GMO INVESTMENTS ICAV (an Irish Collective Asset-management ...€¦ · (an Irish Collective Asset-management Vehicle) ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS FOR THE FINANCIAL

GMO INVESTMENTS ICAV

(an Irish Collective Asset-management Vehicle)

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2020

Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of GMO SGM Major

Markets Investment Fund, GMO Climate Change Investment Fund and GMO Emerging Country

Debt UCITS Fund, sub-funds of GMO Investments ICAV, operates under a claim for exemption

made pursuant to U.S. Commodity Futures Trading Commission Regulation 4.7 issued pursuant to

the Commodity Exchange Act of 1974.

Registered Number C155870

GMO 40 Rowes Wharf | Boston, MA 02110 | USA T 617.330.7500

Grantham, Mayo, Van Otterloo & Co. LLC, the commodity pool operator of

GMO SGM Major Markets Investment Fund (the “Pool”), affirms that the information contained

herein is the Annual Report of the Pool (the “Report”) for the year ended 30 September 2020 and

that, to the best of the undersigned’s knowledge and belief, the information contained in the

Report is accurate and complete.

By:___________________________________________

Name: Tara Ann Pari

Title: Registered Principal

Grantham, Mayo, Van Otterloo & Co. LLC

GMO SGM Major Markets Investment Fund



GMO Climate Change Investment Fund (the “Pool”), affirms that the information contained

herein is the Annual Report of the Pool (the “Report”) for the year ended 30 September 2020 and

that, to the best of the undersigned’s knowledge and belief, the information contained in the


By:___________________________________________

Name: Tara Ann Pari



GMO Climate Change Investment Fund



GMO Emerging Country Debt UCITS Fund (the “Pool”), affirms that the information contained

herein is the Annual Report of the Pool (the “Report”) for the period ended 30 September 2020

and that, to the best of the undersigned’s knowledge and belief, the information contained in the


By:___________________________________________

Name: Tara Ann Pari



GMO Emerging Country Debt UCITS Fund

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

following sub-funds of GMO Investments ICAV and the shares in this fund may not be marketed to investors in the Federal

Republic of Germany:

• GMO Emerging Country Debt UCITS Fund.

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ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

TABLE OF CONTENTS

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Page

Directors’ Report 1

Remuneration Policy (Unaudited) 5

Statement of Depositary Responsibilities and Depositary Report 6

Independent Auditors’ Report 7

Investment Advisor's Reports

GMO SGM Major Markets Investment Fund 10

GMO Climate Change Investment Fund 11

GMO Emerging Country Debt UCITS Fund 12

Statement of Investments




Portfolio Abbreviations, Counterparty Abbreviations and Currency Abbreviations 33

Statement of Comprehensive Income 34

Statement of Financial Position 37

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 40

Notes to the Financial Statements 43

Statement of Changes in the Portfolio (Unaudited)




Appendix - Securities Financing Transactions Regulation Disclosure (Unaudited) 97

Management and Administration 99

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DIRECTORS’ REPORT


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1

The Directors present to the shareholders their annual report together with the audited financial statements of GMO Investments ICAV (the “ICAV”) for the financial year ended 30 September 2020. The ICAV is organised in the form of an umbrella fund with segregated liability between sub-funds. As at 30 September 2020, the ICAV consisted of three active sub-funds, namely GMO SGM Major Markets Investment Fund (“SGM MMF”), GMO Climate Change Investment Fund (“CCIF”) and GMO Emerging Country Debt UCITS Fund (“ECDUF”) and one inactive sub-fund GMO Equity Market Neutral Investment Fund, (each a “Fund” or “sub-fund”, together the “Funds” or “sub-funds”).

Directors’ Responsibilities Statement

The Directors are responsible for preparing the Directors’ Report and the financial statements in accordance with Irish law. Irish law requires the Directors to prepare financial statements for each financial year giving a true and fair view of the ICAV’s assets, liabilities and financial position at the end of the financial year and the profit or loss of the ICAV for the financial year. Under that law the Directors have arranged for the preparation of the financial statements in accordance with the accounting standards issued by the Financial Reporting Council of the UK, including Financial Reporting Standard 102 (“FRS 102”), the financial reporting standard applicable in the UK and the Republic of Ireland, with the Irish Collective Asset-management Vehicle Act 2015 (the “ICAV Act”) and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank’s UCITS Regulations”). Under Irish law, the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the ICAV’s assets, liabilities and financial position as at the end of the financial year and the profit or loss of the ICAV for the financial year. In preparing these financial statements, the Directors are required to: • select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether the financial statements have been prepared in accordance with applicable accounting standards and identify

the standards in question, subject to any material departures from those standards being disclosed and explained in the notes to the financial statements; and

• arrange for the preparation of the financial statements on the going concern basis unless it is inappropriate to presume that the ICAV will continue in business.

The Directors confirm that they have complied with the above requirements in preparing the financial statements. The Directors are responsible for keeping adequate accounting records that are sufficient to: • correctly record and explain the transactions of the ICAV; • enable, at any time, the assets, liabilities, financial position and profit or loss of the ICAV to be determined with

reasonable accuracy; and • enable the Directors to ensure that the financial statements comply with the ICAV Act Regulations and enable those

financial statements to be audited. In regard to the foregoing requirements, the Directors have relied on Grantham, Mayo, Van Otterloo & Co. LLC (the “Investment Adviser” or “GMO LLC”), State Street Fund Services (Ireland) Limited (the “Administrator”) and State Street Custodial Services (Ireland) Limited (the “Depositary”) and the representations provided by such parties to the Directors. The Directors are responsible for safeguarding the assets of the ICAV and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. In this regard, the Directors have entrusted the assets of the ICAV to the Depositary. The Investment Adviser is responsible for the maintenance and integrity of the corporate and financial information in respect of the ICAV included on GMO LLC’s website. Legislation in Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

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DIRECTORS’ REPORT (CONTINUED)


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2

Accounting Records

The Directors are responsible for ensuring the maintenance of adequate accounting records which correctly explain and record the transactions of the ICAV, enable at any time the assets, liabilities, financial position and profit or loss of the ICAV to be determined with reasonable accuracy, enable them to ensure that the financial statements and Directors’ report comply with the ICAV Act and enable the financial statements to be audited in accordance with FRS 102, the ICAV Act and the UCITS Regulations. The accounting records of the ICAV are maintained at the Administrator’s office, 78 Sir John Rogerson’s Quay, Dublin 2, Ireland. 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 UCITS Regulations”), any transaction carried out with the ICAV by the Investment Adviser or the Depositary and the delegates or sub-delegates of the Investment Adviser or Depositary (excluding any non-group company sub-custodians appointed by the Depositary) and any associated or group company of the Investment Adviser, 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 ICAV. The Board of Directors of the ICAV 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.

Business Review

The net assets of SGM MMF decreased from US$297,788,081 as at 30 September 2019 to US$215,168,289 as at 30 September 2020. The net assets of CCIF increased from US$121,892,145 as at 30 September 2019 to US$195,842,024 as at 30 September 2020. The net assets of ECDUF was US$251,385,913 as at 30 September 2020. For further information please see the Investment Adviser’s Reports on pages 10, 11 and 12.

Directors

The Directors who held office during the financial year were: Mr. David Bohan (United States) Ms. Eimear Cowhey (Ireland) Mr. Arron Day (United Kingdom) Mr. John Fitzpatrick (Ireland) All of the above mentioned Directors held office throughout the financial year. Principal Activities

The ICAV is an Irish collective asset-management vehicle established under the laws of Ireland pursuant to the ICAV Act and the UCITS Regulations. The ICAV is organised in the form of an umbrella fund with segregated liability between sub-funds. The ICAV is authorised by the Central Bank of Ireland (the “Central Bank”) as a UCITS in accordance with the provisions of the UCITS Regulations. Results

The results for the financial year are stated in the Statement of Comprehensive Income on pages 34, 35 and 36.

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3

Secretary

Bradwell Limited (the “Secretary”) is the Secretary of the ICAV and held the position for the full financial year.

Directors’ and Secretary’s Interests The Directors were not aware that they or their families have any interest in the shares of the Funds as at 30 September 2020 or as at 30 September 2019, other than in respect of the following Directors, who are employees of GMO LLC and GMO UK Limited respectively, who each held one subscriber share:

30 September 2020 30 September 2019

Mr. David Bohan Mr. David Bohan Mr. Arron Day Mr. Arron Day

The Secretary was not aware that it has any interest in the shares of the Funds as at 30 September 2020 or as at 30 September 2019. Subscriber shares do not form part of the assets of the ICAV. Other than the agreements entered into regarding the terms of their appointments, the Directors had no contracts or arrangements of any significance during or at the end of the financial year in relation to the business of the ICAV. Dividends

No dividends were declared during the financial years ended 30 September 2020 or 30 September 2019.

Corporate Governance Statement

The Board of Directors has assessed the measures included in the voluntary Corporate Governance Code for Collective Investment Schemes and Management Companies as published by the Irish Funds (“IF”) in December 2011 (the “IF Code”). The Board of Directors has adopted all corporate governance practices and procedures in the IF Code with effect from 28 October 2016. The Board of Directors considers that the ICAV has complied with the main provisions contained in the IF Code from the start of the fiscal year to 30 September 2020. Risk Management Objectives

There can be no assurance that any Fund will achieve its investment objective. The value of shares may rise or fall as the capital value of the securities in which the Fund invests may fluctuate. The main risks arising from the Funds’ investments in financial instruments are detailed in Note 9 to the financial statements. Significant Events During the Financial Year

Effective 1 January 2020, GMO Netherlands B.V. was appointed as a distributor of the ICAV with primary responsibility for the distribution of shares in continental Europe. On 31 January 2020, the ICAV issued a first supplemental prospectus to include disclosures relating to the U.K. no longer being a Member State after its proposed exit from the EU. On 20 March 2020, the ICAV issued a second supplemental prospectus to include disclosures in relation to the performance comparative indices applicable to each of the Funds, the creation of two new share classes in respect of ECDUF, and an amendment to the list of regulated markets.

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4

Significant Events During the Financial Year (continued)

ECDUF launched on 1 April 2020. On 27 April 2020, the ICAV issued a third supplemental prospectus to provide for the creation of twelve new share classes in respect of ECDUF and to reduce the reimbursable expenses threshold amount in respect of ECDUF. On 5 June 2020, the ICAV issued a fourth supplemental prospectus to include disclosures to reflect that ECDUF will calculate its market risk using the relative value-at-risk method. On 3 August 2020, GMO Investment Management Company (Ireland) Limited (the “Manager”) entered into an amendment administration agreement to reflect updated anti-money laundering arrangements with the Administrator. 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 ICAV’s Investment Adviser commenced a global work from home policy effective from 13 March 2020. The ICAV’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 Adviser, Administrator and Depositary at this time. There were no other significant events during the financial year requiring financial statement disclosure.

Significant Events Since the Financial Year End

On January 31, 2020, the U.K. formally withdrew from the EU (commonly known as “Brexit”), and an 11-month transition period commenced during which the U.K. negotiated an agreement for its future relationship with the EU. On 29 December 2020, the EU member states approved this agreement, and the European Parliament is expected to approve the agreement in 2021. On 1 January 2021, a provisional application of the agreement took effect. Brexit did not have any direct impact on the ICAV. There were no other significant events occurring since the financial year end requiring financial statement disclosure.

Independent Auditors

The auditors, PricewaterhouseCoopers, have indicated their willingness to continue in office in accordance with Section 125(2) of the ICAV Act 2015 and in accordance with Section 125(1) of the ICAV Act 2015.

On behalf of the Board of Directors:

Eimear Cowhey

Arron Day

Date: 14 January 2021

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REMUNERATION POLICY (UNAUDITED)


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5

In line with the requirements of the UCITS Regulations, GMO Investment Management Company (Ireland) Limited (the "Manager") and the ICAV have each adopted a remuneration policy (the “Remuneration Policy”). The Directors who are not employees of the Investment Adviser or an affiliate (the “Independent Directors”) receive a fixed annual fee which is competitive and based on the individual Director’s powers, tasks, expertise and responsibilities. Directors that are employees of the Investment Adviser or an affiliate are not paid any fees for their services as Directors. For the financial year ended 30 September 2020, only the Independent Directors received a fixed fee from the ICAV in their roles as directors, which was in the aggregate US$9,182. None of the directors are entitled to receive any variable remuneration from the ICAV. No remuneration has been paid to staff of the Investment Adviser by the ICAV. Instead, the Manager pays an investment advisory fee to the Investment Adviser. The Investment Adviser pays remuneration to its staff in accordance with the policies, procedures and processes applicable to it. In accordance with Regulation 89(3A)(d) and (e) of the UCITS Regulations, the policy and its implementation is reviewed at least annually and it is confirmed that no material changes have been made to the Remuneration Policy since its adoption. On 10 November 2016, the Manager and the ICAV each adopted an updated remuneration policy to reflect the provisions of European Securities and Market Authority (“ESMA”) Guidelines on Sound Remuneration Policies under the UCITS V Directive and other general non-material updates.

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STATEMENT OF DEPOSITARY RESPONSIBILITIES AND DEPOSITARY REPORT


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6

Report of the Depositary to the Shareholders

We have enquired into the conduct of GMO Investments ICAV (the “ICAV”) for the financial year ended 30 September 2020, in our capacity as Depositary to the ICAV. This report including the opinion has been prepared for and solely for the shareholders in the ICAV as a body, in accordance with Regulation 34, (1), (3) and (4) in Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended, (the “UCITS Regulations”), and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.

Responsibilities of the Depositary

Our duties and responsibilities are outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct of the ICAV in each annual accounting period and report thereon to the shareholders. Our report shall state whether, in our opinion, the ICAV has been managed in that financial year in accordance with the provisions of the ICAV’s Instrument of Incorporation and the UCITS Regulations. It is the overall responsibility of the ICAV to comply with these provisions. If the ICAV has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation. Basis of Depositary Opinion

The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the ICAV has been managed: (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of the ICAV’s

Instrument of Incorporation and the UCITS Regulations; and (ii) otherwise in accordance with the ICAV’s constitutional documentation and the appropriate regulations.

Opinion

In our opinion, the ICAV has been managed during the financial year, in all material respects: (i) in accordance with the limitations imposed on the investment and borrowing powers of the ICAV by the Instrument of

Incorporation, the UCITS Regulations and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank’s UCITS Regulations”); and

(ii) otherwise in accordance with the provisions of the Instrument of Incorporation, the UCITS Regulations and the Central Bank’s UCITS Regulations.

State Street Custodial Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland


Independent auditors’ report to the shareholders of the sub-funds of GMO Investments ICAV

Report on the audit of the financial statements

Opinion

In our opinion, GMO Investments ICAV’s financial statements:

• give a true and fair view of the sub-funds’ assets, liabilities and financial position as at 30 September 2020 and of their results for the year then ended;

• have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland (accounting standards issued by the Financial Reporting Council of the UK, including Financial Reporting Standard 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland” and Irish law); and

• have been properly prepared in accordance with the requirements of the Irish Collective Asset-management Vehicles Act 2015 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended).

We have audited the financial statements, included within the Annual Report and Audited Financial Statements, which comprise:

• the Statement of Financial Position as at 30 September 2020;

• the Statement of Comprehensive Income for the year then ended;

• the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the year then ended;

• the Statement of Investments for each of the sub-funds as at 30 September 2020; and

• the notes to the financial statements for each of the sub-funds, which include a description of the significant accounting policies.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law.

Our responsibilities under ISAs (Ireland) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence

We remained independent of the ICAV in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

Conclusions relating to going concern

We have nothing to report in respect of the following matters in relation to which ISAs (Ireland) require us to report to you where:

• the directors’ use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or

• the directors have not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the sub-funds’ ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue.

However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the sub-funds’ ability to continue as going concerns.

Reporting on other information

The other information comprises all of the information in the Annual Report and Audited Financial Statements other than the financial statements and our auditors’ report thereon. The directors are responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities.

Based on the responsibilities described above and our work undertaken in the course of the audit, the Irish Collective Asset-management Vehicles Act 2015 requires us to also report the opinion as described below:

• In our opinion, based on the work undertaken in the course of the audit, the information given in the Directors’ Report for the year ended 30 September 2020 is consistent with the financial statements.

Responsibilities for the financial statements and the audit

Responsibilities of the directors for the financial statements

As explained more fully in the Directors’ Responsibilities Statement set out on page 1, the directors are responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view.

The directors are also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the directors are responsible for assessing the sub-funds’ ability to continue as going concerns, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the ICAV or to cease operations, or have no realistic alternative but to do so.

Auditors’ responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

A further description of our responsibilities for the audit of the financial statements is located on the IAASA website at:

https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsibilities_for_audit.pdf.

This description forms part of our auditors’ report.

Use of this report

This report, including the opinions, has been prepared for and only for the shareholders of each of the sub-funds as a body in accordance with section 120 of the Irish Collective Asset-management Vehicles Act 2015 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsibilities_for_audit.pdf

https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsibilities_for_audit.pdf

Other required reporting

Irish Collective Asset-management Vehicles Act 2015 exception reporting

Directors’ remuneration

Under the Irish Collective Asset-management Vehicles Act 2015 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration specified by section 117 of that Act have not been made. We have no exceptions to report arising from this responsibility.

PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin 26 January 2021

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INVESTMENT ADVISORS REPORT


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10

GMO SGM Major Markets Investment Fund (“SGM MMF” or the “Fund”)

Performance Summary

The Fund has three share classes funded: Class USD (1 February 2017), Class EUR (1 February 2017), and Class GBP (21 February 2017).

For the financial year ended 30 September 2020, SGM MMF Class A USD has returned 0.6%, net of fees (1.6%, gross of fees), compared with the 1.0% return of the FTSE 3-Month Treasury Bill Index (the “Benchmark”)*.

Currency positions added value, mostly due to a short U.S. dollar position relative to select European and Asian currencies over the past six months. Gains from a short position in commodity markets during the March quarter meant performance was positive for the past year. Equity market positions added minor value as solid gains made from a net short exposure to the asset class during March were offset by our value-orientated long and short market selection positions. The returns from fixed income positions were negligible.


40 Rowes Wharf

Boston, Massachusetts 02110

USA

Investment Adviser

October 2020

* References to the Benchmark are for illustrative purposes only. There is no guarantee that the Fund will outperform its Benchmark or that

the composition of the Fund will reflect that of its Benchmark.

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INVESTMENT ADVISOR’S REPORT (CONTINUED)


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11

GMO Climate Change Investment Fund (“CCIF” or the “Fund”)

Performance Summary

For the financial period from 1 October 2019 to 30 September 2020, the Fund Class GBP returned 15.00% net of fees (16.00% gross of fees), versus the 5.27% return of the MSCI All Country World Index.*

The largest contributor during the financial period was once again the Fund's position in Clean Energy. Within Clean Energy, Solar performed particularly well. SolarEdge, an inverter and module-level power electronics company, was up over 170% and among the Fund's largest contributors. Another large contribution came from the Fund’s position in a Biofuel producer, Renewable Energy Group, which was up 235% during the year.

The largest detractor during the financial period was the Fund's position in Agriculture. Both Farming and Agriculture Productivity were impacted by weather-related issues that created excess supply in the potash and phosphate markets. We view these headwinds as temporary and believe there are opportunities in this space for investors with a longer time horizon.


40 Rowes Wharf


USA

Investment Adviser

October 2020

* Although the Fund does not seek to allocate its investments in line with, or seek to control risk relative to any securities market index or

benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index is included for comparative purposes only.

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INVESTMENT ADVISOR’S REPORT (CONTINUED)


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12

GMO Emerging Country Debt UCITS Fund (“ECDUF” or the “Fund”)

Performance Summary

For the financial period from 1 April 2020, the launch date of the Fund, through 30 September 2020 the Fund (Class F USD) returned 16.0%, net of fees, versus the J.P. Morgan EMBI Global Diversified (“EMBIG-D”) (the “Benchmark”)* return of 16.2%. The Benchmark’s credit spread over U.S. Treasuries tightened by 216 bps to end the period at 432 bps, while Treasuries sold off modestly, with the 10-year yield rising by 10 bps to 0.68%. In terms of index changes during this time, Serbia exited the EMBIG-D at the end of August, 2020.

Investment Environment

The portfolio had negative alpha from security selection during the period, more than offsetting the positive alpha generated by country selection. In terms of country selection, positive alpha was largely driven by the portfolio’s overweight positions in Ecuador (+60.0%), Oman (+29.1%), and Argentina (+33.2%), and underweight positions in China (+4.3%) and the Philippines (+9.6%). While unable to fully offset country selection gains, underweight positions in Nigeria (+44.1%) and Angola (+132.7%, the index’s top performer), and overweight positions in Belize (-16.8%, the index’s worst performer), Mexico (+20.7%), and Ghana (+32.2%) contributed negatively.

In terms of security selection, the choice of holdings in Oman, Sri Lanka, and South Africa contributed negatively to alpha, though gains provided by holdings in Colombia, Chile, Argentina, Ecuador, and Brazil partly offset security selection losses. The holding of bonds in off-benchmark countries, which we consider security selection, posted modest negative alpha driven by the Bahamas, Grenada, and Israel.

Outlook

Entering the new fiscal year, the portfolio’s largest overweights are Turkey, Mexico, and Indonesia, while the largest underweights are China, the Philippines, and Peru.


40 Rowes Wharf


USA

Investment Adviser

October 2020

* References to the Benchmark are for illustrative purposes only. There is no guarantee that the Fund will outperform its Benchmark or that

the composition of the Fund will reflect that of its Benchmark.

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GMO SGM MAJOR MARKETS INVESTMENT FUND

STATEMENT OF INVESTMENTS

AS AT 30 SEPTEMBER 2020

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

13

Par Value†/

Shares Description

Value

US$

% of Net

Asset Value

TRANSFERABLE SECURITIES LISTED ON AN OFFICIAL STOCK EXCHANGE OR TRADED ON A REGULATED MARKET

UNLESS OTHERWISE NOTED

Debt Obligations

United States (30 September 2019: 63.05%)

U.S. Government (30 September 2019: 63.05%)

10,000,000 Federal Home Loan Banks, 0.13%, due 10/09/21 9,997,165 4.65

3,000,000 United States Treasury Bill, 0.00%, due 22/04/21(a) 2,998,055 1.39

9,000,000 United States Treasury Floating Rate Note, 0.20%, due 31/01/21(b) 9,002,893 4.18

1,500,000 United States Treasury Floating Rate Note, 0.16%, due 31/07/22 1,499,895 0.70

10,000,000 United States Treasury Note, 1.25%, due 31/03/21(b) 10,055,859 4.67

20,000,000 United States Treasury Note, 2.25%, due 31/03/21 20,210,156 9.39







208,975,586 97.12

TOTAL DEBT OBLIGATIONS 208,975,586 97.12

Short-Term Investments

Money Market Fund (30 September 2019: 1.60%) 4,140,711 State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% 4,140,711 1.92

TOTAL SHORT-TERM INVESTMENTS 4,140,711 1.92

TOTAL INVESTMENTS AT FAIR VALUE 213,116,297 99.04

EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS

FORWARD CURRENCY CONTRACTS (30 September 2019: 0.10%)

Settlement

Date Counterparty

Currency

Sold

Currency

Purchased

Net

Unrealised

Appreciation/

(Depreciation)

US$

% of Net

Asset Value

10/12/20 SSB USD 9,420,516 JPY 1,000,000,000 69,516 0.03

10/12/20 MSCI USD 8,853,959 JPY 940,507,352 67,589 0.03

12/11/20 JPM AUD 10,574,349 USD 7,640,605 65,990 0.03

05/10/20 SSB USD 5,106,266 CAD 6,855,954 42,652 0.03

12/11/20 MSCI NZD 1,147,281 USD 779,524 20,559 0.01

16/11/20 MSCI USD 6,450,049 EUR 5,513,390 20,137 0.01

12/11/20 SSB AUD 1,128,821 USD 826,840 18,243 0.01

12/11/20 GS USD 2,734,379 AUD 3,842,115 17,803 0.01

07/10/20 SSB GBP 1,435,693 USD 1,865,407 12,821 0.01

12/11/20 SSB NZD 1,102,287 USD 740,628 11,429 0.01

16/11/20 MSCI EUR 607,578 USD 723,227 10,209 0.00

07/10/20 DB USD 1,860,990 EUR 1,595,260 9,566 0.00

12/11/20 UBSA NZD 8,470,664 USD 5,610,637 7,013 0.00

12/11/20 UBSA AUD 1,006,680 USD 726,176 5,071 0.00

10/12/20 SSB USD 1,486,802 JPY 157,156,151 4,615 0.00

07/10/20 MSCI USD 3,080,722 EUR 2,630,280 3,469 0.00

12/11/20 BCLY CHF 376,150 USD 410,211 1,354 0.00

05/10/20 SSB USD 1,159,392 CAD 1,545,454 1,266 0.00

_____________________________________________________________________________________________



STATEMENT OF INVESTMENTS (CONTINUED)


_____________________________________________________________________________________________


14

EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

FORWARD CURRENCY CONTRACTS (30 September 2019: 0.10%) (CONTINUED)

Settlement

Date Counterparty

Currency

Sold

Currency

Purchased

Net

Unrealised

Appreciation/

(Depreciation)

US$

% of Net

Asset Value

05/10/20 MSCI CAD 190,599 USD 143,807 665 0.00

12/11/20 GS NZD 923,389 USD 611,248 396 0.00

05/10/20 GS USD 434,576 CAD 579,068 312 0.00

07/10/20 SSB USD 13,056 EUR 11,000 (158) (0.00)

12/11/20 UBSA USD 867,837 CHF 798,000 (449) (0.00)

10/11/20 SSB JPY 168,336,174 USD 1,595,108 (1,710) (0.00)

12/11/20 SSB NZD 2,805,587 USD 1,851,933 (4,056) (0.00)

05/10/20 SSB USD 1,518,945 CAD 2,014,605 (5,948) (0.00)

12/11/20 SSB USD 2,160,542 CHF 1,979,074 (9,382) (0.00)

05/10/20 MSCI USD 825,054 CAD 1,085,012 (10,194) (0.00)

10/12/20 SSB USD 3,180,323 JPY 333,999,270 (10,659) (0.00)

07/10/20 SSB GBP 570,000 USD 724,143 (11,372) (0.01)

12/11/20 MSCI USD 2,341,797 GBP 1,804,779 (12,520) (0.01)

10/12/20 MSCI USD 1,877,024 JPY 196,306,454 (14,070) (0.01)

12/11/20 SSB USD 7,462,593 GBP 5,771,214 (14,172) (0.01)

07/10/20 SSB EUR 4,757,037 USD 5,552,307 (25,658) (0.01)

12/11/20 SSB USD 1,216,494 AUD 1,660,719 (26,888) (0.01)

07/10/20 UBSA EUR 4,550,000 USD 5,305,491 (29,708) (0.01)

07/10/20 BOA USD 1,918,267 GBP 1,444,535 (54,271) (0.03)

16/11/20 JPM USD 6,472,305 EUR 5,448,133 (78,701) (0.04)

12/11/20 JPM GBP 7,575,993 USD 9,675,869 (101,828) (0.05)

07/10/20 SSB USD 22,523,556 EUR 19,000,000 (244,703) (0.11)

16/11/20 SSB USD 55,246,365 EUR 46,526,953 (645,109) (0.30)

07/10/20 UBSA USD 132,653,546 EUR 111,962,912 (1,369,060) (0.64)

07/10/20 MSCI USD 48,415,509 GBP 36,458,340 (1,370,478) (0.64)

Total Forward Currency Contracts (Gain) 390,675 0.18

Total Forward Currency Contracts (Loss) (4,041,094) (1.88)

TOTAL FORWARD CURRENCY CONTRACTS (NET) (3,650,419) (1.70)

FUTURES CONTRACTS (30 September 2019: 0.03%)

No. of

Contracts+ Type*

Expiration

Date

Notional

Amount ($)

Net

Unrealised

Appreciation/

(Depreciation)

US$

% of Net Asset

Value

Buys

64 Hang Seng Index Futures October 20 9,767,511 77,660 0.04

17 U.S. (CBT) Note 10 yr. December 20 2,372,031 (1,144) (0.00)

42 CAC40 10 Euro Futures October 20 2,360,836 (3,393) (0.00)

23 E-mini Russ 2000 Futures December 20 1,730,060 (18,938) (0.01)

46 S&P TSX 60 IX Futures December 20 6,643,235 (23,576) (0.01)

663 MSCI Emerging Markets Futures December 20 36,083,775 (328,293) (0.15)

Total Buys 58,957,448 (297,684) (0.13)

_____________________________________________________________________________________________





_____________________________________________________________________________________________


15


FUTURES CONTRACTS (30 September 2019: 0.03%) (CONTINUED)

No. of

Contracts+ Type*

Expiration

Date

Notional

Amount ($)

Net

Unrealised

Appreciation/

(Depreciation)

US$

% of Net Asset

Value

Sales

(99) FTSE Top 40 Index Futures December 20 (2,975,238) 120,883 0.06

(40) SPI 200 Futures December 20 (4,192,934) 36,521 0.02

(24) United Kingdom Long Gilt Futures December 20 (4,215,106) 2,255 0.00

(59) Euro-Bund Futures December 20 (12,072,340) 83 0.00

(2) Japan (OSE) Treasury Bond 10 yr. December 20 (2,884,559) (2,478) (0.00)

(53) Canadian Treasury Bond 10 yr. December 20 (6,042,529) (13,304) (0.01)

(41) S&P 500 E-mini Futures December 20 (6,871,600) (98,764) (0.05)

(71) Topix Index Futures December 20 (11,004,593) (191,432) (0.09)

Total Sales (50,258,899) (146,236) (0.07)

Total Futures Contracts (Gain) 237,402 0.12

Total Futures Contracts (Loss) (681,322) (0.32)

TOTAL FUTURES CONTRACTS (NET) (443,920) (0.20)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

* The clearing brokers for the futures contracts are Morgan Stanley & Co. LLC, UBS Securities LLC and J.P. Morgan Securities LLC.

SWAP CONTRACTS

OTC Total Return Swaps (30 September 2019: 0.04%)

Fund Pays Fund Receives Notional Amount

Expiration

Date Counterparty

Value

US$

% of Net

Asset Value

Fixed Rate of

0.15%

Depreciation of Total Return

on BCOM Index USD 3,003,935 20/08/2021 MSCI (8,430) (0.00)

Total OTC Total Return Swaps (Gain) - 0.00

Total OTC Total Return Swaps (Loss) (8,430) (0.00)

TOTAL OTC TOTAL RETURN SWAPS (NET) (8,430) (0.00)

Premiums Paid (Received) -

TOTAL SWAP CONTRACTS (8,430) (0.00)

TOTAL EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL

DERIVATIVE INSTRUMENTS (4,102,769) (1.90)

As at 30 September 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 assets at fair value through profit or loss 213,744,374 99.34

Total financial liabilities at fair value through profit or loss (4,730,846) (2.20)

Other assets in excess of liabilities 6,154,761 2.86

Net assets attributable to holders of redeemable participating shares 215,168,289 100.00

_____________________________________________________________________________________________





_____________________________________________________________________________________________


16

Analysis of Total Assets

% of Total

Asset

Value

Transferable securities traded on a regulated market unless otherwise noted 96.78

Financial derivative instruments traded on a regulated market 0.11

Over-the-counter financial derivative instruments 0.18

97.07 † Denominated in U.S. Dollar, unless otherwise inducted. (a) The rate shown represents yield-to-maturity. Yield rounds to 0.00%. (b) 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. For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Statement of Investments,

if any, please refer to page 33.

_____________________________________________________________________________________________


GMO CLIMATE CHANGE INVESTMENT FUND



_____________________________________________________________________________________________


17

Par Value†/

Shares Description

Value

US$

% of Net

Asset Value



Debt Obligations

United States (30 September 2019: 0.53%)

U.S. Government (30 September 2019: 0.53%) 2,650,000 United States Treasury Bill, 0.00%, due 12/11/20(a) 2,649,699 1.35



7,147,263 3.65

Total United States 7,147,263 3.65


Equities

Argentina (30 September 2019: 0.82%) 365,337 Adecoagro SA 1,706,124 0.87

1,706,124 0.87

Australia (30 September 2019: 1.62%) 483,270 Sandfire Resources Ltd. 1,412,260 0.72

124,895 Tassal Group Ltd. 310,412 0.16

186,786 Western Areas Ltd. 274,260 0.14

1,996,932 1.02

Brazil (30 September 2019: 2.12%) 222,000 Duratex SA 708,784 0.36

393,000 Sao Martinho SA 1,524,162 0.78

135,800 SLC Agricola SA 616,382 0.31

2,849,328 1.45

Canada (30 September 2019: 2.54%)

171,200 Canadian Solar Inc. 6,009,120 3.06

440,700 Ivanhoe Mines Ltd. 1,601,884 0.82

2,312,700 Largo Resources Ltd. 1,910,533 0.98

74,800 NFI Group Inc. 930,260 0.48

10,451,797 5.34

Chile (30 September 2019: 3.03%) 150,300 Sociedad Quimica y Minera de Chile SA - Depositary Receipts 4,872,726 2.49

4,872,726 2.49

China (30 September 2019: 3.07%) 613,900 CECEP Solar Energy Co. Ltd. 417,343 0.21

1,477,000 Chaowei Power Holdings Ltd. 546,963 0.28

2,328,000 China High Speed Transmission Equipment Group Co. Ltd. 1,835,353 0.94

921,000 China Longyuan Power Group Corp. Ltd. 575,176 0.29

1,947,000 China Suntien Green Energy Corp. Ltd. 502,448 0.26

1,012,000 China Water Affairs Group Ltd. 793,925 0.41

_____________________________________________________________________________________________





_____________________________________________________________________________________________


18

Shares Description

Value

US$

% of Net

Asset Value


UNLESS OTHERWISE NOTED (CONTINUED)

Equities (continued)

China (30 September 2019: 3.07%) (continued) 76,700 Hollysys Automation Technologies Ltd. 847,535 0.43

1,770,000 Sinofert Holdings Ltd. 155,302 0.08

293,900 Sungrow Power Supply Co. Ltd. 1,186,285 0.61

1,306,000 Tianneng Power International Ltd. 2,338,990 1.19

1,064,000 Wasion Holdings Ltd. 297,918 0.15

587,592 Zhengzhou Yutong Bus Co. Ltd. 1,356,260 0.69

247,800 Zhuzhou CRRC Times Electric Co. Ltd. 828,126 0.42

11,681,624 5.96

Denmark (30 September 2019: 3.12%)

1,664 ROCKWOOL International AS 639,405 0.33

13,349 Vestas Wind Systems AS 2,165,305 1.10

2,804,710 1.43

Finland (30 September 2019: 0.23%) 59,031 Kemira Oyj 752,322 0.38

40,264 Neste Oyj 2,122,922 1.09

2,875,244 1.47

France (30 September 2019: 8.75%) 11,698 Albioma SA 609,646 0.31

197,790 Electricite de France SA 2,093,119 1.07

31,648 Nexans SA 1,837,474 0.94

17,253 Schneider Electric SE 2,145,209 1.10

49,649 STMicroelectronics NV 1,528,038 0.78

145,786 Suez 2,701,497 1.38

93,046 Valeo SA 2,863,659 1.46

141,369 Veolia Environnement SA 3,053,078 1.55

14,658 Vilmorin & Cie SA 857,570 0.44

17,689,290 9.03

Germany (30 September 2019: 3.74%) 19,269 Centrotec SE 327,583 0.17

170,294 E.ON SE 1,882,405 0.96

12,796 Encavis AG 251,145 0.13

6,071 Infineon Technologies AG 171,649 0.09

133,366 K+S AG 919,113 0.47

245 Knorr-Bremse AG 28,909 0.01

28,602 Siemens AG 3,617,692 1.84

14,301 Siemens Energy AG 385,646 0.20

7,584,142 3.87

India (30 September 2019: 0.17%) 695,601 Jain Irrigation Systems Ltd. 131,993 0.07

639,152 Power Grid Corp of India Ltd. 1,408,595 0.72

1,540,588 0.79

Israel (30 September 2019: 1.78%)

281,542 Israel Chemicals Ltd. 996,085 0.51

996,085 0.51

_____________________________________________________________________________________________





_____________________________________________________________________________________________


19

Shares Description

Value

US$

% of Net

Asset Value




Italy (30 September 2019: 2.67%) 662,979 Enel SpA 5,766,082 2.95

11,276 ERG SpA 283,713 0.14

103,848 Prysmian SpA 3,024,433 1.54

9,074,228 4.63

Japan (30 September 2019: 9.71%)

14,000 Central Japan Railway Co. 2,003,129 1.02

900 Daikin Industries Ltd. 164,699 0.08

31,300 East Japan Railway Co. 1,923,140 0.98

64,000 Ebara Corp. 1,725,236 0.88

78,700 GS Yuasa Corp. 1,349,164 0.69

19,600 Iseki & Co. Ltd. 262,783 0.13

51,800 Kurita Water Industries Ltd. 1,699,407 0.87

15,200 Metawater Co. Ltd. 330,476 0.17

59,900 Osaki Electric Co. Ltd. 347,024 0.18

283,900 Panasonic Corp. 2,392,550 1.22

290,700 Renesas Electronics Corp. 2,108,619 1.08

18,600 Sanken Electric Co. Ltd. 432,792 0.22

65,200 Takuma Co. Ltd. 1,107,841 0.57

39,900 Tsukishima Kikai Co. Ltd. 481,229 0.25

30,200 West Japan Railway Co. 1,486,448 0.76

17,814,537 9.10

Mexico (30 September 2019: 1.00%) 1,674,491 Grupo Mexico SAB de CV 4,262,052 2.17

243,700 Grupo Rotoplas SAB de CV 209,076 0.11

4,471,128 2.28

Netherlands (30 September 2019: 0.76%) 68,331 Arcadis NV 1,486,928 0.76

1,486,928 0.76

Norway (30 September 2019: 2.41%) 310,415 Austevoll Seafood ASA 2,585,822 1.32

34,782 Grieg Seafood ASA 318,454 0.16

4,737 Salmar ASA 268,654 0.14

3,172,930 1.62

Pakistan (30 September 2019: 0.43%) 1,062,117 Fauji Fertilizer Co. Ltd. 692,058 0.35

692,058 0.35

Portugal (30 September 2019: 1.25%) 638,829 EDP - Energias de Portugal SA 3,142,034 1.60

3,142,034 1.60

_____________________________________________________________________________________________





_____________________________________________________________________________________________


20

Shares Description

Value

US$

% of Net

Asset Value




Russia (30 September 2019: 4.65%) 170,451 MMC Norilsk Nickel PJSC - Depositary Receipts 4,116,391 2.11

289,776 PhosAgro PJSC - Depositary Receipts 3,488,903 1.78

125,491 Ros Agro Plc - Depositary Receipts 1,202,204 0.61

8,807,498 4.50

Spain (30 September 2019: 3.46%)

9,153 Acciona SA 995,877 0.51

2,655 Construcciones y Auxiliar de Ferrocarriles SA 91,674 0.05

81,649 Endesa SA 2,185,500 1.11

15,871 Fomento de Construcciones y Contratas SA 151,283 0.08

74,829 Red Electrica Corp. SA 1,405,048 0.72

61,180 Talgo SA, 144A 245,677 0.13

5,075,059 2.60

Sweden (30 September 2019: Nil) 17,899 Holmen AB 665,528 0.34

665,528 0.34

Switzerland (30 September 2019: 0.90%) 1,034 Gurit Holding AG 2,198,113 1.13

12,678 Landis & Gyr Group AG 694,430 0.35

2,892,543 1.48

Taiwan (30 September 2019: 0.56%) 73,000 Delta Electronics Inc. 476,383 0.24

476,383 0.24

Thailand (30 September 2019: 0.26%) 712,400 SPCG PCL 438,400 0.22

438,400 0.22

Ukraine (30 September 2019: 0.65%)

135,376 Kernel Holding SA 1,400,900 0.72

1,400,900 0.72

United Kingdom (30 September 2019: 3.39%) 46,200 Atlantica Yield Plc 1,321,782 0.67

294,856 Drax Group Plc 1,012,804 0.52

83,549 Go-Ahead Group Plc 624,744 0.32

210,332 Kaz Minerals Plc 1,422,144 0.73

125,517 Polypipe Group Plc 701,290 0.36

1,621,044 Renewi Plc 406,211 0.21

921,432 Stagecoach Group Plc 460,607 0.24

5,949,582 3.05

United States (30 September 2019: 34.03%) 23,800 AGCO Corp. 1,767,626 0.90

8,408 Albemarle Corp. 750,666 0.38

77,484 BorgWarner Inc. 3,001,730 1.53

21,900 Darling Ingredients Inc. 789,057 0.40

_____________________________________________________________________________________________





_____________________________________________________________________________________________


21

Shares Description

Value

US$

% of Net

Asset Value




United States (30 September 2019: 34.03%) (continued) 75,600 Delphi Technologies Plc 1,263,276 0.65

26,400 Eaton Corp. Plc 2,693,592 1.38

21,100 Edison International 1,072,724 0.55

6,800 Emerson Electric Co. 445,876 0.23

21,300 EnerSys 1,429,656 0.73

43,400 Exelon Corp. 1,551,984 0.79

41,900 First Solar Inc. 2,773,780 1.42

153,957 Freeport-McMoRan Inc. 2,407,887 1.23

67,900 FutureFuel Corp. 772,023 0.39

1,151,672 GrafTech International Ltd. 7,877,437 4.01

91,700 Livent Corp. 822,549 0.42

327,517 Mosaic Co. 5,983,736 3.06

20,200 MYR Group Inc. 751,036 0.38

105,400 ON Semiconductor Corp. 2,286,126 1.17

45,700 Owens Corning 3,144,617 1.61

141,718 Renewable Energy Group Inc. 7,570,576 3.86

19,500 Rexnord Corp. 581,880 0.30

15,188 SolarEdge Technologies Inc. 3,620,060 1.85

17,400 TE Connectivity Ltd. 1,700,676 0.87

3,800 Valmont Industries Inc. 471,884 0.24

55,530,454 28.35

TOTAL EQUITIES 188,138,780 96.07


Money Market Funds (30 September 2019: 0.12%) 512,320 State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% 512,320 0.26

TOTAL SHORT-TERM INVESTMENTS 512,320 0.26

TOTAL INVESTMENTS AT FAIR VALUE 195,798,363 99.98

Value

US$

% of Net

Asset Value


Cash at bank 71,376 0.04

Other liabilities in excess of assets (27,715) (0.02)



% of Total

Asset

Value

Transferable securities listed on an official stock exchange unless otherwise noted 95.91


99.81 † 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,


_____________________________________________________________________________________________


GMO EMERGING COUNTRY DEBT UCITS FUND



_____________________________________________________________________________________________


22

Par Value† Description

Value

US$

% of Net

Asset Value



Debt Obligations

Angola

Foreign Government Obligations

800,000 Angolan Government International Bond, 9.38%, due 08/05/48 622,500 0.25

1,500,000 Angolan Government International Bond, 9.13%, due 26/11/49 1,164,844 0.46

1,787,344 0.71

Argentina


1,236,072 Argentine Republic Government International Bond, 1.00%, due 09/07/29 560,559 0.22



18,430,000 Argentine Republic Government International Bond, 0.13%, due 09/07/46 7,031,044 2.80

8,871,734 3.53

Armenia

Corporate Debt

1,200,000 Ardshinbank CJSC Via Dilijan Finance BV, 144A, 6.50%, due 28/01/25 1,094,250 0.44

1,094,250 0.44

Azerbaijan

Corporate Debt

700,000 International Bank of Azerbaijan OJSC, 3.50%, due 01/09/24 635,250 0.25

1,200,000 Petkim Petrokimya Holding AS, 5.88%, due 26/01/23 1,183,125 0.47

600,000 Southern Gas Corridor CJSC, 6.88%, due 24/03/26 683,700 0.27

2,502,075 0.99

Foreign Government Agency

1,200,000 Republic of Azerbaijan International Bond, 5.13%, due 01/09/29 1,266,000 0.50

1,266,000 0.50

Total Azerbaijan 3,768,075 1.49

Bahamas


900,000 Bahamas Government International Bond, 6.00%, due 21/11/28 814,950 0.32

300,000 Bahamas Government International Bond, 6.95%, due 20/11/29 268,275 0.11

1,083,225 0.43

Bahrain


3,600,000 Bahrain Government International Bond, 7.50%, due 20/09/47 3,816,000 1.52

3,816,000 1.52

Barbados

Foreign Government Obligations 800,000 Barbados Government International Bond, 6.50%, due 01/10/29 770,500 0.31

770,500 0.31

Belarus


400,000 Development Bank of the Republic of Belarus JSC, 6.75%, due 02/05/24 377,500 0.15

900,000 Republic of Belarus International Bond, 6.20%, due 28/02/30 838,969 0.33

1,216,469 0.48

_____________________________________________________________________________________________





_____________________________________________________________________________________________


23


Value

US$

% of Net

Asset Value



Debt Obligations (continued)

Belize Foreign Government Obligations 2,766,656 Belize Government International Bond, 4.94%, due 20/02/34 1,203,495 0.48

1,203,495 0.48

Brazil

Corporate Debt

1,267,682 MV24 Capital BV, 144A, 6.75%, due 01/06/34 1,277,784 0.51

2,300,000 Petrobras Global Finance BV, 6.85%, due 05/06/2115 2,449,500 0.98

3,727,284 1.49


700,000 Brazilian Government International Bond, 5.63%, due 21/02/47 761,469 0.30

761,469 0.30

Total Brazil 4,488,753 1.79

Cameroon


400,000 Republic of Cameroon International Bond, 9.50%, due 19/11/25 409,625 0.16

409,625 0.16

Chile

Corporate Debt

1,400,000 Empresa de Transporte de Pasajeros Metro SA, 144A, 4.70%, due

07/05/50 1,719,200 0.68

2,000,000 Empresa Nacional del Petroleo, 5.25%, due 06/11/29 2,318,125 0.93

1,600,000 Empresa Nacional del Petroleo, 4.50%, due 14/09/47 1,737,008 0.69

1,300,000 Enel Generacion Chile SA, 8.13%, due 01/02/97(a) 1,792,700 0.71

7,567,033 3.01

China

Corporate Debt

1,300,000 Lamar Funding Ltd., 3.96%, due 07/05/25 1,171,625 0.47

1,171,625 0.47

Colombia

Corporate Debt

300,000 Ecopetrol SA, 6.88%, due 29/04/30 358,800 0.14

3,000,000 Ecopetrol SA, 5.88%, due 28/05/45 3,268,125 1.30

COP 1,700,000,000 Empresas Publicas de Medellin ESP, 144A, 8.38%, due 08/11/27 456,289 0.18

4,083,214 1.62


1,000,000 Colombia Government International Bond, 8.38%, due 15/02/27 1,248,561 0.50

1,248,561 0.50

Total Colombia 5,331,775 2.12

Congo


2,856,650 Congolese International Bond, 6.00%, due 30/06/29 2,175,518 0.87

2,175,518 0.87

_____________________________________________________________________________________________





_____________________________________________________________________________________________


24


Value

US$

% of Net

Asset Value




Costa Rica

Corporate Debt

200,000 Instituto Costarricense de Electricidad, 6.38%, due 15/05/43 156,750 0.06

156,750 0.06


3,100,000 Costa Rica Government International Bond, 7.16%, due 12/03/45 2,831,656 1.13

2,831,656 1.13

Total Costa Rica 2,988,406 1.19

Cote D'Ivoire


EUR 2,100,000 Ivory Coast Government International Bond, 6.63%, due 22/03/48 2,080,512 0.83

2,080,512 0.83

Dominican Republic


1,100,000 Dominican Republic International Bond, 6.85%, due 27/01/45 1,159,125 0.46

1,300,000 Dominican Republic International Bond, 144A, 6.40%, due 05/06/49 1,303,656 0.52

1,500,000 Dominican Republic International Bond, 144A, 5.88%, due 30/01/60 1,415,625 0.56

DOP 100,000,000 Dominican Republic International Bond, 144A, 10.38%, due 11/01/30 1,768,071 0.71

5,646,477 2.25

Ecuador


615,737 Ecuador Government International Bond, Zero Coupon, due 31/07/30 286,318 0.11

2,091,285 Ecuador Government International Bond, 0.50%, due 31/07/30 1,416,846 0.56



6,020,696 2.40

Egypt


3,300,000 Egypt Government International Bond, 8.70%, due 01/03/49 3,211,313 1.28

2,000,000 Egypt Government International Bond, 144A, 8.88%, due 29/05/50 1,982,500 0.79

5,193,813 2.07

El Salvador


2,050,000 El Salvador Government International Bond, 144A, 7.12%, due 20/01/50 1,598,359 0.64

1,598,359 0.64

Ethiopia


400,000 Ethiopia International Bond, 6.63%, due 11/12/24 400,000 0.16

400,000 0.16

Gabon


1,800,000 Gabon Government International Bond, 6.38%, due 12/12/24 1,694,812 0.68

200,000 Gabon Government International Bond, 144A, 6.63%, due 06/02/31 178,188 0.07

1,873,000 0.75

_____________________________________________________________________________________________





_____________________________________________________________________________________________


25


Value

US$

% of Net

Asset Value




Ghana


3,000,000 Ghana Government International Bond, 8.95%, due 26/03/51 2,590,313 1.03

2,590,313 1.03

Grenada


760,000 Grenada Government International Bond, 7.00%, due 12/05/30 532,000 0.21

532,000 0.21

Guatemala


1,300,000 Guatemala Government Bond, 144A, 6.13%, due 01/06/50 1,554,313 0.62

1,554,313 0.62

Honduras


500,000 Honduras Government International Bond, 144A, 5.63%, due 24/06/30 535,156 0.21

535,156 0.21

India

Corporate Debt

1,606,000 Delhi International Airport Ltd., 144A, 6.45%, due 04/06/29 1,598,472 0.63

1,500,000 GMR Hyderabad International Airport Ltd., 4.25%, due 27/10/27 1,327,500 0.53

2,925,972 1.16

Indonesia

Corporate Debt

800,000 Hutama Karya Persero PT, 144A, 3.75%, due 11/05/30 867,000 0.34

200,000 Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 15/05/30 231,040 0.09

900,000 Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 15/05/50 1,057,922 0.42

2,600,000 Pertamina Persero PT, 144A, 4.15%, due 25/02/60 2,590,364 1.04

1,100,000 Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 6.15%, due

21/05/48 1,415,447 0.56

2,300,000 Saka Energi Indonesia PT, 4.45%, due 05/05/24 2,078,625 0.83

8,240,398 3.28


2,500,000 Indonesia Government International Bond, 4.45%, due 15/04/70 2,957,812 1.17

300,000 Perusahaan Penerbit SBSN Indonesia III, 144A, 3.80%, due 23/06/50 319,313 0.13

3,277,125 1.30

Total Indonesia 11,517,523 4.58

Jordan


1,000,000 Jordan Government International Bond, 144A, 5.85%, due 07/07/30 970,000 0.39

2,600,000 Jordan Government International Bond, 7.38%, due 10/10/47 2,578,063 1.02

3,548,063 1.41

Kazakhstan

Corporate Debt

1,400,000 KazMunayGas National Co. JSC, 6.38%, due 24/10/48 1,783,250 0.71

1,783,250 0.71

_____________________________________________________________________________________________





_____________________________________________________________________________________________


26


Value

US$

% of Net

Asset Value




Kenya


2,500,000 Kenya Government International Bond, 8.25%, due 28/02/48 2,389,063 0.95

2,389,063 0.95

Kuwait

Corporate Debt

400,000 Equate Petrochemical BV, 4.25%, due 03/11/26 419,172 0.17

900,000 MEGlobal Canada ULC, 144A, 5.88%, due 18/05/30 1,047,375 0.41

1,466,547 0.58

Lebanon


2,200,000 Lebanon Government International Bond, 7.15%, due 20/11/31(c) 313,500 0.12



1,083,000 0.43

Malaysia

Corporate Debt

1,000,000 1MDB Global Investments Ltd., 4.40%, due 09/03/23 1,000,890 0.40

1,300,000 Petronas Capital Ltd., 144A, 4.80%, due 21/04/60 1,787,916 0.71

2,788,806 1.11

Mexico

Corporate Debt

10,400,000 Petroleos Mexicanos, 144A, 7.69%, due 23/01/50 8,704,798 3.46

8,704,798 3.46


900,000 Mexico Government International Bond, 5.00%, due 27/04/51 1,008,900 0.40

GBP 2,525,000 Mexico Government International Bond, 5.63%, due 19/03/2114 3,461,705 1.38

4,470,605 1.78

Total Mexico 13,175,403 5.24

Morocco

Corporate Debt

1,000,000 OCP SA, 6.88%, due 25/04/44 1,267,500 0.50

1,267,500 0.50

Mozambique


500,000 Mozambique International Bond, 5.00%, due 15/09/31 407,656 0.16

407,656 0.16

Nigeria


500,000 Nigeria Government International Bond, 8.75%, due 21/01/31 509,375 0.20

1,700,000 Nigeria Government International Bond, 9.25%, due 21/01/49 1,684,063 0.67

2,193,438 0.87

_____________________________________________________________________________________________





_____________________________________________________________________________________________


27


Value

US$

% of Net

Asset Value




Oman


600,000 Oman Government International Bond, 144A, 6.00%, due 01/08/29 551,250 0.22

5,000,000 Oman Government International Bond, 6.50%, due 08/03/47 4,070,313 1.62

1,500,000 Oman Government International Bond, 6.75%, due 17/01/48 1,241,250 0.49

5,862,813 2.33

Pakistan


2,100,000 Pakistan Government International Bond, 7.88%, due 31/03/36 2,080,313 0.83

2,080,313 0.83

Panama

Corporate Debt

3,260,523 Aeropuerto Internacional de Tocumen SA, 6.00%, due 18/11/48 3,625,294 1.45

3,625,294 1.45

Foreign Government Agency

700,000 Panama Government International Bond, 8.13%, due 28/04/34 992,775 0.39

992,775 0.39

Total Panama 4,618,069 1.84

Peru

Corporate Debt

1,500,000 Petroleos del Peru SA, 5.63%, due 19/06/47 1,725,000 0.69

1,725,000 0.69

Qatar

Corporate Debt

500,000 QNB Finansbank AS, 6.88%, due 07/09/24 505,781 0.20

505,781 0.20


500,000 Qatar Government International Bond, 144A, 3.40%, due 16/04/25 548,594 0.22

900,000 Qatar Government International Bond, 144A, 3.75%, due 16/04/30 1,042,313 0.41

3,100,000 Qatar Government International Bond, 144A, 4.40%, due 16/04/50 3,995,125 1.59

5,586,032 2.22

Total Qatar 6,091,813 2.42

Romania


EUR 1,000,000 Romanian Government International Bond, 144A, 3.38%, due 28/01/50 1,194,433 0.48

1,300,000 Romanian Government International Bond, 144A, 4.00%, due 14/02/51 1,337,781 0.53

2,532,214 1.01

Russia

Corporate Debt

1,200,000 Gtlk Europe Capital DAC, 4.65%, due 10/03/27 1,188,000 0.47

1,188,000 0.47


3,400,000 Russian Foreign Bond - Eurobond, 5.88%, due 16/09/43 4,703,688 1.87

4,703,688 1.87

Total Russia 5,891,688 2.34

_____________________________________________________________________________________________





_____________________________________________________________________________________________


28


Value

US$

% of Net

Asset Value




Saudi Arabia

Corporate Debt

1,600,000 Acwa Power Management And Investments One Ltd., 5.95%, due

15/12/39 1,822,000 0.72

1,822,000 0.72


3,700,000 Saudi Government International Bond, 144A, 4.50%, due 22/04/60 4,589,156 1.83

4,589,156 1.83

Total Saudi Arabia 6,411,156 2.55

Senegal


1,200,000 Senegal Government International Bond, 6.75%, due 13/03/48 1,135,125 0.45

1,135,125 0.45

South Africa

Corporate Debt

200,000 Eskom Holdings SOC Ltd., 7.13%, due 11/02/25 182,250 0.07

1,500,000 Eskom Holdings SOC Ltd., 8.45%, due 10/08/28 1,379,063 0.55

1,561,313 0.62


ZAR 26,325,000 Republic of South Africa Government Bond, 8.75%, due 28/02/48 1,207,084 0.48

1,600,000 Republic of South Africa Government International Bond, 6.30%, due

22/06/48 1,456,000 0.58

5,200,000 Republic of South Africa Government International Bond, 5.75%, due

30/09/49 4,402,125 1.75

7,065,209 2.81

Total South Africa 8,626,522 3.43

Sri Lanka


3,000,000 Sri Lanka Government International Bond, 6.20%, due 11/05/27 2,028,750 0.81

3,100,000 Sri Lanka Government International Bond, 6.75%, due 18/04/28 2,099,281 0.83

4,128,031 1.64

Suriname


2,200,000 Suriname Government International Bond, 9.25%, due 26/10/26 1,298,688 0.52

1,298,688 0.52

Tajikistan


800,000 Republic of Tajikistan International Bond, 7.13%, due 14/09/27 644,250 0.26

644,250 0.26

Trinidad and Tobago

Corporate Debt

200,000 Trinidad Generation UnLtd., 5.25%, due 04/11/27 197,938 0.08

1,710,000 Trinidad Petroleum Holdings Ltd., 9.75%, due 15/06/26 1,884,847 0.75

2,082,785 0.83

_____________________________________________________________________________________________





_____________________________________________________________________________________________


29


Value

US$

% of Net

Asset Value




Tunisia


JPY 250,000,000 Banque Centrale de Tunisie International Bond, 4.30%, due 02/08/30 1,600,426 0.64

1,600,426 0.64

Turkey


10,500,000 Turkey Government International Bond, 5.75%, due 11/05/47 8,347,500 3.32

1,000,000 Turkiye Ihracat Kredi Bankasi AS, 6.13%, due 03/05/24 952,500 0.38

9,300,000 3.70

Ukraine

Corporate Debt

2,300,000 NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due

08/11/26 2,215,188 0.88

2,215,188 0.88


2,800,000 Ukraine Government International Bond, 7.38%, due 25/09/32 2,630,250 1.05

1,900,000 Ukraine Government International Bond, 144A, 7.25%, due 15/03/33 1,743,250 0.69

4,373,500 1.74

Total Ukraine 6,588,688 2.62

United Arab Emirates

Corporate Debt

1,400,000 DP World Plc, 5.63%, due 25/09/48 1,595,125 0.63

800,000 DP World Plc, 4.70%, due 30/09/49 807,250 0.32

700,000 DP World Salaam, 6.00%, due 01/10/25 734,125 0.29

3,136,500 1.24


900,000 Finance Department Government of Sharjah, 144A, 4.00%, due 28/07/50 918,000 0.37

918,000 0.37

Total United Arab Emirates 4,054,500 1.61

United States

U.S. Government

10,500,000 United States Treasury Bill, 0.00%, due 27/10/20(b) 10,499,391 4.18

26,000,000 United States Treasury Bill, 0.00%, due 25/03/21(b) 25,985,779 10.33


42,484,467 16.90

Uruguay


2,100,000 Uruguay Government International Bond, 4.98%, due 20/04/55 2,798,250 1.11

2,798,250 1.11

Uzbekistan

Corporate Debt

400,000 Uzbek Industrial and Construction Bank ATB, 5.75%, due 02/12/24 416,125 0.17

416,125 0.17

_____________________________________________________________________________________________





_____________________________________________________________________________________________


30

Par Value†/

Shares Description

Value

US$

% of Net

Asset Value




Uzbekistan (continued)


600,000 Republic of Uzbekistan Bond, 5.38%, due 20/02/29 667,313 0.26

667,313 0.26

Total Uzbekistan 1,083,438 0.43

Vietnam


2,000,000 Viet Nam Debt & Asset Trading Corp., 1.00%, due 10/10/25 1,613,750 0.64

1,613,750 0.64

Zambia


2,000,000 Zambia Government International Bond, 8.97%, due 30/07/27 966,875 0.38

966,875 0.38


Loan Participations (d)

Angola

42,000 Republic of Angola Via Avenir II BV, 4.98%, due 07/12/23 36,330 0.01

TOTAL LOAN PARTICIPATIONS 36,330 0.01


Money Market Funds

4,123,565 State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% 4,123,565 1.64

TOTAL SHORT-TERM INVESTMENTS 4,123,565 1.64 TOTAL INVESTMENTS AT FAIR VALUE 248,093,443 98.69 EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS

FORWARD CURRENCY CONTRACTS

Settlement

Date Counterparty

Currency

Sold

Currency

Purchased

Net

Unrealised

Appreciation/

(Depreciation)

US$

% of Net

Asset

Value

05/10/20 SSB CHF 556,900 USD 605,182 495 0.00

19/10/20 BOA EUR 600,000 USD 703,041 (676) 0.00

19/10/20 SSB JPY 153,100,000 USD 1,433,294 (18,641) (0.01)

19/10/20 MSCI EUR 2,329,400 USD 2,670,585 (61,478) (0.02)

19/10/20 SSB GBP 2,636,200 USD 3,330,405 (71,507) (0.03)

05/10/20 SSB USD 21,594,812 CHF 19,627,600 (283,000) (0.11)

Total Forward Currency Contracts (Gain) 495 0.00

Total Forward Currency Contracts (Loss) (435,302) (0.17)

TOTAL FORWARD CURRENCY CONTRACTS (NET) (434,807) (0.17)

_____________________________________________________________________________________________





_____________________________________________________________________________________________


31


SWAP CONTRACTS OTC Credit Default Swaps

Reference

Entity Counterparty

Notional

Amount

Annual

Premium

Maximum Potential

Amount of Future

Payments by the

Fund Under the

Contract (1)

Expiration

Date

Value

US$

% of Net

Asset

Value

Buy Protection^:

Turkey Government

International Bond GS USD 3,000,000 1.00% N/A 21/12/2025 570,639 0.23

Republic of South

Africa Government

International Bond GS USD 2,500,000 1.00% N/A 21/12/2025 256,507 0.10

Republic of South

Africa Government

International Bond JPM USD 2,500,000 1.00% N/A 21/12/2025 69,627 0.03

Total OTC Credit Default Swaps (Gain) 896,773 0.36

Total OTC Credit Default Swaps (Loss) - 0.00

TOTAL OTC CREDIT DEFAULT SWAPS (NET) 896,773 0.36

Premiums Paid (Received) 865,184

^ Buy Protection - 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.

Sell Protection - 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. (1) 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.

Centrally Cleared Interest Rate Swaps

Fund Pays Fund Receives

Notional

Amount

Expiration

Date

Periodic

Payment

Frequency Counterparty

Value

US$

% of Net

Asset

Value

0.18% 12 Month GBP

SONIA(2) GBP 100,000 22/04/50 Annually JPMF 4,700 0.00

Total Centrally Cleared Interest Rate Swaps (Gain) 4,700 0.00

Total Centrally Cleared Interest Rate Swaps (Loss) - 0.00

TOTAL CENTRALLY CLEARED INTEREST RATE SWAPS (NET) 4,700 0.00

Premiums Paid (Received) 123

TOTAL SWAP CONTRACTS 901,473 0.36

(2) Swap was cleared through Intercontinental Exchange.

TOTAL EXCHANGE TRADED AND/OR OVER-THE-COUNTER FINANCIAL DERIVATIVE

INSTRUMENTS 466,666 0.19

_____________________________________________________________________________________________





_____________________________________________________________________________________________


32

As at 30 September 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 (435,302) (0.17)

Cash at bank 920,000 0.37

Other assets in excess of liabilities 1,905,804 0.75



% of Total

Asset

Value


Transferable securities not listed on an official stock exchange or traded on a regulated market 0.01

Financial derivative instruments traded on a regulated market 0.00

Over-the-counter financial derivative instruments 0.36

98.35

† 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 Custodian as a competent person for such purpose) in consultation with the Investment Adviser. (b) The rate shown represents yield-to-maturity. Yield rounds to 0.00%. (c) Security in default. (d) Not traded on a regulated market.

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


_____________________________________________________________________________________________


PORTFOLIO ABBREVIATIONS, COUNTERPARTY ABBREVIATIONS AND CURRENCY

ABBREVIATIONS


_____________________________________________________________________________________________


33

Abbreviations: BCOM Bloomberg Commodity Index

CJSC Closed Joint-Stock Company

GBP SONIA Sterling Overnight Indexed Average

JSC Joint-Stock Company

OJSC Open Joint-Stock Company

PJSC Public Joint-Stock Company

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.

DB Deutsche Bank AG

GS Goldman Sachs International

JPM JP Morgan Chase Bank, N.A.

JPMF J.P. Morgan Securities LLC

MSCI Morgan Stanley & Co. International PLC

SSB State Street Bank and Trust Company

UBSA UBS AG

Currency Abbreviations:

AUD Australian Dollar

CAD Canadian Dollar

CHF Swiss Franc

COP Colombian Peso

DOP Dominican Peso

EUR Euro

GBP British Pound Sterling

JPY Japanese Yen

NZD New Zealand Dollar

USD United States Dollar

ZAR South African Rand

_____________________________________________________________________________________________


STATEMENT OF COMPREHENSIVE INCOME

_____________________________________________________________________________________________


34

Notes

SGM MMF

For the

financial year

ended

30 September 2020

US$

SGM MMF

For the

financial year

ended

30 September 2019

US$

Investment Income

Interest income 2(e) 1,722,864 5,933,677

Dividend income 2(e) 48,421 118,245

Other income 319 9,932

Net gains/(losses) on financial assets and financial liabilities at fair value

through profit or loss

2(b)

10,124,757 (24,828,417)

Total investment income/(loss) 11,896,361 (18,766,563)

Operating expenses

Manager's fees 3 (2,078,970) (2,918,302)

Administration, depositary and transfer agent fees 3 (120,548) (141,650)

Statutory audit fees 4 (35,936) (32,661)

Legal fees (75,964) (46,843)

Directors’ fees 3 (3,919) (5,214)

Transaction fees 2(h), 3 (38,213) (35,908)

Other expenses (32,202) (31,287)

Total operating expenses (2,385,752) (3,211,865)

Fund expense reimbursements 3 276,814 271,907

Refund of value added tax 5 13,126 9,954

Net profit/(loss) for the financial year before tax 9,800,549 (21,696,567)

Withholding tax - (122)

Net increase/(decrease) in net assets attributable to holders of

redeemable participating shares from operations

9,800,549

(21,696,689)

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.

_____________________________________________________________________________________________


STATEMENT OF COMPREHENSIVE INCOME (CONTINUED)

_____________________________________________________________________________________________


35

Notes

CCIF

For the

financial year

ended

30 September 2020

US$

CCIF

For the

financial year

ended

30 September 2019

US$

Investment Income

Interest income 2(e) 9,064 29,212

Dividend income 2(e) 3,449,145 2,725,852

Other income 11 3,869

Net gains/(losses) on financial assets and financial liabilities at fair value

through profit or loss

2(b)

35,098,200 2,173,706

Total investment income/(loss) 38,556,420 4,932,639

Operating expenses

Manager's fees 3 (1,089,056) (730,441)

Administration, depositary and transfer agent fees 3 (106,680) (81,645)

Statutory audit fees 4 (14,938) (13,229)

Legal fees (41,415) (19,649)

Directors’ fees 3 (2,816) (1,487)

Transaction fees 2(h), 3 (167,651) (162,298)

Other expenses (34,297) (38,314)

Total operating expenses (1,456,853) (1,047,063)

Fund expense reimbursements 3 40,283 59,395

Refund of value added tax 5 4,671 3,978

Net profit/(loss) for the financial year before tax 37,144,521 3,948,949

Capital gains tax (147,182) (48,661)

Withholding tax (476,207) (317,674)

Net increase/(decrease) in net assets attributable to holders of

redeemable participating shares from operations

36,521,132

3,582,614



_____________________________________________________________________________________________


STATEMENT OF COMPREHENSIVE INCOME (CONTINUED)

_____________________________________________________________________________________________


36

Notes

ECDUF1

For the

financial period ended

30 September 2020

US$

Investment Income

Interest income 2(e) 5,431,556

Dividend income 2(e) 951

Other income 6,607

Net gains/(losses) on financial assets and financial liabilities at fair value through profit or

loss 2(b) 28,569,858

Total investment income/(loss) 34,008,972

Operating expenses

Manager's fees 3 (149,420)

Administration, depositary and transfer agent fees 3 (73,088)

Statutory audit fees 4 (37,226)

Legal fees (31,924)

Directors’ fees 3 (2,447)

Transaction fees 2(h), 3 (7,979)

Organisational fees (61,000)

Other expenses (22,859)

Total operating expenses (385,943)

Fund expense reimbursements 3 111,693

Net profit/(loss) for the financial year before tax 33,734,722

Withholding tax (2,801)

Net increase/(decrease) in net assets attributable to holders of redeemable

participating shares from operations

33,731,921

1 ECDUF launched on 1 April 2020, therefore there are no comparatives presented.



_____________________________________________________________________________________________


STATEMENT OF FINANCIAL POSITION

_____________________________________________________________________________________________


37

Notes

SGM MMF

As at

30 September 2020

US$

SGM MMF

As at

30 September 2019

US$

Assets

Financial assets at fair value through profit or (loss)

- Transferable securities 2(b) 213,116,297 297,057,041

- Financial derivative instruments 2(b) 628,077 6,906,919

Cash at bank 2(i) - 450,000

Due from broker 2(i) 5,761,561 3,368,841

Dividends and interest receivable 668,125 619,067

Fund expense reimbursement receivable 3 22,674 27,942

Total assets 220,196,734 308,429,810

Liabilities

Financial liabilities at fair value through profit or (loss)

- Financial derivative instruments 2(b) (4,730,846) (6,410,591)

Bank overdraft (7,143) -

Due to broker 2(i) - (1,736,801)

Manager's fee payable 3 (169,380) (247,653)

Administration, depositary and transfer agent fees payable 3 (49,320) (62,566)

Directors' fees payable 3 (982) (1,325)

Payable for statutory audit fees (35,481) (33,380)

Redemption payable - (2,117,056)

Other payables (35,293) (32,357)

Total liabilities (excluding net assets attributable to holders of

redeemable participating shares)

(5,028,445) (10,641,729)

Net assets attributable to holders of redeemable participating

shares 14 215,168,289 297,788,081


Eimear Cowhey

Arron Day


_____________________________________________________________________________________________


STATEMENT OF FINANCIAL POSITION (CONTINUED)

_____________________________________________________________________________________________


38

Notes

CCIF

As at

30 September 2020

US$

CCIF

As at

30 September 2019

US$

Assets


- Transferable securities 2(b) 195,798,363 121,784,145

Cash at bank 2(i) 71,376 66,104

Dividends and interest receivable 207,476 201,114

Subscriptions receivable 113 -

Tax reclaims receivable 94,653 68,655

Fund expense reimbursement receivable 3 - 9,097

Total assets 196,171,981 122,129,115

Liabilities

Manager's fee payable 3 (132,031) (77,410)

Administration, depositary and transfer agent fees payable 3 (44,215) (39,479)

Directors' fees payable 3 (852) (497)

Payable for statutory audit fees (14,750) (13,888)

Capital gains tax payable (81,222) (39,577)

Withholding tax payable (28,864) (23,842)

Other payables (28,023) (42,277)

Total liabilities (excluding net assets attributable to holders of

redeemable participating shares)

(329,957) (236,970)

Net assets attributable to holders of redeemable participating

shares 14 195,842,024 121,892,145


Eimear Cowhey

Arron Day


_____________________________________________________________________________________________


STATEMENT OF FINANCIAL POSITION (CONTINUED)

_____________________________________________________________________________________________


39

Notes

ECDUF1

As at

30 September 2020

US$

Assets


- Transferable securities 2(b) 248,093,443

- Financial derivative instruments 2(b) 901,968

Cash at bank 2(i) 920,000

Due from broker 2(i) 14,585

Dividends and interest receivable 3,231,020

Fund expense reimbursement receivable 3 10,625

Total assets 253,171,641

Liabilities

Financial liabilities at fair value through profit or (loss)

- Financial derivative instruments 2(b) (435,302)

Bank overdraft (278,052)

Due to broker 2(i) (920,000)

Manager's fee payable 3 (31,916)

Administration, depositary and transfer agent fees payable 3 (44,486)

Directors' fees payable 3 (1,218)

Payable for statutory audit fees (37,226)

Withholding tax payable (2,801)

Other payables (34,727)

Total liabilities (excluding net assets attributable to holders of redeemable

participating shares)

(1,785,728)

Net assets attributable to holders of redeemable participating shares 14 251,385,913 1 ECDUF launched on 1 April 2020, therefore there are no comparatives presented.


Eimear Cowhey

Arron Day


_____________________________________________________________________________________________


STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE PARTICIPATING SHARES

_____________________________________________________________________________________________


40

Notes

SGM MMF

For the

financial year

ended

30 September

2020

US$

SGM MMF

For the

financial year

ended

30 September

2019

US$

Net assets attributable to holders of redeemable participating shares at

the beginning of the financial year 297,788,081 314,245,253

Net increase/(decrease) in net assets resulting from operations attributable to

holders of redeemable participating shares 9,800,549 (21,696,689)

Capital transactions

Net proceeds from redeemable participating shares issued 13 166,630,144 69,085,024

Net payment for redeemable participating shares redeemed 13 (259,050,485) (63,845,507)


the end of the financial year 14 215,168,289 297,788,081

_____________________________________________________________________________________________



HOLDERS OF REDEEMABLE PARTICIPATING SHARES (CONTINUED)

_____________________________________________________________________________________________


41

Notes

CCIF

For the

financial year

ended

30 September

2020

US$

CCIF

For the

financial year

ended

30 September

2019

US$


the beginning of the financial year 121,892,145

26,728,185

Net increase/(decrease) in net assets resulting from operations attributable to

holders of redeemable participating shares 36,521,132

3,582,614


Net proceeds from redeemable participating shares issued 13 38,904,321 95,301,959

Net payment for redeemable participating shares redeemed 13 (1,475,574) (3,720,613)


the end of the financial year 14 195,842,024

121,892,145

_____________________________________________________________________________________________



HOLDERS OF REDEEMABLE PARTICIPATING SHARES (CONTINUED)

_____________________________________________________________________________________________


42

Notes

ECDUF1

For the

financial period ended

30 September

2020

US$

Net assets attributable to holders of redeemable participating shares at the beginning of

the financial period -

Net increase/(decrease) in net assets resulting from operations attributable to holders of

redeemable participating shares 33,731,921


Net proceeds from redeemable participating shares issued 13 217,664,455

Net payment for redeemable participating shares redeemed 13 (10,463)

Net assets attributable to holders of redeemable participating shares at the end of the

financial period 14 251,385,913 1 ECDUF launched on 1 April 2020, therefore there are no comparatives presented.

_____________________________________________________________________________________________


NOTES TO THE FINANCIAL STATEMENTS


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43

1. Organisation and structure

GMO Investments ICAV (the “ICAV”) is an Irish collective asset-management vehicle established under the laws of Ireland pursuant to the Irish Collective Asset-management Vehicle Act 2015 (the “ICAV Act”) and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the "UCITS Regulations"). The ICAV was established on 28 June 2016 under registration number C155870 and was authorised by the Central Bank of Ireland (the “Central Bank”) on 28 October 2016. Its sole object, as set out in Clause 2 of the Instrument of Incorporation and required by Section 6(3)(a) of the ICAV Act, is the collective investment of its funds in property and giving members the benefit of the results of the management of its funds. The ICAV is organised in the form of an umbrella fund with segregated liability between sub-funds. The Instrument of Incorporation provides for separate sub-funds, each sub-fund comprising a separate and distinct portfolio of assets and liabilities. As at 30 September 2020, there were three active sub-funds of the ICAV: GMO SGM Major Markets Investment Fund (“SGM MMF”) which launched on 2 February 2017 , GMO Climate Change Investment Fund (“CCIF”), which launched on 14 March 2018 and GMO Emerging Country Debt UCITS Fund (“ECDUF”) which launched on 1 April 2020 and one inactive sub-fund, GMO Equity Market Neutral Investment Fund, (each a “Fund” or “sub-fund”, together the “Funds” or “sub-funds”). Additional sub-funds may be established by the ICAV with the prior approval of the Central Bank. The Instrument of Incorporation provides that the ICAV may offer separate classes of shares, each representing interests in a sub-fund. Further classes of shares may be established in accordance with the requirements of the Central Bank. The subscriber shares do not entitle the holders to participate in the assets of any sub-fund. The investment strategies employed by the Funds and the risks related to an investment in the Funds are discussed in detail in the ICAV’s prospectus. SGM MMF, CCIF and ECDUF 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) Statement of Compliance

These annual audited financial statements have been prepared in accordance with Financial Reporting Standard (“FRS”) 102, the financial reporting standard applicable in the UK and the Republic of Ireland (“FRS 102”), Irish statute comprising the ICAV Act and the UCITS Regulations.

The financial statements are 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.

The ICAV has availed of the exemption available to open ended investment funds that hold a substantial proportion of highly liquid and fair valued investments under Section 7 of FRS 102 and is not presenting a cash flow statement.

_____________________________________________________________________________________________


NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)


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44

2. Summary of significant accounting policies (continued)

(b) Financial assets and financial liabilities at fair value through profit or loss

(i) Classification

The Funds have designated all of their investments as financial assets and financial liabilities at fair value through profit or loss. This category has two sub-categories: financial assets and financial liabilities held for trading, and those designated by the Directors at fair value through profit or loss at inception. Financial assets or financial liabilities held for trading are acquired or incurred principally for the purpose of selling or repurchasing in the short-term. In addition, derivatives are categorised as held for trading, as the Funds do not designate any derivatives as hedges in a hedging relationship as defined by authoritative guidance.

(ii) Recognition/derecognition

Financial assets and financial liabilities are accounted for on the trade date (i.e., the date on which the transaction takes place) for financial reporting purposes. Financial assets and financial liabilities are derecognised when the rights to receive or duty to pay cash flows from the financial assets and financial liabilities have expired or the Funds have transferred substantially all risks and rewards of ownership. In determining the net gain or loss on securities sold, the Funds use the identified cost method for the purpose of determining cost. (iii) Measurement

Financial assets and financial liabilities at fair value through profit or loss are recognised at fair value. Transaction costs, if any, are expensed in the Statement of Comprehensive Income. Gains and losses arising from changes in the fair value of the financial assets or financial liabilities at fair value through profit or loss category are presented in the Statement of Comprehensive Income in the financial year in which they arise. (iv) Fair value estimation

The fair value of assets listed or traded on a regulated market (other than exchange-traded options) for which market quotations are readily available shall be valued at the last traded price on the regulated market which is the principal market for such securities at the statement of financial position date. If the last traded price is unavailable, then the official closing price shall be used. If, in turn, the official closing price is unavailable, then the last bid price shall be used. Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Some exchange-traded derivatives, such as futures contracts, shall be valued at the relevant settlement price at the statement of financial position date on the appropriate exchange for such instruments. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value (“NAV”) on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices regardless of whether a Fund has a long position or a short position. Typically, the Funds value fixed income securities at the most recent price supplied by a pricing source determined by State Street Fund Services (Ireland) Limited (the “Administrator”) in consultation with Grantham, Mayo, Van Otterloo & Co. LLC (the “Investment Adviser” or “GMO LLC”). The Investment Adviser evaluates pricing sources on an ongoing basis and may change a pricing source at any time. The Investment Adviser monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and may recommend to the Administrator that it override a price supplied by a source (e.g., by taking a price supplied by another), when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds. Cash and other liquid assets will be valued at their face value with interest accrued, which approximates fair value. Units or shares in collective investment schemes will be valued at the latest available unaudited NAV relevant to the collective investment scheme.

_____________________________________________________________________________________________




_____________________________________________________________________________________________

45


(b) Financial assets and financial liabilities at fair value through profit or loss (continued)

(iv) Fair value estimation (continued)

In the event of it being impossible or incorrect to carry out a valuation of a specific investment in accordance with the valuation rules set out in the preceding paragraphs, or if such valuation is not representative of a security’s fair market value, the Administrator (in consultation with the Investment Adviser) is entitled to use such other generally recognised valuation method in order to reach a proper valuation of that specific instrument, provided that such method of valuation has been approved by State Street Custodial Services (Ireland) Limited (the "Depositary") and the rationale for the use of such method of valuation and the method itself used shall be clearly documented. Also, the Directors, with the approval of the Depositary, may adjust the value of an asset where such an adjustment is considered necessary to reflect the fair value of such asset in the context of currency, marketability, dealing costs and/or such other considerations as the Directors deem relevant. The Directors’ intention is only to exercise this discretion to preserve the value of a Fund’s assets. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realised upon its sale. (v) Loan assignments and participations

The Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrowers. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom a Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and a Fund may have minimal control over the terms of any loan modification. See the Statement of Investments, which details all open loans as at 30 September 2020.

(vi) Derivative instruments

The Funds may, from time to time, hold financial instruments that are not quoted in active markets, such as OTC derivatives. Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, and other exchange-traded and OTC contracts. Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealised gains or losses. Realised gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled. These contracts involve market risk in excess of the unrealised gain or loss. Forward currency contracts expose the Funds to the market risk of unfavourable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralised. Forward currency contracts outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments. Share class hedges

SGM MMF and ECDUF also enter into class level hedging in order to hedge against currency exposure at a class level. For class level hedges the fair value of the hedge is calculated in a similar manner to the portfolio hedges. However, the realised and unrealised gains or losses are allocated solely to the relevant share classes of SGM MMF and ECDUF. Unrealised gains or losses on open share class hedges are reported as part of financial derivative instruments in the Statement of Financial Position.

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_____________________________________________________________________________________________

46



(vi) Derivative instruments (continued)

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Funds are required to deposit cash or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognised but not accounted for as realised until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavourable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments. The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavourable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the relevant Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk that the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments. When an option contract is closed, that Fund records a realised gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realised gains and losses on purchased options are included in net gains/(losses) on financial assets and financial liabilities at fair value through profit or loss as disclosed in the Statement of Comprehensive Income. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Funds value OTC options using industry models and inputs provided by primary pricing sources.

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47



(vi) Derivative instruments (continued)

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity index swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral. Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortise upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as net gains/(losses) on financial assets and financial liabilities at fair value through profit or loss on the Statement of Comprehensive Income. A liquidation payment received or made at the termination of the swap contract is recorded as realised gain or loss in the Statement of Comprehensive Income. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity. Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party. In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination. For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring. Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealised gains or losses in the Statement of Comprehensive Income. Gains or losses are realised upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its NAV on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. The values assigned to swap contracts may differ significantly from the values realised upon termination, and the differences could be material. Entering into swap contracts involves counterparty, credit, legal and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments.

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48


(b) Financial assets and financial liabilities at fair value through profit or loss (continued) (vii) Rights and warrants

The Funds may purchase or otherwise receive rights or warrants. Rights and warrants generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of rights and warrants are generally similar to risks associated with the use of purchased options. However, rights and warrants often do not have standardised terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of rights and warrants may limit a Fund’s ability to exercise the rights and warrants at such times and in such quantities as the Funds would otherwise wish. Rights and/or warrants outstanding at the end of the financial year, if any, are listed in each applicable Fund’s Statement of Investments.

For Funds that held derivatives during the financial year ended 30 September 2020, the following table shows how each Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use SGM MMF CCIF ECDUF1

Forward currency contracts

Adjust exposure to foreign currencies X X

Adjust exchange rate risk X

To hedge foreign currency exposure in the Fund's investments relative to the U.S. dollar X

Futures contracts

Adjust exposure to certain markets X

Maintain the diversity and liquidity of the portfolio X

Swap contracts

Adjust exposure to certain markets X

To achieve returns comparable to holding and lending a direct equity position X

Adjust interest rate exposure X

To provide a measure of protection against default loss X

Rights and/or warrants

Received as a result of corporate actions X

1 ECDUF launched on 1 April 2020.

(c) Accounting estimates and assumptions The preparation of financial statements, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the financial year. Actual results could differ from those estimates and these differences could be material.

(d) Foreign currency translation

Functional and presentation currency Items included in the Funds’ financial statements are measured using the currency of the primary economic environment in which the Funds operate (the “functional currency”), which is the U.S. Dollar. The Funds’ presentation currency is also the U.S. Dollar.

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49

2. Summary of significant accounting policies (continued) (d) Foreign currency translation (continued)

Transactions and balances

The fair values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. Dollars based on the prevailing exchange rates on each business day. Income and expenses denominated in non-U.S. Dollar 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. Net realised gains and losses on foreign currency transactions represent net exchange gains and losses on disposal of foreign currencies, currency gains and losses realised between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes, if any, recorded on the Funds’ books and the U.S. Dollar equivalent amounts actually received or paid. (e) Income

Dividends are recognised as income on the dates on which the securities are listed ex-dividend or, if later, when the Funds are informed of the ex-dividend date. Bank interest income is accounted for on an accrual basis, if any. Income is shown gross of withholding taxes, which are separately disclosed in the Statement of Comprehensive Income. Premiums or discounts on the purchase of fixed and variable interest investments are amortised over the life of the investment on an effective yield basis where appropriate. The effective interest rate is the rate that discounts estimated future cash payments or receipts throughout the expected life of the financial instrument, or a shorter period where appropriate, to the net carrying amount of the financial asset or financial liability. Coupon income is not recognised on securities for which collection is not expected. (f) Redeemable participating shares

Redeemable participating shares are generally redeemable at the shareholder’s option on dealing days as set forth in the prospectus and are classified as financial liabilities. The redeemable participating shares shall at all times equal the applicable NAV of the Funds.

(g) Dividend policy

It is not the current intention of the Directors to declare dividends. The Directors may declare dividends in respect of the Funds. If they do so, the dividends will be paid from net income and/or net realised and/or unrealised capital gains. No dividends were declared or paid for the financial year ended 30 September 2020 or the financial year ended 30 September 2019. (h) Transaction fees The Funds incur transaction fees comprising of brokerage fees and other transaction fees relating to purchases and sales of transferable securities, collective investment schemes and financial derivative instruments. These fees, if any, are recognised as an expense in the Statement of Comprehensive Income. (i) Cash at bank

All cash at bank is held with the Depositary, or with third party institutions approved by the Investment Adviser on overnight deposit, or directly with a sub-custodian.

(j) Due to/from broker

Due to/from broker, if any, includes cash for swap contracts, futures contracts, option contracts and forward currency contracts, if any, which relates to collateral or margin held by the Funds or with the relevant broker. For details on collateral positions held with the relevant brokers, see Note 7.

(k) Dilution adjustment

In calculating the net asset value per share for a Fund on any dealing day, the Investment Adviser 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 Adviser or by a committee established by the Investment Adviser); or (2) in any other cases where there are net subscriptions or redemptions in the Fund and the Investment Adviser 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 affected 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 30 September 2020 or 30 September 2019.

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50

3. Fees

Each Fund shall pay all of its expenses and its allocable share of any expenses incurred by the ICAV. These expenses may include the costs of: (i) maintaining the ICAV and the Funds and registering the ICAV, the Funds 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 ICAV; (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, each 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 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 ICAV pays to 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. The ICAV also pays to the Administrator, for transfer agency services, an annual fee of US$15,000 per Fund. The ICAV also pays the Administrator, for financial reporting services, an annual fee of US$12,000 per Fund. Such fees are accrued on each dealing day and shall generally be paid monthly in arrears. In addition to the foregoing, additional fees are paid in relation to the costs of valuation services provided by affiliates of the Administrator.

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 ICAV 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 ICAV 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 the Fund. The tables below detail the fees charged during the financial year ended 30 September 2020 and the financial year ended 30 September 2019 and the amounts outstanding as at 30 September 2020 and 30 September 2019.

For the financial year ended

30 September 2020 SGM MMF

US$

CCIF

US$

ECDUF1

US$

Administration/transfer agent fees* 85,603 66,528 45,324 Depositary/transaction fees** 73,158 59,441 35,743

Total 158,761 125,969 81,067

For the financial year ended

30 September 2019 SGM MMF

US$

CCIF

US$

Administration/transfer agent fees* 96,608 51,350 Depositary/transaction fees** 80,950 53,951

Total 177,558 105,301

As at 30 September 2020 SGM MMF

US$

CCIF

US$

ECDUF1

US$

Administration/transfer agent fees payable* 32,408 26,443 25,202 Depositary/transaction fees payable** 16,912 17,772 19,284

Total 49,320 44,215 44,486

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51

3. Fees (continued)

Administration, depositary and transfer agent fees (continued)

As at 30 September 2019 SGM MMF

US$

CCIF

US$

Administration/transfer agent fees payable* 34,547 19,253 Depositary/transaction fees payable** 28,019 20,226

Total 62,566 39,479

* Amounts paid to the Administrator. **Amounts paid to the Depositary. 1 ECDUF launched on 1 April 2020, therefore there are no comparatives presented.

Manager’s fee

Each Fund pays a management fee to GMO Investment Management Company (Ireland) Limited (the “Manager”) in consideration for the Manager’s management of the Funds’ portfolios, shareholder servicing, and other services which the 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 payable to the Manager.

Fund Management fee

SGM MMF: Class A Up to 1.00 per cent. of NAV per annum

Class B Up to 0.67 per cent. of NAV per annum1

Class C2 Up to 1.00 per cent. of NAV per annum

Class D Up to 1.00 per cent. of NAV per annum

Class E3 Up to 1.10 per cent. of NAV per annum

CCIF: Class A Up to 0.75 per cent. of NAV per annum

ECDUF Class A4 Up to 0.75 per cent. of NAV per annum

Class F5 Up to 0.20 per cent. of NAV per annum

Class G6 Up to 0.55 per cent. of NAV per annum

Class H4 Up to 0.80 per cent. of NAV per annum

Class J4 Up to 1.10 per cent. of NAV per annum

Class Z5 Up to 0.00 per cent. of NAV per annum 1 A performance fee is typically payable by each investor in respect of the Class B shares that it owns pursuant to a separate agreement which

must be entered into between such investor and the Investment Adviser. Investors in other Classes may on a case-by-case basis enter into performance fee arrangements. No performance fees will be paid out of the assets of a Fund.

2 The class terminated on 29 November 2019. 3 The management fee for the Class E shares includes payments made to the Investment Adviser to remunerate and/or pay trail or service fees

to certain financial intermediaries. 4 Class is offered but has no shareholders as at 30 September 2020. 5 The class launched on 1 April 2020. 6 The class launched on 28 May 2020. The fee is payable monthly in arrears and accrues on each dealing day. The fees of the Investment Adviser shall be discharged out of the Management fee received by the Manager. In addition, the Investment Adviser may enter into separate agreements with investors whereby the Investment Adviser may receive a performance fee from such investors based on the performance of the Fund. The Investment Adviser and/or Manager may reimburse SGM MMF for any Reimbursable Expenses (as defined below) that it incurs in any fiscal year. The Investment Adviser and/or Manager may reimburse CCIF and ECDUF to the extent that such Reimbursable Expenses exceed 0.10 per cent. of NAV per annum (the “Expense Threshold Amount”). The Investment Adviser or the Manager is permitted to recover from a Fund 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 Expense Threshold Amount 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 Adviser or the Manager reimbursed an expense. The amount the Investment Adviser or the Manager is entitled to recover may not cause the Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when the Investment Adviser or the Manager seeks recovery.

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52

3. Fees (continued)

Manager’s fee (continued)

“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 Manager’s 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 are borne directly by shareholders, and accordingly, are also excluded from Reimbursable Expenses. The Manager may modify or terminate this arrangement at any time upon notice to shareholders. Directors’ fees

The aggregate amount of Directors’ remuneration in any one year shall not exceed €50,000 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 Funds’ financial statements, whichever is published sooner. The Directors that are employees of the Investment Adviser or GMO UK Limited do not intend to receive such remuneration. As such, the Directors who were in receipt of fees during the financial year were Ms. Eimear Cowhey and Mr. John Fitzpatrick.

4. Auditors’ remuneration

The tables below outline the remuneration paid to the statutory auditors for the financial year ended 30 September 2020 and the financial year ended 30 September 2019:

For the financial year ended 30 September 2020 SGM MMF

US$

CCIF

US$

ECDUF1

US$

Statutory audit fees* 35,936 14,938 37,226

For the financial year ended 30 September 2019 SGM MMF

US$

CCIF

US$

Statutory audit fees* 32,661 13,229

* Other than statutory audit fees, no other fees were paid to the auditors. Auditors out-of-pocket expenses for the financial year ended 30

September 2020 amounted to US$2,110 (30 September 2019: US$1,635). 1 ECDUF launched on 1 April 2020, therefore there are no comparatives presented.

5. Taxation

Under current law and practice the ICAV qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. On that basis, the ICAV 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 ICAV 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 ICAV, or the ICAV 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 ICAV with the necessary signed declarations.

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53

5. Taxation (continued)

The ICAV 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 ICAV 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 ICAV and/or shareholders may be subject to taxation and tax reporting obligations in jurisdictions in which the Funds make investments. The ICAV 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 ICAV will incur expenses in its efforts to collect such refunds, which will reduce the benefit to the relevant Fund of any recovery. The ICAV’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 ICAV’s decision to pursue refunds is in its sole discretion, and it may decide not to pursue refunds, even if eligible.

6. Exchange rates 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 as at 30 September 2020 and 30 September 2019:

Currency

As at

30 September 2020

As at

30 September 2019

Australian Dollar (AUD) 1.3962 1.4816Brazilian Real (BRL) 5.6159 4.1550British Pound Sterling (GBP) 0.7750 0.8133Canadian Dollar (CAD) 1.3316 1.3249Chinese Yuan (CNY) 6.8106 7.1384Colombian Peso (COP) 3,827.0000 N/ADanish Krone (DKK) 6.3499 6.8500Dominican Peso (DOP) 58.4500 N/AEuro (EUR) 0.8529 0.9175Hong Kong Dollar (HKD) 7.7501 7.8377Indian Rupee (INR) 73.7800 70.8688Israeli Shekel (ILS) 3.4257 3.4763Japanese Yen (JPY) 105.4650 108.1250Korean Won (KRW) N/A 1,196.1500Malaysian Ringgit (MYR) 4.1555 4.1870Mexican Peso (MXN) 22.1115 19.7340New Zealand Dollar (NZD) 1.5116 N/ANorwegian Krone (NOK) 9.3275 9.0977Pakistan Rupee (PKR) 165.7500 156.3250Polish Zloty (PLN) 3.8654 4.0101Singapore Dollar (SGD) 1.3651 1.3822South African Rand (ZAR) 16.7500 15.1450Swedish Krona (SEK) 8.9559 N/ASwiss Franc (CHF) 0.9211 0.9981Taiwan New Dollar (TWD) 28.9620 31.0245Thai Baht (THB) 31.6875 30.5850

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54

7. Collateral When entering into an OTC derivative instrument and during the term of that transaction, the Funds and/or the counterparty may post or receive cash or securities as collateral related to changes in the market value of the derivative. Additionally, the counterparty may require additional collateral that is unrelated to changes in the market value of the derivative. Collateral may be rehypothecated by the party receiving the collateral. If the counterparty enters into insolvency proceedings or otherwise defaults on its obligations, the ability of the Funds to recover collateral posted to the counterparty may be delayed or limited. Upon entering into an exchange-traded or cleared derivative instrument, the Funds are required to deposit cash, U.S. government or agency obligations or other liquid assets with the clearing broker in accordance with the initial margin requirements of the broker or exchange. The value of each of the Funds’ exchange-traded or cleared derivative instruments is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. For repurchase agreements, the Fund, through the Depositary, takes possession of securities collateralising the repurchase agreement and may rehypothecate the collateral. The collateral is marked-to-market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. If the seller defaults or enters into insolvency proceedings and the value of the collateral declines, recovery of cash by the Fund may be delayed or limited. For reverse repurchase agreements, the Fund can use the cash collateral proceeds received to make additional investments, which can cause the Fund’s portfolio to behave as if it was 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 would realise a loss equal to the difference between the value of those securities and the cost. In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honour the Fund’s right to repurchase the securities. Collateral Pledged by SGM MMF Cash Collateral and/or Margin Cash collateral and/or margin pledged by SGM MMF to counterparties for OTC and/or exchange-traded positions are shown in the table below:

Broker

Value US$

As at 30 September 2020

Value US$


Goldman Sachs International 180,000 20,000 JP Morgan Chase Bank, N.A. 10,000 - J.P. Morgan Securities LLC 233,407 - Morgan Stanley & Co. International Plc 1,620,000 1,060,000 Morgan Stanley & Co. LLC 1,411,559 1,039,768 State Street Bank and Trust Company 890,000 - UBS Securities LLC 136,595 - UBS AG 1,280,000 1,249,073

Total value 5,761,561 3,368,841

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55

7. Collateral (continued)

Collateral Pledged by SGM MMF (continued)

Security Collateral

The nominal value and market value of the underlying securities pledged by SGM MMF as collateral and/or margin to the counterparties as at 30 September 2020 were:

Broker

Nominal

Value

US$ Security Description

Value US$

As at

30 September 2020

Collateralised

Position

J.P. Morgan Securities LLC 240,000 United States Treasury Note, 1.25%, due 31/03/21 241,350 Exchange-traded

J.P. Morgan Securities LLC 243,000 United States Treasury Floating Rate Note, 0.20%, due 31/01/21 243,075 Exchange-traded

Morgan Stanley & Co. LLC 3,968,000 United States Treasury Floating Rate Note, 0.20%, due 31/01/21 3,969,223 Exchange-traded

Morgan Stanley & Co. LLC 1,725,000 United States Treasury Note, 1.25%, due 31/03/21 1,734,703 Exchange-traded

UBS Securities LLC 24,000 United States Treasury Floating Rate Note, 0.20%, due 31/01/21 24,007 Exchange-traded

UBS Securities LLC 1,587,000 United States Treasury Note, 1.25%, due 31/03/21 1,595,927 Exchange-traded

Total value 7,808,285 The nominal value and market value of the underlying securities pledged by SGM MMF as collateral and/or margin to the counterparties as at 30 September 2019 were:

Broker

Nominal

Value


Value US$

As at

30 September 2019

Collateralised

Position

J.P. Morgan Securities LLC 2,873,000 United States Treasury Floating Rate Note, 1.89%, due 31/07/20 2,869,976

Exchange-traded

Morgan Stanley & Co. LLC 7,173,000 United States Treasury Floating Rate Note, 1.89%, due 31/07/20 7,165,450

Exchange-traded

UBS Securities LLC 8,457,000 United States Treasury Floating Rate Note, 1.89%, due 31/07/20 8,448,098

Exchange-traded

Total value 18,483,524 Collateral Pledged to SGM MMF

Cash Collateral and/or Margin Cash collateral and/or margin pledged to SGM MMF by counterparties for OTC and/or exchange-traded positions are shown in the table below:

Broker

Value US$


Value US$


Bank of America, N.A. - 350,000 JP Morgan Chase Bank, N.A. - 1,386,801

Total value - 1,736,801

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56

7. Collateral (continued)

Collateral Pledged to SGM MMF (continued)

Security Collateral There were no security collateral pledged to SGM MMF for OTC and/or exchange-traded positions as at 30 September 2020.

The nominal value and market value of the underlying securities pledged to SGM MMF as collateral and/or margin to the counterparties as at 30 September 2019 were:

Broker

Nominal

Value


Value US$

As at

30 September 2019

Collateralised

Position

State Street Bank and Trust Company

399,000 United States Treasury Note, 1.63%, due 31/12/19 398,626

OTC

State Street Bank and Trust Company

585,000 United States Treasury Note, 2.13%, due 30/06/21 588,908

OTC

Total value 987,534

Collateral Pledged by ECDUF Cash Collateral and/or Margin Cash collateral and/or margin pledged by ECDUF to counterparties for OTC and/or exchange-traded positions are shown in the table below:

Broker

Value US$


J.P. Morgan Securities LLC 14,585

Total value 14,585 Security Collateral There was no security collateral pledged by ECDUF for OTC and/or exchange-traded positions as at 30 September 2020.

Collateral Pledged to ECDUF

Cash Collateral and/or Margin Cash collateral and/or margin pledged to ECDUF by counterparties for OTC and/or exchange-traded positions are shown in the table below:

Broker

Value US$


Goldman Sachs International 880,000 JP Morgan Chase Bank, N.A. 40,000

Total value 920,000

Security Collateral There was no security collateral pledged to ECDUF for OTC and/or exchange-traded positions as at 30 September 2020. ECDUF launched on 1 April 2020, therefore there are no comparatives presented.

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57

8. 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; certain securities that are valued at the local prices; and for certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Investment Adviser, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the New York Stock Exchange (“NYSE”)) to reflect estimated valuation changes through the NYSE close. 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. 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 Adviser. The Investment Adviser 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.

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58

8. Fair value information (continued)

Fair value hierarchy (continued)

The following table analyses within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2020:

SGM MMF

Level 1

US$

Level 2

US$

Level 3

US$

Total

US$

Asset Valuation Inputs Financial assets at fair value through profit or

loss: Debt obligations

U.S. government 208,975,586 - - 208,975,586

Total debt obligations 208,975,586 - - 208,975,586

Short-term investments 4,140,711 - - 4,140,711

TOTAL INVESTMENTS 213,116,297 - - 213,116,297

Derivatives* Forward currency contracts - 390,675 - 390,675 Futures contracts 2,338 235,064 - 237,402

Total financial assets at fair value through

profit or loss 213,118,635 625,739 - 213,744,374

Liability Valuation Inputs Financial liabilities at fair value through profit or

loss: Derivatives*

Forward currency contracts - (4,041,094) - (4,041,094) Futures contracts (486,497) (194,825) - (681,322) Swap contracts - (8,430) - (8,430)

Total financial liabilities at fair value through

profit or loss (486,497) (4,244,349) - (4,730,846)

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59




SGM MMF

Level 1

US$

Level 2

US$

Level 3

US$

Total

US$



Foreign Government Obligations - 104,530,393 - 104,530,393 U.S. government 187,766,827 - - 187,766,827

Total debt obligations 187,766,827 104,530,393 - 292,297,220


TOTAL INVESTMENTS 192,526,648 104,530,393 - 297,057,041

Derivatives* Forward currency contracts - 3,873,509 - 3,873,509 Futures contracts 1,877,140 1,033,137 - 2,910,277 Swap contracts - 123,133 - 123,133


profit or loss 194,403,788 109,560,172 - 303,963,960


loss: Derivatives*

Forward currency contracts - (3,585,426) - (3,585,426) Futures contracts (1,295,128) (1,530,037) - (2,825,165)


profit or loss (1,295,128) (5,115,463) - (6,410,591)


CCIF

Level 1

US$

Level 2

US$

Level 3

US$

Total

US$


loss: Equities 188,138,780 - - 188,138,780 Debt obligations

U.S. government 7,147,263 - - 7,147,263

Total debt obligations 7,147,263 - - 7,147,263

Short-term investments 512,320 - - 512,320

TOTAL INVESTMENTS 195,798,363 - - 195,798,363


profit or loss 195,798,363 - - 195,798,363

CCIF had no financial liabilities as at 30 September 2020.

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60




CCIF

Level 1

US$

Level 2

US$

Level 3

US$

Total

US$


loss: Equities 120,981,597 - 8,040 120,989,637 Debt obligations

U.S. government 647,535 - - 647,535

Total debt obligations 647,535 - - 647,535

Short-term investments 146,973 - - 146,973

TOTAL INVESTMENTS 121,776,105 - 8,040 121,784,145


profit or loss 121,776,105 - 8,040 121,784,145

CCIF had no financial liabilities as at 30 September 2019. The majority of CCIF’s financial assets and liabilities are non-interest bearing. Please see Note 9(q) “Fixed Income Risks” for important disclosures about the risks inherent in the investment in debt securities, including risks associated with interest rate movements. The following table analyses within the fair value hierarchy the financial assets and financial liabilities measured at fair value as at 30 September 2020: ECDUF

1

Level 1

US$

Level 2

US$

Level 3

US$

Total

US$



Corporate debt - 63,964,788 1,792,700 65,757,488 Foreign government agency - 2,258,775 - 2,258,775 Foreign government obligations - 129,656,874 3,775,944 133,432,818 U.S. government 42,484,467 - - 42,484,467

Total debt obligations 42,484,467 195,880,437 5,568,644 243,933,548

Loan participations - - 36,330 36,330


TOTAL INVESTMENTS 46,608,032 195,880,437 5,604,974 248,093,443

Derivatives* Forward currency contracts - 495 - 495 Swap contracts - 901,473 - 901,473


profit or loss 46,608,032 196,782,405 5,604,974 248,995,411

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61



ECDUF1

Level 1

US$

Level 2

US$

Level 3

US$

Total

US$


loss: Derivatives*

Forward currency contracts - (435,302) - (435,302)


profit or loss - (435,302) - (435,302)

* 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.

1 ECDUF launched on 1 April 2020, therefore there are no comparatives presented. 9. Investment and other risks The Funds’ investment activities expose them to the various types of risks which are associated with the financial instruments and markets in which they invest. The Funds’ risk management policies seek to minimise the potential adverse effects of these risks on the Funds’ financial performance in order to satisfy the investment objectives of SGM MMF, CCIF and ECDUF, which is to achieve long-term total return and high total return, respectively. There can be no assurance that a Fund will achieve its investment objective. It should be appreciated that the value of shares may go down as well as up. An investment in the Funds involves investment risks, including possible loss of the entire amount invested. The capital return and income of the Funds are based on the capital appreciation and income on the investments it holds, less expenses incurred. Therefore, the Funds’ return may be expected to fluctuate in response to changes in such capital appreciation or income. The Funds may invest extensively in a wide variety of exchange-traded and OTC derivatives as described in the ICAV’s Prospectus for investment purposes and efficient portfolio management purposes, including the derivatives. It is recommended that for retail investors an investment in the Funds should not constitute a substantial proportion of an investment portfolio and may not be appropriate for all investors. To protect existing Shareholders: (i) subscriptions and repurchases of shares may, at the absolute discretion of the Investment Adviser, be subject to a subscription fee (up to 0.005 per cent. of the subscription monies) and a repurchase fee (up to 0.005 per cent. of the repurchase proceeds), as appropriate, by the Funds and such charges shall be payable to the Funds; and (ii) a dilution adjustment may, at the absolute discretion of the Investment Adviser, be made on a Dealing Day and reflected in the Net Asset Value per Share at which subscriptions and repurchases of shares are affected. Therefore, the difference at any one time between the sale and repurchase prices of these shares means that an investment in them should be viewed as medium to long-term. The Board of Directors meet on a quarterly basis and, at these meetings, the Board of Directors reviews investment performance and reports covering risk management prepared by the Investment Adviser. The Board of Directors delegates the day-to-day responsibility for investment advisory to the Investment Adviser, who is responsible for ensuring that the Funds are managed within the terms of the Funds’ investment guidelines and limits set out in the Funds’ prospectus (including any supplements thereto) and the Investment Adviser’s own internal investment guidelines and limits. The Funds’ investments comply with the investment restrictions contained in the Central Bank's UCITS Regulations and related guidance. CCIF uses the “commitment approach”, while SGM MMF and ECDUF use the “value-at-risk” (“VaR”) approach to calculate the global exposure of the Funds in accordance with the requirements of the Central Bank. See section entitled “Measurement of Market Risk and Leverage using the Commitment Approach and VaR”. Risk control is an integral part of the Investment Adviser’s investment construction process, rather than being carried out as a separate function. The integration of the investment control processes into the quantitative methods assists in preventing deviations from investment restrictions in the Funds. Thus, where possible, investment guidelines are programmed into optimisation routines, ensuring that guidelines with respect to maximum and minimum exposures are measured and adjusted as necessary. Investments of each Fund are reviewed by the relevant GMO portfolio manager to ensure that the guidelines are understood and followed with respect to such areas as permitted investments, derivatives usage and out-of-benchmark exposures.

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62

9. Investment and other risks (continued)

The following provides an overview of the risk exposures of the Funds but is not intended to be a comprehensive summary of all risks. Investors should refer to the prospectus for a more detailed discussion of the risks inherent in investing in the Funds. (a) Market risk

Market risk arises mainly from uncertainty about future values of financial instruments held specifically from price, currency and interest rate movements. This is the general risk attendant to all investments that the value of a particular investment will change in a way detrimental to the Funds’ interests. It represents the potential gains or losses a Fund might suffer through holding positions in the face of market movements. The Investment Adviser considers the asset allocation of the portfolio in order to minimise the risk associated with particular countries or industry sectors whilst continuing to follow the Fund’s investment objectives. (i) Price risk Price risk is the risk that the fair value or future cash flows of a security or financial instrument will fluctuate because of changes in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual security or financial instrument or its issuer, or factors affecting similar securities or financial instruments traded in the market.

(ii) Interest rate risk Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates. The Funds’ investments in bonds and other fixed income securities may decline in value if interest rates change. In general, the values of debt securities rise when interest rates fall and fall when interest rates rise. Long-term obligations are usually more sensitive to interest rate changes.

SGM MMF

The following tables show the interest rate sensitivity gap of the non-derivative financial instruments, interest rate swaps, if any, assets and liabilities held at the end of the financial year. The interest rate profile of SGM MMF financial assets and liabilities (including short-term debtors and creditors) as at 30 September 2020 was as follows:

Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Non-interest

bearing

US$

Total

US$

Assets Receivables - - - 690,799 690,799 Due from broker - - - 5,761,561 5,761,561 Financial assets at fair value through profit or loss 123,897,097 85,078,489 - 4,140,711 213,116,297

Total assets 123,897,097 85,078,489 - 10,593,071 219,568,657

Liabilities Bank overdraft (7,143) - - - (7,143) Payables - - - (290,456) (290,456) Net assets attributable to holders of redeemable participating shares - - - (215,168,289) (215,168,289)

Total liabilities (7,143) - - (215,458,745) (215,465,888)

Total interest rate sensitivity gap 123,889,954 85,078,489 -

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63


(a) Market risk (continued)

(ii) Interest rate risk (continued) SGM MMF (continued)

The interest rate profile of SGM MMF financial assets and liabilities (including short-term debtors and creditors) as at 30 September 2019 was as follows:

Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Non-interest

bearing

US$

Total

US$

Assets Cash at bank 450,000 - - - 450,000Receivables - - - 647,009 647,009Due from broker - - - 3,368,841 3,368,841Financial assets at fair value through profit or loss 234,395,977 57,901,243 4,759,821 297,057,041

Total assets 234,845,977 57,901,243 - 8,775,671 301,522,891

Liabilities Payables - - - (2,494,337) (2,494,337)Due to broker - - - (1,736,801) (1,736,801)Net assets attributable to holders of redeemable participating shares - - - (297,788,081) (297,788,081)

Total liabilities - - - (302,019,219) (302,019,219)

Total interest rate sensitivity gap 234,845,977 57,901,243 -

SGM MMF uses the VaR approach, see Note 9(ee).

CCIF

The following tables show the interest rate sensitivity gap of the non-derivative financial instruments, interest rate swaps, if any, assets and liabilities held at the end of the financial year. The interest rate profile of CCIF financial assets and liabilities (including short-term debtors and creditors) as at 30 September 2020 was as follows:

Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Non-interest

bearing

US$

Total

US$

Assets Cash at bank 71,376 - - - 71,376 Receivables - - - 302,242 302,242 Financial assets at fair value through profit or loss 7,147,263 - - 188,651,100 195,798,363

Total assets 7,218,639 - - 188,953,342 196,171,981

Liabilities Payables - - - (329,957) (329,957)Net assets attributable to holders of redeemable participating shares - - - (195,842,024) (195,842,024)


Total interest rate sensitivity gap 7,218,639 - -

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64



(ii) Interest rate risk (continued) CCIF (continued)

The interest rate profile of CCIF financial assets and liabilities (including short-term debtors and creditors) as at 30 September 2019 was as follows:

Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Non-interest

bearing

US$

Total

US$

Assets Cash at bank 66,104 - - - 66,104Receivables - - - 278,866 278,866Financial assets at fair value through profit or loss 647,535 - - 121,136,610 121,784,145

Total assets 713,639 - - 121,415,476 122,129,115

Liabilities Payables - - - (236,970) (236,970)Net assets attributable to holders of redeemable participating shares - - - (121,892,145) (121,892,145)


Total interest rate sensitivity gap 713,639 - -

The majority of the CCIF’s financial assets and liabilities are non-interest bearing. Please see Note 9(q) “Fixed Income Risks” for important disclosures about the risks inherent in the investment in debt securities, including risks associated with interest rate movements.

ECDUF1

The following tables show the interest rate sensitivity gap of the non-derivative financial instruments, interest rate swaps, if any, assets and liabilities held at the end of the financial year. The interest rate profile of ECDUF financial assets and liabilities (including short-term debtors and creditors) as at 30 September 2020 was as follows:

Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Non-interest

bearing

US$

Total

US$

Assets Cash at bank 920,000 - - - 920,000 Receivables - - - 3,241,645 3,241,645 Due from broker - - - 14,585 14,585 Financial assets at fair value through profit or loss 36,485,170 18,276,954 189,212,454 4,123,565 248,098,143

Total assets 37,405,170 18,276,954 189,212,454 7,379,795 252,274,373

Liabilities Bank overdraft (278,052) - - - (278,052)Payables - - - (152,374) (152,374)Due to broker - - - (920,000) (920,000)Net assets attributable to holders of redeemable participating shares - - - (251,385,913) (251,385,913)

Total liabilities (278,052) - - (252,458,287) (252,736,339)

Total interest rate sensitivity gap 37,127,118 18,276,954 189,212,454


ECDUF uses the VAR approach, see Note 9(ee).

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65



(iii) Currency risk Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments and includes the risk that the currencies in which a Fund’s investments are traded, in which the Fund receives income, and/or in which the Fund has taken a position, will decline in value relative to the currency in which the Fund is denominated. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event, the Fund is likely to realise a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. The following tables set out the Funds’ net exposure to foreign currency risk as at 30 September 2020 and 30 September 2019.

SGM MMF


Currency exposure on

financial assets and

financial liabilities at

fair value through

profit or loss

Currency exposure

on other

assets/(liabilities)

Forward currency

contracts

Net currency

exposure

Currency US$ US$ US$ US$

Euro (3,310) 51,718 214,369,848 214,418,256 British Pound Sterling 2,255 (882) 46,320,927 46,322,300 Japanese Yen (193,910) 176,629 23,338,797 23,321,516 New Zealand Dollar - - (9,558,629) (9,558,629)Canadian Dollar (36,880) 172,735 8,929,179 9,065,034 Other 235,064 (191,044) (2,552,838) (2,508,818)

Total 3,219 209,156 280,847,284 281,059,659

SGM MMF





fair value through

profit or loss

Currency exposure

on other


Forward currency

contracts

Net currency

exposure


Euro 461,608 675,186 120,522,405 121,659,199Canadian Dollar 369,327 (404,644) 86,737,775 86,702,458Swiss Franc - - (65,205,343) (65,205,343)Australian Dollar 1,040 7,425 20,706,728 20,715,193British Pound Sterling 117,528 556,843 6,661,563 7,335,934Other 103,050,242 1,736,425 (102,047,184) 2,739,483

Total 103,999,745 2,571,235 67,375,944 173,946,924

SGM MMF uses the VaR approach, see Note 9(ee).

CCIF





fair value through

profit or loss

Currency exposure

on other


Forward currency

contracts

Net currency

exposure


Euro 46,926,926 59,892 - 46,986,818 Japanese Yen 17,814,537 75,671 - 17,890,208 Hong Kong Dollar 7,874,201 20,893 - 7,895,094 British Pound Sterling 4,627,800 29,581 - 4,657,381 Mexican Peso 4,471,128 - - 4,471,128 Other 27,328,949 72,415 - 27,401,364

Total 109,043,541 258,452 - 109,301,993

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66



(iii) Currency risk (continued)

CCIF





fair value through

profit or loss

Currency exposure

on other


Forward currency

contracts

Net currency

exposure


Euro 25,429,461 26,985 - 25,456,446 Japanese Yen 11,841,588 76,189 - 11,917,777 British Pound Sterling 4,122,186 34,008 - 4,156,194 Danish Krone 3,805,387 8,930 - 3,814,317 Hong Kong Dollar 3,186,798 4,731 - 3,191,529 Other 19,259,697 86,055 - 19,345,752

Total 67,645,117 236,898 - 67,882,015

As at 30 September 2020, had the exchange rate between the U.S. Dollar and other currencies to which CCIF is exposed been increased or decreased by 10% with all other variables held constant, the increase or decrease in net assets attributable to redeemable participating shareholders would have amounted to approximately US$10,930,199 (30 September 2019: US$6,788,202). This sensitivity analysis is based on the assumption that the movements of non-U.S. Dollar currencies against the U.S. Dollar may have an effect on the valuation of CCIF's investments and does not include the indirect currency risk generated by depositary receipts as they constitute an immaterial portion of CCIF's net assets. Please see the Statement of Investments for additional detail. The Investment Adviser believes that a variation of 10% of U.S. Dollar against the non-U.S. Dollar currency basket represents a reasonable estimate of how such currency exchange rates may have potentially varied. ECDUF

1





fair value through

profit or loss

Currency exposure

on other


Forward currency

contracts

Net currency

exposure


Swiss Franc - - 20,707,125 20,707,125 Dominican Peso 1,768,071 39,552 - 1,807,623 South African Rand 1,207,084 11,680 - 1,218,764 Colombian Peso 456,289 31,760 - 488,049 Japanese Yen 1,600,426 16,756 (1,451,935) 165,247 Other 6,741,351 211,368 (6,837,691) 115,028

Total 11,773,221 311,116 12,417,499 24,501,836

1. ECDUF launched on 1 April 2020, therefore there are no comparatives presented.

ECDUF uses the VaR approach, see Note 9(ee).

(b) Counterparty risk

When a Fund enters into a contract with a counterparty, such as a repurchase or reverse repurchase agreement or an OTC derivatives contract, or lends its portfolio securities or allows an OTC derivative counterparty to retain possession of collateral, it runs the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honour its obligations. Lack of a common clearing facility creates counterparty risk. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, a Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. If the counterparty defaults, a Fund will have contractual remedies, but there can be no assurance that the counterparty will be able to meet its contractual obligations or that the Fund will be able to enforce its rights. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

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67


(b) Counterparty risk (continued)

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a transaction in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. A Fund also may be exposed to similar risks with respect to brokers in jurisdictions where there are delayed settlement periods. The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. There is a risk the counterparty might default on any OTC contract. The tables below detail the gross exposure on OTC derivatives to each counterparty.

SGM MMF

As at

30 September 2020

Counterparty

Credit

Rating

Exposure

US$

Barclays Bank Plc A 1,354 Deutsche Bank AG BBB+ 9,566 Goldman Sachs International A+ 18,511 JP Morgan Chase Bank, N.A. A+ 65,990 Morgan Stanley & Co. International PLC A+ 122,628 State Street Bank and Trust Company AA- 160,542 UBS AG A+ 12,084

390,675

SGM MMF

As at

30 September 2019

Counterparty

Credit

Rating

Exposure

US$

Barclays Bank Plc A 341,512 Bank of America, N.A. A+ 814,427 Goldman Sachs International A+ 2,366 JP Morgan Chase Bank, N.A. A+ 600,408 Morgan Stanley & Co. International Plc A+ 452,390 State Street Bank and Trust Company AA- 873,890 UBS AG A+ 911,649

3,996,642

ECDUF1

As at

30 September 2020

Counterparty

Credit

Rating

Exposure

US$

Goldman Sachs International A+ 827,146 JP Morgan Chase Bank, N.A. A+ 69,627

896,773


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68


(b) Counterparty risk (continued)

The following tables represent the credit ratings of the Funds’ fixed income securities (excluding its exposure to derivative contracts):

SGM MMF

Credit Rating

As at

30 September 2020

As at

30 September 2019

% %

Investment grade 100.00 100.00

100.00 100.00

CCIF

Credit Rating As at

30 September 2020

As at

30 September 2019 % %

Investment grade 100.00 100.00

100.00 100.00

ECDUF1

Credit Rating As at

30 September 2020

% Investment grade 88.36 Non-investment grade 7.56 Not-rated 4.08

100.00


SGM MMF, CCIF and ECDUF invest in short-term investments including money market funds, for which maturities are typically three days or less. These investments are not included in the table above as credit ratings are not available for these securities. (c) Illiquidity risk

Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities, or securities of companies with smaller market capitalizations or smaller total float- adjusted market capitalizations, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress. For example, inflation-protected securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are often more susceptible than other securities to price declines when market prices decline generally.

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69


(c) Illiquidity risk (continued)

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind. Historically, credit markets have experienced periods characterised by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell less liquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could, put significant downward price pressure on the market price of the securities being sold.

For the avoidance of doubt, none of the assets of the Funds were subject to special liquidity arrangements during the financial years ended 30 September 2020 and 30 September 2019 and no new arrangements were adopted to manage the liquidity of the Funds. Illiquidity risk also arises from the redemption requests of investors.

The liquidity profile of SGM MMF’s financial liabilities and derivative contracts as at 30 September 2020 and 30 September 2019 is as follows:


Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Total

US$

Financial liabilities at fair value through profit or loss (689,752) - - (689,752) Forward currency contracts – gross inflows 309,531,302 - - 309,531,302 Forward currency contracts – gross outflows (313,572,396) - - (313,572,396) Bank overdraft (7,143) - - (7,143) Payables (290,456) - - (290,456) Net assets attributable to holders of redeemable participating shares (215,168,289) - - (215,168,289)

Total liabilities (220,196,734) - - (220,196,734)


Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Total

US$

Financial liabilities at fair value through profit or loss (2,825,165) - - (2,825,165) Forward currency contracts – gross inflows 328,427,462 - - 328,427,462 Forward currency contracts – gross outflows (332,012,888) - - (332,012,888) Due to broker (1,736,801) - - (1,736,801) Payables (2,494,337) - - (2,494,337) Net assets attributable to holders of redeemable participating shares (297,788,081) - - (297,788,081)

Total liabilities (308,429,810) - - (308,429,810) The liquidity profile of CCIF’s financial liabilities and derivative contracts as at 30 September 2020 and 30 September 2019 is as follows:


Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Total

US$

Payables (329,957) - - (329,957) Net assets attributable to holders of redeemable participating shares (195,842,024) - - (195,842,024)



Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Total

US$

Payables (236,970) - - (236,970) Net assets attributable to holders of redeemable participating shares (121,892,145) - - (121,892,145)


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70


(c) Illiquidity risk (continued)

The liquidity profile of ECDUF1's financial liabilities and derivative contracts as at 30 September 2020 is as follows:


Up to 1 year

US$

1 to 5 years

US$

Over 5 years

US$

Total

US$

Forward currency contracts – gross inflows 29,449,136 - - 29,449,136 Forward currency contracts – gross outflows (29,884,438) - - (29,884,438) Bank overdraft (278,052) - - (278,052) Due to broker (920,000) - - (920,000) Payables (152,374) - - (152,374) Net assets attributable to holders of redeemable participating shares (251,385,913) - - (251,385,913)

Total liabilities (253,171,641) - - (253,171,641) 1 ECDUF launched on 1 April 2020, therefore there are no comparatives presented.

(d) Accelerated transactions risk

For the Fund to take advantage of certain available investment opportunities, the Investment Adviser may need to make investment decisions on an expedited basis. In such cases, the information available to the Investment Adviser at the time of an investment decision may be limited. The Investment Adviser may not, therefore, have access to the detailed information necessary for a full analysis and evaluation of the investment opportunity.

(e) Adjustable rate securities risks

Although the rate adjustment feature may act as a buffer to reduce sharp changes in the market value of adjustable rate securities, changes in market interest rates or changes in the issuer’s creditworthiness may still affect their market value. Because the interest rate is reset only periodically, changes in the interest rates on adjustable rate securities may lag changes in prevailing market interest rates. Also, some adjustable rate securities (or, in the case of securities backed by mortgage loans, the underlying mortgages) are subject to caps or floors that limit the maximum change in interest rate during a specified period or over the life of the security. Because of the rate adjustments, adjustable rate securities are less likely than non-adjustable rate securities of comparable quality and maturity to increase significantly in value when market interest rates fall.

(f) Asset-backed and related securities risks Investments in asset-backed securities not only are subject to all of the market risks described herein and in the Fund’s prospectus for fixed income securities but to other market risks as well. Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

(i) Mortgage-backed securities risks Unscheduled prepayments of the underlying mortgage loans may result in early payment of the applicable mortgage-backed securities held by the Fund. The Fund may be unable to invest prepayments in an investment that provides as high a yield as the mortgage-backed securities. Consequently, early payment associated with mortgage-backed securities may cause these securities to experience significantly greater price and yield volatility than traditional fixed income securities. Many factors affect the rate of mortgage loan prepayments, including changes in interest rates, general economic conditions, further deterioration of worldwide economic and liquidity conditions, the location of the property underlying the mortgage, the age of the mortgage loan, governmental action, including legal impairment of underlying home loans, changes in demand for products financed by those loans, the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages), and social and demographic conditions. Mortgage-backed securities are subject to varying degrees of credit risk, depending on whether they are issued by agencies or instrumentalities of the U.S. or other governments (including those whose securities are neither guaranteed nor insured by the U.S. or other governments) or by non-governmental issuers. Securities issued by private organisations may not be readily marketable, and since the deterioration of worldwide economic and liquidity conditions that became acute in 2008, mortgage-backed securities have been subject to greater illiquidity risk. These conditions may occur again.

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71


(f) Asset-backed and related securities risks (continued)

(ii) Other asset-backed securities risks These other asset-backed securities may be subject to risks associated with changes in interest rates and prepayment of underlying obligations similar to the risks of investment in mortgage-backed securities described immediately above. The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to herein because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions referred to above. A single financial institution may serve as trustee for many asset-backed securities. As a result, a disruption in that institution’s business would likely have a material impact on many investments.

The market price of asset-backed securities, like that of other fixed income investments with complex structures can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depends on the cash flow generated by the underlying assets backing the securities and, in certain cases, may be supported by letters of credit, surety bonds, or other credit enhancements. The amount of market risk associated with investments in asset backed securities depends on many factors, including, the deal structure (i.e., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support, if any, provided for securities, and the credit quality of the credit-support provider, if any. A problem in any of these factors can lead to a reduction in the payment stream the Investment Adviser expected a Fund to receive when the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have.

(iii) Collateralised mortgage obligations (“CMOs”); residuals and strips risks CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage- or other asset-backed securities. A Fund may hold interest-only or principal-only strips (“IO/PO Strips”) and CMO residuals, which tend to be more volatile than other types of securities. If the underlying securities are prepaid, holders of IO/PO Strips and CMO residuals may lose a substantial portion or the entire value of their investment. In addition, if a CMO pays interest at an adjustable rate, the cash flows on the related CMO residual will be extremely sensitive to rate adjustments.

(iv) Collateralised debt obligations risks (“CDOs”) The risks of an investment in a CDO depend largely on the type of underlying collateral securities and the tranche in which a Fund invests. Due to the complex nature of a CDO, an investment in a CDO may not perform as expected. Typically, collateralised bond obligations (“CBOs”), collateralised loan obligations (“CLOs”) and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. CDOs are subject to the typical risks associated with fixed income securities. In addition to the other risks associated with investment in fixed income securities, investing in CDOs may entail a variety of unique risks. Also, among other risks, CDOs may be subject to prepayment risk, credit risk, illiquidity risk, market risk, structural risk, legal risk and interest rate risk (which may be exacerbated if the interest rate payable on a structured financing changes based on multiples of changes in interest rates or inversely to changes in interest rates). Additional risks include, without limitation, (i) the possibility that distributions from collateral securities will be insufficient to make interest or other payments; (ii) the possibility that the quality of the collateral may decline in value or default, due to factors such as the availability of any credit enhancement, the level and timing of payments and recoveries on and the characteristics of the underlying receivables, loans, or other assets that are being securitised, remoteness of those assets from the originator or transferor, the adequacy of and ability to realise upon any related collateral, and the capability of the servicer of the securitised assets; (iii) market and illiquidity risks affecting the price of a structured finance investment, if required to be sold, at the time of sale; and (iv) if the particular structured product is invested in a security in which a Fund is also invested, this would tend to increase the Fund’s overall exposure to the credit of the issuer of such securities, at least on an absolute, if not on a relative basis. An investment in a CDO also is subject to the risk that the issuer and the investors may interpret the terms of the instrument differently, giving rise to disputes. (g) Auction rate securities risks

While the auction process used to determine the dividend for auction rate securities is designed to permit auction rate securities to be traded at par value, there is a risk that an auction will fail due to insufficient demand for the securities.

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72


(h) Commodities risks

A Fund may gain exposure to commodity markets by investing in commodities or commodity-related instruments directly or indirectly. Commodity prices can be extremely volatile and may be directly or indirectly affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, and factors affecting a particular industry or commodity, such as drought, floods, or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand, tariffs, and international regulatory, political, and economic developments (e.g., regime changes and changes in economic activity levels). In addition, some commodities are subject to limited pricing flexibility because of supply and demand factors, and others are subject to broad price fluctuations as a result of the volatility of prices for certain raw materials and the instability of supplies of other materials. Exposure to commodities can cause the net asset value of the Fund to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. Additionally, economic leverage will increase the volatility of these instruments as they may increase or decrease in value more quickly than the underlying commodity or other relevant economic variable.

(i) Convertible securities risk

The market value of a convertible security is a function of its “investment value” and its “conversion value”. The investment value of a convertible security is influenced by changes in interest rates, with investment value declining as interest rates increase and increasing as interest rates decline. The credit standing of the issuer and other factors also may have an effect on the convertible security’s investment value. The conversion value of a convertible security is determined by the market price of the underlying common stock. If the conversion value is low relative to the investment value, as in the case of “broken” or “busted” convertibles, the price of the convertible security is governed principally by its investment value. To the extent the market price of the underlying common stock approaches or exceeds the conversion price, the price of the convertible security will be increasingly influenced by its conversion value. A convertible security may be subject to redemption or conversion under specified circumstances and/or at the option of the issuer at a price established in the convertible security’s governing instrument. If a convertible security held by a Fund is called for redemption, the Fund will be required to permit the issuer to redeem the security, convert it into the underlying common stock, or sell it to a third-party.

(j) Credit risk

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income security. Government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the particular government, supported by the ability to borrow from the its treasury, supported only by the credit of the issuing government agency, instrumentality, or corporation, or otherwise supported by the particular government. For example, in the U.S., issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by the U.S. Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or in anticipation of such failure, or the downgrading of the relevant credit rating. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments are subject to illiquidity risk. See the sections entitled “Illiquidity Risks” and “Derivative Instruments Risks - Counterparty Risks”.

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(j) Credit risk (continued)

Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner can be expected to be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging market countries. In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment. Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds, introducing greater uncertainty about the repayment by the U.S. of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of the Fund’s investments and increase the volatility of the Fund’s portfolio. As described in the section entitled “Asset-Backed and Related Securities Risks”, asset- backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under the section entitled “Asset-Backed and Related Securities Risks”. The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See the section entitled “Derivative Instruments Risks – Synthetic Short Selling” for more information regarding risks associated with the use of credit default swaps. The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest. Credit risk is particularly pronounced for below investment grade investments (commonly referred to as "high yield" or “junk" bonds). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments, and the Fund incurs additional expenses to seek recovery. If the Investment Adviser’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Fund may be unable to pursue legal action against the issuer.

(k) Cross-liability risk - umbrella structure of the ICAV Under Irish law the ICAV generally will not be liable as a whole to third parties and there generally will not be the potential for cross-liability between the Funds. Notwithstanding the foregoing, there can be no assurance that, should an action be brought against the ICAV in the courts of another jurisdiction, the segregated nature of the Funds would necessarily be upheld.

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(l) Cross-liability risk - share classes

Although the Fund may offer multiple classes of shares, all of the assets of the Fund are available to meet all of the liabilities of the Fund, regardless of the class(es) of shares to which such assets or liabilities are attributable. The assets attributable to any one class of shares will not be isolated from the liabilities attributable to other classes of shares. However, class-specific transactions such as class currency hedging transactions must be clearly attributable to a specific class. This means that costs and gains/losses of the hedging transactions will accrue solely to the relevant class. However, if the liabilities of a class exceed the assets attributable to that class, the assets attributable to the other classes will be exposed to such liabilities.

(m) Depositary receipts risks Because the market value of American Depositary Receipts (“ADRs”), Global Depositary Receipts (“GDRs”), European Depositary Receipts (“EDRs”) or other similar securities representing ownership of underlying securities (collectively, “Depositary Receipts”) are dependent upon the market price of the underlying security, Depositary Receipts are subject to most of the risks associated with investing in the underlying securities directly. Depositary Receipts also may be subject to illiquidity risk.

(n) Derivative instruments risks

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities, and indices, and include futures, currency contracts, swap contracts, options on securities and indices, options on futures contracts, options on swap contracts, forward contracts, contracts for differences, interest rate caps, floors and collars, repurchase or reverse repurchase agreements and other exchange-traded over-the-counter contracts. The Fund may use derivatives for many purposes, including as a substitute for direct investment, as a way to adjust its exposure to various securities, markets and currencies without actually having to sell existing investments and/or make new investments, and as a means to hedge other investments and to manage liquidity and excess cash. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the assets, rates or indices they are designed to track. In addition, all derivative instruments involve risks that are in addition to, and potentially greater than, the risks of investing directly in securities, including:

(i) Counterparty risks This is the risk that a loss may be sustained by the Fund as a result of the failure of the other party to a derivative (usually referred to as a “counterparty”) to comply with the terms of the derivative contract. The Fund also may invest in derivatives that (i) do not require the counterparty to post collateral, (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require significant upfront deposits unrelated to the derivatives’ fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, the Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralised, the Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

(ii) Documentation risks Many derivative instruments are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction will lead to a dispute with the counterparty or unintended investment results. (iii) Illiquidity risks If a derivative transaction is particularly large or if the relevant market is illiquid (as is the case with many over-the-counter derivatives), it may not be possible to initiate a transaction or liquidate a position at an advantageous price. Less liquid derivative instruments also may fall more in price than other securities during market falls. During periods of market disruptions, a Fund may have a greater need for cash to provide collateral for large swings in the mark-to-market obligations arising under the derivative instruments used by the Fund.

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(n) Derivative instruments risks (continued)

(iv) Synthetic short selling The Funds are not permitted to enter into physical short sales. A Fund may however take short positions through derivatives in respect of underlying assets in furtherance of the Fund’s investment objective and in accordance with the UCITS Regulations. In taking short positions through derivatives, the Fund will be exposed to the same market risks, and is seeking the same financial reward, as if it were entering into physical short sales. Taking short positions through derivatives involves trading on margin and accordingly can involve greater risk than investments based on long positions. Due to regulatory or legislative action taken by regulators around the world as a result of recent volatility in the global financial markets, taking short positions on certain assets has been restricted. The levels of restriction vary across different jurisdictions and are subject to change in the short to medium term. These restrictions have made it difficult and in some cases impossible for numerous market participants either to continue to implement their investment strategies or to control the risk of their open positions.

(v) Leverage risks Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index can result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Subject to any applicable regulatory requirements, notional amounts of swap transactions are not subject to any limitations, and swap contracts may expose the Fund to unlimited risk of loss. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment.

(vi) Derivatives regulation In addition, the U.S. government has enacted legislation that provides for regulation of the derivatives market, including clearing, margin, reporting, and registration requirements, which could restrict the Fund’s ability to engage in derivatives transactions or increase the cost or uncertainty involved in such transactions. The European Union (and some other countries) are implementing similar requirements, which will affect the Fund when it enters into a derivatives transaction with a counterparty organised in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

(vii) Other risks Other risks in using derivatives include the risk of mispricing or incorrect valuation of derivatives. The Fund’s use of derivatives may not be effective or have the desired result. Also, suitable derivatives may not be available in all circumstances and there can be no assurance that the Fund will be able to identify or employ a desirable derivatives transaction at any time or from time or time, or that any such transactions will be successful. In addition, the Investment Adviser may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

(o) Equities risks

The net asset value of a Fund’s portfolio can be expected to change in light of factors affecting the equity markets. A decline in the market value of an equity may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances or reduced demand for its goods or services, or to factors affecting a particular industry, such as decline in demand, labour or raw material shortages or increased production costs. A decline may also result from general market conditions not specifically related to an issuer or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. Equities may be even more susceptible to such events than other types of investments a Fund may make, given their subordinate position in the issuer’s capital structure. As such, equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner.

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(p) European market infrastructure regulation (“EMIR”)

Each Fund may enter into OTC derivative contracts. EMIR establishes certain requirements for OTC derivatives contracts including mandatory clearing obligations, bilateral risk-management requirements and reporting requirements. Although not all the regulatory technical standards specifying the risk-management procedures, including the levels and type of collateral and segregation arrangements, required to give effect to EMIR have been phased in and it is therefore not possible to be definitive as to what the implications will actually be, investors should be aware that certain provisions of EMIR impose obligations on the Funds in relation to its transaction of OTC derivative contracts.

(q) Fixed income risks Fixed income securities are subject to interest rate risk, credit risk (see “Credit Risk”) and market risk, among other risks.

(i) Interest rate risk – fixed income securities Interest rate risk relates to changes in a security’s market value as a result of changes in interest rates. The market price of a Fund’s underlying investments in fixed income securities (including bonds, notes and asset-backed securities) will typically decrease as interest rates rise because prospective interest payments on new bonds will exceed current payments on existing bonds; the opposite is true when interest rates fall, because current investments have locked in a higher interest rate. Because interest rates vary, the future income of a Fund that invests in floating or adjustable-rate securities cannot be predicted with certainty. In addition, the market price of inflation-indexed bonds (including TIPS) normally changes when real interest rates change. Their value typically declines during periods of rising interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates.

(ii) Market-risk – fixed income securities Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market uncertainty about the value of a fixed income investment (or a class of fixed income investments). In addition, the market price of fixed income securities with complex structures, such as asset-backed securities, and sovereign and quasi-sovereign fixed income instruments can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and the Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. Market risk for fixed income securities is amplified by illiquidity risk. Fixed income securities denominated in foreign currencies also are subject to currency risk. In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, the Fund could have unusually high shareholder repurchase requests, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavourable prices. Moreover, fixed income investments will be difficult to value during such periods.

(r) Focused investment risk

Overall risk can be reduced by geographic or industry diversification, and increased by focusing investments in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or sectors within a country or region) that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated. A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than a Fund investing in the securities of a larger number of issuers. Focused investment risk may be particularly acute for GMO Climate Change Investment Fund.

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(s) Forward contracts risks

Forward contracts involve a number of the same characteristics and risks as futures contracts but there also are several differences. Forward contracts are not market traded, and are not necessarily marked-to-market on a daily basis. They settle only at the pre-determined settlement date. This can result in deviations between forward prices and futures prices, especially in circumstances where interest rates and futures prices are positively correlated. Second, in the absence of exchange trading and involvement of clearing houses, there are no standardised terms for forward contracts. Accordingly, the parties are free to establish such settlement times and underlying amounts of a security or currency as desirable, which may vary from the standardised provisions available through any futures contract. Finally, forward contracts, as two party obligations for which there is no secondary market, involve counterparty credit risk not present with futures.

(t) Futures risks

Investment in futures contracts involves risk. A purchase or sale of futures contracts may result in losses in excess of the amount invested in the futures contract. If a futures contract is used for hedging, an imperfect correlation between movements in the price of the futures contract and the price of the security, currency, or other investment being hedged creates risk. Correlation is higher when the investment being hedged underlies the futures contract. Correlation is lower when the investment being hedged is different than the security, currency, or other investment underlying the futures contract, such as when a futures contract on an index of securities or commodities is used to hedge a single security, a futures contract on one security (e.g., U.S. Treasury bonds) is used to hedge a different security (e.g., a mortgage-backed security), or when a futures contract in one currency is used to hedge a security denominated in another currency. In the case of Index Futures and futures on commodity indices, changes in the price of those futures contracts will not correlate perfectly with price movements in the relevant index due to market distortions. In the event of an imperfect correlation between a futures position and the portfolio position (or anticipated position) intended to be hedged, the Fund may realise a loss on the futures contract at the same time the Fund is realising a loss on the portfolio position intended to be hedged.

(u) High yield debt securities risks

The lower rating of high yield debt reflects a greater possibility that adverse changes in the financial condition of the obligor or in general economic, regulatory or other conditions (including, for example, a substantial period of rising interest rates or declining earnings) may impair the ability of the obligor to make payment of principal and interest. Many issuers of high yield debt are highly leveraged, and their relatively high debt-to-equity ratios create increased risks that their operations might not generate sufficient cash flow to service their debt obligations. In addition, many issuers of high yield debt may be (i) in poor financial condition, (ii) experiencing poor operating results, (iii) having substantial capital needs or negative net worth, or (iv) facing special competitive or product obsolescence problems, and may include companies involved in bankruptcy or other reorganisations or liquidation proceedings. High yield debt has historically experienced greater default rates than has been the case for investment-grade securities. High yield debt is often less liquid than higher rated securities. Reduced liquidity can affect the values of high yield debt, make their valuation and sale more difficult, and result in greater volatility. Because high yield debt securities are difficult to value, particularly during erratic markets, the prices realised on their sale may differ from the values at which they are carried by a Fund. In addition, as with other types of investments, the market for high yield debt securities has historically been subject to disruptions that have caused substantial volatility in the prices of such securities.

(v) Indexed investments risks

While investments that track the performance of an index may increase the number, and thus the diversity, of the underlying assets to which a Fund is exposed, such investments are subject to many of the same risks of investing in the underlying assets that comprise the index, as well as certain additional risks that are not typically associated with investments in such underlying assets. An investment that is designed to track the performance of an index may not replicate and maintain exactly the same composition and relative weightings of the assets in the index. Additionally, the liquidity of the market for such investments may be subject to the same conditions affecting liquidity in the underlying assets and markets and could be relatively less liquid in certain circumstances.

(w) Inflation/deflation risks Inflation risk is the risk that the value of assets or income from a Fund’s investments will be worth less in the future as inflation decreases the value of payments at future dates. As inflation increases, the real value of the Fund’s portfolio could decline. Deflation risk is the risk that prices throughout the economy decline over time. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely or materially impair the ability of distressed issuers to restructure, which may result in a decline in the net asset value of the Fund’s portfolio.

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(x) IPOs and other limited opportunities risks

Each Fund may purchase securities of companies that are offered pursuant to an initial public offering (“IPO”) or other similar limited opportunities. Although companies can be any age or size at the time of their IPO, they are often smaller and have a limited operating history, which involves a greater potential for the value of their securities to be impaired following the IPO. The price of a company’s securities may be highly unstable at the time of its IPO and for a period thereafter due to factors such as market psychology prevailing at the time of the IPO, the absence of a prior public market, the small number of shares available, and limited availability of investor information. In the case of securities purchased by a Fund in IPOs, such securities shall be valued at the offering price until such time as the securities are listed or traded on a Regulated Market. Securities purchased in IPOs have a tendency to fluctuate in value significantly shortly after the IPO relative to the price at which they were purchased. These fluctuations could impact the net asset value and return earned on the shares. Investors in IPOs can be adversely affected by substantial dilution in the value of their shares, by sales of additional shares, and by concentration of control in existing management and principal shareholders. In addition, all of the factors that affect the performance of an economy or equity markets may have a greater impact on the shares of IPO companies. IPO securities tend to involve greater risk due, in part, to public perception and the lack of publicly available information and trading history. (y) Lack of correlation risks; hedging risks

There can be no assurance that the short positions a Fund holds will act as an effective hedge against its long positions. Any decrease in negative correlation or increase in positive correlation between the positions the Investment Adviser anticipated would be offsetting could result in significant losses for the Fund. To the extent the Investment Adviser employs a hedging strategy for a Fund, the success of any such hedging strategy will depend, in part, upon the Investment Adviser’s ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments being hedged. (z) Large shareholder risk

To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another fund managed by the Investment Adviser) or a group of shareholders with a common investment strategy (e.g., the Investment Adviser’s asset allocation accounts), the Fund is subject to the risk that a repurchase of shares by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the repurchase request. In addition, the Fund and other accounts over which the Investment Adviser has investment discretion that invest in the Fund are not limited in how often they may purchase or sell shares in the Fund. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise have done so. Repurchases of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, to the extent the Fund invests in other funds managed by the Investment Adviser subject to large shareholder risk, the Fund is indirectly subject to this risk. (aa) Leveraging risk

The use of traditional borrowing (including to meet redemption requests) reverse repurchase agreements and other derivatives creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses. A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged. (bb) Management and operational risks A Fund is subject to management risk because it relies on the Investment Adviser or its affiliates to achieve its investment objective. Each Fund runs the risk that the Investment Adviser’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses.

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9. Investment and other risks (continued) (bb) Management and operational risks (continued)

A Fund’s success will also be dependent on the Investment Adviser’s ability to correctly identify long positions that will outperform the Fund’s short positions, if any, and to effectively reduce the Fund’s market exposure through long and/or short positions. The Investment Adviser also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. The Investment Adviser may use quantitative models as part of its investment process and in making investment decisions for the Funds. The Funds run the risk that the Investment Adviser’s models are not necessarily predictive of future market movements or characteristics and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect a Fund’s performance. Each Fund also runs the risk that the Investment Adviser’s assessment of an investment and/or its risks may be wrong. There also can be no assurance that key personnel of the Investment Adviser will continue to be employed by the Investment Adviser. The loss of their services could have an adverse impact on the Investment Adviser’s ability to achieve the Fund’s investment objective. Each Fund is also subject to the risk of loss as a result of other services provided by the Investment Adviser and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. The Fund and its service providers (including the Investment Adviser) are susceptible to cyber-attacks and technological malfunctions that have effects that are similar to those of a cyber-attack. (cc) Market disruption and geopolitical risks

Each Fund is subject to the risk that geopolitical and other events (e.g., wars, pandemics and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Fund’s investments. Sudden or significant changes in the supply or prices of commodities in or other economic inputs may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. War, terrorism, economic uncertainty, and related geopolitical events such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, trade disputes (such as the “trade war” between the U.S. and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict. Natural and environmental disasters, epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below) and systemic market dislocations can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and the market price of the Fund’s investments. Market disruptions, including sudden government interventions, can also prevent a Fund from implementing its investment program (including with respect to the Funds' ability to enter and exit investments) and achieving its investment objective. On January 31, 2020, the U.K. formally withdrew from the EU (commonly known as “Brexit”), and an 11-month transition period commenced during which most EU law will continue to apply in the U.K. while it negotiates its future relationship with the EU. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the U.K.. The consequences of the U.K.’s or another country’s exit from the EU also could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by the Investment Adviser. An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. 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, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively

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9. Investment and other risks (continued) (cc) Market disruption and geopolitical risks (continued)

affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and a shareholder’s in a Fund. (dd) Merger arbitrage risks

If a Fund engages in a merger arbitrage transaction, and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, as the losses in failed transactions often far exceed the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines. A Fund’s merger arbitrage transactions could result in certain tax inefficiencies, including the imposition of significant income taxes. (ee) Measurement of market risk and leverage using the commitment approach and VaR

The Funds will seek to limit the market risk and leverage created through the use of derivatives by using either the commitment approach or by using a sophisticated risk measurement technique known as “value-at-risk” (“VaR”). CCIF uses the commitment approach. SGM MMF and ECDUF use the VaR approach. The commitment approach calculates leverage by measuring the market value of the underlying exposures of derivatives relative to the relevant Fund’s NAV. VaR is a statistical methodology that seeks to predict, using historical data, the likely maximum loss that a Fund could suffer, calculated to a specific (e.g., 99 per cent.) confidence level. A Fund may use an “absolute” VaR model where the measurement of VaR is relative to the NAV of the Fund or the Fund may use a relative VaR model where the measurement of VaR is relative to a derivatives free comparable benchmark or equivalent portfolio. A VaR model has certain inherent limitations and it cannot be relied upon to predict or guarantee that the size or frequency of losses incurred by a Fund will be limited to any extent. As the VaR model relies on historical market data as one of its key inputs, if current market conditions differ from those during the historical observation period, the effectiveness of the VaR model in predicting the VaR of a Fund may be materially impaired. The effectiveness of the VaR model could be impaired in a similar fashion if other assumptions or components comprised in the VaR model prove to be inadequate or incorrect. Because of these limitations shareholders may suffer serious financial consequences in abnormal market conditions or conditions that otherwise differ from those during the historical observation period. The following calculation standards are employed for SGM MMF's and ECDUF's VaR model. However, these calculation standards are dealt with in more detail in the risk management process of SGM MMF and ECDUF and may change from time to time at the discretion of the Investment Adviser and in accordance with the requirements of the Central Bank: (i) one-tailed confidence interval of 99 per cent.; (ii) holding period equivalent to one month (20 Business Days); (iii) effective observation period (history) of risk factors is at least one year (250 Business Days) unless a shorter

observation period is justified by a significant increase in price volatility (for instance, extreme market conditions); (iv) quarterly data set updates, or more frequent when market prices are subject to material changes; and (v) at least daily calculation.

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(ee) Measurement of market risk and leverage using the commitment approach and VaR (continued)

In the case of SGM MMF and ECDUF the Investment Adviser conducts back-testing in respect of the VaR model. This compares realised trading results with model generated risk measures in order to monitor the accuracy and performance of the VaR model (i.e., prediction capacity of risk estimates). Back-testing seeks to allow for improvement in the application of the VaR model and helps to prevent imperfect performance of the model against real market parameters that may not have been considered. In addition, the Investment Adviser conducts stress tests for SGM MMF and ECDUF. The stress testing programme is designed to measure any potential major depreciation of SGM MMF’s and ECDUF’s value as a result of unexpected changes in the relevant market parameters and correlation factors. In addition, the Investment Adviser’s fundamental risk management approach analyses the potential for the permanent impairment of capital. This analysis consists of assessing the valuation risk, fundamental risk and financing risk associated with portfolio construction. The table below details the maximum, minimum and average usage of regulatory limit calculated during the financial year:

Fund Market Risk

Absolute VaR at

30 September 2020

Maximum usage of

Regulatory Limit

Minimum usage of

Regulatory Limit

Average usage of

Regulatory Limit

SGM MMF Absolute VaR 9.79% 10.87% 0.95% 4.11%

Fund Market Risk

Absolute VaR at

30 September 2019

Maximum usage of

Regulatory Limit

Minimum usage of

Regulatory Limit

Average usage of

Regulatory Limit

SGM MMF Absolute VaR 3.91% 5.34% 3.86% 4.45%

Fund Market Risk

Absolute VaR at

30 September 2020

Maximum usage of

Regulatory Limit

Minimum usage of

Regulatory Limit

Average usage of

Regulatory Limit

ECDUF1 Relative VaR 1.14% 64.46% 54.28% 58.52%


Depending on market conditions, SGM MMF and ECDUF may employ leverage from time to time. In this context, “leverage” is calculated, in accordance with the requirements of the Central Bank, as the sum of the notionals of the derivatives used. Applying this calculation method, it is possible for the leverage of SGM MMF and ECDUF to be as high as 10 times (1,000 per cent.) of the NAV of SGM MMF and ECDUF respectively.

The disclosed level of leverage is not intended to be an additional risk exposure limit for SGM MMF and ECDUF. Furthermore, it is not intended that the leverage level by itself be indicative of the risk profile of SGM MMF and ECDUF.

The table below details the level of leverage employed at the financial year end and is calculated as the sum of the absolute value of the notionals of the derivatives used and expressed as a percentage of the NAV:

Fund 30 September 2020 30 September 2019

SGM MMF 122.04% 307.47% ECDUF1 6.25% -


(ff) Mezzanine securities risks

A Fund may invest in unsecured securities that are senior to common stock or other equities but that are subordinated to substantial amounts of senior debt (“Mezzanine Securities”). Holders of Mezzanine Securities are generally not entitled to receive any payments in bankruptcy or liquidation until senior creditors are paid in full. In addition, the legal remedies available to holders of Mezzanine Securities are normally limited by contractual restrictions benefiting senior creditors. In the event a company in which a Fund holds Mezzanine Securities cannot generate adequate cash flow to meet senior debt service, the Fund may suffer a partial or total loss of capital invested. In situations where some or all of the senior debt is unsecured, distributions in respect of Mezzanine Securities may be substantially less than distributions payable to other unsecured creditors. Because issuers of Mezzanine Securities are often highly leveraged, their relatively high debt-to-equity ratios create increased risks that their operations cannot generate adequate cash flow to meet senior debt service.

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82


(gg) Municipal securities risks

Municipal obligations are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the U.S. The ability of municipalities to meet their obligations will depend on the availability of tax and other revenues, economic, political and other conditions within the state and municipality and the underlying fiscal condition of the state and municipality. As with other fixed income securities, municipal securities also expose their holders to market risk because their market values typically change as interest rates fluctuate.

(hh) Options risks

The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfil its obligations as a writer of the option. The risk is not present when writing a European Style option since the holder may only exercise the option on its expiration date. If the Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited. The Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not exist when the Fund seeks to close out an option position. An exchange-traded option may be closed out by means of an offsetting transaction only on a national securities exchange, which provides a secondary market for an option of the same series. If a liquid secondary market for an exchange-traded option does not exist, the Fund might not be able to affect an offsetting closing transaction for a particular option.

Unlike exchange-traded options the terms of OTC options generally are established through negotiation with the other party to the option contract. While the Fund has greater flexibility to tailor an OTC option, OTC options generally expose the Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organisation of the exchanges where they are traded. Purchasing and writing put and call options are highly specialised activities and entail greater than ordinary market risks.

(ii) Pooled investment vehicles risks

Investments by a Fund in pooled investment vehicles may involve additional and/or a layering of fees, expenses, charges and other costs. In addition, investment decisions of such investment vehicles are made by their investment advisers independently of each other. As a result, at any particular time one investment vehicle may be purchasing securities of an issuer whose securities are being sold by another investment vehicle and the Fund could indirectly incur certain transaction costs without accomplishing any net investment result. In addition, the Fund is exposed to the risk that the underlying funds will not perform as expected. The Fund also is indirectly exposed to all of the risks of an investment in the pooled investment vehicle. Non-Irish domiciled collective investment schemes may not provide a level of investor protection equivalent to that provided by collective investment schemes authorised by the Central Bank. Exchange-traded funds (“ETFs”) typically hold a portfolio of common stocks that is intended to track the price and dividend performance of a particular index. Common examples of ETFs include S&P Depositary Receipts (“SPDRs”) and iShares, which may be purchased from the ETF issuing the securities or in the secondary market (SPDRs are listed on the American Stock Exchange and iShares are listed on the New York Stock Exchange). The market price for ETF shares may be higher or lower than the ETF’s net asset value. The sale and repurchase prices of ETF shares purchased from the issuer are based on the issuer’s net asset value.

(jj) Portfolio turnover risks

No Fund has placed a limit on the rate of portfolio turnover and portfolio securities may be sold without regard to the time they have been held when, in the opinion of the Investment Adviser, investment considerations warrant such action (which may include taking and reversing a position within the same day). Based on the Investment Adviser’s assessment of market conditions, the Investment Adviser may trade a Fund’s investments more frequently at sometimes than at others, resulting in a higher portfolio turnover rate. A high rate of portfolio turnover involves correspondingly greater expenses (such as brokerage commissions and transaction costs) than a lower rate, may act to adversely affect the Fund’s performance, or create a loss for investors. In addition, a high rate of portfolio turnover may result in increased tax costs for investors depending on the tax provisions applicable to such investors.

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83


(kk) Potential for insufficient investment opportunities

The Investment Adviser may not be able to identify and obtain a sufficient number of investment opportunities for a Fund. In particular, each Fund will compete with a broad spectrum of investors for portfolio investments. Increased competition for, or a diminishment in the available supply of, portfolio investments could result in lower returns on such portfolio investments.

(ll) Preferred securities risks

Certain preferred stocks contain provisions that allow an issuer under certain conditions to skip or defer distributions. If a Fund owns a preferred stock that is deferring its distribution, it may be required to report income for tax purposes even when it is not receiving current income on the position. Preferred stocks are subordinated to other securities in an issuer’s capital structure in terms of priority for corporate income and liquidation payments, and therefore will be subject to greater credit risk than those other securities. Preferred stocks may trade less frequently and in a more limited volume and may be subject to more abrupt or erratic price movements than many other securities, such as common stocks or corporate and government fixed income securities. Depending on the features of the particular security, holders of preferred stock may bear the risks disclosed herein regarding equities or fixed income securities.

(mm) Real estate-related investments

The Fund may invest in real estate-related investments such as securities of companies principally engaged in the real estate industry. Companies in the real estate industry and real estate-related investments may include, for example, entities that either own properties or make construction or mortgage loans, real estate developers, and companies with substantial real estate holdings. Each of these types of investments is subject to risks similar to those associated with direct ownership of real estate. The net asset value of a Fund’s portfolio could change in light of factors affecting the real estate industry, including the supply of real property in certain markets, overbuilding, changes in zoning laws, casualty or condemnation losses, delays in completion of construction, changes in operating costs and property taxes, levels of occupancy, adequacy of rent to cover operating expenses, possible environmental liabilities, regulatory limitations on rent, fluctuations in rental income, increased competition and other risks related to local and regional economic conditions. The market value of real estate-related investments also may be affected by changes in interest rates, macroeconomic developments, and social and economic trends.

(nn) Repurchase agreements, reverse repurchase agreements and similar transactions risks Repurchase agreements afford each Fund the opportunity to earn a return on temporarily available cash without market risk, although the relevant Fund bears the risk of a seller’s failure to meet its obligation to pay the repurchase price when it is required to do so. Such a default may subject the Fund to expenses, delays and risks of loss including: (i) possible declines in the value of the underlying security while the Fund seeks to enforce its rights thereto; (ii) possible reduced levels of income and lack of access to income during this period; and (iii) the inability to enforce its rights and the expenses involved in attempted enforcement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the relevant Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honour the Fund’s right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold in connection with a reverse repurchase agreement and as a result would realise a loss equal to the difference between the value of the securities and the payment it received for them. A Fund’s use of reverse repurchase agreements also subjects the Fund to interest costs based on the difference between the sale and repurchase price of a security involved in such a transaction. Additionally, repurchase agreements and reverse repurchase agreements entail the same risks as over-the-counter derivatives. (oo) Risks associated with fund cash accounts and umbrella cash accounts

Cash account arrangements have been put in place in respect of the ICAV and the Funds as a consequence of the introduction of requirements relating to subscription, repurchase and/or, if applicable, distribution collection accounts pursuant to the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) Investor Money Regulations 2019 for Fund Service Providers, as amended (the “Investor Money Regulations”). These cash accounts are not subject to the protections of the Investor Money Regulations and instead will be subject to the guidance issued by the Central Bank from time to time in relation to cash accounts. An umbrella cash account will operate in respect of the ICAV (the “Umbrella Cash Account”) rather than a relevant Fund and the segregation of investor monies from the liabilities of Funds other than the relevant Fund to which the investor monies relate is dependent upon, among other things, the correct recording of the assets and liabilities attributable to individual Funds by or on behalf of the ICAV. In the event of an insolvency of the Fund, there is no guarantee that the Fund will have sufficient monies to pay unsecured creditors (including the investors entitled to Investor Monies) in full. Monies attributable to other Funds within the ICAV (with the exception of GMO SGM Major Markets Investment Fund, GMO Equity Market Neutral Investment Fund and GMO Emerging Country Debt UCITS Fund) will also be held in the Umbrella Cash Accounts.

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84


(oo) Risks associated with fund cash accounts and umbrella cash accounts (continued)

In the event of the insolvency of a Fund (an “Insolvent Fund”), the recovery of any amounts to which another Fund (the “Beneficiary Fund”) is entitled, but which may have transferred in error to the Insolvent Fund as a result of the operation of the Umbrella Cash Account, will be subject to applicable law and the operational procedures for the Umbrella Cash Account. There may be delays in effecting, and/or disputes as to the recovery of, such amounts, and the Insolvent Fund may have insufficient funds to repay amounts due to the Beneficiary Fund. In the event that the ICAV is unable to recoup such amounts from the defaulting investor, the relevant Fund may incur losses or expenses in anticipation of receiving such amounts, for which the relevant Fund, and consequently its shareholders, may be liable. In the event that an investor fails to provide the subscription monies within the timeframe stipulated in the prospectus, the investor may be required to indemnify the Fund against the liabilities that may be incurred by it. The ICAV may cancel any shares that have been issued to the investor and charge the investor interest and other expenses incurred by the relevant Fund. In the event that the ICAV is unable to recoup such amounts from the defaulting investor, the relevant Fund may incur losses or expenses in anticipation of receiving such amounts, for which the relevant Fund, and consequently its shareholders, may be liable. (pp) Risks of cash and other high quality investments

Each Fund may temporarily invest a portion of its assets in cash or cash equivalents pending other investments or to maintain liquid assets required in connection with its investments. These cash equivalents and other high quality debt securities may include money market instruments, such as government-issued securities, bankers’ acceptances, commercial paper, and bank certificates of deposit. If a depositary holds cash on behalf of the Fund, the Fund may be an unsecured creditor in the event of the insolvency of the depositary. In addition, the Fund will be subject to credit risk with respect to such a depositary, which may be heightened to the extent the Fund takes a temporary defensive position. (qq) Risks of investment in emerging market countries

A Fund may invest in emerging market countries. The risks involved in investments in emerging market countries are likely to exceed the risks of investment in more mature markets. Investment in issuers or securities in emerging market countries may involve special risks due to economic, political and legal developments, including favourable or unfavourable changes in currency exchange rates, exchange control regulations (including currency blockage), expropriation, nationalisation or confiscatory taxation of assets, other government involvement in the economy or in the affairs of specific companies or industries, imposition of withholding or other taxes, adverse changes in investment capital or exchange control regulations (which include suspension of the ability to transfer currency from a country), quota controls and dealing restrictions, political changes, diplomatic developments, including the imposition of economic sanctions, and possible difficulty in obtaining and enforcing judgments against entities in the market in question. In the event of a nationalisation, expropriation or other confiscation, the Fund could lose its entire investment in a security. Emerging market countries securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets may fluctuate more than those of U.S. securities. In addition, issuers of emerging market countries securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in emerging market countries securities generally involve higher commission rates, transfer taxes, and custodial costs. Issuers of securities in some countries, particularly emerging market countries, are subject to different, often less comprehensive, accounting, custody, reporting, and disclosure requirements. The securities of some foreign governments, companies, and securities markets are less liquid, and at times more volatile, than comparable securities and securities markets in the U.S. or the EU. It is possible that brokerage commissions and related fees could be higher than in the U.S. or the EU. Funds that invest in securities in such jurisdictions also may be affected by different custody and/or settlement practices or delayed settlements. In addition, some jurisdictions may limit the Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction). A Fund may be subject to additional special risks when investing in emerging countries, Asian securities or Russian securities.

(rr) Risks of investment in other collective investment schemes

A Fund expects to invest some of its assets in other funds, including funds for which the Investment Adviser or an affiliate of the Investment Adviser serves as general partner or investment adviser. The Fund may bear a pro rata share of certain operating costs of the underlying funds. In addition, in connection with an investment in or a withdrawal from such an underlying fund, the Fund may bear the cost of purchase premiums and/or withdrawal charges imposed by such underlying fund. If the Fund invests in one or more underlying funds, it will be subject to the risks to which the underlying funds are subject. Adverse events could impact one or more of the underlying funds at the same time.

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85


(rr) Risks of investment in other collective investment schemes (continued)

There is no assurance that the investments or investment strategies employed by such underlying funds will be successful. Underperformance by the underlying funds could cause the Fund to underperform, even though the Investment Adviser’s asset allocation strategies with respect to the Fund were appropriate given market conditions. The Investment Adviser has the discretion to invest in underlying funds however it deems most appropriate. The Fund’s allocations to one or more underlying funds, from time to time, may be impacted by its investors’ repurchase requests, for example where the Fund’s liquidity terms do not align with those of the underlying funds or where the Investment Adviser elects to shift the Fund’s allocations more gradually so as to minimise withdrawal charges at the level of the underlying fund. If the Fund takes any such steps it may affect the Fund’s overall portfolio composition until any such withdrawal request is satisfied. Such deviations in allocations could adversely impact the Fund’s ability to achieve its investment objective.

(ss) Securities lending risks

The risks in lending portfolio securities, as with other extensions of credit, consist of possible delay in recovery of the securities or possible loss of rights in the collateral should the borrower fail financially, including possible impairment of a Fund’s ability to vote the securities. However, securities loans will be made to brokers that the Investment Adviser believes to be of relatively high credit standing pursuant to agreements requiring that the loans be collateralised by cash or liquid securities with a value at least equal to the market value of the loaned securities (marked to market daily). As with other extensions of credit, the Fund bears the risk of delay in the recovery of loaned securities and of loss of rights in the collateral should the borrower fail financially. The Fund also bears the risk that the value of the investments made with collateral may decline. The Fund bears the risk of total loss with respect to the investment of collateral.

(tt) Securities of stressed, distressed or defaulted issuers risks Investments in distressed or defaulted or other low quality debt securities may trade significantly below par, generally are considered speculative, and may involve substantial inherent risks that are generally significantly higher than the risks involved in investing in companies that are not experiencing, or expected to experience, financial stress and not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. The amount of any recovery may be adversely affected by the relative priority of the Fund’s investment in the issuer’s capital structure. The ability to enforce obligations may be adversely affected by actions or omissions of predecessors in interest that give rise to counterclaims or defences, including causes of action for equitable subordination or debt recharacterisation. In addition, such investments, collateral securing such investments, and payments made in respect of such investments may be challenged as fraudulent conveyances or to be subject to avoidance as preferences under certain circumstances.

(uu) Service provider risks

The Fund’s Depositary and sub-custodian(s), if any, will have custody of the Fund’s securities, cash, distributions and rights accruing to the Fund’s securities accounts. If the Depositary or a sub-custodian holds cash on behalf of the Fund, the Fund may be an unsecured creditor in the event of the insolvency of the relevant entity. The Fund will be subject to credit risk with respect to a Depositary and its sub-custodians. The Depositary credit rating for the financial year ended 30 September 2020 was AA- (30 September 2019: AA-). (vv) Small company risks Companies with smaller market capitalisations or smaller total float adjusted market capitalisations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. In addition, their securities are often less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalisations. Market risk and illiquidity risk are particularly pronounced for securities of these companies. (ww) Structured notes risks

Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference asset, rate or index. Structured notes also may be more volatile, less liquid, and more difficult to price accurately than less complex securities or more traditional debt securities.

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86

10. 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 Manager's fees. Transactions with these related parties were entered into during the financial year under review by the ICAV in the ordinary course of business and on normal commercial terms.

GMO LLC is the parent entity of GMO UK Limited and GMO Netherlands B.V.

Mr. David Bohan, who is a Director of the Manager and the ICAV, is an employee of the Investment Adviser. Mr. Arron Day, who is a Director of the Manager and the ICAV, is an employee of GMO UK Limited.

The Investment Adviser is the parent entity of the ICAV. The Investment Adviser holds 500 shares of Class D USD, 375 shares of Class D GBP and 425 shares of Class D EUR, of SGM MMF. The Investment Adviser does not hold any shares of CCIF or ECDUF. During the year, GMO Global Real Return (UCITS) Fund, a sub-fund of GMO Funds Plc, purchased 2,475,000 shares in ECDUF valued at US$49,500,000. The directors of GMO Funds Plc are also Directors of the ICAV and the Manager, and the investment manager of GMO Funds Plc is also the Investment Adviser. The transaction was conducted at arms’ length in accordance with the connected party transaction policy of the ICAV and the Manager, and the valuation of the transaction was certified by the Depositary. During the year, ECDUF purchased investments of value equal to US$17,674,185 from GMO Emerging Country Debt Investment Fund Plc. The directors of GMO Emerging Country Debt Investment Fund Plc are also the Directors of the ICAV and the Manager. The investment manager of GMO Emerging Country Debt Investment Fund Plc is also the Investment Adviser. The transaction was conducted at arms’ length in accordance with the connected party transaction policy of the ICAV and the Manager, and the valuation of the transaction was certified by the Depositary. The Board of Directors is not aware of any transactions with related parties during the financial year ended 30 September 2020 or the financial year ended 30 September 2019, other than those included in these financial statements.

11. Soft commission/ direct brokerage

The Investment Adviser may use a portion of the commissions generated when executing transactions to acquire external research and brokerage services. Specifically, the Investment Adviser 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 Adviser 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.

12. 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 30 September 2020 and 30 September 2019.

SGM MMF Number of

Shareholders

As at

30 September 2020

% of Shares

As at

30 September 2020

Number of

Shareholders

As at

30 September 2019

% of Shares

As at

30 September 2019Class of shares

Class A EUR 2 55.65 1 90.30

Class A GBP 2 58.97 1 43.49

Class A USD 2 83.95 2 55.50

Class B EUR 2 100.00 2 100.00

Class C EUR1 - - 1 83.02

Class D EUR 1 99.99 2 76.84

Class D GBP 1 100.00 1 100.00

Class D USD 1 100.00 2 80.93

Class E EUR2

1 100.00 - -

Class E USD2 1 100.00 - -

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87

12. Concentration of principal shareholders (continued)

CCIF Number of

Shareholders

As at

30 September 2020

% of Shares

As at

30 September 2020

Number of

Shareholders

As at

30 September 2019

% of Shares

As at

30 September 2019Class of shares

Class A EUR 1 85.40 1 87.80

Class A GBP 2 90.31 2 91.51

Class A USD 2 100.00 2 100.00

ECDUF Number of

Shareholders

As at

30 September 2020

% of Shares

As at

30 September 2020 Class of shares

Class F USD3 1 100.00

Class G CHF4 1 100.00

Class Z USD3 2 100.00

1 The class terminated on 29 November 2019. 2 The class launched on 22 September 2020. 3 The class launched on 1 April 2020. 4 The class launched on 28 May 2020.

13. Redeemable participating shares and share capital

Authorised

The issued share capital of the ICAV shall be not less than the currency equivalent of €2.00 represented by two subscriber shares of no par value, the maximum issued share capital of the ICAV shall not be more than the currency equivalent of 500 billion divided into an unspecified number shares of no par value.

Subscriber shares

There were two subscriber shares in issue as at 30 September 2020 held by GMO LLC. Subscriber shares entitle the shareholders holding them to attend and vote at all meetings of the ICAV, but do not form part of the assets of the ICAV, are not included in the NAV of the Funds and do not entitle the holders to participate in the dividends or net assets of the Funds.

SGM MMF

Class A EUR(H)

For the

financial year

ended

30 September

2020

Class A

GBP(H)

For the

financial year

ended

30 September

2020

Class A USD

For the

financial year

ended

30 September

2020

Class B

EUR(H)

For the

financial year

ended

30 September

2020

Class C

EUR(H)1

For the

financial year

ended

30 September

2020

Movement in redeemable participating

shares during the financial year Shares in issue at the beginning of the financial year 8,941,808 2,224,296 1,190,733 901,980 533 Number of shares issued 1,355,934 326,240 51,989 73,173 - Number of shares redeemed (10,010,600) (717,009) (455,502) (123,857) (533)

Redeemable participating shares in issue

at the end of the financial year 287,142 1,833,527 787,220 851,296 -

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88

13. Redeemable participating shares and share capital (continued)

SGM MMF (continued) Class D

EUR(H)

For the

financial year

ended

30 September

2020

Class D

GBP(H)

For the

financial year

ended

30 September

2020

Class D USD

For the

financial year

ended

30 September

2020

Class E

EUR(H)2

For the

financial year

ended

30 September

2020

Class E USD2

For the

financial year

ended

30 September

2020


shares during the financial year Shares in issue at the beginning of the financial year 15,487 375 1,857 - - Number of shares issued 5,482,246 - - 211,277 78,532 Number of shares redeemed (104,529) - (1,357) - -


at the end of the financial year 5,393,204 375 500 211,277 78,532

CCIF Class A EUR

For the

financial year ended

30 September 2020

Class A GBP

For the


30 September 2020

Class A USD

For the


30 September 2020

Movement in redeemable participating shares during

the financial year Shares in issue at the beginning of the financial year 2,975,652 1,992,376 138,962 Number of shares issued 126,794 1,511,684 3,464 Number of shares redeemed (37,049) (9,109) (20,013)

Redeemable participating shares in issue at the end of

the financial year 3,065,397 3,494,951 122,413

ECDUF Class F USD3

For the

financial period

ended

30 September 2020

Class G CHF(H)4

For the

financial period

ended

30 September 2020

Class Z USD3

For the

financial period

ended

30 September 2020


the financial period Shares in issue at the beginning of the financial period - - - Number of shares issued 5,000,000 886,700 4,950,000 Number of shares redeemed (442) - -


the financial period 4,999,558 886,700 4,950,000

1. The class terminated on 29 November 2019. 2 The class launched on 22 September 2020. 3 The class launched on 1 April 2020. 4 The class launched on 28 May 2020. (H) Hedged share class.

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89

13. Redeemable participating shares and share capital (continued)

SGM MMF

Class A EUR(H)

For the

financial year

ended

30 September

2019

Class A

GBP(H)

For the

financial year

ended

30 September

2019

Class A USD

For the

financial year

ended

30 September

2019

Class B EUR

For the

financial year

ended

30 September

2019

Class B USD1

For the

financial year

ended

30 September

2019


shares during the financial year Shares in issue at the beginning of the financial year 7,557,670 2,015,799 885,906 2,322,806 104,127 Number of shares issued 1,977,679 218,887 406,952 499,032 5,792 Number of shares redeemed (593,541) (10,390) (102,125) (1,919,858) (109,919)


at the end of the financial year 8,941,808 2,224,296 1,190,733 901,980 -

Class C EUR

For the

financial year

ended

30 September

2019

Class D EUR

For the

financial year

ended

30 September

2019

Class D GBP

For the

financial year

ended

30 September

2019

Class D USD

For the

financial year

ended

30 September

2019

Movement in redeemable participating shares

during the financial year

Shares in issue at the beginning of the financial year 730 425 375 500 Number of shares issued - 15,062 - 1,357 Number of shares redeemed (197) - - -

Redeemable participating shares in issue at the

end of the financial year 533 15,487 375 1,857

CCIF Class A EUR

For the


30 September 2019

Class A GBP

For the


30 September 2019

Class A USD

For the


30 September 2019


the financial year Shares in issue at the beginning of the financial year 351,140 634,652 100,008 Number of shares issued 2,624,512 1,498,853 52,126 Number of shares redeemed - (141,129) (13,172)


the financial year 2,975,652 1,992,376 138,962

1 The class terminated on 19 June 2019. (H) Hedged share class.

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90

14. NAV comparison table

SGM MMF As at

30 September 2020

As at

30 September 2019

As at

30 September 2018

Class A EUR Net assets US$6,471,901 US$189,131,958 US$173,286,771Shares in issue 287,142 8,941,808 7,557,670NAV per share US$22.54 US$21.15 US$22.93 EUR19.22 EUR19.41 EUR19.75

Class A GBP Net assets US$46,454,399 US$53,683,692 US$51,867,078Shares in issue 1,833,527 2,224,296 2,015,799NAV per share US$25.34 US$24.14 US$25.73 GBP19.63 GBP19.63 GBP19.74

Class A USD Net assets US$16,416,163 US$24,680,965 US$18,139,891Shares in issue 787,220 1,190,733 885,906NAV per share US$20.85 US$20.73 US$20.48

Class B EUR Net assets US$18,979,055 US$18,812,736 US$52,353,301Shares in issue 851,296 901,980 2,322,806NAV per share US$22.29 US$20.86 US$22.54 EUR19.01 EUR19.14 EUR19.41Class B USD

1 Net assets - - US$2,104,531Shares in issue - - 104,127NAV per share - - US$20.21

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91

14. NAV comparison table (continued)

SGM MMF As at

30 September 2020

As at

30 September 2019

As at

30 September 2018

Class C EUR2

Net assets - US$11,108,174 US$16,464,457Shares in issue - 533 730NAV per share - US$20,840.85 US$22,554.05 - EUR19,121.48 EUR19,427.17

Class D EUR Net assets US$120,310,731 US$323,966 US$9,624Shares in issue 5,393,204 15,487 425NAV per share US$22.31 US$20.92 US$22.64

EUR19.03 EUR19.19 EUR19.50

Class D GBP Net assets US$9,488 US$9,028 US$9,614Shares in issue 375 375 375NAV per share US$25.30 US$24.07 US$25.64 GBP19.61 GBP19.58 GBP19.67 Class D USD Net assets US$10,191 US$37,562 US$9,986Shares in issue 500 1,857 500NAV per share US$20.38 US$20.23 US$19.97

Class E EUR3

Net assets US$4,947,425 - -Shares in issue 211,277 - -NAV per share US$23.42 - - EUR19.97 - -

Class E USD3

Net assets US$1,568,936 - -Shares in issue 78,532 - -NAV per share US$19.98 - -

CCIF As at As at As at

30 September 2020 30 September 2019 30 September 2018

Class A EUR

4 Net assets US$84,350,145 US$67,848,900 US$8,126,982Shares in issue 3,065,397 2,975,652 351,140NAV per share US$27.52 US$22.80 US$23.14 EUR23.47 EUR20.92 EUR19.94

Class A GBP5

Net assets US$108,545,327 US$51,271,514 US$16,576,622Shares in issue 3,494,951 1,992,376 634,652NAV per share US$31.06 US$25.73 US$26.12 GBP24.07 GBP20.93 GBP20.04 Class A USD

6 Net assets US$2,946,552 US$2,771,731 US$2,024,581Shares in issue 122,413 138,962 100,008NAV per share US$24.07 US$19.95 US$20.24

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92

14. NAV comparison table (continued)

ECDUF As at 30 September 2020

Class F USD

7 Net assets US$115,925,293Shares in issue 4,999,558NAV per share US$23.19

Class G CHF8

Net assets US$20,570,467Shares in issue 886,700NAV per share US$23.20 CHF21.37

Class Z USD7

Net assets US$114,890,153Shares in issue 4,950,000NAV per share US$23.21 1 The class terminated on 19 June 2018. 2 The class terminated on 29 November 2019. 3 The class launched on 22 September 2020. 4 The class launched on 16 March 2018. 5 The class launched on 14 March 2018. 6 The class launched on 17 August 2019. 7 The class launched on 1 April 2020. 8 The class launched on 28 May 2020.

15. Contingent liabilities

The Investment Adviser is not aware of any contingent liabilities as at 30 September 2020 or as at 30 September 2019.

16. Significant events during the financial year Effective 1 January 2020, GMO Netherlands B.V. was appointed as a distributor of the ICAV with primary responsibility for the distribution of shares in continental Europe. On 31 January 2020, the ICAV issued a first supplemental prospectus to include disclosure relating to the U.K. no longer being a Member State after its proposed exit from the EU. On 20 March 2020, the ICAV issued a second supplemental prospectus to include disclosures in relation to the performance comparative indices applicable to each of the Funds, the creation of two new share classes in respect of ECDUF, and an amendment to the list of regulated markets. ECDUF launched on 1 April 2020.

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93

16. Significant events during the financial year (continued) On 27 April 2020, the ICAV issued a third supplemental prospectus to provide for the creation of twelve new share classes in respect of ECDUF and to reduce the reimbursable expenses threshold amount in respect of ECDUF. On 5 June 2020, the ICAV issued a fourth supplemental prospectus to include disclosures to reflect that ECDUF will calculate its market risk using the relative value-at-risk method. On 3 August 2020, the Manager entered into an amendment administration agreement to reflect updated anti-money laundering arrangements with the Administrator. 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 ICAV’s Investment Adviser commenced a global work from home policy effective from 13 March 2020. The ICAV’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 Adviser, Administrator and Depositary at this time. There were no other significant events during the financial year requiring financial statement disclosure.

17. Significant events since the financial year end

On January 31, 2020, the U.K. formally withdrew from the EU (commonly known as “Brexit”), and an 11-month transition period commenced during which the U.K. negotiated an agreement for its future relationship with the EU. On 29 December 2020, the EU member states approved this agreement, and the European Parliament is expected to approve the agreement in 2021. On 1 January 2021, a provisional application of the agreement took effect. Brexit did not have any direct impact on the ICAV. There were no other significant events occurring since the financial year end requiring financial statement disclosure.

18. Approval of the financial statements

The Board of Directors of the Company approved these audited financial statements on 14 January 2021 for circulation to the shareholders and for filing with the Central Bank of Ireland.

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STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED)

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94

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 financial year. At a minimum the largest 20 purchases and 20 sales are required to be disclosed, if applicable.

Schedule of material purchases for the financial year ended 30 September 2020*/** Security Description Nominal Cost US$

State Street Global Advisors USD Offshore Fund - Class D Shares 303,814,953 303,814,953 State Street US Treasury Liquidity Fund 39,836,629 39,836,629 United States Treasury Note, 1.38%, due 31/01/22 30,000,000 30,573,438 United States Treasury Note, 1.75%, due 31/05/22 27,000,000 27,773,125 United States Treasury Note, 1.63%, due 30/06/21 27,000,000 27,454,395 United States Treasury Note, 1.50%, due 31/10/21 25,000,000 25,454,102 United States Treasury Note, 1.25%, due 31/03/21 25,000,000 25,229,144 United States Treasury Note, 1.38%, due 31/05/21 25,000,000 24,944,961 United States Treasury Note, 1.13%, due 30/06/21 21,000,000 20,818,164 United States Treasury Note, 2.25%, due 31/03/21 20,000,000 20,392,560 United States Treasury Note, 2.63%, due 15/08/20 15,000,000 15,110,156 Federal Home Loan Banks, 0.13%, due 10/09/21 10,000,000 9,998,329 United States Treasury Floating Rate Note, 0.16%, due 31/07/22 1,500,000 1,500,000 Schedule of material sales for the financial year ended 30 September 2020*/**

Security Description Nominal Proceeds US$

State Street Global Advisors USD Offshore Fund - Class D Shares 308,632,756 308,632,756 United States Treasury Floating Rate Note, 0.15%, due 31/10/20 40,000,000 39,974,189 State Street US Treasury Liquidity Fund 35,696,292 35,696,292 United States Treasury Note, Zero Coupon, due 31/07/20 31,000,000 30,994,954 United States Treasury Note, 1.38%, due 31/01/20 19,500,000 19,490,234 United States Treasury Note, 1.25%, due 31/03/21 15,000,000 15,157,617 United States Treasury Note, 2.63%, due 15/08/20 15,000,000 15,101,953 United States Treasury Note, 1.38%, due 31/03/20 12,000,000 11,990,625 Federal Home Loan Bank, 1.27%, due 03/04/20 6,000,000 6,003,479 United States Treasury Floating Rate Note, 0.20%, due 31/01/21 6,000,000 6,001,686 United States Treasury Note, 1.38%, due 31/08/20 4,000,000 3,992,656 United States Treasury Note, 1.38%, due 31/01/21 3,000,000 2,990,391 United States Treasury Note, 1.38%, due 31/05/21 2,000,000 1,997,500 * Japanese Treasury Discount Bills and United States Treasury Bills are not included in the above tables. ** There were no other purchases and sales during the financial year ended 30 September 2020.

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STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) (CONTINUED)

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95


Schedule of material purchases for the financial year ended 30 September 2020*

Security Description Nominal Cost US$

State Street Global Advisors USD Offshore Fund - Class D Shares 26,088,505 26,088,505 GrafTech International Ltd. 1,277,331 10,254,570 State Street US Treasury Liquidity Fund 9,968,845 9,968,845 Mosaic Co. 449,041 5,660,086 Canadian Solar Inc. 269,000 5,425,256 Grupo Mexico SAB de CV 1,462,791 3,609,532 Freeport-McMoRan Inc. 486,450 3,572,481 Enel SpA 398,337 3,184,201 SolarEdge Technologies Inc. 25,500 2,842,369 PhosAgro PJSC - Depositary Receipts 201,505 2,477,635 Sociedad Quimica y Minera de Chile SA - Depositary Receipts 86,500 2,253,270 Siemens AG 18,677 2,102,767 Renewable Energy Group Inc. 80,050 2,025,420 Neste Oyj 40,264 2,001,913 EDP - Energias de Portugal SA 413,275 1,904,284 China High Speed Transmission Equipment Group Co. Ltd. 2,328,000 1,887,610 MMC Norilsk Nickel PJSC - Depositary Receipts 68,720 1,885,009 First Solar Inc. 31,700 1,554,475 Prysmian SpA 76,006 1,539,531 Power Grid Corp of India Ltd. 639,152 1,515,604

Schedule of material sales for the financial year ended 30 September 2020*


State Street Global Advisors USD Offshore Fund - Class D Shares 26,239,763 26,239,763 SolarEdge Technologies Inc. 84,912 11,754,277 Freeport-McMoRan Inc. 979,507 10,450,526 State Street US Treasury Liquidity Fund 9,456,549 9,456,549 Renewable Energy Group Inc. 230,532 6,889,338 Vestas Wind Systems AS 45,156 5,203,542 Canadian Solar Inc. 160,900 4,687,628 Albemarle Corp. 57,492 4,593,202 Mosaic Co. 309,724 4,309,058 Kubota Corp. 138,800 2,153,600 Sociedad Quimica y Minera de Chile SA - Depositary Receipts 69,300 2,033,291 KGHM Polska Miedz SA 83,671 1,986,016 Siemens AG 15,465 1,848,263 Iberdrola SA 144,408 1,720,974 Cosan SA 100,400 1,648,799 Johnson Controls International Plc 34,300 1,268,908 CGN Power Co. Ltd., 144A 5,110,000 1,251,781 Antofagasta Plc 101,601 1,153,646 Livent Corp. 122,800 1,135,862 BorgWarner Inc. 25,800 1,096,959 * Japanese Treasury Discount Bills and United States Treasury Bills are not included in the above tables.

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STATEMENT OF CHANGES IN THE PORTFOLIO (UNAUDITED) (CONTINUED)

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96


Schedule of material purchases for the financial year ended 30 September 2020*

Security Description Nominal Cost US$

State Street Global Advisors USD Offshore Fund - Class D Shares 49,525,495 49,525,495 State Street US Treasury Liquidity Fund 21,177,687 21,177,687 Petroleos Mexicanos, 144A, 7.69%, due 23/01/50 10,400,000 7,495,500 Turkey Government International Bond, 5.75%, due 11/05/47 10,500,000 7,381,875 United States Treasury Note, 0.13%, due 30/04/22 6,000,000 5,999,906 Russian Foreign Bond - Eurobond, 5.88%, due 16/09/43 3,400,000 4,169,250 Republic of South Africa Government International Bond, 5.75%, due 30/09/49 5,200,000 3,689,450 Saudi Government International Bond, 144A, 4.50%, due 22/04/60 3,700,000 3,688,250 Saudi Government International Bond, 5.00%, due 17/04/49 3,300,000 3,597,000 Aeropuerto Internacional de Tocumen SA, 6.00%, due 18/11/48 3,266,159 3,406,118 Qatar Government International Bond, 144A, 4.40%, due 16/04/50 3,300,000 3,300,000 Mexico Government International Bond, 5.63%, due 19/03/2114 2,525,000 3,286,984 Oman Government International Bond, 6.50%, due 08/03/47 5,000,000 3,150,000 Argentine Republic Government International Bond, 7.63%, due 22/04/46 10,500,000 3,028,750 Dominican Republic International Bond, 6.85%, due 27/01/45 3,300,000 3,015,000 Ukraine Government International Bond, 9.75%, due 01/11/28 3,000,000 3,006,250 Corp Nacional del Cobre de Chile, 144A, 3.75%, due 15/01/31 3,000,000 2,994,480 Egypt Government International Bond, 8.70%, due 01/03/49 3,300,000 2,928,750 Ukraine Government International Bond, 7.38%, due 25/09/32 2,800,000 2,747,500 Ecopetrol SA, 5.88%, due 28/05/45 3,000,000 2,733,000

Schedule of material sales for the financial year ended 30 September 2020*


State Street Global Advisors USD Offshore Fund - Class D Shares 49,525,541 49,525,541 State Street US Treasury Liquidity Fund 17,054,160 17,054,160 Saudi Government International Bond, 5.00%, due 17/04/49 3,300,000 3,566,000 Ukraine Government International Bond, 9.75%, due 01/11/28 3,000,000 3,432,550 Corp Nacional del Cobre de Chile, 144A, 3.75%, due 15/01/31 3,000,000 3,382,500 Dominican Republic International Bond, 6.85%, due 27/01/45 2,200,000 2,367,742 Mexico Government International Bond, 5.75%, due 12/10/2110 2,000,000 2,250,000 Brazilian Government International Bond, 4.75%, due 14/01/50 2,200,000 2,134,000 Brazilian Government International Bond, 5.63%, due 21/02/47 1,500,000 1,730,000 Peruvian Government International Bond, 2.78%, due 23/01/31 1,000,000 1,086,200 Dominican Republic International Bond, 7.45%, due 30/04/44 900,000 1,019,700 Jordan Government International Bond, 144A, 5.85%, due 07/07/30 700,000 698,250 Brazilian Government International Bond, 7.13%, due 20/01/37 500,000 648,500 Instituto Costarricense de Electricidad, 6.38%, due 15/05/43 800,000 648,250 PTTEP Treasury Center Co. Ltd., 144A, 3.90%, due 06/12/59 600,000 639,234 Petronas Capital Ltd., 144A, 4.55%, due 21/04/50 500,000 622,500 Romanian Government International Bond, 5.13%, due 15/06/48 500,000 604,125 Israel Government International Bond, 3.88%, due 03/07/50 500,000 602,500 Mexico Government International Bond, 5.00%, due 27/04/51 500,000 490,000 Southern Gas Corridor CJSC, 6.88%, due 24/03/26 400,000 478,000 * Japanese Treasury Discount Bills and United States Treasury Bills are not included in the above tables.

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APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE

(UNAUDITED)

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97

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 30 September 2020 GMO SGM Major Markets Investment Fund held total return swaps, as specified below, as types of instruments under the scope of SFTR:

Global data

The amount of assets across total return swaps as at 30 September 2020 was as follows:

Type of Asset Notional Amount US$ % of Net Asset Value

Total Return Swaps 3,003,935 1.40%

No securities of the Fund were on loan during the financial year ended 30 September 2020.

Data on reuse of collateral

There was no reuse of collateral during the financial year ended 30 September 2020.

Concentration data

The counterparty across total return swaps as at 30 September 2020 was as follows:

Counterparty Type of asset Notional Amount US$

Morgan Stanley & Co. International Plc Total Return Swaps 3,003,935 Safekeeping of collateral received

As at 30 September 2020 there was no collateral received held with the Depositary. Safekeeping of collateral granted

As at 30 September 2020 there was no collateral held with the Depositary.

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APPENDIX - SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURE

(UNAUDITED) (CONTINUED)

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98

Aggregate transaction data

The aggregate transaction data for collateral positions, including cash, (pledged)/received across all total return swaps as at 30 September 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

Morgan Stanley & Co. International Plc cash (1,620,000) N/A N/A US$ United States bilateral

* Not applicable to cash collateral. Collateral may cover a combination of swap contracts, and as such, a portion of the collateral relates to swap contracts not in scope for 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 positions as at 30 September 2020 was as follows:

Maturity Notional Amount US$

Total Return Swaps

3 months to 1 year 3,003,935

Return/costs

Returns and costs for total return swaps for the financial year ended at 30 September 2020 were as follows:

Returns: Amount US$ % Overall returns

To Fund:

- Fully Funded Total Return Swaps 1,145,906 100.00%

Total 1,145,906 100.00%

Costs: Amount US$ % Overall returns

To Fund:

- Fully Funded Total Return Swaps (339,480) 100%

Total (339,480) 100%

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MANAGEMENT AND ADMINISTRATION

99

Board of Directors of the Manager and ICAV 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 Corporate Secretary

State Street Fund Services (Ireland) Limited Bradwell Limited 78 Sir John Rogerson’s Quay 10 Earlsfort Terrace Dublin 2 Dublin 2 Ireland Ireland

Auditor Investment Adviser

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 Distributor and UK Facilities Agent

Arthur Cox GMO UK Limited 10 Earlsfort Terrace No. 1 London Bridge Dublin 2 London SE1 9BG Ireland England

Registered Office Distributor (Effective from 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 The Netherlands

Manager GMO Investment Management Company (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland Registered Number: C155870 1 Independent Director.

Documents

GMO INVESTMENTS ICAV (an Irish Collective Asset-management ...€¦ · (an Irish Collective Asset-management Vehicle) ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS FOR THE FINANCIAL