UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-5349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker, Suite 500, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Peter V. Bonanno, Esq. | Copies to: | |
Goldman, Sachs & Co. | Kenneth L. Greenberg, Esq. | |
One New York Plaza | Drinker Biddle & Reath LLP | |
New York, New York 10004 | One Logan Square | |
18th and Cherry Streets | ||
Philadelphia, PA 19103 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: June 30, 2006
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Trust | |
Financial Square Funds SM |
4 Prime Obligations Fund | |
4 Money Market Fund | |
4 Treasury Obligations Fund | |
4 Treasury Instruments Fund | |
4 Government Fund | |
4 Federal Fund | |
4 Tax-Free Money Market Fund |
SEMIANNUAL REPORT | |
June 30, 2006 |
Goldman Sachs Trust
Financial Square FundsSM
Taxable Funds*
Financial Square Prime Obligations Fund. The Fund invests in securities of the U.S. Government, its agencies, authorities, and instrumentalities, obligations of U.S. banks, commercial paper and other high quality, short-term obligations of U.S. companies, states, municipalities and other entities and repurchase agreements.
Financial Square Money Market Fund. The Fund invests in securities of the U.S. Government, its agencies, authorities, and instrumentalities, U.S. dollar denominated obligations of U.S. banks and foreign banks, U.S. dollar denominated commercial paper and other high-quality, short-term obligations of states, municipalities and other entities, U.S. and foreign companies, and of foreign governments, and repurchase agreements.
Financial Square Treasury Obligations Fund. Rated “AAA” by Standard & Poor’s Rating Group and “Aaa” by Moody’s Investors Service, Inc., the Fund invests only in securities issued by the U.S. Treasury which are backed by the full faith and credit of the U.S. Government, and repurchase agreements relating to such securities.
Financial Square Treasury Instruments Fund. The Fund invests only in certain U.S. Treasury obligations, the interest income from which is generally exempt from state income taxation.
Financial Square Government Fund. The Fund invests, directly or indirectly, only in securities of the U.S. Government, its agencies, authorities and instrumentalities, and repurchase agreements relating to such securities.
Financial Square Federal Fund. The Fund invests only in certain securities of the U.S. Government and certain of its agencies, authorities and instrumentalities, the interest income from which is generally exempt from state income taxation.
Tax-Exempt Fund*
Financial Square Tax-Free Money Market Fund. The Fund invests in securities issued by or on behalf of states, territories and possessions of the United States, its political subdivisions, agencies, authorities, and instrumentalities, and the District of Columbia, the interest from which is exempt from federal income tax, and not an item of tax preference under the federal alternative minimum tax.
* | Past performance is no guarantee of future results. Yields will vary. An investment in any of the Financial Square Funds is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. More complete information, including management fees and expenses, is included in the Financial Square Funds’ Prospectuses and/or Statement of Additional Information, or may be obtained by calling Goldman Sachs Funds at 1-800-621-2550. Goldman Sachs Financial Square FundsSM is a service mark of Goldman, Sachs & Co. |
1
Sector Allocations†
as of June 30, 2006
Taxable Funds
Prime | Money | Treasury | Treasury | |||||||||||||||||||||||
Security Type | Obligations | Market | Obligations | Instruments | Government | Federal | ||||||||||||||||||||
Bank Notes | 2.4 | % | — | — | — | — | — | |||||||||||||||||||
Certificates of Deposit | 7.3 | 1.3 | % | — | — | — | — | |||||||||||||||||||
Certificates of Deposit—Eurodollar | — | 3.8 | — | — | — | — | ||||||||||||||||||||
Certificates of Deposit—Yankeedollar | — | 8.6 | — | — | — | — | ||||||||||||||||||||
Commercial Paper & Corporate Obligations | 29.1 | 20.9 | — | — | — | — | ||||||||||||||||||||
Master Demand Notes | 1.3 | 0.7 | — | — | — | — | ||||||||||||||||||||
Repurchase Agreements | 28.8 | 15.7 | 100.2 | % | — | 72.4 | % | — | ||||||||||||||||||
Time Deposits | 0.9 | 20.5 | — | — | — | — | ||||||||||||||||||||
U.S. Government Agency Obligations | 1.2 | 3.6 | — | — | 27.7 | 99.0 | % | |||||||||||||||||||
U.S. Treasury Obligations | — | — | — | 99.7 | % | — | — | |||||||||||||||||||
Variable Rate Obligations | 28.9 | 24.8 | — | — | — | — | ||||||||||||||||||||
Tax Exempt Fund
Tax-Free | ||||||
Security Type | Money Market | |||||
Commercial Paper | 10.5 | % | ||||
General Obligation Bond | 0.1 | |||||
Put Bonds | 2.5 | |||||
Revenue Anticipation Notes | 0.1 | |||||
Revenue Bonds | 0.1 | |||||
Tax and Revenue Anticipation Notes | 0.4 | |||||
Tax Anticipation Notes | 0.1 | |||||
Variable Rate Obligations | 93.3 | |||||
† | The funds are actively managed and, as such, their composition may differ over time. The percentage shown for each sector reflects the value of investments in that sector as a percentage of total net assets. Percentage for other assets and liabilities are not shown therefore figures may not sum to 100%. |
2
Sector Allocations†
as of December 31, 2005
Taxable Funds
Prime | Money | Treasury | Treasury | |||||||||||||||||||||||
Security Type | Obligations | Market | Obligations | Instruments | Government | Federal | ||||||||||||||||||||
Bank Notes | 0.9 | % | — | — | — | — | — | |||||||||||||||||||
Certificates of Deposit | 9.2 | 2.1 | % | — | — | — | — | |||||||||||||||||||
Certificates of Deposit — Eurodollar | — | 2.1 | — | — | — | — | ||||||||||||||||||||
Certificates of Deposit — Yankeedollar | — | 4.5 | — | — | — | — | ||||||||||||||||||||
Commercial Paper & Corporate Obligations | 34.7 | 34.0 | — | — | — | — | ||||||||||||||||||||
Master Demand Notes | 1.4 | 0.9 | — | — | — | — | ||||||||||||||||||||
Repurchase Agreements | 23.1 | 28.4 | 91.8 | % | — | 61.9 | % | — | ||||||||||||||||||
Time Deposits | 0.8 | — | — | — | — | — | ||||||||||||||||||||
U.S. Government Agency Obligations | 5.9 | 7.6 | — | — | 38.1 | 110.1 | % | |||||||||||||||||||
U.S. Treasury Obligations | — | — | 8.4 | 100.2 | % | — | — | |||||||||||||||||||
Variable Rate Obligations | 24.0 | 20.4 | — | — | — | — | ||||||||||||||||||||
Tax-Exempt Fund
Tax-Free | ||||||
Security Type | Money Market | |||||
Commercial Paper | 8.8 | % | ||||
Put Bonds | 4.6 | |||||
Revenue Anticipation Notes | 0.5 | |||||
Tax and Revenue Anticipation Notes | 4.5 | |||||
Tax Anticipation Notes | 2.0 | |||||
Variable Rate Obligations | 81.1 | |||||
† | The funds are actively managed and, as such, their composition may differ over time. The percentage shown for each sector reflects the value of investments in that sector as a percentage of total net assets. Percentage for other assets and liabilities are not shown therefore figures may not sum to 100%. |
3
Schedule of Investments
Financial Square Prime Obligations Fund
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Commercial Paper and Corporate Obligations—29.1% | ||||||||||||||
Asset-Backed | ||||||||||||||
Adirondack Corp. | ||||||||||||||
$ | 200,000,000 | 5.30 | % | 08/14/2006 | $ | 198,704,444 | ||||||||
Amstel Funding Corp. | ||||||||||||||
121,803,000 | 4.93 | 07/07/2006 | 121,702,919 | |||||||||||
153,176,000 | 5.14 | 08/30/2006 | 151,865,069 | |||||||||||
Austra Corp. | ||||||||||||||
100,000,000 | 5.27 | 07/18/2006 | 99,751,139 | |||||||||||
Cafco LLC | ||||||||||||||
70,000,000 | 5.05 | 07/28/2006 | 69,734,875 | |||||||||||
100,000,000 | 5.20 | 08/10/2006 | 99,422,222 | |||||||||||
82,822,000 | 5.25 | 08/14/2006 | 82,290,559 | |||||||||||
Cancara Asset Securitization Ltd. | ||||||||||||||
265,405,000 | 5.24 | 07/07/2006 | 265,173,213 | |||||||||||
CC USA, Inc. | ||||||||||||||
30,000,000 | 5.29 | 08/21/2006 | 29,775,388 | |||||||||||
Chariot Funding LLC | ||||||||||||||
100,491,000 | 5.07 | 07/05/2006 | 100,434,390 | |||||||||||
Charta LLC | ||||||||||||||
150,000,000 | 5.19 | 08/08/2006 | 149,178,250 | |||||||||||
Ciesco LLC | ||||||||||||||
140,649,000 | 5.20 | 08/08/2006 | 139,876,993 | |||||||||||
Citibank Credit Card Issuance Trust (Dakota Corp.) | ||||||||||||||
122,000,000 | 5.29 | 08/03/2006 | 121,408,402 | |||||||||||
232,500,000 | 5.29 | 08/17/2006 | 230,894,265 | |||||||||||
Compass Securitization LLC | ||||||||||||||
85,560,000 | 5.05 | 07/18/2006 | 85,355,963 | |||||||||||
Concord Minutemen Capital Co. LLC | ||||||||||||||
150,241,000 | 5.05 | 07/13/2006 | 149,988,094 | |||||||||||
50,927,000 | 5.29 | 08/21/2006 | 50,545,705 | |||||||||||
CRC Funding LLC | ||||||||||||||
150,000,000 | 5.17 | 08/07/2006 | 149,202,958 | |||||||||||
100,000,000 | 5.19 | 08/08/2006 | 99,452,167 | |||||||||||
176,000,000 | 5.20 | 08/08/2006 | 175,033,956 | |||||||||||
80,000,000 | 5.29 | 08/17/2006 | 79,448,011 | |||||||||||
Curzon Funding LLC | ||||||||||||||
75,000,000 | 5.19 | 08/14/2006 | 74,524,708 | |||||||||||
Davis Square Funding III (Delaware) Corp. | ||||||||||||||
200,000,000 | 5.04 | 07/26/2006 | 199,300,000 | |||||||||||
Davis Square Funding IV (Delaware) Corp. | ||||||||||||||
200,000,000 | 5.32 | 08/04/2006 | 198,995,111 | |||||||||||
Davis Square Funding V (Delaware) Corp. | ||||||||||||||
200,000,000 | 5.32 | 08/03/2006 | 199,024,667 | |||||||||||
Davis Square Funding VI (Delaware) Corp. | ||||||||||||||
115,000,000 | 5.33 | 07/26/2006 | 114,574,340 | |||||||||||
Edison Asset Securitization Corp. | ||||||||||||||
150,000,000 | 5.19 | 09/06/2006 | 148,551,125 | |||||||||||
FCAR Owner Trust Series II | ||||||||||||||
150,000,000 | 5.15 | 07/11/2006 | 149,785,417 | |||||||||||
80,000,000 | 5.17 | 07/12/2006 | 79,873,622 | |||||||||||
Fountain Square Commercial Funding Corp. | ||||||||||||||
37,537,000 | 5.29 | 08/21/2006 | 37,255,691 | |||||||||||
50,260,000 | 5.14 | 08/28/2006 | 49,843,791 | |||||||||||
G Street Finance (Delaware) Corp. | ||||||||||||||
140,000,000 | 5.28 | 08/14/2006 | 139,096,533 | |||||||||||
Galleon Capital LLC | ||||||||||||||
162,000,000 | 5.30 | 07/05/2006 | 161,904,600 | |||||||||||
Gemini Securitization Corp. | ||||||||||||||
40,000,000 | 5.20 | 08/10/2006 | 39,768,889 | |||||||||||
15,000,000 | 5.13 | 08/31/2006 | 14,869,613 | |||||||||||
25,000,000 | 5.14 | 09/01/2006 | 24,778,694 | |||||||||||
K2 USA LLC | ||||||||||||||
104,500,000 | 5.34 | 09/20/2006 | 103,244,432 | |||||||||||
Kitty Hawk Funding Corp. | ||||||||||||||
185,000,000 | 5.20 | 07/17/2006 | 184,572,444 | |||||||||||
79,000,000 | 5.24 | 08/01/2006 | 78,643,534 | |||||||||||
KLIO Funding Corp. | ||||||||||||||
40,442,000 | 5.27 | 07/20/2006 | 40,329,622 | |||||||||||
133,738,000 | 5.29 | 07/21/2006 | 133,345,330 | |||||||||||
120,054,000 | 5.29 | 07/24/2006 | 119,648,251 | |||||||||||
60,000,000 | 5.15 | 09/01/2006 | 59,467,833 | |||||||||||
KLIO II Funding Corp. | ||||||||||||||
60,000,000 | 5.15 | 09/01/2006 | 59,467,833 | |||||||||||
KLIO III Funding Corp. | ||||||||||||||
63,411,000 | 5.27 | 07/19/2006 | 63,244,071 | |||||||||||
100,428,000 | 5.29 | 07/21/2006 | 100,132,853 | |||||||||||
100,460,000 | 5.29 | 07/24/2006 | 100,120,473 | |||||||||||
Lake Constance Funding Ltd. | ||||||||||||||
56,000,000 | 5.26 | 07/14/2006 | 55,893,631 | |||||||||||
92,000,000 | 5.15 | 09/05/2006 | 91,131,367 | |||||||||||
Landale Funding Ltd. | ||||||||||||||
125,000,000 | 5.27 | 08/15/2006 | 124,176,563 | |||||||||||
Mane Funding Corp. | ||||||||||||||
100,000,000 | 5.29 | 08/22/2006 | 99,235,889 | |||||||||||
Newport Funding Corp. | ||||||||||||||
75,000,000 | 5.13 | 08/31/2006 | 74,348,063 | |||||||||||
North Sea Funding LLC | ||||||||||||||
44,530,000 | 4.99 | 07/17/2006 | 44,431,242 | |||||||||||
Old Line Funding Corp. | ||||||||||||||
58,895,000 | 5.20 | 08/03/2006 | 58,614,267 | |||||||||||
Park Granada LLC | ||||||||||||||
214,225,000 | 5.06 | 07/13/2006 | 213,863,674 | |||||||||||
9,956,000 | 5.08 | 08/02/2006 | 9,911,043 | |||||||||||
60,000,000 | 5.19 | 08/08/2006 | 59,671,300 | |||||||||||
Ranger Funding Co. LLC | ||||||||||||||
101,889,000 | 5.23 | 08/02/2006 | 101,415,329 | |||||||||||
Scaldis Capital LLC | ||||||||||||||
25,000,000 | 5.01 | 07/25/2006 | 24,916,500 | |||||||||||
Sierra Madre Funding Ltd. | ||||||||||||||
100,000,000 | 5.41 | 09/28/2006 | 98,662,528 |
The accompanying notes are an integral part of these financial statements.
4
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Commercial Paper and Corporate Obligations (continued) | ||||||||||||||
Asset-Backed (continued) | ||||||||||||||
Solitaire Funding LLC | ||||||||||||||
$ | 60,000,000 | 5.05 | % | 08/10/2006 | $ | 59,663,333 | ||||||||
Thames Asset Global Securitization | ||||||||||||||
76,081,000 | 5.20 | 09/07/2006 | 75,333,716 | |||||||||||
Three Pillars Funding LLC | ||||||||||||||
110,980,000 | 5.07 | 07/03/2006 | 110,948,741 | |||||||||||
Three Rivers Funding | ||||||||||||||
104,212,000 | 5.07 | 07/03/2006 | 104,182,647 | |||||||||||
39,756,000 | 5.25 | 07/21/2006 | 39,640,045 | |||||||||||
Ticonderoga Funding LLC | ||||||||||||||
196,815,000 | 5.15 | 07/12/2006 | 196,505,290 | |||||||||||
105,486,000 | 5.31 | 07/28/2006 | 105,065,902 | |||||||||||
Tulip Funding Corp. | ||||||||||||||
100,000,000 | 5.08 | 07/03/2006 | 99,971,778 | |||||||||||
Variable Funding Capital Corp. | ||||||||||||||
50,000,000 | 5.14 | 07/14/2006 | 49,907,194 | |||||||||||
60,000,000 | 5.24 | 07/20/2006 | 59,834,067 | |||||||||||
Business Credit Institution | ||||||||||||||
General Electric Capital Corp. | ||||||||||||||
295,000,000 | 5.19 | 09/06/2006 | 292,150,546 | |||||||||||
Security and Commodity Brokers, Dealers and Services | ||||||||||||||
Bear Stearns & Cos., Inc. | ||||||||||||||
310,000,000 | 5.32 | 07/03/2006 | 309,908,378 | |||||||||||
Total Commercial Paper and Corporate Obligations | $ | 7,882,985,492 | ||||||||||||
Bank Notes—2.4% | ||||||||||||||
Bank of America Corp. | ||||||||||||||
$ | 226,100,000 | 4.22 | % | 08/30/2006 | $ | 226,100,000 | ||||||||
200,000,000 | 5.65 | 06/25/2007 | 200,000,000 | |||||||||||
National City Bank | ||||||||||||||
134,000,000 | 4.79 | 01/16/2007 | 134,000,000 | |||||||||||
100,000,000 | 5.06 | 02/26/2007 | 100,000,000 | |||||||||||
Total Bank Notes | $ | 660,100,000 | ||||||||||||
Certificates of Deposit—7.3% | ||||||||||||||
Bank of New York | ||||||||||||||
$ | 175,000,000 | 4.76 | % | 12/05/2006 | $ | 175,000,000 | ||||||||
170,000,000 | 5.32 | 04/30/2007 | 170,000,000 | |||||||||||
Citibank, N.A. | ||||||||||||||
200,000,000 | 5.20 | 08/31/2006 | 200,000,000 | |||||||||||
National City Bank | ||||||||||||||
250,000,000 | 5.17 | 03/30/2007 | 250,000,000 | |||||||||||
SunTrust Bank | ||||||||||||||
245,000,000 | 4.73 | 11/27/2006 | 245,000,000 | |||||||||||
Wells Fargo Bank | ||||||||||||||
123,000,000 | 4.08 | 07/31/2006 | 123,000,000 | |||||||||||
250,000,000 | 4.80 | 12/27/2006 | 250,000,000 | |||||||||||
272,000,000 | 4.74 | 01/10/2007 | 272,000,000 | |||||||||||
98,000,000 | 4.78 | 01/24/2007 | 97,983,536 | |||||||||||
198,000,000 | 5.06 | 02/26/2007 | 198,000,000 | |||||||||||
Total Certificates of Deposit | $ | 1,980,983,536 | ||||||||||||
Master Demand Note—1.3% | ||||||||||||||
Bank of America Securities LLC | ||||||||||||||
$ | 365,000,000 | 5.38 | % | 07/31/2006 | $ | 365,000,000 | ||||||||
U.S. Government Agency Obligations(a)—1.2% | ||||||||||||||
Asset-Backed | ||||||||||||||
FNMA | ||||||||||||||
$ | 120,000,000 | 5.01 | % | 07/07/2006 | $ | 119,983,764 | ||||||||
200,000,000 | 5.11 | 09/07/2006 | 199,972,399 | |||||||||||
Total U.S. Government Agency Obligations | $ | 319,956,163 | ||||||||||||
Variable Rate Obligations(a)—28.8% | ||||||||||||||
Allstate Life Global Funding II | ||||||||||||||
$ | 50,000,000 | 5.22 | % | 07/17/2006 | $ | 50,000,000 | ||||||||
70,000,000 | 5.27 | 07/17/2006 | 70,000,000 | |||||||||||
50,000,000 | 5.33 | 07/27/2006 | 50,000,000 | |||||||||||
American Express Bank FSB | ||||||||||||||
100,000,000 | 5.11 | 07/10/2006 | 100,000,000 | |||||||||||
American Express Centurion Bank | ||||||||||||||
100,000,000 | 5.10 | 07/05/2006 | 100,000,000 | |||||||||||
125,000,000 | 5.11 | 07/10/2006 | 125,000,000 | |||||||||||
60,000,000 | 5.26 | 07/24/2006 | 60,000,000 | |||||||||||
100,000,000 | 5.28 | 07/26/2006 | 100,000,000 | |||||||||||
American Express Credit Corp. | ||||||||||||||
70,000,000 | 5.23 | 07/05/2006 | 70,000,000 | |||||||||||
100,000,000 | 5.11 | 07/10/2006 | 100,000,000 | |||||||||||
25,000,000 | 5.15 | 07/12/2006 | 25,002,481 | |||||||||||
Bank of America Corp. | ||||||||||||||
250,000,000 | 5.25 | 07/24/2006 | 250,000,000 | |||||||||||
Bank of America NA | ||||||||||||||
200,000,000 | 5.20 | 07/17/2006 | 200,000,000 | |||||||||||
Cancara Asset Securitization Ltd. | ||||||||||||||
300,000,000 | 5.15 | 07/17/2006 | 299,996,271 | |||||||||||
Crown Point Capital Co. LLC | ||||||||||||||
200,000,000 | 5.22 | 09/08/2006 | 199,991,750 | |||||||||||
Eli Lilly Services, Inc. | ||||||||||||||
75,000,000 | 5.08 | 07/03/2006 | 75,000,000 | |||||||||||
Fairway Finance Corp. | ||||||||||||||
120,000,000 | 5.12 | 07/12/2006 | 119,998,578 | |||||||||||
100,000,000 | 5.15 | 07/17/2006 | 99,997,279 |
The accompanying notes are an integral part of these financial statements.
5
Schedule of Investments
Financial Square Prime Obligations Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Variable Rate Obligations(a) (continued) | ||||||||||||||
Fifth Third Bank | ||||||||||||||
$ | 411,280,000 | 5.08 | % | 07/06/2006 | $ | 411,260,562 | ||||||||
General Electric Capital Corp. | ||||||||||||||
225,000,000 | 5.08 | 07/05/2006 | 225,132,229 | |||||||||||
156,000,000 | 5.25 | 07/10/2006 | 156,000,000 | |||||||||||
150,000,000 | 5.46 | 09/29/2006 | 150,000,000 | |||||||||||
Hartford Life Insurance Co.(b) | ||||||||||||||
100,000,000 | 5.24 | 08/01/2006 | 100,000,000 | |||||||||||
J.P.Morgan Chase & Co | ||||||||||||||
100,000,000 | 5.12 | 07/03/2006 | 100,000,000 | |||||||||||
Lehman Brothers Holdings, Inc. | ||||||||||||||
120,000,000 | 5.20 | 08/28/2006 | 120,000,000 | |||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||
145,000,000 | 5.19 | 07/05/2006 | 145,008,755 | |||||||||||
145,000,000 | 5.42 | 07/11/2006 | 145,126,991 | |||||||||||
100,000,000 | 5.18 | 07/17/2006 | 100,000,000 | |||||||||||
91,300,000 | 5.14 | 07/19/2006 | 91,322,568 | |||||||||||
110,000,000 | 5.29 | 07/21/2006 | 110,013,938 | |||||||||||
8,405,000 | 5.28 | 07/27/2006 | 8,410,218 | |||||||||||
60,000,000 | 5.18 | 08/29/2006 | 60,000,000 | |||||||||||
113,000,000 | 5.60 | 09/18/2006 | 113,057,027 | |||||||||||
Metropolitan Life Global Funding I | ||||||||||||||
85,000,000 | 5.44 | 07/28/2006 | 85,000,000 | |||||||||||
Monumental Life Insurance Co.(b) | ||||||||||||||
120,000,000 | 5.26 | 07/03/2006 | 120,000,000 | |||||||||||
55,000,000 | 5.28 | 08/01/2006 | 55,000,000 | |||||||||||
Morgan Stanley | ||||||||||||||
225,000,000 | 5.36 | 07/03/2006 | 225,000,000 | |||||||||||
100,000,000 | 5.37 | 07/03/2006 | 100,000,000 | |||||||||||
25,000,000 | 5.19 | 07/05/2006 | 25,000,000 | |||||||||||
151,042,000 | 5.19 | 07/12/2006 | 151,165,945 | |||||||||||
150,000,000 | 5.41 | 07/27/2006 | 150,000,000 | |||||||||||
National City Bank of Indiana | ||||||||||||||
55,000,000 | 4.98 | 07/05/2006 | 54,999,734 | |||||||||||
New York Life Insurance Co. | ||||||||||||||
25,000,000 | 4.98 | (b) | 10/01/2006 | 25,000,000 | ||||||||||
50,000,000 | 5.05 | (b) | 10/01/2006 | 50,000,000 | ||||||||||
250,000,000 | 5.51 | (b) | 10/01/2006 | 250,000,000 | ||||||||||
Newport Funding Corp. | ||||||||||||||
200,000,000 | 5.09 | 07/03/2006 | 200,000,000 | |||||||||||
Pacific Life Global Funding | ||||||||||||||
100,000,000 | 5.18 | 07/05/2006 | 100,000,000 | |||||||||||
Pacific Life Insurance Co. | ||||||||||||||
50,000,000 | 5.20 | 07/13/2006 | 50,000,000 | |||||||||||
State Street Bank & Trust Co. | ||||||||||||||
44,500,000 | 5.19 | 08/22/2006 | 44,504,960 | |||||||||||
100,000,000 | 5.22 | 09/01/2006 | 100,013,505 | |||||||||||
Suntrust Bank | ||||||||||||||
195,000,000 | 5.10 | 07/10/2006 | 194,988,360 | |||||||||||
245,000,000 | 5.29 | 07/27/2006 | 245,000,000 | |||||||||||
Travelers Insurance Co.(b) | ||||||||||||||
150,000,000 | 5.22 | 07/28/2006 | 150,000,000 | |||||||||||
Union Hamilton Special Funding LLC | ||||||||||||||
155,000,000 | 5.49 | 09/28/2006 | 155,000,000 | |||||||||||
US Bank, NA | ||||||||||||||
133,000,000 | 5.06 | 07/25/2006 | 132,993,595 | |||||||||||
50,000,000 | 5.13 | 07/28/2006 | 50,000,316 | |||||||||||
190,000,000 | 5.28 | 07/31/2006 | 189,990,360 | |||||||||||
Wachovia Asset Securitization, Inc.(b) | ||||||||||||||
171,140,929 | 5.31 | 07/25/2006 | 171,140,929 | |||||||||||
Wachovia Bank NA | ||||||||||||||
125,000,000 | 5.08 | 07/05/2006 | 125,000,000 | |||||||||||
197,500,000 | 5.25 | 09/05/2006 | 197,504,563 | |||||||||||
World Savings Bank FSB | ||||||||||||||
300,000,000 | 5.09 | 07/10/2006 | 299,997,172 | |||||||||||
Total Variable Rate Obligations | $ | 7,827,618,086 | ||||||||||||
Time Deposits—0.9% | ||||||||||||||
J.P. Morgan Chase & Co. | ||||||||||||||
$ | 200,000,000 | 5.25 | % | 07/03/2006 | $ | 200,000,000 | ||||||||
M&I Marshall & Ilsley Bank | ||||||||||||||
40,000,000 | 5.19 | 07/03/2006 | 40,000,000 | |||||||||||
Total Time Deposits | $ | 240,000,000 | ||||||||||||
Total Investments before Repurchase Agreement | $ | 19,276,643,277 | ||||||||||||
Repurchase Agreements-Unaffiliated Issuers(c)—26.3% | ||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||
$ | 225,000,000 | 5.36 | % | 07/03/2006 | $ | 225,000,000 | ||||||||
Maturity Value: $225,100,500 | ||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||
225,000,000 | 5.40 | 07/03/2006 | 225,000,000 | |||||||||||
Maturity Value: $225,101,250 | ||||||||||||||
Repurchase agreements issued by Citigroup Global Markets, Inc., with a total amortized cost of $450,000,000, are collateralized by various corporate issues, 5.33% to 5.35%, due 07/02/2007 to 12/31/2007. The aggregate market value of the collateral was $459,000,000. | ||||||||||||||
Joint Repurchase Agreement Account I | ||||||||||||||
81,500,000 | 4.51 | 07/03/2006 | 81,500,000 | |||||||||||
Maturity Value: $81,530,617 | ||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||
5,816,600,000 | 5.28 | 07/03/2006 | 5,816,600,000 | |||||||||||
Maturity Value: $5,819,157,365 |
The accompanying notes are an integral part of these financial statements.
6
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Repurchase Agreements-Unaffiliated Issuers(c) (continued) | ||||||||||||||
UBS Securities LLC | ||||||||||||||
$ | 25,700,000 | 4.55 | % | 07/03/2006 | $ | 25,700,000 | ||||||||
Maturity Value: $25,709,745 | ||||||||||||||
Collateralized by U.S. Treasury Notes, 4.13%, due 05/15/2015. The aggregate market value of the collateral, including accrued interest, was $26,344,803. | ||||||||||||||
UBS Securities LLC | ||||||||||||||
250,000,000 | 5.25 | 07/03/2006 | 250,000,000 | |||||||||||
Maturity Value: $250,109,375 | ||||||||||||||
Collateralized by Federal Home Loan Mortgage Corp., 5.00% to 7.50%, due 05/01/2007 to 06/01/2036, Federal Home Loan Bank, 8.50%, due 02/01/2008 and Federal National Mortgage Association, 5.00% to 8.25%, due 01/01/2010 to 04/01/2036. The aggregate market value of the collateral, including accrued interest, was $255,002,120. | ||||||||||||||
Wachovia Capital Markets | ||||||||||||||
515,000,000 | 5.38 | 07/03/2006 | 515,000,000 | |||||||||||
Maturity Value: $515,230,892 | ||||||||||||||
Collateralized by various corporate issues, 0.00% to 7.63%, due 07/27/2006 to 05/15/2043. The aggregate market value of the collateral, including accrued interest, was $537,855,936. | ||||||||||||||
Total Repurchase Agreements-Unaffiliated Issuers | $ | 7,138,800,000 | ||||||||||||
Repurchase Agreements-Affiliated Issuers(c)—2.6% | ||||||||||||||
Goldman, Sachs & Co. | ||||||||||||||
$ | 100,000,000 | 5.23 | % | 07/03/2006 | $ | 100,000,000 | ||||||||
Maturity Value: $100,043,583 | ||||||||||||||
Collateralized by Federal National Mortgage Association 4.00% to 6.50%, due 08/01/2018 to 06/01/2036. The aggregate market value of the collateral, including accrued interest, was $103,081,320. | ||||||||||||||
Goldman, Sachs & Co. | ||||||||||||||
600,000,000 | 5.28 | 07/03/2006 | 600,000,000 | |||||||||||
Maturity Value: $600,264,000 | ||||||||||||||
Collateralized by Federal National Mortgage Association 4.50% to 8.50%, due 01/01/2014 to 06/01/2036. The aggregate market value of the collateral, including accrued interest, was $618,808,415. | ||||||||||||||
Total Repurchase Agreements- Affiliated Issuers | $ | 700,000,000 | ||||||||||||
Total Investments—99.9% | $ | 27,115,443,277 | ||||||||||||
Other Assets in Excess of Liabilities—0.1% | $ | 13,104,558 | ||||||||||||
Net Assets—100.0% | $ | 27,128,547,835 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Variable or floating rate security index is based on either U.S. Treasury Bill, LIBOR, or Prime lending rate. | |
(b) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At June 30, 2006, these securities amounted to $921,140,929 or approximately 3.4% of net assets. | |
(c) | Unless noted, all repurchase agreements were entered into on June 30, 2006. Additional information on Joint Repurchase Agreement Accounts I & II appear on page 40-41. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is baed upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
Investment Abbreviations:
FNMA | — | Federal National Mortgage Association | ||
LIBO | R | — London Interbank Offered Rate | ||
The accompanying notes are an integral part of these financial statements.
7
Schedule of Investments
Financial Square Money Market Fund
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Commercial Paper and Corporate Obligations—20.9% | ||||||||||||||
Asset-Backed | ||||||||||||||
Adirondack Corp. | ||||||||||||||
$ | 195,000,000 | 4.94 | % | 07/03/2006 | $ | 194,946,483 | ||||||||
Amstel Funding Corp. | ||||||||||||||
75,000,000 | 5.14 | 08/30/2006 | 74,358,125 | |||||||||||
Aspen Funding Corp. | ||||||||||||||
50,000,000 | 5.13 | 08/31/2006 | 49,565,375 | |||||||||||
Austra Corp. | ||||||||||||||
50,000,000 | 5.27 | 07/18/2006 | 49,875,569 | |||||||||||
Cafco LLC | ||||||||||||||
30,000,000 | 5.05 | 07/28/2006 | 29,886,375 | |||||||||||
Cancara Asset Securitization Ltd. | ||||||||||||||
100,000,000 | 5.24 | 07/07/2006 | 99,912,667 | |||||||||||
Chariot Funding LLC | ||||||||||||||
36,247,000 | 5.07 | 07/05/2006 | 36,226,581 | |||||||||||
Ciesco LLC | ||||||||||||||
50,000,000 | 5.05 | 07/25/2006 | 49,831,667 | |||||||||||
Citibank Credit Card Issuance Trust | ||||||||||||||
110,000,000 | 5.02 | 07/24/2006 | 109,647,206 | |||||||||||
CRC Funding LLC | ||||||||||||||
49,600,000 | 5.20 | 08/03/2006 | 49,363,573 | |||||||||||
50,000,000 | 5.19 | 08/08/2006 | 49,726,083 | |||||||||||
Curzon Funding LLC | ||||||||||||||
50,000,000 | 5.19 | 08/14/2006 | 49,683,139 | |||||||||||
Davis Square Funding VI (Delaware) Corp. | ||||||||||||||
85,000,000 | 5.33 | 07/26/2006 | 84,685,382 | |||||||||||
FCAR Owner Trust Series II | ||||||||||||||
110,000,000 | 5.15 | 07/12/2006 | 109,826,903 | |||||||||||
40,000,000 | 5.17 | 07/12/2006 | 39,936,811 | |||||||||||
Fountain Square Commercial Funding Corp. | ||||||||||||||
56,920,000 | 5.31 | 07/31/2006 | 56,668,129 | |||||||||||
81,400,000 | 5.20 | 08/02/2006 | 81,023,751 | |||||||||||
G Street Finance (Delaware) Corp. | ||||||||||||||
60,000,000 | 5.28 | 08/14/2006 | 59,612,800 | |||||||||||
George Street Finance LLC | ||||||||||||||
48,261,000 | 5.27 | 07/21/2006 | 48,119,703 | |||||||||||
Kittyhawk Funding Corp. | ||||||||||||||
87,454,000 | 5.20 | 07/17/2006 | 87,251,884 | |||||||||||
KLIO Funding Corp. | ||||||||||||||
50,000,000 | 5.27 | 07/20/2006 | 49,861,062 | |||||||||||
30,000,000 | 5.29 | 07/24/2006 | 29,898,608 | |||||||||||
KLIO II Funding Corp. | ||||||||||||||
50,413,000 | 5.29 | 07/20/2006 | 50,272,383 | |||||||||||
KLIO III Funding Corp. | ||||||||||||||
40,000,000 | 5.29 | 07/24/2006 | 39,864,811 | |||||||||||
Nieuw Amsterdam Receivables Corp. | ||||||||||||||
80,336,000 | 5.15 | 07/11/2006 | 80,221,075 | |||||||||||
31,033,000 | 5.32 | 08/01/2006 | 30,890,834 | |||||||||||
Sierra Madre Funding Ltd. | ||||||||||||||
100,000,000 | 5.41 | 09/28/2006 | 98,662,528 | |||||||||||
Solitaire Funding LLC | ||||||||||||||
35,000,000 | 5.05 | 08/10/2006 | 34,803,611 | |||||||||||
Thames Asset Global Securitization | ||||||||||||||
32,276,000 | 5.20 | 08/04/2006 | 32,117,493 | |||||||||||
Thunder Bay Funding, Inc. | ||||||||||||||
60,990,000 | 5.07 | 07/03/2006 | 60,972,821 | |||||||||||
Ticonderoga Funding LLC | ||||||||||||||
75,000,000 | 5.15 | 07/12/2006 | 74,881,979 | |||||||||||
Tulip Funding Corp. | ||||||||||||||
33,000,000 | 5.08 | 07/03/2006 | 32,990,687 | |||||||||||
73,588,000 | 4.93 | 07/10/2006 | 73,497,303 | |||||||||||
Variable Funding Capital Corp. | ||||||||||||||
50,000,000 | 5.14 | 07/14/2006 | 49,907,194 | |||||||||||
40,000,000 | 5.24 | 07/20/2006 | 39,889,378 | |||||||||||
100,000,000 | 5.29 | 07/28/2006 | 99,603,250 | |||||||||||
Commercial Banks | ||||||||||||||
Bank of Ireland | ||||||||||||||
200,000,000 | 5.28 | 08/21/2006 | 198,505,417 | |||||||||||
Barclays Bank PLC | ||||||||||||||
150,000,000 | 5.13 | 08/24/2006 | 148,845,750 | |||||||||||
Security and Commodity Brokers, Dealers and Services | ||||||||||||||
Bear Stearns & Cos., Inc. | ||||||||||||||
150,000,000 | 5.32 | 07/03/2006 | 149,955,667 | |||||||||||
Total Commercial Paper and Corporate Obligations | $ | 2,785,790,057 | ||||||||||||
Certificates of Deposit—1.3% | ||||||||||||||
Alliance & Leicester PLC | ||||||||||||||
$ | 20,000,000 | 5.21 | % | 03/30/2007 | $ | 20,000,718 | ||||||||
Citibank, N.A. | ||||||||||||||
60,000,000 | 5.20 | 08/31/2006 | 60,000,000 | |||||||||||
100,000,000 | 5.40 | 09/20/2006 | 100,000,000 | |||||||||||
Total Certificates of Deposit | $ | 180,000,718 | ||||||||||||
Certificates of Deposit-Eurodollar—3.8% | ||||||||||||||
Alliance & Leicester PLC | ||||||||||||||
$ | 83,000,000 | 4.74 | % | 01/09/2007 | $ | 82,995,777 | ||||||||
22,000,000 | 4.75 | 01/10/2007 | 22,000,000 | |||||||||||
Societe Generale | ||||||||||||||
83,000,000 | 4.75 | 12/04/2006 | 83,000,000 | |||||||||||
144,000,000 | 5.01 | 07/13/2006 | 143,998,377 | |||||||||||
80,000,000 | 5.20 | 03/30/2007 | 80,000,000 | |||||||||||
90,000,000 | 5.33 | 04/27/2007 | 90,000,000 | |||||||||||
Total Certificates of Deposit-Eurodollar | $ | 501,994,154 | ||||||||||||
Certificates of Deposit-Yankeedollar—8.6% | ||||||||||||||
Bank of Nova Scotia | ||||||||||||||
$ | 175,000,000 | 5.33 | % | 08/22/2006 | $ | 175,000,000 | ||||||||
Barclays Bank PLC | ||||||||||||||
75,000,000 | 4.77 | 12/05/2006 | 75,000,000 | |||||||||||
Caylon | ||||||||||||||
$ | 125,000,000 | 5.40 | % | 06/04/2007 | $ | 125,000,000 |
The accompanying notes are an integral part of these financial statements.
8
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Certificates of Deposit-Yankeedollar (continued) | ||||||||||||||
Credit Suisse First Boston, Inc. | ||||||||||||||
$ | 60,000,000 | 4.80 | % | 01/12/2007 | $ | 60,000,000 | ||||||||
30,000,000 | 5.21 | 03/29/2007 | 30,000,000 | |||||||||||
DePfa Bank Europe PLC | ||||||||||||||
100,000,000 | 5.34 | 08/08/2006 | 100,000,000 | |||||||||||
Deutsche Bank AG | ||||||||||||||
65,000,000 | 4.10 | 07/31/2006 | 65,000,000 | |||||||||||
100,000,000 | 4.80 | 01/29/2007 | 100,000,000 | |||||||||||
70,000,000 | 5.09 | 02/27/2007 | 70,000,000 | |||||||||||
HBOS Treasury Services PLC | ||||||||||||||
85,000,000 | 4.82 | 12/27/2006 | 85,000,000 | |||||||||||
Natexis Banques Populaires | ||||||||||||||
33,000,000 | 5.04 | 02/14/2007 | 32,987,924 | |||||||||||
Royal Bank of Canada | ||||||||||||||
55,000,000 | 4.25 | 08/31/2006 | 55,000,000 | |||||||||||
Unicredito Italiano SPA | ||||||||||||||
175,000,000 | 5.33 | 08/22/2006 | 175,000,000 | |||||||||||
Total Certificates of Deposit-Yankeedollar | $ | 1,147,987,924 | ||||||||||||
Master Demand Note—0.7% | ||||||||||||||
Bank of America Securities LLC | ||||||||||||||
$ | 100,000,000 | 5.38 | % | 07/31/2006 | $ | 100,000,000 | ||||||||
U.S. Government Agency Obligation(a)—3.6% | ||||||||||||||
Sovereign | ||||||||||||||
FNMA | ||||||||||||||
$ | 485,000,000 | 5.11 | % | 09/07/2006 | $ | 484,932,521 | ||||||||
Variable Rate Obligations(a)—24.8% | ||||||||||||||
Allstate Life Global Funding II | ||||||||||||||
$ | 30,000,000 | 5.27 | % | 07/17/2006 | $ | 30,000,000 | ||||||||
American Express Bank FSB | ||||||||||||||
39,000,000 | 5.28 | 07/26/2006 | 38,997,194 | |||||||||||
American Express Centurion Bank | ||||||||||||||
50,000,000 | 5.10 | 07/05/2006 | 50,000,000 | |||||||||||
American Express Credit Corp. | ||||||||||||||
74,000,000 | 5.23 | 07/05/2006 | 74,000,000 | |||||||||||
Australia and New Zealand Banking Group Ltd. | ||||||||||||||
32,000,000 | 5.30 | 07/24/2006 | 32,000,000 | |||||||||||
Bank of Ireland | ||||||||||||||
100,000,000 | 5.24 | 07/20/2006 | 100,000,000 | |||||||||||
Bank of Nova Scotia | ||||||||||||||
175,000,000 | 5.21 | 07/21/2006 | 174,950,745 | |||||||||||
50,000,000 | 5.24 | 07/24/2006 | 49,990,973 | |||||||||||
Barclays Bank PLC | ||||||||||||||
70,000,000 | 5.07 | 07/05/2006 | 69,989,513 | |||||||||||
145,000,000 | 5.28 | 07/27/2006 | 144,984,349 | |||||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
101,000,000 | 5.05 | % | 07/03/2006 | 101,067,593 | ||||||||||
Commonwealth Bank of Australia | ||||||||||||||
16,000,000 | 5.29 | 07/24/2006 | 16,000,000 | |||||||||||
Credit Agricole SA | ||||||||||||||
75,000,000 | 5.31 | 07/23/2006 | 75,000,000 | |||||||||||
Credit Suisse First Boston, Inc. | ||||||||||||||
85,000,000 | 5.02 | 07/12/2006 | 84,984,519 | |||||||||||
145,000,000 | 5.14 | 08/18/2006 | 145,000,000 | |||||||||||
200,000,000 | 5.43 | 09/26/2006 | 200,000,000 | |||||||||||
DePfa Bank Europe PLC | ||||||||||||||
50,000,000 | 5.37 | 09/15/2006 | 50,000,000 | |||||||||||
Gemini Securitization Corp. | ||||||||||||||
68,000,000 | 5.09 | 07/03/2006 | 68,000,000 | |||||||||||
General Electric Capital Corp. | ||||||||||||||
75,000,000 | 5.25 | 07/10/2006 | 75,000,000 | |||||||||||
Greenwich Capital Funding Corp. | ||||||||||||||
100,000,000 | 5.13 | 07/11/2006 | 100,000,000 | |||||||||||
HBOS Treasury Services PLC | ||||||||||||||
125,000,000 | 5.12 | 07/10/2006 | 125,000,000 | |||||||||||
75,000,000 | 5.26 | 08/21/2006 | 75,000,000 | |||||||||||
HSH Nordbank AG | ||||||||||||||
82,000,000 | 5.12 | 07/11/2006 | 81,994,962 | |||||||||||
Lehman Brothers Holdings, Inc. | ||||||||||||||
50,000,000 | 5.20 | 08/28/2006 | 50,000,000 | |||||||||||
Metropolitan Life Global Funding I | ||||||||||||||
40,000,000 | 5.26 | 07/16/2006 | 40,000,000 | |||||||||||
Monumental Life Insurance Co.(b) | ||||||||||||||
80,000,000 | 5.26 | 07/03/2006 | 80,000,000 | |||||||||||
Morgan Stanley | ||||||||||||||
25,000,000 | 5.19 | 07/05/2006 | 25,000,000 | |||||||||||
Natexis Banques Populaires | ||||||||||||||
90,000,000 | 5.31 | 07/03/2006 | 90,000,000 | |||||||||||
25,000,000 | 5.18 | 07/17/2006 | 25,000,000 | |||||||||||
National Australia Bank Ltd. | ||||||||||||||
160,000,000 | 5.10 | 07/07/2006 | 160,000,000 | |||||||||||
Nationwide Building Society | ||||||||||||||
100,000,000 | 5.42 | 09/11/2006 | 100,057,687 | |||||||||||
50,000,000 | 5.55 | 09/28/2006 | 50,000,000 | |||||||||||
New York Life Insurance Co.(b) | ||||||||||||||
100,000,000 | 5.51 | 07/01/2006 | 100,000,000 | |||||||||||
25,000,000 | 4.98 | 07/03/2006 | 25,000,000 | |||||||||||
40,000,000 | 5.05 | 07/03/2006 | 40,000,000 | |||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||
119,000,000 | 5.20 | 07/19/2006 | 118,991,976 | |||||||||||
50,000,000 | 5.24 | 07/24/2006 | 49,992,328 | |||||||||||
Skandinaviska Enskilda Banken AB | ||||||||||||||
70,000,000 | 5.09 | 07/05/2006 | 69,993,577 | |||||||||||
140,000,000 | 5.14 | 07/10/2006 | 140,000,000 | |||||||||||
Societe Generale | ||||||||||||||
85,000,000 | 5.08 | 07/03/2006 | 85,000,000 | |||||||||||
Union Hamilton Special Funding LLC | ||||||||||||||
90,000,000 | 5.42 | 09/21/2006 | 90,000,000 |
The accompanying notes are an integral part of these financial statements.
9
Schedule of Investments
Financial Square Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Variable Rate Obligations(a) (continued) | ||||||||||||||
Westpac Banking Corp. | ||||||||||||||
$ | 2,250,000 | 5.34 | % | 09/11/2006 | $ | 2,250,000 | ||||||||
Total Variable Rate Obligations | $ | 3,303,245,416 | ||||||||||||
Time Deposits—20.5% | ||||||||||||||
Danske Bank | ||||||||||||||
$ | 300,000,000 | 5.28 | % | 07/03/2006 | $ | 300,000,000 | ||||||||
Deutsche Bank AG | ||||||||||||||
150,000,000 | 5.31 | 07/03/2006 | 150,000,000 | |||||||||||
Dexia Bank SA | ||||||||||||||
400,000,000 | 5.32 | 07/03/2006 | 400,000,000 | |||||||||||
HSH Nordbank AG | ||||||||||||||
400,000,000 | 5.28 | 07/03/2006 | 400,000,000 | |||||||||||
ING Bank | ||||||||||||||
400,000,000 | 5.31 | 07/03/2006 | 400,000,000 | |||||||||||
KBC Bank | ||||||||||||||
100,000,000 | 5.28 | 07/03/2006 | 100,000,000 | |||||||||||
M&I Marshall & Ilsley Bank | ||||||||||||||
80,000,000 | 5.19 | 07/03/2006 | 80,000,000 | |||||||||||
Rabobank International | ||||||||||||||
500,000,000 | 5.25 | 07/03/2006 | 500,000,000 | |||||||||||
UBS AG | ||||||||||||||
400,000,000 | 5.34 | 07/03/2006 | 400,000,000 | |||||||||||
Total Time Deposits | $ | 2,730,000,000 | ||||||||||||
Total Investments before Repurchase Agreement | $ | 11,233,950,790 | ||||||||||||
Repurchase Agreements-Unaffiliated Issuers(c)—13.6% | ||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||
$ | 175,000,000 | 5.36 | % | 07/03/2006 | $ | 175,000,000 | ||||||||
Maturity Value: $175,078,167 | ||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||
175,000,000 | 5.40 | 07/03/2006 | 175,000,000 | |||||||||||
Maturity Value: $175,078,750 | ||||||||||||||
Repurchase agreements issued by Citigroup Global Markets, Inc., with a total amortized cost of $350,000,000, are collateralized by various corporate issues, 0.00% to 1.00%, due 11/15/2006 to 12/25/2035. The aggregate market value of the collateral, including accrued interest, was $362,441,140. | ||||||||||||||
Joint Repurchase Agreement Account I | ||||||||||||||
58,100,000 | 4.51 | 07/03/2006 | 58,100,000 | |||||||||||
Maturity Value: $58,121,826 | ||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||
905,100,000 | 5.28 | % | 07/03/2006 | 905,100,000 | ||||||||||
Maturity Value: $905,497,942 | ||||||||||||||
UBS Securities LLC | ||||||||||||||
49,200,000 | 4.55 | 07/03/2006 | 49,200,000 | |||||||||||
Maturity Value: $49,218,655 | ||||||||||||||
Collateralized by a U.S. Treasury Note, 4.13%, due 05/15/2015. The aggregate market value of the collateral, including accrued interest, was $50,187,295. | ||||||||||||||
UBS Securities LLC | ||||||||||||||
250,000,000 | 5.25 | 07/03/2006 | 250,000,000 | |||||||||||
Maturity Value: $250,109,375 | ||||||||||||||
Collateralized by Federal Home Loan Mortgage Corp., 4.00% to 8.00%, due 05/01/2010 to 06/01/2036 and Federal National Mortgage Association, 4.50% to 6.50%, due 06/01/2019 to 06/01/2036. The aggregate market value of the collateral, including accrued interest, was $255,327,375. | ||||||||||||||
Wachovia Capital Markets | ||||||||||||||
200,000,000 | 5.38 | 07/03/2006 | 200,000,000 | |||||||||||
Maturity Value: $200,089,667 | ||||||||||||||
Collateralized by various corporate issues, 0.00% to 7.63%, due 07/27/2006 to 05/15/2043. The aggregate market value of the collateral, including accrued interest, was $208,987,709. | ||||||||||||||
Total Repurchase Agreements-Unaffiliated Issuers | $ | 1,812,400,000 | ||||||||||||
Repurchase Agreements-Affiliated Issuers(c)—2.1% | ||||||||||||||
Goldman, Sachs & Co. | ||||||||||||||
$ | 75,000,000 | 5.23 | % | 07/03/2006 | $ | 75,000,000 | ||||||||
Maturity Value: $75,032,688 | ||||||||||||||
Collateralized by FNMA, 5.00% to 7.00%, due 01/01/2033 to 09/01/2035. The aggregate market value of the collateral, including accrued interest, was $77,249,994. |
The accompanying notes are an integral part of these financial statements.
10
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Repurchase Agreements-Affiliated Issuers(c) (continued) | ||||||||||||||
Goldman, Sachs & Co. | ||||||||||||||
$ | 200,000,000 | 5.28 | % | 07/03/2006 | $ | 200,000,000 | ||||||||
Maturity Value: $200,088,000 | ||||||||||||||
Collateralized by Federal National Mortgage Association 4.50% to 8.50%, due 01/01/2014 to 06/01/2036. The aggregate market value of the collateral, including accrued interest, was $205,999,907. | ||||||||||||||
Total Repurchase Agreements- Affiliated Issuers | $ | 275,000,000 | ||||||||||||
Total Investments—99.9% | $ | 13,321,350,790 | ||||||||||||
Other Assets in Excess of Liabilities—0.1% | $ | 17,713,945 | ||||||||||||
Net Assets—100.0% | $ | 13,339,064,735 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Variable or floating rate security is based on the LIBOR rate. | |
(b) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At June 30, 2006, these securities amounted to $245,000,000 or approximately 1.8% of net assets. | |
(c) | Unless noted, all repurchase agreements were entered into on June 30, 2006. Additional information on Joint Repurchase Agreement Accounts I & II appear on page 40-41. |
Interest rates represent either the stated coupon rate, annualized yield on the date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
Investment Abbreviations:
FNMA | — | Federal National Mortgage Association | ||
LIBO | R | — London Interbank Offered Rate | ||
The accompanying notes are an integral part of these financial statements.
11
Schedule of Investments
Financial Square Treasury Obligations Fund
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Repurchase Agreements-Unaffiliated Issuers(a)—100.2% | ||||||||||||||
Bank of America Securities LLC | ||||||||||||||
$ | 174,000,000 | 5.19 | % | 04/24/2007 | $ | 174,000,000 | ||||||||
Maturity Value: $183,156,025 | ||||||||||||||
Dated: 04/24/2006 | ||||||||||||||
Collateralized by U.S. Treasury Notes, 0.88% to 3.88%, due 01/15/2008 to 01/15/2016 and U.S. Treasury STRIPS, 0.00% to 4.50%, due 08/15/2006 to 05/15/2016. The aggregate market value of the collateral, including accrued interest, was $177,480,036. | ||||||||||||||
Joint Repurchase Agreement Account I | ||||||||||||||
5,693,400,000 | 4.51 | 07/03/2006 | 5,693,400,000 | |||||||||||
Maturity Value: $5,695,538,821 | ||||||||||||||
UBS Securities LLC | ||||||||||||||
92,600,000 | 4.55 | 07/03/2006 | 92,600,000 | |||||||||||
Maturity Value: $92,635,111 | ||||||||||||||
Collateralized by U.S. Treasury Notes, 3.38% to 4.25%, due 09/15/2009 to 02/15/2015. The market value, including accrued interest, was $94,902,935. | ||||||||||||||
UBS Securities LLC | ||||||||||||||
82,000,000 | 4.82 | 02/05/2007 | 82,000,000 | |||||||||||
Maturity Value: $85,952,400 | ||||||||||||||
Dated: 02/09/2006 | ||||||||||||||
Collateralized by U.S. Treasury Notes, 3.38% to 3.50%, due 09/15/2009 to 02/15/2010. The aggregate market value of the collateral, including accrued interest, was $83,805,298. | ||||||||||||||
UBS Securities LLC | ||||||||||||||
85,000,000 | 5.08 | 03/26/2007 | 85,000,000 | |||||||||||
Maturity Value: $89,341,989 | ||||||||||||||
Dated: 03/29/2006 | ||||||||||||||
Collateralized by U.S. Treasury STRIPS, 0.00% to 11.75%, due 01/15/2006 to 01/15/2014. The aggregate market value of the collateral, including accrued interest, was $85,935,010. | ||||||||||||||
Total Repurchase Agreements-Unaffiliated Issuers | $ | 6,127,000,000 | ||||||||||||
Total Investments—100.2% | $ | 6,127,000,000 | ||||||||||||
Liabilities In Excess of Other Assets—(0.2)% | $ | (12,163,408 | ) | |||||||||||
Net Assets—100.0% | $ | 6,114,836,592 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Unless noted, all repurchase agreements were entered into on June 30, 2006. Additional information on Joint Repurchase Agreement Account I appears on page 40. |
The accompanying notes are an integral part of these financial statements.
12
Schedule of Investments
Financial Square Treasury Instruments Fund
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
U.S. Treasury Obligations—99.7% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 4,700,000 | 4.58 | % | 07/13/2006 | $ | 4,692,832 | ||||||||
200,000,000 | 4.50 | 07/20/2006 | 199,525,000 | |||||||||||
56,300,000 | 4.62 | 07/20/2006 | 56,162,722 | |||||||||||
118,430,000 | 4.25 | 07/27/2006 | 118,066,486 | |||||||||||
450,000,000 | 4.69 | 07/27/2006 | 448,475,750 | |||||||||||
630,000,000 | 4.71 | 07/27/2006 | 627,859,225 | |||||||||||
450,000,000 | 4.77 | 07/27/2006 | 448,449,750 | |||||||||||
85,000,000 | 4.60 | 08/03/2006 | 84,641,583 | |||||||||||
50,000,000 | 4.64 | 08/03/2006 | 49,787,333 | |||||||||||
24,000,000 | 4.60 | 08/10/2006 | 23,877,467 | |||||||||||
150,000,000 | 4.67 | 08/17/2006 | 149,085,458 | |||||||||||
45,000,000 | 4.68 | 08/17/2006 | 44,725,050 | |||||||||||
73,100,000 | 4.72 | 08/17/2006 | 72,649,542 | |||||||||||
350,000,000 | 4.90 | 09/28/2006 | 345,764,465 | |||||||||||
110,000,000 | 4.96 | 12/14/2006 | 107,486,714 | |||||||||||
Total U.S. Treasury Obligations | $ | 2,781,249,377 | ||||||||||||
Total Investments—99.7% | $ | 2,781,249,377 | ||||||||||||
Other Assets In Excess of Liabilities—0.3% | $ | 8,182,758 | ||||||||||||
Net Assets—100.0% | $ | 2,789,432,135 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
Interest rates represent either the stated coupon rate or the annualized yield on date of purchase for discounted securities.
The accompanying notes are an integral part of these financial statements.
13
Schedule of Investments
Financial Square Government Fund
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
U.S. Government Agency Obligations—27.7% | ||||||||||||||
FFCB(a) | ||||||||||||||
$ | 5,000,000 | 5.26 | % | 07/03/2006 | $ | 4,998,887 | ||||||||
FHLB(a) | ||||||||||||||
115,000,000 | 5.04 | 08/02/2006 | 114,995,666 | |||||||||||
10,000,000 | 5.17 | 07/21/2006 | 9,999,140 | |||||||||||
40,000,000 | 5.38 | 09/29/2006 | 39,989,830 | |||||||||||
39,000,000 | 4.86 | 07/04/2006 | 38,989,150 | |||||||||||
FHLMC | ||||||||||||||
15,000,000 | 4.50 | 04/18/2007 | 14,913,764 | |||||||||||
164,000,000 | 5.35 | (a) | 09/27/2006 | 163,963,034 | ||||||||||
122,000,000 | 5.30 | (a) | 09/22/2006 | 121,959,403 | ||||||||||
40,000,000 | 4.48 | 11/01/2006 | 39,387,733 | |||||||||||
19,555,000 | 4.49 | 11/14/2006 | 19,223,304 | |||||||||||
40,000,000 | 3.75 | 03/15/2007 | 39,625,626 | |||||||||||
26,300,000 | 4.48 | 01/09/2007 | 25,672,307 | |||||||||||
26,773,000 | 4.54 | 01/09/2007 | 26,124,736 | |||||||||||
40,000,000 | 4.75 | 02/16/2007 | 38,786,111 | |||||||||||
FNMA | ||||||||||||||
100,000,000 | 5.11 | (a) | 09/07/2006 | 99,985,654 | ||||||||||
123,000,000 | 5.01 | (a) | 07/07/2006 | 122,985,492 | ||||||||||
58,000,000 | 5.31 | (a) | 09/22/2006 | 57,983,654 | ||||||||||
16,416,000 | 2.63 | 11/15/2006 | 16,290,357 | |||||||||||
122,000,000 | 5.28 | (a) | 09/21/2006 | 121,953,760 | ||||||||||
24,000,000 | 3.63 | 11/17/2006 | 23,901,986 | |||||||||||
9,590,000 | 5.25 | 04/15/2007 | 9,588,474 | |||||||||||
42,000,000 | 3.55 | 01/12/2007 | 41,705,088 | |||||||||||
33,600,000 | 4.00 | 02/28/2007 | 33,384,709 | |||||||||||
Total U.S. Government Agency Obligations | $ | 1,226,407,865 | ||||||||||||
Total Investments before Repurchase Agreement | $ | 1,226,407,865 | ||||||||||||
Repurchase Agreements-Unaffiliated Issuers(b)—66.8% | ||||||||||||||
Joint Repurchase Agreement Account I | ||||||||||||||
$ | 40,900,000 | 4.51 | % | 07/03/2006 | $ | 40,900,000 | ||||||||
Maturity Value: $40,915,364 | ||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||
2,825,000,000 | 5.28 | 07/03/2006 | 2,825,000,000 | |||||||||||
Maturity Value: $2,826,242,058 | ||||||||||||||
UBS Securities LLC | ||||||||||||||
49,900,000 | 4.55 | 07/03/2006 | 49,900,000 | |||||||||||
Maturity Value: $49,918,920 | ||||||||||||||
Dated: 06/30/2006 | ||||||||||||||
Collateralized by U.S. Treasury Note, 4.13%, due 05/15/2015. The aggregate market value of the collateral, including accrued interest, was $51,148,976. | ||||||||||||||
UBS Securities LLC | ||||||||||||||
$ | 48,000,000 | 5.21 | % | 07/21/2006 | $ | 48,000,000 | ||||||||
Maturity Value: $48,020,840 | ||||||||||||||
Dated: 06/21/2006 | ||||||||||||||
Collateralized by Federal Home Loan Mortgage Corp., 5.50% due 01/01/2035 to 03/01/2035 and Federal National Mortgage Association, 5.00% to 6.50%, due 01/01/2035 to 06/01/2036. The aggregate market value of the collateral, including accrued interest, was $48,942,084. | ||||||||||||||
Total Repurchase Agreements- Unaffiliated Issuers | $ | 2,963,800,000 | ||||||||||||
Repurchase Agreements-Affiliated Issuers(b)—5.6% | ||||||||||||||
Goldman, Sachs & Co. | ||||||||||||||
$ | 50,000,000 | 5.23 | % | 07/03/2006 | $ | 50,000,000 | ||||||||
Maturity Value: $50,021,792 | ||||||||||||||
Collateralized by Federal Home Loan Mortgage Corp., 5.00% to 5.50%, due 07/01/2020 to 10/01/2035. The aggregate market value of the collateral, including accrued interest, was $51,499,996. | ||||||||||||||
Goldman, Sachs & Co. | ||||||||||||||
200,000,000 | 5.28 | 07/03/2006 | 200,000,000 | |||||||||||
Maturity Value: $200,088,000 | ||||||||||||||
Collateralized by Federal National Mortgage Association 4.50% to 8.50%, due 01/01/2014 to 06/01/2036. The aggregate market value of the collateral, including accrued interest, was $205,999,907. | ||||||||||||||
Total Repurchase Agreements- Affiliated Issuers | $ | 250,000,000 | ||||||||||||
Total Investments—100.1% | $ | 4,440,207,865 | ||||||||||||
Liabilities In Excess of Other Assets—(0.1)% | $ | (5,593,557 | ) | |||||||||||
Net Assets—100.0% | $ | 4,434,614,308 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Variable or floating rate security index is based on LIBOR rate. | |
(b) | Unless noted, all repurchase agreements were entered into on June 30, 2006. Additional information on Joint Repurchase Agreement Accounts I & II appear on page 40-41. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
The accompanying notes are an integral part of these financial statements.
14
Investment Abbreviations:
FFCB | — | Federal Farm Credit Bank | ||
FHLB | — | Federal Home Loan Bank | ||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||
FNMA | — | Federal National Mortgage Association | ||
LIBOR | — | London Interbank Offered Rate | ||
The accompanying notes are an integral part of these financial statements.
15
Schedule of Investments
Financial Square Federal Fund
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
U.S. Government Agency Obligations—99.0% | ||||||||||||||
FFCB | ||||||||||||||
$ | 39,000,000 | 4.87 | % | 07/03/2006 | $ | 38,989,448 | ||||||||
85,000,000 | 4.97 | (a) | 07/03/2006 | 84,976,084 | ||||||||||
120,000,000 | 5.23 | (a) | 07/03/2006 | 119,974,062 | ||||||||||
85,000,000 | 5.27 | (a) | 07/03/2006 | 84,993,180 | ||||||||||
70,000,000 | 5.04 | (a) | 07/04/2006 | 69,994,751 | ||||||||||
35,000,000 | 5.05 | (a) | 07/04/2006 | 35,004,284 | ||||||||||
148,000,000 | 5.00 | (a) | 07/05/2006 | 147,977,423 | ||||||||||
100,000,000 | 4.87 | 07/06/2006 | 99,932,361 | |||||||||||
40,000,000 | 5.07 | (a) | 07/06/2006 | 40,000,270 | ||||||||||
75,000,000 | 5.00 | (a) | 07/09/2006 | 74,991,992 | ||||||||||
100,000,000 | 5.08 | (a) | 07/11/2006 | 100,000,000 | ||||||||||
85,000,000 | 5.04 | (a) | 07/13/2006 | 84,957,124 | ||||||||||
37,500,000 | 5.15 | (a) | 07/17/2006 | 37,497,064 | ||||||||||
18,000,000 | 5.19 | (a) | 07/17/2006 | 18,002,768 | ||||||||||
56,000,000 | 4.99 | 07/18/2006 | 55,868,042 | |||||||||||
26,000,000 | 5.03 | 07/19/2006 | 25,934,610 | |||||||||||
37,500,000 | 5.17 | (a) | 07/20/2006 | 37,497,345 | ||||||||||
20,000,000 | 5.19 | (a) | 07/23/2006 | 19,997,828 | ||||||||||
110,000,000 | 5.21 | (a) | 07/24/2006 | 109,992,090 | ||||||||||
13,000,000 | 5.28 | (a) | 07/29/2006 | 12,999,394 | ||||||||||
35,000,000 | 5.24 | (a) | 07/30/2006 | 34,997,129 | ||||||||||
80,000,000 | 4.98 | (a) | 07/01/2006 | 79,992,773 | ||||||||||
85,000,000 | 4.98 | (a) | 07/02/2006 | 84,968,592 | ||||||||||
75,000,000 | 5.00 | (a) | 07/01/2006 | 74,989,700 | ||||||||||
175,000,000 | 5.01 | (a) | 07/01/2006 | 174,995,198 | ||||||||||
75,000,000 | 5.04 | (a) | 07/01/2006 | 74,999,781 | ||||||||||
123,900,000 | 5.21 | (a) | 08/02/2006 | 123,844,952 | ||||||||||
FHLB | ||||||||||||||
450,000,000 | 4.99 | (a) | 07/03/2006 | 449,821,178 | ||||||||||
80,000,000 | 4.86 | (a) | 07/04/2006 | 79,977,743 | ||||||||||
56,200,000 | 4.98 | 07/05/2006 | 56,168,903 | |||||||||||
119,813,000 | 4.99 | 07/05/2006 | 119,746,637 | |||||||||||
525,825,000 | 4.99 | 07/05/2006 | 525,533,459 | |||||||||||
8,200,000 | 5.04 | 07/05/2006 | 8,195,413 | |||||||||||
110,200,000 | 5.06 | 07/05/2006 | 110,138,043 | |||||||||||
390,000,000 | 4.87 | (a) | 07/06/2006 | 389,845,604 | ||||||||||
155,471,000 | 5.01 | 07/07/2006 | 155,341,311 | |||||||||||
277,200,000 | 5.01 | 07/07/2006 | 276,968,538 | |||||||||||
342,899,000 | 5.07 | 07/12/2006 | 342,367,792 | |||||||||||
291,900,000 | 5.08 | 07/12/2006 | 291,447,352 | |||||||||||
35,000,000 | 5.14 | 07/14/2006 | 34,935,036 | |||||||||||
27,800,000 | 5.15 | 07/14/2006 | 27,748,350 | |||||||||||
278,000,000 | 4.93 | 07/19/2006 | 277,314,730 | |||||||||||
37,000,000 | 5.08 | 07/19/2006 | 36,906,020 | |||||||||||
125,350,000 | 4.86 | 07/21/2006 | 125,011,555 | |||||||||||
112,500,000 | 5.17 | (a) | 07/21/2006 | 112,493,760 | ||||||||||
187,000,000 | 5.17 | 07/21/2006 | 186,462,894 | |||||||||||
185,290,000 | 5.17 | 07/21/2006 | 184,757,600 | |||||||||||
175,000,000 | 5.19 | 07/28/2006 | 174,319,469 | |||||||||||
285,000,000 | 5.04 | (a) | 08/02/2006 | 284,990,163 | ||||||||||
165,000,000 | 5.07 | 08/09/2006 | 164,093,738 | |||||||||||
141,164,000 | 5.11 | 08/09/2006 | 140,382,540 | |||||||||||
75,000,000 | 5.02 | (a)% | 08/10/2006 | 74,967,904 | ||||||||||
31,250,000 | 5.13 | 08/11/2006 | 31,067,422 | |||||||||||
127,000,000 | 5.14 | 08/11/2006 | 126,255,978 | |||||||||||
34,500,000 | 5.19 | (a) | 09/13/2006 | 34,493,922 | ||||||||||
60,695,000 | 2.95 | 09/14/2006 | 60,494,298 | |||||||||||
45,000,000 | 5.21 | (a) | 09/15/2006 | 44,991,681 | ||||||||||
37,492,000 | 5.25 | 09/22/2006 | 37,038,191 | |||||||||||
75,000,000 | 5.31 | (a) | 09/22/2006 | 74,987,696 | ||||||||||
25,500,000 | 5.28 | 09/27/2006 | 25,170,880 | |||||||||||
150,000,000 | 5.38 | (a) | 09/29/2006 | 149,972,656 | ||||||||||
3,015,000 | 4.50 | 11/02/2006 | 3,012,619 | |||||||||||
2,040,000 | 4.51 | 11/07/2006 | 2,038,433 | |||||||||||
22,385,000 | 4.88 | 11/15/2006 | 22,397,654 | |||||||||||
10,000,000 | 3.38 | 12/15/2006 | 9,943,068 | |||||||||||
12,400,000 | 2.34 | 12/18/2006 | 12,264,720 | |||||||||||
74,200,000 | 3.80 | 12/22/2006 | 73,897,980 | |||||||||||
11,000,000 | 3.03 | 12/29/2006 | 10,912,909 | |||||||||||
40,000,000 | 3.50 | 01/18/2007 | 39,750,297 | |||||||||||
33,000,000 | 4.00 | 01/23/2007 | 32,847,604 | |||||||||||
15,000,000 | 4.63 | 01/23/2007 | 14,991,406 | |||||||||||
28,300,000 | 4.63 | 01/30/2007 | 28,283,440 | |||||||||||
57,335,000 | 4.88 | 02/15/2007 | 57,292,824 | |||||||||||
140,000,000 | 4.89 | 03/05/2007 | 139,738,983 | |||||||||||
41,500,000 | 5.00 | 03/20/2007 | 41,438,011 | |||||||||||
27,040,000 | 4.25 | 04/16/2007 | 26,827,572 | |||||||||||
19,765,000 | 4.00 | 04/25/2007 | 19,566,412 | |||||||||||
42,000,000 | 5.13 | 06/01/2007 | 41,930,228 | |||||||||||
35,700,000 | 4.63 | 07/16/2007 | 35,366,221 | |||||||||||
Total U.S. Government Agency Obligations | $ | 7,775,277,082 | ||||||||||||
Total Investments—99.0% | $ | 7,775,277,082 | ||||||||||||
Other Assets In Excess of Liabilities—1.0% | $ | 74,879,184 | ||||||||||||
Net Assets—100.0% | $ | 7,850,156,266 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
16
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Variable or floating rate security index is based on either LIBOR or Prime lending rate. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for the floating rate securities.
Investment Abbreviations:
FFCB | — | Federal Farm Credit Bank | ||
FHLB | — | Federal Home Loan Bank | ||
The accompanying notes are an integral part of these financial statements.
17
Schedule of Investments
Financial Square Tax-Free Money Market Fund
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Alabama—1.7% | ||||||||||||||
Alabama Housing Finance Authority MF Hsg. VRDN RB Refunding for Rime Village Huntsville Series 1996 B (FNMA) (A-1+) | ||||||||||||||
$ | 11,275,000 | 4.02 | % | 07/06/2006 | $ | 11,275,000 | ||||||||
Birmingham GO VRDN Capital Improvement Series 1998 A (Regions Bank LOC) (A-1/VMIG1) | ||||||||||||||
3,265,000 | 3.98 | 07/06/2006 | 3,265,000 | |||||||||||
Birmingham GO VRDN Capital Improvement Series 2004 A (AMBAC) (Southtrust Bank N.A. SPA) (A-1+/ P-1)(a) | ||||||||||||||
17,910,000 | 4.02 | 07/06/2006 | 17,910,000 | |||||||||||
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1999 B (A-1/ VMIG1) | ||||||||||||||
25,000,000 | 4.03 | 07/03/2006 | 25,000,000 | |||||||||||
Gadsden IDA VRDN PCRB Refunding for Alabama Power Co. Project Series 1994 (A-1) | ||||||||||||||
6,150,000 | 4.03 | 07/03/2006 | 6,150,000 | |||||||||||
Huntsville GO VRDN Warrants Series 2002 G (Regions Bank LOC) (A-1/VMIG1)(a) | ||||||||||||||
9,360,000 | 3.99 | 07/06/2006 | 9,360,000 | |||||||||||
Mobile City IDB VRDN PCRB for Alabama Power Co. Project Series 1993 A (A-1/VMIG1) | ||||||||||||||
5,100,000 | 4.03 | 07/06/2006 | 5,100,000 | |||||||||||
Mobile City IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1994 (A-1) | ||||||||||||||
6,700,000 | 4.03 | 07/03/2006 | 6,700,000 | |||||||||||
Montgomery Waterworks & Sanitary Sewer Board P-Floats-PT-2706 Series 2005 (FSA) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,225,000 | 4.01 | 07/06/2006 | 5,225,000 | |||||||||||
Parrish IDRB VRDN PCRB for Alabama Power Co. Project Series 1994 (A-1) | ||||||||||||||
19,550,000 | 4.03 | 07/03/2006 | 19,550,000 | |||||||||||
University of Alabama VRDN RB Eagle Series 2004-0032 Class A (MBIA) (Citibank N.A. SPA) (A-1+) (b) | ||||||||||||||
11,000,000 | 4.02 | 07/06/2006 | 11,000,000 | |||||||||||
University of Alabama VRDN RB ROCS II-R-2131 Series 2004 (MBIA) (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
5,215,000 | 4.01 | 07/06/2006 | 5,215,000 | |||||||||||
University of Alabama VRDN RB Series 1993 B (A-1+/VMIG1) | ||||||||||||||
8,000,000 | 3.99 | 07/06/2006 | 8,000,000 | |||||||||||
$ | 133,750,000 | |||||||||||||
Alaska—0.9% | ||||||||||||||
ABN AMRO Munitops Certificates Trust VRDN RB for Alaska Non-AMT Series 2006-9 (MBIA) (ABN AMRO Bank N.V. SPA) (F1+)(b) | ||||||||||||||
$ | 8,100,000 | 4.02 | % | 07/06/2006 | $ | 8,100,000 | ||||||||
Alaska Housing Finance Corp. VRDN RB P-Floats-PA 332 Series 1998 (MBIA) (Merrill Lynch Capital Services LOC) (A-1)(b) | ||||||||||||||
6,340,000 | 4.01 | 07/05/2006 | 6,340,000 | |||||||||||
Alaska Housing Finance Corp. VRDN RB Spears Series 2005 DB-163 (FGIC) (Deutsche Bank AG LOC) (F1+)(b) | ||||||||||||||
12,000,000 | 4.00 | 07/06/2006 | 12,000,000 | |||||||||||
Alaska State Housing Finance Corp. VRDN RB for Housing Development Series 2000 B (A-1+/VMIG1) | ||||||||||||||
33,300,000 | 3.97 | 07/05/2006 | 33,300,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Alaska State Housing Finance Corp. Series 2006-22 (MBIA) (US Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
10,030,000 | 4.00 | 07/06/2006 | 10,030,000 | |||||||||||
$ | 69,770,000 | |||||||||||||
Arizona—1.3% | ||||||||||||||
ABN AMRO Munitops Certificate Trust VRDN RB for Arizona Non-AMT Trust Series 2005-54 (FGIC) (ABN AMRO Bank N.V.) (VMIG1)(b) | ||||||||||||||
$ | 13,785,000 | 4.01 | % | 07/06/2006 | $ | 13,785,000 | ||||||||
Arizona School Facilities Board COPS VRDN Series 2006-1298 (FGIC) (JP Morgan Chase Bank LOC) (A-1+)(b) | ||||||||||||||
7,750,000 | 4.01 | 07/06/2006 | 7,750,000 | |||||||||||
Arizona School Facilities Board VRDN COPS Series 2005 (FGIC) (IXIS Municipal Products SPA) (A-1+)(b) | ||||||||||||||
8,975,000 | 4.00 | 07/06/2006 | 8,975,000 | |||||||||||
Arizona State Transportation Board Highway VRDN RB ROCS II-R-4003 (Citigroup Global Markets SPA) (Aa1)(b) | ||||||||||||||
5,155,000 | 4.01 | 07/06/2006 | 5,155,000 | |||||||||||
Arizona State University COPS VRDN P-Floats-PT 2404 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,470,000 | 4.01 | 07/06/2006 | 5,470,000 | |||||||||||
Arizona State University VRDN RB Putters Series 2002-270Z (FGIC) (JP Morgan Chase & Co. SPA) (A-1+)(b) | ||||||||||||||
4,330,000 | 4.01 | 07/06/2006 | 4,330,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Phoenix Civic Improvement Corp. Series 2006-23 (FGIC) (US Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
7,425,000 | 4.00 | 07/06/2006 | 7,425,000 | |||||||||||
Phoenix Civic Improvement Corp. VRDN RB Excise Tax P-Floats-PA-1373 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
9,000,000 | 4.01 | 07/06/2006 | 9,000,000 | |||||||||||
Phoenix Civic Improvement Corp. VRDN RB Excise Tax Putters Series 1374 (MBIA) (JP Morgan Chase & Co.) (A-1+)(b) | ||||||||||||||
5,500,000 | 4.01 | 07/06/2006 | 5,500,000 | |||||||||||
Salt River Agricultural Project CP Series S-B (Bank of America, Citibank N.A., JP Morgan Chase & Co., M&I Bank and Wells Fargo Bank SPA) (A-1+/P-1) | ||||||||||||||
9,000,000 | 3.60 | 07/11/2006 | 9,000,000 | |||||||||||
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Eagle Series 2006-0022 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
6,100,000 | 4.02 | 07/06/2006 | 6,100,000 |
The accompanying notes are an integral part of these financial statements.
18
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Arizona (continued) | ||||||||||||||
Salt River Project Agricultural Improvement & Power District Electrical Systems VRDN RB Eagle Series 2006-0014 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
$ | 10,875,000 | 4.02 | % | 07/06/2006 | $ | 10,875,000 | ||||||||
Salt River Project VRDN RB for Agricultural Improvement & Power District Electrical Systems Series 2005-1076 (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
4,845,000 | 4.01 | 07/06/2006 | 4,845,000 | |||||||||||
Salt River Project VRDN RB for Agricultural Improvement & Power District Electrical Systems Series 2005-1233 (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
5,330,000 | 4.01 | 07/06/2006 | 5,330,000 | |||||||||||
$ | 103,540,000 | |||||||||||||
Arkansas(b)—0.1% | ||||||||||||||
Eclipse Funding Trust VRDN RB for University of Arkansas Solar Eclipse Series 2006-26 (MBIA) (US Bank N.A. SPA) (VMIG1) | ||||||||||||||
$ | 11,360,000 | 4.00 | % | 07/06/2006 | $ | 11,360,000 | ||||||||
California(b)—0.3% | ||||||||||||||
California State Public Works Board Lease VRDN RB P-Floats-PT 3288 Series 2005 (MBIA) (Merrill Lynch Capital Services SPA) (F1+) | ||||||||||||||
$ | 8,315,000 | 4.01 | % | 07/06/2006 | $ | 8,315,000 | ||||||||
California State Public Works Board Lease VRDN RB P-Floats-PT 3289 Series 2005 (MBIA) (Merrill Lynch Capital Services SPA) (A-1) | ||||||||||||||
17,945,000 | 4.01 | 07/06/2006 | 17,945,000 | |||||||||||
$ | 26,260,000 | |||||||||||||
Colorado—4.5% | ||||||||||||||
Adams & Arapahoe Counties Joint School District 28J GO VRDN P-Floats-PT 3367 Series 2006 (MBIA) (Depfa Bank PLC SPA) (F1+)(b) | ||||||||||||||
$ | 4,330,000 | 4.01 | % | 07/06/2006 | $ | 4,330,000 | ||||||||
Arapahoe County Multifamily VRDN RB Refunding for Rent Housing-Hunters Run Series 2001 (FHLMC) (A-1+) | ||||||||||||||
7,030,000 | 3.97 | 07/06/2006 | 7,030,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB for Catholic Health Series 2002 B (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
14,955,000 | 3.98 | 07/05/2006 | 14,955,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB for Catholic Health Series 2004 B-3 (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
38,410,000 | 3.98 | 07/05/2006 | 38,410,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB for Catholic Health Series 2004 B-5 (UBS AG SPA) (A-1+/VMIG1) | ||||||||||||||
16,600,000 | 3.98 | 07/05/2006 | 16,600,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB for Catholic Health Series 2004 B-6 (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
39,300,000 | 4.00 | 07/05/2006 | 39,300,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB for Sisters of Charity Health System Series 2002 (A-1+/VMIG1) | ||||||||||||||
48,200,000 | 3.98 | 07/05/2006 | 48,200,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB Refunding for Catholic Health Series 2004 B-1 (Bayerische Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
32,605,000 | 4.00 | 07/05/2006 | 32,605,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB Refunding for Catholic Health Series 2004 B-2 (Bayerische Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
25,905,000 | 3.98 | 07/05/2006 | 25,905,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB Refunding for Catholic Health Series 2004 B-4 (Wells Fargo Bank N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
25,945,000 | 4.00 | 07/05/2006 | 25,945,000 | |||||||||||
Colorado Housing & Finance Authority CP Series 2006 (SP-1+/MIG1) | ||||||||||||||
1,000,000 | 2.75 | 07/05/2006 | 1,000,000 | |||||||||||
Colorado Springs VRDN RB for Colorado College Project Series 2005 (A-1+/VMIG1) | ||||||||||||||
8,645,000 | 3.97 | 07/06/2006 | 8,645,000 | |||||||||||
Colorado State TRANS General Funding (SP-1+)(a) | ||||||||||||||
13,000,000 | 4.50 | 07/06/2006 | 13,088,010 | |||||||||||
Eclipse Funding Trust VRDN RB for University of Colorado Series 2006-66 (US Bank NA) (FGIC) (VMIG1)(b) | ||||||||||||||
11,160,000 | 4.00 | 07/06/2006 | 11,160,000 | |||||||||||
Northern Colorado Water Conservancy District COPS VRDN P-Floats-PT 1395 (MBIA) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,095,000 | 4.01 | 07/06/2006 | 5,095,000 | |||||||||||
Platte River Power Authority Electric VRDN RB Sub Lien Series 1993 S-1 (JP Morgan Chase & Co. SPA) (A-1+/VMIG1)(a) | ||||||||||||||
14,050,000 | 3.96 | 07/05/2006 | 14,050,000 | |||||||||||
Regional Transportation District COPS VRDN RB P-Floats-PT 2827 Series 2005 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,530,000 | 4.01 | 07/06/2006 | 5,530,000 | |||||||||||
Regional Transportation District Sales Tax VRDN RB P-Floats-PT 1413 Series 2002 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
7,210,000 | 4.01 | 07/06/2006 | 7,210,000 | |||||||||||
Regional Transportation District Sales Tax VRDN RB P-Floats-PT 2184 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
17,080,000 | 4.01 | 07/06/2006 | 17,080,000 |
The accompanying notes are an integral part of these financial statements.
19
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Colorado (continued) | ||||||||||||||
University of Colorado Enterprise Systems VRDN RB P-Floats-PT 2690 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
$ | 7,080,000 | 4.01 | % | 07/06/2006 | $ | 7,080,000 | ||||||||
$ | 343,218,010 | |||||||||||||
Delaware—0.1% | ||||||||||||||
University of Delaware VRDN RB Series 1998 (Bank of America) (A-1+) | ||||||||||||||
$ | 7,550,000 | 3.98 | % | 07/05/2006 | $ | 7,550,000 | ||||||||
Florida—5.4% | ||||||||||||||
ABN AMRO Munitops Certificate Trust VRDN RB for Florida Non-AMT Trust Certificates Series 2006-24 (XLCA) (ABN AMRO Bank N.V.) (VMIG1) | ||||||||||||||
$ | 14,265,000 | 4.01 | % | 07/06/2006 | $ | 14,265,000 | ||||||||
Broward County GO P-Floats-PT 2138 Series 2004 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
13,995,000 | 4.01 | 07/06/2006 | 13,995,000 | |||||||||||
Broward County Housing Finance Authority VRDN MF Hsg. RB for Landings of Inverrary Apartments Series 1985 (FNMA) (VMIG1) | ||||||||||||||
9,600,000 | 3.98 | 07/05/2006 | 9,600,000 | |||||||||||
Broward County Housing Finance Authority VRDN MF Hsg. RB for Sanctuary Apartments Project Series 1985 (FNMA LOC) (VMIG1) | ||||||||||||||
6,000,000 | 3.98 | 07/05/2006 | 6,000,000 | |||||||||||
Broward County Housing Finance Authority VRDN MF Hsg. RB Refunding for Island Club Apartments Series 2001 A (FHLMC LOC) (A-1+) | ||||||||||||||
6,335,000 | 3.97 | 07/06/2006 | 6,335,000 | |||||||||||
Dade County VRDN RB Water & Sewer System (Lloyds TSB Bank PLC SPA) (A-1+/VMIG1)(a) | ||||||||||||||
16,710,000 | 3.95 | 07/05/2006 | 16,710,000 | |||||||||||
Eclipse Funding Trust VRDN COPS for Orange County School Board Series 2006-30 (FGIC) (US Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
8,968,000 | 4.00 | 07/06/2006 | 8,968,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Gainesville Utilities Systems Series 2006-27 (FSA) (US Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
5,000,000 | 4.00 | 07/06/2006 | 5,000,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Miami-Dade County Series 2006-0049 (FSA) (US Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
5,775,000 | 4.00 | 07/06/2006 | 5,775,000 | |||||||||||
Eclipse Funding Trust VRDN RB Solar Eclipse Miami Dade County Transit Sales (XLCA) (U.S. Bank N.A.) (A-1+)(b) | ||||||||||||||
10,000,000 | 3.99 | 07/06/2006 | 10,000,000 | |||||||||||
Florida State Board of Education GO VRDN Eagle Tax-Exempt Trust Series 2001-0901 (Citibank N.A. SPA) (A-1)(b) | ||||||||||||||
26,850,000 | 4.02 | 07/06/2006 | 26,850,000 | |||||||||||
Florida State Board of Education GO VRDN Eagle Tax-Exempt Trust Series 2005-0031 Class A (Citibank N.A. SPA) (A-1+)(a)(b) | ||||||||||||||
15,000,000 | 4.02 | 07/06/2006 | 15,000,000 | |||||||||||
Florida State Board of Education GO VRDN Eagle Tax-Exempt Trust Series 2005-0057 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
6,565,000 | 4.02 | 07/06/2006 | 6,565,000 | |||||||||||
Florida State Board of Education GO VRDN for Municipal Securities Trust Receipts Series 2003-139 (MBIA) (Societe Generale) (A-1+)(b) | ||||||||||||||
9,455,000 | 4.03 | 07/05/2006 | 9,455,000 | |||||||||||
Florida State Board of Education GO VRDN P-Floats-PT 3361 Series 2006 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
10,090,000 | 4.01 | 07/06/2006 | 10,090,000 | |||||||||||
Florida State Board of Education VRDN RB Floaters Series 2006-1316 (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
15,872,000 | 4.01 | 07/06/2006 | 15,872,000 | |||||||||||
Florida State Board of Education VRDN RB Refunding P-Floats-PT 2584 Series 2005 (AMBAC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
6,720,000 | 4.01 | 07/06/2006 | 6,720,000 | |||||||||||
Florida State Board of Public Education VRDN P-Floats-PT 1465 Series 2002 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
8,415,000 | 4.01 | 07/06/2006 | 8,415,000 | |||||||||||
Florida Water & Sewer Systems VRDN RB P-Float-PT 2601 Series 2005 (MBIA) (Merrill Lynch Capital Services SPA)(b) | ||||||||||||||
4,550,000 | 4.01 | 07/06/2006 | 4,550,000 | |||||||||||
Jackson County VRDN PCRB Refunding for Gulf Power Co. Project Series 1997 (A-1/VMIG1) | ||||||||||||||
1,930,000 | 4.07 | 07/03/2006 | 1,930,000 | |||||||||||
Jacksonville Electric Authority CP Series 2000 A (Westdeutsche Landesbank LOC) | ||||||||||||||
17,500,000 | 3.48 | 08/07/2006 | 17,500,000 | |||||||||||
Jacksonville Electric Authority CP Series 2000 S-B (Landesbank Hessen-Thueringen SPA) | ||||||||||||||
41,100,000 | 3.23 | 07/20/2006 | 41,100,000 | |||||||||||
Jacksonville Electric Authority CP Series 2000 S-B (Landesbank Hessen-Thueringen SPA) | ||||||||||||||
20,000,000 | 3.20 | 07/14/2006 | 20,000,000 | |||||||||||
Jacksonville Electric Authority VRDN RB Subordinated Electric System Series 2001 B (Bank of America N.A. SPA) (A-1/VMIG1) | ||||||||||||||
14,500,000 | 4.03 | 07/03/2006 | 14,500,000 | |||||||||||
Kissimmee Utility Authority CP Series 2006 (JP Morgan Chase & Co. SPA) | ||||||||||||||
25,700,000 | 3.53 | 07/19/2006 | 25,700,000 | |||||||||||
Miami Dade County School Board VRDN COPS ROCS II-R-5004 Series 2003 (FGIC) (Citigroup Global Markets SPA) (VMIG1)(b) | ||||||||||||||
6,245,000 | 4.01 | 07/06/2006 | 6,245,000 | |||||||||||
Miami Dade County VRDN RB Eagle Series 2006-0106 Class A (FGIC) (Citibank, N.A.) (A-1+)(b) | ||||||||||||||
4,950,000 | 4.02 | 07/06/2006 | 4,950,000 | |||||||||||
Orlando Utilities Commission Water & Electric VRDN RB Series 2002 A (Bayerische Landesbank SPA) (A-1+/VMIG1)(a) | ||||||||||||||
54,475,000 | 2.11 | 07/05/2006 | 54,475,000 |
The accompanying notes are an integral part of these financial statements.
20
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Florida (continued) | ||||||||||||||
Orlando Utilities Commission Water & Electric VRDN RB Series 2002 B (SunTrust Bank SPA) (A-1+/VMIG1) | ||||||||||||||
$ | 17,110,000 | 3.97 | % | 07/05/2006 | $ | 17,110,000 | ||||||||
Palm Beach County School District CP Series 2005 (Bank of America N.A. LOC) | ||||||||||||||
9,000,000 | 3.60 | 08/07/2006 | 9,000,000 | |||||||||||
$ | 412,675,000 | |||||||||||||
Georgia—3.3% | ||||||||||||||
Albany Dougherty Payroll Development Authority VRDN PCRB for Georgia Power Co. Series 1991 (VMIG1) | ||||||||||||||
$ | 2,120,000 | 4.07 | % | 07/03/2006 | $ | 2,120,000 | ||||||||
Albany Dougherty County Hospital Authority VRDN RANS for Phoebe Putney Memorial Hospital Series 2002 (AMBAC) (Regions Bank SPA) (VMIG1) | ||||||||||||||
31,600,000 | 4.03 | 07/03/2006 | 31,600,000 | |||||||||||
Appling County Development Authority VRDN PCRB Refunding for Georgia Power Co. Pollution Hatch Project Series 1997 (A-1/VMIG1) | ||||||||||||||
1,900,000 | 4.02 | 07/03/2006 | 1,900,000 | |||||||||||
City of Atlanta GO VRDN Floating Rate Receipts Series 1999 SG-123 (Societe Generale LOC) (FGIC) (A-1+)(b) | ||||||||||||||
9,845,000 | 4.00 | 07/06/2006 | 9,845,000 | |||||||||||
Cobb County Hospital Authority VRDN RB for Equipment Pool Project Certificates Series 2006 (SunTrust Bank LOC) (A-1+/VMIG1)(b) | ||||||||||||||
12,500,000 | 3.99 | 07/06/2006 | 12,500,000 | |||||||||||
Cobb County IDA VRDN PCRB for Georgia Power Co. Plant Project Series 1991 (VMIG1) | ||||||||||||||
8,330,000 | 4.02 | 07/03/2006 | 8,330,000 | |||||||||||
Dekalb County Hospital Authority Anticipation Certificates VRDN RB for Dekalb Medical Center, Inc. Project Series 2005 (SunTrust Bank LOC) (VMIG1) | ||||||||||||||
25,000,000 | 3.99 | 07/05/2006 | 25,000,000 | |||||||||||
Dekalb Private Hospital Authority VRDN RB Anticipation Certificates for Childrens’ Health Care System Project Series 1998 B (SunTrust Bank LOC) (A-1+/VMIG1) | ||||||||||||||
10,215,000 | 3.97 | 07/05/2006 | 10,215,000 | |||||||||||
Downtown Smyrna Development Authority VRDN Spears Series 2005 DB-141 (Deutsche Bank AG SPA) (A-1+)(b) | ||||||||||||||
22,685,000 | 4.00 | 07/05/2006 | 22,685,000 | |||||||||||
Fulton County Development Authority VRDN RB for Piedmont Healthcare, Inc. Series 2005 (SunTrust Bank SPA) (A-1+/VMIG1) | ||||||||||||||
15,800,000 | 3.99 | 07/06/2006 | 15,800,000 | |||||||||||
Metropolitan Atlanta Rapid Transit Authority Sales Tax VRDN RB Eagle Series 2002-6022 (MBIA) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
14,760,000 | 4.02 | 07/03/2006 | 14,760,000 | |||||||||||
Private Colleges & University Authority VRDN RB for Emory University Series 2005 B-1 (A-1+/VMIG1)(a) | ||||||||||||||
70,800,000 | 3.43 | 07/06/2006 | 70,800,000 | |||||||||||
Private Colleges & University Facilities VRDN RB for Emory University Series 2000 B (A-1+/VMIG1)(a) | ||||||||||||||
27,390,000 | 3.85 | 07/05/2006 | 27,390,000 | |||||||||||
Savannah Economic Development Authority VRDN PCRB Refunding for Savannah Electric & Power Project Series 1993 (A-1/VMIG1) | ||||||||||||||
2,785,000 | 4.07 | 07/03/2006 | 2,785,000 | |||||||||||
$ | 255,730,000 | |||||||||||||
Hawaii(b)—0.4% | ||||||||||||||
ABN AMRO Munitops Certificate Trust VRDN RB for Hawaii Non-AMT Single Series 2005-37 (FGIC) (ABN AMRO Bank N.V. SPA) (F1+) | ||||||||||||||
$ | 21,040,000 | 4.02 | % | 07/06/2006 | $ | 21,040,000 | ||||||||
Hawaii State GO VRDN P-Floats-PT 3354 Series 2006 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1) | ||||||||||||||
10,705,000 | 3.94 | 07/06/2006 | 10,705,000 | |||||||||||
$ | 31,745,000 | |||||||||||||
Idaho(a)—0.1% | ||||||||||||||
Idaho State TANS Series 2006 (SP-1+/MIG1) | ||||||||||||||
$ | 8,000,000 | 4.50 | % | 06/29/2007 | $ | 8,060,720 | ||||||||
Illinois—13.4% | ||||||||||||||
Chicago Board of Education GO VRDN Merlots Series 2001 A47 (FGIC) (Bank of New York SPA) (A-1) (b) | ||||||||||||||
$ | 9,315,000 | 4.01 | % | 07/05/2006 | $ | 9,315,000 | ||||||||
Chicago Board of Education GO VRDN Merlots Series 2005 A-15 (AMBAC) (Bank of New York SPA) (VMIG1)(b) | ||||||||||||||
8,410,000 | 4.01 | 07/05/2006 | 8,410,000 | |||||||||||
Chicago Board of Education GO VRDN P-Floats-PT-3010 Series 2005 (AMBAC) (Dexia Credit Local SPA) (F1+)(b) | ||||||||||||||
16,505,000 | 4.00 | 07/06/2006 | 16,505,000 | |||||||||||
Chicago Board of Education GO VRDN Series 2005 D-1 (CIFG) (Depfa Bank SPA) (A-1+/VMIG1) | ||||||||||||||
1,600,000 | 4.05 | 07/03/2006 | 1,600,000 | |||||||||||
Chicago Board of Education GO VRDN Series 2005 D-2 (CIFG) (Depfa Bank PLC) (A-1+/VMIG1) | ||||||||||||||
45,915,000 | 4.05 | 07/03/2006 | 45,915,000 | |||||||||||
Chicago GO Tender Notes Series 2005 (Bank of America N.A. LOC) (SP-1+/VMIG1) | ||||||||||||||
22,575,000 | 3.37 | 07/06/2006 | 22,575,000 | |||||||||||
Chicago GO VRDN UBS Municipal CRVS Floaters 2006-1 (FSA) (Landesbank Hessen-Thueringen LOC) (A-1) (b) | ||||||||||||||
20,000,000 | 4.01 | 07/06/2006 | 20,000,000 | |||||||||||
Chicago GO VRDN Eagle Tax-Exempt Trust Series 2001-1301 Class A (FGIC) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
8,910,000 | 4.02 | 07/03/2006 | 8,910,000 | |||||||||||
Chicago GO VRDN Merlots Series 2000 WWW (AMBAC) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
4,000,000 | 4.01 | 07/05/2006 | 4,000,000 |
The accompanying notes are an integral part of these financial statements.
21
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Illinois (continued) | ||||||||||||||
Chicago GO VRDN Merlots Series 2004 B-24 (FSA) (Wachovia Bank N.A. SPA) (FSA) (JPMorgan Chase & Co.) (A-1+)(b) | ||||||||||||||
$ | 8,105,000 | 4.01 | % | 07/06/2006 | $ | 8,105,000 | ||||||||
Chicago GO VRDN Putters Series 2006-1276 (FSA) (JPMorgan Chase & Co.) (A-1+)(b) | ||||||||||||||
24,450,000 | 4.01 | 07/06/2006 | 24,450,000 | |||||||||||
Chicago GO VRDN Putters Series 2006-1278 (A-1+)(b) | ||||||||||||||
13,200,000 | 4.01 | 07/06/2006 | 13,200,000 | |||||||||||
Chicago GO VRDN Series 2002 B (FGIC) (Landesbank-Baden Wurttemberg SPA) (A-1+/VMIG1) | ||||||||||||||
24,500,000 | 3.98 | 07/06/2006 | 24,500,000 | |||||||||||
Chicago GO VRDN Series 2005-1026 (MBIA) (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
2,694,000 | 4.01 | 07/06/2006 | 2,694,000 | |||||||||||
Chicago GO VRDN Series 2005-1075 (FSA) (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
5,495,000 | 4.01 | 07/06/2006 | 5,495,000 | |||||||||||
Chicago GO VRDN Spears Series 2005 DB-158 (FSA) (Deutsche Bank AG SPA) (F1+)(b) | ||||||||||||||
4,800,000 | 4.00 | 07/06/2006 | 4,800,000 | |||||||||||
Chicago GO VRDN Spears Series 2005 DB-171 (FSA) (Deutsche Bank AG SPA) (F1+)(b) | ||||||||||||||
5,295,000 | 4.00 | 07/06/2006 | 5,295,000 | |||||||||||
Chicago Metropolitan Water Reclamation District of Greater Chicago VRDN RB ROCS RR-II-R 1075 Series 2006 (Citigroup) (VMIG1)(b) | ||||||||||||||
4,100,000 | 4.01 | 07/06/2006 | 4,100,000 | |||||||||||
Chicago Park District GO VRDN Series 2006-1223 (FGIC) (JP Morgan Chase & Co. SPA) (F1+)(b) | ||||||||||||||
5,985,000 | 4.01 | 07/06/2006 | 5,985,000 | |||||||||||
Chicago Sales Tax Revenue VRDN P-Floats-PT-2866 Series 2005 (FSA) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,240,000 | 4.01 | 07/06/2006 | 8,240,000 | |||||||||||
Chicago VRDN Merlots Series 2003 A43 (AMBAC) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
8,245,000 | 4.01 | 07/03/2006 | 8,245,000 | |||||||||||
City of Chicago GO VRDN Putters Series 2006-1286 (FSA) (JP Morgan Chase Bank LOC) (A-1+)(b) | ||||||||||||||
14,600,000 | 4.01 | 07/06/2006 | 14,600,000 | |||||||||||
City of Chicago GO VRDN Putters Series 2006-1287 (FSA) (JP Morgan Chase Bank LOC) (A-1+)(b) | ||||||||||||||
6,500,000 | 4.01 | 07/06/2006 | 6,500,000 | |||||||||||
Cook County GO VRDN Capital Improvement Series 2002 B (Landesbank Hessen-Thueringen LOC) (A-1+/VMIG1) | ||||||||||||||
109,400,000 | 3.98 | 07/05/2006 | 109,400,000 | |||||||||||
Cook County GO VRDN P-Floats PT 2637 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,110,000 | 4.01 | 07/06/2006 | 5,110,000 | |||||||||||
Cook County GO VRDN P-Floats-PT 1522 Series 2002 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
8,730,000 | 4.01 | 07/06/2006 | 8,730,000 | |||||||||||
Cook County Munitops Certificate Trust GO VRDN Non-AMT Series 2004-47 (MBIA) (ABN AMRO Bank N.V. SPA) (VMIG1)(b) | ||||||||||||||
14,360,000 | 4.02 | 07/06/2006 | 14,360,000 | |||||||||||
Cook County VRDN RB for Catholic Theological Union Project Series 2005 (Harris Trust & Savings Bank LOC) (VMIG1) | ||||||||||||||
4,500,000 | 3.99 | 07/05/2006 | 4,500,000 | |||||||||||
Du Page County GO VRDN Forest Preservation District P-Floats-PT 3337 Series 2005 (Merrill Lynch Capital Services SPA) (VMIG1)(b) | ||||||||||||||
11,545,000 | 4.01 | 07/06/2006 | 11,545,000 | |||||||||||
Eclipse Funding Trust GO VRDN for Chicago Solar Eclipse Series 2006-3 (FSA) (US Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
6,260,000 | 4.00 | 07/06/2006 | 6,260,000 | |||||||||||
Eclipse Funding Trust GO VRDN for Illinois State Solar Eclipse Series 2006-0005 (AMBAC) (US Bank N.A. SPA) (F1+)(b) | ||||||||||||||
5,000,000 | 4.00 | 07/06/2006 | 5,000,000 | |||||||||||
Evanston GO VRDN Capital Improvement Project Series 2000 D (Bank of America N.A. SPA) (VMIG1) | ||||||||||||||
4,300,000 | 3.98 | 07/06/2006 | 4,300,000 | |||||||||||
Evanston GO VRDN for Recreation Center Project Series 2000 C (Bank of America N.A. SPA) (VMIG1) | ||||||||||||||
5,400,000 | 3.98 | 07/06/2006 | 5,400,000 | |||||||||||
Evanston GO VRDN Maple Street Project Series 2000 A (Bank of America N.A. SPA) (VMIG1) | ||||||||||||||
11,200,000 | 3.98 | 07/06/2006 | 11,200,000 | |||||||||||
Illinois Development Finance Authority VRDN RB for Bradley University Project Series 2002 (FGIC) (National City Bank SPA) (A-1)(a) | ||||||||||||||
15,460,000 | 3.97 | 07/06/2006 | 15,460,000 | |||||||||||
Illinois Finance Authority VRDN RB for Northwestern University Series 2005 B1 (Bank of Nova Scotia SPA) (A-1+/VMIG1) | ||||||||||||||
3,450,000 | 4.03 | 07/03/2006 | 3,450,000 | |||||||||||
Illinois Finance Authority VRDN RB for Resurrection Health Series 2005 C (Lasalle Bank N.A. LOC) (A-1/VMIG1) | ||||||||||||||
16,665,000 | 3.96 | 07/06/2006 | 16,665,000 | |||||||||||
Illinois Health Facilities Authority VRDN RB for Herman M Finch University (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
9,325,000 | 4.00 | 07/05/2006 | 9,325,000 | |||||||||||
Illinois Health Facilities Authority VRDN RB for Little Mary Hospital Series 2001 (U.S. Bank N.A. LOC) (A-1+) | ||||||||||||||
24,000,000 | 4.00 | 07/06/2006 | 24,000,000 | |||||||||||
Illinois Health Facilities Authority VRDN RB for Riverside Health System Series 2002 B (LaSalle Bank N.A. SPA) (A-1/VMIG1) | ||||||||||||||
9,360,000 | 4.00 | 07/06/2006 | 9,360,000 | |||||||||||
Illinois Health Facilities Authority VRDN RB for The Revolving Fund Pooled Finance Program Series 1985 C (JP Morgan Chase & Co. LOC) (A-1+/VMIG1) | ||||||||||||||
59,025,000 | 4.00 | 07/05/2006 | 59,025,000 |
The accompanying notes are an integral part of these financial statements.
22
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Illinois (continued) | ||||||||||||||
Illinois Health Facilities Authority VRDN RB for The Revolving Fund Pooled Finance Program Series 1985 D (JP Morgan Chase & Co. LOC) (A-1+/VMIG1) | ||||||||||||||
$ | 40,425,000 | 4.00 | % | 07/05/2006 | $ | 40,425,000 | ||||||||
Illinois Health System Evanston Hospital CP Series 1992 S-A | ||||||||||||||
8,000,000 | 3.75 | 10/12/2006 | 8,000,000 | |||||||||||
Illinois Health System Evanston Hospital CP Series 1995 S-A | ||||||||||||||
31,000,000 | 3.65 | 10/05/2006 | 31,000,000 | |||||||||||
Illinois Health System Evanston Hospital CP Series 2005 S-A | ||||||||||||||
15,000,000 | 3.41 | 09/07/2006 | 15,000,000 | |||||||||||
45,000,000 | 3.48 | 08/17/2006 | 45,000,000 | |||||||||||
Illinois State GO Eagle Tax-Exempt Trust Series 95C-1305 Class A COPS (FGIC) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
14,850,000 | 4.02 | 07/03/2006 | 14,850,000 | |||||||||||
Illinois State GO VRDN Eagle Tax-Exempt Trust Series 1996-C-1301 Class A (Citibank N.A. SPA) (b) | ||||||||||||||
5,000,000 | 4.02 | 07/03/2006 | 5,000,000 | |||||||||||
Illinois State GO VRDN Eagle Tax-Exempt Trust Series 2005-3002 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
4,000,000 | 4.02 | 07/06/2006 | 4,000,000 | |||||||||||
Illinois State GO VRDN Macon Trust Certificates Series 2006 L (Bank of America N.A. SPA) (VMIG1)(b) | ||||||||||||||
3,500,000 | 4.01 | 07/06/2006 | 3,500,000 | |||||||||||
Illinois State GO VRDN Merlots Series 2002 B05 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
13,320,000 | 4.01 | 07/05/2006 | 13,320,000 | |||||||||||
Illinois State GO VRDN P-Floats-PT 1882 Series 2003 (MBIA) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,550,000 | 4.01 | 07/06/2006 | 8,550,000 | |||||||||||
Illinois State GO VRDN P-Floats-PT 2131 Series 2004 (Merrill Lynch Capital Services SPA) (F1+) (b) | ||||||||||||||
7,685,000 | 4.01 | 07/06/2006 | 7,685,000 | |||||||||||
Illinois State GO VRDN P-Floats-PT Series 2009 (FSA) (Merrill Lynch Capital Services SPA) (A-1) (b) | ||||||||||||||
5,325,000 | 4.01 | 07/06/2006 | 5,325,000 | |||||||||||
Illinois State GO VRDN Putters Series 2004-636 (MBIA) (JP Morgan Chase Bank) (VMIG1)(b) | ||||||||||||||
5,885,000 | 4.01 | 07/06/2006 | 5,885,000 | |||||||||||
Illinois State GO VRDN ROCS II-R-1007 Series 2005 (MBIA) (Citigroup Global Markets SPA) (VMIG1) (b) | ||||||||||||||
5,245,000 | 4.01 | 07/06/2006 | 5,245,000 | |||||||||||
Illinois State GO VRDN Series 2003 B (Depfa Bank PLC SPA) (A-1+/VMIG1) | ||||||||||||||
15,000,000 | 4.01 | 07/05/2006 | 15,000,000 | |||||||||||
Illinois State GO VRDN Series 2005-1024 (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
13,745,000 | 4.01 | 07/06/2006 | 13,745,000 | |||||||||||
Illinois State Sales Tax Revenue VRDN Merlots Series 2001 A-102 (Wachovia Bank N.A. SPA) (A-1+) (b) | ||||||||||||||
20,470,000 | 4.01 | 07/05/2006 | 20,470,000 | |||||||||||
Illinois State Sales Tax Revenue VRDN P-Floats-PT 896 Series 2003 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
7,900,000 | 2.95 | 07/06/2006 | 7,900,000 | |||||||||||
Illinois State Toll Highway Authority VRDN RB Putters Series 2005-963 (FSA) (JP Morgan Chase & Co. SPA) (A-1+/VMIG1)(b) | ||||||||||||||
10,770,000 | 4.01 | 07/06/2006 | 10,770,000 | |||||||||||
Illinois State Toll Highway Authority VRDN RB Putters Series 2006-1355 (FSA) (JP Morgan Chase & Co. SPA) (A-1+)(b) | ||||||||||||||
8,215,000 | 4.01 | 07/06/2006 | 8,215,000 | |||||||||||
Illinois State Toll Highway Authority VRDN RB RCOS RR-II-R-6073 Series 2006 (Citibank, NA) (FSA) (VMIG1)(b) | ||||||||||||||
8,415,000 | 4.01 | 07/06/2006 | 8,415,000 | |||||||||||
Metropolitan Pier & Exposition Authority for Dedicated State Tax P-Floats-PT 1450 Series 2002 (MBIA) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
7,770,000 | 4.01 | 07/15/2006 | 7,770,000 | |||||||||||
Metropolitan Pier & Exposition Authority for Dedicated State Tax Revenue VRDN RB Merlots Series 2000 VV (FGIC) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
6,000,000 | 4.01 | 07/05/2006 | 6,000,000 | |||||||||||
Metropolitan Pier & Exposition Authority for Dedicated State Tax VRDN RB Eagle Tax-Exempt Trust Series 2004-0030 Class A (MBIA) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
6,500,000 | 4.02 | 07/06/2006 | 6,500,000 | |||||||||||
Metropolitan Pier & Exposition Authority Hospitality Facilities VRDN RB Floaters Series 2006-1393 (Morgan Stanley) (VMIG1)(b) | ||||||||||||||
4,450,000 | 4.01 | 07/06/2006 | 4,450,000 | |||||||||||
Metropolitan Pier & Exposition Authority Hospitality Facilities VRDN RB Floaters Series 2006-1394 (Morgan Stanley) (VMIG1)(b) | ||||||||||||||
4,450,000 | 4.01 | 07/06/2006 | 4,450,000 | |||||||||||
Metropolitan Pier & Exposition Authority VRDN RB for Dedicated State Tax Floating Rate Receipts Series 2003 (MBIA) (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
17,500,000 | 4.00 | 07/05/2006 | 17,500,000 | |||||||||||
Metropolitan Pier Exposition Authority VRDN RB Eagle Tax-Exempt Trust Series 2000-1307 Class A (FGIC) (Citibank N.A. SPA) (A-1)(b) | ||||||||||||||
19,205,000 | 4.02 | 07/05/2006 | 19,205,000 | |||||||||||
Regional Transportation Authority GO VRDN Merlots Series 2001 A48 (FSA) (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
4,920,000 | 4.01 | 07/05/2006 | 4,920,000 | |||||||||||
Regional Transportation Authority GO VRDN Merlots Series 2002-41 A (FGIC) (Bank of New York) (VMIG1)(b) | ||||||||||||||
8,420,000 | 4.01 | 07/05/2006 | 8,420,000 | |||||||||||
Regional Transportation Authority GO VRDN P-Floats-PT 2394 Series 2004 (FGIC) (Dexia Credit Local SPA) (A-1)(b) | ||||||||||||||
14,885,000 | 4.00 | 07/06/2006 | 14,885,000 | |||||||||||
Regional Transportation Authority RB Series 2004 A (FSA) (AA) | ||||||||||||||
4,190,000 | 5.00 | 06/01/2007 | 4,237,765 |
The accompanying notes are an integral part of these financial statements.
23
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Illinois (continued) | ||||||||||||||
Regional Transportation Authority VRDN RB P-Floats-PT 2398 Series 2004 (FSA) (Dexia Credit Local SPA) (F1+)(b) | ||||||||||||||
$ | 21,820,000 | 4.00 | % | 07/06/2006 | $ | 21,820,000 | ||||||||
Regional Transportation Authority VRDN RB P-Floats-PT 2886 Series 2005 (MBIA) (Dexia Credit Local)(b) | ||||||||||||||
5,960,000 | 4.00 | 07/06/2006 | 5,960,000 | |||||||||||
Regional Transportation Authority VRDN RB Stars Certificates Series 2003-21 (FGIC) (BNP Paribas SPA) (VMIG1)(b) | ||||||||||||||
5,935,000 | 4.00 | 07/06/2006 | 5,935,000 | |||||||||||
University of Illinois VRDN RB P-Floats-PT 2621 Series 2005 (MBIA) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,850,000 | 4.01 | 07/06/2006 | 8,850,000 | |||||||||||
$ | 1,034,731,765 | |||||||||||||
Indiana—2.8% | ||||||||||||||
ABN AMRO Munitops VRDN RB Non-AMT Trust Certificates (Indiana Bond Bank for Special Program Columbus Learning) Series 2003-21 (MBIA) (ABN AMRO Bank N.V. SPA) (F1+)(b) | ||||||||||||||
$ | 7,020,000 | 4.02 | % | 07/06/2006 | $ | 7,020,000 | ||||||||
ABN AMRO Munitops VRDN RB Non-AMT Trust Certificates (Indiana Transportation Finance Authority) Series 2004-28 (FGIC) (ABN AMRO Bank N.V. SPA) (FSA) (F1+)(b) | ||||||||||||||
24,560,000 | 4.02 | 07/06/2006 | 24,560,000 | |||||||||||
Anderson Industrial School Building Corp. Spears DB-196 Series 2006 (FSA) (Deutsche Bank) (A-1+) (b) | ||||||||||||||
11,010,000 | 4.00 | 07/15/2006 | 11,010,000 | |||||||||||
Carmel Industrial Redevelopment Authority Lease VRDN RB Floaters Series 2006-1275 (A-1)(b) | ||||||||||||||
13,985,000 | 4.01 | 07/06/2006 | 13,985,000 | |||||||||||
Indiana Bond Bank VRDN RB ROCS II-R-1065 Series 2004 (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
5,300,000 | 4.01 | 07/06/2006 | 5,300,000 | |||||||||||
Indiana Health Facilities Financing Authority RB Refunding for Ascension Health Credit GP-A-3 Series 2001 (A-1+/VMIG1) | ||||||||||||||
18,000,000 | 3.35 | 01/30/2007 | 18,000,000 | |||||||||||
Indiana Health Facilities Financing Authority VRDN RB for Acension Health Credit GP-A-4 Series 2001 (A-1+/VMIG1) | ||||||||||||||
25,000,000 | 3.50 | 03/01/2007 | 25,000,000 | |||||||||||
Indiana Health Facility Financing Authority VRDN RB for Ascension Series 2001 A-2 (A-1+/VMIG1) | ||||||||||||||
10,000,000 | 3.62 | 06/01/2007 | 10,000,000 | |||||||||||
Indiana Highway TFA VRDN RB P-Floats-PT 2262 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,145,000 | 4.01 | 07/06/2006 | 5,145,000 | |||||||||||
Indiana State Finance Authority VRDN RB ROCS RR-II-R-6072 Series 2006 (Citibank, N.A.) (VMIG1) (b) | ||||||||||||||
5,295,000 | 4.01 | 07/06/2006 | 5,295,000 | |||||||||||
Indiana TFA Eagle Tax-Exempt Trust VRDN RB Series 2000-1401 (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
19,800,000 | 4.02 | 07/03/2006 | 19,800,000 | |||||||||||
Indiana TFA Eagle Tax-Exempt Trust VRDN RB Series 2000-1401 Class A (Citibank N.A. SPA) (A-1+1) (b) | ||||||||||||||
12,915,000 | 4.02 | 07/03/2006 | 12,915,000 | |||||||||||
Indiana TFA Highway VRDN RB Merlots Series 2004 B-18 (FGIC) (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
5,105,000 | 4.01 | 07/05/2006 | 5,105,000 | |||||||||||
Indiana TFA Highway VRDN RB Series 2004 942 D (FGIC) (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
4,313,500 | 4.01 | 07/06/2006 | 4,313,500 | |||||||||||
Indianapolis Bank Bond Eagle Tax-Exempt Trust Series 2002-1401 Class A (MBIA) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
18,165,000 | 4.02 | 07/03/2006 | 18,165,000 | |||||||||||
Indianapolis Industrial Local Public Improvement Bond Bank VRDN RB Certificates for Macon Trust Series 2006 S (MBIA) (Bank of America N.A. SPA) (A-1+)(b) | ||||||||||||||
4,240,000 | 3.92 | 07/06/2006 | 4,240,000 | |||||||||||
Indianapolis Local Public Improvement Bond Bank VRDN RB for Waterworks Project Series 2005 G3 (MBIA) (Depfa Bank PLC SPA) (A-1+) | ||||||||||||||
18,000,000 | 3.97 | 07/06/2006 | 18,000,000 | |||||||||||
Indianapolis Local Public Improvement Bond Bank VRDN RB Series 2006-3390 (Dexia Credit PLC SPA) (A-1+)(b) | ||||||||||||||
5,195,000 | 4.00 | 07/06/2006 | 5,195,000 | |||||||||||
Noblesville Multi School Building Corp. VRDN RB ROCS RR-II-R-7514 Series 2005 (FGIC) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
5,840,000 | 4.01 | 07/06/2006 | 5,840,000 | |||||||||||
$ | 218,888,500 | |||||||||||||
Iowa—0.4% | ||||||||||||||
Chillicothe City VRDN PCRB Refunding for Midwest Power Systems, Inc. Series 1993 A (A-1/VMIG1) | ||||||||||||||
$ | 2,400,000 | 4.08 | % | 07/05/2006 | $ | 2,400,000 | ||||||||
Eclipse Funding Trust VRDN RB Des Moines Metropolitan Wastewater Series 2006-0084 (MBIA) (US Bank NA LOC) (A-1+)(b) | ||||||||||||||
6,485,000 | 4.00 | 07/06/2006 | 6,485,000 | |||||||||||
Iowa Higher Education Loan Authority VRDN RB for Grinnell Private College Facility (VMIG1) | ||||||||||||||
12,500,000 | 3.97 | 07/06/2006 | 12,500,000 | |||||||||||
Salix City VRDN PCRB for Midwest Power Systems, Inc. Project Series 1993 (A-1/VMIG1) | ||||||||||||||
9,100,000 | 4.08 | 07/05/2006 | 9,100,000 | |||||||||||
$ | 30,485,000 | |||||||||||||
Kansas—1.1% | ||||||||||||||
ABN AMRO Munitops VRDN RB Non-AMT Trust Certificates Series 2004-42 (FSA) (ABN AMRO Bank N.V. SPA) (F1+)(b) | ||||||||||||||
$ | 20,235,000 | 4.01 | % | 07/06/2006 | $ | 20,235,000 | ||||||||
Kansas Development Finance Authority VRDN RB for Sisters of Charity Series 2006 C (JP Morgan Chase Bank SPA) (A-1+/VMIG1) | ||||||||||||||
23,800,000 | 4.03 | 07/03/2006 | 23,800,000 |
The accompanying notes are an integral part of these financial statements.
24
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Kansas (continued) | ||||||||||||||
Kansas Development Finance Authority VRDN RB ROCS RR-II-R 6518 Series 2005 (Citibank N.A. SPA) (VMIG1)(b) | ||||||||||||||
$ | 5,690,000 | 4.01 | % | 07/06/2006 | $ | 5,690,000 | ||||||||
Kansas State Department of Highway Transportation VRDN RB Series 2000 C-2 (Kansas State Pooled Money Investment Board) (A-1+/VMIG1) | ||||||||||||||
10,500,000 | 3.97 | 07/05/2006 | 10,500,000 | |||||||||||
Kansas State Development Finance Authority VRDN RB for Sisters of Charity Series 2006 D (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
20,675,000 | 4.03 | 07/03/2006 | 20,675,000 | |||||||||||
$ | 80,900,000 | |||||||||||||
Kentucky—2.7% | ||||||||||||||
Kentucky Asset/Liability Commission General Funding TRANS Series 2006 (SP-1+/MIG1)(a) | ||||||||||||||
$ | 17,500,000 | 4.50 | % | 06/28/2007 | $ | 17,633,175 | ||||||||
Kentucky Economic Development Finance Authority VRDN RB for Catholic Health Services Series 2004 C (A-1+/VMIG1) | ||||||||||||||
15,800,000 | 3.98 | 07/05/2006 | 15,800,000 | |||||||||||
Kentucky Public Energy Authority VRDN RB Gas Supply Series 2006 A (Societe Generale SPA) (A-1+/VMIG1) | ||||||||||||||
169,900,000 | 4.06 | 07/03/2006 | 169,900,000 | |||||||||||
Kentucky Turnpike Authority Economic Development Road VRDN RB Floaters Series 2006-1374 (Morgan Stanley) (VMIG1)(b) | ||||||||||||||
5,825,000 | 4.01 | 07/06/2006 | 5,825,000 | |||||||||||
Louisville & Jefferson County COPS Eagle Tax-Exempt Trust Series 2001-1701 Class A (MBIA) (Citibank N.A. SPA)(b) | ||||||||||||||
2,500,000 | 4.02 | 07/03/2006 | 2,500,000 | |||||||||||
$ | 211,658,175 | |||||||||||||
Louisiana—1.1% | ||||||||||||||
Louisiana Offshore Terminal Authority Deepwater Port VRDN RB Refunding for First Stage A Loop LLC Series 1992 (SunTrust Bank LOC) (A-1+/VMIG1) | ||||||||||||||
$ | 38,050,000 | 3.99 | % | 07/05/2006 | $ | 38,050,000 | ||||||||
Louisiana Public Facilities Authority VRDN RB for Christus Health Series 2005 Subseries C-2 (AMBAC) (Bank of Nova Scotia SPA) (A-1+/VMIG1)(a) | ||||||||||||||
10,000,000 | 3.96 | 07/05/2006 | 10,000,000 | |||||||||||
Saint James Parish VRDN PCRB Refunding for Occidental Petroleum Series 1996 (Bayerische Landesbank LOC) (P-1) | ||||||||||||||
19,500,000 | 4.00 | 07/05/2006 | 19,500,000 | |||||||||||
South Louisiana Commission Port VRDN RB Refunding for Occidental Petroleum Corp. Series 1996 (Bank of New York LOC) (P-1) | ||||||||||||||
16,600,000 | 4.00 | 07/05/2006 | 16,600,000 | |||||||||||
$ | 84,150,000 | |||||||||||||
Maryland—0.5% | ||||||||||||||
John Hopkins University Health System CP Series 2005 (SunTrust Bank SPA) | ||||||||||||||
$ | 15,200,000 | 3.70 | % | 07/21/2006 | $ | 15,200,000 | ||||||||
Maryland State Department of Transportation VRDN RB P-Floats-PT 1259 Series 2004 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
11,100,000 | 4.01 | 07/06/2006 | 11,100,000 | |||||||||||
University of Maryland System Auxiliary Facility & Tuition VRDN P-Floats-PT 428 Series 2000 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
9,875,000 | 4.01 | 04/01/2008 | 9,875,000 | |||||||||||
$ | 36,175,000 | |||||||||||||
Massachusetts—3.7% | ||||||||||||||
Eclipse Funding Trust VRDN RB for Massachusetts State School Building Solar Eclipse Series 2005-0003 (FSA) (U.S. Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
$ | 23,375,000 | 3.99 | % | 07/06/2006 | $ | 23,375,000 | ||||||||
Massachusetts Bay Transportation Authority Special Assessment VRDN ROCS RR-II-R 507 Series 2006 (Citibank N.A. SPA) (VMIG1)(b) | ||||||||||||||
3,955,000 | 4.01 | 07/06/2006 | 3,955,000 | |||||||||||
Massachusetts Bay Transportation Authority VRDN RB Putters Series 2005-1062 (JP Morgan Chase & Co. SPA) (A-1)(b) | ||||||||||||||
12,380,000 | 3.60 | 08/24/2006 | 12,380,000 | |||||||||||
Massachusetts Bay Transportation Authority VRDN TRANS Merlots Series 2004 B (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
20,000 | 4.00 | 07/05/2006 | 20,000 | |||||||||||
Massachusetts Development Finance Agency VRDN RB Refunding for Phillips Academy (Bank of New York SPA) (A-1+/VMIG1) | ||||||||||||||
35,910,000 | 3.97 | 07/06/2006 | 35,910,000 | |||||||||||
Massachusetts Development Finance Agency VRDN RB ROCS RR-II-R 563 Series 2006 (Citibank NA) (A-1+/VMIG1)(b) | ||||||||||||||
4,910,000 | 4.01 | 07/06/2006 | 4,910,000 | |||||||||||
Massachusetts Port Authority VRDN RB Transportation Receipts-SGB Series 2005 59-A-1 (AMBAC) (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
15,000,000 | 4.01 | 07/06/2006 | 15,000,000 | |||||||||||
Massachusetts State GO VRDN Merlots Series 2004 B12 (AMBAC) (Wachovia Bank N.A. SPA) (A-1)(b) | ||||||||||||||
14,855,000 | 4.00 | 07/05/2006 | 14,855,000 | |||||||||||
Massachusetts State GO VRDN Putters Series 2004-449 (AMBAC) (JP Morgan Chase & Co. SPA) (A-1+) (b) | ||||||||||||||
5,090,000 | 3.96 | 07/06/2006 | 5,090,000 | |||||||||||
Massachusetts State GO VRDN Refunding Series 1998 A (Westdeutsche Landesbank AG SPA) (A-1+/VMIG1)(a) | ||||||||||||||
39,350,000 | 3.94 | 07/06/2006 | 39,350,000 | |||||||||||
Massachusetts State GO VRDN Series 1998 B (Depfa Bank PLC SPA) (A-1+/VMIG1) (A-1+/VMIG1)(a) | ||||||||||||||
39,300,000 | 3.94 | 07/06/2006 | 39,300,000 |
The accompanying notes are an integral part of these financial statements.
25
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Massachusetts (continued) | ||||||||||||||
Massachusetts State GO VRDN Stars Certificates Series 2003-25 (MBIA) (BNP Paribas SPA) (VMIG1) (b) | ||||||||||||||
$ | 8,000,000 | 3.99 | % | 07/06/2006 | $ | 8,000,000 | ||||||||
Massachusetts State GO VRDN Stars Certificates Series 2003-26 (BNP Paribas SPA) (VMIG1)(b) | ||||||||||||||
10,925,000 | 3.99 | 07/06/2006 | 10,925,000 | |||||||||||
Massachusetts State Health & Educational Facilities Authority VRDN RB Eagle Tax-Exempt Trust Series 2005-3012 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
17,090,000 | 4.02 | 07/06/2006 | 17,090,000 | |||||||||||
Massachusetts State Health & Educational Facilities Authority VRDN RB PA-973 Series 2005 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
12,495,000 | 3.99 | 07/06/2006 | 12,495,000 | |||||||||||
Massachusetts State Special Obligation Dedicated Tax VRDN RB Eagle Series 2006-0011 Class A (FGIC) (Citibank N.A. SPA) (A-1+)(a)(b) | ||||||||||||||
8,400,000 | 4.02 | 07/06/2006 | 8,400,000 | |||||||||||
Massachusetts State Special Obligation Dedicated Tax VRDN RB Merlots Series 2004 B19 (FGIC) (Wachovia Bank N.A. SPA) (A-1)(b) | ||||||||||||||
9,930,000 | 4.00 | 07/05/2006 | 9,930,000 | |||||||||||
Massachusetts Water Resources Authority CP Series 1999 (State Street Bank LOC) (A-1+) | ||||||||||||||
23,500,000 | 3.60 | 07/20/2006 | 23,500,000 | |||||||||||
$ | 284,485,000 | |||||||||||||
Michigan—4.1% | ||||||||||||||
ABN AMRO Munitops Certificates VRDN RB Non-AMT Series 2003-35 (MBIA) (ABN AMRO Bank N.V. SPA) (VMIG1)(b) | ||||||||||||||
$ | 7,900,000 | 4.01 | % | 07/06/2006 | $ | 7,900,000 | ||||||||
City of Detroit CP Series 2006 (SP-1+) | ||||||||||||||
5,800,000 | 4.50 | 03/01/2007 | 5,828,987 | |||||||||||
Detroit Sewer Disposal VRDN RB ROCS RR-II-R-103 Series 2001 (FGIC) (Citigroup Global Markets SPA) (VMIG1)(b) | ||||||||||||||
6,495,000 | 4.01 | 07/06/2006 | 6,495,000 | |||||||||||
Detroit Water Supply System VRDN RB Merlots Series 2003 B24 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
4,500,000 | 4.01 | 07/06/2006 | 4,500,000 | |||||||||||
Detroit City School District GO VRDN Spears Series 2005-182 (FSA) (Deutsche Bank AG SPA) (F1+) (b) | ||||||||||||||
5,775,000 | 4.00 | 07/06/2006 | 5,775,000 | |||||||||||
Detroit City School District VRDN RB Putters Series 2006-1311 (FSA/Q-SBLF) (JP Morgan Chase & Co.) (A-1+)(b) | ||||||||||||||
8,500,000 | 4.01 | 07/06/2006 | 8,500,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Michigan State Building Authority Series 2006-0021 (AMBAC) (US Bank N.A. SPA) (F1+)(b) | ||||||||||||||
4,675,000 | 3.99 | 07/06/2006 | 4,675,000 | |||||||||||
Grosse Pointe Public School Systems GO VRDN Series 1085 (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
5,450,000 | 4.01 | 07/06/2006 | 5,450,000 | |||||||||||
Michigan Municipal Bond Authority VRDN P-Floats-PT 396 Series 2000 (BNP Paribas SPA) (A-1+)(b) | ||||||||||||||
17,350,000 | 2.95 | 07/20/2006 | 17,350,000 | |||||||||||
Michigan State Building Authority VRDN RB Eagle Tax-Exempt Trust Series 2001-2204 Class A (Citibank N.A. SPA) (A-1+)(a)(b) | ||||||||||||||
16,000,000 | 4.02 | 07/05/2006 | 16,000,000 | |||||||||||
Michigan State Building Authority VRDN RB for Multi-Modal Facilities Program II Series 2005 A (Depfa Bank PLC LOC) (A-1+/VMIG1) | ||||||||||||||
94,800,000 | 3.98 | 07/06/2006 | 94,800,000 | |||||||||||
Michigan State Building Authority VRDN RB Merlots Series 2004 B10 (MBIA) (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
7,990,000 | 4.01 | 07/05/2006 | 7,990,000 | |||||||||||
Michigan State Building Authority VRDN RB ROCS RR-II-R-2111 Series 2004 (MBIA-IBC) (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
5,165,000 | 4.01 | 07/06/2006 | 5,165,000 | |||||||||||
Michigan State Hospital Finance Authority VRDB RB Floaters Series 2006-1308 (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
4,980,000 | 4.01 | 07/06/2006 | 4,980,000 | |||||||||||
Michigan State Hospital Finance Authority VRDN RB for Ascension Health Credit Series 1999 B (A-1+)(a) | ||||||||||||||
24,000,000 | 3.95 | 07/05/2006 | 24,000,000 | |||||||||||
Michigan State Hospital Finance Authority VRDN RB for Henry Ford Health Series 2006 C (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
35,000,000 | 4.00 | 07/05/2006 | 35,000,000 | |||||||||||
Michigan State Hospital Finance Authority VRDN RB Merlots Series 1999 K (MBIA) (Wachovia Bank SPA) (VMIG1)(b) | ||||||||||||||
5,000,000 | 4.01 | 07/05/2006 | 5,000,000 | |||||||||||
Michigan State Trunk Line Fund Series 1998 A Eagle Tax-Exempt Trust Series 1998-2202 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
30,165,000 | 4.02 | 07/03/2006 | 30,165,000 | |||||||||||
Michigan State University VRDN RB General Series 2003 A (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
3,855,000 | 3.97 | 07/05/2006 | 3,855,000 | |||||||||||
Michigan State University VRDN RB Series 2005 (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
21,150,000 | 3.97 | 07/05/2006 | 21,150,000 | |||||||||||
$ | 314,578,987 | |||||||||||||
Minnesota—1.1% | ||||||||||||||
Elk River Independent School District #728 GO VRDN ROCS RR-II-R 183 (FSA) (Citigroup Global Markets SPA) (VMIG1)(b) | ||||||||||||||
$ | 9,175,000 | 4.01 | % | 07/06/2006 | $ | 9,175,000 | ||||||||
Minnesota State GO VRDN Eagle Tax-Exempt Trust Series 2001-2301 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
3,300,000 | 4.02 | 07/06/2006 | 3,300,000 |
The accompanying notes are an integral part of these financial statements.
26
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Minnesota (continued) | ||||||||||||||
Rochester Health Care Facilities VRDN RB ROCS RR-II-R 568 Series 2006 (Citigroup Global Markets LOC) (VMIG1)(b) | ||||||||||||||
$ | 5,500,000 | 4.01 | % | 07/07/2006 | $ | 5,500,000 | ||||||||
University of Minnesota VRDN RB ROCS RR-II-R 29 Series 2000 (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
7,165,000 | 4.01 | 07/06/2006 | 7,165,000 | |||||||||||
University of Minnesota VRDN RB Series 1999 A (Landesbank Hessen-Thueringen SPA) (A-1/VMIG1) | ||||||||||||||
47,315,000 | 3.95 | 07/05/2006 | 47,315,000 | |||||||||||
University of Minnesota VRDN RB Series 2001 C (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
9,650,000 | 3.95 | 07/05/2006 | 9,650,000 | |||||||||||
$ | 82,105,000 | |||||||||||||
Mississippi—0.7% | ||||||||||||||
Jackson County Port Facilities VRDN RB Refunding for Chevron USA, Inc. Project Series 1993 (A-1+/P-1) | ||||||||||||||
$ | 8,700,000 | 4.04 | % | 07/03/2006 | $ | 8,700,000 | ||||||||
Mississippi Development Bank Special Obligation VRDN Merlots Series 2000 HH (AMBAC) (Wachovia Bank) (VMIG1) | ||||||||||||||
1,000,000 | 2.83 | 07/19/2006 | 1,000,000 | |||||||||||
Mississippi State GO VRDN for Capital Improvements Series 2003 E (Dexia Credit Local SPA) (A-1+/VMIG1) | ||||||||||||||
26,465,000 | 3.98 | 07/05/2006 | 26,465,000 | |||||||||||
Mississippi State GO VRDN Merlots Series 2003 B08 (FSA) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
15,595,000 | 4.01 | 07/05/2006 | 15,595,000 | |||||||||||
$ | 51,760,000 | |||||||||||||
Missouri—2.1% | ||||||||||||||
Bi-State Development Agency of Missouri and Illinois Metropolitan District VRDN RB for Mass Transit Metrolink Series 2005 Subseries A (JP Morgan Chase Bank LOC) (A-1+/VMIG1)(a) | ||||||||||||||
$ | 21,500,000 | 3.98 | % | 07/05/2006 | $ | 21,500,000 | ||||||||
Bi-State Development Agency of Missouri and Illinois Metropolitan District VRDN RB for Metrolink Cross County Project Series 2002 A (FSA) (Westdeutsche Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
9,000,000 | 4.00 | 07/05/2006 | 9,000,000 | |||||||||||
Kansas City IDA VRDN RB for Kansas City Downtown Arena Project Series 2005 C (AMBAC) (Dexia Credit Local SPA) (A-1+/VMIG1) | ||||||||||||||
6,265,000 | 3.99 | 07/05/2006 | 6,265,000 | |||||||||||
Kansas City IDA VRDN RB for Kansas City Downtown Redevelopment Series 2005 A (AMBAC) (Depfa Bank PLC SPA) (A-1+/VMIG1) | ||||||||||||||
39,000,000 | 3.99 | 07/05/2006 | 39,000,000 | |||||||||||
Missouri Board Public Buildings VRDN RB P-Floats-PT 1843 Series 2003 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
6,880,000 | 4.00 | 07/06/2006 | 6,880,000 | |||||||||||
Missouri State Environmental Improvement & Energy Resources Authority Water Pollution VRDN RB P-Floats-PT 3427 Series 2006 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
12,000,000 | 4.01 | 07/03/2006 | 12,000,000 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB Floaters Series 2005 1049 (Bank of Nova Scotia and JP Morgan Chase LOC) (A-1+/VMIG1) | ||||||||||||||
25,200,000 | 4.03 | 07/03/2006 | 25,200,000 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB for Floaters Series 2005 1049 (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
16,185,500 | 4.01 | 07/06/2006 | 16,185,500 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB for Medical Research Facilities-Stowers Institute (MBIA) (BNP Paribas SPA) (A-1+/VMIG1) | ||||||||||||||
5,025,000 | 3.98 | 07/06/2006 | 5,025,000 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB for SSM Health Care Series 2005 C-5 (FGIC) (U.S. Bank N.A. SPA) (A-1+) | ||||||||||||||
4,300,000 | 3.99 | 07/05/2006 | 4,300,000 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB for Washington University Project Series 1984 (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
7,450,000 | 3.98 | 07/05/2006 | 7,450,000 | |||||||||||
Missouri State Highways & Transit Commission State Road VRDN RB Third Lien Series 2005 B-1 (State Street Bank Corp.) (A-1+/VMIG1) | ||||||||||||||
6,200,000 | 3.95 | 07/05/2006 | 6,200,000 | |||||||||||
$ | 159,005,500 | |||||||||||||
Montana—0.3% | ||||||||||||||
Montana Facilities Finance Authority VRDN RB Refunding for Sisters Charity Health System Series 2003 (A-1+/VMIG1) | ||||||||||||||
$ | 5,000,000 | 3.98 | % | 07/05/2006 | $ | 5,000,000 | ||||||||
Montana Facilities Finance Authority VRDN RB Refunding for Sisters Charity Health System Series 2006 A (JP Morgan Chase Bank NA) (A-1+/VMIG1) | ||||||||||||||
17,800,000 | 4.03 | 07/03/2006 | 17,800,000 | |||||||||||
$ | 22,800,000 | |||||||||||||
Nebraska—0.3% | ||||||||||||||
American Public Energy Agency VRDN RB for Nebraska Gas Supply Series 2005 A (Societe Generale SPA) (A-1+/VMIG1) | ||||||||||||||
$ | 3,100,000 | 3.99 | % | 07/06/2006 | $ | 3,100,000 | ||||||||
Douglas County School District GO VRDN P-Floats-PT 2060 No. 1 Series 2003 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
6,645,000 | 4.01 | 07/06/2006 | 6,645,000 | |||||||||||
Omaha GO VRDN Eagle Tax-Exempt Trust Series 2004-011 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
5,995,000 | 4.02 | 07/06/2006 | 5,995,000 |
The accompanying notes are an integral part of these financial statements.
27
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Nebraska (continued) | ||||||||||||||
Omaha GO VRDN Stars Certificates Series 2004-98 (BNP Paribas SPA) (VMIG1)(b) | ||||||||||||||
$ | 10,085,000 | 3.93 | % | 07/03/2006 | $ | 10,085,000 | ||||||||
$ | 25,825,000 | |||||||||||||
Nevada—2.0% | ||||||||||||||
Clark County Airport VRDN RB Spears Series 2005-180 (AMBAC) (Deutsche Bank AG SPA) (F1+)(b) | ||||||||||||||
$ | 3,440,000 | 4.01 | % | 07/06/2006 | $ | 3,440,000 | ||||||||
Clark County Airport VRDN RB Sub Lien Series 2001 C (FGIC) (Landesbank Baden-Wurttemburg SPA) (A-1+/VMIG1)(a) | ||||||||||||||
11,175,000 | 3.96 | 07/05/2006 | 11,175,000 | |||||||||||
Clark County Airport VRDN RB Sub Lien Series 2005 D-1 (FGIC) (Bayerische Landesbank and Landesbank-Baden Wurttemberg SPA) (A-1+/VMIG1)(a) | ||||||||||||||
7,500,000 | 3.97 | 07/05/2006 | 7,500,000 | |||||||||||
Clark County Airport VRDN RB Sub Lien Series 2005 D-1 (FGIC) (Bayerische Landesbank and Landesbank-Baden Wurttemberg SPA) (A-1+/VMIG1) | ||||||||||||||
20,000,000 | 3.97 | 07/06/2006 | 20,000,000 | |||||||||||
Clark County Airport VRDN RB Subseries 2005 E-1 (FGIC) (Bayerische Landesbank and Landesbank-Baden) (A-1+/VMIG1) | ||||||||||||||
17,500,000 | 3.97 | 07/05/2006 | 17,500,000 | |||||||||||
Clark County GO VRDN Floaters Series 2006-1282 (FGIC) (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
7,000,000 | 4.01 | 07/06/2006 | 7,000,000 | |||||||||||
Clark County School District GO VRDN P-Floats-PT 2406 (MBIA) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,895,000 | 4.01 | 07/06/2006 | 5,895,000 | |||||||||||
Clark County School District GO VRDN P-Floats-PT 3404 Series 2006 (FGIC) (Merrill Lynch Capital Services LOC) (F1+)(b) | ||||||||||||||
22,800,000 | 4.01 | 07/06/2006 | 22,800,000 | |||||||||||
Clark County School District GO VRDN Putters Series 2005-1157 (FSA) (JP Morgan Chase & Co. SPA) (F1+)(b) | ||||||||||||||
17,420,000 | 4.01 | 07/06/2006 | 17,420,000 | |||||||||||
Clark County VRDN Eagle Tax-Exempt Trust Series 2000-2801 Class A (Citibank N.A. SPA)(b) | ||||||||||||||
1,000,000 | 4.02 | 07/03/2006 | 1,000,000 | |||||||||||
Clark County VRDN RB for Airport Series 2006 C (FGIC) (Landesbank and Landesbank-Baden) (A-1+/VMIG1) | ||||||||||||||
10,600,000 | 3.96 | 07/06/2006 | 10,600,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Las Vegas Series 2006-0083 (XLCA) (U.S. Bank N.A.) (A-1+)(b) | ||||||||||||||
8,310,000 | 4.00 | 07/06/2006 | 8,310,000 | |||||||||||
Las Vegas Valley Water District GO VRDN P-Floats-PT 1672 Series 2003 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
11,060,000 | 4.01 | 07/06/2006 | 11,060,000 | |||||||||||
Las Vegas Valley Water District GO VRDN P-Floats-PT 321 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,220,000 | 4.01 | 07/06/2006 | 5,220,000 | |||||||||||
University of Nevada VRDN RB ROCS II-R-5001 Series 2003 (FGIC) (Citigroup Global Markets SPA) (VMIG1)(b) | ||||||||||||||
5,735,000 | 4.01 | 07/06/2006 | 5,735,000 | |||||||||||
$ | 154,655,000 | |||||||||||||
New Hampshire—0.3% | ||||||||||||||
Manchester School Facilities VRDN RB P-Floats-PT 1939 Series 2003 (MBIA) (Merrill Lynch Capital Services SPA)(b) | ||||||||||||||
$ | 5,380,000 | 4.01 | % | 07/03/2006 | $ | 5,380,000 | ||||||||
New Hampshire Health & Educational Facilities Authority VRDN RB for Phillips Exeter Academy Series 2003 (Northern Trust SPA) (A-1+/VMIG1) | ||||||||||||||
19,000,000 | 3.97 | 07/06/2006 | 19,000,000 | |||||||||||
$ | 24,380,000 | |||||||||||||
New Jersey(b)—1.4% | ||||||||||||||
New Jersey Economic Development Authority P-Floats-PT 2805 Series 2005 (AMBAC and FGIC) (Dexia Credit Local SPA) (F1+) | ||||||||||||||
$ | 34,880,000 | 3.99 | % | 07/06/2006 | $ | 34,880,000 | ||||||||
New Jersey Economic Development Authority P-Floats-PT 2847 Series 2005 (MBIA) (Dexia Credit Local SPA) (F1+) | ||||||||||||||
13,480,000 | 3.99 | 07/06/2006 | 13,480,000 | |||||||||||
New Jersey Economic Development Authority VRDN RB Merlots Series 2004 B-14 (AMBAC) (Wachovia Bank N.A. SPA) (A-1) | ||||||||||||||
14,625,000 | 4.00 | 07/05/2006 | 14,625,000 | |||||||||||
New Jersey State GO VRDN P-Floats-PT 3273 Series 2005 (AMBAC) (Dexia Credit Local SPA) (A-1+) | ||||||||||||||
8,970,000 | 3.99 | 07/05/2006 | 8,970,000 | |||||||||||
New Jersey State Transportation Trust Fund Authority VRDN RB Merlots Series 2006 B-03 (MBIA) (Wachovia Bank N.A. SPA) (A-1+)(a) | ||||||||||||||
17,600,000 | 4.00 | 07/05/2006 | 17,600,000 | |||||||||||
New Jersey State Transportation Trust Fund Authority VRDN RB P-Floats-PT 2617 Series 2005 (MBIA) (Dexia Credit Local SPA) (A-1+) | ||||||||||||||
21,300,000 | 3.95 | 07/06/2006 | 21,300,000 | |||||||||||
$ | 110,855,000 | |||||||||||||
New Mexico—0.5% | ||||||||||||||
Albuquerque VRDN RB Refunding for Affordable Housing Projects Series 2000 (MBIA) (Bank of America N.A. SPA) (A-1+/VMIG1)(a) | ||||||||||||||
$ | 8,175,000 | 3.97 | % | 07/05/2006 | $ | 8,175,000 |
The accompanying notes are an integral part of these financial statements.
28
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
New Mexico (continued) | ||||||||||||||
Farmington VRDN PCRB Refunding for Arizona Public Service Co. Series 1994 A (Barclays Bank PLC LOC) (A-1+/P-1) | ||||||||||||||
$ | 23,700,000 | 4.05 | % | 07/03/2006 | $ | 23,700,000 | ||||||||
New Mexico State University VRDN RB P-Floats-PT 2342 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,185,000 | 4.01 | 07/06/2006 | 5,185,000 | |||||||||||
$ | 37,060,000 | |||||||||||||
New York—5.0% | ||||||||||||||
ABN AMRO Munitops Certificates VRDN RB Non-AMT Series 2004-46 (FSA) (ABN AMRO Bank N.V. SPA) (VMIG1)(b) | ||||||||||||||
$ | 29,745,000 | 4.00 | % | 07/06/2006 | $ | 29,745,000 | ||||||||
City of New York GO VRDN Putters Series 2006-1299 (FSA) (JP Morgan Chase Bank LOC) (A-1+)(b) | ||||||||||||||
5,375,000 | 4.01 | 07/06/2006 | 5,375,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Merlots Series 2003 B25 (FGIC) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
3,915,000 | 4.00 | 07/05/2006 | 3,915,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Merlots Series 2004 B16 (MBIA & FSA) (Wachovia Bank N.A. SPA) (A-1)(b) | ||||||||||||||
7,185,000 | 4.00 | 07/05/2006 | 7,185,000 | |||||||||||
New York City GO VRDN Spears Series 2005-172 (CIFG Assurance) (Deutsche Bank AG LOC) (F1+)(b) | ||||||||||||||
3,510,000 | 3.92 | 07/06/2006 | 3,510,000 | |||||||||||
New York City Municipal Finance Authority Water and Sewer Systems VRDN RB Series 1352 (Morgan Stanley Municipal Products) (VMIG1)(b) | ||||||||||||||
6,000,000 | 3.99 | 07/06/2006 | 6,000,000 | |||||||||||
New York City Municipal Water Finance Authority CP Series 1 (Dexia Credit Local) | ||||||||||||||
28,000,000 | 3.67 | 08/17/2006 | 28,000,000 | |||||||||||
New York City Municipal Water Finance Authority CP Series 5 (Westdeutsche Landesbank/Bayerische Landesbank SPA) | ||||||||||||||
10,000,000 | 3.67 | 09/14/2006 | 10,000,000 | |||||||||||
New York City Municipal Water Finance Authority CP Series 6 (Landesbank Baden-Wurttemberg and Landesbank Hessen-Thueringen SPA) | ||||||||||||||
15,000,000 | 3.65 | 08/17/2006 | 15,000,000 | |||||||||||
New York City Municipal Water Finance Authority Water & Sewer Systems VRDN RB Putters Series 2006-1289 (JP Morgan Chase & Co. SPA) (A-1+)(b) | ||||||||||||||
7,050,000 | 4.01 | 07/06/2006 | 7,050,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB Floaters Series 2006-1249 (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
6,000,000 | 3.99 | 07/06/2006 | 6,000,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB for Municipal Securities Trust Receipts SGB 27 Series 1997 (FSA) (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
1,890,000 | 3.99 | 07/06/2006 | 1,890,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB Merlots Series 2000 DDD (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
16,835,000 | 4.00 | 07/05/2006 | 16,835,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB P-Floats-PA 1301 Series 2005 (Merrill Lynch Capital Services SPA) (VMIG1)(b) | ||||||||||||||
6,500,000 | 4.00 | 07/06/2006 | 6,500,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB P-Floats-PA 1307 Series 2005 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
9,150,000 | 4.00 | 07/06/2006 | 9,150,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB P-Floats-PA 1327 Series 2005 (Merrill Lynch Capital Services SPA) (VMIG1)(b) | ||||||||||||||
9,000,000 | 4.00 | 07/06/2006 | 9,000,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB Merlots Series 1999 B (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
14,690,000 | 4.00 | 07/06/2006 | 14,690,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB Merlots Series 2003 B29 (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
12,625,000 | 4.00 | 07/05/2006 | 12,625,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB P-Floats-PT 3299 Series 2005 (Depfa Bank PLC SPA) (A-1+)(b) | ||||||||||||||
14,845,000 | 3.99 | 07/06/2006 | 14,845,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB P-Floats-PT 406 Series 2000 (Depfa Bank PLC SPA) (A-1+)(b) | ||||||||||||||
13,160,000 | 3.99 | 07/06/2006 | 13,160,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB Putters Series 2005-1101 (JP Morgan Chase & Co. SPA) (A-1+)(b) | ||||||||||||||
13,790,000 | 4.01 | 07/06/2006 | 13,790,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB Putters Series 2005-1155 (JP Morgan Chase & Co. SPA) (VMIG1)(b) | ||||||||||||||
23,795,000 | 4.01 | 07/06/2006 | 23,795,000 | |||||||||||
New York GO VRDN Spears Series DB-198 (FGIC-TCRS) (Deutsche Bank A.G.)(b) | ||||||||||||||
2,100,000 | 3.99 | 07/06/2006 | 2,100,000 | |||||||||||
New York State Dormitory Authority VRDN RB Merlots Series 2005 A06 (FSA) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
6,305,000 | 4.00 | 07/05/2006 | 6,305,000 | |||||||||||
New York State Environmental Facilities Corp. VRDN RB for Clean Water & Drinking Series 2002-1424 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
10,225,000 | 4.00 | 07/06/2006 | 10,225,000 |
The accompanying notes are an integral part of these financial statements.
29
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
New York (continued) | ||||||||||||||
New York State Environmental Facilities Corp. VRDN RB for Clean Water & Drinking Series 2005-1121 (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
$ | 12,728,500 | 3.99 | % | 07/06/2006 | $ | 12,728,500 | ||||||||
New York State Environmental Facilities Corp. VRDN RB for Clean Water and Drinking P-Floats-PT 2012 Series 2003 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,170,000 | 4.00 | 07/06/2006 | 5,170,000 | |||||||||||
New York State Urban Development Corp. VRDN RB Series 2003 SG-164 (FGIC) (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
11,000,000 | 3.99 | 07/15/2006 | 11,000,000 | |||||||||||
New York State Urban Development Corp. VRDN RB Series 2006 Series SG-163 (FGIC) (Societe Generale SPA)(b) | ||||||||||||||
9,100,000 | 3.99 | 07/15/2006 | 9,100,000 | |||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Refunding Series 2005 B-1 (Depfa Bank PLC SPA) (A-1+/VMIG1)(a) | ||||||||||||||
6,990,000 | 3.95 | 07/06/2006 | 6,990,000 | |||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Refunding Series 2005 B-1 (Depfa Bank PLC SPA) (A-1+/VMIG1) | ||||||||||||||
5,400,000 | 3.95 | 07/06/2006 | 5,400,000 | |||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Refunding Series 2005 B-4 (Landesbank-Baden Wurttemberg SPA) (A-1+/VMIG1)(a) | ||||||||||||||
55,900,000 | 3.77 | 07/06/2006 | 55,900,000 | |||||||||||
$ | 382,978,500 | |||||||||||||
North Carolina—5.4% | ||||||||||||||
Buncombe County Metropolitan Sewer District Sewer System VRDN RB Refunding (XLCA) (Bank of America N.A. SPA) (A-1+/VMIG1)(a) | ||||||||||||||
$ | 5,890,000 | 4.02 | % | 07/06/2006 | $ | 5,890,000 | ||||||||
Cabarrus County VRDN COPS ROCS II-R-4520 Series 2003 (AMBAC) (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
5,295,000 | 4.01 | 07/06/2006 | 5,295,000 | |||||||||||
Charlotte COPS VRDN for Transit Projects/Phase II Series 2005 F (Depfa Bank PLC SPA) (A-1+/VMIG1)(a) | ||||||||||||||
30,200,000 | 3.18 | 07/05/2006 | 30,200,000 | |||||||||||
Charlotte-Mecklenberg Hospital Authority Healthcare Systems VRDN RB for Carolinas Healthcare Series 2005 C (Bank of America N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
3,000,000 | 4.04 | 07/03/2006 | 3,000,000 | |||||||||||
Charlotte-Mecklenburg Hospital Authority Health Care System VRDN RB Series 2006-1272 (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
6,865,000 | 4.01 | 07/06/2006 | 6,865,000 | |||||||||||
Greensboro Enterprise System VRDN RB Series 2005 B (Bank of America N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
13,740,000 | 4.00 | 07/06/2006 | 13,740,000 | |||||||||||
Guilford County GO VRDN Series 2005 B (Wachovia Bank N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
29,895,000 | 4.00 | 07/06/2006 | 29,895,000 | |||||||||||
North Carolina Capital Facilities Finance Agency VRDN RB Eagle Series 2006-0012 Class A (Citibank N.A SPA) (A-1+)(b) | ||||||||||||||
14,365,000 | 4.02 | 07/06/2006 | 14,365,000 | |||||||||||
North Carolina Capital Facilities Finance Agency VRDN RB Eagle Tax-Exempt Trust Series 2005-3016 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
8,600,000 | 4.02 | 07/06/2006 | 8,600,000 | |||||||||||
North Carolina Capital Facilities Finance Agency VRDN RB Floaters Series 2006-1339 (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
7,500,000 | 4.01 | 07/06/2006 | 7,500,000 | |||||||||||
North Carolina Capital Facilities Finance Authority CP Duke University Series 2005 | ||||||||||||||
5,753,000 | 3.47 | 07/07/2006 | 5,753,000 | |||||||||||
North Carolina Capital Facilities VRDN RB Eagle Tax-Exempt Trust Series 2005-0060 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
15,600,000 | 4.02 | 07/06/2006 | 15,600,000 | |||||||||||
North Carolina Medical Care Commission VRDN RB for Northeast Medical Center Project Series 2006 A (Wachovia Bank N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
30,000,000 | 4.00 | 07/05/2006 | 30,000,000 | |||||||||||
North Carolina Medical Care Community Health Care Facilities VRDN RB for Duke University Health System Series 2005 C (SunTrust Bank SPA) (A-1+/VMIG1)(a) | ||||||||||||||
13,700,000 | 3.95 | 07/05/2006 | 13,700,000 | |||||||||||
North Carolina Medical Care Community Health Care Facilities VRDN RB for Eastern Carolina University Series 2006 A (AMBAC Assurance) (Wachovia Bank) (A-1+/VMIG1)(a) | ||||||||||||||
11,050,000 | 3.44 | 07/05/2006 | 11,050,000 | |||||||||||
North Carolina State GO VRDN Eagle Tax-Exempt Trust 2005-0021 Class A (Citibank N.A. SPA) (A-1+)(a)(b) | ||||||||||||||
30,000,000 | 4.02 | 07/06/2006 | 30,000,000 | |||||||||||
North Carolina State GO VRDN P-Floats-PT 2206 Series 2004 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
15,570,000 | 4.01 | 07/06/2006 | 15,570,000 | |||||||||||
North Carolina State GO VRDN P-Floats-PT 2207 Series 2004 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,555,000 | 4.01 | 07/06/2006 | 8,555,000 | |||||||||||
North Carolina State GO VRDN Refunding Series 2002 C (Bayerische Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
6,800,000 | 3.95 | 07/05/2006 | 6,800,000 | |||||||||||
North Carolina State GO VRDN ROCS RR-II-R 496 Series 2005 (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
11,430,000 | 4.01 | 07/06/2006 | 11,430,000 | |||||||||||
Raleigh VRDN COPS for Downtown Improvement Project Series 2004 A (Depfa Bank PLC SPA) (A-1+/VMIG1)(a) | ||||||||||||||
11,100,000 | 3.45 | 07/05/2006 | 11,100,000 | |||||||||||
Raleigh VRDN COPS for Downtown Improvement Project Series 2005 B (Depfa Bank PLC SPA) (A-1+/VMIG1)(a) | ||||||||||||||
12,400,000 | 3.96 | 07/05/2006 | 12,400,000 |
The accompanying notes are an integral part of these financial statements.
30
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
North Carolina (continued) | ||||||||||||||
University of North Carolina for Chapel Hill Hospital VRDN RB Refunding Series 2003 A (Bank of America N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
$ | 47,205,000 | 4.00 | % | 07/06/2006 | $ | 47,205,000 | ||||||||
University of North Carolina VRDN RB Eagle Series 2006-0024 Class A (Citibank N.A. SPA) (A-1+) (b) | ||||||||||||||
19,800,000 | 4.02 | 07/06/2006 | 19,800,000 | |||||||||||
University of North Carolina VRDN RB Eagle Tax-Exempt Trust Series 2005-3014 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
10,345,000 | 4.02 | 07/06/2006 | 10,345,000 | |||||||||||
University of North Carolina VRDN RB Floaters Series 2006-1354 (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
5,425,000 | 4.01 | 07/06/2006 | 5,425,000 | |||||||||||
Wake County GO VRDN Series 2004 B (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1)(a) | ||||||||||||||
31,550,000 | 3.95 | 07/06/2006 | 31,550,000 | |||||||||||
Wilmington GO VRDN Refunding Series 2002 (Wachovia Bank N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
4,845,000 | 3.95 | 07/05/2006 | 4,845,000 | |||||||||||
$ | 416,478,000 | |||||||||||||
Ohio—0.9% | ||||||||||||||
Cleveland-Cuyahoga County Port Authority Cultural Facilities VRDN RB for Museum of Art Project Series 2005 B (JP Morgan Chase & Co. SPA) (A-1+) | ||||||||||||||
$ | 5,000,000 | 3.97 | % | 07/06/2006 | $ | 5,000,000 | ||||||||
Franklin County VRDN RB for Trinity Health Credit Series 2004 C-2 (FGIC) (JP Morgan Chase & Co. and U.S. Bank National SPA) (A-1+/VMIG1) | ||||||||||||||
5,100,000 | 4.00 | 07/05/2006 | �� | 5,100,000 | ||||||||||
Napoleon GO BANS Series 2005 C | ||||||||||||||
925,000 | 4.00 | 07/27/2006 | 925,736 | |||||||||||
Ohio State GO VRDN P-Floats-PT 2137 Series 2004 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
11,135,000 | 4.00 | 07/06/2006 | 11,135,000 | |||||||||||
Ohio State GO VRDN P-Floats-PT 3443 Series 2006 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,305,000 | 4.00 | 07/06/2006 | 5,305,000 | |||||||||||
Ohio State GO VRDN Series 2002-603 (FSA) (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
5,000,000 | 4.01 | 07/06/2006 | 5,000,000 | |||||||||||
Ohio State GO VRDN Series 2005 A (A-1+/VMIG1) | ||||||||||||||
19,490,000 | 3.98 | 07/05/2006 | 19,490,000 | |||||||||||
Ohio State VRDN RB P-Floats-PT 3442 Series 2006 (Merrill Lynch Capital Services) (F1+)(b) | ||||||||||||||
15,165,000 | 4.00 | 07/06/2006 | 15,165,000 | |||||||||||
$ | 67,120,736 | |||||||||||||
Oklahoma—0.7% | ||||||||||||||
Oklahoma City VRDN RB Putters Series 2005-855 (AMBAC) (JP Morgan Chase & Co.) (A-1+)(b) | ||||||||||||||
$ | 5,320,000 | 4.01 | % | 07/06/2006 | $ | 5,320,000 | ||||||||
Payne County Economic Development Authority Student Housing VRDN RB for Osuf Phase III Project Series 2002 (AMBAC) (Dexia Credit Local SPA) (VMIG1) | ||||||||||||||
47,760,000 | 3.99 | 07/06/2006 | 47,760,000 | |||||||||||
$ | 53,080,000 | |||||||||||||
Oregon—0.7% | ||||||||||||||
Clackamas County Hospital Facility Authority VRDN RB for Legacy Health Systems Series 2003 (A-1+/VMIG1) | ||||||||||||||
$ | 4,800,000 | 3.96 | % | 07/05/2006 | $ | 4,800,000 | ||||||||
Oregon State GO VRDN Veteran’s Welfare Series 1985 73-H (Bayerische Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
48,500,000 | 3.98 | 07/05/2006 | 48,500,000 | |||||||||||
$ | 53,300,000 | |||||||||||||
Pennsylvania—2.9% | ||||||||||||||
ABN AMRO Munitops Certificates Trust VRDN RB Non-AMT Series 2004-9 (AMBAC) (ABN AMRO Bank N.V. SPA) (VMIG1)(b) | ||||||||||||||
$ | 8,000,000 | 4.01 | % | 07/06/2006 | $ | 8,000,000 | ||||||||
Commonwealth of Pennsylvania GO VRDN Putters Series 2006-1382 (JP Morgan Chase LOC) (A-1+)(b) | ||||||||||||||
3,550,000 | 4.01 | 07/06/2006 | 3,550,000 | |||||||||||
Delaware Valley Regional Finance Authority Local Government VRDN RB Series 1985 B (National Australia Bank LOC) (A-1+/VMIG1) | ||||||||||||||
15,800,000 | 3.97 | 07/05/2006 | 15,800,000 | |||||||||||
Delaware Valley Regional Finance Authority Local Government VRDN RB Series 1985 C (National Australia Bank LOC) (A-1+/VMIG1) | ||||||||||||||
11,200,000 | 3.97 | 07/05/2006 | 11,200,000 | |||||||||||
Delaware Valley Regional Finance Authority Local Government VRDN RB Series 1985 D (National Australia Bank LOC) (A-1+/VMIG1) | ||||||||||||||
15,350,000 | 3.97 | 07/06/2006 | 15,350,000 | |||||||||||
Delaware Valley Regional Finance Authority Local Government VRDN RB Series 1986 (National Australia Bank LOC) (A-1+/VMIG1) | ||||||||||||||
10,640,000 | 3.97 | 07/05/2006 | 10,640,000 | |||||||||||
Delaware Valley VRDN RB Regional Financial Authority Local Government P-Floats-PT 936 (Banque Nationale Paris SPA) (A-1+)(b) | ||||||||||||||
10,000,000 | 3.25 | 07/06/2006 | 10,000,000 | |||||||||||
Geisinger Authority VRDN RB for Geisinger Health Systems Series 2005 A (A-1+/VMIG1) | ||||||||||||||
9,250,000 | 3.96 | 07/06/2006 | 9,250,000 | |||||||||||
Pennsylvania Economic Development Finance Authority Health System VRDN RB for Jefferson Health System Series 2005 B (Wachovia Bank N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
7,525,000 | 3.96 | 07/05/2006 | 7,525,000 |
The accompanying notes are an integral part of these financial statements.
31
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Pennsylvania (continued) | ||||||||||||||
Pennsylvania Turnpike Commission VRDN RB Series 2002 A-1 (Westdeutsche Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
$ | 28,850,000 | 3.98 | % | 07/05/2006 | $ | 28,850,000 | ||||||||
Pennsylvania Turnpike Commission VRDN RB Series 2002 A-3 (Bayerische Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
2,000,000 | 3.98 | 07/05/2006 | 2,000,000 | |||||||||||
Pennsylvania Turnpike Commission VRDN RB Series 2006 B (AMBAC) (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
29,775,000 | 3.96 | 07/06/2006 | 29,775,000 | |||||||||||
Pennsylvania Turnpike Commission VRDN RB Series 2006 C (AMBAC) (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
15,000,000 | 3.97 | 07/06/2006 | 15,000,000 | |||||||||||
St. Mary’s Hospital Authority VRDN RB for Catholic Health Series 2004 B (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
7,000,000 | 3.98 | 07/05/2006 | 7,000,000 | |||||||||||
St. Mary’s Hospital Authority VRDN RB for Catholic Health Series 2004 C (A-1+/VMIG1) | ||||||||||||||
34,100,000 | 4.00 | 07/05/2006 | 34,100,000 | |||||||||||
University of Pittsburgh of the Commonwealth of Higher Education VRDN RB for University Capital Project Series 2005 B (Depfa Bank PLC SPA) (A-1+/VMIG1) | ||||||||||||||
10,000,000 | 3.96 | 07/05/2006 | 10,000,000 | |||||||||||
Washington County Authority VRDN RB for University of Pennsylvania Series 2004 (A-1+/VMIG1) | ||||||||||||||
4,200,000 | 3.98 | 07/06/2006 | 4,200,000 | |||||||||||
$ | 222,240,000 | |||||||||||||
Rhode Island(b)—0.1% | ||||||||||||||
Rhode Island Clean Water Protection Finance Agency VRDN PCRB P-Floats-PT 1403 Series 2002 (Merrill Lynch Capital Services SPA) (A-1) | ||||||||||||||
$ | 5,135,000 | 4.01 | % | 07/06/2006 | $ | 5,135,000 | ||||||||
South Carolina—1.3% | ||||||||||||||
Berkeley County Water and Sewer VRDN RB Refunding Series 2006 A (XLCA) (Bank of America N.A. SPA) (A-1+) | ||||||||||||||
$ | 11,880,000 | 4.00 | % | 07/06/2006 | $ | 11,880,000 | ||||||||
Charleston Waterworks & Sewer VRDN RB for Capital Improvements Series 2006 B (Wachovia Bank N.A. SPA) (A-1+) | ||||||||||||||
20,000,000 | 4.00 | 07/06/2006 | 20,000,000 | |||||||||||
Charleston Waterworks & Sewer VRDN RB Refunding for Capital Improvement Series 2003 A (Bank of America N.A. SPA) (A-1+/VMIG1) | ||||||||||||||
9,000,000 | 4.00 | 07/06/2006 | 9,000,000 | |||||||||||
South Carolina GO VRDN ROCS RR-II-R 337 Series 2005 (Citibank N.A. SPA) (VMIG1)(b) | ||||||||||||||
5,000,000 | 4.01 | 07/06/2006 | 5,000,000 | |||||||||||
South Carolina Public Service Authority VRDN RB Eagle Tax-Exempt Trust Series 2004-0017 Class A (AMBAC) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
10,000,000 | 4.02 | 07/06/2006 | 10,000,000 | |||||||||||
South Carolina Public Service Authority VRDN RB Merlots Series 2004 B06 (AMBAC) (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
45,000 | 4.01 | 07/05/2006 | 45,000 | |||||||||||
South Carolina Public Service Authority VRDN RB P-Floats-PT 1877 Series 2003 (AMBAC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
3,765,000 | 4.01 | 01/01/1900 | 3,765,000 | |||||||||||
South Carolina Public Service Authority VRDN RB ROCS RR-II-R 6007 (AMBAC) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
4,545,000 | 4.01 | 07/06/2006 | 4,545,000 | |||||||||||
South Carolina State VRDN P-Floats-PT 1225 Series 2000 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
13,610,000 | 3.99 | 07/03/2006 | 13,610,000 | |||||||||||
South Carolina Transportation Infrastructure Bank VRDN RB P-Floats-PT 2304 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
12,740,000 | 4.01 | 07/06/2006 | 12,740,000 | |||||||||||
South Carolina VRDN RB Transportation Infrastructure Bank Eagle Tax-Exempt Trust Series 2001-4001 Class A (MBIA) (Citibank N.A. SPA)(a)(b) | ||||||||||||||
7,000,000 | 4.02 | 07/03/2006 | 7,000,000 | |||||||||||
University of South Carolina VRDN RB P-Floats-PT 2309 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA)(b) | ||||||||||||||
5,705,000 | 4.01 | 01/01/1900 | 5,705,000 | |||||||||||
$ | 103,290,000 | |||||||||||||
Tennessee—3.4% | ||||||||||||||
Chattanooga Health Educational & Housing Facilities Board VRDN RB Refunding for Catholic Health Series 2004 C (A-1+/VMIG1) | ||||||||||||||
$ | 39,960,000 | 4.00 | % | 07/05/2006 | $ | 39,960,000 | ||||||||
Memphis Electric System VRDN RB Series 2005-1031 (MBIA) (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
5,600,000 | 4.01 | 07/06/2006 | 5,600,000 | |||||||||||
Memphis GO CP Series 2001 (Westdeutsche Landesbank AG SPA) | ||||||||||||||
12,900,000 | 3.68 | 08/10/2006 | 12,900,000 | |||||||||||
30,000,000 | 3.63 | 09/08/2006 | 30,000,000 | |||||||||||
Memphis GO VRDN Certificates Series 2005-7 Class A (MBIA) (IXIS Municipals Products SPA) (A-1+) (b) | ||||||||||||||
5,750,000 | 4.00 | 07/06/2006 | 5,750,000 | |||||||||||
Memphis GO VRDN Series 2005-1018 (MBIA) (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
11,175,000 | 3.96 | 07/06/2006 | 11,175,000 | |||||||||||
Metropolitan Government Nashville & Davidson County GO VRDN Series 2006 A (A-1+/VMIG1)(a) | ||||||||||||||
29,055,000 | 3.97 | 07/06/2006 | 29,055,000 |
The accompanying notes are an integral part of these financial statements.
32
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Tennessee (continued) | ||||||||||||||
Metropolitan Government Nashville & Davidson County Health & Education Facilities Board VRDN RB for Ascension Health Credit Series 2001 B-2 (A-1+/VMIG1) | ||||||||||||||
$ | 8,500,000 | 3.40 | % | 07/03/2006 | $ | 8,500,000 | ||||||||
Metropolitan Government Nashville & Davidson County Health & Education Facilities Board VRDN RB Refunding for Vanderbilt University Series 2000 B (A-1+/VMIG1) | ||||||||||||||
30,915,000 | 3.95 | 07/06/2006 | 30,915,000 | |||||||||||
Metropolitan Government Nashville & Davidson County Health & Education Facilities Board VRDN RB Refunding for Vanderbilt University Series 2003 A (A-1+/VMIG1)(a) | ||||||||||||||
28,225,000 | 3.95 | 07/06/2006 | 28,225,000 | |||||||||||
Metropolitan Government of Nashville County CP Series 2005 | ||||||||||||||
10,000,000 | 3.60 | 09/15/2006 | 10,000,000 | |||||||||||
10,000,000 | 3.65 | 10/11/2006 | 10,000,000 | |||||||||||
Sevier County Public Building Authority VRDN RB for Local Government Public Improvement Series 1999 III-F (AMBAC) (Landesbank Hessen-Thueringen SPA) (VMIG1) | ||||||||||||||
22,515,000 | 4.00 | 07/06/2006 | 22,515,000 | |||||||||||
Shelby County COPS Eagle Tax-Exempt Trust Series 2001-4202 Class A (Citibank N.A. SPA) (A-1+) (b) | ||||||||||||||
17,000,000 | 4.02 | 07/03/2006 | 17,000,000 | |||||||||||
$ | 261,595,000 | |||||||||||||
Texas—15.3% | ||||||||||||||
ABN AMRO Munitops Certificates Trust VRDN GO Non-AMT Series 2006-22 (PSF-GTD) (ABN AMRO Bank N.V. SPA) (F1+)(b) | ||||||||||||||
$ | 17,120,000 | 4.02 | % | 07/06/2006 | $ | 17,120,000 | ||||||||
Alamo Heights Independent School District GO VRDN for Putters Series 2005-980 (PSF-GTD) (JP Morgan Chase & Co. SPA) (VMIG1)(b) | ||||||||||||||
13,240,000 | 4.01 | 07/06/2006 | 13,240,000 | |||||||||||
Amarillo Independent School District P-Floats-PT-3232 Series 2005 (PSF-GTD) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,985,000 | 4.01 | 07/03/2006 | 5,985,000 | |||||||||||
Austin Independent School District Series A (Bank of America LOC) (A-1) | ||||||||||||||
22,500,000 | 3.55 | 07/20/2006 | 22,500,000 | |||||||||||
10,000,000 | 3.65 | 07/21/2006 | 10,000,000 | |||||||||||
City of Dallas Waterworks CP Series 2006 (Bank of America) (P-1, A-1+) | ||||||||||||||
12,454,000 | 3.40 | 09/08/2006 | 12,454,000 | |||||||||||
City of Garland GO CP Series 2002 (Depfa Bank PLC SPA) (A-1+, F1+) | ||||||||||||||
11,000,000 | 3.52 | 08/07/2006 | 11,000,000 | |||||||||||
City of Houston CP Notes Series 2006 F (Dexia Credit Local and Landesbank Hessen-Thueringen SPA) (P-1, A-1+, F1+) | ||||||||||||||
7,300,000 | 3.45 | 08/14/2006 | 7,300,000 | |||||||||||
City of Houston CP Series D (Bank of America N.A. SPA) (A-1+) | ||||||||||||||
15,300,000 | 3.45 | 07/18/2006 | 15,300,000 | |||||||||||
8,000,000 | 3.63 | 08/11/2006 | 8,000,000 | |||||||||||
City of Houston CP Series D (Depfa Bank PLC SPA) (A-1+, P-1, F1+) | ||||||||||||||
8,750,000 | 3.65 | 07/19/2006 | 8,750,000 | |||||||||||
53,000,000 | 3.52 | 07/24/2006 | 53,000,000 | |||||||||||
City of Houston CP Series F (Depfa Bank PLC SPA) | ||||||||||||||
7,500,000 | 3.48 | 07/14/2006 | 7,500,000 | |||||||||||
5,000,000 | 3.55 | 08/03/2006 | 5,000,000 | |||||||||||
6,000,000 | 3.65 | 08/03/2006 | 6,000,000 | |||||||||||
8,000,000 | 3.45 | 08/14/2006 | 8,000,000 | |||||||||||
City of Houston GO VRDN Putters Series 2005-1222 (AMBAC) (JP Morgan Chase & Co. SPA)(b) | ||||||||||||||
5,360,000 | 4.01 | 07/06/2006 | 5,360,000 | |||||||||||
City of San Antonio GO VRDN Star Series 2006-150 (BNP Pariba LOC) (VMIG1)(b) | ||||||||||||||
5,845,000 | 4.00 | 07/06/2006 | 5,845,000 | |||||||||||
Collin County GO VRDN Spears Series 2005 DB-177 (Deutsche Bank AG SPA) (A-1+)(b) | ||||||||||||||
4,800,000 | 4.00 | 07/06/2006 | 4,800,000 | |||||||||||
Cypress Fairbanks Independent School District GO VRDN P-Floats-PT 2283 Series 2004 (PSF-GTD) (Merrill Lynch Capital Services SPA)(b) | ||||||||||||||
9,785,000 | 4.01 | 07/15/2006 | 9,785,000 | |||||||||||
Cypress-Fairbanks GO VRDN Independent School District P-Floats-PT-3405 (PSF-GTD) (Merrill Lynch Capital Services SPA)(b) | ||||||||||||||
10,820,000 | 4.01 | 07/06/2006 | 10,820,000 | |||||||||||
Dallas Area Rapid Transit CP Series 2006 (Bayerische Landesbank, Landesbank Baden-Wurttemberg, State Street Bank and Westdeutsche Landesbank AG SPA) (P-1, A-1+, F1+) | ||||||||||||||
12,500,000 | 3.70 | 08/10/2006 | 12,500,000 | |||||||||||
30,000,000 | 3.65 | 09/07/2006 | 30,000,000 | |||||||||||
19,000,000 | 3.40 | 09/08/2006 | 19,000,000 | |||||||||||
Dallas Area Rapid Transit VRDN RB P-Floats-PT 1503 Series 2002 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,380,000 | 4.01 | 07/06/2006 | 5,380,000 | |||||||||||
Dallas County Community College District GO VRDN P-Floats-PT 2370 Series 2004 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,530,000 | 4.00 | 07/06/2006 | 8,530,000 | |||||||||||
Dallas GO VRDN P-Floats-PT 2447 Series 2004 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
8,880,000 | 4.01 | 07/06/2006 | 8,880,000 | |||||||||||
Dallas GO VRDN P-Floats-PT 2745 Series 2005 (Merrill Lynch Capital Services SPA) (A-1+)(b) | ||||||||||||||
8,195,000 | 4.01 | 07/06/2006 | 8,195,000 |
The accompanying notes are an integral part of these financial statements.
33
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Texas (continued) | ||||||||||||||
Dallas Independent School District GO VRDN ROCS RR-II-R 6038 Series 2004 (PSF-GTD) (Citibank N.A. SPA) (VMIG1)(b) | ||||||||||||||
$ | 6,140,000 | 4.01 | % | 07/06/2006 | $ | 6,140,000 | ||||||||
Dallas Independent School District P-Floats-PT 1909 Series 2003 (PSF-GTD) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,595,000 | 4.01 | 07/06/2006 | 5,595,000 | |||||||||||
Eclipse Funding Trust GO VRDN Alamo Community College District (MBIA) (U.S. Bank N.A.) (A-1+) (b) | ||||||||||||||
5,225,000 | 4.00 | 07/06/2006 | 5,225,000 | |||||||||||
Eclipse Funding Trust VRDN RB for El Paso Series 2006-0071 (MBIA) (U.S Bank N.A. SPA) (A-1+) (b) | ||||||||||||||
4,000,000 | 4.00 | 07/06/2006 | 4,000,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Harris Country Series 2006-0040 (FGIC) (US Bank NA LOC) (A-1+)(b) | ||||||||||||||
10,000,000 | 4.00 | 07/06/2006 | 10,000,000 | |||||||||||
Eclipse Funding Trust VRDN RB for North East Independent School District Series 2006-0058 (MBIA-IBC/PSF-GTD) (A-1+)(b) | ||||||||||||||
13,880,000 | 4.00 | 07/06/2006 | 13,880,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Texas State Series 2006-0057 (MBIA-IBC) US Bank N.A. (A-1+) (b) | ||||||||||||||
5,235,000 | 4.00 | 07/06/2006 | 5,235,000 | |||||||||||
Fort Bend Independent School District GO VRDN ROCS II-R-2141 Series 2004 (PSF-GTD) (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
8,375,000 | 4.01 | 07/06/2006 | 8,375,000 | |||||||||||
Harlingen Independent School District VRDN Spears Series 2005 DB-143 (PSF-GTD) (Deutsche Bank AG SPA) (VMIG1) (F1+)(b) | ||||||||||||||
5,595,000 | 4.00 | 07/15/2006 | 5,595,000 | |||||||||||
Harris County Health Facilities Development Corp. VRDN RB Series 2000-357 (MBIA) (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
5,392,500 | 4.01 | 07/06/2006 | 5,392,500 | |||||||||||
Harris County Health Facilities Development VRDN RB for The Methodist Health System Series 2006 A (A-1+) | ||||||||||||||
22,500,000 | 3.60 | 07/03/2006 | 22,500,000 | |||||||||||
Harris County Health Facilities Development VRDN RB Refunding for St. Luke’s Episcopal Hospital Series 2001 B (JP Morgan Chase & Co., Bayerische Landesbank, Bank of America N.A. and Northern Trust Company SPA) (A-1+) | ||||||||||||||
43,700,000 | 4.03 | 07/03/2006 | 43,700,000 | |||||||||||
Harris County Health Facilities Development VRDN RB Refunding for The Methodist Health System Series 2005 B (A-1+)(a) | ||||||||||||||
71,120,000 | 4.15 | 07/03/2006 | 71,120,000 | |||||||||||
Harris County Metropolitain Transit Authority CP Series 2006 (Depfa Bank PLC LOC) (F1+, A-1+) | ||||||||||||||
4,000,000 | 3.37 | 08/01/2006 | 4,000,000 | |||||||||||
Harris County Municipal Securities Trust Receipts Series 2004 SGB-52-A (FGIC) (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
11,960,000 | 4.01 | 07/06/2006 | 11,960,000 | |||||||||||
Harris County VRDN RB P-Floats-PT 971 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,995,000 | 4.01 | 07/06/2006 | 8,995,000 | |||||||||||
Harris County VRDN RB Putters Series 2005-1172-Z (FSA) (JP Morgan Chase & Co. SPA) (VMIG1)(b) | ||||||||||||||
11,675,000 | 4.01 | 07/06/2006 | 11,675,000 | |||||||||||
Houston Airport System CP Series 2005 (Dexia Credit Local LOC) (P-1, A-1+, F1+) | ||||||||||||||
16,000,000 | 3.60 | 08/07/2006 | 16,000,000 | |||||||||||
Houston GO VRDN P-Floats-PT 2233 Series 2004 (MBIA) (Merrill Lynch Capital Services SPA) (A-1) (b) | ||||||||||||||
15,885,000 | 4.01 | 07/06/2006 | 15,885,000 | |||||||||||
Houston GO VRDN Putters Series 2005-1151 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1)(b) | ||||||||||||||
12,600,000 | 4.01 | 07/06/2006 | 12,600,000 | |||||||||||
Houston GO VRDN ROCS II-R-1048 Series 2004 (Citigroup Global Markets SPA) (VMIG1)(b) | ||||||||||||||
10,195,000 | 4.01 | 07/06/2006 | 10,195,000 | |||||||||||
Houston GO VRDN ROCS II-R-4062 Series 2004 (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
5,290,000 | 4.01 | 07/06/2006 | 5,290,000 | |||||||||||
Houston Independent School District Spears DB-169 Series 2005 (PSF-GTD) (Citibank N.A. SPA) (VMIG1)(b) | ||||||||||||||
7,885,000 | 4.01 | 07/06/2006 | 7,885,000 | |||||||||||
Houston Independent School District Spears DB-169 Series 2005 (PSF-GTD) (Deutsche Bank AG SPA) (A-1+)(b) | ||||||||||||||
3,990,000 | 4.00 | 07/06/2006 | 3,990,000 | |||||||||||
Houston Independent School District VRDN RB Putters Series 2005-1060 (PSF-GTD) (JP Morgan Chase & Co.) (VMIG1)(b) | ||||||||||||||
5,350,000 | 4.01 | 07/06/2006 | 5,350,000 | |||||||||||
Houston Utilities System VRDN RB Putters Series 2005-1076 (MBIA) (JP Morgan Chase & Co. SPA) (VMIG1)(b) | ||||||||||||||
4,995,000 | 4.01 | 07/06/2006 | 4,995,000 | |||||||||||
Houston Utilities Systems Revenue VRDN RB Merlots Series 2004 B-17 (FGIC and MBIA) (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
12,150,000 | 4.01 | 07/05/2006 | 12,150,000 | |||||||||||
Houston Water & Sewer CP Series A (Bayerische Landesbank, Dexia Credit Local, Landesbank Baden-Wurttemberg and Westdeutsche Landesbank AG SPA) (P-1, A-1, F1+) | ||||||||||||||
12,000,000 | 3.60 | 08/07/2006 | 12,000,000 | |||||||||||
Houston Water & Sewer CP Series A (Bayerische Landesbank, Dexia Credit Local, Landesbank Baden-Wurttemburg and Westdeutsche Landesbank AG SPA) (P-1, A-1, F1+) | ||||||||||||||
16,000,000 | 3.59 | 07/19/2006 | 16,000,000 | |||||||||||
Keller Independent School District GO VRDN P-Floats-PT 2280 Series 2004 (PSF-GTD) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
6,340,000 | 4.01 | 07/06/2006 | 6,340,000 |
The accompanying notes are an integral part of these financial statements.
34
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Texas (continued) | ||||||||||||||
Klein Independent School District GO VRDN P-Floats-PT 3371 Series 2006 (PSF-GTD) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
$ | 3,225,000 | 4.01 | % | 07/06/2006 | $ | 3,225,000 | ||||||||
Mansfield Independent School District GO VRDN Merlots Series 2004-B11 (PSF-GTD) (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
14,580,000 | 4.01 | 07/05/2006 | 14,580,000 | |||||||||||
Mansfield Independent School District GO VRDN P-Floats-PT 2401 Series 2004 (PSF-GTD) (Merrill Lynch Capital Services SPA) (AAA)(b) | ||||||||||||||
5,190,000 | 4.01 | 07/06/2006 | 5,190,000 | |||||||||||
Mansfield Independent School District GO VRDN ROCS RR-II-R 2172 Series 2005 (PSF-GTD) (Citigroup Global Markets SPA) (VMIG1)(b) | ||||||||||||||
5,620,000 | 4.01 | 07/06/2006 | 5,620,000 | |||||||||||
North East Independent School District GO VRDN Putters Series 2004-393 (PSF-GTD) (JP Morgan Chase & Co. SPA) (VMIG1)(b) | ||||||||||||||
19,355,000 | 3.51 | 07/06/2006 | 19,355,000 | |||||||||||
North Texas Tollway Authority North Dallas Systems VRDN RB Series 2005 C (FGIC) (Depfa Bank PLC NA) (A-1+/VMIG1) | ||||||||||||||
4,500,000 | 4.00 | 07/05/2006 | 4,500,000 | |||||||||||
North Texas Tollway Authority VRDN RB Dallas North Tollway Systems Series 2003 SG-167 (AMBAC) (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
8,975,000 | 4.00 | 07/06/2006 | 8,975,000 | |||||||||||
Northside Independent School District GO VRDN Series 1099 (PSF-GTD) (Morgan Stanley SPA) (F1+) (b) | ||||||||||||||
4,017,500 | 4.01 | 07/06/2006 | 4,017,500 | |||||||||||
Pflugerville Independent School District GO VRDN P-Floats-PT 2829 Series 2005 (PSF-GTD) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
6,425,000 | 4.01 | 07/06/2006 | 6,425,000 | |||||||||||
Pflugerville Independent School District GO VRDN Series 2005-1058 (PSF-GTD) (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
7,957,000 | 3.95 | 07/06/2006 | 7,957,000 | |||||||||||
San Antonio Electric & Gas Systems CP Series A (Bank of America N.A./State Street Corp. SPA) (P-1, A-1+, F1+) | ||||||||||||||
11,000,000 | 3.60 | 08/07/2006 | 11,000,000 | |||||||||||
San Antonio Electric & Gas Systems VRDN RB Series 1997 SG-104 (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
54,100,000 | 4.00 | 07/03/2006 | 54,100,000 | |||||||||||
San Antonio GO VRDN P-Floats-PT 2695 Series 2005 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
11,075,000 | 4.01 | 07/06/2006 | 11,075,000 | |||||||||||
San Antonio GO VRDN P-Floats-PT 2696 Series 2005 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
11,005,000 | 4.01 | 07/06/2006 | 11,005,000 | |||||||||||
San Antonio Water Revenue VRDN Merlots Series 2000 VV (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
17,420,000 | 4.01 | 07/05/2006 | 17,420,000 | |||||||||||
San Antonio Water System CP (Bank of America N.A. SPA) (A-1+, F-1+) | ||||||||||||||
13,000,000 | 3.45 | 07/18/2006 | 13,000,000 | |||||||||||
20,700,000 | 3.53 | 08/11/2006 | 20,700,000 | |||||||||||
San Antonio Water System VRDN RB ROCS II-R-4064 Series 2004 (FGIC) (Citigroup Global Markets SPA) (A-1+)(b) | ||||||||||||||
5,365,000 | 4.01 | 07/06/2006 | 5,365,000 | |||||||||||
San Antonio Water VRDN RB P-Floats-PT 3429 Series 2006 (MBIA) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
7,610,000 | 4.01 | 07/06/2006 | 7,610,000 | |||||||||||
South Texas Community College District VRDN P-Floats-PT 1415 Series 2002 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
6,525,000 | 4.01 | 07/06/2006 | 6,525,000 | |||||||||||
Texas A & M University VRDN RB P-Floats-PT 2926 Series 2005 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
9,130,000 | 4.01 | 07/06/2006 | 9,130,000 | |||||||||||
Texas A & M University VRDN RB Putters Series 2005-945 (JP Morgan Chase & Co. SPA) (A-1+)(b) | ||||||||||||||
5,435,000 | 3.60 | 07/15/2006 | 5,435,000 | |||||||||||
Texas State GO VRDN Municipal Securities Trust Receipts SGB 58 Series 2005 A (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
5,800,000 | 4.01 | 07/06/2006 | 5,800,000 | |||||||||||
Texas State GO VRDN P-Floats-PT 2868 Series 2005 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,430,000 | 4.01 | 07/06/2006 | 8,430,000 | |||||||||||
Texas State GO VRDN Putters Series 2006-1215 (JP Morgan Chase & Co. SPA) (A-1+)(b) | ||||||||||||||
4,475,000 | 4.01 | 07/06/2006 | 4,475,000 | |||||||||||
Texas State GO VRDN Putters Series 2006-1361 (JP Morgan Chase Bank) (A-1+)(b) | ||||||||||||||
8,600,000 | 4.01 | 07/06/2006 | 8,600,000 | |||||||||||
Texas State GO VRDN ROCS RR-II-R 378 Series 2005 (Citibank N.A. SPA) (VMIG1)(b) | ||||||||||||||
8,005,000 | 4.01 | 07/06/2006 | 8,005,000 | |||||||||||
Texas State Public Finance Authority CP Series 2002 (P-1, A-1+) | ||||||||||||||
5,000,000 | 3.52 | 07/24/2006 | 5,000,000 | |||||||||||
18,700,000 | 3.62 | 09/08/2006 | 18,700,000 | |||||||||||
Texas State Transportation Commission VRDN RB Eagle Series 2006-0085 Class A (Citibank NA) (A-1+)(b) | ||||||||||||||
10,700,000 | 4.02 | 07/06/2006 | 10,700,000 | |||||||||||
Texas State Transportation Commission VRDN RB Putters Series 1297 (JP Morgan Chase & Co.) (A-1+)(b) | ||||||||||||||
20,000,000 | 4.01 | 07/06/2006 | 20,000,000 | |||||||||||
Texas State Transportation Commission VRDN RB Putters Series 2006-1329 (JP Morgan Chase Bank) (A-1+)(b) | ||||||||||||||
7,120,000 | 4.01 | 07/06/2006 | 7,120,000 | |||||||||||
Texas Tech University VRDN RB ROCS RR-II-R 2195 Series 2005 (MBIA) (Citigroup Global Markets SPA) (VMIG1)(b) | ||||||||||||||
6,845,000 | 4.01 | 07/06/2006 | 6,845,000 |
The accompanying notes are an integral part of these financial statements.
35
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Texas (continued) | ||||||||||||||
Texas Water Development Board VRDN RB P-Floats-PT 2183 Series 2004 (Merrill Lynch Capital Services SPA) (F1+) (F1+)(b) | ||||||||||||||
$ | 11,705,000 | 3.99 | % | 07/06/2006 | $ | 11,705,000 | ||||||||
University of Texas CP Series 2005 (P-1, A-1+) | ||||||||||||||
19,750,000 | 3.65 | 08/01/2006 | 19,750,000 | |||||||||||
University of Texas Permanent University Fund VRDN RB for Municipal Trust Receipts (Societe Generale SPA) (A-1+)(b) | ||||||||||||||
6,690,000 | 4.01 | 07/06/2006 | 6,690,000 | |||||||||||
University of Texas Permanent University Fund VRDN RB P-Floats-PT 2423 Series 2004 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,520,000 | 3.99 | 07/06/2006 | 8,520,000 | |||||||||||
University of Texas Permanent University Fund VRDN RB P-Floats-PT 2642 Series 2005 (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,170,000 | 3.99 | 07/06/2006 | 5,170,000 | |||||||||||
University of Texas VRDN RB Eagle Series 2006-0108 (Citibank NA) (VMIG1)(b) | ||||||||||||||
18,810,000 | 4.02 | 07/06/2006 | 18,810,000 | |||||||||||
University of Texas VRDN RB Stars Series 2006-152 (BNP Paribas) (A-1+)(b) | ||||||||||||||
4,810,000 | 4.00 | 07/06/2006 | 4,810,000 | |||||||||||
5,000,000 | 4.01 | 07/06/2006 | 5,000,000 | |||||||||||
West Side Calhoun County Development Corp. VRDN RB for Sohio Chemical Corp. Project Series 1985 (A-1+) | ||||||||||||||
10,900,000 | 4.03 | 07/03/2006 | 10,900,000 | |||||||||||
West University Place GO VRDN Spears Series 2006 DB-197 (FGIC) (Deutsche Bank AG) (A-1+)(b) | ||||||||||||||
10,035,000 | 4.00 | 07/06/2006 | 10,035,000 | |||||||||||
Williamson County GO VRDN P-Floats-PT 2627 Series 2005 (MBIA) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
5,600,000 | 4.01 | 07/06/2006 | 5,600,000 | |||||||||||
$ | 1,175,186,000 | |||||||||||||
Utah—4.2% | ||||||||||||||
Central Utah Water Conservancy District VRDN RB Tender Option Series 2006 B (AMBAC) (Landesbank Hessen-Thueringen SPA) (VMIG1) | ||||||||||||||
$ | 13,400,000 | 3.97 | % | 07/05/2006 | $ | 13,400,000 | ||||||||
Central Water Conservancy District GO VRDN Refunding for Tender Option Series 1998 E (AMBAC) (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
27,410,000 | 3.99 | 07/06/2006 | 27,410,000 | |||||||||||
Central Water Conservancy District GO VRDN Refunding Series 2002 A (AMBAC) (Landesbank Hessen-Thueringen SPA) (VMIG1) | ||||||||||||||
14,550,000 | 3.97 | 07/06/2006 | 14,550,000 | |||||||||||
Central Water Conservancy District GO VRDN Refunding Series 2004 C (AMBAC) (Landesbank Hessen-Thueringen SPA) (VMIG1) | ||||||||||||||
32,400,000 | 3.97 | 07/06/2006 | 32,400,000 | |||||||||||
Central Water Conservancy District GO VRDN Series 2004 B (AMBAC) (Landesbank Hessen-Thueringen SPA) (A-1/VMIG1) | ||||||||||||||
10,000,000 | 3.97 | 07/06/2006 | 10,000,000 | |||||||||||
Intermountain Power Agency Power Supply VRDN RB Series 1985 E (AMBAC) (Morgan Stanley Bank SPA) (A-1+) | ||||||||||||||
4,260,000 | 3.60 | 07/03/2006 | 4,260,000 | |||||||||||
Murray City Hospital VRDN RB for IHC Health Services, Inc. Series 2003 A (A-1+) | ||||||||||||||
26,600,000 | 3.98 | 07/06/2006 | 26,600,000 | |||||||||||
Murray City Hospital VRDN RB for IHC Health Services, Inc. Series 2003 B (A-1+) | ||||||||||||||
61,900,000 | 3.98 | 07/06/2006 | 61,900,000 | |||||||||||
Murray City Hospital VRDN RB for IHC Health Services, Inc. Series 2003 C (A-1+) | ||||||||||||||
4,200,000 | 4.03 | 07/03/2006 | 4,200,000 | |||||||||||
Salt Lake County VRDN RB Sales Tax P-Floats-PT 2902 Series 2005 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
7,975,000 | 4.00 | 07/06/2006 | 7,975,000 | |||||||||||
State of Utah GO Series 2002 A (AAA) | ||||||||||||||
5,825,000 | 5.00 | 07/01/2007 | 5,898,598 | |||||||||||
State of Utah GO Series 2003 A (AAA) | ||||||||||||||
5,000,000 | 5.00 | 07/01/2007 | 5,063,174 | |||||||||||
Utah County Hospital VRDN RB for IHC Health Services, Inc. Series 2002 C (Westdeutsche Landesbank AG SPA) (A-1+/VMIG1) | ||||||||||||||
35,800,000 | 4.00 | 07/06/2006 | 35,800,000 | |||||||||||
Utah State GO VRDN P-Floats-PT 429 Series 2000 (Depfa Bank PLC SPA) (A-1+)(b) | ||||||||||||||
14,715,000 | 2.95 | 07/05/2006 | 14,715,000 | |||||||||||
Utah Transit Authority Sales Tax Revenue VRDN RB Series 2005-1213 (FSA) (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
5,035,000 | 4.01 | 07/06/2006 | 5,035,000 | |||||||||||
Utah Water Finance Agency VRDN RB for Tender Options Series 2005 A-11 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
8,400,000 | 4.02 | 07/05/2006 | 8,400,000 | |||||||||||
Utah Water Finance Agency VRDN RB for Tender Option Series 2006 A-15 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
5,000,000 | 4.01 | 07/05/2006 | 5,000,000 | |||||||||||
Utah Water Finance Agency VRDN RB for Tender Options Series 2005 A-12 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
6,000,000 | 4.01 | 07/05/2006 | 6,000,000 | |||||||||||
Utah Water Finance Agency VRDN RB Series 2002 A-1 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
8,070,000 | 4.01 | 07/05/2006 | 8,070,000 | |||||||||||
Utah Water Finance Agency VRDN RB Series 2004 A-9 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
10,000,000 | 4.02 | 07/05/2006 | 10,000,000 |
The accompanying notes are an integral part of these financial statements.
36
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Utah (continued) | ||||||||||||||
Weber County Hospital VRDN RB for IHC Health Services, Inc. Series 2000 B (Westdeutsche Landesbank AG SPA) (A-1+/VMIG1) | ||||||||||||||
$ | 10,225,000 | 4.03 | % | 07/03/2006 | $ | 10,225,000 | ||||||||
Weber County Hospital VRDN RB for IHC Health Services, Inc. Series 2000 C (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
3,700,000 | 4.03 | 07/03/2006 | 3,700,000 | |||||||||||
$ | 320,601,772 | |||||||||||||
Virginia—0.8% | ||||||||||||||
ABN AMRO Munitops VRDN RB Non-AMT Trust Certificates (University of Virginia) Series 2005-48 (ABN AMRO Bank N.V. SPA) (VMIG1)(b) | ||||||||||||||
$ | 6,500,000 | 4.00 | % | 07/06/2006 | $ | 6,500,000 | ||||||||
Montgomery County IDA VRDN RB for Virginia Technical Foundation Series 2005 (Bank of America N.A. LOC) (VMIG1) | ||||||||||||||
24,590,000 | 4.03 | 07/03/2006 | 24,590,000 | |||||||||||
University of Virginia VRDN RB Eagle Series 2006-0017 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
12,200,000 | 4.02 | 07/06/2006 | 12,200,000 | |||||||||||
Virginia College Building Authority Educational Facilities VRDN RB for University of Richmond Project Series 2004 (SunTrust Bank SPA) (VMIG1) | ||||||||||||||
12,000,000 | 3.99 | 07/05/2006 | 12,000,000 | |||||||||||
Virginia State Public School Authority VRDB RB Certificates Series 2005-26 Class A (IXIS Municipal Products SPA) (A-1+)(a)(b) | ||||||||||||||
9,980,000 | 4.01 | 07/06/2006 | 9,980,000 | |||||||||||
$ | 65,270,000 | |||||||||||||
Washington—5.3% | ||||||||||||||
Eclipse Funding Trust GO VRDN for Washington Solar Eclipse Series 2006-13 (AMBAC) (US Bank N.A. SPA)(b) | ||||||||||||||
$ | 25,905,000 | 4.00 | % | 07/06/2006 | $ | 25,905,000 | ||||||||
Eclipse Funding Trust VRDN RB for King County Series 2006 (FSA) (US Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
7,670,000 | 4.00 | 07/06/2006 | 7,670,000 | |||||||||||
Eclipse Funding Trust VRDN RB for Seattle Water Systems Series 2006-2 (MBIA) (US Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
6,700,000 | 4.00 | 07/06/2006 | 6,700,000 | |||||||||||
Energy Northwest Electric Revenue VRDN RB Eagle Series 2006-0065 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
10,000,000 | 4.02 | 07/06/2006 | 10,000,000 | |||||||||||
Energy Northwest Electric VRDN RB ROCS RR-II-R-6063 Series 2006 (Citibank N.A.) (VMIG1)(b) | ||||||||||||||
10,685,000 | 4.01 | 07/06/2006 | 10,685,000 | |||||||||||
Grant County Public Utility District VRDN Eagle Tax-Exempt Trust Series 2001-4702 Class A (FSA) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
8,810,000 | 4.02 | 07/03/2006 | 8,810,000 | |||||||||||
King & Snohomish Counties Washington School District #417 Northshore GO VRDN P-Floats-PT 1445 Series 2002 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,155,000 | 4.01 | 07/06/2006 | 5,155,000 | |||||||||||
King County GO VRDN P-Floats-PT 2703 Series 2005 (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
9,510,000 | 4.01 | 07/06/2006 | 9,510,000 | |||||||||||
King County GO VRDN Series 2005-1242 (FGIC) (Morgan Stanley SPA) (VMIG1)(b) | ||||||||||||||
6,630,000 | 4.01 | 07/06/2006 | 6,630,000 | |||||||||||
King County GO VRDN Spears Series 2005 DB-174 (FGIC) (Deutsche Bank AG) (F1+) | ||||||||||||||
8,000,000 | 4.00 | 07/06/2006 | 8,000,000 | |||||||||||
King County School District No. 401 Highline Public Schools GO VRDN P-Floats-PT 1423 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
11,045,000 | 4.01 | 07/06/2006 | 11,045,000 | |||||||||||
King County Sewer VRDN RB Bruts Series 2000 E (FGIC) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
9,525,000 | 4.01 | 07/05/2006 | 9,525,000 | |||||||||||
King County Sewer VRDN RB P-Floats-PT 3466 (FSA) (Merrill Lynch Capital Services) (F1+)(b) | ||||||||||||||
10,085,000 | 4.01 | 07/06/2006 | 10,085,000 | |||||||||||
King County Water & Sewer Systems CP Series 2005 A (Bayerische Landesbank SPA) (P-1, A-1) | ||||||||||||||
25,500,000 | 3.45 | 07/18/2006 | 25,500,000 | |||||||||||
12,700,000 | 3.52 | 07/24/2006 | 12,700,000 | |||||||||||
Port Seattle VRDN RB Series 2003 849-D (MBIA) (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
20,327,500 | 4.01 | 07/05/2006 | 20,327,500 | |||||||||||
Seattle Water Systems VRDN RB Eagle Tax-Exempt Trust Series 2005-0016 Class A (MBIA) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
12,530,000 | 4.02 | 07/06/2006 | 12,530,000 | |||||||||||
Seattle Water Systems VRDN RB Spears Series 2006-191 DB (MBIA) (Deutsche Bank A.G. SPA) (A-1+) (b) | ||||||||||||||
6,800,000 | 4.00 | 07/06/2006 | 6,800,000 | |||||||||||
Tacoma Regional Water Supply Systems VRDN RB Merlots Series 2003-B05 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
13,855,000 | 4.01 | 07/05/2006 | 13,855,000 | |||||||||||
Washington State COPS Eagle Tax-Exempt Trust Series 2000 Class A (Citibank N.A. SPA) (A-1+) (b) | ||||||||||||||
12,000,000 | 4.02 | 07/03/2006 | 12,000,000 | |||||||||||
Washington State Eagle Tax-Exempt Trust Series 2002 (Merrill Lynch Capital Services SPA) (A-1) (b) | ||||||||||||||
10,290,000 | 4.01 | 07/06/2006 | 10,290,000 | |||||||||||
Washington State Eagle Tax-Exempt Trust Series 2002-4703 Class A (MBIA) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
8,915,000 | 4.02 | 07/03/2006 | 8,915,000 | |||||||||||
Washington State GO Eagle Tax-Exempt Trust Series 1996 C-4704 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
8,525,000 | 4.02 | 07/03/2006 | 8,525,000 |
The accompanying notes are an integral part of these financial statements.
37
Schedule of Investments
Financial Square Tax-Free Money Market Fund (continued)
June 30, 2006 (Unaudited)
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Washington (continued) | ||||||||||||||
Washington State GO VRDN Eagle Tax-Exempt Trust Series 1998-4702 Class A (Citibank N.A. SPA) (A-1+)(a)(b) | ||||||||||||||
$ | 6,500,000 | 4.02 | % | 07/03/2006 | $ | 6,500,000 | ||||||||
Washington State GO VRDN Eagle Tax-Exempt Trust Series 2002-4701 Class A (FSA) (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
10,060,000 | 4.02 | 07/03/2006 | 10,060,000 | |||||||||||
Washington State GO VRDN Floaters Series 2005-1161 (AMBAC) (Morgan Stanley SPA) (A-1)(b) | ||||||||||||||
10,000,000 | 4.01 | 07/06/2006 | 10,000,000 | |||||||||||
Washington State GO VRDN Merlots Series 2003 B-23 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(b) | ||||||||||||||
18,185,000 | 4.01 | 07/05/2006 | 18,185,000 | |||||||||||
Washington State GO VRDN Merlots Series 2004 B-22 (FSA) (Wachovia Bank N.A. SPA) (A-1+)(b) | ||||||||||||||
8,760,000 | 4.01 | 07/03/2006 | 8,760,000 | |||||||||||
Washington State GO VRDN P-Floats-PT 1111 Series 2003 (Merrill Lynch Capital Services SPA) (A-1) (b) | ||||||||||||||
2,490,000 | 4.02 | 07/06/2006 | 2,490,000 | |||||||||||
Washington State GO VRDN P-Floats-PT 2093 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA) (F1+)(b) | ||||||||||||||
8,940,000 | 4.01 | 07/06/2006 | 8,940,000 | |||||||||||
Washington State GO VRDN P-Floats-PT 2736 Series 2005 (AMBAC) (Merrill Lynch Capital Services) (F1+)(b) | ||||||||||||||
13,230,000 | 4.01 | 07/06/2006 | 13,230,000 | |||||||||||
Washington State GO VRDN P-Floats-PT 433 Series 2000 (Depfa Bank PLC SPA) (A-1+)(b) | ||||||||||||||
9,760,000 | 4.01 | 07/06/2006 | 9,760,000 | |||||||||||
Washington State GO VRDN Putters Series 2005-1199 (FSA) (JP Morgan Chase & Co. SPA) (VMIG1) (b) | ||||||||||||||
7,245,000 | 4.01 | 07/06/2006 | 7,245,000 | |||||||||||
Washington State GO VRDN Putters Series 2006-1379 (AMBAC) (JP Morgan Chase Bank) (A-1+)(b) | ||||||||||||||
13,900,000 | 4.01 | 07/06/2006 | 13,900,000 | |||||||||||
Washington State Health Care Facilities Authority VRDN RB for Catholic Health Initiatives Series 2002 B (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
21,600,000 | 3.98 | 07/05/2006 | 21,600,000 | |||||||||||
Washington State Higher Educational Facilities Authority VRDN RB for University Puget Sound Project Series 2006 B (Bank of America N.A. LOC) (VMIG1) | ||||||||||||||
6,000,000 | 4.00 | 07/06/2006 | 6,000,000 | |||||||||||
Washington State University VRDN RB Floaters Series 2006-1405 (AMBAC) (Morgan Stanley SPA) (A-1) (b) | ||||||||||||||
10,590,000 | 4.01 | 07/06/2006 | 10,590,000 | |||||||||||
$ | 408,422,500 | |||||||||||||
West Virginia—0.1% | ||||||||||||||
Marshall County VRDN PCRB for Mountaineer Carbon Co. Series 2005 (A-1+/P-1) | ||||||||||||||
$ | 4,300,000 | 4.03 | % | 07/03/2006 | $ | 4,300,000 | ||||||||
Wisconsin—1.6% | ||||||||||||||
Milwaukee Metropolitan Sewage District GO VRDN P-Floats-PT 2678 Series 2005 (Dexia Credit Local SPA) (F1+)(b) | ||||||||||||||
$ | 11,605,000 | 4.00 | % | 07/06/2006 | $ | 11,605,000 | ||||||||
Wisconsin State GO VRDN P-Floats-PT 1507 Series 2002 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(b) | ||||||||||||||
5,790,000 | 4.01 | 07/06/2006 | 5,790,000 | |||||||||||
Wisconsin State Health & Educational Facilities Authority VRDN RB for Aurora Health Care, Inc. Series 1999 C (KBC Bank N.V. and Bank of Nova Scotia LOC) (A-1) | ||||||||||||||
24,030,000 | 4.00 | 07/06/2006 | 24,030,000 | |||||||||||
Wisconsin State Health & Educational Facilities Authority VRDN RB P-Floats-PT 917 Series 2004 (MBIA) (Landesbank Hessen-Thueringen SPA) (A-1)(b) | ||||||||||||||
77,185,000 | 4.01 | 07/06/2006 | 77,185,000 | |||||||||||
Wisconsin State Transportation Board VRDN RB Eagle Tax-Exempt Trust Series 2000-4901 Class A (Citibank N.A. SPA) (A-1+)(b) | ||||||||||||||
7,615,000 | 4.02 | 07/03/2006 | 7,615,000 | |||||||||||
$ | 126,225,000 | |||||||||||||
Other Tax-Exempt Securities—2.8% | ||||||||||||||
Puttable Floating Option Tax-Exempt Receipts VRDN RB P-Floats-EC-001 (Merrill Lynch Capital Services)(b) | ||||||||||||||
$ | 62,170,000 | 4.17 | % | 07/06/2006 | $ | 62,170,000 | ||||||||
Reset Optional Certificates Trust II-R VRDN RB ROCS RR-II-R 8017 MN (Citigroup Financial Products) (VMIG1)(b) | ||||||||||||||
153,320,000 | 4.07 | 07/06/2006 | 153,320,000 | |||||||||||
$ | 215,490,000 | |||||||||||||
Total Investments—107.1% | $ | 8,248,869,165 | ||||||||||||
Liabilities in Excess of Other Assets—(7.1)% | $ | (547,481,976 | ) | |||||||||||
Net Assets—100.0% | $ | 7,701,387,189 | ||||||||||||
The percentage shown for each category reflects the value of the investments in that category as a percentage of net assets.
(a) | All or portion represents a forward commitment. | |
(b) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At June 30, 2006, these securities amounted to $3,751,031,000 or approximately 49.7% of net assets. |
Interest rates represent either the stated coupon rate, or for floating rated securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next interest reset date for floating rate securities, or the prerefunded date for those types of securities.
Security ratings are obtained from Standard & Poor’s / Moody’s Investor Service / Fitch. A description of the ratings is available in the Fund’s Statement of Additional Investment Information.
The accompanying notes are an integral part of these financial statements.
38
Investment Abbreviations:
AMBAC | — | Insured by American Municipal Bond Assurance Corp. | ||
BANS | — | Bond Anticipation Notes | ||
COPS | — | Certificates of Participation | ||
CP | — | Commercial Paper | ||
FGIC | — | Insured by Financial Guaranty Insurance Co. | ||
FGIC-TCRS | — | Insured by Financial Guaranty Insurance Co.-Transferable Custodial Receipts | ||
FHLMC | — | Insured by Federal Home Loan Mortgage Corp. | ||
FNMA | — | Insured by Federal National Mortgage Association | ||
FSA | — | Insured by Financial Security Assurance Co. | ||
GO | — | General Obligation | ||
IDA | — | Industrial Development Authority | ||
IDB | — | Industrial Development Bond | ||
IDRB | — | Industrial Development Revenue Bond | ||
LOC | — | Letter of Credit | ||
MBIA | — | Insured by Municipal Bond Investors Assurance | ||
MBIA-IBC | — | Insured by Municipal Bond Investors Assurance-Insured Bond Certificates | ||
MF Hsg | — | Multi-Family Housing | ||
PCRB | — | Pollution Control Revenue Bond | ||
PSF-GTD | — | Guaranteed by Permanent School Fund | ||
Q-SBLF | — | Qualified School Bond Loan Fund | ||
RANS | — | Revenue Anticipation Notes | ||
RB | — | Revenue Bond | ||
ROCS | — | Reset Option Certificates | ||
SPA | — | Stand-by Purchase Agreement | ||
TANS | — | Tax Anticipation Notes | ||
TFA | — | Transitional Finance Authority | ||
TRANS | — | Tax Revenue Anticipation Notes | ||
VRDN | — | Variable Rate Demand Notes | ||
XLCA | — | Insured by XL Capital Assurance, Inc. | ||
The accompanying notes are an integral part of these financial statements.
39
ADDITIONAL INVESTMENT INFORMATION Goldman Sachs Trust — Financial Square Funds |
Joint Repurchase Agreement Account I— At June 30, 2006, certain Funds had undivided interests in the Joint Repurchase Agreement Account I, as follows:
Principal | ||||
Fund | Amount | |||
Financial Square Prime Obligations | $ | 81,500,000 | ||
Financial Square Money Market | 58,100,000 | |||
Financial Square Treasury Obligations | 5,693,400,000 | |||
Financial Square Government | 40,900,000 | |||
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
ABN Amro, Inc. | $ | 1,500,000,000 | 4.50% | 07/03/2006 | $ | 1,500,562,500 | ||||||||||
Banc of America Securities LLC | 300,000,000 | 4.20 | 07/03/2006 | 300,105,000 | ||||||||||||
Barclays Capital PLC | 200,000,000 | 4.50 | 07/03/2006 | 200,075,000 | ||||||||||||
Bear Stearns | 750,000,000 | 4.50 | 07/03/2006 | 750,281,250 | ||||||||||||
Deutsche Bank Securities, Inc. | 347,300,000 | 4.50 | 07/03/2006 | 347,430,238 | ||||||||||||
J.P. Morgan Securities, Inc. | 500,000,000 | 4.50 | 07/03/2006 | 500,187,500 | ||||||||||||
Lehman Brothers | 200,000,000 | 4.50 | 07/03/2006 | 200,075,000 | ||||||||||||
Merrill Lynch | 500,000,000 | 4.30 | 07/03/2006 | 500,179,167 | ||||||||||||
Morgan Stanley & Co. | 1,500,000,000 | 4.60 | 07/03/2006 | 1,500,575,000 | ||||||||||||
UBS Securities LLC | 1,000,000,000 | 4.60 | 07/03/2006 | 1,000,383,333 | ||||||||||||
TOTAL | $ | 6,797,300,000 | $ | 6,799,853,988 | ||||||||||||
At June 30, 2006, the Joint Repurchase Agreement Account I was fully collateralized by U.S. Treasury Bills, 0.00%, due 07/06/2006 to 12/28/2006; U.S. Treasury Bonds, 6.25% to 13.25%, due 01/15/2011 to 05/15/2016; U.S. Treasury Bonds Callable, 0.00% to 14.00%, due 01/15/2011 to 11/15/2014; U.S. Treasury Interest-Only Stripped Securities, 0.00%, due 08/15/2006 to 05/15/2016; U.S. Treasury Notes, 2.25% to 7.00%, due 07/15/2006 to 05/15/2016 and U.S. Treasury Principal-Only Stripped Securities, 0.00% to 11.25%, due 08/15/2006 to 05/15/2016. The aggregate market value of the collateral, including accrued interest, was $6,934,936,514. |
The accompanying notes are an integral part of these financial statements.
40
ADDITIONAL INVESTMENT INFORMATION Goldman Sachs Trust — Financial Square Funds |
Joint Repurchase Agreement Account II— At June 30, 2006, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
Principal | ||||
Fund | Amount | |||
Financial Square Prime Obligations | $ | 5,816,600,000 | ||
Financial Square Money Market | 905,100,000 | |||
Financial Square Government | 2,825,000,000 | |||
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 2,860,000,000 | 5.30% | 07/03/2006 | $ | 2,861,263,167 | ||||||||||
Barclays Capital PLC | 1,500,000,000 | 5.32 | 07/03/2006 | 1,500,665,000 | ||||||||||||
Bear Stearns | 500,000,000 | 5.31 | 07/03/2006 | 500,221,250 | ||||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 5.20 | 07/03/2006 | 1,000,433,333 | ||||||||||||
Greenwich Capital Markets | 300,000,000 | 5.32 | 07/03/2006 | 300,133,000 | ||||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 5.28 | 07/03/2006 | 400,176,000 | ||||||||||||
Merrill Lynch | 500,000,000 | 5.25 | 07/03/2006 | 500,218,750 | ||||||||||||
Morgan Stanley & Co. | 3,000,000,000 | 5.25 | 07/03/2006 | 3,001,312,500 | ||||||||||||
UBS Securities LLC | 1,050,000,000 | 5.25 | 07/03/2006 | 1,050,459,375 | ||||||||||||
UBS Securities LLC | 475,000,000 | 5.30 | 07/03/2006 | 475,209,792 | ||||||||||||
UBS Securities LLC | 400,000,000 | 5.34 | 07/03/2006 | 400,178,000 | ||||||||||||
Wachovia Capital Markets | 250,000,000 | 5.26 | 07/03/2006 | 250,109,583 | ||||||||||||
TOTAL | $ | 12,235,000,000 | $ | 12,240,379,750 | ||||||||||||
At June 30, 2006, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 11.00%, due 07/07/2006 to 04/20/2016; Federal Home Loan Mortgage Association, 3.00% to 8.50%, due 02/01/2007 to 07/01/2036; Federal National Mortgage Association, 0.00% to 10.50%, due 02/01/2007 to 07/01/2036; and U.S. Treasury Bonds, 5.00% to 7.14%, due 11/13/2008 to 10/20/2018. The aggregate market value of the collateral, including accrued interest, was $12,492,409,737. |
The accompanying notes are an integral part of these financial statements.
41
Goldman Sachs Trust—Financial Square Funds
Statements of Assets and Liabilities
June 30, 2006 (Unaudited)
Prime | Money | |||||||||
Obligations | Market | |||||||||
Fund | Fund | |||||||||
Assets: | ||||||||||
Investments in securities, at value based on amortized cost | $ | 19,276,643,277 | $ | 11,233,950,790 | ||||||
Repurchase agreements, at value based on amortized cost— unaffiliated issuers | 7,138,800,000 | 1,812,400,000 | ||||||||
Repurchase agreements, at value based on amortized cost— affiliated issuers | 700,000,000 | 275,000,000 | ||||||||
Cash | — | — | ||||||||
Receivables: | ||||||||||
Interest | 90,329,705 | 39,970,822 | ||||||||
Fund shares sold | 165,668 | 10,173,599 | ||||||||
Reimbursement from investment adviser | — | — | ||||||||
Other assets | 217,251 | 112,933 | ||||||||
Total assets | 27,206,155,901 | 13,371,608,144 | ||||||||
Liabilities: | ||||||||||
Payables: | ||||||||||
Due to custodian | 2,591,902 | 1,052,817 | ||||||||
Investment securities purchased | — | — | ||||||||
Dividend distribution | 68,432,528 | 23,151,766 | ||||||||
Fund shares repurchased | 752,710 | 6,006,673 | ||||||||
Amounts owed to affiliates | 3,976,280 | 1,811,534 | ||||||||
Accrued expenses | 1,854,646 | 520,619 | ||||||||
Total liabilities | 77,608,066 | 32,543,409 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 27,128,797,072 | 13,339,143,480 | ||||||||
Undistributed net investment income | 952,110 | 84,968 | ||||||||
Accumulated net realized loss on investment transactions | (1,201,347 | ) | (163,713 | ) | ||||||
Net assets | $ | 27,128,547,835 | $ | 13,339,064,735 | ||||||
Net asset value, offering and redemption price per share | $1.00 | $1.00 | ||||||||
Net Assets: | ||||||||||
FST Shares | $ | 19,540,806,408 | $ | 11,955,487,188 | ||||||
FST Select Shares | 147,672,565 | 182,198,099 | ||||||||
FST Preferred Shares | 1,539,612,879 | 84,792,941 | ||||||||
FST Capital Shares | 486,190,562 | 22,721,340 | ||||||||
FST Administration Shares | 3,895,610,979 | 736,850,371 | ||||||||
FST Service Shares | 1,518,654,442 | 357,014,796 | ||||||||
Shares outstanding: | ||||||||||
FST Shares | 19,540,981,442 | 11,955,558,768 | ||||||||
FST Select Shares | 147,673,888 | 182,199,174 | ||||||||
FST Preferred Shares | 1,539,626,670 | 84,793,441 | ||||||||
FST Capital Shares | 486,194,917 | 22,721,474 | ||||||||
FST Administration Shares | 3,895,645,874 | 736,853,720 | ||||||||
FST Service Shares | 1,518,668,045 | 357,016,903 | ||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 27,128,790,836 | 13,339,143,480 | ||||||||
The accompanying notes are an integral part of these financial statements.
42
Treasury | Tax-Free | |||||||||||||||||
Treasury | Instruments | Government | Federal | Money Market | ||||||||||||||
Obligations | Fund | Fund | Fund | Fund | ||||||||||||||
$ | — | $ | 2,781,249,377 | $ | 1,226,407,865 | $ | 7,775,277,082 | $ | 8,248,869,165 | |||||||||
6,127,000,000 | — | 2,963,800,000 | — | — | ||||||||||||||
— | — | 250,000,000 | — | — | ||||||||||||||
75,959 | — | 83,473 | 57,613,355 | — | ||||||||||||||
4,128,935 | — | 5,299,537 | 26,033,982 | 47,185,729 | ||||||||||||||
— | 15,825,000 | 52,428 | — | 575,508 | ||||||||||||||
10,352 | 27,287 | 15,295 | 5,860 | — | ||||||||||||||
48,202 | 20,381 | 60,312 | 76,063 | 79,295 | ||||||||||||||
6,131,263,448 | 2,797,122,045 | 4,445,718,910 | 7,859,006,342 | 8,296,709,697 | ||||||||||||||
— | 69,026 | — | — | 3,394,504 | ||||||||||||||
— | — | — | — | 578,495,332 | ||||||||||||||
14,375,943 | 6,858,680 | 9,867,040 | 7,105,704 | 6,301,611 | ||||||||||||||
— | — | 23,099 | — | 5,690,953 | ||||||||||||||
953,946 | 400,523 | 610,562 | 1,222,073 | 1,083,081 | ||||||||||||||
1,096,967 | 361,681 | 603,901 | 522,299 | 357,027 | ||||||||||||||
16,426,856 | 7,689,910 | 11,104,602 | 8,850,076 | 595,322,508 | ||||||||||||||
6,115,098,076 | 2,789,373,762 | 4,434,720,787 | 7,850,335,372 | 7,701,714,089 | ||||||||||||||
1,409,856 | 442,435 | 561,835 | 239,837 | — | ||||||||||||||
(1,671,340 | ) | (384,062 | ) | (668,314 | ) | (418,943 | ) | (326,900 | ) | |||||||||
$ | 6,114,836,592 | $ | 2,789,432,135 | $ | 4,434,614,308 | $ | 7,850,156,266 | $ | 7,701,387,189 | |||||||||
$1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||
$ | 1,826,795,001 | $ | 1,376,478,097 | $ | 2,416,997,705 | $ | 6,544,792,694 | $ | 6,529,598,099 | |||||||||
1,198 | 67,989 | 89,223,297 | 1,204 | 136,565,382 | ||||||||||||||
753,274,032 | 134,990,744 | 277,809,278 | 155,395,399 | 392,097,694 | ||||||||||||||
8,051,104 | 39,686,991 | 148,154,265 | 3,643,580 | 198,765,144 | ||||||||||||||
2,266,550,971 | 1,001,028,483 | 1,182,960,808 | 650,257,856 | 315,143,817 | ||||||||||||||
1,260,164,286 | 237,179,831 | 319,468,955 | 496,065,533 | 129,217,053 | ||||||||||||||
1,826,873,119 | 1,376,449,288 | 2,417,055,739 | 6,544,942,017 | 6,529,756,156 | ||||||||||||||
1,198 | 67,988 | 89,225,439 | 1,204 | 136,568,945 | ||||||||||||||
753,306,244 | 134,987,919 | 277,815,949 | 155,398,944 | 392,101,713 | ||||||||||||||
8,051,448 | 39,686,160 | 148,157,822 | 3,643,663 | 198,764,328 | ||||||||||||||
2,266,647,894 | 1,001,007,537 | 1,182,989,212 | 650,272,693 | 315,153,832 | ||||||||||||||
1,260,218,173 | 237,174,870 | 319,476,626 | 496,076,851 | 129,216,959 | ||||||||||||||
6,115,098,076 | 2,789,373,762 | 4,434,720,787 | 7,850,335,372 | 7,701,561,933 | ||||||||||||||
43
Goldman Sachs Trust—Financial Square Funds
Statements of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
Prime | Money | |||||||||
Obligations | Market | |||||||||
Fund | Fund | |||||||||
Investment income: | ||||||||||
Interest income—unaffiliated | $ | 670,099,154 | $ | 291,519,856 | ||||||
Interest income—affiliated | 8,193,980 | 5,103,559 | ||||||||
Total investment income | 678,293,134 | 296,623,415 | ||||||||
Expenses: | ||||||||||
Portfolio-Level Expenses: | ||||||||||
Management fees | 29,186,362 | 12,736,537 | ||||||||
Transfer agent fees | 2,135,981 | 931,974 | ||||||||
Custody and accounting fees | 1,105,245 | 483,070 | ||||||||
Registration fees | 112,952 | 64,311 | ||||||||
Professional fees | 38,831 | 39,269 | ||||||||
Printing fees | 33,749 | 22,996 | ||||||||
Trustee fees | 7,610 | 7,402 | ||||||||
Other | 259,707 | 157,261 | ||||||||
Subtotal | 32,880,437 | 14,442,820 | ||||||||
Class Specific Expenses: | ||||||||||
Service Share fees | 3,340,078 | 868,311 | ||||||||
Administration Share fees | 4,922,124 | 903,136 | ||||||||
Capital Share fees | 312,451 | 21,065 | ||||||||
Preferred Share fees | 775,451 | 37,462 | ||||||||
Select Share fees | 18,910 | 17,854 | ||||||||
Total expenses | 42,249,451 | 16,290,648 | ||||||||
Less— expense reductions | (7,125,025 | ) | (3,112,293 | ) | ||||||
Net expenses | 35,124,426 | 13,178,355 | ||||||||
Net investment income | $ | 643,168,708 | $ | 283,445,060 | ||||||
Net realized gain (loss) on investment transactions | (442,918 | ) | (138,886 | ) | ||||||
Net increase in net assets resulting from operations | $ | 642,725,790 | $ | 283,306,174 | ||||||
The accompanying notes are an integral part of these financial statements.
44
Treasury | Treasury | Tax-Free | ||||||||||||||||
Obligations | Instruments | Government | Federal | Money Market | ||||||||||||||
Fund | Fund | Fund | Fund | Fund | ||||||||||||||
$ | 125,410,061 | $ | 55,113,944 | $ | 98,076,588 | $ | 189,236,278 | $ | 143,142,238 | |||||||||
27,222 | — | 1,726,162 | — | — | ||||||||||||||
125,437,283 | 55,113,944 | 99,802,750 | 189,236,278 | 143,142,238 | ||||||||||||||
5,496,776 | 2,497,150 | 4,323,579 | 8,294,369 | 8,921,148 | ||||||||||||||
402,204 | 182,718 | 316,457 | 606,905 | 652,767 | ||||||||||||||
253,589 | 161,094 | 212,779 | 368,712 | 355,318 | ||||||||||||||
57,040 | 31,820 | 42,613 | 47,173 | 52,849 | ||||||||||||||
37,174 | 34,554 | 35,537 | 39,822 | 35,378 | ||||||||||||||
16,008 | 12,747 | 14,732 | 21,423 | 21,749 | ||||||||||||||
6,841 | 6,841 | 6,841 | 6,919 | 6,937 | ||||||||||||||
63,421 | 41,509 | 45,451 | 88,256 | 84,556 | ||||||||||||||
6,333,053 | 2,968,433 | 4,997,989 | 9,473,579 | 10,130,702 | ||||||||||||||
2,536,412 | 479,303 | 750,509 | 1,404,481 | 365,467 | ||||||||||||||
2,451,722 | 781,250 | 1,470,343 | 829,629 | 426,479 | ||||||||||||||
3,795 | 8,888 | 108,647 | 2,717 | 186,074 | ||||||||||||||
326,574 | 66,800 | 153,357 | 71,966 | 158,954 | ||||||||||||||
148 | 10 | 12,200 | — | 18,665 | ||||||||||||||
11,651,704 | 4,304,684 | 7,493,045 | 11,782,372 | 11,286,341 | ||||||||||||||
(864,056 | ) | (492,788 | ) | (1,116,973 | ) | (1,238,349 | ) | (2,222,008 | ) | |||||||||
10,787,648 | 3,811,896 | 6,376,072 | 10,544,023 | 9,064,333 | ||||||||||||||
$ | 114,649,635 | $ | 51,302,048 | $ | 93,426,678 | $ | 178,692,255 | $ | 134,077,905 | |||||||||
(430,806 | ) | (409,035 | ) | (197,272 | ) | (304,248 | ) | 4,774 | ||||||||||
$ | 114,218,829 | $ | 50,893,013 | $ | 93,229,406 | $ | 178,388,007 | $ | 134,082,679 | |||||||||
45
Goldman Sachs Trust—Financial Square Funds
Statements of Changes in Net Assets
Prime Obligations Fund | |||||||||
For the | |||||||||
Six Months | |||||||||
Ended | For the | ||||||||
June 30, 2006 | Year Ended | ||||||||
(Unaudited) | December 31, 2005 | ||||||||
From operations: | |||||||||
Net investment income | $ | 643,168,708 | $ | 735,239,099 | |||||
Net realized loss on investment transactions | (442,918 | ) | (313,038 | ) | |||||
Net increase in net assets resulting from operations | 642,725,790 | 734,926,061 | |||||||
Distributions to shareholders: | |||||||||
From net investment income: | |||||||||
FST Shares | (483,527,039 | ) | (558,926,671 | ) | |||||
FST Select Shares | (2,909,211 | ) | (2,550,372 | ) | |||||
FST Preferred Shares | (34,657,545 | ) | (43,772,224 | ) | |||||
FST Capital Shares | (9,239,977 | ) | (8,217,189 | ) | |||||
FST Administration Shares | (85,268,175 | ) | (89,982,138 | ) | |||||
FST Service Shares | (27,366,844 | ) | (31,391,499 | ) | |||||
Total distributions to shareholders | (642,968,791 | ) | (734,840,093 | ) | |||||
From share transactions (at $1.00 per share): | |||||||||
Proceeds from sales of shares | 121,683,329,395 | 208,401,748,262 | |||||||
Proceeds received in connection with merger | — | 171,881,446 | |||||||
Reinvestment of dividends and distributions | 234,384,077 | 262,899,844 | |||||||
Cost of shares repurchased | (120,764,015,526 | ) | (204,455,530,042 | ) | |||||
Net increase in net assets resulting from share transactions | 1,153,697,946 | 4,380,999,510 | |||||||
Net increase | 1,153,454,945 | 4,381,085,478 | |||||||
Net assets: | |||||||||
Beginning of period | 25,975,092,890 | 21,594,007,412 | |||||||
End of period | $ | 27,128,547,835 | $ | 25,975,092,890 | |||||
Undistributed net investment income | $ | 952,110 | $ | 752,193 | |||||
The accompanying notes are an integral part of these financial statements.
46
Money Market Fund | Treasury Obligations | |||||||||||||
For the | For the | |||||||||||||
Six Months | Six Months | |||||||||||||
Ended | For the | Ended | For the | |||||||||||
June 30, 2006 | Year Ended | June 30, 2006 | Year Ended | |||||||||||
(Unaudited) | December 31, 2005 | (Unaudited) | December 31, 2005 | |||||||||||
$ | 283,445,060 | $ | 353,729,960 | $ | 114,649,635 | $ | 135,358,004 | |||||||
(138,886 | ) | (24,827 | ) | (430,806 | ) | (775,265 | ) | |||||||
283,306,174 | 353,705,133 | 114,218,829 | 134,582,739 | |||||||||||
(255,529,814 | ) | (320,855,079 | ) | (38,681,051 | ) | (52,273,522 | ) | |||||||
(2,753,509 | ) | (2,456,977 | ) | (21,857 | ) | (7,777 | ) | |||||||
(1,672,134 | ) | (3,009,144 | ) | (14,227,366 | ) | (16,451,987 | ) | |||||||
(618,258 | ) | (691,046 | ) | (112,629 | ) | (47,233 | ) | |||||||
(15,717,906 | ) | (18,641,521 | ) | (41,301,965 | ) | (47,773,204 | ) | |||||||
(7,093,298 | ) | (8,051,366 | ) | (20,135,445 | ) | (17,771,522 | ) | |||||||
(283,384,919 | ) | (353,705,133 | ) | (114,480,313 | ) | (134,325,245 | ) | |||||||
32,868,058,712 | 66,103,816,931 | 18,492,672,137 | 34,473,243,436 | |||||||||||
72,020,346 | — | — | — | |||||||||||
151,436,362 | 203,177,895 | 37,771,997 | 43,998,954 | |||||||||||
(31,069,558,814 | ) | (65,219,472,966 | ) | (17,612,359,942 | ) | (34,335,378,208 | ) | |||||||
2,021,956,606 | 1,087,521,860 | 918,084,192 | 181,864,182 | |||||||||||
2,021,877,861 | 1,087,521,860 | 917,822,708 | 182,121,676 | |||||||||||
11,317,186,874 | 10,229,665,014 | 5,197,013,884 | 5,014,892,208 | |||||||||||
$ | 13,339,064,735 | $ | 11,317,186,874 | $ | 6,114,836,592 | $ | 5,197,013,884 | |||||||
$ | 84,968 | $ | 24,827 | $ | 1,409,856 | $ | 1,240,534 | |||||||
47
Goldman Sachs Trust—Financial Square Funds
Statements of Changes in Net Assets
Treasury Instruments Fund | |||||||||
For the | |||||||||
Six Months | |||||||||
Ended | For the | ||||||||
June 30, 2006 | Year Ended | ||||||||
(Unaudited) | December 31, 2005 | ||||||||
From operations: | |||||||||
Net investment income | $ | 51,302,048 | $ | 54,753,851 | |||||
Net realized gain (loss) on investment transactions | (409,035 | ) | 104,005 | ||||||
Net increase in net assets resulting from operations | 50,893,013 | 54,857,856 | |||||||
Distributions to shareholders: | |||||||||
From net investment income: | |||||||||
FST Shares | (31,585,123 | ) | (37,057,183 | ) | |||||
FST Select Shares | (1,416 | ) | (1,821 | ) | |||||
FST Preferred Shares | (2,791,948 | ) | (2,414,908 | ) | |||||
FST Capital Shares | (244,680 | ) | (430,222 | ) | |||||
FST Administration Shares | (12,658,946 | ) | (11,382,636 | ) | |||||
FST Service Shares | (3,606,957 | ) | (3,515,884 | ) | |||||
Total distributions to shareholders | (50,889,070 | ) | (54,802,654 | ) | |||||
From share transactions (at $1.00 per share): | |||||||||
Proceeds from sales of shares | 7,857,789,124 | 13,045,413,055 | |||||||
Proceeds received in connection with merger | — | — | |||||||
Reinvestment of dividends and distributions | 13,235,336 | 16,132,045 | |||||||
Cost of shares repurchased | (7,229,784,179 | ) | (13,039,778,449 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | 641,240,281 | 21,766,651 | |||||||
Net increase (decrease) | 641,244,224 | 21,821,853 | |||||||
Net assets: | |||||||||
Beginning of period | 2,148,187,911 | 2,126,366,058 | |||||||
End of period | $ | 2,789,432,135 | $ | 2,148,187,911 | |||||
Undistributed net investment income | $ | 442,435 | $ | 29,457 | |||||
The accompanying notes are an integral part of these financial statements.
48
Government Fund | Federal Fund | |||||||||||||
For the | For the | |||||||||||||
Six Months | Six Months | |||||||||||||
Ended | For the | Ended | For the | |||||||||||
June 30, 2006 | Year Ended | June 30, 2006 | Year Ended | |||||||||||
(Unaudited) | December 31, 2005 | (Unaudited) | December 31, 2005 | |||||||||||
$ | 93,426,678 | $ | 117,702,672 | $ | 178,692,255 | $ | 229,956,613 | |||||||
(197,272 | ) | (468,848 | ) | (304,248 | ) | (114,695 | ) | |||||||
93,229,406 | 117,233,824 | 178,388,007 | 229,841,918 | |||||||||||
(50,154,004 | ) | (64,187,471 | ) | (150,184,813 | ) | (196,817,084 | ) | |||||||
(1,839,839 | ) | (3,487,989 | ) | (40 | ) | (93 | ) | |||||||
(6,824,243 | ) | (11,438,778 | ) | (3,150,212 | ) | (2,891,225 | ) | |||||||
(3,167,889 | ) | (3,563,566 | ) | (78,306 | ) | (106,733 | ) | |||||||
(25,264,603 | ) | (26,986,409 | ) | (14,025,166 | ) | (16,763,562 | ) | |||||||
(6,085,307 | ) | (7,569,611 | ) | (11,133,926 | ) | (13,257,871 | ) | |||||||
(93,335,885 | ) | (117,233,824 | ) | (178,572,463 | ) | (229,836,568 | ) | |||||||
18,975,241,408 | 35,073,573,175 | 12,757,412,540 | 37,512,861,464 | |||||||||||
128,482,724 | — | — | — | |||||||||||
39,588,979 | 52,868,758 | 137,315,491 | 163,054,247 | |||||||||||
(19,475,327,283 | ) | (34,978,347,889 | ) | (14,051,802,216 | ) | (37,213,618,785 | ) | |||||||
(332,014,172 | ) | 148,094,044 | (1,157,074,185 | ) | 462,296,926 | |||||||||
(332,120,651 | ) | 148,094,044 | (1,157,258,641 | ) | 462,302,276 | |||||||||
4,766,734,959 | 4,618,640,915 | 9,007,414,907 | 8,545,112,631 | |||||||||||
$ | 4,434,614,308 | $ | 4,766,734,959 | $ | 7,850,156,266 | $ | 9,007,414,907 | |||||||
$ | 561,835 | $ | 471,042 | $ | 239,837 | $ | 120,045 | |||||||
49
Goldman Sachs Trust—Financial Square Funds
Statements of Changes in Net Assets
Tax-Free Money Market Fund | |||||||||
For the | |||||||||
Six Months | |||||||||
Ended | For the | ||||||||
June 30, 2006 | Year Ended | ||||||||
(Unaudited) | December 31, 2005 | ||||||||
From operations: | |||||||||
Net investment income | $ | 134,077,905 | $ | 178,525,155 | |||||
Net realized gain (loss) on investment transactions | 4,774 | (36,730 | ) | ||||||
Net increase in net assets resulting from operations | 134,082,679 | 178,488,425 | |||||||
Distributions to shareholders: | |||||||||
From net investment income: | |||||||||
FST Shares | (116,896,646 | ) | (158,247,187 | ) | |||||
FST Select Shares | (1,913,213 | ) | (2,489,423 | ) | |||||
FST Preferred Shares | (4,831,150 | ) | (5,191,739 | ) | |||||
FST Capital Shares | (3,651,282 | ) | (2,964,637 | ) | |||||
FST Administration Shares | (4,878,508 | ) | (7,061,884 | ) | |||||
FST Service Shares | (1,907,106 | ) | (2,570,285 | ) | |||||
Total distributions to shareholders | (134,077,905 | ) | (178,525,155 | ) | |||||
From share transactions (at $1.00 per share): | |||||||||
Proceeds from sales of shares | 37,969,707,749 | 55,412,105,800 | |||||||
Proceeds received in connection with merger | 55,824,655 | 75,375,094 | |||||||
Reinvestment of dividends and distributions | 95,651,622 | 123,034,526 | |||||||
Cost of shares repurchased | (39,121,430,259 | ) | (55,746,143,874 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | (1,000,246,233 | ) | (135,628,454 | ) | |||||
Net increase (decrease) | (1,000,241,459 | ) | (135,665,184 | ) | |||||
Net assets: | |||||||||
Beginning of period | 8,701,628,648 | 8,837,293,832 | |||||||
End of period | $ | 7,701,387,189 | $ | 8,701,628,648 | |||||
Undistributed net investment income | $ | — | $ | — | |||||
The accompanying notes are an integral part of these financial statements.
50
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements
June 30, 2006 (Unaudited)
1. Organization
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940 (as amended) (the “Act”) as an open-end, management investment company. The Trust includes the Financial Square Funds, collectively, “the Funds,” or individually, a “Fund.” Financial Square consists of seven diversified funds: Prime Obligations, Money Market, Treasury Obligations, Treasury Instruments, Government, Federal and Tax-Free Money Market. The Funds offer six classes of shares—FST Shares, FST Select Shares, FST Preferred Shares, FST Capital Shares, FST Administration Shares and FST Service Shares. The investment objective of the Funds is to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity by investing exclusively in high quality money market instruments.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.
A. Investment Valuation—
Each Fund uses the amortized-cost method, as permitted by Rule 2a-7 under the Act, for valuing portfolio securities, which approximates market value. Under this method, all investments purchased at a discount or premium are valued by accreting or amortizing the difference between the original purchase price and maturity value of the issue over the period to maturity.
B. Security Transactions and Interest Income—
Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Net investment income (other than class specific expenses) and realized gains or losses are allocated to each class of shares of the Fund based upon the relative proportion of net assets of each class.
C. Federal Taxes and Distribution to Shareholders—
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable and tax-exempt income to its shareholders. Accordingly, no federal tax provisions are required. Income distributions to shareholders are declared and recorded daily and paid monthly by the Funds.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with U.S. Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Funds’ distributions is shown in the accompanying financial statements as from net investment income.
As of December 31, 2005 the components of accumulated earnings (losses) on a tax basis consisted primarily of capital loss carryforwards and certain timing differences, if any. Such timing differences include prior year non-deductible organization costs.
51
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements (continued)
June 30, 2006 (Unaudited)
At December 31, 2005 (tax-year end), the following Funds had a capital loss carryforward for U.S. Federal tax purposes of approximately:
Capital loss carryforward*: | |||||||||||||||||||||||||
Tax-Free | |||||||||||||||||||||||||
Prime | Money | Treasury | Money | ||||||||||||||||||||||
Year Expiring | Obligation | Market | Obligations | Government | Federal | Market | |||||||||||||||||||
2006 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 7,028 | |||||||||||||
2007 | — | — | — | — | — | 637 | |||||||||||||||||||
2009 | — | — | — | — | — | 2,452 | |||||||||||||||||||
2010 | — | — | — | — | — | 3,295 | |||||||||||||||||||
2011 | 5,692 | — | — | — | — | 189,335 | |||||||||||||||||||
2012 | 544 | — | — | — | — | 86,852 | |||||||||||||||||||
2013 | 752,193 | 24,827 | 1,240,534 | 471,042 | 114,695 | 42,075 | |||||||||||||||||||
Total capital loss carryforward | $ | 758,429 | $ | 24,827 | $ | 1,240,534 | $ | 471,042 | $ | 114,695 | $ | 331,674 | |||||||||||||
* | Due to fund mergers, utilization of these losses may be limited under the Internal Revenue Code. |
These amounts are available to be carried forward to offset future capital gains to the extent permitted by applicable laws and regulations. Expiration occurs on December 31 of the year indicated.
The amortized cost for each Fund stated in the accompanying Statements of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes.
D. Expenses—
Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expense. Select, Preferred, Capital, Administration and Service Shares bear all expenses and fees relating to their respective service plans.
E. Forward Commitment Transactions—
The Funds may enter into forward commitments. These transactions involve a commitment by the Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond a customary settlement. As a result of entering into these transactions, the Funds are required to segregate liquid assets equal to or greater than the market value of the corresponding transactions. The purchased securities in the forward commitment transactions do not begin to accrue interest income until the settlement date of the securities. Losses may arise due to changes in the market value of the security or from the inability of counterparties to meet the terms of the transaction.
F. Repurchase Agreements—
Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and terms and conditions contained therein, the Funds, together with other registered investment companies having management or investment advisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.
52
3. Agreements
GSAM, an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser pursuant to an Investment Management Agreement
(the “Agreement”) with the Trust on behalf of the Funds. Under the Agreements, GSAM manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
(the “Agreement”) with the Trust on behalf of the Funds. Under the Agreements, GSAM manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Funds’ business affairs, including providing facilities, GSAM is entitled to a fee (“Management fee”) computed daily and payable monthly, at an annual percentage rate equal to 0.205% of each Fund’s average daily net assets.
For the six months ended June 30, 2006, GSAM has voluntarily agreed to waive a portion of its Management fee equal to an annual percentage rate of the average daily net assets of the Funds.
At a meeting held on June 16, 2005, GSAM agreed to voluntarily increase its Management fee waiver for the Funds. Effective July 1, 2005, GSAM has voluntarily agreed to waive a portion of its Management fee equal annually to 0.05% of the average daily net assets of Prime Obligations, Money Market, Government and Tax-Free Money Market Funds and 0.03% of the average daily net assets of the Treasury Obligations, Treasury Instruments and Federal Funds.
Prior to July 1, 2005, GSAM had agreed to waive a portion of its Management fees equal annually to 0.035% of the average daily net assets of Prime Obligations, Money Market, Government and Tax-Free Money Market Funds and 0.015% of the average daily net assets of the Treasury Obligations, Treasury Instruments and Federal Funds.
Additionally, GSAM has voluntarily agreed to limit certain “Other Expenses” of the Funds (excluding Management fees, Transfer agent fees, Select service fees, Preferred administration fees, Capital administration fees, Administration fees, Service fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meeting and other extraordinary expenses) to the extent such expenses exceed, on an annual basis, 0.014% of the average daily net assets of each Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any.
In addition, the Funds have entered into certain expense offset arrangements with the custodian resulting in a reduction in the Funds’ expenses. Such custody expense reductions are in addition to other expenses reimbursed by the adviser.
For the six months ended June 30, 2006, expense reductions were as follows (in thousands):
Other | ||||||||||||||||||
Expenses | Custody | |||||||||||||||||
Management | Reimbursed | Expense | ||||||||||||||||
Fund | Fees Waived | by Adviser | Reductions | Total | ||||||||||||||
Prime Obligations | $ | 7,115 | $ | — | $ | 10 | $ | 7,125 | ||||||||||
Money Market | 3,106 | — | 6 | 3,112 | ||||||||||||||
Treasury Obligations | 804 | 59 | 1 | 864 | ||||||||||||||
Treasury Instruments | 365 | 118 | 10 | 493 | ||||||||||||||
Government | 1,054 | 63 | 0 | 1,117 | ||||||||||||||
Federal | 1,214 | 6 | 18 | 1,238 | ||||||||||||||
Tax-Free Money Market | 2,176 | — | 46 | 2,222 | ||||||||||||||
53
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements (continued)
June 30, 2006 (Unaudited)
Goldman Sachs serves as Distributor of shares of the Funds pursuant to a Distribution Agreement and receives no separate fee.
At a meeting held on June 16, 2005, the Board of Trustees of the Trust approved Transfer Agent Fees equal to 0.015% of the average daily net assets of each Fund, which became effective July 1, 2005. Prior to July 1, 2005, Goldman Sachs received no separate fee as Transfer Agent.
At June 30, 2006, the amounts owed to GSAM and its affiliates were as follows (in thousands):
Transfer | ||||||||||||||
Management | Agent | |||||||||||||
Fund | Fees | Fees | Total | |||||||||||
Prime Obligations | $ | 3,624 | $ | 352 | $ | 3,976 | ||||||||
Money Market | 1,650 | 162 | 1,812 | |||||||||||
Treasury Obligations | 879 | 75 | 954 | |||||||||||
Treasury Instruments | 369 | 32 | 401 | |||||||||||
Government | 557 | 54 | 611 | |||||||||||
Federal | 1,126 | 96 | 1,222 | |||||||||||
Tax-Free Money Market | 988 | 95 | 1,083 | |||||||||||
4. Select, Preferred, Capital, Administration and Service Plans
The Trust, on behalf of each Fund, has adopted Service Plans. These plans allow for Select, Preferred, Capital, Administration and Service Shares to compensate service organizations for providing varying levels of account administration and shareholder liaison services to their customers who are beneficial owners of such shares. The Service Plans for Select, Preferred, Capital, Administration and Service Shares provide for compensation to the service organizations in an amount up to 0.03%, 0.10%, 0.15%, 0.25% and 0.50% (on an annual basis), respectively, of the average daily net asset value of the respective shares.
5. Line of Credit Facility
The Funds participate in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, each Fund must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The committed facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. During the six months ended June 30, 2006, the Funds did not have any borrowings under this facility.
6. Portfolio Concentrations
As a result of the Tax-Free Money Market Fund’s ability to invest a large percentage of its assets in obligations of issuers within certain states, it is subject to possible concentration risks associated with economic, political or legal developments or industrial or regional matters specifically affecting such states.
7. Other Matters
Exemptive Orders— Pursuant to Securities and Exchange Commission (“SEC”) exemptive orders, the Goldman Sachs money market funds may enter into certain principal transactions with Goldman Sachs.
Legal Proceedings— Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds and the Trustees and Officers of the Goldman Sachs Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended
complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including
complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including
54
certain Goldman Sachs Funds and the Trustees and Officers of the Trust. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the ”Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars.
The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the Plaintiffs appealed this decision.
Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Funds is remote, and the pending action is not likely to materially affect its ability to provide investment management services to its clients, including the Goldman Sachs Funds.
New Accounting Pronouncements— On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
Mergers and Reorganizations— At a meeting held on November 4, 2004, the Board of Trustees of the Trust approved an Agreements and Plan of Reorganization (“the Agreement”) providing for the tax-free acquisition of the Expedition Money Market and Tax-Free Money Market Funds into the Goldman Sachs Financial Square Prime Obligations and Tax-Free Money Market Funds. The acquisition was completed on February 28, 2005.
55
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements (continued)
June 30, 2006 (Unaudited)
Pursuant to the Agreement, the assets and liabilities of the Expedition Money Market Fund and Tax-Free Money Markets (“Acquired Funds”) Institutional Class and Investment Services Class were transferred into the Goldman Sachs Financial Square Prime Obligations and Financial Square Tax-Free Money Market’s (“Survivors”) FST Administration Class and FST Service Class, respectively, in a tax-free exchange as follows:
Acquired | |||||||||||||
Fund’s Shares | |||||||||||||
Exchanged | Outstanding | ||||||||||||
Shares of | Value of | as of | |||||||||||
Survivor | Exchanged | February 28, | |||||||||||
Survivor/Acquired Fund | Issued | Shares | 2005 | ||||||||||
Goldman Sachs Financial Square Prime Obligations FST Administration Class/ | |||||||||||||
Expedition Money Market Institutional Class | 27,956,937 | $ | 27,956,937 | 27,956,937 | |||||||||
Goldman Sachs Financial Square Prime Obligations FST Service Class/ | |||||||||||||
Expedition Money Market Investment Service Class | 143,924,508 | $ | 143,924,508 | 143,924,508 | |||||||||
Goldman Sachs Financial Square Tax-Free Money Market FST Administration Class/ | |||||||||||||
Expedition Tax-Free Money Market Institutional Class | 5,198,906 | $ | 5,198,906 | 5,198,906 | |||||||||
Goldman Sachs Financial Square Tax-Free Money Market FST Service Class/ | |||||||||||||
Expedition Tax-Free Money Market Investment Service Class | 70,176,189 | $ | 70,176,189 | 70,176,189 | |||||||||
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition).
Survivor | |||||||||||||||||
Survivor | Acquired | Fund’s | |||||||||||||||
Fund’s | Fund’s | Aggregate | |||||||||||||||
Aggregate | Aggregate | Acquired | Net Assets | ||||||||||||||
Net Assets | Net Assets | Fund’s | immediately | ||||||||||||||
Survivor/ | before | before | Capital Loss | after | |||||||||||||
Acquired Fund | acquisition | acquisition | Carryforward | acquisition | |||||||||||||
Goldman Sachs Financial Square Prime Obligations/ | |||||||||||||||||
Expedition Money Market | $ | 26,253,114,104 | $ | 171,881,446 | $ | (6,236 | ) | $ | 26,424,995,550 | ||||||||
Goldman Sachs Financial Square Tax-Free Money Market/ | |||||||||||||||||
Expedition Tax-Free Money Market | $ | 8,370,503,410 | $ | 75,375,094 | $ | (15,407 | ) | $ | 8,445,878,504 | ||||||||
At a meeting held on December 14, 2005, the Board of Trustees approved an Agreement and Plan of Reorganization (the “Agreement”) providing for the tax-free acquisitions of the First Funds Cash Reserve Portfolio by the Goldman Sachs Financial Square Money Market Fund, the First Funds U.S. Government Money Market Portfolio by the Goldman Sachs Financial Square Government Fund, and the First Funds Municipal Money Market Portfolio by the Goldman Sachs Financial Square Tax-Free Money Market Fund. The trustees approved certain amendments to the Agreement on April 7, 2006. The acquisitions were completed on June 5, 2006.
56
Pursuant to the Agreement, the assets and liabilities of the First Funds Cash Reserve Portfolio, First Funds U.S. Government Money Market Portfolio and the First Funds Municipal Money Market Portfolio (“Acquired Funds”) Institutional Class and Class C were transferred into the Goldman Sachs Financial Square Money Market, Goldman Sachs Financial Square Government and Goldman Sachs Financial Square Tax-Free Money Market’s (“Survivor Funds”) FST Class and FST Administration Class, respectively, in a tax-free exchange as follows:
Acquired | |||||||||||||
Exchanged | Fund’s Shares | ||||||||||||
Shares of | Value of | Outstanding | |||||||||||
Survivor | Exchanged | on | |||||||||||
Survivor/Acquired Fund | Issued | Shares | June 5, 2006 | ||||||||||
Goldman Sachs Financial Square Money Market FST Class/ | |||||||||||||
First Funds Cash Reserve Institutional Class | 29,951,814 | $ | 29,951,814 | 29,951,814 | |||||||||
Goldman Sachs Financial Square Money Market FST Administration Class/ | |||||||||||||
First Funds Cash Reserve Class C | 42,068,532 | $ | 42,068,532 | 42,068,532 | |||||||||
Goldman Sachs Financial Square Government FST Class/ | |||||||||||||
First Funds U.S. Government Money Market Institutional Class | 118,595,969 | $ | 118,595,969 | 118,595,969 | |||||||||
Goldman Sachs Financial Square Government FST Administration Class/ | |||||||||||||
First Funds U.S. Government Money Market Class C | 9,886,755 | $ | 9,886,755 | 9,886,755 | |||||||||
Goldman Sachs Financial Square Tax-Free Money Market FST Class/ | |||||||||||||
First Funds Municipal Money Market Institutional Class | 48,831,245 | $ | 48,831,245 | 48,831,245 | |||||||||
Goldman Sachs Financial Square Tax-Free Money Market FST Administration Class/ | |||||||||||||
First Funds Municipal Money Market Class C | 6,993,410 | $ | 6,993,410 | 6,993,410 | |||||||||
57
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements (continued)
June 30, 2006 (Unaudited)
The following chart shows the Survivor Funds’ and Acquired Funds’ aggregate net assets (immediately before and after the completion of the acquisition).
Survivor | |||||||||||||
Survivor | Acquired | Fund’s | |||||||||||
Fund’s | Fund’s | Aggregate | |||||||||||
Aggregate | Aggregate | Net Assets | |||||||||||
Net Assets | Net Assets | Immediately | |||||||||||
Before | Before | After | |||||||||||
Survivor/Acquired Fund | Acquisition | Acquisition | Acquisition | ||||||||||
Goldman Sachs Financial Square Money Market/ | |||||||||||||
First Funds Cash Reserve | $ | 13,476,835,558 | $ | 72,020,346 | $ | 13,548,855,904 | |||||||
Goldman Sachs Financial Square Government | |||||||||||||
/First Funds U.S. Government Money Market | $ | 4,350,998,480 | $ | 128,482,724 | $ | 4,479,481,204 | |||||||
Goldman Sachs Financial Square Tax-Free/ | |||||||||||||
First Funds Municipal Money Market | $ | 7,516,749,991 | $ | 55,824,655 | $ | 7,572,574,646 | |||||||
58
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements (continued)
June 30, 2006 (Unaudited)
8. Summary of Share Transactions (at $1.00 per share)
Share activity is as follows:
Prime Obligations Fund | ||||||||
For the | For the | |||||||
Six Months Ended | Year Ended | |||||||
June 30, 2006 | December 31, 2005 | |||||||
FST Shares: | ||||||||
Shares sold | 92,455,562,417 | 157,063,447,458 | ||||||
Shares issued in connection with the merger | — | — | ||||||
Reinvestment of dividends and distributions | 178,768,765 | 199,211,834 | ||||||
Shares repurchased | (91,937,426,353 | ) | (154,400,316,414 | ) | ||||
696,904,829 | 2,862,342,878 | |||||||
FST Select Shares: | ||||||||
Shares sold | 1,109,963,583 | 1,435,438,517 | ||||||
Reinvestment of dividends and distributions | 2,672,600 | 2,177,740 | ||||||
Shares repurchased | (1,063,856,186 | ) | (1,419,360,511 | ) | ||||
48,779,997 | 18,255,746 | |||||||
FST Preferred Shares: | ||||||||
Shares sold | 6,535,924,984 | 15,342,268,656 | ||||||
Reinvestment of dividends and distributions | 21,922,879 | 28,142,465 | ||||||
Shares repurchased | (6,775,058,035 | ) | (15,026,137,016 | ) | ||||
(217,210,172 | ) | 344,274,105 | ||||||
FST Capital Shares: | ||||||||
Shares sold | 3,077,320,275 | 4,853,150,391 | ||||||
Reinvestment of dividends and distributions | 4,958,368 | 3,448,578 | ||||||
Shares repurchased | (3,074,940,676 | ) | (4,619,548,204 | ) | ||||
7,337,967 | 237,050,765 | |||||||
FST Administration Shares: | ||||||||
Shares sold | 12,359,193,693 | 19,567,023,322 | ||||||
Shares issued in connection with the merger | — | 27,956,938 | ||||||
Reinvestment of dividends and distributions | 15,285,152 | 17,183,428 | ||||||
Shares repurchased | (11,900,195,529 | ) | (18,956,354,397 | ) | ||||
474,283,316 | 655,809,291 | |||||||
FST Service Shares: | ||||||||
Shares sold | 6,145,364,443 | 10,140,419,918 | ||||||
Shares issued in connection with the merger | — | 143,924,508 | ||||||
Reinvestment of dividends and distributions | 10,776,313 | 12,735,799 | ||||||
Shares repurchased | (6,012,538,747 | ) | (10,033,813,500 | ) | ||||
143,602,009 | 263,266,725 | |||||||
Net increase (decrease) in shares | 1,153,697,946 | 4,380,999,510 | ||||||
59
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements (continued)
June 30, 2006 (Unaudited)
8. Summary of Share Transactions (at $1.00 per share) (continued)
Share activity is as follows:
Money Market Fund | ||||||||
For the | For the | |||||||
Six Months Ended | Year Ended | |||||||
June 30, 2006 | December 31, 2005 | |||||||
FST Shares: | ||||||||
Shares sold | 28,965,383,838 | 57,236,841,238 | ||||||
Shares issued in connection with the merger | 29,951,814 | — | ||||||
Reinvestment of dividends and distributions | 132,980,601 | 181,107,683 | ||||||
Shares repurchased | (27,364,428,660 | ) | (56,435,686,090 | ) | ||||
1,763,887,593 | 982,262,831 | |||||||
FST Select Shares: | ||||||||
Shares sold | 722,687,137 | 865,927,855 | ||||||
Reinvestment of dividends and distributions | 2,753,512 | 2,345,136 | ||||||
Shares repurchased | (585,353,138 | ) | (851,011,694 | ) | ||||
140,087,511 | 17,261,297 | |||||||
FST Preferred Shares: | ||||||||
Shares sold | 389,821,044 | 1,541,410,000 | ||||||
Reinvestment of dividends and distributions | 1,626,372 | 2,980,707 | ||||||
Shares repurchased | (403,102,257 | ) | (1,518,187,931 | ) | ||||
(11,654,841 | ) | 26,202,776 | ||||||
FST Capital Shares: | ||||||||
Shares sold | 30,032,034 | 83,896,238 | ||||||
Reinvestment of dividends and distributions | 617,862 | 689,502 | ||||||
Shares repurchased | (43,514,178 | ) | (61,974,449 | ) | ||||
(12,864,282 | ) | 22,611,291 | ||||||
FST Administration Shares: | ||||||||
Shares sold | 2,287,119,061 | 5,553,217,119 | ||||||
Shares issued in connection with the merger | 42,068,532 | — | ||||||
Reinvestment of dividends and distributions | 8,859,454 | 11,197,170 | ||||||
Shares repurchased | (2,211,040,095 | ) | (5,580,777,413 | ) | ||||
127,006,952 | (16,363,124 | ) | ||||||
FST Service Shares: | ||||||||
Shares sold | 473,015,598 | 822,524,481 | ||||||
Shares issued in connection with the merger | — | — | ||||||
Reinvestment of dividends and distributions | 4,598,561 | 4,857,697 | ||||||
Shares repurchased | (462,120,486 | ) | (771,835,389 | ) | ||||
15,493,673 | 55,546,789 | |||||||
Net increase (decrease) in shares | 2,021,956,606 | 1,087,521,860 | ||||||
60
Treasury Obligations Fund | Treasury Instruments Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||
June 30, 2006 | December 31, 2005 | June 30, 2006 | December 31, 2005 | |||||||||||
7,951,676,786 | 12,912,169,184 | 4,716,690,256 | 8,453,645,175 | |||||||||||
— | — | — | — | |||||||||||
17,186,827 | 23,582,277 | 10,200,877 | 12,354,290 | |||||||||||
(7,775,036,904 | ) | (13,565,322,237 | ) | (4,551,719,242 | ) | (8,663,516,194 | ) | |||||||
193,826,709 | (629,570,776 | ) | 175,171,891 | (197,516,729 | ) | |||||||||
124,671,000 | 52,100,000 | — | — | |||||||||||
13,563 | 2,432 | 1,414 | 1,819 | |||||||||||
(124,686,460 | ) | (52,101,454 | ) | — | — | |||||||||
(1,897 | ) | 978 | 1,414 | 1,819 | ||||||||||
1,059,472,692 | 2,373,340,541 | 23,621,614 | 235,480,935 | |||||||||||
133,424 | 1,748,345 | 52,714 | 745,275 | |||||||||||
(975,477,153 | ) | (2,199,459,785 | ) | (22,490,040 | ) | (475,368,648 | ) | |||||||
84,128,963 | 175,629,101 | 1,184,288 | (239,142,438 | ) | ||||||||||
10,021,000 | 8,873,759 | 124,697,578 | 129,478,287 | |||||||||||
24,399 | 43,668 | 221,853 | 424,033 | |||||||||||
(3,920,119 | ) | (8,029,210 | ) | (91,701,028 | ) | (140,470,180 | ) | |||||||
6,125,280 | 888,217 | 33,218,403 | (10,567,860 | ) | ||||||||||
6,374,750,626 | 13,950,961,904 | 2,187,854,615 | 2,850,980,173 | |||||||||||
— | — | — | — | |||||||||||
3,032,653 | 3,528,576 | 1,326,284 | 1,322,847 | |||||||||||
(5,967,865,302 | ) | (13,679,410,592 | ) | (1,726,073,711 | ) | (2,551,250,593 | ) | |||||||
409,917,977 | 275,079,888 | 463,107,188 | 301,052,427 | |||||||||||
2,972,080,033 | 5,175,798,048 | 804,925,061 | 1,375,828,485 | |||||||||||
— | — | — | — | |||||||||||
17,381,131 | 15,093,656 | 1,432,194 | 1,283,781 | |||||||||||
(2,765,374,004 | ) | (4,831,054,930 | ) | (837,800,158 | ) | (1,209,172,834 | ) | |||||||
224,087,160 | 359,836,774 | (31,442,903 | ) | 167,939,432 | ||||||||||
918,084,192 | 181,864,182 | 641,240,281 | 21,766,651 | |||||||||||
61
Goldman Sachs Trust—Financial Square Funds
Notes to Financial Statements (continued)
June 30, 2006 (Unaudited)
8. Summary of Share Transactions (at $1.00 per share) (continued)
Share activity is as follows:
Government Fund | ||||||||
For the | For the | |||||||
Six Months Ended | Year Ended | |||||||
June 30, 2006 | December 31, 2005 | |||||||
FST Shares: | ||||||||
Shares sold | 9,945,421,066 | 17,318,410,644 | ||||||
Shares issued in connection with the merger | 118,595,969 | — | ||||||
Reinvestment of dividends and distributions | 21,791,065 | 30,282,268 | ||||||
Shares repurchased | (10,384,062,183 | ) | (17,020,352,807 | ) | ||||
(298,254,083 | ) | 328,340,105 | ||||||
FST Select Shares: | ||||||||
Shares sold | 72,456,705 | 1,119,760,710 | ||||||
Reinvestment of dividends and distributions | 1,833,170 | 3,479,883 | ||||||
Shares repurchased | (60,836,089 | ) | (1,189,859,309 | ) | ||||
13,453,786 | (66,618,716 | ) | ||||||
FST Preferred Shares: | ||||||||
Shares sold | 1,057,376,579 | 4,056,172,276 | ||||||
Reinvestment of dividends and distributions | 4,127,658 | 5,280,127 | ||||||
Shares repurchased | (1,189,713,235 | ) | (4,286,138,177 | ) | ||||
(128,208,998 | ) | (224,685,774 | ) | |||||
FST Capital Shares: | ||||||||
Shares sold | 2,874,759,266 | 4,449,737,756 | ||||||
Reinvestment of dividends and distributions | 2,358,198 | 2,519,509 | ||||||
Shares repurchased | (2,842,421,012 | ) | (4,434,236,808 | ) | ||||
34,696,452 | 18,020,457 | |||||||
FST Administration Shares: | ||||||||
Shares sold | 4,034,971,089 | 6,335,024,419 | ||||||
Shares issued in connection with the merger | 9,886,755 | — | ||||||
Shares repurchased | 6,727,783 | 8,314,818 | ||||||
Reinvestment of dividends and distributions | (4,031,642,806 | ) | (6,253,080,766 | ) | ||||
19,942,821 | 90,258,471 | |||||||
FST Service Shares: | ||||||||
Shares sold | 990,256,703 | 1,794,467,370 | ||||||
Shares issued in connection with the merger | — | — | ||||||
Reinvestment of dividends and distributions | 2,751,105 | 2,992,153 | ||||||
Shares repurchased | (966,651,958 | ) | (1,794,680,022 | ) | ||||
26,355,850 | 2,779,501 | |||||||
Net increase (decrease) in shares | (332,014,172 | ) | 148,094,044 | |||||
62
Federal Fund | Tax-Free Money Market Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||
June 30, 2006 | December 31, 2005 | June 30, 2006 | December 31, 2005 | |||||||||||
9,337,824,808 | 28,962,830,488 | 29,677,698,828 | 47,630,280,552 | |||||||||||
— | — | 48,831,245 | — | |||||||||||
124,142,062 | 149,869,796 | 91,789,931 | 119,047,602 | |||||||||||
(10,472,602,240 | ) | (28,893,740,026 | ) | (30,836,445,314 | ) | (48,227,694,121 | ) | |||||||
(1,010,635,370 | ) | 218,960,258 | (1,018,125,310 | ) | (478,365,967 | ) | ||||||||
— | — | 287,726,359 | 484,584,075 | |||||||||||
40 | 93 | 1,233,916 | 1,089,761 | |||||||||||
(2,020 | ) | — | (328,158,641 | ) | (470,381,030 | ) | ||||||||
(1,980 | ) | 93 | (39,198,366 | ) | 15,292,806 | |||||||||
140,402,370 | 369,463,097 | 674,834,354 | 770,084,677 | |||||||||||
2,584,484 | 1,992,388 | 291,624 | 493,245 | |||||||||||
(130,191,876 | ) | (270,161,865 | ) | (526,207,412 | ) | (713,604,762 | ) | |||||||
12,794,978 | 101,293,620 | 148,918,566 | 56,973,160 | |||||||||||
— | — | 5,967,148,542 | 4,116,468,182 | |||||||||||
78,305 | 106,731 | 776,313 | 914,929 | |||||||||||
(207,000 | ) | (157,000 | ) | (5,990,062,065 | ) | (3,929,080,970 | ) | |||||||
(128,695 | ) | (50,269 | ) | (22,137,210 | ) | 188,302,141 | ||||||||
1,209,150,236 | 3,676,957,392 | 971,419,197 | 1,548,196,353 | |||||||||||
— | — | 6,993,410 | 5,198,905 | |||||||||||
5,427,551 | 5,087,653 | 1,137,767 | 879,738 | |||||||||||
(1,261,203,670 | ) | (3,664,196,666 | ) | (1,013,492,556 | ) | (1,551,154,404 | ) | |||||||
(46,625,883 | ) | 17,848,379 | (33,942,182 | ) | 3,120,592 | |||||||||
2,070,035,126 | 4,503,610,487 | 390,880,469 | 862,491,961 | |||||||||||
— | — | — | 70,176,189 | |||||||||||
5,083,049 | 5,997,586 | 422,071 | 609,251 | |||||||||||
(2,187,595,410 | ) | (4,385,363,228 | ) | (427,064,271 | ) | (854,228,587 | ) | |||||||
(112,477,235 | ) | 124,244,845 | (35,761,731 | ) | 79,048,814 | |||||||||
(1,157,074,185 | ) | 462,296,926 | (1,000,246,233 | ) | (135,628,454 | ) | ||||||||
63
Goldman Sachs Trust—Financial Square Funds
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Prime Obligations Fund
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Net asset | Ratio of net | Ratio of net | ||||||||||||||||||||||||||||||||||||||
value, | Net asset | Net assets | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
beginning | Net | Distributions | value, | end of | expenses to | income to | expenses to | income to | ||||||||||||||||||||||||||||||||
of | investment | to | end of | Total | period (in | average net | average net | average net | average net | |||||||||||||||||||||||||||||||
Year— Share Class | period | income(a) | shareholders | period | return(b) | 000’s) | assets | assets | assets | assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2006-FST Shares | $ | 1.00 | $ | 0.023 | $ | (0.023 | ) | $ | 1.00 | 2.29 | % | $ | 19,540,806 | 0.18 | %(c) | 4.58 | %(c) | 0.23 | %(c) | 4.53 | %(c) | |||||||||||||||||||
2006-FST Select Shares | 1.00 | 0.023 | (0.023 | ) | 1.00 | 2.28 | 147,673 | 0.21 | (c) | 4.62 | (c) | 0.26 | (c) | 4.57 | (c) | |||||||||||||||||||||||||
2006-FST Preferred Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.24 | 1,539,613 | 0.28 | (c) | 4.47 | (c) | 0.33 | (c) | 4.42 | (c) | |||||||||||||||||||||||||
2006-FST Capital Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.22 | 486,191 | 0.33 | (c) | 4.49 | (c) | 0.38 | (c) | 4.44 | (c) | |||||||||||||||||||||||||
2006-FST Administration Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.17 | 3,895,611 | 0.43 | (c) | 4.33 | (c) | 0.48 | (c) | 4.28 | (c) | |||||||||||||||||||||||||
2006-FST Service Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 2.04 | 1,518,654 | 0.68 | (c) | 4.10 | (c) | 0.73 | (c) | 4.05 | (c) | |||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2005-FST Shares | 1.00 | 0.031 | (0.031 | ) | 1.00 | 3.14 | 18,844,076 | 0.18 | 3.10 | 0.22 | 3.06 | |||||||||||||||||||||||||||||
2005-FST Select Shares | 1.00 | 0.031 | (0.031 | ) | 1.00 | 3.11 | 98,894 | 0.21 | 3.08 | 0.25 | 3.04 | |||||||||||||||||||||||||||||
2005-FST Preferred Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 3.04 | 1,756,837 | 0.28 | 2.99 | 0.32 | 2.95 | |||||||||||||||||||||||||||||
2005-FST Capital Shares | 1.00 | 0.029 | (0.029 | ) | 1.00 | 2.98 | 478,857 | 0.33 | 3.03 | 0.37 | 2.99 | |||||||||||||||||||||||||||||
2005-FST Administration Shares | 1.00 | 0.028 | (0.028 | ) | 1.00 | 2.88 | 3,421,363 | 0.43 | 2.88 | 0.47 | 2.84 | |||||||||||||||||||||||||||||
2005-FST Service Shares | 1.00 | 0.026 | (0.026 | ) | 1.00 | 2.62 | 1,375,066 | 0.68 | 2.64 | 0.72 | 2.60 | |||||||||||||||||||||||||||||
2004-FST Shares | 1.00 | 0.012 | (0.012 | ) | 1.00 | 1.25 | 15,981,734 | 0.18 | 1.22 | 0.22 | 1.18 | |||||||||||||||||||||||||||||
2004-FST Select Shares | 1.00 | 0.012 | (0.012 | ) | 1.00 | 1.22 | 80,638 | 0.21 | 1.18 | 0.25 | 1.14 | |||||||||||||||||||||||||||||
2004-FST Preferred Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.15 | 1,412,563 | 0.28 | 1.13 | 0.32 | 1.09 | |||||||||||||||||||||||||||||
2004-FST Capital Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.10 | 241,806 | 0.33 | 1.07 | 0.37 | 1.03 | |||||||||||||||||||||||||||||
2004-FST Administration Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.00 | 2,765,553 | 0.43 | 0.99 | 0.47 | 0.95 | |||||||||||||||||||||||||||||
2004-FST Service Shares | 1.00 | 0.007 | (0.007 | ) | 1.00 | 0.75 | 1,111,799 | 0.68 | 0.75 | 0.72 | 0.71 | |||||||||||||||||||||||||||||
2003-FST Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.06 | 22,750,510 | 0.18 | 1.07 | 0.22 | 1.03 | |||||||||||||||||||||||||||||
2003-FST Select Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.03 | 53,859 | 0.21 | 1.06 | 0.25 | 1.02 | |||||||||||||||||||||||||||||
2003-FST Preferred Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 0.96 | 1,427,970 | 0.28 | 0.96 | 0.32 | 0.92 | |||||||||||||||||||||||||||||
2003-FST Capital Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.91 | 339,342 | 0.33 | 0.94 | 0.37 | 0.90 | |||||||||||||||||||||||||||||
2003-FST Administration Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.81 | 3,080,780 | 0.43 | 0.80 | 0.47 | 0.76 | |||||||||||||||||||||||||||||
2003-FST Service Shares | 1.00 | 0.006 | (0.006 | ) | 1.00 | 0.56 | 872,453 | 0.68 | 0.56 | 0.72 | 0.52 | |||||||||||||||||||||||||||||
2002-FST Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.75 | 22,565,712 | 0.18 | 1.74 | 0.22 | 1.70 | |||||||||||||||||||||||||||||
2002-FST Select Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.72 | 195,777 | 0.21 | 1.70 | 0.25 | 1.66 | |||||||||||||||||||||||||||||
2002-FST Preferred Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.65 | 2,352,326 | 0.28 | 1.60 | 0.32 | 1.56 | |||||||||||||||||||||||||||||
2002-FST Capital Shares (commenced August 12) | 1.00 | 0.01 | (0.01 | ) | 1.00 | 0.56 | 428,694 | 0.33 | (c) | 1.29 | (c) | 0.37 | (c) | 1.25 | (c) | |||||||||||||||||||||||||
2002-FST Administration Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.50 | 2,927,767 | 0.43 | 1.48 | 0.47 | 1.44 | |||||||||||||||||||||||||||||
2002-FST Service Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.24 | 1,073,295 | 0.68 | 1.24 | 0.72 | 1.20 | |||||||||||||||||||||||||||||
2001-FST Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.15 | 25,429,443 | 0.18 | 3.87 | 0.23 | 3.82 | |||||||||||||||||||||||||||||
2001-FST Select Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.12 | 189,492 | 0.21 | 3.41 | 0.26 | 3.36 | |||||||||||||||||||||||||||||
2001-FST Preferred Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.05 | 1,003,414 | 0.28 | 3.72 | 0.33 | 3.67 | |||||||||||||||||||||||||||||
2001-FST Administration Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.89 | 2,803,798 | 0.43 | 3.64 | 0.48 | 3.59 | |||||||||||||||||||||||||||||
2001-FST Service Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.63 | 1,225,547 | 0.68 | 3.46 | 0.73 | 3.41 |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Returns for periods less than a full year are not annualized. |
(c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
64
Goldman Sachs Trust—Financial Square Funds
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Money Market Fund
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Net asset | Ratio of net | Ratio of net | ||||||||||||||||||||||||||||||||||||||
value, | Net asset | Net assets | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
beginning | Net | Distributions | value, | end of | expenses to | income to | expenses to | income to | ||||||||||||||||||||||||||||||||
of | investment | to | end of | Total | period (in | average net | average net | average net | average net | |||||||||||||||||||||||||||||||
Year— Share Class | period | income(a) | shareholders | period | return(b) | 000’s) | assets | assets | assets | assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2006-FST Shares | $ | 1.00 | $ | 0.023 | $ | (0.023 | ) | $ | 1.00 | 2.29 | % | $ | 11,955,487 | 0.18 | %(c) | 4.59 | %(c) | 0.23 | %(c) | 4.54 | %(c) | |||||||||||||||||||
2006-FST Select Shares | 1.00 | 0.023 | (0.023 | ) | 1.00 | 2.28 | 182,198 | 0.21 | (c) | 4.63 | (c) | 0.26 | (c) | 4.58 | (c) | |||||||||||||||||||||||||
2006-FST Preferred Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.24 | 84,793 | 0.28 | (c) | 4.46 | (c) | 0.33 | (c) | 4.41 | (c) | |||||||||||||||||||||||||
2006-FST Capital Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.22 | 22,721 | 0.33 | (c) | 4.47 | (c) | 0.38 | (c) | 4.42 | (c) | |||||||||||||||||||||||||
2006-FST Administration Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.17 | 736,851 | 0.43 | (c) | 4.35 | (c) | 0.48 | (c) | 4.30 | (c) | |||||||||||||||||||||||||
2006-FST Service Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 2.04 | 357,015 | 0.68 | (c) | 4.09 | (c) | 0.73 | (c) | 4.04 | (c) | |||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2005-FST Shares | 1.00 | 0.031 | (0.031 | ) | 1.00 | 3.14 | 10,191,671 | 0.18 | 3.07 | 0.22 | 3.03 | |||||||||||||||||||||||||||||
2005-FST Select Shares | 1.00 | 0.031 | (0.031 | ) | 1.00 | 3.11 | 42,112 | 0.21 | 3.03 | 0.25 | 2.99 | |||||||||||||||||||||||||||||
2005-FST Preferred Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 3.04 | 96,448 | 0.28 | 2.93 | 0.32 | 2.89 | |||||||||||||||||||||||||||||
2005-FST Capital Shares | 1.00 | 0.029 | (0.029 | ) | 1.00 | 2.99 | 35,586 | 0.33 | 3.12 | 0.37 | 3.08 | |||||||||||||||||||||||||||||
2005-FST Administration Shares | 1.00 | 0.029 | (0.029 | ) | 1.00 | 2.88 | 609,847 | 0.43 | 2.85 | 0.47 | 2.81 | |||||||||||||||||||||||||||||
2005-FST Service Shares | 1.00 | 0.026 | (0.026 | ) | 1.00 | 2.63 | 341,523 | 0.68 | 2.62 | 0.72 | 2.58 | |||||||||||||||||||||||||||||
2004-FST Shares | 1.00 | 0.013 | (0.013 | ) | 1.00 | 1.26 | 9,209,408 | 0.18 | 1.25 | 0.22 | 1.21 | |||||||||||||||||||||||||||||
2004-FST Select Shares | 1.00 | 0.012 | (0.012 | ) | 1.00 | 1.23 | 24,850 | 0.21 | 1.22 | 0.25 | 1.18 | |||||||||||||||||||||||||||||
2004-FST Preferred Shares | 1.00 | 0.012 | (0.012 | ) | 1.00 | 1.16 | 70,246 | 0.28 | 1.14 | 0.32 | 1.10 | |||||||||||||||||||||||||||||
2004-FST Capital Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.11 | 12,975 | 0.33 | 0.98 | 0.37 | 0.94 | |||||||||||||||||||||||||||||
2004-FST Administration Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.01 | 626,210 | 0.43 | 1.05 | 0.47 | 1.01 | |||||||||||||||||||||||||||||
2004-FST Service Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.76 | 285,976 | 0.68 | 0.75 | 0.72 | 0.71 | |||||||||||||||||||||||||||||
2003-FST Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.06 | 10,389,312 | 0.18 | 1.07 | 0.22 | 1.03 | |||||||||||||||||||||||||||||
2003-FST Select Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.03 | 93,038 | 0.21 | 1.03 | 0.25 | 0.99 | |||||||||||||||||||||||||||||
2003-FST Preferred Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 0.96 | 113,299 | 0.28 | 0.98 | 0.32 | 0.94 | |||||||||||||||||||||||||||||
2003-FST Capital Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.91 | 24,180 | 0.33 | 0.85 | 0.37 | 0.81 | |||||||||||||||||||||||||||||
2003-FST Administration Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.81 | 447,290 | 0.43 | 0.81 | 0.47 | 0.77 | |||||||||||||||||||||||||||||
2003-FST Service Shares | 1.00 | 0.006 | (0.006 | ) | 1.00 | 0.56 | 304,547 | 0.68 | 0.57 | 0.72 | 0.53 | |||||||||||||||||||||||||||||
2002-FST Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.75 | 9,194,848 | 0.18 | 1.76 | 0.22 | 1.72 | |||||||||||||||||||||||||||||
2002-FST Select Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.72 | 2,746 | 0.21 | 1.81 | 0.25 | 1.77 | |||||||||||||||||||||||||||||
2002-FST Preferred Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.65 | 176,679 | 0.28 | 1.62 | 0.32 | 1.58 | |||||||||||||||||||||||||||||
2002-FST Capital Shares (commenced August 12) | 1.00 | 0.01 | (0.01 | ) | 1.00 | 0.56 | 1 | 0.33 | (c) | 1.73 | (c) | 0.37 | (c) | 1.69 | (c) | |||||||||||||||||||||||||
2002-FST Administration Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.50 | 480,359 | 0.43 | 1.50 | 0.47 | 1.46 | |||||||||||||||||||||||||||||
2002-FST Service Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.24 | 408,993 | 0.68 | 1.24 | 0.72 | 1.20 | |||||||||||||||||||||||||||||
2001-FST Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.16 | 15,909,394 | 0.18 | 3.74 | 0.23 | 3.69 | |||||||||||||||||||||||||||||
2001-FST Select Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.13 | 301,797 | 0.21 | 3.79 | 0.26 | 3.74 | |||||||||||||||||||||||||||||
2001-FST Preferred Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.06 | 194,015 | 0.28 | 4.22 | 0.33 | 4.17 | |||||||||||||||||||||||||||||
2001-FST Administration Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.91 | 645,588 | 0.43 | 3.72 | 0.48 | 3.67 | |||||||||||||||||||||||||||||
2001-FST Service Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.65 | 492,794 | 0.68 | 3.52 | 0.73 | 3.47 |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Returns for periods less than a full year are not annualized. |
(c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
65
Goldman Sachs Trust—Financial Square Funds
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Treasury Obligations Fund
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Net asset | Ratio of net | Ratio of net | ||||||||||||||||||||||||||||||||||||||
value, | Net asset | Net assets | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
beginning | Net | Distributions | value, | end of | expenses to | income to | expenses to | income to | ||||||||||||||||||||||||||||||||
of | investment | to | end of | Total | period (in | average net | average net | average net | average net | |||||||||||||||||||||||||||||||
Year— Share Class | period | income(a) | shareholders | period | return(b) | 000’s) | assets | assets | assets | assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2006-FST Shares | $ | 1.00 | $ | 0.022 | $ | (0.022 | ) | $ | 1.00 | 2.23 | % | $ | 1,826,795 | 0.20 | %(c) | 4.48 | %(c) | 0.24 | %(c) | 4.45 | %(c) | |||||||||||||||||||
2006-FST Select Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.21 | 1 | 0.23 | (c) | 4.44 | (c) | 0.27 | (c) | 4.41 | (c) | |||||||||||||||||||||||||
2006-FST Preferred Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.18 | 753,274 | 0.30 | (c) | 4.36 | (c) | 0.34 | (c) | 4.33 | (c) | |||||||||||||||||||||||||
2006-FST Capital Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.15 | 8,051 | 0.35 | (c) | 4.47 | (c) | 0.39 | (c) | 4.44 | (c) | |||||||||||||||||||||||||
2006-FST Administration Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.10 | 2,266,551 | 0.45 | (c) | 4.22 | (c) | 0.49 | (c) | 4.19 | (c) | |||||||||||||||||||||||||
2006-FST Service Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 1.97 | 1,260,165 | 0.70 | (c) | 3.98 | (c) | 0.74 | (c) | 3.94 | (c) | |||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2005-FST Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 3.00 | 1,633,047 | 0.20 | 3.00 | 0.23 | 2.97 | |||||||||||||||||||||||||||||
2005-FST Select Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 2.97 | 3 | 0.23 | 3.83 | 0.26 | 3.80 | |||||||||||||||||||||||||||||
2005-FST Preferred Shares | 1.00 | 0.029 | (0.029 | ) | 1.00 | 2.90 | 669,177 | 0.30 | 2.97 | 0.33 | 2.94 | |||||||||||||||||||||||||||||
2005-FST Capital Shares | 1.00 | 0.028 | (0.028 | ) | 1.00 | 2.85 | 1,926 | 0.35 | 2.73 | 0.38 | 2.70 | |||||||||||||||||||||||||||||
2005-FST Administration Shares | 1.00 | 0.027 | (0.027 | ) | 1.00 | 2.75 | 1,856,730 | 0.45 | 2.78 | 0.48 | 2.75 | |||||||||||||||||||||||||||||
2005-FST Service Shares | 1.00 | 0.025 | (0.025 | ) | 1.00 | 2.49 | 1,036,131 | 0.70 | 2.55 | 0.73 | 2.52 | |||||||||||||||||||||||||||||
2004-FST Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.14 | 2,262,617 | 0.20 | 1.16 | 0.22 | 1.14 | |||||||||||||||||||||||||||||
2004-FST Select Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.11 | 2 | 0.23 | 0.82 | 0.25 | 0.80 | |||||||||||||||||||||||||||||
2004-FST Preferred Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.04 | 493,548 | 0.30 | 1.04 | 0.32 | 1.02 | |||||||||||||||||||||||||||||
2004-FST Capital Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 0.99 | 1,038 | 0.35 | 0.77 | 0.37 | 0.75 | |||||||||||||||||||||||||||||
2004-FST Administration Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.89 | 1,581,650 | 0.45 | 0.90 | 0.47 | 0.88 | |||||||||||||||||||||||||||||
2004-FST Service Shares | 1.00 | 0.006 | (0.006 | ) | 1.00 | 0.64 | 676,295 | 0.70 | 0.67 | 0.72 | 0.65 | |||||||||||||||||||||||||||||
2003-FST Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 0.96 | 1,700,016 | 0.20 | 0.92 | 0.22 | 0.90 | |||||||||||||||||||||||||||||
2003-FST Select Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.93 | 9,513 | 0.23 | 0.88 | 0.25 | 0.86 | |||||||||||||||||||||||||||||
2003-FST Preferred Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.86 | 501,231 | 0.30 | 0.82 | 0.32 | 0.80 | |||||||||||||||||||||||||||||
2003-FST Capital Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.81 | 10,980 | 0.35 | 0.72 | 0.37 | 0.70 | |||||||||||||||||||||||||||||
2003-FST Administration Shares | 1.00 | 0.007 | (0.007 | ) | 1.00 | 0.71 | 1,199,363 | 0.45 | 0.67 | 0.47 | 0.65 | |||||||||||||||||||||||||||||
2003-FST Service Shares | 1.00 | 0.005 | (0.005 | ) | 1.00 | 0.46 | 562,294 | 0.70 | 0.44 | 0.72 | 0.42 | |||||||||||||||||||||||||||||
2002-FST Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.65 | 2,267,428 | 0.20 | 1.58 | 0.22 | 1.56 | |||||||||||||||||||||||||||||
2002-FST Select Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.62 | 66,438 | 0.23 | 1.53 | 0.25 | 1.51 | |||||||||||||||||||||||||||||
2002-FST Preferred Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.55 | 838,498 | 0.30 | 1.44 | 0.32 | 1.42 | |||||||||||||||||||||||||||||
2002-FST Capital Shares (commenced August 12) | 1.00 | 0.01 | (0.01 | ) | 1.00 | 0.53 | 1 | 0.35 | (c) | 1.38 | (c) | 0.37 | (c) | 1.36 | (c) | |||||||||||||||||||||||||
2002-FST Administration Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.40 | 1,396,765 | 0.45 | 1.31 | 0.47 | 1.29 | |||||||||||||||||||||||||||||
2002-FST Service Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.15 | 933,190 | 0.70 | 1.06 | 0.72 | 1.04 | |||||||||||||||||||||||||||||
2001-FST Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.87 | 3,985,276 | 0.20 | 3.66 | 0.23 | 3.63 | |||||||||||||||||||||||||||||
2001-FST Select Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.83 | 70,040 | 0.23 | 1.83 | 0.26 | 1.80 | |||||||||||||||||||||||||||||
2001-FST Preferred Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.76 | 205,440 | 0.30 | 4.06 | 0.33 | 4.03 | |||||||||||||||||||||||||||||
2001-FST Administration Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.61 | 1,515,737 | 0.45 | 3.54 | 0.48 | 3.51 | |||||||||||||||||||||||||||||
2001-FST Service Shares | 1.00 | 0.03 | (0.03 | ) | 1.00 | 3.35 | 1,155,241 | 0.70 | 3.09 | 0.73 | 3.06 |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Returns for periods less than a full year are not annualized. |
(c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
66
Goldman Sachs Trust—Financial Square Funds
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Treasury Instruments Fund
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Net asset | Ratio of net | Ratio of net | ||||||||||||||||||||||||||||||||||||||
value, | Net asset | Net assets | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
beginning | Net | Distributions | value, | end of | expenses to | income to | expenses to | income to | ||||||||||||||||||||||||||||||||
of | investment | to | end of | Total | period (in | average net | average net | average net | average net | |||||||||||||||||||||||||||||||
Year— Share Class | period | income(a) | shareholders | period | return(b) | 000’s) | assets | assets | assets | assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2006-FST Shares | $ | 1.00 | $ | 0.021 | $ | (0.021 | ) | $ | 1.00 | 2.14 | % | $ | 1,376,478 | 0.20 | %(c) | 4.32 | %(c) | 0.24 | %(c) | 4.28 | %(c) | |||||||||||||||||||
2006-FST Select Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.13 | 68 | 0.23 | (c) | 4.29 | (c) | 0.27 | (c) | 4.24 | (c) | |||||||||||||||||||||||||
2006-FST Preferred Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.09 | 134,991 | 0.30 | (c) | 4.21 | (c) | 0.34 | (c) | 4.17 | (c) | |||||||||||||||||||||||||
2006-FST Capital Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 2.06 | 39,687 | 0.35 | (c) | 4.16 | (c) | 0.39 | (c) | 4.12 | (c) | |||||||||||||||||||||||||
2006-FST Administration Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 2.01 | 1,001,028 | 0.45 | (c) | 4.08 | (c) | 0.49 | (c) | 4.04 | (c) | |||||||||||||||||||||||||
2006-FST Service Shares | 1.00 | 0.019 | (0.019 | ) | 1.00 | 1.89 | 237,180 | 0.70 | (c) | 3.80 | (c) | 0.74 | (c) | 3.75 | (c) | |||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2005-FST Shares | 1.00 | 0.028 | (0.028 | ) | 1.00 | 2.84 | 1,201,313 | 0.20 | 2.78 | 0.24 | 2.74 | |||||||||||||||||||||||||||||
2005-FST Select Shares | 1.00 | 0.028 | (0.028 | ) | 1.00 | 2.81 | 67 | 0.23 | 2.78 | 0.27 | 2.74 | |||||||||||||||||||||||||||||
2005-FST Preferred Shares | 1.00 | 0.027 | (0.027 | ) | 1.00 | 2.74 | 133,806 | 0.30 | 3.07 | 0.34 | 3.03 | |||||||||||||||||||||||||||||
2005-FST Capital Shares | 1.00 | 0.027 | (0.027 | ) | 1.00 | 2.69 | 6,468 | 0.35 | 2.58 | 0.39 | 2.54 | |||||||||||||||||||||||||||||
2005-FST Administration Shares | 1.00 | 0.026 | (0.026 | ) | 1.00 | 2.58 | 537,912 | 0.45 | 2.67 | 0.49 | 2.63 | |||||||||||||||||||||||||||||
2005-FST Service Shares | 1.00 | 0.023 | (0.023 | ) | 1.00 | 2.33 | 268,622 | 0.70 | 2.44 | 0.74 | 2.40 | |||||||||||||||||||||||||||||
2004-FST Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.08 | 1,398,794 | 0.20 | 1.11 | 0.24 | 1.07 | |||||||||||||||||||||||||||||
2004-FST Select Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.05 | 65 | 0.23 | 1.27 | 0.27 | 1.23 | |||||||||||||||||||||||||||||
2004-FST Preferred Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 0.98 | 372,946 | 0.30 | 1.26 | 0.34 | 1.22 | |||||||||||||||||||||||||||||
2004-FST Capital Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.93 | 17,035 | 0.35 | 0.89 | 0.39 | 0.85 | |||||||||||||||||||||||||||||
2004-FST Administration Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.83 | 236,848 | 0.45 | 0.84 | 0.49 | 0.80 | |||||||||||||||||||||||||||||
2004-FST Service Shares | 1.00 | 0.006 | (0.006 | ) | 1.00 | 0.58 | 100,678 | 0.70 | 0.54 | 0.74 | 0.50 | |||||||||||||||||||||||||||||
2003-FST Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.89 | 805,747 | 0.20 | 0.84 | 0.25 | 0.79 | |||||||||||||||||||||||||||||
2003-FST Select Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.86 | 1 | 0.23 | 0.83 | 0.28 | 0.78 | |||||||||||||||||||||||||||||
2003-FST Preferred Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.79 | 8,053 | 0.30 | 0.77 | 0.35 | 0.72 | |||||||||||||||||||||||||||||
2003-FST Capital Shares | 1.00 | 0.007 | (0.007 | ) | 1.00 | 0.74 | 22,662 | 0.35 | 0.70 | 0.40 | 0.65 | |||||||||||||||||||||||||||||
2003-FST Administration Shares | 1.00 | 0.006 | (0.006 | ) | 1.00 | 0.64 | 187,685 | 0.45 | 0.59 | 0.50 | 0.54 | |||||||||||||||||||||||||||||
2003-FST Service Shares | 1.00 | 0.004 | (0.004 | ) | 1.00 | 0.39 | 112,084 | 0.70 | 0.33 | 0.75 | 0.28 | |||||||||||||||||||||||||||||
2002-FST Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.57 | 971,035 | 0.20 | 1.47 | 0.25 | 1.42 | |||||||||||||||||||||||||||||
2002-FST Select Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.54 | 5,004 | 0.23 | 1.76 | 0.28 | 1.71 | |||||||||||||||||||||||||||||
2002-FST Preferred Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.47 | 28,674 | 0.30 | 1.39 | 0.35 | 1.34 | |||||||||||||||||||||||||||||
2002-FST Capital Shares (commenced August 12) | 1.00 | 0.01 | (0.01 | ) | 1.00 | 0.52 | 13,614 | 0.35 | (c) | 1.09 | (c) | 0.40 | (c) | 1.04 | (c) | |||||||||||||||||||||||||
2002-FST Administration Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.31 | 208,186 | 0.45 | 1.14 | 0.50 | 1.09 | |||||||||||||||||||||||||||||
2002-FST Service Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.06 | 81,875 | 0.70 | 0.98 | 0.75 | 0.93 | |||||||||||||||||||||||||||||
2001-FST Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.79 | 1,161,245 | 0.20 | 3.52 | 0.26 | 3.46 | |||||||||||||||||||||||||||||
2001-FST Select Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.75 | 12,052 | 0.23 | 1.91 | 0.29 | 1.85 | |||||||||||||||||||||||||||||
2001-FST Preferred Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.68 | 50,561 | 0.30 | 3.32 | 0.36 | 3.26 | |||||||||||||||||||||||||||||
2001-FST Administration Shares | 1.00 | 0.03 | (0.03 | ) | 1.00 | 3.53 | 117,089 | 0.45 | 3.22 | 0.51 | 3.16 | |||||||||||||||||||||||||||||
2001-FST Service Shares | 1.00 | 0.03 | (0.03 | ) | 1.00 | 3.27 | 115,500 | 0.70 | 3.01 | 0.76 | 2.95 |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Returns for periods less than a full year are not annualized. |
(c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
67
Goldman Sachs Trust—Financial Square Funds
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Government Fund
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Net asset | Ratio of net | Ratio of net | ||||||||||||||||||||||||||||||||||||||
value, | Net asset | Net assets | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
beginning | Net | Distributions | value, | end of | expenses to | income to | expenses to | income to | ||||||||||||||||||||||||||||||||
of | investment | to | end of | Total | period (in | average net | average net | average net | average net | |||||||||||||||||||||||||||||||
Year— Share Class | period | income(a) | shareholders | period | return(b) | 000’s) | assets | assets | assets | assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2006-FST Shares | $ | 1.00 | $ | 0.023 | $ | (0.023 | ) | $ | 1.00 | 2.27 | % | $ | 2,416,998 | 0.18 | %(c) | 4.54 | %(c) | 0.24 | %(c) | 4.49 | %(c) | |||||||||||||||||||
2006-FST Select Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.26 | 89,223 | 0.21 | (c) | 4.53 | (c) | 0.27 | (c) | 4.48 | (c) | |||||||||||||||||||||||||
2006-FST Preferred Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.22 | 277,809 | 0.28 | (c) | 4.45 | (c) | 0.34 | (c) | 4.40 | (c) | |||||||||||||||||||||||||
2006-FST Capital Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.20 | 148,154 | 0.33 | (c) | 4.42 | (c) | 0.38 | (c) | 4.37 | (c) | |||||||||||||||||||||||||
2006-FST Administration Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.15 | 1,182,961 | 0.43 | (c) | 4.30 | (c) | 0.49 | (c) | 4.25 | (c) | |||||||||||||||||||||||||
2006-FST Service Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 2.02 | 319,469 | 0.68 | (c) | 4.06 | (c) | 0.74 | (c) | 4.01 | (c) | |||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2005-FST Shares | 1.00 | 0.031 | (0.031 | ) | 1.00 | 3.10 | 2,715,310 | 0.18 | 3.07 | 0.23 | 3.02 | |||||||||||||||||||||||||||||
2005-FST Select Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 3.07 | 75,772 | 0.21 | 2.87 | 0.26 | 2.82 | |||||||||||||||||||||||||||||
2005-FST Preferred Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 3.00 | 406,025 | 0.28 | 2.91 | 0.33 | 2.86 | |||||||||||||||||||||||||||||
2005-FST Capital Shares | 1.00 | 0.029 | (0.029 | ) | 1.00 | 2.95 | 113,461 | 0.33 | 2.99 | 0.38 | 2.94 | |||||||||||||||||||||||||||||
2005-FST Administration Shares | 1.00 | 0.028 | (0.028 | ) | 1.00 | 2.85 | 1,163,046 | 0.43 | 2.86 | 0.48 | 2.81 | |||||||||||||||||||||||||||||
2005-FST Service Shares | 1.00 | 0.026 | (0.026 | ) | 1.00 | 2.59 | 293,121 | 0.68 | 2.58 | 0.73 | 2.53 | |||||||||||||||||||||||||||||
2004-FST Shares | 1.00 | 0.012 | (0.012 | ) | 1.00 | 1.23 | 2,386,970 | 0.18 | 1.27 | 0.22 | 1.23 | |||||||||||||||||||||||||||||
2004-FST Select Shares | 1.00 | 0.012 | (0.012 | ) | 1.00 | 1.20 | 142,390 | 0.21 | 1.21 | 0.25 | 1.17 | |||||||||||||||||||||||||||||
2004-FST Preferred Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.13 | 630,711 | 0.28 | 1.15 | 0.32 | 1.11 | |||||||||||||||||||||||||||||
2004-FST Capital Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.08 | 95,441 | 0.33 | 1.10 | 0.37 | 1.06 | |||||||||||||||||||||||||||||
2004-FST Administration Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 0.98 | 1,072,788 | 0.43 | 0.99 | 0.47 | 0.95 | |||||||||||||||||||||||||||||
2004-FST Service Shares | 1.00 | 0.007 | (0.007 | ) | 1.00 | 0.73 | 290,341 | 0.68 | 0.72 | 0.72 | 0.68 | |||||||||||||||||||||||||||||
2003-FST Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.04 | 1,906,071 | 0.18 | 1.05 | 0.22 | 1.01 | |||||||||||||||||||||||||||||
2003-FST Select Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.01 | 114,133 | 0.21 | 1.02 | 0.25 | 0.98 | |||||||||||||||||||||||||||||
2003-FST Preferred Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.94 | 433,695 | 0.28 | 0.96 | 0.32 | 0.92 | |||||||||||||||||||||||||||||
2003-FST Capital Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.89 | 117,416 | 0.33 | 0.87 | 0.37 | 0.83 | |||||||||||||||||||||||||||||
2003-FST Administration Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.79 | 934,764 | 0.43 | 0.78 | 0.47 | 0.74 | |||||||||||||||||||||||||||||
2003-FST Service Shares | 1.00 | 0.005 | (0.005 | ) | 1.00 | 0.54 | 246,896 | 0.68 | 0.54 | 0.72 | 0.50 | |||||||||||||||||||||||||||||
2002-FST Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.69 | 3,062,537 | 0.18 | 1.68 | 0.22 | 1.64 | |||||||||||||||||||||||||||||
2002-FST Select Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.66 | 243,398 | 0.21 | 1.60 | 0.25 | 1.56 | |||||||||||||||||||||||||||||
2002-FST Preferred Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.59 | 990,048 | 0.28 | 1.58 | 0.32 | 1.54 | |||||||||||||||||||||||||||||
2002-FST Capital Shares (commenced August 12) | 1.00 | 0.01 | (0.01 | ) | 1.00 | 0.54 | 27,460 | 0.33 | (c) | 1.18 | (c) | 0.37 | (c) | 1.14 | (c) | |||||||||||||||||||||||||
2002-FST Administration Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.44 | 944,400 | 0.43 | 1.40 | 0.47 | 1.36 | |||||||||||||||||||||||||||||
2002-FST Service Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.19 | 344,914 | 0.68 | 1.19 | 0.72 | 1.15 | |||||||||||||||||||||||||||||
2001-FST Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.09 | 4,201,586 | 0.18 | 3.76 | 0.24 | 3.70 | |||||||||||||||||||||||||||||
2001-FST Select Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.05 | 51,609 | 0.21 | 3.15 | 0.27 | 3.09 | |||||||||||||||||||||||||||||
2001-FST Preferred Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.98 | 850,943 | 0.28 | 3.68 | 0.34 | 3.62 | |||||||||||||||||||||||||||||
2001-FST Administration Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.83 | 1,169,694 | 0.43 | 3.52 | 0.49 | 3.46 | |||||||||||||||||||||||||||||
2001-FST Service Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.57 | 576,226 | 0.68 | 3.17 | 0.74 | 3.11 |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Returns for periods less than a full year are not annualized. |
(c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
68
Goldman Sachs Trust—Financial Square Funds
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Federal Fund
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Net asset | Ratio of net | Ratio of net | ||||||||||||||||||||||||||||||||||||||
value, | Net asset | Net assets | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
beginning | Net | Distributions | value, | end of | expenses to | income to | expenses to | income to | ||||||||||||||||||||||||||||||||
of | investment | to | end of | Total | period (in | average net | average net | average net | average net | |||||||||||||||||||||||||||||||
Year��� Share Class | period | income(a) | shareholders | period | return(b) | 000’s) | assets | assets | assets | assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2006-FST Shares | $ | 1.00 | $ | 0.022 | $ | (0.022 | ) | $ | 1.00 | 2.24 | % | $ | 6,544,793 | 0.20 | %(c) | 4.47 | %(c) | 0.23 | %(c) | 4.44 | %(c) | |||||||||||||||||||
2006-FST Select Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.23 | 1 | 0.23 | (c) | 4.34 | (c) | 0.26 | (c) | 4.31 | (c) | |||||||||||||||||||||||||
2006-FST Preferred Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.19 | 155,395 | 0.30 | (c) | 4.38 | (c) | 0.33 | (c) | 4.35 | (c) | |||||||||||||||||||||||||
2006-FST Capital Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.16 | 3,643 | 0.35 | (c) | 4.33 | (c) | 0.38 | (c) | 4.30 | (c) | |||||||||||||||||||||||||
2006-FST Administration Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.11 | 650,258 | 0.45 | (c) | 4.23 | (c) | 0.48 | (c) | 4.20 | (c) | |||||||||||||||||||||||||
2006-FST Service Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 1.99 | 496,066 | 0.70 | (c) | 3.97 | (c) | 0.73 | (c) | 3.94 | (c) | |||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2005-FST Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 3.03 | 7,555,583 | 0.20 | 3.02 | 0.22 | 3.00 | |||||||||||||||||||||||||||||
2005-FST Select Shares | 1.00 | 0.030 | (0.030 | ) | 1.00 | 3.00 | 3 | 0.21 | 2.99 | 0.23 | 2.97 | |||||||||||||||||||||||||||||
2005-FST Preferred Shares | 1.00 | 0.029 | (0.029 | ) | 1.00 | 2.93 | 142,604 | 0.30 | 3.15 | 0.32 | 3.13 | |||||||||||||||||||||||||||||
2005-FST Capital Shares | 1.00 | 0.029 | (0.029 | ) | 1.00 | 2.88 | 3,772 | 0.35 | 2.84 | 0.37 | 2.82 | |||||||||||||||||||||||||||||
2005-FST Administration Shares | 1.00 | 0.028 | (0.028 | ) | 1.00 | 2.78 | 696,899 | 0.45 | 2.78 | 0.47 | 2.76 | |||||||||||||||||||||||||||||
2005-FST Service Shares | 1.00 | 0.025 | (0.025 | ) | 1.00 | 2.52 | 608,554 | 0.70 | 2.56 | 0.72 | 2.54 | |||||||||||||||||||||||||||||
2004-FST Shares | 1.00 | 0.012 | (0.012 | ) | 1.00 | 1.18 | 7,336,617 | 0.20 | 1.17 | 0.22 | 1.15 | |||||||||||||||||||||||||||||
2004-FST Select Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.15 | 3 | 0.23 | 0.98 | 0.25 | 0.96 | |||||||||||||||||||||||||||||
2004-FST Preferred Shares | 1.00 | 0.011 | (0.011 | ) | 1.00 | 1.08 | 41,311 | 0.30 | 1.03 | 0.32 | 1.01 | |||||||||||||||||||||||||||||
2004-FST Capital Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.03 | 3,823 | 0.35 | 1.01 | 0.37 | 0.99 | |||||||||||||||||||||||||||||
2004-FST Administration Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.93 | 679,050 | 0.45 | 1.00 | 0.47 | 0.98 | |||||||||||||||||||||||||||||
2004-FST Service Shares | 1.00 | 0.007 | (0.007 | ) | 1.00 | 0.67 | 484,309 | 0.70 | 0.68 | 0.72 | 0.66 | |||||||||||||||||||||||||||||
2003-FST Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.00 | 7,076,044 | 0.20 | 0.99 | 0.22 | 0.97 | |||||||||||||||||||||||||||||
2003-FST Select Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 0.97 | 19 | 0.23 | 0.95 | 0.25 | 0.93 | |||||||||||||||||||||||||||||
2003-FST Preferred Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.90 | 108,637 | 0.30 | 0.87 | 0.32 | 0.85 | |||||||||||||||||||||||||||||
2003-FST Capital Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.84 | 4,748 | 0.35 | 0.77 | 0.37 | 0.75 | |||||||||||||||||||||||||||||
2003-FST Administration Shares | 1.00 | 0.007 | (0.007 | ) | 1.00 | 0.74 | 419,747 | 0.45 | 0.75 | 0.47 | 0.73 | |||||||||||||||||||||||||||||
2003-FST Service Shares | 1.00 | 0.005 | (0.005 | ) | 1.00 | 0.49 | 505,454 | 0.70 | 0.49 | 0.72 | 0.47 | |||||||||||||||||||||||||||||
2002-FST Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.65 | 8,955,842 | 0.20 | 1.64 | 0.22 | 1.62 | |||||||||||||||||||||||||||||
2002-FST Select Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.62 | 19 | 0.23 | 1.23 | 0.25 | 1.21 | |||||||||||||||||||||||||||||
2002-FST Preferred Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 1.55 | 121,744 | 0.30 | 1.54 | 0.32 | 1.52 | |||||||||||||||||||||||||||||
2002-FST Capital Shares (commenced August 12) | 1.00 | 0.01 | (0.01 | ) | 1.00 | 0.53 | 1 | 0.35 | (c) | 1.43 | (c) | 0.37 | (c) | 1.41 | (c) | |||||||||||||||||||||||||
2002-FST Administration Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.40 | 685,582 | 0.45 | 1.39 | 0.47 | 1.37 | |||||||||||||||||||||||||||||
2002-FST Service Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.15 | 650,133 | 0.70 | 1.14 | 0.72 | 1.12 | |||||||||||||||||||||||||||||
2001-FST Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.05 | 14,153,371 | 0.20 | 3.87 | 0.22 | 3.85 | |||||||||||||||||||||||||||||
2001-FST Select Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 4.02 | 1 | 0.23 | 3.59 | 0.25 | 3.57 | |||||||||||||||||||||||||||||
2001-FST Preferred Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.95 | 126,915 | 0.30 | 3.76 | 0.32 | 3.74 | |||||||||||||||||||||||||||||
2001-FST Administration Shares | 1.00 | 0.04 | (0.04 | ) | 1.00 | 3.79 | 1,134,424 | 0.45 | 3.75 | 0.47 | 3.73 | |||||||||||||||||||||||||||||
2001-FST Service Shares | 1.00 | 0.03 | (0.03 | ) | 1.00 | 3.53 | 814,384 | 0.70 | 3.43 | 0.72 | 3.41 |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Returns for periods less than a full year are not annualized. |
(c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
69
Goldman Sachs Trust—Financial Square Funds
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Tax-Free Money Market Fund
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Net asset | Ratio of net | Ratio of net | ||||||||||||||||||||||||||||||||||||||
value, | Net asset | Net assets | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
beginning | Net | Distributions | value, | end of | expenses to | income to | expenses to | income to | ||||||||||||||||||||||||||||||||
of | investment | to | end of | Total | period (in | average net | average net | average net | average net | |||||||||||||||||||||||||||||||
Year— Share Class | period | income(a) | shareholders | period | return(b) | 000’s) | assets | assets | assets | assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2006-FST Shares | $ | 1.00 | $ | 0.015 | $ | (0.015 | ) | $ | 1.00 | 1.56 | % | $ | 6,529,598 | 0.18 | %(c) | 3.11 | %(c) | 0.23 | %(c) | 3.06 | %(c) | |||||||||||||||||||
2006-FST Select Shares | 1.00 | 0.015 | (0.015 | ) | 1.00 | 1.54 | 136,565 | 0.21 | (c) | 3.08 | (c) | 0.26 | (c) | 3.02 | (c) | |||||||||||||||||||||||||
2006-FST Preferred Shares | 1.00 | 0.015 | (0.015 | ) | 1.00 | 1.51 | 392,098 | 0.28 | (c) | 3.04 | (c) | 0.33 | (c) | 2.99 | (c) | |||||||||||||||||||||||||
2006-FST Capital Shares | 1.00 | 0.015 | (0.015 | ) | 1.00 | 1.48 | 198,765 | 0.33 | (c) | 2.94 | (c) | 0.38 | (c) | 2.89 | (c) | |||||||||||||||||||||||||
2006-FST Administration Shares | 1.00 | 0.014 | (0.014 | ) | 1.00 | 1.43 | 315,144 | 0.43 | (c) | 2.86 | (c) | 0.48 | (c) | 2.81 | (c) | |||||||||||||||||||||||||
2006-FST Service Shares | 1.00 | 0.013 | (0.013 | ) | 1.00 | 1.31 | 129,217 | 0.68 | (c) | 2.61 | (c) | 0.73 | (c) | 2.56 | (c) | |||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2005-FST Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.26 | 7,547,716 | 0.18 | 2.23 | 0.22 | 2.19 | |||||||||||||||||||||||||||||
2005-FST Select Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.23 | 175,764 | 0.21 | 2.20 | 0.25 | 2.16 | |||||||||||||||||||||||||||||
2005-FST Preferred Shares | 1.00 | 0.022 | (0.022 | ) | 1.00 | 2.16 | 243,181 | 0.28 | 2.16 | 0.32 | 2.12 | |||||||||||||||||||||||||||||
2005-FST Capital Shares | 1.00 | 0.021 | (0.021 | ) | 1.00 | 2.11 | 220,902 | 0.33 | 2.24 | 0.37 | 2.20 | |||||||||||||||||||||||||||||
2005-FST Administration Shares | 1.00 | 0.020 | (0.020 | ) | 1.00 | 2.01 | 349,087 | 0.43 | 1.98 | 0.47 | 1.94 | |||||||||||||||||||||||||||||
2005-FST Service Shares | 1.00 | 0.017 | (0.017 | ) | 1.00 | 1.75 | 164,979 | 0.68 | 1.79 | 0.72 | 1.75 | |||||||||||||||||||||||||||||
2004-FST Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.05 | 8,026,117 | 0.18 | 1.03 | 0.22 | 0.99 | |||||||||||||||||||||||||||||
2004-FST Select Shares | 1.00 | 0.010 | (0.010 | ) | 1.00 | 1.02 | 160,472 | 0.21 | 1.02 | 0.25 | 0.98 | |||||||||||||||||||||||||||||
2004-FST Preferred Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.94 | 186,208 | 0.28 | 0.94 | 0.32 | 0.90 | |||||||||||||||||||||||||||||
2004-FST Capital Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.89 | 32,599 | 0.33 | 0.93 | 0.37 | 0.89 | |||||||||||||||||||||||||||||
2004-FST Administration Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.79 | 345,968 | 0.43 | 0.81 | 0.47 | 0.77 | |||||||||||||||||||||||||||||
2004-FST Service Shares | 1.00 | 0.005 | (0.005 | ) | 1.00 | 0.54 | 85,930 | 0.68 | 0.58 | 0.72 | 0.54 | |||||||||||||||||||||||||||||
2003-FST Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.89 | 7,052,124 | 0.18 | 0.87 | 0.22 | 0.83 | |||||||||||||||||||||||||||||
2003-FST Select Shares | 1.00 | 0.009 | (0.009 | ) | 1.00 | 0.86 | 75,811 | 0.21 | 0.85 | 0.25 | 0.81 | |||||||||||||||||||||||||||||
2003-FST Preferred Shares | 1.00 | 0.008 | (0.008 | ) | 1.00 | 0.79 | 204,104 | 0.28 | 0.79 | 0.32 | 0.75 | |||||||||||||||||||||||||||||
2003-FST Capital Shares | 1.00 | 0.007 | (0.007 | ) | 1.00 | 0.74 | 2,784 | 0.33 | 0.75 | 0.37 | 0.71 | |||||||||||||||||||||||||||||
2003-FST Administration Shares | 1.00 | 0.006 | (0.006 | ) | 1.00 | 0.64 | 273,661 | 0.43 | 0.61 | 0.47 | 0.57 | |||||||||||||||||||||||||||||
2003-FST Service Shares | 1.00 | 0.004 | (0.004 | ) | 1.00 | 0.39 | 60,412 | 0.68 | 0.38 | 0.72 | 0.34 | |||||||||||||||||||||||||||||
2002-FST Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.30 | 4,537,375 | 0.18 | 1.29 | 0.22 | 1.25 | |||||||||||||||||||||||||||||
2002-FST Select Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.27 | 30 | 0.21 | 1.28 | 0.25 | 1.24 | |||||||||||||||||||||||||||||
2002-FST Preferred Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.20 | 177,825 | 0.28 | 1.20 | 0.32 | 1.16 | |||||||||||||||||||||||||||||
2002-FST Capital Shares (commenced August 12) | 1.00 | — | (d) | —(d | ) | 1.00 | 0.44 | 7,222 | 0.33 | (c) | 0.94 | (c) | 0.37 | (c) | 0.90 | (c) | ||||||||||||||||||||||||
2002-FST Administration Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 1.05 | 206,792 | 0.43 | 1.04 | 0.47 | 1.00 | |||||||||||||||||||||||||||||
2002-FST Service Shares | 1.00 | 0.01 | (0.01 | ) | 1.00 | 0.80 | 69,204 | 0.68 | 0.79 | 0.72 | 0.75 | |||||||||||||||||||||||||||||
2001-FST Shares | 1.00 | 0.03 | (0.03 | ) | 1.00 | 2.60 | 3,588,030 | 0.18 | 2.46 | 0.23 | 2.41 | |||||||||||||||||||||||||||||
2001-FST Select Shares | 1.00 | 0.03 | (0.03 | ) | 1.00 | 2.57 | 1 | 0.21 | 2.73 | 0.26 | 2.68 | |||||||||||||||||||||||||||||
2001-FST Preferred Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 2.50 | 17,722 | 0.28 | 2.45 | 0.33 | 2.40 | |||||||||||||||||||||||||||||
2001-FST Administration Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 2.34 | 146,621 | 0.43 | 2.27 | 0.48 | 2.22 | |||||||||||||||||||||||||||||
2001-FST Service Shares | 1.00 | 0.02 | (0.02 | ) | 1.00 | 2.09 | 68,298 | 0.68 | 2.04 | 0.73 | 1.99 |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Returns for periods less than a full year are not annualized. |
(c) | Annualized. |
(d) | Less than $.005 per share. |
The accompanying notes are an integral part of these financial statements.
70
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Trust (the “Trust”), and review the investment performance and expenses of the investment funds covered by this Report (the “Funds”) at regularly scheduled meetings held during the Funds’ fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Funds.
The Management Agreement was most recently approved by the Trustees, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), on June 15, 2006 (the “Annual Contract Meeting”).
To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to the reviews of the Funds’ investment performance, expenses and other matters at regularly scheduled Board meetings, the Trustees have a Contract Review Committee (the “Committee”) whose members include all of the Independent Trustees. The Committee held meetings on December 15, 2005, February 8, 2006 and May 10, 2006. At these Committee meetings, the Independent Trustees considered matters relating to the Management Agreement including: (a) the Funds’ investment performance; (b) the Funds’ management fee arrangements; (c) the Investment Adviser’s management fee waivers and its undertaking to reimburse certain expenses of the Funds that exceed specified levels; (d) the Investment Adviser’s potential economies of scale; (e) the relative expense level of the Funds; (f) the Investment Adviser’s profitability with respect to the Trust and the Funds; (g) the quality of the non-advisory services provided to the Funds; (h) the statutory and regulatory requirements applicable to the approval and continuation of mutual fund investment management agreements; (i) an evaluation of the Trustees’ contract review process provided by an outside third party; and (j) information on the processes followed by the third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Funds.
At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters, including: (a) a summary of fee concessions by the Investment Adviser and its affiliates with respect to the Goldman Sachs mutual funds; (b) the quality of the Investment Adviser’s services; (c) the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; (d) the groups within the Investment Adviser that support the portfolio management teams, including the legal and compliance departments, the credit department, the valuation oversight group, the risk and performance analytics group, the business planning team and the technology group; (e) the Investment Adviser’s business continuity and disaster recovery planning; (f) the Investment Adviser’s financial resources and its ability to hire and retain talented personnel; (g) the fees received by the Investment Adviser’s affiliates from the Funds for transfer agency and other services; (h) the terms of the Management Agreement; (i) the administrative services provided under the Management Agreement, including the nature and extent of the Investment Adviser’s oversight of the Funds’ other service providers
71
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
including the custodian and fund accounting agent; and (j) the Investment Adviser’s policies addressing various types of potential conflicts of interest. At the Annual Contract Meeting, the Trustees also considered at further length the Funds’ investment performance, fees and expenses, including the Funds’ expense trends over time.
In connection with the Committee meetings and the Annual Contract Meeting, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law. Also, in conjunction with these meetings, the Trustees received information relating to revenue sharing by the Investment Adviser and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions without employees of the Investment Adviser present.
The presentations made at the Contract Review Committee meetings and at the Annual Contract Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. While the Management Agreement for all of the Funds was approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to each Fund separately.
In evaluating the Management Agreement at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its services and the Funds. At those meetings the Trustees received materials relating to the Investment Adviser’s investment management and other services under the Management Agreement, including: (a) information on the investment performance of the Funds in comparison to other mutual funds; (b) general investment outlooks in the markets in which the Funds invest; (c) compliance reports; and (d) expenses borne by the Funds. In addition, the Trustees were provided with disclosure materials regarding the Goldman Sachs mutual funds and their expenses that are provided to investors who invest in the funds, as well as information on the Goldman Sachs mutual funds’ competitive universe and discussed the broad range of other investment choices that are available to those investors.
In connection with their approval of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Funds by the Investment Adviser and its affiliates. These services include services as the Funds’ transfer agent and distributor. The Trustees concluded that the Investment Adviser was both able to commit substantial financial and other resources to the operations of the Funds and had, in fact, continued to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, vendor oversight and risk management. The Trustees also believed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser, including education and training initiatives.
72
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees also considered the investment performance of the Funds and the Investment Adviser. In this regard, the Trustees compared the investment performance of the Funds to the performance rankings issued by the Outside Data Provider. This information on the Funds’ investment performance was provided for one, three and five year (and in some cases longer) periods. In addition, the Trustees considered the Funds’ investment performance in light of the investment objectives and credit parameters applicable to the Funds, and the predominantly institutional investor base the Funds serve. The Trustees also considered the Funds’ compliance with regulations of the Securities and Exchange Commission (the “SEC”) applicable to money market mutual funds and the stability of the Funds’ net asset values. In light of these considerations, the Trustees believed that the Funds were providing investment performance within a competitive range for investors.
The Board of Trustees also considered the contractual fee rates payable by the Funds under the Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds. They also considered information that indicated that these mutual fund services differed in various significant respects from the services provided to the Investment Adviser’s institutional accounts, which generally paid lower fees. In addition, the fees paid by the Funds and the Funds’ total operating expense ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment management firms. Most of the comparisons of the Funds’ fee rates and total operating expense ratios were prepared by the Outside Data Provider.
More particularly, the Trustees reviewed analyses prepared by the Outside Data Provider of the expense rankings of the Funds. The analyses provided a comparison of the Funds’ management fee rates to relevant peer groups and category universes; an expense analysis which compared each Fund’s expenses to a peer group and a category universe; and a five-year history comparing each Fund’s expenses to a category average. The analyses also compared the Funds’ transfer agency fees, custody and accounting fees and other expenses to peer groups and medians. The Trustees believed that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees paid by the Funds.
In addition, the Trustees reviewed information regarding the Investment Adviser’s potential economies of scale, and whether the Funds and their shareholders were participating in the benefits of these economies. In this regard, the Trustees considered the amount of assets in the Funds; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; and information comparing the contractual fee rates charged by the Investment Adviser (which do not include fee breakpoints) with fee rates charged by other, unaffiliated investment managers to other mutual funds. In this connection, the Trustees noted that the fees actually paid by the Funds were reduced by the Investment Adviser’s voluntary fee waivers and that the Investment Adviser had voluntarily reimbursed certain expenses of the Funds.
73
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from the Funds as stated above. In this connection, the Trustees noted that pursuant to exemptive orders issued by the SEC, affiliates of the Investment Adviser receive compensation in connection with certain portfolio securities transactions executed by the Funds. In addition, the Trustees reviewed the Investment Adviser’s pre-tax revenues and pre-tax margins with respect to the Trust and the Funds. The Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules, and expense allocation methodologies, as well as a report of independent accountants regarding the results of certain agreed-upon procedures to verify expense allocation calculations that were designed to assist the Trustees in their evaluation of the Investment Adviser’s schedules of revenues and expenses. The Trustees considered the Investment Adviser’s revenues and margins both in absolute terms and in comparison to the information on the reported margins earned by other asset management firms.
After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded that the management fees paid by the Funds were reasonable in light of the services provided by the Investment Adviser, its costs and the Funds’ current and reasonably foreseeable asset levels, and that the Management Agreement should be approved and continued.
74
Goldman Sachs Trust—Financial Square Funds
Fund Expenses (Unaudited) — Six Month Period Ended June 30, 2006 |
As a shareholder of FST Shares, FST Select Shares, FST Preferred Shares, FST Capital Shares, FST Administration Shares or FST Service Shares of the Funds you incur ongoing costs, including management fees; distribution (12b-1), service and/or shareholder administration fees (with respect to FST Select, FST Preferred, FST Capital, FST Administration and FST Service Shares, if any); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in FST Shares, FST Select Shares, FST Preferred Shares, FST Capital Shares, FST Administration Shares or FST Service Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2006 through June 30, 2006.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Prime Obligations Fund | Money Market Fund | Treasury Obligations Fund | Treasury Instruments Fund | |||||||||||||||||||||||||||||||||||||||||||||
Expenses | Expense | Expenses | Expenses | |||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | |||||||||||||||||||||||||||||||||||||
Share Class | 1/1/06 | 6/30/06 | 6/30/06* | 1/1/06 | 6/30/06 | 6/30/06* | 1/1/06 | 6/30/06 | 6/30/06* | 1/1/06 | 6/30/06 | 6/30/06* | ||||||||||||||||||||||||||||||||||||
FST Shares | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.90 | $ | 0.91 | $ | 1,000.00 | $ | 1,022.90 | $ | 0.91 | $ | 1,000.00 | $ | 1,022.30 | $ | 1.02 | $ | 1,000.00 | $ | 1,021.40 | $ | 1.02 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.90 | + | 0.91 | 1,000.00 | 1,023.89 | + | 0.92 | 1,000.00 | 1,023.78 | + | 1.02 | 1,000.00 | 1,023.79 | + | 1.02 | ||||||||||||||||||||||||||||||||
FST Select Shares | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,022.80 | 1.05 | 1,000.00 | 1,022.80 | 1.06 | 1,000.00 | 1,022.10 | 1.17 | 1,000.00 | 1,021.30 | 1.16 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.75 | + | 1.05 | 1,000.00 | 1,023.74 | + | 1.06 | 1,000.00 | 1,023.63 | + | 1.17 | 1,000.00 | 1,023.65 | + | 1.16 | ||||||||||||||||||||||||||||||||
FST Preferred Shares | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,022.40 | 1.41 | 1,000.00 | 1,022.40 | 1.42 | 1,000.00 | 1,021.80 | 1.52 | 1,000.00 | 1,020.90 | 1.52 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.40 | + | 1.41 | 1,000.00 | 1,023.39 | + | 1.42 | 1,000.00 | 1,023.29 | + | 1.52 | 1,000.00 | 1,023.29 | + | 1.52 | ||||||||||||||||||||||||||||||||
FST Capital | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,022.20 | 1.65 | 1,000.00 | 1,022.20 | 1.65 | 1,000.00 | 1,021.50 | 1.78 | 1,000.00 | 1,020.60 | 1.77 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.03 | + | 1.78 | 1,000.00 | 1,023.04 | + | 1.77 | ||||||||||||||||||||||||||||||||
FST Administration | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,021.70 | 2.16 | 1,000.00 | 1,021.70 | 2.17 | 1,000.00 | 1,021.00 | 2.27 | 1,000.00 | 1,020.10 | 2.27 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.66 | + | 2.16 | 1,000.00 | 1,022.65 | + | 2.17 | 1,000.00 | 1,022.54 | + | 2.28 | 1,000.00 | 1,022.55 | + | 2.27 | ||||||||||||||||||||||||||||||||
FST Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,020.40 | 3.41 | 1,000.00 | 1,020.40 | 3.42 | 1,000.00 | 1,019.70 | 3.53 | 1,000.00 | 1,018.90 | 3.52 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.42 | + | 3.41 | 1,000.00 | 1,021.41 | + | 3.42 | 1,000.00 | 1,021.30 | + | 3.53 | 1,000.00 | 1,021.31 | + | 3.52 | ||||||||||||||||||||||||||||||||
75
Government Fund | Federal Fund | Tax-Free Money Market Fund | ||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | ||||||||||||||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | ||||||||||||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | ||||||||||||||||||||||||||||
Share Class | 1/1/06 | 6/30/06 | 6/30/06* | 1/1/06 | 6/30/06 | 6/30/06* | 1/1/06 | 6/30/06 | 6/30/06* | |||||||||||||||||||||||||||
FST Shares | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.70 | $ | 0.92 | $ | 1,000.00 | $ | 1,022.40 | $ | 1.02 | $ | 1,000.00 | $ | 1,015.60 | $ | 0.91 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.88 | + | 0.92 | 1,000.00 | 1,023.79 | + | 1.02 | 1,000.00 | 1,023.89 | + | 0.91 | ||||||||||||||||||||||||
FST Select Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,022.30 | 1.15 | 1,000.00 | 1,022.30 | 1.10 | 1,000.00 | 1,015.40 | 1.06 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.65 | + | 1.15 | 1,000.00 | 1,023.71 | + | 1.10 | 1,000.00 | 1,023.75 | + | 1.06 | ||||||||||||||||||||||||
FST Preferred Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,022.20 | 1.42 | 1,000.00 | 1,021.90 | 1.52 | 1,000.00 | 1,015.10 | 1.41 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.39 | + | 1.42 | 1,000.00 | 1,023.29 | + | 1.52 | 1,000.00 | 1,023.40 | + | 1.41 | ||||||||||||||||||||||||
FST Capital | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,022.00 | 1.65 | 1,000.00 | 1,021.60 | 1.77 | 1,000.00 | 1,014.80 | 1.65 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.04 | + | 1.77 | 1,000.00 | 1,023.16 | + | 1.66 | ||||||||||||||||||||||||
FST Administration | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,021.50 | 2.18 | 1,000.00 | 1,021.10 | 2.27 | 1,000.00 | 1,014.30 | 2.16 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.64 | + | 2.18 | 1,000.00 | 1,022.55 | + | 2.27 | 1,000.00 | 1,022.65 | + | 2.17 | ||||||||||||||||||||||||
FST Service | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,020.20 | 3.43 | 1,000.00 | 1,019.90 | 3.52 | 1,000.00 | 1,013.10 | 3.40 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.40 | + | 3.43 | 1,000.00 | 1,021.31 | + | 3.53 | 1,000.00 | 1,021.41 | + | 3.42 | ||||||||||||||||||||||||
* | Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the year. Expense ratios for the most recent fiscal half year may differ from expense ratios based on one-year data in the financial highlights. The annualized net expense ratios for the period were as follows: |
Fund | FST Shares | FST Select Shares | FST Preferred Shares | FST Capital Shares | FST Administration Shares | FST Service Shares | ||||||||||||||||||
Prime Obligations | 0.18 | % | 0.21 | % | 0.28 | % | 0.33 | % | 0.43 | % | 0.68 | % | ||||||||||||
Money Market | 0.18 | 0.21 | 0.28 | 0.33 | 0.43 | 0.68 | ||||||||||||||||||
Treasury Obligations | 0.20 | 0.23 | 0.30 | 0.35 | 0.45 | 0.70 | ||||||||||||||||||
Treasury Instruments | 0.20 | 0.23 | 0.30 | 0.35 | 0.45 | 0.70 | ||||||||||||||||||
Government | 0.18 | 0.21 | 0.28 | 0.33 | 0.43 | 0.68 | ||||||||||||||||||
Federal | 0.20 | 0.23 | 0.30 | 0.35 | 0.45 | 0.70 | ||||||||||||||||||
Tax-Free Money Market | 0.18 | 0.21 | 0.28 | 0.33 | 0.43 | 0.68 | ||||||||||||||||||
+ | Hypothetical expenses are based on the Fund’s actual annualized expense ratios and an assumed rate of return of 5% per year before expenses. |
76
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-621-2550; and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
The Standardized 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include capital gains. The Standardized 7-Day Current Yield may differ slightly from the actual distribution rate of a given portfolio because of the exclusion of distributed capital gains, which are non-recurring.
The Standardized 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include capital gains. The Standardized 7-Day Effective Yield assumes reinvestment of monthly dividends.
The Standardized 30-Day Yield is calculated by annualizing the net investment income per share earned over a 30-day period divided by the maximum public offering price per share on the last day of the period. This yield does not necessarily reflect income earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders.
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
This material is not authorized for distribution unless preceded or accompanied by a current prospectus. Investors should consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing or sending money. The prospectus contains this and other information about the Funds.
Goldman, Sachs & Co. is the distributor of the Goldman Sachs Funds.
Copyright 2006 Goldman, Sachs & Co. All rights reserved. | 06-260/148.1K / 08-06 |
TRUSTEES | |
Ashok N. Bakhru, Chairman | |
John P. Coblentz, Jr. | |
Patrick T. Harker | |
Mary Patterson McPherson | |
Alan A. Shuch | |
Wilma J. Smelcer | |
Richard P. Strubel | |
Kaysie P. Uniacke | |
OFFICERS | |
Kaysie P. Uniacke, President | |
James A. Fitzpatrick, Vice President | |
James A. McNamara, Vice President | |
John M. Perlowski, Treasurer | |
Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. | |
Distributor and Transfer Agent | |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. | |
Investment Adviser |
FSS/ SAR 06/06 | Goldman Sachs Funds 32 Old Slip New York, NY 10005 |
ITEM 2. | CODE OF ETHICS. — Not applicable to the Semi-Annual Report for the period ended June 30, 2006 |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. — Not applicable to the Semi-Annual Report for the period ended June 30, 2006 |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. — Not applicable to the Semi-Annual Report for the period ended June 30, 2006 |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. | |
ITEM 11. | CONTROLS AND PROCEDURES. | |
(a) | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. | ||
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123-04-0002984). | ||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Goldman Sachs Trust | ||||||
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | August 31, 2006 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | August 31, 2006 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | August 31, 2006 |