00%)

Currency

Notional


Value

US$

% of Net

Asset

Value

USD 8,649,000 USD Swaption Call, Expires 15/04/20, Strike 0.60% upon potential

exercise of the option, the Fund will enter into swap with the

notional value of USD 8,649,000, in which it will receive a rate of

1.00% every 3 month and pay CDX.NA.IG.33, maturing 20/12/24

MSCI

450 0.00

USD 1,660,000 USD Swaption Call, Expires 15/04/20, Strike 1.06% upon potential

exercise of the option, the Fund will enter into swap with the

notional value of USD 1,660,000, in which it will receive a rate of

1.00% every 3 month and pay CDX.NA.HY.33, maturing 20/12/24

GS

71 0.00

TOTAL 521 0.00

Premium Paid (Received) 22,185

TOTAL OPTIONS PURCHASED 521 0.00

SWAP CONTRACTS

Credit Default Swaps (30 September 2019: 0.19%)

Notional

Amount

Expiration

Date Counterparty

Receive

(Pay)(1)

Annual

Premium

Reference

Entity

Maximum Potential

Amount of Future

Payments by the

Fund Under the

Contract(2)

Value

US$

% of Net

Asset

Value

4,392,387 USD 21/12/24 GS Receive 5.00% CDX.NA.HY.33 4,392,387 USD 579,097 0.03

1,660,000 USD 18/09/58 MORD (Pay) 3.00% CMBX.NA.BBB- N/A 422,294 0.03

3,409,086 USD 21/12/23 JPM Receive 5.00% CDX.NA.HY.31 3,409,086 USD 421,697 0.03

1,472,000 USD 18/09/58 MORD (Pay) 3.00% CMBX.NA.BBB- N/A 374,468 0.03

1,350,000 USD 18/10/57 GS (Pay) 3.00% CMBX.NA.BBB N/A 322,652 0.03

11,060,000 EUR 21/12/24 GS Receive 1.00% iTraxxEurope

Crossover Index

11,060,000 EUR

304,764 0.02

2,000,000 EUR 21/12/24 BOA (Pay) 1.00% iTraxxEurope

Crossover Index

N/A

296,304 0.02


1,480,000 USD 21/12/24 CITI Receive 5.00% CDX.NA.HY.33 1,480,000 USD 195,126 0.01

737,000 USD 18/09/58 DB (Pay) 3.00% CMBX.NA.BBB- N/A 187,489 0.01

777,000 USD 18/10/57 CITI (Pay) 3.00% CMBX.NA.BBB- N/A 185,704 0.01

776,000 USD 18/10/57 GS (Pay) 3.00% CMBX.NA.BBB- N/A 185,465 0.01

800,000 USD 21/06/24 CITI (Pay) 5.00% United States Steel

Corp., 6.65% due

01/06/37

N/A

177,647 0.01

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


104



Credit Default Swaps (30 September 2019: 0.19%) (continued)

Notional

Amount

Expiration

Date Counterparty

Receive

(Pay)(1)

Annual

Premium

Reference

Entity

Maximum Potential

Amount of Future

Payments by the

Fund Under the

Contract(2)

Value

US$

% of Net

Asset

Value

800,000 USD 21/06/24 MORD (Pay) 5.00% United States Steel

Corp., 6.65% due

01/06/37

N/A

177,647 0.01

1,074,750 USD 21/12/22 JPM (Pay) 5.00% CDX.NA.HY.29 N/A 158,267 0.01

600,000 USD 18/09/58 DB (Pay) 3.00% CMBX.NA.BBB- N/A 152,637 0.01

940,000 USD 21/12/22 JPM (Pay) 5.00% CDX.NA.HY.29 N/A 138,423 0.01

1,480,000 USD 18/01/47 CITI (Pay) 2.00% CMBX.NA.A N/A 111,832 0.01



391,500 USD 18/10/57 CSS (Pay) 3.00% CMBX.NA.BBB- N/A 93,569 0.00

366,000 USD 18/10/57 CITI (Pay) 3.00% CMBX.NA.BBB- N/A 87,474 0.00

549,200 USD 21/12/22 MORD (Pay) 5.00% CDX.NA.HY.29 N/A 80,875 0.00

1,420,000 USD 20/12/21 GS (Pay) 5.00% CDX.NA.HY.27 N/A 78,288 0.00

1,766,400 USD 21/12/22 MORD Receive 5.00% CDX.NA.HY.29 1,766,400 USD 73,773 0.00


1,455,000 USD 21/12/21 BOA Receive 5.00% CDX.NA.HY.27 1,455,000 USD 66,401 0.00

1,108,000 USD 18/10/57 CSS (Pay) 1.50% CMBX.NA.AA N/A 65,810 0.00


240,000 USD 18/09/58 GS (Pay) 3.00% CMBX.NA.BBB- N/A 61,055 0.00

1,616,000 USD 18/10/57 MORD (Pay) 1.00% CMBX.NA.AS N/A 55,037 0.00

2,017,206 USD 18/01/47 DB (Pay) 1.00% CMBX.NA.AS N/A 49,585 0.00

350,000 USD 21/12/24 GS (Pay) 5.00% Avis Budget Car

Rental LLC N/A

49,508 0.00

1,730,000 USD 18/01/47 MORD (Pay) 1.00% CMBX.NA.AS N/A 42,526 0.00

700,000 USD 20/12/21 JPM (Pay) 5.00% CDX.NA.HY.27 N/A 38,593 0.00

350,000 USD 21/12/24 JPM (Pay) 5.00% Tenet Healthcare Corp. N/A 38,269 0.00

1,108,000 USD 18/10/57 CITI (Pay) 1.00% CMBX.NA.AS N/A 37,736 0.00

884,400 USD 21/12/22 BOA Receive 5.00% CDX.NA.HY.29 884,400 USD 36,937 0.00

350,000 USD 21/12/24 BOA (Pay) 1.00% Haliburton Co. N/A 34,709 0.00

1,395,600 USD 18/01/47 DB (Pay) 1.00% CMBX.NA.AS N/A 34,306 0.00

700,000 USD 21/12/24 MORD (Pay) 5.00% MGM Resorts

International N/A

20,988 0.00

175,000 USD 21/12/24 JPM (Pay) 5.00% Tenet Healthcare Corp. N/A 19,135 0.00

1,027,040 USD 21/12/24 GS (Pay) 5.00% CDX.NA.HY.33 N/A 15,657 0.00

600,000 USD 18/01/47 GS (Pay) 1.00% CMBX.NA.AS N/A 14,749 0.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


105



Notional

Amount

Expiration

Date Counterparty

Receive

(Pay)(1)

Annual

Premium

Reference

Entity

Maximum Potential

Amount of Future

Payments by the

Fund Under the

Contract(2)

Value

US$

% of Net

Asset

Value

495,000 USD 18/01/47 BOA (Pay) 1.00% CMBX.NA.AS N/A 12,168 0.00

1,550,000 USD 18/09/58 CITI (Pay) 0.50% CMBX.NA.AAA N/A 10,005 0.00



700,000 USD 20/12/20 CITI (Pay) 1.00% CDX.NA.IG.25 N/A 5,032 0.00

672,000 USD 18/09/58 MSCI (Pay) 0.50% CMBX.NA.AAA N/A 4,338 0.00

600,000 USD 20/12/20 BOA (Pay) 1.00% CDX.NA.IG.25 N/A 4,313 0.00

TOTAL 6,093,368 0.31

Premiums Paid (Received) 2,471,209

Total Return Swaps (30 September 2019: 0.07%)

Notional

Amount

Expiration

Date Counterparty Fund Receives Fund Pays

Value

US$

% of Net

Asset

Value

22,900,000 USD 22/06/20 BCLY IBOX.HY 3 Month USD

LIBOR

2,167,704 0.11

17,970,191 USD 26/06/20 MORD 1 Month US Federal Fund

Effective Rate plus a spread of

(0.40)%

Total Return on

Equity Basket

1,618,467 0.10

275,074 USD 18/05/20 MORD 1 Month US Federal Fund


(0.75)%

Total Return on

Equity Basket

21,154 0.00



(0.75)%

Total Return on

Equity Basket

4,564 0.00



(0.40)%

Total Return on

Equity Basket

3,948 0.00

TOTAL 3,815,837 0.21

FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO OVER-THE-

COUNTER FINANCIAL DERIVATIVES INSTRUMENTS

42,693,224 2.19

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


106


FORWARD CURRENCY CONTRACTS (30 September 2019: (0.12)%)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

USD 12,882 EUR 11,750 17/04/20 MSCI (17) (0.00)

USD 200,000 TWD 6,040,000 08/04/20 JPM (23) (0.00)

USD 39,861 JPY 4,304,000 17/04/20 MSCI (31) (0.00)

USD 390,000 TWD 11,778,390 08/04/20 JPM (58) (0.00)

PEN 893,880 USD 260,000 08/04/20 JPM (108) (0.00)

EUR 63,402 USD 69,758 17/04/20 MSCI (154) (0.00)

USD 54,553 JPY 5,918,000 17/04/20 JPM (299) (0.00)

USD 18,980 JPY 2,080,000 17/04/20 MSCI (299) (0.00)

USD 49,514 JPY 5,380,000 17/04/20 DB (352) (0.00)

RON 8,385,643 USD 1,900,000 30/04/20 JPM (433) (0.00)

USD 650,000 MXN 15,372,396 21/05/20 JPM (436) (0.00)

USD 165,336 EUR 151,013 17/04/20 BOA (450) (0.00)

USD 38,049 JPY 4,160,000 17/04/20 BOA (509) (0.00)

USD 33,796 JPY 3,704,000 17/04/20 BOA (536) (0.00)

EUR 16,160 USD 18,302 17/04/20 MSCI (561) (0.00)

USD 59,237 JPY 6,482,000 17/04/20 BOA (843) (0.00)

USD 90,000 PHP 4,678,650 02/06/20 JPM (856) (0.00)

USD 280,903 EUR 256,681 17/04/20 MSCI (887) (0.00)

EUR 152,865 USD 168,856 17/04/20 MSCI (1,038) (0.00)

ZAR 11,278,549 USD 630,000 30/04/20 JPM (1,156) (0.00)

CZK 8,459,684 USD 340,000 14/04/20 JPM (1,172) (0.00)

CZK 16,198,774 USD 650,000 14/04/20 BOA (1,206) (0.00)

USD 189,408 JPY 20,587,500 17/04/20 BOA (1,412) (0.00)

EUR 93,325 USD 104,144 17/04/20 MSCI (1,689) (0.00)

TRY 2,502,145 USD 380,000 16/04/20 JPM (1,973) (0.00)

USD 201,645 EUR 185,550 17/04/20 DB (2,057) (0.00)

USD 309,577 EUR 284,137 17/04/20 DB (2,356) (0.00)

PLN 1,402,460 USD 340,000 15/06/20 MSCI (2,462) (0.00)

USD 520,000 RUB 40,964,560 20/04/20 BCLY (3,149) (0.00)

USD 710,000 RON 3,150,847 30/04/20 JPM (3,749) (0.00)

USD 430,324 EUR 395,418 17/04/20 BCLY (3,776) (0.00)

USD 561,989 KRW 688,998,825 03/04/20 JPM (3,851) (0.00)

ZAR 6,556,124 USD 370,000 30/04/20 GS (4,458) (0.00)

PHP 39,391,660 USD 770,000 02/06/20 JPM (5,047) (0.00)

COP 2,339,720,000 USD 580,000 06/05/20 MSCI (5,069) (0.00)

PLN 2,429,839 USD 590,000 15/06/20 BOA (5,197) (0.00)

USD 1,111,345 CHF 1,078,867 30/04/20 UBS (5,376) (0.00)

KRW 940,791,825 USD 779,027 03/04/20 JPM (6,402) (0.00)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


107


FORWARD CURRENCY CONTRACTS (30 September 2019: (0.12)%) (CONTINUED)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

USD 200,000 KRW 251,793,000 03/04/20 MSCI (6,785) (0.00)

USD 1,000,000 CAD 1,433,082 03/06/20 BCLY (7,371) (0.00)

USD 390,000 RUB 31,150,236 20/04/20 MSCI (7,812) (0.00)

USD 888,664 RUB 70,202,206 20/04/20 MSCI (7,872) (0.00)

JPY 296,500,000 USD 2,756,547 13/04/20 JPM (8,909) (0.00)

EUR 2,180,000 USD 2,403,621 27/04/20 MSCI (9,369) (0.00)

USD 710,000 MXN 17,005,962 21/05/20 JPM (9,556) (0.00)

USD 604,455 JPY 66,289,600 17/04/20 BOA (9,966) (0.00)

JPY 296,500,000 USD 2,757,624 13/04/20 BOA (9,987) (0.00)

USD 5,224,076 JPY 565,000,000 06/04/20 GS (10,215) (0.00)

INR 14,505,700 USD 200,842 04/05/20 JPM (10,248) (0.00)

HUF 243,019,733 USD 750,000 14/04/20 JPM (10,532) (0.00)

USD 2,118,628 CHF 2,057,717 30/04/20 GS (11,289) (0.00)

JPY 296,500,000 USD 2,759,197 13/04/20 BOA (11,560) (0.00)

CHF 2,199,448 USD 2,290,000 14/05/20 JPM (11,863) (0.00)

JPY 296,500,000 USD 2,759,549 13/04/20 GS (11,912) (0.00)

EUR 1,640,000 USD 1,813,505 27/04/20 JPM (12,324) (0.00)

BRL 3,364,020 USD 660,000 05/05/20 MSCI (12,943) (0.00)

EUR 651,777 USD 731,242 17/04/20 MSCI (15,705) (0.00)

PEN 1,645,070 USD 494,119 08/04/20 MSCI (15,821) (0.00)

AUD 6,470,000 USD 3,976,843 06/05/20 MSCI (16,098) (0.00)

TWD 25,464,600 USD 860,000 08/04/20 MSCI (16,704) (0.00)

CAD 10,044,995 USD 7,074,663 03/04/20 JPM (17,258) (0.00)

TWD 47,186,700 USD 1,580,000 08/04/20 JPM (17,345) (0.00)

EUR 2,430,000 USD 2,686,535 27/04/20 CITI (17,712) (0.00)

JPY 606,750,000 USD 5,640,926 13/04/20 JPM (18,232) (0.00)

JPY 606,750,000 USD 5,643,131 13/04/20 BOA (20,437) (0.00)

SEK 9,687,877 USD 1,000,000 04/05/20 MSCI (21,475) (0.00)

THB 15,320,168 USD 488,401 13/05/20 JPM (21,505) (0.00)

BRL 6,334,503 USD 1,240,000 05/05/20 JPM (21,582) (0.00)

EUR 2,610,000 USD 2,888,852 27/04/20 JPM (22,339) (0.00)

USD 1,954,544 EUR 1,800,000 27/04/20 DB (22,361) (0.00)

USD 1,140,000 MXN 27,485,037 21/05/20 JPM (22,946) (0.00)

USD 12,019,998 JPY 1,300,000,000 06/04/20 GS (23,504) (0.00)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


108



Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

JPY 606,750,000 USD 5,646,350 13/04/20 BOA (23,656) (0.00)

JPY 606,750,000 USD 5,647,071 13/04/20 GS (24,376) (0.00)

HUF 427,751,408 USD 1,330,000 14/04/20 BOA (28,424) (0.00)

GBP 571,114 USD 737,630 20/04/20 MSCI (29,231) (0.00)

INR 38,066,614 USD 530,000 04/05/20 CITI (29,834) (0.00)

USD 2,600,000 CHF 2,541,384 04/05/20 JPM (31,159) (0.00)

GBP 565,233 USD 734,401 20/04/20 JPM (33,296) (0.00)

ZAR 12,091,815 USD 710,000 30/04/20 BOA (35,811) (0.00)

CHF 10,000,458 USD 10,390,000 04/05/20 DB (36,273) (0.00)

CLP 649,200,000 USD 800,000 07/04/20 MSCI (38,247) (0.00)

CHF 2,518,679 USD 2,650,000 04/05/20 BOA (42,348) (0.00)

INR 61,290,950 USD 850,000 04/05/20 JPM (44,685) (0.00)

CLP 685,525,000 USD 850,000 07/04/20 MSCI (45,625) (0.00)

USD 2,660,000 ILS 9,549,400 28/05/20 MSCI (46,253) (0.00)

TRY 4,252,136 USD 690,000 16/04/20 JPM (47,582) (0.00)

CHF 1,490,700 USD 1,595,000 04/05/20 MSCI (51,641) (0.00)

TRY 4,749,206 USD 770,000 16/04/20 MSCI (52,484) (0.00)

USD 4,530,000 SEK 45,351,604 08/06/20 JPM (54,065) (0.00)

CLP 694,477,500 USD 870,000 07/04/20 MSCI (55,120) (0.00)

USD 5,447,072 EUR 5,010,000 27/04/20 JPM (55,315) (0.00)

CZK 15,273,467 USD 670,000 14/04/20 CITI (58,266) (0.00)

USD 4,960,644 EUR 4,570,000 27/04/20 MSCI (58,500) (0.00)

JPY 856,646,867 USD 8,008,667 13/05/20 BCLY (58,840) (0.00)

USD 5,435,920 JPY 593,000,000 13/04/20 MSCI (59,354) (0.00)

USD 5,434,754 JPY 593,000,000 13/04/20 JPM (60,521) (0.00)

CAD 5,076,572 USD 3,630,000 03/06/20 MSCI (61,473) (0.00)

USD 790,000 ILS 3,011,466 28/05/20 BOA (63,435) (0.00)

CLP 810,339,000 USD 1,020,000 07/04/20 JPM (69,171) (0.00)

NZD 1,435,365 USD 926,433 20/04/20 BCLY (75,610) (0.00)

USD 9,817,066 CHF 9,557,883 04/05/20 CITI (78,452) (0.00)

JPY 752,500,000 USD 7,050,826 06/04/20 BCLY (79,491) (0.00)

JPY 752,500,000 USD 7,051,882 06/04/20 BCLY (80,547) (0.00)

CLP 950,520,000 USD 1,200,000 07/04/20 JPM (84,687) (0.00)

USD 2,320,000 SEK 23,820,546 04/05/20 JPM (85,997) (0.00)

USD 6,509,705 JPY 711,761,390 17/04/20 BOA (87,428) (0.00)

IDR 10,669,172,000 USD 740,000 20/05/20 MSCI (89,413) (0.00)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


109



Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

ILS 9,739,178 USD 2,849,463 28/05/20 MSCI (89,428) (0.00)

USD 4,340,000 CAD 6,305,586 03/06/20 MSCI (92,450) (0.00)

USD 16,142,309 JPY 1,750,000,000 07/05/20 BCLY (94,093) (0.00)

USD 4,269,988 JPY 470,049,128 02/06/20 CITI (95,634) (0.00)

CZK 27,041,377 USD 1,180,000 14/04/20 JPM (96,937) (0.00)

USD 4,290,000 JPY 472,654,010 09/06/20 JPM (100,986) (0.01)

GBP 2,123,982 USD 2,746,036 20/04/20 GS (111,489) (0.01)

USD 7,280,000 CAD 10,522,158 03/06/20 JPM (116,448) (0.01)

USD 11,123,927 JPY 1,213,500,000 13/04/20 MSCI (121,461) (0.01)

USD 11,121,541 JPY 1,213,500,000 13/04/20 JPM (123,848) (0.01)

EUR 8,660,000 USD 9,638,329 27/04/20 MSCI (127,216) (0.01)

USD 11,506,834 JPY 1,254,700,000 27/04/20 MSCI (128,427) (0.01)

USD 5,290,000 JPY 583,551,697 09/06/20 JPM (131,233) (0.01)

SEK 45,813,041 USD 4,760,000 04/05/20 JPM (132,649) (0.01)

USD 5,510,000 JPY 607,472,872 09/06/20 JPM (133,462) (0.01)

TRY 14,693,787 USD 2,360,000 16/04/20 JPM (140,043) (0.01)

USD 35,272,499 CHF 34,196,483 14/05/20 JPM (147,412) (0.01)

USD 10,700,000 CAD 15,437,272 03/06/20 MSCI (151,479) (0.01)

JPY 470,049,128 USD 4,520,000 02/06/20 JPM (154,378) (0.01)

USD 4,486,631 JPY 500,000,000 18/05/20 GS (154,380) (0.01)

AUD 2,460,000 USD 1,664,702 06/05/20 GS (158,761) (0.01)

GBP 2,688,792 USD 3,496,792 20/04/20 GS (161,665) (0.01)

IDR 14,765,804,600 USD 1,067,510 20/05/20 MSCI (167,119) (0.01)

USD 9,550,000 SEK 96,241,195 04/05/20 DB (170,852) (0.01)

CAD 9,207,854 USD 6,670,000 03/06/20 MSCI (197,430) (0.01)

CHF 4,008,525 USD 4,350,000 14/05/20 JPM (198,064) (0.01)

GBP 4,190,000 USD 5,403,940 14/05/20 JPM (204,191) (0.01)

NZD 4,260,000 USD 2,759,001 05/05/20 JPM (234,160) (0.01)

GBP 3,670,000 USD 4,791,863 14/05/20 JPM (237,429) (0.01)

GBP 5,880,000 USD 7,536,781 14/05/20 JPM (239,759) (0.01)

JPY 2,470,493,263 USD 23,214,340 09/06/20 JPM (263,298) (0.01)

USD 18,275,719 JPY 2,000,000,000 27/04/20 MSCI (270,963) (0.01)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


110



Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

JPY 2,500,000,000 USD 23,491,233 11/05/20 BCLY (292,668) (0.02)

USD 3,460,000 NOK 39,762,157 11/05/20 JPM (327,308) (0.03)

USD 22,870,184 JPY 2,500,000,000 11/05/20 BCLY (328,381) (0.03)

USD 24,243,214 JPY 2,650,000,000 18/05/20 BCLY (354,142) (0.03)

SEK 121,014,089 USD 12,587,932 04/05/20 MSCI (364,892) (0.03)

ZAR 40,834,758 USD 2,761,830 30/04/20 BOA (485,056) (0.03)

RUB 176,485,782 USD 2,749,428 20/04/20 MSCI (495,569) (0.04)

SEK 143,519,183 USD 15,158,983 08/06/20 MSCI (652,301) (0.04)

USD 20,037,293 JPY 2,233,000,000 18/05/20 GS (689,460) (0.05)

NOK 74,678,765 USD 7,973,602 04/06/20 JPM (860,045) (0.05)

MXN 90,493,709 USD 4,803,964 21/05/20 MSCI (974,998) (0.06)

NOK 104,118,024 USD 11,302,312 11/05/20 JPM (1,385,167) (0.07)

CAD 26,033,576 USD 19,692,345 03/04/20 BOA (1,401,696) (0.07)

CAD 37,915,092 USD 28,369,580 03/06/20 JPM (1,717,536) (0.09)

TOTAL (17,793,957) (0.91)

SHARE CLASS HEDGES (30 September 2019: (0.90)%)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

USD 111,555 NOK 1,243,400 17/04/20 BCLY (6,864) (0.00)

CHF 1,894,400 USD 1,969,876 17/04/20 BOA (10,473) (0.00)

USD 2,101,906 NOK 22,281,800 14/05/20 BOA (20,434) (0.00)

NOK 29,103,500 USD 2,792,938 14/05/20 BOA (20,832) (0.00)

USD 1,722,152 CHF 1,691,200 14/05/20 BOA (29,553) (0.00)

USD 1,613,229 AUD 2,698,100 17/04/20 BOA (38,284) (0.00)

USD 995,089 AUD 1,706,000 14/05/20 BOA (49,279) (0.00)

EUR 11,518,100 USD 12,731,486 14/05/20 DB (72,775) (0.00)

USD 6,589,806 EUR 6,064,500 14/05/20 MSCI (75,248) (0.00)

USD 6,792,197 EUR 6,271,400 17/04/20 MSCI (92,703) (0.00)

NOK 7,987,300 USD 858,167 14/05/20 MSCI (97,378) (0.00)

NOK 9,102,500 USD 984,904 17/04/20 MSCI (118,002) (0.01)

USD 22,423,580 EUR 20,534,600 14/05/20 MSCI (144,514) (0.01)

USD 1,878,632 NOK 21,292,500 14/05/20 BOA (149,477) (0.01)

NOK 9,931,300 USD 1,107,383 17/04/20 MSCI (161,548) (0.01)

USD 4,862,987 SEK 50,284,300 14/05/20 MSCI (217,049) (0.01)

CHF 28,503,728 USD 29,712,213 17/04/20 BOA (230,433) (0.01)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


111


SHARE CLASS HEDGES (30 September 2019: (0.90)%) (CONTINUED)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

SEK 167,613,700 USD 17,169,424 14/05/20 MSCI (236,035) (0.01)

USD 24,381,079 EUR 22,457,200 14/05/20 BCLY (300,005) (0.02)

USD 32,446,894 EUR 29,898,000 17/04/20 SSB (375,876) (0.02)

USD 20,644,195 EUR 19,259,100 14/05/20 DB (522,089) (0.03)

USD 116,521,584 GBP 94,366,500 14/05/20 JPM (586,313) (0.03)

SEK 496,543,200 USD 51,848,009 14/05/20 SSB (1,684,095) (0.09)

USD 78,412,523 GBP 64,769,100 17/04/20 MSCI (1,920,184) (0.10)

AUD 36,751,697 USD 24,832,298 14/05/20 MSCI (2,333,879) (0.12)

GBP 42,689,700 USD 55,350,283 14/05/20 SSB (2,372,786) (0.12)

SEK 505,072,000 USD 53,518,226 17/04/20 BCLY (2,523,202) (0.13)

AUD 37,111,598 USD 25,630,988 17/04/20 JPM (2,914,898) (0.15)

NOK 275,520,400 USD 29,939,471 14/05/20 MSCI (3,696,174) (0.19)

USD 60,662,995 GBP 52,341,800 17/04/20 SSB (4,256,211) (0.22)

USD 70,538,628 GBP 60,452,700 14/05/20 SSB (4,482,576) (0.23)

NOK 263,343,700 USD 29,702,303 17/04/20 BCLY (4,622,022) (0.23)

EUR 250,093,801 USD 280,585,237 17/04/20 MSCI (6,026,025) (0.31)

USD 86,309,889 GBP 74,856,000 14/05/20 BCLY (6,585,669) (0.34)

USD 118,981,537 GBP 102,906,600 17/04/20 SSB (8,652,872) (0.44)

GBP 257,596,436 USD 334,763,055 14/05/20 BCLY (15,088,417) (0.77)

GBP 257,596,437 USD 334,773,360 14/05/20 SSB (15,098,721) (0.77)

GBP 257,596,437 USD 335,149,708 14/05/20 JPM (15,475,068) (0.79)

GBP 269,600,437 USD 351,697,814 17/04/20 MSCI (17,314,087) (0.89)

GBP 269,600,436 USD 352,131,330 17/04/20 SSB (17,747,604) (0.91)

GBP 269,600,437 USD 352,237,015 17/04/20 JPM (17,853,288) (0.91)

TOTAL SHARE CLASS HEDGES (154,202,942) (7.88)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


112


OPTIONS WRITTEN

Credit Default Swaptions (30 September 2019: (0.00)%)

Currency

Notional


Value

US$

% of Net

Asset

Value

USD (1,572,000) USD Swaption Put, Expires 20/05/20, Strike 0.90% upon

potential exercise of the option, the Fund will enter into swap

with the notional value of USD 1,572,000, in which it will

receive a rate of 1.00% every 3 month and pay CDX.NA.HY.33, maturing

20/12/24 BCLY

(41,228) (0.00)

EUR (2,020,000) EUR Swaption Put, Expires 15/04/20, Strike 5.00% upon



receive a rate of 1.00% every 3 month and pay iTraxx, maturing

20/12/24 DB

(77,780) (0.00)




receive a rate of 1.00% every 3 month and pay CDX.NA.IG.33, maturing

20/12/24 MSCI

(94,312) (0.00)




receive a rate of 1.00% every 3 month and pay CDX.NA.HY.33, maturing

20/12/24 GS

(186,311) (0.02)

TOTAL (399,631) (0.02)

Premium Paid (Received) (319,596)

TOTAL OPTIONS WRITTEN (399,631) (0.02)

SWAP CONTRACTS

Credit Default Swaps (30 September 2019: (0.01)%)

Notional

Amount

Expiration

Date Counterparty

Receive

(Pay)(1)

Annual


Maximum

Potential Amount

of Future Payments

by the Fund Under

the Contract(2)

Value

US$

% of Net

Asset

Value

247,200 USD 21/12/22 BCLY (Pay) 5.00% Navient Corp. N/A (566) (0.00)

564,800 USD 21/12/22 BCLY (Pay) 5.00% Navient Corp. N/A (1,294) (0.00)

800,000 USD 21/12/22 GS (Pay) 5.00% Navient Corp. N/A (1,832) (0.00)

800,000 USD 21/12/22 GS (Pay) 5.00% Navient Corp. N/A (1,832) (0.00)

2,800,000 USD 21/06/22 BCLY (Pay) 1.00% D.R. Horton, Inc. N/A (33,367) (0.00)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


113



Credit Default Swaps (30 September 2019: (0.01)%)

Notional

Amount

Expiration

Date Counterparty

Receive

(Pay)(1)

Annual


Maximum

Potential Amount

of Future Payments

by the Fund Under

the Contract(2)

Value

US$

% of Net

Asset

Value

350,000 USD 21/12/24 CSS (Pay) 5.00% United Rentals

North America Inc.

N/A (35,259) (0.00)

350,000 USD 21/12/24 JPM (Pay) 5.00% United Rentals

North America Inc.

N/A (35,259) (0.00)

350,000 USD 21/12/24 BCLY (Pay) 5.00% HCA Inc. N/A (35,858) (0.00)

58,278 EUR 21/12/23 JPM Receive 5.00% iTraxxEurope

Crossover Index

58,278 EUR (53,123) (0.00)

732,000 USD 12/05/63 CITI Receive 2.00% CMBX.NA.A 732,000 USD (76,861) (0.00)

783,000 USD 12/05/63 CSS Receive 2.00% CMBX.NA.A 783,000 USD (82,216) (0.00)

208,000 USD 21/06/20 MORD Receive 5.00% JC Penney Corp.

Inc.

208,000 USD (91,957) (0.00)

1,177,600 USD 18/09/58 GS Receive 2.00% CMBX.NA.A 1,177,600 USD (119,832) (0.01)

239,616 EUR 21/12/23 JPM Receive 5.00% iTraxxEurope

Crossover Index

239,616 EUR (218,423) (0.02)

5,000,000 EUR 21/12/24 BOA Receive 1.00% iTraxxEurope

Crossover Index

5,000,000 EUR (277,464) (0.02)

TOTAL (1,065,143) (0.05)

Premiums Paid (Received) 2,544,990

Total Return Swaps (30 September 2019: (0.02)%)

Notional

Amount

Expiration


Value

US$

% of Net

Asset

Value

664 USD 18/05/20 MORD 1 Month US Federal Fund Effective

Rate plus spread of (2.38)%

Total Return on

Equity Basket

(126) (0.00)

27,708 USD 18/05/20 MORD 1 Month US Federal Fund Effective


Total Return on

Equity Basket

(517) (0.00)



Total Return on

Equity Basket

(2,419) (0.00)

7,050,000 USD 22/06/20 JPM IBOX.HY 3 Month USD

LIBOR

(36,549) (0.00)

380,000 USD 22/06/20 MSCI IBOX.HY 3 Month USD

LIBOR

(42,807) (0.00)

503,528 USD 21/12/21 CSS 1 Month US Federal Fund Effective


Total Return on

Equity Basket

(72,505) (0.00)

1,674,141 USD 24/05/21 GS 1 Month US Federal Fund Effective


Total Return on

Equity Basket

(122,901) (0.01)


Rate plus a spread of (1.69)%

Total Return on

Equity Basket

(180,896) (0.01)

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


114



Total Return Swaps (30 September 2019: (0.02)%)

Notional

Amount

Expiration


Value

US$

% of Net

Asset

Value

1,990,001 USD 22/06/20 JPM IBOX.HY 3 Month USD

LIBOR

(213,646) (0.01)



Total Return on

Equity Basket

(264,645) (0.01)

2,222,223 USD 18/05/20 MORD 1 Month US Federal Fund Effective


Total Return on

Equity Basket

(291,775) (0.01)

2,878,749 USD 07/12/20 GS CSI 500 plus a spread (5.70)% 1 Month USD

LIBOR

(298,135) (0.02)

2,989,999 USD 22/06/20 MSCI IBOX.HY 3 Month USD

LIBOR

(324,096) (0.02)



Total Return on

Equity Basket

(364,340) (0.02)



Total Return on

Equity Basket

(515,170) (0.03)



Total Return on

Equity Basket

(592,861) (0.03)



Total Return on

Equity Basket

(594,591) (0.03)



Total Return on

Equity Basket

(1,104,667) (0.07)



Total Return on

Equity Basket

(1,579,781) (0.08)

TOTAL (6,602,427) (0.35)

FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO OVER-

THE-COUNTER FINANCIAL DERIVATIVES INSTRUMENTS (180,064,100) (9.21)

TOTAL OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (137,370,876) (7.02)

As at 31 March 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover


Value

US$

% of Net

Asset

Value

Total financial assets at fair value through profit or loss 2,061,252,509 105.40

Total financial liabilities at fair value through profit or loss (196,647,212) (10.06)

Cash at bank 88,239,675 4.51

Other assets in excess of liabilities 2,862,826 0.15

Net assets attributable to holders of redeemable participating shares 1,955,707,798 100.00

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


115


% of Total

Asset

Value





Over-the-counter financial derivative instruments 1.93

93.23

† Denominated in U.S. Dollar, unless otherwise indicated. (a) Security has been fair valued at probable realisation value determined with care and in good faith by the Administrator (the Administrator

being approved by the Depositary as a competent person for such purpose) in consultation with the Investment Manager. (b) Security valued using a single source price. (c) Security is in default. (d) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC

swap contracts, forward currency contracts, and/or written options, if any. (e) lndexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

(1) Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the

particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the

referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or

securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the

referenced index.

(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap

contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced

obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities

equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the

referenced index.

(2) The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under

the terms of that particular swap contract.



_____________________________________________________________________________________________

GMO FUNDS PLC

GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND


AS AT 31 MARCH 2020

_____________________________________________________________________________________________


116

Shares Description

Value

US$

% of Net

Asset

Value


Equities


1,960 Anheuser-Busch InBev SA 87,035 0.07

87,035 0.07


106,100 Atacadao Distribuicao Comercio e Industria Ltd. 422,019 0.34

6,400 B3 SA - Brasil Bolsa Balcao 44,299 0.04

96,080 Banco Bradesco SA - Preferred Shares 384,757 0.31

126,200 BR Malls Participacoes SA 242,833 0.19

117,810 Itau Unibanco Holding SA - Preferred Shares 524,473 0.41

49,150 Localiza Rent a Car SA 249,228 0.20

73,200 Lojas Renner SA 473,642 0.38

74,600 Rumo SA 282,630 0.23

193,500 Via Varejo SA 196,985 0.16

2,820,866 2.26


31,600 Alibaba Group Holding Ltd. 747,712 0.60


120,250 A-Living Services Co. Ltd., 144A 584,890 0.47

50,300 Angel Yeast Co. Ltd. 249,617 0.20

74,500 Anhui Conch Cement Co. Ltd. 517,595 0.41


1,000 Baidu Inc. - Depositary Receipts 100,790 0.08

15,600 Bilibili Inc. - Depositary Receipts 365,352 0.29


461,200 China International Capital Corp. Ltd., 144A 746,165 0.60

219,000 China Mengniu Dairy Co. Ltd. 761,466 0.61

224,500 China Merchants Bank Co. Ltd. 1,013,753 0.81

196,000 China Resources Land Ltd. 809,196 0.65

7,300 Huazhu Group Ltd. - Depositary Receipts 209,729 0.17

106,700 JD.com Inc. - Depositary Receipts 4,321,350 3.47

69,748 Jiangsu Hengli Hydraulic Co. Ltd. 604,743 0.48

4,470 Kweichow Moutai Co. Ltd. 700,141 0.56

128,000 Longfor Group Holdings Ltd., 144A 623,411 0.50

17,000 Meituan Dianping 205,402 0.16

442,000 MGM China Holdings Ltd. 452,213 0.36



7,200 New Oriental Education & Technology Group Inc. - Depositary Receipts 779,328 0.62

342,425 Ping An Bank Co. Ltd. 617,930 0.49

115,000 Ping An Insurance Group Co. of China Ltd. 1,129,837 0.90

291,000 Shenzhen International Holdings 533,125 0.43

22,797 Shenzhen Mindray Bio - Medical Electronics Co.Ltd. 841,096 0.67


611,000 Sun Art Retail Group Ltd. 906,540 0.73


21,434 TAL Education Group - Depositary Receipts 1,141,575 0.91

206,717 Tencent Holdings Ltd. 10,139,958 8.10

10,800 Vipshop Holdings Ltd. - Depositary Receipts 168,264 0.13

12,134 Wuliangye Yibin Co. Ltd. 197,070 0.16

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


117

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



1,500 Wuxi Biologics Cayman Inc. 19,449 0.02

48,000 Yihai International Holding Ltd. 363,519 0.29


80,000 Zhongsheng Group Holdings Ltd. 279,709 0.22

28,200 ZTO Express Cayman Inc. - Depositary Receipts 746,736 0.60

44,894,355 35.91


92,575 AIA Group Ltd. 837,856 0.67

837,856 0.67

Hungary (30 September 2019: Nil)

8,491 OTP Bank NYRT 245,378 0.20

245,378 0.20


13,155 Ajanta Pharma Ltd. 236,490 0.19

23,964 Asian Paints Ltd. 524,570 0.42

131,589 Bharti Airtel Ltd. 766,213 0.62

78,819 Coffee Day Enterprises Ltd., 144A 24,484 0.02

593,732 Gayatri Highways Ltd. 1,570 0.00

593,732 Gayatri Projects Ltd. 67,103 0.05

13,578 HDFC Bank Ltd. 153,986 0.12



67,049 ICICI Bank Ltd. 283,968 0.23

8,495 Ipca Laboratories Ltd. 155,412 0.12

9,571 Jubilant Foodworks Ltd. 186,609 0.15


49,584 Muthoot Finance Ltd. 401,155 0.32

1,513 Nestle India Ltd. 325,454 0.26


27,061 Torrent Pharmaceuticals Ltd. 703,968 0.56

5,538,868 4.44


1,467,000 Bank Central Asia Tbk PT 2,484,726 1.99

2,248,000 Uni-Charm Indonesia Tbk PT 173,665 0.14

2,658,391 2.13


11,400 Fomento Economico Mexicano SAB de CV 70,088 0.06

36,800 Grupo Financiero Banorte SAB de CV 101,964 0.08

462,400 Wal-Mart de Mexico SAB de CV 1,101,635 0.88

1,273,687 1.02

Peru ( 30 September 2019: 0.54%)

300 CrediCorp. Ltd. 42,921 0.03

42,921 0.03


460,632 BDO Unibank Inc. 937,385 0.75

484,280 Puregold Price Club Inc. 347,071 0.28

1,351,700 Semirara Mining & Power Corp. 292,347 0.23

1,576,803 1.26

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


118

Shares Description

Value

US$

% of Net

Asset

Value


(CONTINUED)


Poland (30 September 2019: Nil)

2,966 Bank Pekao SA 40,089 0.03

40,089 0.03


91,065 Sberbank of Russia PJSC - Depositary Receipts 867,849 0.69

9,328 X5 Retail Group NV - Depositary Receipts 251,856 0.20

25,400 Yandex NV 864,870 0.69

1,984,575 1.58


23,666 FirstRand Ltd. 53,361 0.04

8,507 Naspers Ltd. 1,216,372 0.97

1,269,733 1.01


3,199 Kakao Corp. 408,629 0.33

124 LG Household & Health Care Ltd. 114,084 0.09


10,491 SK Hynix Inc. 717,871 0.57

9,316,016 7.45


34,544 Nestle SA 3,550,618 2.84

3,550,618 2.84


16,000 Airtac International Group 238,613 0.19

1,495,000 CTBC Financial Holding Co. Ltd. 884,893 0.71

265,000 Delta Electronics Inc. 1,055,917 0.84

637,442 E.Sun Financial Holding Co. Ltd. 511,151 0.41

443,000 Hon Hai Precision Industry Co. Ltd. 1,023,947 0.82

12,000 Largan Precision Co. Ltd. 1,519,766 1.22

86,000 MediaTek Inc. 931,336 0.75

948,000 Mega Financial Holding Co. Ltd. 891,841 0.71

562,899 Taiwan Cement Corp. 735,232 0.59

778,100 Taiwan Semiconductor Manufacturing Co. Ltd. 7,049,895 5.64

25,100 Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 1,199,529 0.96

16,042,120 12.84


68,400 CP ALL PCL 127,139 0.10

10,040,336 Digital Telecommunications Infrastructure Fund 4,589,169 3.67

1,122,400 Quality Houses Leasehold Property Fund REIT 362,533 0.29

85,700 Tisco Financial Group PCL 182,146 0.15

5,260,987 4.21


361,030 Akbank Turk AS 306,782 0.25

306,782 0.25

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


119

Shares/

Par Value+ Description

Value

US$

% of Net

Asset

Value


(CONTINUED)



2,904 Unilever Plc 146,751 0.12

146,751 0.12

United States (30 September 2019: Nil)

400 MercadoLibre Inc. 195,432 0.16

3,800 PepsiCo Inc. 456,380 0.37

651,812 0.53

Vietnam (30 September 2019: 1.01%)

632,570 Bank for Foreign Trade of Vietnam JSC 1,660,640 1.33

1,660,640 1.33


TOTAL TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK

EXCHANGE UNLESS OTHERWISE NOTED 100,206,283 80.18


Debt Obligations


2,250,000 United States Treasury Bill, 0.00%, 25/06/2020(a) 2,249,534 1.80

2,249,534 1.80

TOTAL DEBT OBLIGATIONS 2,249,534 1.80



_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


120

Shares Description

Value

US$

% of Net

Asset

Value


China (30 September 2019: Nil)

72,824 CSOP Source FTSE China A50 UCITS ETF 1,499,446 1.20

1,499,446 1.20


17,005 iShares MSCI Russia ADR 1,599,830 1.28

1,599,830 1.28


35,941 iShares MSCI Taiwan UCITS ETF 1,539,722 1.23

1,539,722 1.23



12,268,591 9.82

TOTAL COLLECTIVE INVESTMENT SCHEMES 16,907,589 13.53

TOTAL INVESTMENTS AT FAIR VALUE 119,363,406 95.51 FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON A REGULATED MARKET FUTURES CONTRACTS* (30 September 2019: Nil)

Number of

Contracts Type

Expiration

Date Position+

Notional

Amount

US$

Net

Unrealised

Appreciation

US$

% of Net

Asset

Value


2,942,186 260,834 0.21 * The clearing brokers for the futures contracts is Morgan Stanley & Co. Incorporated. † Buy - Fund is long the futures contract.

Sale - Fund is short the futures contract. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO


260,834 0.21 FUTURES CONTRACTS* (30 September 2019:Nil)

Number of

Contracts Type

Expiration

Date Position+

Notional

Amount

US$

Net

Unrealised

Depreciation

US$

% of Net

Asset

Value

(407) Set 50 Futures June 2020 Sale (1,798,015) (44,662) (0.03)

(1,798,015) (44,662) (0.03) * The clearing brokers for the futures contracts is JP Morgan Securities Inc. † Buy - Fund is long the futures contract.


FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO


(44,662) (0.03)

TOTAL FINANCIAL DERIVATIVE INSTRUMENTS TRADED ON REGULATED MARKET 216,172 0.18

_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


121

OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS

FORWARD CURRENCY CONTRACTS (30 September 2019: Nil)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Appreciation

US$

% of Net

Asset

Value

USD 7,048 THB 222,901 25/02/21 MSCI 249,348 0.20

TOTAL 249,348 0.20

SWAP CONTRACTS

Total Return Swaps (30 September 2019: Nil)

Notional

Amount

Expiration


Net Unrealised

Appreciation

US$

% of Net

Asset

Value

781,000 USD 25/02/21 GS 3 Month USD LIBOR Xtrackers MSCI Philippines UCITS ETF 210,831 0.17

210,831 0.17

FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO OVER-THE

COUNTER FINANCIAL DERIVATIVES INSTRUMENTS

460,179 0.37

FORWARD CURRENCY CONTRACTS (30 September 2019: Nil)

Currency

Purchased

Amount

Bought

Currency

Sold

Amount

Sold

Expiration

Date Counterparty

Net Unrealised

Depreciation

US$

% of Net

Asset

Value

THB 35,589 USD 1,134 25/02/21 MSCI (48,325) (0.04)

TOTAL (48,325) (0.04)

FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS RELATED TO OVER

THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS

(48,325) (0.04)

TOTAL OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS 411,854 0.33

As at 31 March 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover


Value

US$

% of Net

Asset

Value


Total financial liabilities at fair value through profit or loss (92,987) (0.07)

Cash at bank 5,003,212 4.00

Other liabilities in excess of assets (28,529) (0.02)


_____________________________________________________________________________________________

GMO FUNDS PLC



AS AT 31 MARCH 2020

_____________________________________________________________________________________________


122


% of Total

Asset

Value





Over-the-counter financial derivative instruments 0.36

93.19

+Denominated in U.S. Dollar, unless otherwise indicated. (a)The rate shown represents yield-to-maturity. Yield rounds to 0.00%.



_____________________________________________________________________________________________

GMO FUNDS PLC

PORTFOLIO ABBREVIATIONS, COUNTERPARTY ABBREVIATIONS AND

CURRENCY ABBREVIATIONS

AS AT 31 MARCH 2020

_____________________________________________________________________________________________


123

Portfolio Abbreviations: AUD BBSW Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR London Interbank Offered Rate denominated in Canadian Dollar.

CHF LIBOR London Interbank Offered Rate denominated in Swiss Franc.

CLO Collateralized Loan Obligation.

CVR Contingent Value Right.

ETF Exchange-Traded Fund.

EUR LIBOR London Interbank Offered Rate denominated in Euro.

GBP LIBOR London Interbank Offered Rate denominated in British Pound.

JSC Joint Stock Company.

NZD NFIX New Zealand 3 Month Bank Bill Benchmark Rate denominated in New Zealand Dollar.

OJSC Open Joint-Stock Company.

PJSC Public Joint-Stock Company.

QPSC Qatar Private Stock Company.

QSC Qatari Shareholding Company.

REIT Real Estate Investment Trust.

SEK STIBOR Stockholm Interbank Offered Rate denominated in Swedish Krona.

USD LIBOR London Interbank Offered Rate denominated in United States Dollar.

144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in

transactions exempt from registration, normally to qualified institutional investors.

Counterparty Abbreviations: BCLY Barclays Bank Plc

BOA Bank of America, N.A.

CITI Citibank N.A.

CSS Credit Suisse Securities (USA) LLC

DB Deutsche Bank AG

GS Goldman Sachs International

JPM JP Morgan Chase Bank, N.A.

JPMF J.P. Morgan Securities LLC

MORD Morgan Stanley Capital Services LLC

MSCI Morgan Stanley & Co. International Plc

MSLC Morgan Stanley & Co. LLC

SSB State Street Bank and Trust Company

UBS UBS AG

Currency Abbreviations:

AUD Australian Dollar MXN Mexican Peso

BRL Brazilian Real NOK Norwegian Krone

CAD Canadian Dollar NZD New Zealand Dollar

CHF Swiss Franc PEN Peruvian Sol

CLP Chilean Peso PHP Philippine Peso

COP Colombian Peso PLN Polish Zloty

CZK Czech Republic Koruna RON Romanian Leu

EUR Euro RUB Russian Ruble

GBP British Pound Sterling SEK Swedish Krona

HUF Hungarian Forint SGD Singapore Dollar

IDR Indonesian Rupee THB Thai Baht

ILS Israeli Shekel TRY Turkish Lira

INR Indian Rupee TWD Taiwan New Dollar

JPY Japanese Yen USD United States Dollar

KRW South Korean Won ZAR South African Rand

GMO FUNDS PLC

STATEMENT OF COMPREHENSIVE INCOME


124

Notes

GMO Global

Equity Allocation Investment Fund

For the six-month

financial period ended 31 March

2020

GMO Global

Equity AllocationInvestment Fund

For the six-month

financial periodended 31 March

2019

GMO QualityInvestment Fund

For the six-month


2020


For the six-month


2019

GMO Emerging

Markets Equity Fund

For the six-month

financial period ended 31 March

2020

GMO Emerging

Markets EquityFund

For the six-month


2019

Investment income £ £ US$ US$ US$ US$

Interest income 2,742 3,108 10,992 20,193 26,558 16,821

Dividend income 441,583 411,656 435,959 586,939 1,117,147 1,154,411

Other income 936 66 27 - 39 578

Net gains/(losses) on financial assets and financial liabilities at fair value through profit or (loss) (6,734,924) (924,109) (3,181,716) (946,534) (20,199,140) 5,442,597

Total investment income/(loss) (6,289,663) (509,279) (2,734,738) (339,402) (19,055,396) 6,614,407

Operating expenses

Investment management fees 3 (118,839) (107,465) (109,123) (145,667) (640,235) (550,347)

Administration, depositary and transfer agent fees 3 (23,373) (19,440) (21,027) (22,899) (76,667) (71,788)

Statutory audit fees (5,456) (5,480) (6,903) (7,128) (6,920) (7,128)

Legal fees (4,861) (4,237) (5,576) (5,013) (13,255) (8,584)

Directors’ fees 3 (370) (270) (475) (396) (1,315) (765)

Transaction fees 3 (49,765) (54,854) (15,252) (4,801) (281,295) (340,546)

Other expenses (19,413) (22,049) (21,320) (14,136) (18,767) (59,651)

Total operating expenses (222,077) (213,795) (179,676) (200,040) (1,038,454) (1,038,809)

Fund expense reimbursements 3 57,655 61,200 26,360 8,894 70,342 104,347

Refund of value added tax 341 475 632 6,031 1,488 574

Net profit/(loss) for the six-month financial period before interest

paid and tax (6,453,744) (661,399) (2,887,422) (524,517) (20,022,020) 5,680,519

Finance costs

Interest paid - - - - - -

Net profit/(loss) for the six-month financial period before tax (6,453,744) (661,399) (2,887,422) (524,517) (20,022,020) 5,680,519

Capital gains tax 4 51,255 (72,202) - (149,900) (8,749) (175,453)

Withholding tax 4 (74,280) (37,956) (109,837) - (131,469) (23,817)

Net increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations (6,476,769) (771,557) (2,997,259) (674,417) (20,162,238) 5,481,249

Income and expense results arose solely from continuing operations. There were no recognised gains or losses other than those included in the Statement of Comprehensive Income.

GMO FUNDS PLC

STATEMENT OF COMPREHENSIVE INCOME (CONTINUED)


125

Notes

GMO Global RealReturn (UCITS)

Fund

For the six-monthfinancial period

ended 31 March2020


Fund


ended 31 March2019

GMO Emerging

DomesticOpportunities

Equity Fund


ended 31 March2020

GMO Emerging


Equity Fund


ended 31 March2019

Total

For the six-month financial period

ended 31 March2020

Total

For the six-month financial period

ended 31 March2019

Investment income US$ US$ US$ US$ £ £

Interest income 12,465,166 18,059,042 27,511 79,018 9,776,319 14,017,908

Dividend income 18,657,807 20,434,324 756,181 590,754 16,795,916 17,966,849

Other income - 369,403 - 32,764 987 310,623 Net gains/(losses) on financial assets and financial liabilities at fair

value through profit or (loss) (348,187,794) (73,556,434) (19,314,056) 4,383,793 (311,623,437) (50,796,220)

Total investment income/(loss) (317,064,821) (34,693,665) (18,530,364) 5,086,329 (285,050,215) (18,500,840)

Operating expenses

Investment management fees 3 (9,573,786) (11,559,554) (687,990) (574,931) (8,707,524) (10,001,063)

Administration, depositary and transfer agent fees 3 (660,225) (744,138) (68,632) (59,324) (668,083) (712,003)

Statutory audit fees (31,455) (32,663) (6,903) (7,128) (46,157) (47,156)

Legal fees (96,785) (94,690) (7,946) (7,788) (101,239) (93,742)

Directors’ fees 3 (25,875) (27,526) (1,098) (944) (22,805) (23,118)

Transaction fees 3 (1,976,417) (2,303,830) (421,046) (384,926) (2,151,093) (2,394,451)

Other expenses (333,133) (366,746) (20,775) (21,475) (326,729) (378,303)

Total operating expenses (12,697,676) (15,129,147) (1,214,390) (1,056,516) (12,023,630) (13,649,836)

Fund expense reimbursements 3 - - 47,490 59,298 170,125 194,245

Refund of value added tax 13,678 8,524 834 996 13,314 12,909

Net profit/(loss) for the six-month financial period before interest

paid and tax (329,748,819) (49,814,288) (19,696,430) 4,090,107 (296,890,406) (31,943,522)

Finance costs

Interest paid (36,760) (17,753) - - (28,673) (13,689)

Net profit/(loss) for the six-month financial period before tax (329,785,579) (49,832,041) (19,696,430) 4,090,107 (296,919,079) (31,957,211)

Capital gains tax 4 1,963,481 (3,162,147) 59,087 (48,481) 1,622,034 (2,798,797)

Withholding tax 4 (2,738,473) (2,327,939) (107,869) (210,268) (2,482,645) (2,013,533)

Net increase/(decrease) in net assets attributable to holders of

redeemable participating shares from operations (330,560,571) (55,322,127) (19,745,212) 3,831,358 (297,779,690) (36,769,541)

Income and expense results arose solely from continuing operations. There were no recognised gains or losses other than those included in the Statement of Comprehensive Income.

GMO FUNDS PLC

STATEMENT OF FINANCIAL POSITION


126

Notes

GMO Global


As at

31 March2020

GMO Global


As at

30 September2019


As at

31 March2020


As at

30 September2019

GMO Emerging

Markets EquityFund

As at

31 March2020

GMO Emerging

Markets EquityFund

As at

30 September2019

Assets £ £ US$ US$ US$ US$

Financial assets at fair value through profit or (loss)

-Transferable securities 31,079,528 41,855,837 38,642,281 52,537,843 117,385,709 140,801,466

-Collective investment schemes - - - - 1,010,193 6,245,873

-Financial derivative instruments 2(d) 2,194 - - - 91,781 -

Cash at bank 109,032 190,701 759 15,029 1,020,561 1,092,759

Due from broker 35,045 25,426 - - 329,961 -

Dividends and interest receivable 151,169 110,056 67,677 67,291 138,319 491,798

Receivable for investments sold 94,240 59,113 825,234 4,401,001 40,678 3,191

Subscriptions receivable - - - - - -

Tax reclaims receivable 4 11,094 9,667 - - 9,402 9,736

Foreign capital gains tax refund receivable 4 - - - - 11,107 11,034

Fund expense reimbursement receivable 3 6,062 10,488 3,231 1,579 9,821 12,995

Total assets 31,488,364 42,261,288 39,539,182 57,022,743 120,047,532 148,668,852

Liabilities

Financial liabilities at fair value through profit or (loss)

-Financial derivative instruments 2(d) - (7,399) - - (138,734) (190,410)

Bank overdraft - - (408) - - -

Due to broker - - - - - -

Investment management fee payable 3 (17,469) (21,440) (16,628) (23,504) (93,572) (107,516)

Administration, depositary and transfer agent fees payable 3 (41,331) (11,647) (18,658) (8,070) (153,977) (58,274)

Directors' fees payable 3 (159) (145) (289) (243) (610) (588)

Payable for statutory audit fees (5,981) (11,042) (6,714) (13,620) (6,717) (13,606)

Capital gains tax payable (2,617) (69,500) - - - (2,262)

Tax payable 4 (24,689) (14,907) (17,005) (16,185) (23,097) (59,351)

Redemptions payable - - (50,000) (4,912,127) - -

Payable for investments purchased (90,884) (33,992) (769,842) - (23,925) (84,514)

Interest payable on swap contracts - - - - - -

Other payables (27,882) (12,960) (22,468) (26,677) (74,099) (71,306)

Total liabilities (excluding net assets attributable to holders of redeemable participating shares) (211,012) (183,032) (902,012) (5,000,426) (514,731) (587,827)

Net assets attributable to holders of redeemable participating

shares 12 31,277,352 42,078,256 38,637,170 52,022,317 119,532,801 148,081,025

GMO FUNDS PLC

STATEMENT OF FINANCIAL POSITION (CONTINUED)


127

Notes

GMO Global Real

Return(UCITS) Fund

As at

31 March 2020

GMO Global Real

Return(UCITS) Fund

As at

30 September2019

GMO Emerging

Domestic

Opportunities Equity Fund

As at

31 March 2020

GMO Emerging

Domestic

Opportunities Equity Fund

As at

30 September2019

Total

As at

31 March 2020

Total

As at

30 September2019

Assets US$ US$ US$ US$ £ £

Financial assets at fair value through profit or (loss)

-Transferable securities 2,001,743,455 2,994,774,913 102,455,817 113,082,658 1,853,952,814 2,720,777,105

-Collective investment schemes 8,340,984 19,757,869 16,907,589 15,221,545 21,177,695 33,454,320

-Financial derivative instruments 2(d) 51,168,070 38,677,537 721,013 - 41,924,762 31,386,823

Cash at bank 88,239,675 10,957,431 5,003,212 2,241,020 76,133,114 11,800,214

Due from broker 46,976,346 16,200,672 497,532 - 38,588,841 13,172,271

Dividends and interest receivable 8,445,219 9,491,511 173,290 206,251 7,268,132 8,433,491

Receivable for investments sold 5,001,818 7,362,993 2,928,038 - 7,188,027 9,608,184

Subscriptions receivable 498,918 1,492 - - 402,377 1,211

Tax reclaims receivable 4 577,620 722,670 6,023 6,040 489,385 608,916

Foreign capital gains tax refund receivable 4 36,346 35,512 167,666 163,883 173,494 170,763

Fund expense reimbursement receivable 3 - - 4,283 3,994 20,043 25,556

Total assets 2,211,028,451 3,097,982,600 128,864,463 130,925,391 2,047,318,684 2,829,438,854

Liabilities

Financial liabilities at fair value through profit or (loss)

-Financial derivative instruments 2(d) (196,647,212) (43,089,821) (92,987) - (158,782,859) (35,129,307)

Bank overdraft - - - - (329) -

Due to broker (5,204,239) (8,080,693) (390,000) - (4,511,754) (6,557,482)

Investment management fee payable 3 (1,333,429) (1,671,366) (111,499) (107,782) (1,271,680) (1,571,541)

Administration, depositary and transfer agent fees payable 3 (835,803) (343,151) (88,115) (35,369) (925,701) (372,654)

Directors' fees payable 3 (13,596) (13,647) (465) (494) (12,224) (12,295)

Payable for statutory audit fees (30,610) (62,224) (6,719) (13,625) (46,919) (94,687)

Capital gains tax payable (141,255) (3,012,120) (29,362) (199,386) (140,220) (2,677,473)

Tax payable 4 (1,071,870) (727,698) (40,840) (32,561) (954,432) (693,155)

Redemptions payable (419,065) (2,056) - - (378,301) (3,987,861)

Payable for investments purchased (49,393,473) (52,042,506) (3,092,515) (324,552) (43,061,006) (42,598,443)

Interest payable on swap contracts (12,580) (12,576) - - (10,146) (10,205)

Other payables (217,521) (912,050) (45,846) (39,835) (318,167) (864,927)

Total liabilities (excluding net assets attributable to holders of redeemable participating shares) (255,320,653) (109,969,908) (3,898,348) (753,604) (210,413,738) (94,570,030)


shares 12 1,955,707,798 2,988,012,692 124,966,115 130,171,787 1,836,904,946 2,734,868,824

GMO FUNDS PLC

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES


128

Notes

GMO Global


For the six-month


2020

GMO Global


For the six-month


2019


For the six-month


2020


For the six-month


2019

GMO Emerging

Markets EquityFund

For the six-month


2020

GMO Emerging

Markets EquityFund

For the six-month


2019

£ £ US$ US$ US$ US$


shares at the beginning six-month financial period 42,078,256 34,948,736 52,022,317 69,308,806 148,081,025 94,750,569

Currency exchange rate movement 2(e), 8 - - - - - -

Net increase/(decrease) in net assets resulting from operations

attributable to holders of redeemable participating shares (6,476,769) (771,557) (2,997,259) (674,417) (20,162,238) 5,481,249

Capital transactions

Net proceeds from redeemable participating shares issued 11 175,865 5,038,515 13,122,013 2,304,810 5,792,160 50,012,027

Net payment for redeemable participating shares redeemed 11 (4,500,000) (88,164) (23,509,901) (9,947,001) (14,178,146) (1,282,000)


shares at the end of six-month financial period 12 31,277,352 39,127,530 38,637,170 60,992,198 119,532,801 148,961,845

GMO FUNDS PLC

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES (CONTINUED)


129

Notes


Fund


ended 31 March

2020


Fund


ended 31 March

2019

GMO Emerging


Equity Fund


ended 31 March

2020

GMO Emerging


Equity Fund


ended 31 March

2019

Total


ended 31 March

2020

Total


ended 31 March

2019

US$ US$ US$ US$ £ £


shares at the beginning of the six-month financial period 2,988,012,692 3,854,978,911 130,171,787 119,283,231 2,734,868,824 3,208,213,673

Currency exchange rate movement 2(e), 8 - - - - (45,196,701) 4,508,795

Net increase/(decrease) in net assets resulting from operations

attributable to holders of redeemable participating shares (330,560,571) (55,322,127) (19,745,212) 3,831,358 (297,779,690) (36,769,541)

Capital transactions

Net proceeds from redeemable participating shares issued 11 208,884,329 154,433,074 14,539,540 7,031,422 189,199,538 169,885,301

Net payment for redeemable participating shares redeemed 11 (910,628,652) (674,029,370) - - (744,187,025) (528,490,894)

Net assets attributable to holders of redeemable participating shares at the end of the six-month financial period 12 1,955,707,798 3,280,060,488 124,966,115 130,146,011 1,836,904,946 2,817,347,334

_____________________________________________________________________________________________

GMO FUNDS PLC

NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS


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130

1. Organisation and structure

GMO Funds Plc (the “Company”) is an open-ended investment company with variable capital organised under the laws of Ireland as a public limited company pursuant to the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”). It is an umbrella fund with segregated liability between sub-funds (each, a “Fund” and together, the “Funds”). It was incorporated on 19 December 2001 under registration number 351477. The assets of each Fund are separate from one another and are invested separately in accordance with the investment objectives and policies of each Fund. Any liability incurred on behalf of, or attributable to, any Fund shall be discharged solely out of the assets of that Fund. As at 30 September 2019, there were five active Funds: GMO Global Equity Allocation Investment Fund (“GEAIF”), which commenced operations on 7 February 2002; GMO Quality Investment Fund (“Quality”), which commenced operations on 10 November 2010; GMO Emerging Markets Equity Fund (“EMEF”), which commenced operations on 16 May 2002; GMO Global Real Return (UCITS) Fund (“GRRUF”), which commenced operations on 30 November 2011; and GMO Emerging Domestic Opportunities Equity Fund (“EDOEF”), which commenced operations on 25 November 2014. The investment strategies employed by the Funds and the risks related to an investment in the Funds are discussed in detail in the Company’s prospectus.

Quality, EMEF and GRRUF are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended and its implementing ordinance.

2. Summary of significant accounting policies

(a) Basis of accounting

The financial statements presented are unaudited condensed financial statements for the six-month financial period ended 31 March 2020. They have been prepared in accordance with Financial Reporting Standard (“FRS”) 104: ‘Interim Financial Reporting’ issued by the Financial Reporting Council (“FRC”). The unaudited condensed financial statements should be read in conjunction with the financial statements for the financial year ended 30 September 2019 which were prepared in accordance with FRS 102 and in accordance with Irish statute comprising the Companies Act 2014 and the UCITS Regulations. The statutory auditor’s report in the audited financial statements for the year ended 30 September 2019 was unqualified.

(b) Basis of preparation

The Company meets all of the conditions under FRS 102 Section 7.1A and Grantham, Mayo, Van Otterloo & Co. LLC (the “Investment Manager”) has therefore availed of the exemption permitted to investment funds under FRS 104 Section 8F not to prepare a cash flow statement in respect of the Company.

The financial statements of each individual Fund are prepared in the functional currency of the respective Fund.

Certain reclassifications may have been made to previously reported amounts to conform to current period presentation, which had no impact on reported net assets.

Securities Financing Transactions Regulation (Regulation (EU) 2015/2365) (“SFTR”) came into force on 12 January 2016 and, amongst other requirements, introduces new disclosure requirements in the Company’s financial statements published after 13 January 2017 detailing each Fund’s use of securities financing transactions, total return swaps, repurchase agreements and reverse repurchase agreements. As at 31 March 2020, EMEF, GRRUF and EDOEF held total return swaps, all specified as types of instruments under the scope of the SFTR. See the appendix section within this report for further information. The accounting policies and methods of calculation applied in these unaudited condensed interim financial statements are consistent with those applied in the audited financial statements for the financial year ended 30 September 2019.

(c) Historical cost convention

The financial statements have been prepared under the historical cost convention as modified by the revaluation of financial assets and financial liabilities held at fair value through profit or loss. All references to net assets throughout this document refer to net assets attributable to holders of Redeemable Participating Shares unless otherwise stated.

_____________________________________________________________________________________________

GMO FUNDS PLC

NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS (CONTINUED)


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131

2. Summary of significant accounting policies (continued)

(d) Financial derivative instruments For Funds that held derivatives during the six-month financial period ended 31 March 2020, the following table shows how each Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use GEAIF Quality EMEF GRRUF EDOEF

Forward currency contracts

Adjust exposure to foreign currencies X X

Adjust exchange rate risk X

Futures contracts

Adjust exposure to certain markets X X X X

Maintain the diversity and liquidity of the portfolio X

Adjust interest rate exposure X

To equitize cash X

Options (Purchased)

Used purchased call option contracts as a substitute for direct equity investment X

Adjust exposure to foreign currencies X



Options (Written)

Used written put option contracts as a substitute for direct equity investment X




Swap contracts

Adjust exposure to certain markets X X X

To achieve returns comparable to holding and lending a direct equity position X X X



Rights and/or warrants

Received as a result of corporate actions X X X X

Gain exposure to issuers in certain countries X*

Share class hedges

To hedge against currency exposure at a class level X

* Non-standard warrants, specifically participatory notes (“P-Notes”).

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132


(e) Foreign currency translation

Functional and presentation currency

Items included in the Company’s financial statements are measured using the currency of the primary economic environment in which the Company operates (the “functional currency”) which is the British Pound Sterling. The presentation currency of the Company is also the British Pound Sterling. The functional and presentation currency of Quality, EMEF, GRRUF and EDOEF is the U.S. Dollar and of GEAIF is the British Pound Sterling. For the purpose of combining the financial statements of the Funds to arrive at the total Company figures, the amounts in the Statement of Financial Position have been converted into British Pound Sterling (the Company’s presentation currency) at the exchange rate prevailing at 31 March 2020 of US$1.2400 (30 September 2019: US$1.2323) and the amounts in the Statement of Comprehensive Income and the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares have been converted into British Pound Sterling using the average exchange rate over the six-month financial period ended 31 March 2020 of US$1.2821 (31 March 2019: US$1.2968). A notional currency adjustment of £(45,196,701) (31 March 2019: £4,508,795) arises from the translation of the opening net assets, the Statement of Comprehensive Income and the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders. The method of translation has no effect on the value of the net assets attributable to the individual Funds. Transactions and balances

The fair values of foreign securities, currency holdings and other assets and liabilities are translated into the functional currency of each Fund based on the prevailing exchange rates on each business day. Income and expenses denominated in other currencies are translated at prevailing exchange rates when accrued or incurred. The Funds do not isolate realised and unrealised gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included within net gains/(losses) on financial assets and financial liabilities at fair value through profit or loss within the Statement of Comprehensive Income. (f) Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through State Street Custodial Services (Ireland) Limited (the "Depositary"), takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the financial period, if any, are listed in each applicable Fund’s Statement of Investments. Direct and indirect costs associated with the investment are not readily, separately identifiable as they are embedded in the cost of the investment.

During the six-month financial period ended 31 March 2020 and 31 March 2019, total interest income arising from repurchase agreements were as follow:

Fund Six-month financial period ended 31 March 2020 Six-month financial period ended 31 March 2019

GRRUF US$701,622 US$1,574,824

(g) Reverse repurchase agreements The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realise a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer.

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133


(g) Reverse repurchase agreements (continued)

During the six-month financial period ended 31 March 2020 and 31 March 2019, total interest expense arising from reverse repurchase agreements were as follow:

Fund Six-month financial period ended 31 March 2020 Six-month financial period ended 31 March 2019

GRRUF US$775 US$4,632

Direct and indirect costs associated with the investment are not readily, separately identifiable as they are embedded in the cost of the investment.

(h) Dilution adjustment

In calculating the net asset value per share for each class on any dealing day, the Investment Manager may, at its discretion, adjust the net asset value per share for each class by applying a dilution adjustment: (1) if net subscriptions or redemptions exceed certain pre-determined percentage thresholds relating to the Fund’s net asset value (where such percentage thresholds have been pre-determined for the Fund from time to time by the Investment Manager or by a committee established by the Investment Manager); or (2) in any other cases where there are net subscriptions or redemptions in the Fund and the Investment Manager reasonably believes that imposing a dilution adjustment is in the best interests of existing shareholders. Absent a dilution adjustment, the price at which the subscriptions or redemptions are effected would not reflect the costs of dealing in the underlying investments of the Fund including subscription and redemption charges applicable at the level of the Fund. Such costs could have a materially disadvantageous effect on the interests of existing shareholders in the Fund. There was no such adjustment for the Funds as at 31 March 2020 or 30 September 2019.

3. Fees

Each Fund shall pay all of its expenses and its allocable share of any expenses incurred by the Company. These expenses may include the costs of: (i) maintaining the Company and the relevant Fund and registering the Company, the relevant Fund and the shares with any governmental or regulatory authority or with any regulated market or stock exchange; (ii) management, administration, depositary and related services; (iii) preparation, printing and posting of prospectuses, sales literature and reports to shareholders, the Central Bank and other governmental agencies; (iv) marketing expenses; (v) taxes; (vi) commissions and brokerage fees; (vii) expenses incurred in connection with the acquisition and disposal of the assets of the Company; (viii) auditing, tax and legal fees (including expenses arising in respect of legal or administrative proceedings); (ix) insurance premiums and (x) other operating expenses.

As a shareholder of another collective investment scheme, a Fund would bear, along with other shareholders, its pro rata portion of the expenses of the other collective investment scheme, including management and/or other fees. The maximum level of management fees (exclusive of any performance fee) which may be charged to a collective investment scheme in which a Fund invests is 2.5 per cent of the net asset value (“NAV”) of that scheme. These fees would be in addition to the management fees and other expenses which a Fund bears directly in connection with its own operations.

Administration, depositary and transfer agent fees

The Company pays to State Street Fund Services (Ireland) Limited (the “Administrator”), out of the assets of each Fund, an annual fee of 2.5 basis points of the NAV up to US$500 million, 2 basis points of the NAV for the next US$500 million, 1.5 basis points of the NAV for the next US$500 million and any excess of this at 1 basis point of the NAV, there is no minimum fee applied, as stated in the fee schedule.

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134

3. Fees (continued)

Administration, depositary and transfer agent fees (continued)

The Company also pays to the Administrator, for transfer agency services, an annual fee of US$15,000. The Company also pays the Administrator, for financial reporting services, an annual fee of US$12,000 for all Funds except Quality which pays an annual fee of US$5,000. Such fees are accrued on each dealing day and shall generally be paid monthly in arrears. The Depositary is entitled to receive, out of the assets of each Fund an annual fee of 1.25 basis points of the NAV up to US$500 million and any excess of this at 1 basis point of the NAV. The Company also pays the Depositary safekeeping and transaction fees which will vary from country to country but will be charged at normal commercial rates. These fees are accrued on each dealing day and shall generally be paid monthly in arrears. The Company will apportion the Administrator’s and Depositary’s fees across all Funds in which shares are available for purchase on the basis of the proportion of the actual fees accrued on each Fund. Each of the Depositary and the Administrator shall also be reimbursed for any out-of-pocket expenses incurred. In addition, the Depositary shall be entitled to be reimbursed for all sub-custodial fees and expenses it incurs, which will be charged at normal commercial rates. The following tables detail the fees charged during the six-month financial periods ended 31 March 2020 and 31 March 2019 and the amounts outstanding as at 31 March 2020 and 30 September 2019.

For the six-month financial GEAIF Quality EMEF GRRUF EDOEF Total

period ended 31 March 2020 £ US$ US$ US$ US$ £

Administration/transfer agent fees* 16,863 17,073 33,534 239,731 32,435 268,627 Depositary/transaction fees** 45,540 5,584 126,831 758,784 69,485 794,873

Total 62,403 22,657 160,365 998,515 101,920 1,063,500

For the six-month financial GEAIF Quality EMEF GRRUF EDOEF Total

period ended 31 March 2019 £ US$ US$ US$ US$ £ Administration/transfer agent fees* 14,707 17,559 29,648 259,776 28,270 273,220 Depositary/transaction fees** 47,277 6,775 150,938 806,627 70,494 845,236

Total 61,984 24,334 180,586 1,066,403 98,764 1,118,456

GEAIF Quality EMEF GRRUF EDOEF Total

As at 31 March 2020 £ US$ US$ US$ US$ £

Administration/transfer agent fees payable* 13,612 14,416 28,658 198,181 27,490 230,355 Depositary/transaction fees payable** 27,719 4,242 125,319 637,622 60,625 695,346

Total 41,331 18,658 153,977 835,803 88,115 925,701

GEAIF Quality EMEF GRRUF EDOEF Total

As at 30 September 2019 £ US$ US$ US$ US$ £

Administration/transfer agent fees payable* 4,768 5,814 11,203 78,728 10,009 90,587 Depositary/transaction fees payable** 6,879 2,256 47,071 264,423 25,360 282,067

Total 11,647 8,070 58,274 343,151 35,369 372,654

* Amounts paid to the Administrator.

** Amounts paid to the Depositary.

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135

3. Fees (continued)

Investment Manager’s fees

Each Fund pays the Investment Manager a management fee (the “Management Fee”) in consideration for the Investment Manager’s management of the Funds’ portfolios, shareholder servicing, and other services which the Investment Manager and its affiliates (including GMO UK Limited and GMO Netherlands B.V.) provide to the Funds.

The table below sets forth the maximum Management Fee and the threshold in excess of which Reimbursable Expenses (as defined below) will be reimbursed by the Investment Manager.

Fund Management fee Reimbursement threshold

GEAIF: Class A Up to 0.60 per cent. of NAV per annum 0.08 per cent. of NAV per annum Class B1 Up to 0.25 per cent. of NAV per annum 0.08 per cent. of NAV per annum

Quality Up to 0.60 per cent. of NAV per annum 0.10 per cent. of NAV per annum

EMEF Up to 1.00 per cent. of NAV per annum 0.15 per cent. of NAV per annum

GRRUF: Class A Up to 0.80 per cent. of NAV per annum 0.10 per cent. of NAV per annum Class B Up to 0.40 per cent. of NAV per annum 0.10 per cent. of NAV per annum Class E1,2 Up to 0.88 per cent. of NAV per annum 0.10 per cent. of NAV per annum

EDOEF Up to 1.00 per cent. of NAV per annum 0.10 per cent. of NAV per annum

1 Class is offered but has no shareholders as at 31 March 2020.

2 The management fee for the Class E Shares includes payments made by the Investment Manager to remunerate and/or pay trail or service

fees to certain financial intermediaries.

A performance fee may be payable in respect of class B Shares under a separate agreement which must be entered into by class B investors with the Investment Manager. Such performance fee would not be paid out of the assets of the Fund. The Management Fee is accrued on each dealing day and shall generally be paid monthly in arrears. The Investment Manager may reimburse each Fund for any Reimbursable Expenses (as defined below) that it incurs in any fiscal year, including its allocable portion of Reimbursable Expenses incurred by the Company, to the extent that such Reimbursable Expenses exceed such Fund’s reimbursement threshold as set forth in the table above. “Reimbursable Expenses” include service fees incurred in connection with fund administration, custody of assets, distribution of the shares, compliance, transfer agency, corporate secretarial expenses and the expenses of convening shareholder meetings, ordinary legal and auditing matters, remuneration and expenses of the Directors (if any) and other reasonable expenses related to the foregoing. The following expenses are specifically excluded from Reimbursable Expenses: the Management Fee, brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including without limitation taxes and litigation expenses), securities lending fees and expenses, interest expense and transfer taxes. Subscription and repurchase charges, if any, are borne directly by shareholders and, accordingly, are also excluded from Reimbursable Expenses. The Investment Manager may modify or terminate this arrangement at any time upon notice to shareholders. Effective 19 February 2019, the Investment Manager is permitted to recover from a Fund, on a class-by-class basis, as applicable, any such reimbursement paid by them (whether through reduction of their fees or otherwise) to the extent that the Fund’s Reimbursable Expenses later fall below the reimbursement threshold or the lower expense limit in effect when they seek to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after the Investment Manager reimbursed an expense. The amount the Investment Manager is entitled to recover may not cause the Fund to exceed the reimbursement threshold or the lower expense limit in effect when the Investment Manager seeks recovery. Directors’ fees

The aggregate amount of Directors’ remuneration in any one year shall not exceed €75,000 or such other amount as may be determined by the Directors and notified to shareholders from time to time. Any such change in the maximum aggregate amount of Directors’ remuneration shall also be disclosed in an update to the prospectus or in the Company’s financial statements, whichever is published sooner. The Directors that are employees of the Investment Manager or GMO UK Limited do not intend to receive such remuneration. As such, the Directors who were in receipt of fees during the financial period were Ms. Eimear Cowhey and Mr. John Fitzpatrick.

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136

4. Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. On that basis, the Company is not chargeable to Irish tax on its income or gains.

However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to shareholders, any encashment, redemption, cancellation or transfer of shares and the holding of shares at the end of each eight year period beginning with the acquisition of such shares.

No Irish tax will arise on the Company in respect of chargeable events in respect of:

(a) a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation Act, 1997, as amended, are held by the Company or the Company has been authorised by the Irish Revenue to make gross payments in the absence of appropriate declarations; and

(b) certain exempted Irish tax resident shareholders who have provided the Company with the necessary signed declarations. The Company may be subject to, and/or accrue, withholding, capital gains, transaction-based and other taxes imposed by certain jurisdictions on its investments. Taxes on foreign interest, dividend income and capital gains are generally withheld, assessed and/or accrued in accordance with the applicable country’s tax treaty with Ireland and are recorded in the Statement of Comprehensive Income. There are some cases where the Company may not be able to benefit from reduced rates of withholding tax under the provisions of the double tax treaties which Ireland has entered into with various countries. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amounts of such refunds that a Fund reasonably determines to be collectible and free from significant contingencies are reflected in a Fund’s NAV and are reflected as Dividend income in the Statement of Comprehensive Income. Absent a determination that the amount of a refund is collectible and free from significant contingencies, such amount is not reflected in the Fund’s NAV. In addition, the Company and/or shareholders may be subject to taxation and tax reporting obligations in jurisdictions in which the Funds make investments. The Company may seek to collect refunds in respect of taxes paid by the Funds to certain countries. In those cases, all or a portion of those taxes could ultimately be recovered. However, the recovery process could take several years and the Company will incur expenses in its efforts to collect such refunds, which will reduce the benefit to the relevant Fund of any recovery. The Company’s efforts to collect a refund may not be successful, in which case the relevant Fund will have incurred additional expenses for no economic benefit. The Company’s decision to pursue refunds is in its sole discretion, and it may decide not to pursue refunds, even if eligible.

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5. Exchange rates

The following exchange rates (against the British Pound Sterling) were used to convert the assets and liabilities denominated in currencies other than the British Pound Sterling, for GEAIF, as at 31 March 2020, 30 September 2019 and 31 March 2019:

As at

31 March 2020

As at

30 September 2019

As at

31 March 2019

Australian Dollar (AUD) 2.0259 1.8271 1.8344Brazilian Real (BRL) 6.4311 5.1330 5.0711Canadian Dollar (CAD) 1.7649 1.6316 1.7408Chilean Peso (CLP) 1,056.8344 897.3667 N/AColombian Peso (COP) N/A 4,286.4986 4,150.8411Danish Krone (DKK) 8.4327 8.4395 8.6635Euro (EUR) 1.1301 1.1303 1.1605Hong Kong Dollar (HKD) 9.6107 9.6605 10.2289Hungarian Forint (HUF) 407.6157 378.6252 373.2468Indian Rupee (INR) 93.8038 87.3316 90.2688Indonesian Rupiah (IDR) 20,223.5878 17,492.4922 18,555.4383Israeli Shekel (ILS) 4.3863 4.2832 4.7292Japanese Yen (JPY) 133.8588 133.1808 144.2281Malaysian Ringgit (MYR) 5.3566 5.1596 5.3197Mexican Peso (MXN) 29.0883 24.3305 25.2759New Zealand Dollar (NZD) 2.0915 1.9652 1.9106Norwegian Krone (NOK) 13.0207 11.1966 11.2213Philippine Peso (PHP) 63.0639 63.8701 68.4232Polish Zloty (PLN) 5.1501 4.9405 4.9957Russian Ruble (RUB) 96.8820 79.9547 85.6072Singapore Dollar (SGD) 1.7655 1.7041 1.7650South African Rand (ZAR) 22.1455 18.6847 18.7916South Korean Won (KRW) 1,509.4534 1,474.0151 1,479.0926Swedish Krona (SEK) 12.2851 12.1162 12.0862Swiss Franc (CHF) 1.1997 1.2288 1.2977Taiwan New Dollar (TWD) 37.4980 38.2315 40.1607Thai Baht (THB) 40.6921 37.6899 41.3523Turkish Lira (TRY) 8.1716 6.9582 7.3617United Arab Emirates Dirham (AED) 4.5545 4.5264 N/AUnited States Dollar (USD) 1.2400 1.2323 1.3031

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5. Exchange rates (continued)

The following exchange rates (against the U.S. Dollar) were used to convert the assets and liabilities denominated in currencies other than the U.S. Dollar, for Quality, EMEF, GRRUF and EDOEF, as at 31 March 2020, 30 September 2019 and 31 March 2019:

As at

31 March 2020

As at

30 September 2019

As at

31 March 2019

Australian Dollar (AUD) 1.6339 1.4827 1.4078Brazilian Real (BRL) 5.1866 4.1654 3.8917British Pound Sterling (GBP) 0.8065 0.8115 0.7674Canadian Dollar (CAD) 1.4234 1.3240 1.3360Chilean Peso (CLP) 852.3200 728.2050 680.4750Chinese Yuan Renminbi Onshore (CNY) 7.0931 7.1384 6.7202Colombian Peso (COP) 4,060.10 3,478.4550 3,185.4800Czech Republic Koruna (CZK) 24.9684 23.6801 23.0049Danish Krone (DKK) 6.8008 6.8486 6.6487Egyptian Pound (EGP) 15.7400 16.2663 17.3300Euro (EUR) 0.9114 0.9173 0.8906Hong Kong Dollar (HKD) 7.7509 7.8394 7.8500Hungarian Forint (HUF) 328.7355 307.2510 286.4408Indian Rupee (INR) 75.6513 70.8688 69.2750Indonesian Rupiah (IDR) 16,310.0000 14,195.0000 14,240.0000Israeli Shekel (ILS) 3.5375 3.4758 3.6294Japanese Yen (JPY) 107.9550 108.0750 110.6850Kuwaiti Dinar (KWD) 0.3130 N/A N/AMalaysian Ringgit (MYR) 4.3200 4.1870 4.0825Mexican Peso (MXN) 23.4593 19.7440 19.3975New Zealand Dollar (NZD) 1.6868 1.5948 1.4663Norwegian Krone (NOK) 10.5010 9.0860 8.6116Pakistani Rupee (PKR) 166.1000 156.3250 140.7500Peruvian Sol (PEN) 3.4386 3.3841 3.3200Philippine Peso (PHP) 50.8600 51.8300 52.5100Polish Zloty (PLN) 4.1535 4.0092 3.8339Qatari Rial (QAR) 3.6410 3.6410 3.6408Romanian Leu (RON) 4.4038 4.3504 4.2566Russian Ruble (RUB) 78.1338 64.8825 65.6975Singapore Dollar (SGD) 1.4239 1.3829 1.3545South African Rand (ZAR) 17.8600 15.1625 14.4213South Korean Won (KRW) 1,217.3500 1,196.1500 1,135.1000Sri Lankan Rupee (LKR) 189.2500 182.1250 175.4750Swedish Krona (SEK) 9.9077 9.8322 9.2753Swiss Franc (CHF) 0.9676 0.9972 0.9959Taiwan New Dollar (TWD) 30.2415 31.0245 30.8205Thai Baht (THB) 32.8175 30.5850 31.7350Turkish Lira (TRY) 6.5903 5.6465 5.6496United Arab Emirates Dirham (AED) 3.6732 3.6732 3.6731Vietnamese Dong (VND) 23,617.0000 23,201.0000 23,204.0000

The average exchange rate used for the purpose of translating the Statement of Comprehensive Income for the Company was: £1 = US$1.2821 (31 March 2019: £1 = US$1.2968).

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6. Fair value information

Fair value hierarchy

FRS 102 Section 11.27 on “Fair Value Disclosure” requires disclosure relating to the fair value hierarchy in which fair value measurements are categorised for assets and liabilities. The disclosures are based on a three-level fair value hierarchy for the inputs used in valuation techniques to measure fair value. Financial assets and financial liabilities are measured in the Statement of Financial Position at fair value. The fair value measurements are categorised within a three-level hierarchy. The valuation hierarchy is based upon the relative observability and reliability of inputs to the valuation of each of the Fund’s investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows: Level 1 – The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date. The types of assets and liabilities categorised in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs). Level 2 – Inputs other than quoted prices included within Level 1 that are observable (i.e., developed using market data) for the asset or liability, either directly or indirectly. The types of assets and liabilities categorised in Level 2 generally include certain U.S. government agency securities, mortgage- backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain -restricted securities valued at the most recent available market or quoted price; certain rights and warrants; and certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations. Level 3 – Inputs are unobservable (i.e., for which market data is unavailable) for the asset or liability. The types of assets and liabilities categorised in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information and certain securities that are valued using a price from a comparable security related to the same issuer. The level in the fair value hierarchy within which the fair value measurement is categorised is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. The significance of an input is assessed against the fair value measurement in its entirety.

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6. Fair value information (continued)

Fair value hierarchy (continued)

If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, this may be deemed to fall within Level 3 of the fair value hierarchy. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, and the consideration of factors specific to the asset or liability. The determination of what constitutes “observable” requires significant judgement by the Investment Manager. The Investment Manager considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 31 March 2020:

GEAIF Level 1

£ Level 2

£ Level 3

£ Total

£

Asset Valuation Inputs Financial assets at fair value through profit

or loss: Equities 30,918,075 - - 30,918,075Debt obligations:

U.S. government 161,453 - - 161,453

Total debt obligations 161,453 - - 161,453

TOTAL INVESTMENTS 31,079,528 - - 31,079,528

Derivatives* Futures contracts 2,194 - - 2,194

Total financial assets at fair value

through profit or loss 31,081,722 - - 31,081,722

GEAIF had no financial liabilities as at 31 March 2020.

Quality Level 1

US$ Level 2

US$ Level 3

US$ Total

US$


or loss: Equities 37,887,182 - - 37,887,182Debt obligations:

U.S. government 369,989 - - 369,989


Short-term investments 385,110 - - 385,110




Quality had no financial liabilities as at 31 March 2020.

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The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 31 March 2020 (continued):

EMEF Level 1

US$ Level 2

US$ Level 3

US$ Total

US$


or loss: Equities 116,759,943 - 40,790 116,800,733Debt obligations:

U.S. government 584,976 - - 584,976


Collective investment schemes 1,010,193 - - 1,010,193

TOTAL INVESTMENTS 118,355,112 - 40,790 118,395,902

Derivatives* Futures contracts 91,781 - - 91,781


through profit or loss 118,446,893 - 40,790 118,487,683

Liability Valuation Inputs Financial liabilities at fair value through profit

or loss: Derivatives*

Futures contracts (50,597) - - (50,597)Swap contracts - (88,137) - (88,137)

Total financial liabilities at fair value

through profit or loss (50,597) (88,137) - (138,734)

Level 1 Level 2 Level 3 Total

GRRUF US$ US$ US$ US$


or loss:

Equities 1,439,559,665 - 2,529,964 1,442,089,629Rights and warrants 591,660 - 124,912 716,572Debt obligations:

Asset backed securities - 115,255,566 3,159,048 118,414,614 Corporate debt - 34,540,304 - 34,540,304 Foreign government obligations - 40,995,732 - 40,995,732 Municipal debt - 3,473,521 - 3,473,521 U.S. government 242,363,073 86,151,617 - 328,514,690 U.S. government agency 32,998,393 - - 32,998,393

Total debt obligations 275,361,466 280,416,740 3,159,048 558,937,254

Collective investment schemes 1,161,638 - 7,179,346 8,340,984

TOTAL INVESTMENTS 1,716,674,429 280,416,740 12,993,270 2,010,084,439

Derivatives* Forward currency contracts - 32,783,498 - 32,783,498 Futures contracts 287,739 - - 287,739 Options 5,694,220 56,038 - 5,750,258 Swap contracts - 12,346,575 - 12,346,575

Total financial assets at fair value through

profit or loss 1,722,656,388 325,602,851 12,993,270 2,061,252,509

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The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 31 March 2020 (continued):


GRRUF (continued) US$ US$ US$ US$

Liability Valuation Inputs

Financial liabilities at fair value through profit


Forward currency contracts - (171,996,899) - (171,996,899)Futures contracts (2,084,230) - - (2,084,230)Options (9,880,980) (399,631) - (10,280,611)Swap contracts - (12,285,472) - (12,285,472)


through profit or loss (11,965,210) (184,682,002) - (196,647,212)

EDOEF Level 1

US$ Level 2

US$ Level 3

US$ Total

US$


or loss: Equities 100,206,283 - - 100,206,283 Debt obligations:

U.S. government 2,249,534 - - 2,249,534

Total debt obligations 2,249,534 - - 2,249,534



Derivatives*

Forward currency contracts - 249,348 - 249,348 Futures contracts 260,834 - - 260,834 Swap contracts - 210,831 - 210,831


through profit or loss 119,624,240 460,179 - 120,084,419


EDOEF US$ US$ US$ US$



Forward currency contracts - (48,325) - (48,325)Futures contracts (44,662) - - (44,662)


through profit or loss (44,662) (48,325) - (92,987)

* The tables above are based on market values or unrealised appreciation/(depreciation) rather than the notional amounts of

derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.

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The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2019:

GEAIF Level 1

£ Level 2

£ Level 3

£ Total

£


or loss: Equities 41,405,990 - 4,222 41,410,212 Debt obligations:

U.S. government 445,625 - - 445,625







Futures contracts (7,399) - - (7,399)


through profit or loss (7,399) - - (7,399)

Quality Level 1

US$ Level 2

US$ Level 3

US$ Total

US$


or loss: Equities 51,498,588 - - 51,498,588 Debt obligations:

U.S. government 919,915 - - 919,915


Short-term investments 119,340 - - 119,340




Quality had no financial liabilities as at 30 September 2019.

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The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2019 (continued):

EMEF Level 1

US$ Level 2

US$ Level 3

US$ Total

US$


or loss: Equities 136,700,731 - 101,103 136,801,834 Debt obligations:

U.S. government 3,999,632 - - 3,999,632








Swap contracts - (190,410) - (190,410)


through profit or loss - (190,410) - (190,410)


GRRUF US$ US$ US$ US$

Asset Valuation Inputs

Financial assets at fair value through profit

or loss:

Equities 1,782,271,475 - 5,805,174 1,788,076,649 Rights and warrants 2,142 - 124,912 127,054 Debt obligations:

Asset backed securities - 159,257,758 3,892,879 163,150,637 Corporate debt - 55,973,400 - 55,973,400 Foreign government obligations - 196,693,043 - 196,693,043 Municipal debt - 5,484,860 - 5,484,860 U.S. government 205,784,670 307,036,740 - 512,821,410 U.S. government agency 127,446,674 - - 127,446,674

Total debt obligations 333,231,344 724,445,801 3,892,879 1,061,570,024

Repurchase agreements - 145,001,186 - 145,001,186 Collective investment schemes 19,757,869 - - 19,757,869

TOTAL INVESTMENTS 2,135,262,830 869,446,987 9,822,965 3,014,532,782

Derivatives* Forward currency contracts - 23,513,791 - 23,513,791 Futures contracts 3,881,687 - - 3,881,687 Options 630,204 31,530 - 661,734 Swap contracts - 10,620,325 - 10,620,325

Total financial assets at fair value through

profit or loss 2,139,774,721 903,612,633 9,822,965 3,053,210,319

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The following tables analyse within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2019 (continued):


GRRUF (continued) US$ US$ US$ US$

Liability Valuation Inputs

Financial liabilities at fair value through profit


Forward currency contracts - (29,899,622) - (29,899,622)Futures contracts (1,922,180) - - (1,922,180)Options (2,683,783) (201,569) - (2,885,352)Swap contracts - (8,382,667) - (8,382,667)


through profit or loss (4,605,963) (38,483,858) - (43,089,821)

EDOEF Level 1

US$ Level 2

US$ Level 3

US$ Total

US$


or loss: Equities 110,823,134 - - 110,823,134 Rights and warrants - 883,038 - 883,038 Debt obligations:

U.S. government 1,376,486 - - 1,376,486



TOTAL INVESTMENTS 127,421,165 883,038 - 128,304,203


through profit or loss 127,421,165 883,038 - 128,304,203

EDOEF had no financial liabilities as at 30 September 2019. * The tables above are based on market values or unrealised appreciation/(depreciation) rather than the notional amounts of

derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.

7. Related party transactions

Under FRS 102 Section 33: “Related Party Transactions”, related parties are described as related if any one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions. Please refer to Note 3 for information regarding Directors' and Manger's fees. Transactions with these related parties were entered into during the financial period under review by the Company in the ordinary course of business and on normal commercial terms. During the period ended 31 March 2020, a shareholder of GMO Quality Investment Fund made an in-specie repurchase of redeemable participating shares of US$21,424,883. Mr. David Bohan, who is a Director of the Company, is an employee of the Investment Manager. Mr. Arron Day, who is a Director of the Company, is an employee of GMO UK Limited.

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7. Related party transactions (continued)

Connected Persons

In accordance with Section 43(1) of the Central Bank (Supervision and Enforcement) Act, 2013 (Section 43(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank’s UCITS Regulations”), any transaction carried out with the Company by the Investment Manager or the Depositary and the delegates or sub-delegate of the Investment Manager or Depositary (excluding any non-group company sub-custodians appointed by the Depositary) and any associated or group company of the Investment Manager, Depositary, delegate or sub-delegate (“Connected Persons”) during the period were required to be conducted at arm’s length. Such transactions must be in the best interests of the shareholders of the Company. The Board of Directors of the Company is satisfied that: (i) there are arrangements (evidenced by written procedures) in place to ensure that the obligations set out above are

applied to all transactions with Connected Persons; and (ii) all transactions with Connected Persons entered into during the period complied with these obligations.

8. Currency transaction adjustment

A notional currency adjustment of £(45,196,701) (six-month financial period ended 31 March 2019: £4,508,795) arises from the translation of the opening net assets, the Statement of Comprehensive Income and the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares. The method of translation has no effect on the value of the net assets attributable to the individual Funds. 9. Soft commission/direct brokerage The Investment Manager may use a portion of the commissions generated when executing transactions to acquire external research and brokerage services. Specifically, the Investment Manager may utilise commissions (typically only for transactions in listed equities) to purchase eligible brokerage and research services where those services assist in the investment decision-making process for the Funds and where the Investment Manager in good faith believes the amount of the commission is reasonable in relation to the value of the product or services provided by the broker/dealer.

10. Concentration of principal shareholders

The following table details the number of shareholders with significant holdings of at least 20% of the relevant Fund and the percentage of that holding of the respective Fund’s NAV as at 31 March 2020 and 30 September 2019.

GEAIF

Number of

Shareholders

As at

31 March 2020

% of Shares

As at

31 March 2020

Number of

Shareholders

As at

30 September 2019

% of Shares

As at

30 September 2019

Class of Shares

Class A EUR 1 100.00 1 100.00Class A GBP 2 100.00 2 100.00Class A USD 1 100.00 1 100.00

Quality 3 87.70 3 88.61

EMEF

1 72.09 1 68.34

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10. Concentration of principal shareholders (continued)

GRRUF

Number of

Shareholders

As at

31 March 2020

% of Shares

As at

31 March 2020

Number of

Shareholders

As at

30 September 2019

% of Shares

As at

30 September 2019

Class of Shares Class A AUD 2 100.00 2 100.00Class A CHF 1 100.00 1 100.00Class A EUR 2 53.79 1 38.65Class A NOK 1 71.60 1 70.27Class A SEK 1 90.65 1 88.70Class A USD 2 50.05 1 21.69Class B EUR 1 83.44 2 85.20Class B GBP 2 76.47 2 77.46

EDOEF 2 99.68 2 100.00

11. Redeemable participating shares and share capital

Authorised

The Company has variable share capital. The authorised share capital of the Company is divided into 500,000,000,000 shares of no par value. The Directors have the power to allot shares up to the authorised share capital of the Company.

Subscriber shares

The initial issued share capital of the Company was 38,997 subscriber shares of no par value. 38,994 subscriber shares are held by GMO UK Limited, one is held by the Investment Manager and two are held by Directors. The non-participating subscriber shares are not included as part of the NAV of the Company and do not entitle the holders to participate in the dividends or net assets of the Company.

Redeemable participating shares The issued redeemable participating share capital is at all times equal to the NAV of the Company. Redeemable participating shares are generally redeemable at the shareholder’s option. Each of the redeemable participating shares entitles the holder to attend and vote at meetings of the Company and of the Fund represented by those redeemable participating shares.

Share transactions

For the six-month

financial

period ended

31 March 2020

For the six-month

financial

period ended

31 March 2019

GEAIF Shares Shares

Class A EUR

Movement in redeemable participating shares during the six-month

financial period Shares in issue at the beginning of the six-month financial period 233,711 222,359 Number of shares issued 6,854 7,648 Number of shares redeemed - -

Redeemable participating shares in issue at the end of the six-month

financial period 240,565 230,007

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11. Redeemable participating shares and share capital (continued)

Share transactions (continued)

For the six-month

financial

period ended

31 March 2020

For the six-month

financial

period ended

31 March 2019

GEAIF (continued) Shares Shares

Class A GBP


financial period

Shares in issue at the beginning of the six-month financial period 525,832 525,832 Number of shares issued - - Number of shares redeemed (135,953) -



Class A USD


financial period

Shares in issue at the beginning of the six-month financial period 860,382 601,737 Number of shares issued 533 262,903 Number of shares redeemed - (4,761)



Quality


financial period Shares in issue at the beginning of the six-month financial period 898,136 1,249,351 Number of shares issued 211,405 47,176 Number of shares redeemed (382,654) (190,349)


financial period 726,887 1,106,178

EMEF


financial period Shares in issue at the beginning of the six-month financial period 3,987,231 2,566,421 Number of shares issued 138,587 1,457,785 Number of shares redeemed (362,371) (38,189)


financial period 3,763,447 3,986,017

GRRUF

Class A AUD(H)


financial period Shares in issue at the beginning of the six-month financial period 2,923,192 2,917,489 Number of shares issued - 3,899 Number of shares redeemed - (60,526)



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GRRUF (continued)

For the six-month

financial

period ended

31 March 2020

For the six-month

financial

period ended

31 March 2019

Class A CHF(H)

Shares Shares


financial period

Shares in issue at the beginning of the six-month financial period 2,747,250 3,096,783 Number of shares issued - - Number of shares redeemed - (349,533)



Class A EUR(H)


financial period Shares in issue at the beginning of the six-month financial period 8,655,636 13,323,535 Number of shares issued 194,196 474,717 Number of shares redeemed (4,136,589) (3,206,255)



Class A GBP(H)


financial period Shares in issue at the beginning of the six-month financial period 43,111,279 60,439,603 Number of shares issued 2,014,532 1,775,634 Number of shares redeemed (11,937,268) (16,964,218)



Class A NOK(H)


financial period Shares in issue at the beginning of the six-month financial period 2,406,695 2,019,699 Number of shares issued 535,208 1,330,507 Number of shares redeemed (152,295) (65,308)



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GRRUF (continued)

For the six-month

financial

period ended

31 March 2020

For the six-month

financial

period ended

31 March 2019

Class A SEK(H)

Shares Shares


financial period Shares in issue at the beginning of the six-month financial period 4,869,809 4,534,235 Number of shares issued 996,234 15,027 Number of shares redeemed (67,820) -



Class A USD


financial period Shares in issue at the beginning of the six-month financial period 5,178,524 7,039,515 Number of shares issued 1,617,195 193,615 Number of shares redeemed (2,468,711) (799,409)



Class B EUR(H)


financial period Shares in issue at the beginning of the six-month financial period 15,158,642 15,341,270 Number of shares issued 557,280 492,624 Number of shares redeemed (6,639,452) (1,582,268)



Class B GBP(H)


financial period Shares in issue at the beginning of the six-month financial period 26,565,509 24,744,173 Number of shares issued 2,236,217 1,453,033 Number of shares redeemed (11,448,619) (47,340)



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EDOEF

For the six-month

financial

period ended

31 March 2020

For the six-month

financial

period ended

31 March 2019

Shares Shares


financial period Shares in issue at the beginning of the six-month financial period 5,697,684 5,373,497 Number of shares issued 583,279 322,701 Number of shares redeemed - -



(H) Hedged share class. 12. NAV comparison table

As at

31 March 2020

As at

30 September 2019

As at

31 March 2019 GEAIF

Class A EUR Net assets £5,288,029 £6,173,372 £5,664,002Shares in issue 240,565 233,711 230,007NAV per share £21.98 £26.41 £24.63 €24.84 €29.85 €28.58

Class A GBP Net assets £11,180,644 £18,120,855 £16,893,617Shares in issue 389,879 525,832 525,832NAV per share £28.68 £34.46 £32.13

Class A USD Net assets £14,808,679 £17,784,029 £16,569,911Shares in issue 860,915 860,382 859,879NAV per share £17.20 £20.67 £19.27 US$21.33 US$25.47 US$25.11

Quality

Net assets US$38,637,170 US$52,022,317 US$60,992,198Shares in issue 726,887 898,136 1,106,178NAV per share US$53.15 US$57.92 US$55.14

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12. NAV comparison table (continued)

As at

31 March 2020

As at

30 September 2019

As at

31 March 2019 EMEF

Net assets US$119,532,801 US$148,081,025 US$148,961,845Shares in issue 3,763,447 3,987,231 3,986,017NAV per share US$31.76 US$37.14 US$37.37

GRRUF

Class A AUD(H)

Net assets US$38,253,767 US$47,411,124 US$49,006,954Shares in issue 2,923,192 2,923,192 2,860,862NAV per share US$13.09 US$16.22 US$17.13 AUD21.39 AUD24.05 AUD24.12Class A CHF

(H)

Net assets US$49,565,763 US$54,213,744 US$55,023,544Shares in issue 2,747,250 2,747,250 2,747,250NAV per share US$18.04 US$19.73 US$20.03 CHF17.46 CHF19.67 CHF19.95

Class A EUR(H)

Net assets US$96,858,737 US$199,051,409 US$254,093,155Shares in issue 4,713,243 8,655,636 10,591,997NAV per share US$20.55 US$23.00 US$23.99 €18.73 €21.10 €21.37

Class A GBP(H)

Net assets US$905,346,159 US$1,318,630,044 US$1,473,889,316Shares in issue 33,188,543 43,111,279 45,251,019NAV per share US$27.28 US$30.59 US$32.57 £22.00 £24.82 £24.99

Class A NOK(H)

Net assets US$47,954,499 US$53,796,759 US$77,827,854Shares in issue 2,789,608 2,406,695 3,284,898NAV per share US$17.19 US$22.35 US$23.69 NOK180.51 NOK203.07 NOK204.01

Class A SEK(H)

Net assets US$105,109,330 US$100,471,481 US$100,652,036Shares in issue 5,798,223 4,869,809 4,549,262NAV per share US$18.13 US$20.63 US$22.12 SEK179.63 SEK202.84 SEK205.17

Class A USD Net assets US$96,651,703 US$128,168,344 US$158,844,749Shares in issue 4,327,008 5,178,524 6,433,721NAV per share US$22.34 US$24.75 US$24.69

Class B EUR(H)

Net assets US$204,188,714 US$380,842,035 US$372,754,589Shares in issue 9,076,470 15,158,642 14,251,626NAV per share US$22.50 US$25.12 US$26.16 €20.51 €23.04 €23.30Class B GBP

(H)

Net assets US$411,779,126 US$705,427,752 US$737,968,291Shares in issue 17,353,107 26,565,509 26,149,866NAV per share US$23.73 US$26.55 US$28.22 £19.14 £21.55 £21.66

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153

12. NAV comparison table (continued)

As at

31 March 2020

As at

30 September 2019

As at

31 March 2019 EDOEF

Net assets US$124,966,115 US$130,171,787 US$130,146,011Shares in issue 6,280,963 5,697,684 5,696,198NAV per share US$19.90 US$22.85 US$22.85

(H) Hedged share class.

13. Contingent liabilities

The Investment Manager is not aware of any contingent liabilities as at 31 March 2020, 30 September 2019 or 31 March 2019.

14. Comparative figures

The comparative figures stated in the Statement of Comprehensive Income and the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares are those for the six-month financial period ended 31 March 2019. The comparative figures stated in the Statement of Financial Position are those for the financial year ended 30 September 2019.

15. Significant events during the six-month financial period

Effective 1 January 2020, GMO Netherlands B.V. was appointed as a distributor of the Company with primary responsibility for the distribution of shares in continental Europe. On 20 March 2020, the Company issued a supplement to include disclosures in relation to the performance comparative indices applicable to each of the Funds. An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 spread internationally and was declared a pandemic by the World Health Organization on 11 March 2020. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. In order to protect the health and wellbeing of its employees, the Company’s investment manager commenced a global work from home policy effective from March 13th. The Company’s Administrator and Depositary have also implemented the business continuity procedures and are working primarily from home. No date for returning to the office has been determined by the investment manager, Administrator and Depositary at this time. There were no other significant events during the six-month financial period requiring financial statement disclosure.

16. Significant events since the six-month financial period end On 15 April 2020, the Company issued a second supplement to amend certain parameters for the permitted value at risk of GRRUF as follows: (i) the maximum permitted VaR from 20 per cent. of Net Asset Value to 14 per cent. of Net Asset Value; and (ii) the related confidence interval for the calculation of VaR, from 99 per cent. to 95 per cent.

There were no other significant events occurring after 31 March 2020 requiring financial statement disclosure.

17. Approval of the financial statements

The Board of Directors of the Company approved these unaudited condensed financial statements on 27 May 2020 for circulation to the shareholders and for filing with the Central Bank of Ireland.

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GMO FUNDS PLC


STATEMENT OF CHANGES IN THE PORTFOLIO

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154

The following statement of changes in the portfolio reflect the aggregate purchases of a security exceeding 1% of the total value of purchases and aggregate disposals greater than 1% of the total sales in the six-month financial period. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.

Schedule of material purchases for the six-month financial period ended 31 March 2020*

Security Description Nominal

Cost

£

United States Treasury Floating Rate Note, 0.22%, due 30/04/21 600,000 457,973 KDDI Corp. 9,000 208,559 DBS Group Holdings Ltd. 13,700 195,650 China National Building Material Co. Ltd. 242,000 189,229 Rio Tinto Ltd. 3,401 166,883 LUKOIL PJSC - Depositary Receipts 2,155 161,038 Bank of China Ltd. 472,000 148,833 Hon Hai Precision Industry Co. Ltd. 59,000 127,508 Aena SME SA, 144A 865 125,035 British American Tobacco Plc 4,000 123,785 Sun Life Financial Inc. 3,400 121,035 Tokyo Electron Ltd. 700 118,762 Oracle Corp. 2,524 108,055 Koninklijke Philips NV 2,771 100,491 Fujitsu Ltd. 1,200 94,789 Electronic Arts Inc. 1,099 88,234 Galp Energia SGPS SA 6,929 87,687 EDP - Energias de Portugal SA 26,905 85,262 Eli Lilly & Co. 808 84,224 Coca-Cola Co. 2,022 82,488

Schedule of material sales for the six-month financial period ended 31 March 2020*


Proceeds

£

United States Treasury Floating Rate Note, 0.22%, due 30/04/21 950,000 749,457 Gazprom PJSC - Depositary Receipts 62,734 353,118 ITOCHU Corp. 14,400 250,777 Macquarie Group Ltd. 3,342 239,102 Toronto-Dominion Bank 5,500 233,330 Sandvik AB 14,253 206,783 FUJIFILM Holdings Corp. 5,500 202,520 Neste Oyj 6,858 175,253 Allianz SE 765 143,180 Honda Motor Co. Ltd. 6,900 141,989 Roche Holding AG 544 132,785 Nestle SA 1,549 127,224 Accenture Plc 847 127,139 Koninklijke Ahold Delhaize NV 6,312 126,233 Microsoft Corp. 1,025 122,659 Comcast Corp. 3,667 122,035 Mitsubishi Chemical Holdings Corp. 21,400 120,767 Apple Inc. 581 119,913 Agricultural Bank of China Ltd. 348,000 112,220 Costco Wholesale Corp. 466 109,036

* United States Treasury Bills are not included in the above tables.

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GMO FUNDS PLC


STATEMENT OF CHANGES IN THE PORTFOLIO (CONTINUED)

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155




Cost

US$

State Street Global Advisors Offshore USD - Class D 13,845,522 13,845,522 Coca-Cola Co. 17,594 936,851 Johnson & Johnson 6,623 905,306 US Bancorp 19,333 894,586 Microsoft Corp. 4,600 726,387 UnitedHealth Group Inc. 2,697 715,707 Wells Fargo & Co. 15,654 698,241 Humana Inc. 2,373 689,415 Quest Diagnostics Inc. 6,307 617,826 Lyft Inc. 14,315 594,316 Oracle Corp. 10,000 563,865 Apple Inc. 2,000 556,679 American Express Co. 4,866 527,635 Accenture Plc 2,796 519,048 Philip Morris International Inc. 6,219 515,292 Cisco Systems Inc. 12,232 488,214 Medtronic Plc 4,228 467,300 Unilever Plc 8,075 457,116 TJX Cos. Inc. 8,205 448,266 Anthem Inc. 1,570 421,540 Roche Holding AG 1,284 407,939 Alphabet Inc. Class A 300 393,641 Compass Group Plc 25,540 384,103 Visa Inc. 2,108 381,416 Starbucks Corp. 5,782 379,503 Texas Instruments Inc. 3,095 377,639 Facebook Inc. 2,026 375,477 Merck & Co. Inc. 4,300 372,147 3M Co. 2,100 353,477 Cognizant Technology Solutions Corp. 5,580 347,232 SAP SE 2,845 340,882

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GMO FUNDS PLC

GMO QUALITY INVESTMENT FUND (CONTINUED)


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156



Proceeds

US$

State Street Global Advisors Offshore USD - Class D 13,579,753 13,579,753 Taiwan Semiconductor Manufacturing Co. Ltd. 92,000 911,492 Alphabet Inc. Class C 553 747,604 Apple Inc. 2,565 675,512 Mastercard Inc. 2,253 667,292 Microsoft Corp. 4,054 627,177 Roche Holding AG 1,917 576,995 Costco Wholesale Corp. 1,863 544,997 Booking Holdings Inc. 283 519,556 Oracle Corp. 8,825 426,897 Nestle SA 4,107 423,253 Reckitt Benckiser Group Plc 5,299 381,682 Humana Inc. 1,238 372,632 Johnson & Johnson 2,420 308,668 Cognizant Technology Solutions Corp. 5,088 307,674 Amphenol Corp. 2,741 281,464 Eli Lilly & Co. 2,033 268,702 UnitedHealth Group Inc. 904 261,722 Philip Morris International Inc. 3,475 246,629 American Express Co. 1,719 224,511 * United States Treasury Bills are not included in the above tables.

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Cost

US$

iShares Core MSCI EM IMI UCITS ETF 602,324 17,471,095 Alibaba Group Holding Ltd. - Depositary Receipts 40,100 8,219,943 Taiwan Semiconductor Manufacturing Co. Ltd. 300,000 3,233,383 Samsung Electronics Co. Ltd. 44,749 1,918,336 Hon Hai Precision Industry Co. Ltd. 632,000 1,732,873 Anhui Conch Cement Co. Ltd. (A Shares) 236,367 1,607,705 LUKOIL PJSC - Depositary Receipts 19,686 1,569,276 China Vanke Co. Ltd. (A Shares) 335,700 1,447,831 Midea Group Co. Ltd. 161,145 1,393,566 Catcher Technology Co. Ltd. 172,000 1,365,836 NetEase Inc. - Depositary Receipts 4,100 1,231,786 Powszechny Zaklad Ubezpieczen SA 119,725 1,128,236 China Yangtze Power Co. Ltd. 404,200 1,047,275 CNOOC Ltd. 656,000 1,029,373 China Shenhua Energy Co. Ltd. (A Shares) 401,643 1,022,791 Tatneft PJSC - Depositary Receipts 14,482 939,526 China Construction Bank Corp. (H Shares) 1,222,000 931,658 Fibra Uno Administracion SA de CV REIT 592,200 900,168 PICC Property & Casualty Co. Ltd. 736,000 876,418 Geely Automobile Holdings Ltd. 440,000 864,527



Proceeds

US$

iShares Core MSCI EM IMI UCITS ETF 789,636 22,459,546

Alibaba Group Holding Ltd. - Depositary Receipts 38,100 7,045,952

Taiwan Semiconductor Manufacturing Co. Ltd. - Depositary Receipts 62,800 3,481,104

Tencent Holdings Ltd. 74,400 3,348,854

Gazprom PJSC - Depositary Receipts 180,412 1,404,161

Samsung Electronics Co. Ltd. 28,858 1,261,310

China Overseas Land & Investment Ltd. 350,000 1,207,085

China Construction Bank Corp. (H Shares) 1,352,000 1,137,684

Akbank Turk AS 838,935 1,093,716

China Merchants Bank Co. Ltd. (A Shares) 216,100 1,080,861

Ping An Insurance Group Co. of China Ltd. (H Shares) 94,500 966,768

Gree Electric Appliances Inc. of Zhuhai 104,494 939,856

LUKOIL PJSC - Depositary Receipts 9,258 909,229

China Resources Land Ltd. 204,000 900,696

Nanya Technology Corp. 334,000 876,197

Tupras Turkiye Petrol Rafinerileri AS 39,580 835,250

Capitec Bank Holdings Ltd. 8,475 834,411

Turkiye Garanti Bankasi AS 471,536 817,648

Kumba Iron Ore Ltd. 28,862 797,163

Surgutneftegas PJSC - Preferred Shares 1,256,200 758,626 * United States Treasury Bills are not included in the above tables.

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Cost

US$

United States Treasury Bond, 1.75%, due 28/02/22 58,000,000 59,704,922 United States Treasury Floating Rate Note, 0.24%, due 31/01/22 50,000,000 50,051,259 Japan Treasury Discount Bill, 0.00%, due 18/05/20 5,383,000,000 48,540,215 Japan Treasury Discount Bill, 0.00%, due 06/04/20 4,205,000,000 38,720,642 iShares Core MSCI EM IMI UCITS ETF 1,340,917 38,111,998 United States Treasury Bond, 1.50%, due 31/01/22 35,000,000 35,709,570 Canadian Treasury Bill, 0.00%, due 19/03/20 45,000,000 34,077,683 Japan Treasury Discount Bill, 0.00%, due 14/01/20 3,612,400,000 33,649,035 Japan Treasury Discount Bill, 0.00%, due 13/04/20 3,613,000,000 32,987,158 Japan Treasury Discount Bill, 0.00%, due 27/04/20 3,254,700,000 29,660,534 United States Treasury Note, 1.38%, due 31/01/21 25,600,000 25,507,145 Japan Treasury Discount Bill, 0.00%, due 25/02/20 2,733,000,000 25,149,683 United States Treasury Floating Rate Note, 0.39%, due 31/10/21 25,000,000 25,034,416 Japan Treasury Discount Bill, 0.00%, due 11/05/20 2,500,000,000 22,781,622 Japan Treasury Discount Bill, 0.00%, due 16/03/20 2,330,000,000 21,449,016 United States Treasury Inflation Indexed Bonds, 0.13%, due 15/01/30 18,114,926 18,349,947 Japan Treasury Discount Bill, 0.00%, due 10/01/20 1,865,000,000 17,040,942 Japan Treasury Discount Bill, 0.00%, due 07/05/20 1,750,000,000 16,151,894 Japan Treasury Discount Bill, 0.00%, due 03/02/20 1,750,000,000 16,126,353 Alibaba Group Holding Ltd. - Depositary Receipts 73,000 14,707,624



Proceeds

US$

United States Treasury Floating Rate Note, 0.13%, due 31/07/20 76,956,000 76,939,012 United States Treasury Floating Rate Note, 0.12%, due 30/04/20 59,300,000 59,293,964 United States Treasury Inflation Indexed Bonds, 1.75%, due 15/01/28 49,989,026 57,008,419 Japan Treasury Discount Bill, 0.00%, due 18/05/20 5,383,000,000 49,182,862 iShares Core MSCI EM IMI UCITS ETF 1,730,892 45,823,205 Federal Home Loan Banks, 1.74%, due 03/04/20 44,000,000 44,025,511 United States Treasury Inflation Indexed Bonds, 0.38%, due 15/01/27 41,546,726 42,215,673 United States Treasury Inflation Indexed Bonds, 2.50%, due 15/01/29 29,021,725 35,481,779 Japan Treasury Discount Bill, 0.00%, due 13/04/20 3,613,000,000 33,307,724 United States Treasury Inflation Indexed Bonds, 0.63%, due 15/01/26 31,566,198 32,116,262 Japan Treasury Discount Bill, 0.00%, due 27/04/20 3,254,700,000 29,734,178 Japan Treasury Discount Bill, 0.00%, due 11/05/20 2,500,000,000 23,289,170 United States Treasury Note, 1.38%, due 31/01/21 23,000,000 23,133,242 United States Treasury Inflation Indexed Bonds, 0.50%, due 15/01/28 20,163,497 21,014,145 Gazprom PJSC - Depositary Receipts 2,716,972 20,573,679 Japan Treasury Discount Bill, 0.00%, due 06/04/20 2,180,000,000 20,182,367 United States Treasury Note, 1.13%, due 30/04/20 17,800,000 17,739,609 United States Treasury Floating Rate Note, 0.13%, due 31/10/20 16,500,000 16,497,046 Federal Home Loan Banks, 1.61%, due 13/04/20 15,500,000 15,512,446 United States Treasury Note, 1.13%, due 28/02/21 14,300,000 14,359,148 * United States Treasury Bills are not included in the above tables.

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159




Cost

US$

iShares Core MSCI EM IMI UCITS ETF 1,044,071 27,552,349 iShares MSCI Russia ADR 50,840 7,108,033 JD.com Inc. - Depositary Receipts 106,700 4,148,595 Tencent Holdings Ltd. 91,200 4,077,167 Xtrackers MSCI China UCITS ETF 193,301 3,607,822 HDFC Bank Ltd. 138,240 2,442,457 iShares MSCI Brazil UCITS ETF USD Dist 72,931 2,361,338 ICICI Bank Ltd. 317,504 2,275,987 iShares MSCI Taiwan UCITS ETF 45,689 2,271,541 Taiwan Semiconductor Manufacturing Co. Ltd. 215,000 2,256,047 Xtrackers MSCI Mexico UCITS ETF 480,240 2,174,300 Alibaba Group Holding Ltd. - Depositary Receipts 11,100 2,095,182 Samsung Electronics Co. Ltd. 43,196 1,983,443 China Merchants Bank Co. Ltd. 403,500 1,962,580 China Construction Bank Corp. 2,408,000 1,899,542 Nestle SA 17,067 1,853,935 Bharti Airtel Ltd. 270,991 1,788,494 CSOP Source FTSE China A50 UCITS ETF 72,824 1,727,876 Bank for Foreign Trade of Vietnam JSC 452,370 1,710,587 NetEase Inc. - Depositary Receipts 5,000 1,620,743 Largan Precision Co. Ltd. 11,000 1,611,951 Akbank Turk AS 1,051,686 1,483,946 Schedule of material sales for the six-month financial period ended 31 March 2020*


Proceeds

US$

iShares Core MSCI EM IMI UCITS ETF 906,176 25,245,466 iShares MSCI Russia ADR 37,847 4,770,910 Taiwan Semiconductor Manufacturing Co. Ltd. 399,000 3,975,962 iShares MSCI Korea UCITS ETF USD Dist 91,278 3,727,164 Ping An Insurance Group Co. of China Ltd. 314,000 3,428,880 China Construction Bank Corp. 4,207,647 3,323,141 Xtrackers MSCI China UCITS ETF 193,301 3,316,696 Alibaba Group Holding Ltd. - Depositary Receipts 15,800 2,868,262 HDFC Bank Ltd. 174,379 2,557,087 Akbank Turk AS 2,358,269 2,531,513 iShares MSCI Brazil UCITS ETF USD Dist 72,931 2,504,273 iShares MSCI Taiwan UCITS ETF 47,323 2,316,033 China Merchants Bank Co. Ltd. 458,500 2,186,753 Nestle SA 20,472 2,109,150 Itau Unibanco Holding SA - Preferred Shares 275,500 2,066,282 Fomento Economico Mexicano SAB de CV 220,700 1,806,759 Banco Bradesco SA - Preferred Shares 234,800 1,739,360 AIA Group Ltd. 183,087 1,726,149 ICICI Bank Ltd. 340,293 1,707,034 China Overseas Land & Investment Ltd. 492,300 1,655,467 Tencent Holdings Ltd. 39,700 1,619,520 Xtrackers MSCI Mexico UCITS ETF 480,240 1,469,364 Airports of Thailand PCL 565,200 1,372,061 * United States Treasury Bills are not included in the above tables.

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GMO FUNDS PLC

APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE

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160

Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (“SFTR”) introduces reporting requirements for securities financing transactions (“SFTs”) and total return swaps. A SFT is defined as per Article 3(11) of the SFTR as:

• a repurchase/reverse repurchase agreement;

• securities or commodities lending and securities or commodities borrowing;

• a buy-sell back transaction or sell-buy back transaction; or

• a margin lending transaction. As at 31 March 2020, the following Funds held total return swaps, repurchase agreements and/or reverse repurchase agreements as specified below, as types of instruments under the scope of SFTR: GMO Emerging Markets Equity Fund GMO Global Real Return (UCITS) Fund GMO Emerging Domestic Opportunities Equity Fund


Global data

The amount of assets across total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020 was as follows:

Type of Asset Notional Amount US$ % of NAV

Total Return Swaps 851,039 0.71%

No securities of EMEF were on loan during the six-month financial period ended 31 March 2020.

Data on reuse of collateral

There was no reuse of collateral during the six-month financial period ended 31 March 2020.

Concentration data EMEF’s portfolio did not receive any securities as collateral for the total return swaps as at 31 March 2020. The counterparty across all total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020 was as follows:

Counterparty Type of Asset Notional Amount US$

Goldman Sachs International Total Return Swaps 851,039

Safekeeping of collateral received or granted

As at 31 March 2020 there was no collateral received or held with the Depositary.

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(CONTINUED)

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161

GMO EMERGING MARKETS EQUITY FUND (CONTINUED)

Aggregate transaction data

As at 31 March 2020 there were no collateral positions, including cash, pledged/received across all total return swaps, repurchase agreements and reverse repurchase agreements, if any. The settlement mechanism for all total return swaps, repurchase agreements and reverse repurchase agreements, if any, positions as at 31 March 2020 was bilateral. The maturity tenor of all total return swaps, repurchase agreements and reverse repurchase agreements, if any, positions as at 31 March 2020 was as follows:

Maturity Amount US$

Total Return Swaps

3 months to 1 year 851,039

Returns and costs for total return swaps, repurchase agreements and reverse repurchase agreements, if any, for the six-month financial period ended 31 March 2020 were as follows:

Returns: Amount US$ % Overall returns

To Fund:

-Total Return Swaps 879,017 100%

Total 879,017 100%

Costs: Amount US$ % Overall returns

To Fund:

-Total Return Swaps (144,196) 100%

Total (144,196) 100%


Global data



Total Return Swaps 114,033,393 5.83%

No securities of GRRUF were on loan during the six-month financial period ended 31 March 2020.


There was no reuse of collateral during the six-month financial period ended 31 March 2020

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(CONTINUED)

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162

GMO GLOBAL REAL RETURN (UCITS) FUND (CONTINUED)

Concentration data

The issuer for collateral securities received across all total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020 was as follows:

Collateral Issuer Amount US$

GVT of the United States of America 691,369

Security collateral may cover a combination of swap contracts, and as such, a portion of the collateral relates to swap contracts not in scope of the SFTR. The counterparties across all total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020 were as follows:


Barclays Bank Plc Total Return Swaps 22,900,000

Credit Suisse International Total Return Swaps 503,528

Goldman Sachs International Total Return Swaps 4,552,890

JPMorgan Chase Bank, N.A. Total Return Swaps 9,040,001

Morgan Stanley & Co. International Plc Total Return Swaps 3,369,999

Morgan Stanley Capital Services LLC Total Return Swaps 73,666,975

Safekeeping of collateral received

The Depositary held collateral received as at 31 March 2020 as follows:

Depositary Type of Collateral Amount US$

State Street Custodial Services (Ireland) Limited Cash collateral 1,410,000

State Street Custodial Services (Ireland) Limited Security collateral 691,369

Safekeeping of collateral granted

The proportion of collateral held in segregated, pooled or other accounts as at 31 March 2020 was as follows:

%

Segregated Accounts 0%

Pooled Accounts 0%

Other 100%

Total 100%

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(CONTINUED)

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163



The aggregate transaction data for collateral positions, including cash, (pledged)/received across all total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020 was as follows:

Counterparty

Type of

collateral

Amount

US$

Quality

(credit rating)

Maturity

tenor

(collateral)

Currency of

collateral

Country of

counterparty

establishment

Settlement

and clearing

Total Return Swaps

Bank of America, N.A. government bonds (1,108,140) A+ > 1 year US$ United States bilateral

Barclays Bank Plc cash (28,670,000) N/A N/A US$ United States bilateral

Citibank N.A. cash 290,000 N/A N/A US$ United States bilateral

Citigroup Global Markets, Inc. cash 320,000 N/A N/A US$ United States bilateral

Credit Suisse International cash (20,000) N/A N/A US$ United States bilateral

Deutsche Bank AG cash 800,000 N/A N/A US$ Germany bilateral

Deutsche Bank AG government bonds 691,369 BBB+ > 1 year US$ Germany bilateral

Goldman Sachs International cash (320,000) N/A N/A US$ United States bilateral

JPMorgan Chase Bank, N.A.

government bonds (29,395,087) A+ > 1 year US$ United States bilateral

Morgan Stanley & Co. International Plc


Morgan Stanley Capital Services LLC


State Street Bank and Trust Company

government bonds (45,429) AA- < 1 year US$ United States bilateral

State Street Bank and Trust Company

government bonds (55,732,884) AA- > 1 year US$ United States bilateral

Collateral may cover a combination of swap contracts, and as such, a portion of the collateral relates to swap contracts not in scope of SFTR. Cash denominated in USD is deemed to be at highest quality due to its highly liquid nature. The maturity tenor of total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020 was as follows:

Maturity Amount US$

Total Return Swaps

1 month to 3 months 108,976,975

3 months to 1 year 2,878,749

Over 1 year 2,177,669

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(CONTINUED)

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164


Return/costs

Returns and costs for total return swaps, repurchase agreements and reverse repurchase agreements, if any, for the six-month financial period ended 31 March 2020 were as follows:


To Fund:

-Total Return Swaps 41,363,115 98%

-Repurchase Agreements 701,622 2%

- Reverse Repurchase Agreements 775 0%

Total 42,065,512 100%

Costs: Amount US$ % Overall returns

To Fund:

-Total Return Swaps (22,712,198) 100%

Total (22,712,198) 100%


Global data



Total Return Swaps 781,000 0.62%

No securities of EDOEF were on loan during the six-month financial period ended 31 March 2020.


There was no reuse of collateral during the six-month financial period ended 31 March 2020.

Concentration data

EDOEF’s portfolio did not receive any securities as collateral for the total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020. The counterparty across all total return swaps, repurchase agreements and reverse repurchase agreements, if any, as at 31 March 2020 was as follows:


Goldman Sachs International Total Return Swaps 781,000

Safekeeping of collateral received

The Depositary held collateral received as at 31 March 2020 as follows:

Depositary Type of Collateral Amount US$

Goldman Sachs International Cash collateral 390,000

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(CONTINUED)

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GMO EMERGING DOMESTIC OPPORTUNITIES EQUITY FUND (CONTINUED)

Safekeeping of collateral granted

The proportion of collateral held in segregated, pooled or other accounts as at 31 March 2020 was as follows:

%

Segregated Accounts 0%

Pooled Accounts 0%

Other 100%

Total 100%


The aggregate transaction data for collateral positions, including cash, (pledged)/received across all total return swaps as at 31 March 2020 was as follows:

Counterparty

Type of

collateral

Amount

US$

Quality

(credit rating)

Maturity

tenor

(collateral)

Currency of

collateral

Country of

counterparty

establishment

Settlement

and clearing

Total Return Swaps

Goldman Sachs cash 390,000 N/A N/A US$ United States bilateral

Collateral may cover a combination of swap contracts, and as such, a portion of the collateral relates to swap contracts not in scope of SFTR. Cash denominated in USD is deemed to be at highest quality due to its highly liquid nature. The maturity tenor of all total return swaps, repurchase agreements and reverse repurchase agreements, if any, positions as at 31 March 2020 was as follows:

Maturity Amount US$

Total Return Swaps

3 months to 1 year 781,000

Returns for total return swaps, repurchase agreements and reverse repurchase agreements, if any, for the six-month financial period ended 31 March 2020 were as follows:


To Fund:

-Total Return Swaps 206,510 100%

Total 206,510 100%

_____________________________________________________________________________________________

GMO FUNDS PLC

DIRECTORY

_____________________________________________________________________________________________

166

Board of Directors Depositary Mr. David Bohan (United States) State Street Custodial Services (Ireland) Limited Ms. Eimear Cowhey (Ireland)1 78 Sir John Rogerson’s Quay Mr. Arron Day (United Kingdom) Dublin 2 Mr. John Fitzpatrick (Ireland)1 Ireland

Administrator Company Secretary State Street Fund Services (Ireland) Limited Bradwell Limited 78 Sir John Rogerson’s Quay 10 Earlsfort Terrace Dublin 2 Dublin 2 Ireland Ireland

Auditors Investment Manager PricewaterhouseCoopers Grantham, Mayo, Van Otterloo & Co. LLC

Chartered Accountants and Statutory Audit Firm 40 Rowes Wharf One Spencer Dock Boston North Wall Quay Massachusetts 02110 Dublin 1 USA Ireland Legal Adviser Distributors Arthur Cox GMO UK Limited 10 Earlsfort Terrace No. 1 London Bridge Dublin 2 London SE1 9BG Ireland England

Registered Office Effective 1 January 2020: 78 Sir John Rogerson’s Quay GMO Netherlands B.V. Dublin 2 Gustav Mahlerplein 109-115, Ireland 26th floor 1082 MS Amsterdam Registered Number: 351477 The Netherlands 1 Independent Director.

UNAUDITED CONDENSED FINANCIAL STATEMENTS FOR THE …€¦ · 1,600 BRP Inc. 20,815 0.07 200 CGI...

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