Goldman Sachs Funds
| SPECIAL FOCUS FIXED INCOME FUNDS | Annual Report October 31, 2006 |
 | Current income potential from portfolios that invest in a variety of fixed income securities. |
 | Asset Management |
Goldman Sachs Special Focus
Fixed Income Funds
| n | GOLDMAN SACHS GLOBAL INCOME FUND |
| n | GOLDMAN SACHS HIGH YIELD FUND |
| n | GOLDMAN SACHS EMERGING MARKETS DEBT FUND |
The Goldman Sachs Global Income Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The Fund may invest in foreign and emerging market securities, which may be more volatile and less liquid than its investment in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. The Fund may also engage in foreign currency transactions for hedging purposes including cross hedging or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid. The Fund is nondiversified and may invest more of its assets in fewer issuers than diversified funds, may be more susceptible to adverse developments affecting any single issuer held in its portfolio and may be susceptible to greater losses because of these developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The Goldman Sachs High Yield Fund invests in high yield, fixed income securities that, at the time of purchase, are noninvestment grade. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. The Fund may also invest in foreign issuers who are denominated in currencies other than the U.S. dollar and in securities of issuers located in emerging countries denominated in any currency. The Fund’s foreign and emerging market investments may be more volatile and less liquid than its investment in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes including cross hedging or for speculative purposes. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid.
The Goldman Sachs Emerging Markets Debt Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The majority of the countries in which the Fund invests have sovereign ratings that are below investment grade or are unrated. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. Fixed income securities of emerging countries are less liquid and are subject to greater price volatility and will be subject to the risks of currency fluctuations and sudden economic or political developments. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. The Fund may also engage in foreign currency transactions for hedging purposes including cross hedging or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund is subject to concentration risk and it may subject the Fund to greater losses than if it were less concentrated in a particular country or region. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid. The Fund is nondiversified and may invest more of its assets in fewer issuers than diversified funds, may be more susceptible to adverse developments affecting any single issuer held in its portfolio and may be susceptible to greater losses because of these developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
What Distinguishes Goldman Sachs’
Fixed Income Investment Process?
Fixed Income Investment Process?
At Goldman Sachs Asset Management (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.
A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:
| n | Assess relative value among securities and sectors |
| n | Leverage the vast resources of Goldman Sachs in selecting securities for each portfolio |
| n | Team approach to decision making |
| n | Manage risk by avoiding significant sector and interest rate bets |
| n | Careful management of yield curve strategies — while closely managing portfolio duration |
Fixed Income portfolios that:
| n | Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield | |
| n | Capitalize on GSAM’s industry-renowned credit research capabilities | |
| n | Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income |
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PORTFOLIO RESULTS
Global Income Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Global Income Fund during the one-year reporting period that ended October 31, 2006.
Performance Review
| Over the one-year period that ended October 31, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 2.07%, 1.36%, 1.28%, 2.54% and 1.94%, respectively. These returns compare to the 4.33% cumulative total return of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index (hedged), over the same time period. | |
| The Fund generated a positive return during the reporting period but lagged its benchmark. This was largely due to the Fund’s currency strategy and duration positioning. This more than offset the positive contributions generated by several trades in our country strategy that were instituted during the period. |
Market Review
| The markets reacted calmly to news of Ben Bernanke’s nomination to succeed Alan Greenspan when the Federal Reserve Board (the “Fed”) chairman stepped down at the end of January 2006. Mr. Bernanke was seen as a safe replacement and someone who was unlikely to deviate from the policies of his predecessor. In the first half of the reporting period, U.S. bonds fell across the yield curve due to strong economic data. Despite rising yields at the short-end of the curve, benign inflationary pressures kept long-end yields within a relatively narrow range. Treasuries then advanced as weaker economic data emerged and the yield curve shifted down as expectations for inflation and future interest rates were revised lower. The Fed raised rates at every meeting over the period before going on hold in June, August, September and October, with rates ending at 5.25%. | |
| European bonds sold off in line with Treasuries in the first half of the period as strong economic data and further improvements in business sentiment surveys pointed to sustained growth within the region. In the second half of the period, European bonds followed Treasuries higher, despite more robust economic activity and domestic demand. The European Central Bank (ECB) maintained its stance and raised rates to 3.25%. | |
| In the first half of the period, the sell-off in Japanese government bonds came amidst signs of real economic recovery and the Bank of Japan’s announcement that it would end its policy of quantitative easing, seen as the necessary first step to eventual rate increases. Japanese government bonds ended the second half of the period stronger as data weakened and inflationary concerns abated. The Bank of Japan raised rates to 0.25% in the second half of the period but then unanimously decided to keep rates on hold thereafter. |
2
PORTFOLIO RESULTS
Investment Objective
| The Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation. |
Investment Strategies
| The Fund holds a global portfolio of high quality bonds that represents our best ideas in the world’s developed country bond markets. Strategies employed include the active management of interest rates, yield curve, country allocation, sector, security selection and currency management. To the extent we find them effective instruments to manage the duration of the portfolio, and not for speculative purposes, the Fund may employ the use of derivatives, including financial futures, Eurodollar futures contracts and swaps. The Fund also makes use of currency forwards for the purpose of hedging non U.S. dollar exposures, as well as implementing active currency views. | |
| We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, or changing interest rates. In addition, we believe that futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Factors Affecting Performance
| Overall, our duration strategy was a detractor from the Fund’s performance. Our short duration position in Japan and the U.S. added value in the first half of the period as U.S. Treasuries fell following continuous strong data releases for growth, inflation and employment. The Fed continued its tightening policy and Japanese government bonds weakened on the back of signs of an economic recovery and the Bank of Japan’s announcement that it will end its policy of quantitative easing. However, this position detracted from results in the second half of the period. Our short Japan duration position suffered as growth momentum in Japan appeared to slow and a larger-than-anticipated downward revision in the core consumer price index (CPI) prompted a reassessment of inflation and future policy rate expectations. Our short U.S. duration position also suffered as the U.S. economy showed signs of slowing, led by a sharp downturn in the housing market and the cumulative effects of monetary policy tightening. |
3
PORTFOLIO RESULTS
| Our currency strategy was the main detractor from performance. Our overweight position in the U.S. dollar had a negative impact on performance as it trended lower during January as economic data failed to support the currency. Our short Great Britain pound position suffered in the second quarter of 2006 as the Great Britain pound performed strongly due to global risk aversion in the latter half of this period. Our short New Zealand dollar position detracted from results in the third quarter of 2006, as the New Zealand dollar was the best performing currency. This was triggered by some surprisingly strong inflation and employment data that caused the currency to rally as the market pared back expectations for interest rate cuts this year. | |
| Our short UK/long U.S. and short Europe/long U.S. positions within our country strategy added value as U.S. bonds advanced more than their European and UK bonds counterparts. However, the value added from these positions was offset by poor performance in our short UK/long Europe and short Canada/long New Zealand positions. |
Outlook
| Globally, we believe the trend is for economic growth to slow gradually despite a year-end boost from falling energy prices. The monetary policy that central banks will adopt will be very data-dependent over the coming year. While U.S. corporate profit growth remains strong, leading indicators, such as the Institute for Supply Management’s manufacturing and non-manufacturing indices, point to softer growth. Despite a number of downside risks, our outlook for Japanese growth remains positive. | |
| We believe that the corporate sector remains strong, credit growth is trending upwards and solid employment data should ultimately bolster personal consumption. In the UK, we remain of the view that inflationary pressures will moderate from the anticipated winter peak and we expect the path of rates to be very data-dependent over the coming year. We believe that the economic outlook for 2007 in the Eurozone is uncertain, as the strong growth momentum will likely be dampened by higher tax rates in Germany, fiscal tightening in Italy, moderating global growth and a strong exchange rate. That said, we believe there will be further modest interest rate hikes from the ECB by the end of next year. | |
| We thank you for your investment and look forward to your continued confidence. | |
| Goldman Sachs Global Fixed Income Investment Management Team | |
| November 20, 2006 |
4
| FUND BASICS |
Global Income Fund
as of October 31, 2006
| PERFORMANCE REVIEW |
| November 1, 2005– | Fund Total Return | J.P. Morgan Global Government | 30-Day Standardized | |||||||||||
| October 31, 2006 | (based on NAV)1 | Bond Index (hedged)2 | Yield3 | |||||||||||
| Class A | 2.07 | % | 4.33 | % | 2.40 | % | ||||||||
| Class B | 1.36 | 4.33 | 1.77 | |||||||||||
| Class C | 1.28 | 4.33 | 1.77 | |||||||||||
| Institutional | 2.54 | 4.33 | 2.88 | |||||||||||
| Service | 1.94 | 4.33 | 2.39 | |||||||||||
| 1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The J.P. Morgan Global Government Bond Index (hedged), an unmanaged index, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
| 3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4 |
| For the period ended 9/30/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | -3.61 | % | 2.79 | % | 4.80 | % | 5.82 | % | 8/2/91 | |||||||||||
| Class B | -4.78 | 2.70 | 4.69 | 4.96 | 5/1/96 | |||||||||||||||
| Class C | -0.85 | 3.11 | n/a | 4.33 | 8/15/97 | |||||||||||||||
| Institutional | 1.39 | 4.30 | 5.90 | 6.57 | 8/1/95 | |||||||||||||||
| Service | 0.79 | 3.77 | 5.365 | 6.195 | 8/2/91 | |||||||||||||||
| 4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| 5 | Performance data for Service Shares prior to 3/12/97 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares in the Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. |
5
FUND BASICS
| CURRENCY ALLOCATION6 |
| Percentage of Net Assets | ||||||||||
| as of 10/31/06 | as of 10/31/05 | |||||||||
| Euro | 34.3 | % | 40.5 | % | ||||||
| U.S. Dollar7 | 27.5 | 22.0 | ||||||||
| Japanese Yen | 18.8 | 12.2 | ||||||||
| British Pound | 4.7 | 3.3 | ||||||||
| Canadian Dollar | 3.7 | 1.6 | ||||||||
| Polish Zloty | 1.0 | — | ||||||||
| Danish Krone | 0.7 | 0.9 | ||||||||
| Swedish Krona | 0.6 | 0.4 | ||||||||
| Deutschemark | 0.4 | — | ||||||||
| Australian Dollar | 0.1 | 1.8 | ||||||||
| Mexican Peso | — | 1.0 | ||||||||
| Israeli Shekel | — | 0.1 | ||||||||
| 6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
| 7 | This figure represents the value excluding short-term obligations. If short-term obligations had been included the percentages for 2006 and 2005 would have been 34.8% and 36.7%, respectively. |
6
PORTFOLIO RESULTS
High Yield Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs High Yield Fund during the one-year reporting period that ended October 31, 2006.
Performance Review
| Over the one-year period that ended October 31, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 10.76%, 9.93%, 9.94%, 11.16% and 10.63%, respectively. These returns compared to the 9.67% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, 2% Issuer Capped, over the same time period. | |
| The Fund outperformed its benchmark during the reporting period. Strong corporate results and low default rates have led the market to trade in a narrow spread range, aside from the automotive and airline sectors. Consequently, security selection has been the main contributor to excess returns. |
Market Environment
| Strong company results, coupled with positive equity market returns, greatly benefited riskier credits and they significantly outperformed the overall high yield market over the period. During the last twelve months, CCC-rated bonds returned 15.50%. In contrast, more Treasury sensitive BB-rated bonds returned only 7.45% while B-rated bonds returned 10.35%. Currently, default rates are at their lowest levels in twenty years, further adding to market strength. Standard & Poor’s reported that the default rate for the last twelve months dipped below 1% at the end of October 2006. | |
| As was the case for much of 2005, the automotive sector dictated the direction of the high yield market during the last twelve months. Initially, the sector was hurt by automotive parts supplier Delphi’s bankruptcy filing, but it has performed strongly since the start of the year. This return has been driven by improved earnings at General Motors and news of management changes at Ford. | |
| More defensive sectors, such as gaming, energy and healthcare, for example, have been adversely impacted by their greater sensitivity to interest rates. Furthermore, in June, hospital operator HCA saw its bonds fall sharply on news of its $32 billion leveraged buyout, dragging down the whole sector on supply fears. Consequently, healthcare has been the worst performing high yield sector, returning 4.13% over the past year. |
Investment Objective
| The Fund seeks a high level of current income and may also consider the potential for capital appreciation. |
7
PORTFOLIO RESULTS
Investment Strategies
| In seeking to meet the Fund’s investment objective, we invest, under normal circumstances, at least 80% of the Fund’s net assets plus any borrowings for investment purposes in high yield, fixed income securities that, at the time of purchase, are non-investment grade. The Fund may invest in obligations of domestic and foreign issuers, which are denominated in currencies other than the U.S. dollar. The Fund typically uses currency forwards for the purpose of hedging currency exposure. |
Factors Affecting Performance
| The Fund posted consistently strong returns, outperforming the benchmark during the twelve-month reporting period. The Fund benefited from its focus on single B and below-rated companies and an underweight to BB-rated bonds. At period end, the Fund’s B rated holdings accounted for almost 56% of its assets, versus approximately 46% for the benchmark. Meanwhile, securities rated BB accounted for nearly 19% of the Fund, compared with about 38% for the benchmark. | |
| Packaging, chemicals and buildings products all performed well over the period. Raw material cost squeezes have subsided and earnings in each sector have been surprisingly strong. Notable outperformers include Consolidated Container, Associated Materials and Nortek. Performance has further benefited from a number of turnaround situations such as VWR and Grohe, as well as a number of premium calls and tender offers, such as Quintiles. Factors that detracted from Fund performance included an underweight to automotives and minimal airline exposure, both of which performed well during the period. |
Outlook
| Based on market technical factors and our fundamental credit research, we believe high yield returns will be primarily driven by coupon payments in the medium term, offset by the moderately rising default rates and potentially higher interest rates. We believe the rise of “mega” leverage buyouts (LBOs) such as Freescale and HCA will likely dominate new issue supply over the next twelve months. | |
| We thank you for your investment and look forward to your continued confidence. | |
| Goldman Sachs High Yield Investment Management Team | |
| November 27, 2006 |
8
FUND BASICS
High Yield Fund
as of October 31, 2006
| PERFORMANCE REVIEW |
| Lehman Brothers | ||||||||||||||
| U.S. Corporate | 30-Day | |||||||||||||
| November 1, 2005– | Fund Total Return | High Yield Bond Index | Standardized | |||||||||||
| October 31, 2006 | (based on NAV)1 | 2% Issuer Capped2 | Yield3 | |||||||||||
| Class A | 10.76 | % | 9.67 | % | 6.55 | % | ||||||||
| Class B | 9.93 | 9.67 | 6.11 | |||||||||||
| Class C | 9.94 | 9.67 | 6.11 | |||||||||||
| Institutional | 11.16 | 9.67 | 7.24 | |||||||||||
| Service | 10.63 | 9.67 | 6.74 | |||||||||||
| 1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Lehman Brothers U.S. Corporate High Yield Bond Index, 2% Issuer Capped, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
| 3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4 |
| For the period ended 9/30/06 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
| Class A | 3.26 | % | 10.69 | % | 6.11 | % | 8/1/97 | |||||||||
| Class B | 1.92 | 10.50 | 5.86 | 8/1/97 | ||||||||||||
| Class C | 6.20 | 10.91 | 5.91 | 8/15/97 | ||||||||||||
| Institutional | 8.32 | 12.12 | 7.05 | 8/1/97 | ||||||||||||
| Service | 7.94 | 11.55 | 6.51 | 8/1/97 | ||||||||||||
| 4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 60 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
| The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
9
FUND BASICS
| TOP 10 ISSUERS AS OF 10/31/065 |
| Company | % of Net Assets | Line of Business | ||||||
| El Paso Corp. | 2.58 | % | Utilities | |||||
| General Motors Acceptance Corp. | 1.64 | Automotive | ||||||
| Ray Acquisition SCA | 1.63 | Services Cyclical | ||||||
| MGM Mirage, Inc. | 1.38 | Gaming | ||||||
| Ford Motor Credit Co. | 1.32 | Automotive | ||||||
| RH Donnelley Corp. | 1.30 | Publishing | ||||||
| Nielsen Finance LLC | 1.04 | Publishing | ||||||
| Nortek, Inc. | 1.02 | Building Materials | ||||||
| Wind Acquisition Finance SA | 0.96 | Telecommunications | ||||||
| Nextel Communications, Inc. | 0.94 | Telecommunications | ||||||
| 5 | The top 10 issuers may not be representative of the Fund’s future investments. |
| TOP 10 INDUSTRY ALLOCATION6 |
| Percentage of Net Assets | ||||||||||
| as of 10/31/06 | as of 10/31/05 | |||||||||
| Chemicals | 6.5 | 7.3 | ||||||||
| Gaming | 5.7 | 5.5 | ||||||||
| Publishing | 4.7 | 4.7 | ||||||||
| Media – Cable | 4.2 | 4.4 | ||||||||
| Packaging | 3.7 | 3.9 | ||||||||
| Telecommunications – Cellular | 3.7 | 3.6 | ||||||||
| Utilities – Pipelines | 3.6 | 4.2 | ||||||||
| Utilities – Electric | 3.4 | 4.8 | ||||||||
| Building Materials – Fixtures & Fittings | 3.3 | 3.7 | ||||||||
| Consumer Products – Household & Leisure | 3.1 | 2.7 | ||||||||
| 6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
10
PORTFOLIO RESULTS
Emerging Markets Debt Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Emerging Markets Debt Fund for the one-year period that ended October 31, 2006.
Performance Review
| Over the one-year period that ended October 31, 2006, the Fund’s Class A and Institutional Shares generated cumulative total returns, without sales charges, of 11.63% and 11.93%, respectively. These returns compare to the 11.24% cumulative total return of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, over the same time period. From the period since its inception on September 29, 2006 to October 31, 2006, the Fund’s Class C Shares generated a cumulative total return of 1.98% compared to the 1.96% cumulative total return of the Fund’s benchmark over the same abbreviated time period. | |
| The Fund generated a positive return during the reporting period and outperformed its benchmark. This was largely due to the Fund’s external debt security selection and duration positioning during the period. Slightly offsetting this was an underweight to Argentina and security selection of local debt, both of which detracted from results. |
Market Review
| The J.P. Morgan EMBI Global Diversified Index returned 11.24% over the twelve-month period ending October 31, 2006. Emerging market debt spreads tightened 43 basis points (bps) to close the period at 203 bps. This was just 21 basis points shy of the Index’s all-time tightest spread level of 182 bps. The market continued to perform particularly well, aided by the ongoing improvement in emerging market fundamentals, supportive commodity returns, and strong investor demand. Latin America outperformed all emerging regions, returning 13.95%, while Africa underperformed all emerging regions, returning 5.16%. Argentina (+39.9%), Ivory Coast (+34.3%) and the Philippines (+20.9%) were the top-performing emergers, while Lebanon (-0.9%), Egypt (+3.4%), Hungary (+3.7%) and Poland (+4.6%) were the bottom-performing emergers for the period. |
Investment Objective
| The Fund seeks a high level of total return consisting of income and capital appreciation. |
Investment Strategies
| In seeking to meet the Fund’s investment objective, we invest, under normal circumstances, at least 80% of the Fund’s net assets plus any borrowings for investment purposes in fixed income securities of issuers located in emerging countries. To the extent we find them effective instruments with which to manage certain of the portfolio’s risk exposures (e.g., duration and currency), the Fund may employ the use of derivatives, including options, futures, forwards, swaps and Eurodollar futures contracts. The Fund typically makes use of currency forwards for the purpose of hedging select currency exposure back to the base currency of the Fund. Since its inception, we believe the Fund’s exposure to derivatives has been an effective risk management tool for hedging duration and currency exposures as desired. |
11
PORTFOLIO RESULTS
Portfolio Composition
| At the end of the reporting period relative to the benchmark, the Fund held sizable underweight positions to Asia, Africa and the Middle East, and overweight positions to Latin America and Europe. The Fund remains well diversified across 30 countries and across all emerging market regions. At the end of the period, the portfolio’s largest relative overweight was Brazil (+5.7%) and its largest underweight was Argentina (-3.1%). | |
| We continue to focus on relative value across countries but believe overall valuations are tight. Fundamentally, we continue to see a fairly favorable external environment and healthy developments in key credits and across the broader market in general. We believe sustained or rising oil price levels, which closed at just under $59 per barrel at the end of the period, should continue to support oil exporting countries, which comprise over 40% of the emerging market debt index. We believe that the technical picture also continues to bode well on the asset class. Strategic inflows remain strong, as investor demand is high and broadening. Furthermore, the need for new issuance is decreasing. Many emerging market economies are running current account surpluses due to high commodity prices and strong export demand. |
Portfolio Highlights
| Security selection of Argentine and Brazilian debt was the primary contributor to excess returns for the period, as the market’s appetite for high risk emerging market debt drove spreads tighter. Active currency exposure to the Brazilian real also enhanced results, as the currency appreciated nearly 5% over the reporting period. Primary detractors from returns included an underweight to Argentina, security selection of local Brazilian debt, and active currency exposure to the Colombian peso. From a top-down perspective, the Fund’s short interest rate duration and long spread duration positions contributed to returns, as rates rose and spreads tightened over the period. |
Outlook
| We continue to focus on relative value across countries but believe overall emerging market debt valuations are high. Fundamentally, we continue to see a fairly favorable external environment and healthy developments in key credits and across the broader emerging debt market in general. We believe sustained or rising oil price levels should continue to support oil exporting countries, which comprise over 40% of the emerging market debt index. We believe that the technical picture also continues to shine favorably on the asset class, as investor demand remains strong and new issuance has been below its historical average. | |
| We thank you for your investment and look forward to your continued confidence. | |
| Goldman Sachs Global Fixed Income Investment Management Team | |
| November 30, 2006 |
12
FUND BASICS
Emerging Markets Debt Fund
as of October 31, 2006
| PERFORMANCE REVIEW |
| November 1, 2005– | Fund Total Return | J.P. Morgan EMBI Global | 30-Day Standardized | |||||||||||
| October 31, 2006 | (based on NAV)1 | Diversified Index2 | Yield3 | |||||||||||
| Class A | 11.63 | % | 11.24 | % | 4.80 | % | ||||||||
| Institutional | 11.93 | 11.24 | 5.40 | |||||||||||
| September 29, 2006 | ||||||||||||||
| (inception of class)– | ||||||||||||||
| October 31, 2006 | ||||||||||||||
| Class C | 1.98 | % | 1.96 | % | 4.41 | % | ||||||||
| 1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The J.P. Morgan EMBI Global Diversified Index is an unmanaged index of debt instruments of 31 Emerging Countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
| 3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4 |
| For the period ended 9/30/06 | One Year | Since Inception | Inception Date | |||||||||
| Class A | 2.21 | % | 12.93 | % | 8/29/03 | |||||||
| Institutional | 7.51 | 15.11 | 8/29/03 | |||||||||
| The Emerging Markets Debt Fund Class C commenced operations on September 29, 2006, therefore no standardized performance for the period ended September 30, 2006 is provided for the Fund’s Class C Shares. | |
| 4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
| The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
13
FUND BASICS
| TOP 10 COUNTRY ALLOCATION5 |
| Percentage of Net Assets | ||||||||||
| as of 10/31/06 | as of 10/31/05 | |||||||||
| Russia | 13.0 | % | 7.2 | % | ||||||
United States6 | 11.1 | 18.2 | ||||||||
| Brazil | 9.1 | 8.9 | ||||||||
| Philippines | 7.4 | 4.7 | ||||||||
| Argentina | 7.4 | 12.2 | ||||||||
| Turkey | 6.8 | 7.0 | ||||||||
| Venezuela | 5.9 | 5.6 | ||||||||
| Mexico | 4.7 | 3.4 | ||||||||
| Peru | 3.9 | 4.0 | ||||||||
| Guatemala | 3.5 | 3.4 | ||||||||
| 5 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| 6 | Includes 8.1% short-term investments. Short-term investments include repurchase agreements. |
14
GOLDMAN SACHS GLOBAL INCOME FUND
Performance Summary
October 31, 2006 (Unaudited)
The following graph shows the value, as of October 31, 2006, of a $10,000 investment made on November 1, 1996 in Institutional Class Shares of the Goldman Sachs Global Income Fund. For comparative purposes, the performance of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index (hedged) (the “JP Morgan GGB Index (hedged)”), is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemptions of Fund shares. Performance of Class A, Class B, Class C, and Service Shares will vary from Institutional Class Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the portfolio.
| Global Income Fund’s 10 Year Performance |
Performance of a $10,000 Investment, Distributions Reinvested November 1, 1996 to October 31, 2006.
| Average Annual Total Return through October 31, 2006 | Since Inception | Ten Years | Five Years | One Year | ||||||||||||||
Class A (commenced August 2, 1991) | ||||||||||||||||||
| Excluding sales charges | 6.15% | 5.18% | 3.42% | 2.07% | ||||||||||||||
| Including sales charges | 5.83% | 4.70% | 2.48% | -2.49% | ||||||||||||||
Class B (commenced May 1, 1996) | ||||||||||||||||||
| Excluding contingent deferred sales charges | 4.97% | 4.59% | 2.79% | 1.36% | ||||||||||||||
| Including contingent deferred sales charges | 4.97% | 4.59% | 2.37% | -3.71% | ||||||||||||||
Class C (commenced August 15, 1997) | ||||||||||||||||||
| Excluding contingent deferred sales charges | 4.35% | N/A | 2.79% | 1.28% | ||||||||||||||
| Including contingent deferred sales charges | 4.35% | N/A | 2.79% | 0.27% | ||||||||||||||
Institutional Class (commenced August 1, 1995) | 6.57% | 5.80% | 3.98% | 2.54% | ||||||||||||||
Service Class (commenced August 2, 1991) | 5.12% | N/A | 3.44% | 1.94% | ||||||||||||||
15
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount* | Rate | Date | Value | |||||||||||||
Foreign Sovereign Debt Obligations – 62.1% | ||||||||||||||||
| Australian Dollar – 0.1% | ||||||||||||||||
| Australia Government Bond | ||||||||||||||||
| AUD1,100,000 | 6.000 | % | 02/15/17 | $ | 873,688 | |||||||||||
| British Pound – 4.4% | ||||||||||||||||
| United Kingdom Treasury | ||||||||||||||||
| GBP3,400,000 | 4.250 | 03/07/11 | 6,345,420 | |||||||||||||
| 5,140,000 | 8.000 | 09/27/13 | 11,734,022 | |||||||||||||
| 1,300,000 | 8.750 | 08/25/17 | 3,379,681 | |||||||||||||
| 1,990,000 | 8.000 | 06/07/21 | 5,235,060 | |||||||||||||
| 4,750,000 | 4.250 | 06/07/32 | 9,324,527 | |||||||||||||
| 400,000 | 4.250 | 03/07/36 | 796,440 | |||||||||||||
| 700,000 | 4.250 | 12/07/55 | 1,480,429 | |||||||||||||
| 38,295,579 | ||||||||||||||||
| Canadian Dollar – 3.7% | ||||||||||||||||
| Government of Canada | ||||||||||||||||
| CAD26,100,000 | 6.000 | 06/01/08 | 23,940,321 | |||||||||||||
| 3,900,000 | 4.500 | 06/01/15 | 3,597,016 | |||||||||||||
| 4,350,000 | 5.750 | 06/01/29 | 4,795,943 | |||||||||||||
| 32,333,280 | ||||||||||||||||
| Danish Krone – 0.8% | ||||||||||||||||
| Kingdom of Denmark | ||||||||||||||||
| DKK20,000,000 | 6.000 | 11/15/09 | 3,646,750 | |||||||||||||
| 16,000,000 | 4.000 | 11/15/15 | 2,793,061 | |||||||||||||
| 6,439,811 | ||||||||||||||||
| Euro – 32.7% | ||||||||||||||||
| Federal Republic of Germany | ||||||||||||||||
| EUR14,250,000 | 5.250 | 01/04/08 | 18,503,184 | |||||||||||||
| 58,350,000 | 3.500 | 04/08/11 | 73,950,786 | |||||||||||||
| 9,450,000 | 3.250 | 07/04/15 | 11,654,093 | |||||||||||||
| 4,750,000 | 6.250 | 01/04/24 | 7,876,907 | |||||||||||||
| 3,300,000 | 4.750 | 07/04/28 | 4,755,700 | |||||||||||||
| 10,950,000 | 4.750 | 07/04/34 | 16,062,860 | |||||||||||||
| 50,000 | 4.000 | 01/04/37 | 65,622 | |||||||||||||
| Government of France | ||||||||||||||||
| 18,300,000 | 5.250 | 04/25/08 | 23,860,781 | |||||||||||||
| 10,700,000 | 3.500 | 04/25/15 | 13,433,125 | |||||||||||||
| 5,300,000 | 5.500 | 04/25/29 | 8,387,504 | |||||||||||||
| Kingdom of Belgium | ||||||||||||||||
| 17,500,000 | 5.000 | 09/28/12 | 23,850,692 | |||||||||||||
| Kingdom of Spain | ||||||||||||||||
| 2,000,000 | 6.000 | 01/31/08 | 2,622,745 | |||||||||||||
| 2,950,000 | 4.200 | 07/30/13 | 3,870,846 | |||||||||||||
| 10,000,000 | 4.400 | 01/31/15 | 13,343,969 | |||||||||||||
| Kingdom of The Netherlands | ||||||||||||||||
| 19,900,000 | 3.750 | 07/15/09 | 25,470,573 | |||||||||||||
| 1,800,000 | 4.250 | 07/15/13 | 2,371,245 | |||||||||||||
| Republic of Austria | ||||||||||||||||
| 13,650,000 | 3.500 | 07/15/15 | 17,117,487 | |||||||||||||
| Republic of Italy | ||||||||||||||||
| 3,650,000 | 5.500 | 11/01/10 | 4,960,038 | |||||||||||||
| 7,500,000 | 6.000 | 05/01/31 | 12,237,928 | |||||||||||||
| 284,396,085 | ||||||||||||||||
| Japanese Yen – 18.8% | ||||||||||||||||
| Government of Japan | ||||||||||||||||
| JPY4,475,000,000 | 0.900 | 12/22/08 | 38,397,264 | |||||||||||||
| 600,000,000 | 0.800 | 09/20/09 | 5,120,800 | |||||||||||||
| 4,630,000,000 | 0.800 | 12/20/10 | 39,151,974 | |||||||||||||
| 1,000,000,000 | 1.300 | 06/20/12 | 8,561,908 | |||||||||||||
| 2,305,000,000 | 1.000 | 06/20/13 | 19,228,436 | |||||||||||||
| 285,000,000 | 1.400 | 12/20/15 | 2,384,116 | |||||||||||||
| 1,825,000,000 | 1.900 | 03/20/24 | 15,172,865 | |||||||||||||
| 765,000,000 | 2.000 | 12/20/25 | 6,398,397 | |||||||||||||
| 785,000,000 | 2.500 | 09/20/34 | 6,823,550 | |||||||||||||
| Government of Japan CPI Linked Bond | ||||||||||||||||
| 26,000,000 | 0.800 | 09/10/15 | 217,061 | |||||||||||||
| 85,000,000 | 0.800 | 12/10/15 | 709,980 | |||||||||||||
| 109,000,000 | 0.800 | 03/10/16 | 908,990 | |||||||||||||
| 320,000,000 | 1.000 | 06/10/16 | 2,701,812 | |||||||||||||
| 2,107,000,000 | 1.100 | 09/10/16 | 17,986,651 | |||||||||||||
| 163,763,804 | ||||||||||||||||
| Polish Zloty – 1.0% | ||||||||||||||||
| Poland Government Bond | ||||||||||||||||
| PLN25,900,000 | 5.750 | 03/24/10 | 8,740,341 | |||||||||||||
| Swedish Krona – 0.6% | ||||||||||||||||
| Kingdom of Sweden | ||||||||||||||||
| SEK11,000,000 | 6.750 | 05/05/14 | 1,827,647 | |||||||||||||
| 20,000,000 | 4.500 | 08/12/15 | 2,940,851 | |||||||||||||
| 4,768,498 | ||||||||||||||||
| TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
| (Cost $531,610,774) | $ | 539,611,086 | ||||||||||||||
Corporate Bonds – 5.2% | ||||||||||||||||
| Banks – 1.7% | ||||||||||||||||
| Banca Popolare di Bergamo Capital Trust(a) | ||||||||||||||||
| EUR1,180,000 | 8.364 | % | 08/15/49 | $ | 1,721,427 | |||||||||||
| Bank of America Corp. | ||||||||||||||||
| $ | 150,000 | 7.250 | 10/15/25 | 174,819 | ||||||||||||
| Citicorp | ||||||||||||||||
| 100,000 | 7.200 | 06/15/07 | 100,996 | |||||||||||||
| DEM4,500,000 | 6.250 | 09/19/09 | 3,100,501 | |||||||||||||
| Credit Suisse First Boston London(a) | ||||||||||||||||
| $ | 1,330,000 | 7.900 | 05/29/49 | 1,346,275 | ||||||||||||
| Instituto de Credito Oficial MTN | ||||||||||||||||
| 2,100,000 | 4.625 | 10/26/10 | 2,081,738 | |||||||||||||
| Merita Bank Ltd. | ||||||||||||||||
| 1,010,000 | 6.500 | 04/01/09 | 1,040,120 | |||||||||||||
| National Westminster Bank PLC(a) | ||||||||||||||||
| 370,000 | 7.750 | 04/29/49 | 377,839 | |||||||||||||
| OTP Bank Nyrt.(a) | ||||||||||||||||
| EUR1,374,000 | 5.875 | 11/29/49 | 1,742,676 | |||||||||||||
| RBS Capital Trust I(a) | ||||||||||||||||
| $ | 860,000 | 4.709 | 12/29/49 | 816,230 | ||||||||||||
| Resona Bank Ltd. MTN(a) | ||||||||||||||||
| EUR1,180,000 | 3.750 | 04/15/15 | 1,478,443 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
16
GOLDMAN SACHS GLOBAL INCOME FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Banks – (continued) | ||||||||||||||||
| Schieneninfrastructurfinanzierungs-Gesellschaft mBH MTN | ||||||||||||||||
| $ | 760,000 | 4.625 | % | 11/21/13 | $ | 744,217 | ||||||||||
| 14,725,281 | ||||||||||||||||
| Capital Goods – 0.3% | ||||||||||||||||
| Bombardier, Inc.(b) | ||||||||||||||||
| 250,000 | 6.300 | 05/01/14 | 230,312 | |||||||||||||
| 360,000 | 7.450 | 05/01/34 | 320,850 | |||||||||||||
| Tyco International Group SA | ||||||||||||||||
| EUR1,440,000 | 6.125 | 04/04/07 | 1,850,737 | |||||||||||||
| 2,401,899 | ||||||||||||||||
| Consumer Noncyclical – 0.2% | ||||||||||||||||
| Imperial Tobacco Overseas BV | ||||||||||||||||
| $ | 1,410,000 | 7.125 | 04/01/09 | 1,462,103 | ||||||||||||
| Energy – 0.2% | ||||||||||||||||
| FirstEnergy Corp. | ||||||||||||||||
| 102,000 | 5.500 | 11/15/06 | 101,999 | |||||||||||||
| TXU Corp. Series O | ||||||||||||||||
| 2,060,000 | 4.800 | 11/15/09 | 2,013,333 | |||||||||||||
| 2,115,332 | ||||||||||||||||
| Financial Companies – 1.1% | ||||||||||||||||
| Capital One Financial Corp. | ||||||||||||||||
| 4,540,000 | 5.700 | 09/15/11 | 4,602,852 | |||||||||||||
| Countrywide Home Loan MTN | ||||||||||||||||
| 710,000 | 4.250 | 12/19/07 | 701,255 | |||||||||||||
| Dexia Funding(a) | ||||||||||||||||
| EUR2,155,000 | 4.892 | 11/30/49 | 2,774,905 | |||||||||||||
| PHH Corp. | ||||||||||||||||
| $ | 1,233,000 | 6.000 | 03/01/08 | 1,235,723 | ||||||||||||
| 9,314,735 | ||||||||||||||||
| Insurance – 0.8% | ||||||||||||||||
| AXA SA(a) | ||||||||||||||||
| EUR2,280,000 | 5.777 | 07/29/49 | 3,063,848 | |||||||||||||
| CNA Financial Corp. | ||||||||||||||||
| 420,000 | 6.600 | 12/15/08 | 430,112 | |||||||||||||
| Endurance Specialty Holdings Ltd. | ||||||||||||||||
| $ | 20,000 | 7.000 | 07/15/34 | 20,756 | ||||||||||||
| Friends Provident PLC(a) | ||||||||||||||||
| GBP670,000 | 6.292 | 06/29/49 | 1,284,959 | |||||||||||||
| Royal & Sun Alliance Insurance Group(a) | ||||||||||||||||
| 784,000 | 6.701 | 05/29/49 | 1,529,781 | |||||||||||||
| SL Finance PLC(a) | ||||||||||||||||
| EUR540,000 | 6.375 | 07/12/22 | 756,344 | |||||||||||||
| 7,085,800 | ||||||||||||||||
| Telecommunications – 0.8% | ||||||||||||||||
| AT&T Corp. | ||||||||||||||||
| 230,000 | 6.000 | 11/21/06 | 293,901 | |||||||||||||
| Bell Atlantic New Jersey, Inc. | ||||||||||||||||
| $ | 65,000 | 8.000 | 06/01/22 | 72,953 | ||||||||||||
| Clear Channel Communications, Inc. | ||||||||||||||||
| 900,000 | 8.000 | 11/01/08 | 938,322 | |||||||||||||
| Comcast Cable Communications | ||||||||||||||||
| 1,900,000 | 8.375 | 05/01/07 | 1,928,063 | |||||||||||||
| Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
| 170,000 | 9.455 | 11/15/22 | 220,796 | |||||||||||||
| Cox Communications, Inc. | ||||||||||||||||
| 1,850,000 | 4.625 | 01/15/10 | 1,806,760 | |||||||||||||
| Deutsche Telekom International Finance BV | ||||||||||||||||
| 230,000 | 8.250 | 06/15/30 | 285,399 | |||||||||||||
| Verizon Global Funding Corp. | ||||||||||||||||
| 1,380,000 | 6.125 | 06/15/07 | 1,386,329 | |||||||||||||
| 6,932,523 | ||||||||||||||||
| Transportation – 0.1% | ||||||||||||||||
| OeBB Infrastruktur Bau AG | ||||||||||||||||
| 810,000 | 4.750 | 10/28/13 | 795,059 | |||||||||||||
| TOTAL CORPORATE BONDS | ||||||||||||||||
| (Cost $44,066,006) | $ | 44,832,732 | ||||||||||||||
Asset-Backed Securities(a) – 0.2% | ||||||||||||||||
| Mortgages – 0.2% | ||||||||||||||||
| Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A | ||||||||||||||||
| $ | 886,335 | 5.620 | % | 12/15/33 | $ | 888,728 | ||||||||||
| First Horizon ABS Trust Series 2004-HE3, Class A | ||||||||||||||||
| 891,885 | 5.610 | 10/25/34 | 894,621 | |||||||||||||
| Fremont Home Loan Trust Series 2004-4, Class 2A2 | ||||||||||||||||
| 446,874 | 5.600 | 03/25/35 | 447,341 | |||||||||||||
| 2,230,690 | ||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
| (Cost $2,225,094) | $ | 2,230,690 | ||||||||||||||
Mortgage-Backed Obligations(a) – 1.1% | ||||||||||||||||
| CMOs – 0.3% | ||||||||||||||||
| Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1 | ||||||||||||||||
| $ | 2,278,016 | 5.530 | % | 03/20/46 | $ | 2,280,444 | ||||||||||
| Home Equity – 0.8% | ||||||||||||||||
| American Home Mortgage Investment Trust Series 2004-3, Class 1A | ||||||||||||||||
| 267,058 | 5.690 | 10/25/34 | 267,636 | |||||||||||||
| Countrywide Alternative Loan Trust Series 2005-82, Class A1 | ||||||||||||||||
| 5,773,510 | 5.590 | 02/25/36 | 5,782,030 | |||||||||||||
| Sequoia Mortgage Trust Series 2004-10, Class A3A | ||||||||||||||||
| 1,056,259 | 5.737 | 11/20/34 | 1,057,592 | |||||||||||||
| 7,107,258 | ||||||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
| (Cost $9,374,843) | $ | 9,387,702 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
17
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount* | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligations – 13.3% | ||||||||||||||||
| Sovereign – 13.3% | ||||||||||||||||
| United States Treasury Bonds | ||||||||||||||||
| $ | 16,690,000 | 4.250 | % | 08/15/13 | $ | 16,366,631 | ||||||||||
| 9,950,000 | 7.500 | 11/15/24 | 13,150,218 | |||||||||||||
| United States Treasury Inflation Protected Securities | ||||||||||||||||
| 1,573,089 | 3.375 | 01/15/12 | 1,644,493 | |||||||||||||
| 25,010,291 | 1.875 | 07/15/15 | 24,086,160 | |||||||||||||
| 3,695,063 | 2.500 | 07/15/16 | 3,748,179 | |||||||||||||
| United States Treasury Notes | ||||||||||||||||
| 9,750,000 | 2.625 | 05/15/08 | 9,445,693 | |||||||||||||
| 35,000,000 | 3.750 | 05/15/08 | 34,483,190 | |||||||||||||
| 12,969,000 | 4.875 | 10/31/08 | 13,012,563 | |||||||||||||
| 115,937,127 | ||||||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
| (Cost $114,991,202) | $ | 115,937,127 | ||||||||||||||
Agency Debentures – 9.8% | ||||||||||||||||
| FHLB | ||||||||||||||||
| $ | 25,000,000 | 5.125 | % | 06/13/08 | $ | 25,076,300 | ||||||||||
| 40,000,000 | 5.375 | 08/19/11 | 40,838,600 | |||||||||||||
| FHLMC | ||||||||||||||||
| 6,250,000 | 5.000 | 02/08/08 | 6,242,513 | |||||||||||||
| 11,600,000 | 4.125 | 07/12/10 | 11,322,051 | |||||||||||||
| FNMA | ||||||||||||||||
| 1,450,000 | 3.550 | 11/16/07 | 1,426,864 | |||||||||||||
| TOTAL AGENCY DEBENTURES | ||||||||||||||||
| (Cost $84,751,291) | $ | 84,906,328 | ||||||||||||||
| Dividend | Maturity | |||||||||||||||
| Shares | Rate | Date | Value | |||||||||||||
Preferred Stock(a) – 0.1% | ||||||||||||||||
| BCI US Funding Trust II | ||||||||||||||||
| (Cost $1,145,057) | ||||||||||||||||
| 870,000 | 5.094 | 10/15/49 | $ | 1,133,699 | ||||||||||||
| Exercise | Expiration | |||||||||||||||
| Contracts* | Rate | Date | Value | |||||||||||||
Options Purchased – 0.0% | ||||||||||||||||
| Cross Currency Option | ||||||||||||||||
| Call BRL 5,609,000 | ||||||||||||||||
| Put JPY 321,395,700 | ||||||||||||||||
| 57.300 | 01/11/07 | $ | 13,554 | |||||||||||||
| Cross Currency Option | ||||||||||||||||
| Call TRY 3,505,000 | ||||||||||||||||
| Put JPY 283,905,000 | ||||||||||||||||
| 81.000 | 01/11/07 | 19,295 | ||||||||||||||
| Currency Option | ||||||||||||||||
| Put USD 819,000 | ||||||||||||||||
| Call ZAR 6,429,150 | ||||||||||||||||
| 7.850 | 11/02/06 | 35,514 | ||||||||||||||
| TOTAL OPTIONS PURCHASED | ||||||||||||||||
| (Cost $45,172) | $ | 68,363 | ||||||||||||||
| Principal | Interest | Maturity | ||||||||||||||
| Amount* | Rate | Date | Value | |||||||||||||
Short-Term Obligations – 7.3% | ||||||||||||||||
| Time Deposits – 7.3% | ||||||||||||||||
| ABN AMRO | ||||||||||||||||
| $ | 5,275,312 | 5.270 | % | 11/01/06 | $ | 5,275,312 | ||||||||||
| Rabobank | ||||||||||||||||
| 58,051,788 | 5.260 | 11/01/06 | 58,051,788 | |||||||||||||
| TOTAL SHORT-TERM OBLIGATIONS | ||||||||||||||||
| (Cost $63,327,100) | $ | 63,327,100 | ||||||||||||||
| TOTAL INVESTMENTS – 99.1% | ||||||||||||||||
| (Cost $851,536,539) | $ | 861,434,827 | ||||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.9% | 7,127,331 | |||||||||||||||
| NET ASSETS — 100.0% | $ | 868,562,158 | ||||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| * | The principal/contract amount of each security is stated in the currency in which the bond/option is denominated. See below. |
| Currency Description | ||||||||||
| $ | = | U.S. Dollar | GBP | = | British Pounds | |||||
| AUD | = | Australian Dollar | JPY | = | Japanese Yen | |||||
| BRL | = | Brazilian Real | NZD | = | New Zealand Dollar | |||||
| CAD | = | Canadian Dollar | PLN | = | Polish Zloty | |||||
| DEM | = | German Mark | SEK | = | Swedish Krona | |||||
| DKK | = | Danish Krone | TRY | = | New Turkish Lira | |||||
| EUR | = | Euro Currency | ZAR | = | South African Rand | |||||
| (a) | Variable rate security. Interest/dividend rate disclosed is that which is in effect at October 31, 2006. |
| (b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities have been determined to be illiquid by the Investment Adviser. Total market value of illiquid Rule 144A securities amounts to $551,162, which represents approximately 0.1% of net assets as of October 31, 2006. |
| Investment Abbreviations: | ||||||
| CMOs | — | Collateralized Mortgage Obligations | ||||
| FHLB | — | Federal Home Loan Bank | ||||
| FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
| FNMA | — | Federal National Mortgage Association | ||||
| MTN | — | Medium-Term Note | ||||
The accompanying notes are an integral part of these financial statements.
18
GOLDMAN SACHS GLOBAL INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION |
FOREIGN CURRENCY CONTRACTS — At October 31, 2006, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
| Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
| Purchase Contracts | Date | Settlement Date | Value | Gain/(Loss) | ||||||||||||
| Argentine Peso | 11/30/06 | $ | 1,440,000 | $ | 1,447,849 | $ | 7,849 | |||||||||
| Australian Dollar | 12/20/06 | 61,766,252 | 62,989,869 | 1,223,617 | ||||||||||||
| Brazilian Real | 12/26/06 | 780,995 | 787,339 | 6,344 | ||||||||||||
| Brazilian Real | 01/16/07 | 1,526,000 | 1,535,406 | 9,406 | ||||||||||||
| Brazilian Real | 01/30/07 | 4,567,838 | 4,575,949 | 8,111 | ||||||||||||
| Brazilian Real | 02/01/07 | 2,307,000 | 2,306,550 | (450 | ) | |||||||||||
| British Pound | 11/16/06 | 2,168,351 | 2,186,083 | 17,732 | ||||||||||||
| British Pound | 12/20/06 | 66,331,461 | 67,160,913 | 829,452 | ||||||||||||
| Canadian Dollar | 12/20/06 | 7,097,000 | 7,042,492 | (54,508 | ) | |||||||||||
| Canadian Dollar | 12/20/06 | 1,648,000 | 1,648,020 | 20 | ||||||||||||
| Chilean Peso | 01/12/07 | 484,609 | 494,962 | 10,353 | ||||||||||||
| Chinese Yuan Renminbi | 11/09/06 | 1,456,646 | 1,461,115 | 4,469 | ||||||||||||
| Chinese Yuan Renminbi | 11/16/06 | 1,831,675 | 1,835,956 | 4,281 | ||||||||||||
| Chinese Yuan Renminbi | 11/24/06 | 1,374,743 | 1,380,772 | 6,029 | ||||||||||||
| Chinese Yuan Renminbi | 12/22/06 | 3,391,886 | 3,398,196 | 6,310 | ||||||||||||
| Euro | 12/20/06 | 41,403,030 | 41,667,284 | 264,254 | ||||||||||||
| Hungarian Forint | 12/20/06 | 835,063 | 869,119 | 34,056 | ||||||||||||
| Indian Rupee | 11/15/06 | 484,130 | 487,220 | 3,090 | ||||||||||||
| Indian Rupee | 11/20/06 | 2,662,217 | 2,713,765 | 51,548 | ||||||||||||
| Indian Rupee | 12/07/06 | 1,935,000 | 1,983,581 | 48,581 | ||||||||||||
| Indian Rupee | 12/18/06 | 1,946,000 | 1,991,079 | 45,079 | ||||||||||||
| Indian Rupee | 01/10/07 | 2,538,945 | 2,563,499 | 24,554 | ||||||||||||
| Indian Rupee | 01/16/07 | 1,779,001 | 1,799,552 | 20,551 | ||||||||||||
| Indian Rupee | 01/30/07 | 1,203,000 | 1,202,628 | (372 | ) | |||||||||||
| Indonesian Rupiah | 11/09/06 | 6,142,761 | 6,168,932 | 26,171 | ||||||||||||
| Indonesian Rupiah | 02/02/07 | 1,155,000 | 1,150,016 | (4,984 | ) | |||||||||||
| Israeli Shekel | 12/20/06 | 8,067,164 | 8,209,351 | 142,187 | ||||||||||||
| Japanese Yen | 12/20/06 | 15,672,000 | 15,834,874 | 162,874 | ||||||||||||
| Japanese Yen | 01/12/07 | 5,648 | 5,753 | 105 | ||||||||||||
| Malaysian Ringgit | 11/06/06 | 417,000 | 419,911 | 2,911 | ||||||||||||
| Malaysian Ringgit | 12/01/06 | 7,175,000 | 7,198,842 | 23,842 | ||||||||||||
| Malaysian Ringgit | 12/01/06 | 1,597,421 | 1,591,124 | (6,297 | ) | |||||||||||
| Malaysian Ringgit | 01/29/07 | 783,408 | 790,343 | 6,935 | ||||||||||||
| Mexican Peso | 12/20/06 | 8,497,144 | 8,669,242 | 172,098 | ||||||||||||
| Mexican Peso | 12/20/06 | 1,716,000 | 1,713,669 | (2,331 | ) | |||||||||||
| New Turkish Lira | 11/07/06 | 1,722,979 | 1,757,386 | 34,407 | ||||||||||||
| New Turkish Lira | 11/28/06 | 1,758,000 | 1,827,113 | 69,113 | ||||||||||||
| New Turkish Lira | 11/30/06 | 316,511 | 326,623 | 10,112 | ||||||||||||
| New Turkish Lira | 01/12/07 | 430,890 | 444,453 | 13,563 | ||||||||||||
| New Turkish Lira | 01/16/07 | 852,930 | 866,894 | 13,964 | ||||||||||||
| New Turkish Lira | 01/26/07 | 1,143,643 | 1,140,710 | (2,933 | ) | |||||||||||
| New Zealand Dollar | 12/20/06 | 16,041,211 | 16,358,144 | 316,933 | ||||||||||||
| Norwegian Krone | 12/20/06 | 9,612,385 | 9,563,476 | (48,909 | ) | |||||||||||
| Philippine Peso | 11/13/06 | 531,000 | 532,279 | 1,279 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
19
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2006
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
| Purchase Contracts | Date | Settlement Date | Value | Gain/(Loss) | ||||||||||||
| Philippine Peso | 11/15/06 | $ | 5,892,151 | $ | 5,990,429 | $ | 98,278 | |||||||||
| Philippine Peso | 12/04/06 | 276,000 | 275,194 | (806 | ) | |||||||||||
| Philippine Peso | 12/05/06 | 235,000 | 237,826 | 2,826 | ||||||||||||
| Philippine Peso | 12/06/06 | 1,065,606 | 1,078,561 | 12,955 | ||||||||||||
| Philippine Peso | 12/11/06 | 1,194,542 | 1,196,934 | 2,392 | ||||||||||||
| Polish Zloty | 12/20/06 | 484,149 | 493,562 | 9,413 | ||||||||||||
| Russian Ruble | 11/08/06 | 1,723,499 | 1,725,507 | 2,008 | ||||||||||||
| Russian Ruble | 11/08/06 | 1,529,000 | 1,521,834 | (7,166 | ) | |||||||||||
| Russian Ruble | 11/10/06 | 3,263,000 | 3,251,351 | (11,649 | ) | |||||||||||
| Russian Ruble | 11/13/06 | 1,312,239 | 1,304,540 | (7,699 | ) | |||||||||||
| Russian Ruble | 11/20/06 | 2,083,374 | 2,097,796 | 14,422 | ||||||||||||
| Russian Ruble | 11/30/06 | 829,431 | 832,252 | 2,821 | ||||||||||||
| Russian Ruble | 12/04/06 | 830,051 | 832,294 | 2,243 | ||||||||||||
| Russian Ruble | 12/15/06 | 3,150,057 | 3,166,973 | 16,916 | ||||||||||||
| Russian Ruble | 12/20/06 | 3,904,636 | 3,896,951 | (7,685 | ) | |||||||||||
| Russian Ruble | 01/16/07 | 2,089,528 | 2,085,777 | (3,751 | ) | |||||||||||
| Russian Ruble | 01/30/07 | 934,756 | 934,959 | 203 | ||||||||||||
| Russian Ruble | 01/31/07 | 3,698,072 | 3,708,230 | 10,158 | ||||||||||||
| Russian Ruble | 02/02/07 | 1,061,823 | 1,064,811 | 2,988 | ||||||||||||
| Russian Ruble | 02/06/07 | 2,003,287 | 1,997,734 | (5,553 | ) | |||||||||||
| Russian Ruble | 02/12/07 | 1,835,257 | 1,828,668 | (6,589 | ) | |||||||||||
| Russian Ruble | 02/27/07 | 2,595,842 | 2,591,536 | (4,306 | ) | |||||||||||
| Russian Ruble | 03/07/07 | 716,620 | 717,232 | 612 | ||||||||||||
| Singapore Dollar | 12/20/06 | 43,571,469 | 44,075,578 | 504,109 | ||||||||||||
| South African Rand | 12/20/06 | 1,011,832 | 1,008,456 | (3,376 | ) | |||||||||||
| South African Rand | 12/20/06 | 1,876,592 | 1,929,013 | 52,421 | ||||||||||||
| South Korean Won | 11/06/06 | 3,526,629 | 3,546,439 | 19,810 | ||||||||||||
| South Korean Won | 11/30/06 | 1,279,421 | 1,286,979 | 7,558 | ||||||||||||
| South Korean Won | 12/05/06 | 1,044,480 | 1,051,793 | 7,313 | ||||||||||||
| South Korean Won | 12/12/06 | 919,219 | 919,302 | 83 | ||||||||||||
| South Korean Won | 02/01/07 | 1,015,000 | 1,017,030 | 2,030 | ||||||||||||
| Swedish Krona | 12/20/06 | 9,282,099 | 9,369,738 | 87,639 | ||||||||||||
| Swiss Franc | 12/20/06 | 1,676,474 | 1,674,424 | (2,050 | ) | |||||||||||
| Swiss Franc | 12/20/06 | 8,189,008 | 8,312,941 | 123,933 | ||||||||||||
| Taiwan Dollar | 01/16/07 | 1,653,049 | 1,648,925 | (4,124 | ) | |||||||||||
| Thailand Baht | 11/02/06 | 416,810 | 425,677 | 8,867 | ||||||||||||
| Thailand Baht | 11/03/06 | 2,343,406 | 2,417,281 | 73,875 | ||||||||||||
| Thailand Baht | 01/16/07 | 849,461 | 870,556 | 21,095 | ||||||||||||
| Thailand Baht | 02/05/07 | 1,415,622 | 1,424,188 | 8,566 | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 419,375,428 | $ | 423,907,604 | $ | 4,532,176 | ||||||||||
The accompanying notes are an integral part of these financial statements.
20
GOLDMAN SACHS GLOBAL INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
| Sale Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
| Australian Dollar | 12/20/06 | $ | 37,236,145 | $ | 38,662,134 | $ | (1,425,989 | ) | ||||||||
| Australian Dollar | 01/18/07 | 788,996 | 810,681 | (21,685 | ) | |||||||||||
| Brazilian Real | 11/09/06 | 451,000 | 455,528 | (4,528 | ) | |||||||||||
| Brazilian Real | 11/13/06 | 973,000 | 1,001,956 | (28,956 | ) | |||||||||||
| Brazilian Real | 12/26/06 | 985,985 | 1,032,295 | (46,310 | ) | |||||||||||
| British Pound | 11/16/06 | 43,446,924 | 43,857,244 | (410,320 | ) | |||||||||||
| British Pound | 12/20/06 | 16,669,897 | 17,088,576 | (418,679 | ) | |||||||||||
| Canadian Dollar | 12/20/06 | 13,268,646 | 13,145,032 | 123,614 | ||||||||||||
| Canadian Dollar | 12/20/06 | 3,455,696 | 3,487,005 | (31,309 | ) | |||||||||||
| Canadian Dollar | 01/12/07 | 33,403,125 | 33,643,879 | (240,754 | ) | |||||||||||
| Chilean Peso | 01/12/07 | 3,092,344 | 3,173,930 | (81,586 | ) | |||||||||||
| Chilean Peso | 01/18/07 | 1,136,459 | 1,167,310 | (30,851 | ) | |||||||||||
| Chinese Yuan Renminbi | 11/24/06 | 1,008,000 | 1,012,869 | (4,869 | ) | |||||||||||
| Danish Krone | 12/22/06 | 6,913,271 | 6,915,843 | (2,572 | ) | |||||||||||
| Euro | 11/29/06 | 303,926,155 | 306,244,883 | (2,318,728 | ) | |||||||||||
| Euro | 12/20/06 | 94,931,718 | 95,560,511 | (628,793 | ) | |||||||||||
| Hong Kong Dollar | 12/20/06 | 4,170,140 | 4,166,111 | 4,029 | ||||||||||||
| Indonesian Rupiah | 11/07/06 | 420,000 | 427,041 | (7,041 | ) | |||||||||||
| Indonesian Rupiah | 11/09/06 | 2,320,306 | 2,353,719 | (33,413 | ) | |||||||||||
| Israeli Shekel | 12/20/06 | 1,902,000 | 1,956,131 | (54,131 | ) | |||||||||||
| Japanese Yen | 11/30/06 | 163,067,886 | 163,816,967 | (749,081 | ) | |||||||||||
| Japanese Yen | 12/20/06 | 20,053,656 | 20,048,341 | 5,315 | ||||||||||||
| Japanese Yen | 12/20/06 | 45,618,092 | 45,692,243 | (74,151 | ) | |||||||||||
| Japanese Yen | 01/12/07 | 436,360 | 444,689 | (8,329 | ) | |||||||||||
| Malaysian Ringgit | 11/06/06 | 2,344,000 | 2,357,156 | (13,156 | ) | |||||||||||
| Malaysian Ringgit | 11/09/06 | 1,018,020 | 1,026,110 | (8,090 | ) | |||||||||||
| Malaysian Ringgit | 12/01/06 | 1,939,900 | 1,939,964 | (64 | ) | |||||||||||
| Malaysian Ringgit | 12/13/06 | 713,000 | 719,255 | (6,255 | ) | |||||||||||
| Malaysian Ringgit | 12/20/06 | 801,000 | 808,209 | (7,209 | ) | |||||||||||
| Malaysian Ringgit | 12/21/06 | 658,000 | 663,711 | (5,711 | ) | |||||||||||
| Mexican Peso | 12/20/06 | 4,966,230 | 5,045,197 | (78,967 | ) | |||||||||||
| New Turkish Lira | 11/28/06 | 321,802 | 326,863 | (5,061 | ) | |||||||||||
| New Zealand Dollar | 12/20/06 | 30,521,094 | 31,658,184 | (1,137,090 | ) | |||||||||||
| Norwegian Krone | 12/20/06 | 2,438,507 | 2,408,669 | 29,838 | ||||||||||||
| Norwegian Krone | 12/20/06 | 7,561,000 | 7,588,638 | (27,638 | ) | |||||||||||
| Polish Zloty | 12/13/06 | 8,802,526 | 9,119,829 | (317,303 | ) | |||||||||||
| Russian Ruble | 11/10/06 | 6,121,000 | 6,093,956 | 27,044 | ||||||||||||
| Russian Ruble | 11/20/06 | 629,179 | 632,319 | (3,140 | ) | |||||||||||
| Russian Ruble | 12/15/06 | 2,151,000 | 2,152,479 | (1,479 | ) | |||||||||||
| Russian Ruble | 01/16/07 | 2,151,000 | 2,152,180 | (1,180 | ) | |||||||||||
| Singapore Dollar | 12/20/06 | 30,232,880 | 30,633,373 | (400,493 | ) | |||||||||||
| South African Rand | 11/06/06 | 819,000 | 834,766 | (15,766 | ) | |||||||||||
| South African Rand | 12/20/06 | 6,545,758 | 6,822,850 | (277,092 | ) | |||||||||||
| South African Rand | 12/20/06 | 1,488,411 | 1,485,679 | 2,732 | ||||||||||||
| South Korean Won | 11/06/06 | 3,435,960 | 3,500,855 | (64,895 | ) | |||||||||||
| South Korean Won | 12/05/06 | 255,648 | 260,696 | (5,048 | ) | |||||||||||
| South Korean Won | 12/12/06 | 1,889,466 | 1,918,604 | (29,138 | ) | |||||||||||
| Swedish Krona | 12/21/06 | 4,515,279 | 4,515,623 | (344 | ) | |||||||||||
The accompanying notes are an integral part of these financial statements.
21
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2006
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
| Sale Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
| Swiss Franc | 12/20/06 | $ | 25,612,445 | $ | 25,927,539 | $ | (315,094 | ) | ||||||||
| Swiss Franc | 12/20/06 | 16,026,411 | 15,961,625 | 64,786 | ||||||||||||
| Thailand Baht | 11/02/06 | 415,000 | 425,677 | (10,677 | ) | |||||||||||
| Thailand Baht | 11/03/06 | 2,387,622 | 2,417,281 | (29,659 | ) | |||||||||||
| Thailand Baht | 01/16/07 | 123,419 | 124,740 | (1,321 | ) | |||||||||||
| Taiwan Dollar | 01/12/07 | 1,252,000 | 1,258,371 | (6,371 | ) | |||||||||||
| Taiwan Dollar | 01/12/07 | 1,263,972 | 1,261,407 | 2,565 | ||||||||||||
| Taiwan Dollar | 01/16/07 | 7,824,796 | 7,837,188 | (12,392 | ) | |||||||||||
| Taiwan Dollar | 01/23/07 | 1,444,922 | 1,449,839 | (4,917 | ) | |||||||||||
| Taiwan Dollar | 01/25/07 | 1,083,601 | 1,085,586 | (1,985 | ) | |||||||||||
| Taiwan Dollar | 01/29/07 | 1,027,000 | 1,031,530 | (4,530 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 980,456,649 | $ | 989,610,866 | $ | (9,154,217 | ) | |||||||||
| Open Forward Foreign Currency | Expiration | Purchase | Sale | Unrealized | ||||||||||||
| Cross Contracts (Purchase/Sale) | Date | Current Value | Current Value | Gain (Loss) | ||||||||||||
| Australian Dollar/New Zealand Dollar | 12/20/06 | $ | 971,335 | $ | 997,603 | $ | 26,268 | |||||||||
| 12/20/06 | 986,851 | 971,335 | (15,516 | ) | ||||||||||||
| Czech Koruna/Euro | 12/20/06 | 3,113,590 | 3,117,370 | 3,780 | ||||||||||||
| 12/20/06 | 3,115,148 | 3,113,590 | (1,558 | ) | ||||||||||||
| Euro/British Pound | 12/20/06 | 1,681,103 | 1,696,877 | 15,774 | ||||||||||||
| 12/20/06 | 1,711,009 | 1,681,103 | (29,906 | ) | ||||||||||||
| Euro/Czech Koruna | 12/20/06 | 1,812,275 | 1,827,406 | 15,131 | ||||||||||||
| 12/20/06 | 1,850,438 | 1,812,275 | (38,163 | ) | ||||||||||||
| Euro/Hungarian Forint | 12/20/06 | 640,823 | 650,814 | 9,991 | ||||||||||||
| 12/20/06 | 674,473 | 640,823 | (33,650 | ) | ||||||||||||
| Euro/Norwegian Krone | 12/20/06 | 494,442 | 499,081 | 4,639 | ||||||||||||
| 12/20/06 | 495,279 | 494,442 | (837 | ) | ||||||||||||
| Euro/Swedish Krona | 12/20/06 | 2,056,590 | 2,095,630 | 39,040 | ||||||||||||
| 12/20/06 | 2,102,570 | 2,056,590 | (45,980 | ) | ||||||||||||
| Euro/Slovakian Koruna | 12/20/06 | 4,046,174 | 4,081,587 | 35,413 | ||||||||||||
| 12/20/06 | 8,620,310 | 8,355,435 | (264,875 | ) | ||||||||||||
| Euro/Swiss Franc | 12/20/06 | 355,998 | 359,339 | 3,341 | ||||||||||||
| 12/20/06 | 358,750 | 355,998 | (2,752 | ) | ||||||||||||
| Hungarian Forint/Euro | 12/20/06 | 4,031,682 | 4,159,058 | 127,376 | ||||||||||||
| 12/20/06 | 670,561 | 663,573 | (6,988 | ) | ||||||||||||
| Iceland Krona/Euro | 12/20/06 | 1,849,662 | 1,837,555 | (12,107 | ) | |||||||||||
| 12/20/06 | 3,270,691 | 3,325,161 | 54,470 | |||||||||||||
| Japanese Yen/New Turkish Lira | 01/12/07 | 424,438 | 438,936 | 14,498 | ||||||||||||
| 01/12/07 | 444,453 | 424,438 | (20,015 | ) | ||||||||||||
| New Zealand Dollar/Australian Dollar | 12/20/06 | 955,072 | 988,674 | 33,602 | ||||||||||||
| 12/20/06 | 997,603 | 955,072 | (42,531 | ) | ||||||||||||
| Polish Zloty/Euro | 12/20/06 | 7,208,888 | 7,419,936 | 211,048 | ||||||||||||
| 12/20/06 | 7,282,859 | 7,208,888 | (73,971 | ) | ||||||||||||
The accompanying notes are an integral part of these financial statements.
22
GOLDMAN SACHS GLOBAL INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Open Forward Foreign Currency | Expiration | Purchase | Sale | Unrealized | ||||||||||||
| Cross Contracts (Purchase/Sale) | Date | Current Value | Current Value | Gain (Loss) | ||||||||||||
| Slovakian Koruna/Euro | 12/20/06 | $ | 7,580,368 | $ | 7,822,256 | $ | 241,888 | |||||||||
| 12/20/06 | 6,423,413 | 6,341,411 | (82,002 | ) | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CROSS CONTRACTS (PURCHASE/SALE) | $ | 76,226,848 | $ | 76,392,256 | $ | 165,408 | ||||||||||
FUTURES CONTRACTS — At October 31, 2006 the following futures contracts were open:
| Number of | ||||||||||||||
| Contracts | Settlement | Market | Unrealized | |||||||||||
| Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
| Eurodollar | (258 | ) | December 2006 | $ | (36,125,894 | ) | $ | (32,929 | ) | |||||
| Eurodollar | 49 | December 2006 | 7,368,308 | 45,028 | ||||||||||
| Eurodollar | (160 | ) | December 2006 | (21,217,207 | ) | 35,736 | ||||||||
| Japan 10 Year Treasury Bond | 11 | December 2006 | 12,648,283 | 38,562 | ||||||||||
| U.K. Life Long Gilt | 55 | December 2006 | 11,541,719 | 20,487 | ||||||||||
| U.K. 90 Day Sterling | 81 | March 2007 | 18,274,842 | (19,314 | ) | |||||||||
| 3 Month Bank Acceptance | (82 | ) | March 2007 | (17,485,106 | ) | 1,826 | ||||||||
| 2 Year U.S. Treasury Notes | (864 | ) | December 2006 | (176,607,000 | ) | 163,313 | ||||||||
| 5 Year U.S. Treasury Notes | (1,680 | ) | December 2006 | (177,345,000 | ) | (957,641 | ) | |||||||
| 10 Year U.S. Treasury Notes | 145 | December 2006 | 15,691,719 | (9,062 | ) | |||||||||
| U.S. Long Bonds | 175 | December 2006 | 19,714,844 | 446,406 | ||||||||||
TOTAL | $ | (343,540,492 | ) | $ | (267,588 | ) | ||||||||
SWAP CONTRACTS — At October 31, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
| Rates Exchanged | ||||||||||||||||
| Upfront | ||||||||||||||||
| Notional | Payments | Payments | Payments made | |||||||||||||
| Swap | Amount | Termination | received by | made by | (received) by | Unrealized | ||||||||||
| Counterparty | (000s) | Date | the Fund | the Fund | the Fund | Gain (Loss) | ||||||||||
| Deutsche Bank AG(a) | EUR 56,640 | 11/22/08 | 6 month EURO | 3.913% | $ | — | $ | (30,599 | ) | |||||||
| Credit Suisse First Boston International (London)(a) | EUR 44,910 | 11/24/08 | 6 month EURO | 3.959% | — | (74,418 | ) | |||||||||
| Credit Suisse First Boston International (London)(a) | USD 58,000 | 12/22/08 | 5.600% | 3 month LIBOR | 417,800 | 185,935 | ||||||||||
| Merrill Lynch Capital Markets | CAD 10,200 | 07/15/10 | 3 month CDOR | 3.636% | — | 193,195 | ||||||||||
| Merrill Lynch Capital Markets | CAD 10,300 | 07/15/10 | 3 month CDOR | 3.641% | — | 193,395 | ||||||||||
| Merrill Lynch Capital Markets | USD 6,600 | 07/19/10 | 4.398% | 3 month LIBOR | — | (67,358 | ) | |||||||||
| Merrill Lynch Capital Markets | USD 6,600 | 07/19/10 | 4.402% | 3 month LIBOR | — | (66,678 | ) | |||||||||
| Merrill Lynch Capital Markets | CAD 10,150 | 03/08/11 | 4.396% | 3 month CDOR | — | 63,904 | ||||||||||
| Merrill Lynch Capital Markets | USD 7,050 | 03/10/11 | 3 month LIBOR | 5.236% | — | (55,560 | ) | |||||||||
| Deutsche Bank AG | CAD 7,450 | 04/12/11 | 4.588% | 3 month CDOR | — | 98,628 | ||||||||||
| Credit Suisse First Boston International (London) | USD 4,350 | 04/18/11 | 3 month LIBOR | 5.368% | — | (58,098 | ) | |||||||||
| UBS AG (London) | CAD 2,000 | 07/25/11 | 3 month CDOR | 4.668% | — | (34,594 | ) | |||||||||
| Deutsche Bank AG | CAD 1,260 | 07/25/11 | 3 month CDOR | 4.618% | — | (19,284 | ) | |||||||||
| Deutsche Bank AG | NZD 2,700 | 07/27/11 | 7.003% | 3 month ZDOR | — | 24,507 | ||||||||||
The accompanying notes are an integral part of these financial statements.
23
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2006
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Rates Exchanged | ||||||||||||||||
| Upfront | ||||||||||||||||
| Notional | Payments | Payments | Payments made | |||||||||||||
| Swap | Amount | Termination | received by | made by | (received) by | Unrealized | ||||||||||
| Counterparty | (000s) | Date | the Fund | the Fund | the Fund | Gain (Loss) | ||||||||||
| Deutsche Bank AG | CAD 1,260 | 07/28/11 | 3 month CDOR | 4.635% | $ | — | $ | (20,117 | ) | |||||||
| Deutsche Bank AG | CAD 990 | 07/28/11 | 3 month CDOR | 4.650% | — | (16,404 | ) | |||||||||
| UBS AG (London) | NZD 4,300 | 07/28/11 | 7.020% | 3 month ZDOR | — | (10,004 | ) | |||||||||
| Deutsche Bank AG | NZD 2,700 | 08/01/11 | 6.965% | 3 month ZDOR | — | (10,033 | ) | |||||||||
| Deutsche Bank AG | NZD 2,120 | 08/01/11 | 6.955% | 3 month ZDOR | — | (8,474 | ) | |||||||||
| Deutsche Bank AG | CAD 1,860 | 08/01/11 | 3 month CDOR | 4.579% | — | (25,537 | ) | |||||||||
| Deutsche Bank AG | NZD 3,980 | 08/03/11 | 6.889% | 3 month ZDOR | — | (23,671 | ) | |||||||||
| Deutsche Bank AG | CAD 1,260 | 08/04/11 | 3 month CDOR | 4.578% | — | (17,239 | ) | |||||||||
| Deutsche Bank AG | NZD 2,700 | 08/08/11 | 6.915% | 3 month ZDOR | — | (14,006 | ) | |||||||||
| Deutsche Bank AG | CAD 1,260 | 08/08/11 | 3 month CDOR | 4.565% | — | (16,599 | ) | |||||||||
| Deutsche Bank AG | CAD 3,460 | 08/09/11 | 3 month CDOR | 4.561% | — | (46,090 | ) | |||||||||
| UBS AG (London) | CAD 9,050 | 08/10/11 | 3 month CDOR | 4.553% | — | (114,692 | ) | |||||||||
| Deutsche Bank AG | NZD 2,700 | 08/10/11 | 6.893% | 3 month ZDOR | — | (15,285 | ) | |||||||||
| Deutsche Bank AG | CAD 3,900 | 08/10/11 | 3 month CDOR | 4.570% | — | (52,168 | ) | |||||||||
| Deutsche Bank AG | CAD 3,900 | 08/10/11 | 3 month CDOR | 4.552% | — | (49,347 | ) | |||||||||
| Deutsche Bank AG | NZD 2,830 | 08/11/11 | 6.903% | 3 month ZDOR | — | (15,281 | ) | |||||||||
| UBS AG (London) | NZD 19,470 | 08/15/11 | 6.916% | 3 month ZDOR | — | (96,277 | ) | |||||||||
| Deutsche Bank AG | NZD 8,390 | 08/14/11 | 6.955% | 3 month ZDOR | — | (35,274 | ) | |||||||||
| Deutsche Bank AG | NZD 8,390 | 08/14/11 | 6.943% | 3 month ZDOR | — | (35,391 | ) | |||||||||
| Citibank NA | JPY 1,680,000 | 09/21/11 | 6 month JYOR | 1.605% | — | (199,446 | ) | |||||||||
| Citibank NA | EUR 6,250 | 09/21/11 | 4.031% | 6 month EURO | — | 63,198 | ||||||||||
| Deutsche Bank AG | JPY 420,000 | 09/21/11 | 6 month JYOR | 1.610% | — | (51,954 | ) | |||||||||
| Deutsche Bank AG | EUR 1,600 | 09/21/11 | 4.022% | 6 month EURO | — | 15,400 | ||||||||||
| Deutsche Bank AG | JPY 450,000 | 09/21/11 | 6 month JYOR | 1.581% | — | (50,386 | ) | |||||||||
| Deutsche Bank AG | EUR 1,650 | 09/21/11 | 4.074% | 6 month EURO | — | 20,761 | ||||||||||
| Citibank NA | USD 10,000 | 09/21/11 | 5.600% | 3 month LIBOR | 19,695 | 219,546 | ||||||||||
| Deutsche Bank AG | NZD 14,680 | 09/27/11 | 3 month ZDOR | 6.900% | — | 68,571 | ||||||||||
| Deutsche Bank AG | CAD 7,020 | 09/27/11 | 4.158% | 3 month CDOR | — | (21,924 | ) | |||||||||
| National Australia Bank | CAD 9,230 | 09/27/11 | 4.165% | 3 month CDOR | — | (26,131 | ) | |||||||||
| Deutsche Bank AG | CAD 2,400 | 09/27/11 | 4.168% | 3 month CDOR | — | (6,555 | ) | |||||||||
| Deutsche Bank AG | CAD 690 | 09/28/11 | 4.179% | 3 month CDOR | — | (1,577 | ) | |||||||||
| National Australia Bank | NZD 19,320 | 09/29/11 | 3 month ZDOR | 6.925% | — | 80,884 | ||||||||||
| Deutsche Bank AG | NZD 5,030 | 09/29/11 | 3 month ZDOR | 6.928% | — | 20,252 | ||||||||||
| Deutsche Bank AG | NZD 1,440 | 10/02/11 | 3 month ZDOR | 6.965% | — | 4,249 | ||||||||||
| National Australia Bank | CAD 5,360 | 10/03/11 | 4.176% | 3 month CDOR | — | (11,002 | ) | |||||||||
| National Australia Bank | NZD 9,600 | 10/05/11 | 3 month ZDOR | 6.990% | — | 21,115 | ||||||||||
| UBS AG (London) | CAD 2,820 | 10/05/11 | 4.195% | 3 month CDOR | — | (4,521 | ) | |||||||||
| Deutsche Bank AG | CAD 2,520 | 10/06/11 | 4.183% | 3 month CDOR | — | (5,324 | ) | |||||||||
| UBS AG (London) | NZD 5,050 | 10/10/11 | 3 month ZDOR | 7.038% | — | 3,647 | ||||||||||
| Deutsche Bank AG | NZD 4,500 | 10/10/11 | 3 month ZDOR | 7.053% | — | 1,720 | ||||||||||
| Deutsche Bank AG(a) | EUR 62,840 | 11/22/11 | 4.042% | 6 month EURO | — | 605,580 | ||||||||||
| Credit Suisse First Boston International (London)(a) | EUR 49,860 | 11/22/11 | 4.078% | 6 month EURO | — | 584,611 | ||||||||||
| Deutsche Bank AG(a) | AUD 3,700 | 12/20/11 | 6.400% | 6 month BBSW | 12,411 | (5,627 | ) | |||||||||
| Deutsche Bank AG(a) | AUD 5,450 | 12/20/11 | 6.400% | 6 month BBSW | 24,814 | (14,821 | ) | |||||||||
The accompanying notes are an integral part of these financial statements.
24
GOLDMAN SACHS GLOBAL INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Rates Exchanged | ||||||||||||||||
| Upfront | ||||||||||||||||
| Notional | Payments | Payments | Payments made | |||||||||||||
| Swap | Amount | Termination | received by | made by | (received) by | Unrealized | ||||||||||
| Counterparty | (000s) | Date | the Fund | the Fund | the Fund | Gain (Loss) | ||||||||||
| Deutsche Bank AG(a) | AUD 3,700 | 12/20/11 | 6.400% | 6 month BBSW | $ | 11,971 | $ | (5,187 | ) | |||||||
| Deutsche Bank AG(a) | AUD 3,670 | 12/20/11 | 6.400% | 6 month BBSW | 10,144 | (3,415 | ) | |||||||||
| Deutsche Bank AG(a) | AUD 3,620 | 12/20/11 | 6.400% | 6 month BBSW | 920 | 5,717 | ||||||||||
| Deutsche Bank AG(a) | AUD 3,670 | 12/20/11 | 6.400% | 6 month BBSW | 10,872 | (4,143 | ) | |||||||||
| UBS AG (London)(a) | USD 40,000 | 12/20/11 | 5.600% | 3 month LIBOR | 710,621 | 285,843 | ||||||||||
| Deutsche Bank AG | USD 83,400 | 12/20/11 | 5.600% | 3 month LIBOR | 1,525,000 | 546,438 | ||||||||||
| Credit Suisse First Boston International (London)(a) | GBP 7,170 | 12/20/11 | 6 month BP | 5.100% | (38,002 | ) | 73,908 | |||||||||
| Deutsche Bank AG(a) | JPY 271,000 | 12/20/13 | 6 month JYOR | 1.850% | (960 | ) | (32,879 | ) | ||||||||
| Deutsche Bank AG(a) | JPY 271,000 | 12/20/13 | 6 month JYOR | 1.850% | (2,688 | ) | (29,136 | ) | ||||||||
| Deutsche Bank AG(a) | JPY 271,000 | 12/20/13 | 6 month JYOR | 1.850% | (2,304 | ) | (29,520 | ) | ||||||||
| Barclays Bank PLC(a) | USD 4,223 | 12/20/13 | 5.650% | 3 month LIBOR | 69,386 | 71,751 | ||||||||||
| Deutsche Bank AG(a) | JPY 260,000 | 12/20/13 | 6 month JYOR | 1.850% | 4,811 | (36,724 | ) | |||||||||
| Barclays Bank PLC(a) | USD 31,000 | 12/20/13 | 3 month LIBOR | 5.650% | (644,000 | ) | (395,702 | ) | ||||||||
| Deutsche Bank AG(a) | JPY 271,000 | 12/20/13 | 6 month JYOR | 1.850% | (384 | ) | (32,303 | ) | ||||||||
| Deutsche Bank AG(a) | JPY 402,000 | 12/20/13 | 6 month JYOR | 1.850% | (15,917 | ) | (33,425 | ) | ||||||||
| Citibank NA(a) | JPY 6,791,000 | 12/20/13 | 6 month JYOR | 1.850% | (1,169,030 | ) | 335,490 | |||||||||
| UBS AG (London)(a) | JPY 8,082,000 | 12/20/13 | 6 month JYOR | 1.850% | (796,098 | ) | (152,987 | ) | ||||||||
| Morgan Stanley Capital Services | SEK 213,000 | 06/12/16 | 3 month SKOF | 4.270% | — | (857,558 | ) | |||||||||
| Morgan Stanley Capital Services | EUR 23,000 | 06/12/16 | 4.198% | 6 month EURO | — | 689,300 | ||||||||||
| Citibank NA | JPY 489,000 | 06/28/16 | 6 month JYOR | 2.100% | — | (114,735 | ) | |||||||||
| Citibank NA | EUR 1,905 | 06/28/16 | 4.281% | 6 month EURO | — | 72,764 | ||||||||||
| Citibank NA | JPY 489,000 | 06/29/16 | 6 month JYOR | 2.119% | — | (121,785 | ) | |||||||||
| Citibank NA | EUR 1,905 | 06/29/16 | 4.296% | 6 month EURO | — | 75,181 | ||||||||||
| Morgan Stanley Capital Services | EUR 5,150 | 07/13/16 | 4.290% | 6 month EURO | — | 198,261 | ||||||||||
| Morgan Stanley Capital Services | SEK 47,000 | 07/13/16 | 3 month SKOF | 4.363% | — | (230,493 | ) | |||||||||
| Credit Suisse First Boston International (London)(a) | SEK 27,000 | 12/20/16 | 3 month SKOF | 4.350% | 17,597 | (97,649 | ) | |||||||||
| Credit Suisse First Boston International (London)(a) | EUR 2,910 | 12/20/16 | 4.300% | 6 month EURO | 15,311 | 84,596 | ||||||||||
| Credit Suisse First Boston International (London)(a) | USD 17,793 | 12/20/16 | 5.700% | 3 month LIBOR | 295,902 | 482,469 | ||||||||||
| Barclays Bank PLC(a) | EUR 3,400 | 12/20/16 | 4.300% | 6 month EURO | 39,619 | 77,111 | ||||||||||
| Barclays Bank PLC(a) | SEK 31,400 | 12/20/16 | 3 month SKOF | 4.350% | (8,717 | ) | (84,381 | ) | ||||||||
| Morgan Stanley Capital Services(a) | EUR 830 | 12/20/16 | 4.300% | 6 month EURO | 10,542 | 17,953 | ||||||||||
| Morgan Stanley Capital Services(a) | SEK 7,700 | 12/20/16 | 3 month SKOF | 4.350% | (3,753 | ) | (19,077 | ) | ||||||||
| Morgan Stanley Capital Services(a) | EUR 4,100 | 12/20/16 | 4.300% | 6 month EURO | 90,519 | 51,276 | ||||||||||
| Morgan Stanley Capital Services(a) | SEK 38,000 | 12/20/16 | 3 month SKOF | 4.350% | (54,999 | ) | (57,666 | ) | ||||||||
| Credit Suisse First Boston International (London)(a) | GBP 8,356 | 12/20/16 | 6 month BP | 5.000% | (45,906 | ) | (75,785 | ) | ||||||||
| Credit Suisse First Boston International (London)(a) | EUR 6,000 | 12/20/16 | 4.300% | 6 month EURO | 210,202 | (4,208 | ) | |||||||||
| Credit Suisse First Boston International (London)(a) | SEK 56,700 | 12/20/16 | 3 month SKOF | 4.350% | (168,928 | ) | 818 | |||||||||
| Citibank NA(a) | JPY 1,003,000 | 12/20/16 | 2.100% | 6 month JYOR | 103,217 | 35,746 | ||||||||||
The accompanying notes are an integral part of these financial statements.
25
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2006
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Rates Exchanged | ||||||||||||||||
| Upfront | ||||||||||||||||
| Notional | Payments | Payments | Payments made | |||||||||||||
| Swap | Amount | Termination | received by | made by | (received) by | Unrealized | ||||||||||
| Counterparty | (000s) | Date | the Fund | the Fund | the Fund | Gain (Loss) | ||||||||||
| Citibank NA(a) | EUR 3,670 | 12/20/16 | 6 month EURO | 4.300% | $ | (88,779 | ) | $ | (37,221 | ) | ||||||
| UBS AG (London)(a) | JPY 1,022,000 | 12/20/16 | 2.100% | 6 month JYOR | 88,391 | 53,205 | ||||||||||
| UBS AG (London)(a) | EUR 3,740 | 12/20/16 | 6 month EURO | 4.300% | (86,833 | ) | (41,570 | ) | ||||||||
| Deutsche Bank AG(a) | EUR 19,480 | 11/22/21 | 6 month EURO | 4.378% | — | (931,338 | ) | |||||||||
| Credit Suisse First Boston International (London)(a) | EUR 15,470 | 11/22/21 | 6 month EURO | 4.412% | — | (813,807 | ) | |||||||||
| Credit Suisse First Boston International (London) | GBP 2,750 | 12/06/35 | 3 month BP | 4.343% | — | (193 | ) | |||||||||
| Credit Suisse First Boston International (London) | EUR 4,200 | 12/10/35 | 3.904% | 3 month EURO | — | (31,594 | ) | |||||||||
| Credit Suisse First Boston International (London) | GBP 950 | 12/24/35 | 6 month BP | 4.268% | — | 21,420 | ||||||||||
| Credit Suisse First Boston International (London) | EUR 1,350 | 12/24/35 | 3.838% | 6 month EURO | — | (30,392 | ) | |||||||||
| Merrill Lynch Capital Markets | GBP 1,530 | 04/10/36 | 6 month BP | 4.428% | — | (47,291 | ) | |||||||||
| Merrill Lynch Capital Markets | GBP 1,520 | 04/10/36 | 6 month BP | 4.446% | — | (55,431 | ) | |||||||||
| Merrill Lynch Capital Markets | EUR 2,180 | 04/12/36 | 4.438% | 6 month EURO | — | 238,617 | ||||||||||
| Merrill Lynch Capital Markets | EUR 2,170 | 04/12/36 | 4.446% | 6 month EURO | — | 241,416 | ||||||||||
| Credit Suisse First Boston International (London) | GBP 1,276 | 05/05/36 | 6 month BP | 4.641% | — | (122,559 | ) | |||||||||
| Credit Suisse First Boston International (London) | GBP 350 | 05/08/36 | 6 month BP | 4.615% | — | (30,724 | ) | |||||||||
| Credit Suisse First Boston International (London) | GBP 700 | 05/09/36 | 6 month BP | 4.642% | — | (67,714 | ) | |||||||||
| Credit Suisse First Boston International (London) | USD 540 | 05/10/36 | 5.750% | 3 month LIBOR | — | 47,709 | ||||||||||
| Credit Suisse First Boston International (London) | USD 1,085 | 05/11/36 | 5.756% | 3 month LIBOR | — | 97,045 | ||||||||||
| Deutsche Bank AG | GBP 1,300 | 05/19/36 | 4.513% | 6 month BP | — | 73,013 | ||||||||||
| Deutsche Bank AG | EUR 1,850 | 05/23/36 | 6 month EURO | 4.558% | — | (213,199 | ) | |||||||||
| Barclays Bank PLC | GBP 1,300 | 06/23/36 | 6 month BP | 4.605% | — | (112,965 | ) | |||||||||
| Barclays Bank PLC | USD 2,000 | 06/27/36 | 5.843% | 3 month LIBOR | — | 204,848 | ||||||||||
| Credit Suisse First Boston International (London)(a) | GBP 1,150 | 12/22/36 | 6 month BP | 4.550% | (3,345 | ) | (84,140 | ) | ||||||||
| Credit Suisse First Boston International (London)(a) | EUR 2,550 | 12/22/36 | 6 month EURO | 4.550% | (114,929 | ) | (153,551 | ) | ||||||||
| Credit Suisse First Boston International (London)(a) | GBP 1,800 | 12/22/36 | 4.550% | 6 month BP | 36,886 | 99,139 | ||||||||||
| Barclays Bank PLC(a) | GBP 1,350 | 12/22/36 | 4.550% | 6 month BP | 24,428 | 77,591 | ||||||||||
| Barclays Bank PLC(a) | EUR 1,900 | 12/22/36 | 6 month EURO | 4.550% | (83,353 | ) | (116,691 | ) | ||||||||
| Royal Bank of Scotland(a) | GBP 2,080 | 12/22/36 | 4.550% | 6 month BP | 72,640 | 84,544 | ||||||||||
| Royal Bank of Scotland(a) | USD 3,170 | 12/22/36 | 3 month LIBOR | 5.750% | (154,214 | ) | (79,736 | ) | ||||||||
| Royal Bank of Scotland(a) | USD 3,170 | 12/22/36 | 3 month LIBOR | 5.750% | (155,365 | ) | (78,585 | ) | ||||||||
| Royal Bank of Scotland(a) | GBP 2,080 | 12/22/36 | 4.550% | 6 month BP | 50,353 | 106,831 | ||||||||||
The accompanying notes are an integral part of these financial statements.
26
GOLDMAN SACHS GLOBAL INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Rates Exchanged | ||||||||||||||||
| Upfront | ||||||||||||||||
| Notional | Payments | Payments | Payments made | |||||||||||||
| Swap | Amount | Termination | received by | made by | (received) by | Unrealized | ||||||||||
| Counterparty | (000s) | Date | the Fund | the Fund | the Fund | Gain (Loss) | ||||||||||
| Credit Suisse First Boston International (London)(a) | GBP 5,051 | 12/22/36 | 4.550% | 6 month BP | $ | 210,253 | $ | 171,447 | ||||||||
| Credit Suisse First Boston International (London)(a) | USD 3,600 | 12/22/36 | 5.750% | 3 month LIBOR | 176,914 | 88,767 | ||||||||||
TOTAL | $ | 622,715 | $ | 284,107 | ||||||||||||
| (a) | Represents forward starting interest rate swap whose effective dates of commencement of accruals and cash flows occur subsequent to October 31, 2006. |
| CDOR | — | Canadian Dollar Offered Rate | ||
| LIBOR | — | London Interbank Offered Rate | ||
| BP | — | British Pound Offered Rate | ||
| EURO | — | Euro Offered Rate | ||
| JYOR | — | Japanese Yen Offered Rate | ||
| ZDOR | — | New Zealand Dollar Offered Rate | ||
| SKOF | — | Swedish Krona Offered Rate | ||
| BBSW | — | Australian Bank Bill Swap Reference Rate |
WRITTEN OPTIONS — For the year ended October 31, 2006, the Fund had the following written options activity:
| Number of | Premiums | |||||||
| Contracts | Received | |||||||
| Contracts Outstanding October 31, 2005 | 170,583,000 | $ | 164,498 | |||||
| Contracts written | 156,908,017 | 285,606 | ||||||
| Contracts expired | (317,154,017 | ) | (413,806 | ) | ||||
| Contracts repurchased | (10,337,000 | ) | (36,298 | ) | ||||
| Contracts Outstanding October 31, 2006 | — | $ | — | |||||
The accompanying notes are an integral part of these financial statements.
27
GOLDMAN SACHS HIGH YIELD FUND
Performance Summary
October 31, 2006
The following graph shows the value, as of October 31, 2006, of a $10,000 investment made on August 1, 1997 (commencement of operations) in Class A Shares (with the maximum sales charge of 4.5%) of the Goldman Sachs High Yield Fund. For comparative purposes, the performance of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, 2% Issuer Capped, is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class B, Class C, Institutional and Service Shares will vary from Class A Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a portfolio.
| High Yield Fund’s Lifetime Performance |
Performance of a $10,000 Investment, Distributions Reinvested August 1, 1997 to October 31, 2006.
| Average Annual Total Return through October 31, 2006 | Since Inception | Five Years | One Year | |||||||||||
Class A (commenced August 1, 1997) | ||||||||||||||
| Excluding sales charges | 6.75% | 11.20% | 10.76% | |||||||||||
| Including sales charges | 6.22% | 10.19% | 5.75% | |||||||||||
Class B (commenced August 1, 1997) | ||||||||||||||
| Excluding contingent deferred sales charges | 5.97% | 10.39% | 9.93% | |||||||||||
| Including contingent deferred sales charges | 5.97% | 9.99% | 4.59% | |||||||||||
Class C (commenced August 15, 1997) | ||||||||||||||
| Excluding contingent deferred sales charges | 6.00% | 10.41% | 9.94% | |||||||||||
| Including contingent deferred sales charges | 6.00% | 10.41% | 8.87% | |||||||||||
Institutional Class (commenced August 1, 1997) | 7.16% | 11.62% | 11.16% | |||||||||||
Service Class (commenced August 1, 1997) | 6.61% | 11.05% | 10.63% | |||||||||||
28
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – 87.3% | ||||||||||||||||
| Aerospace – 1.2% | ||||||||||||||||
| Argo-Tech Corp. (B/B2) | ||||||||||||||||
| $ | 4,500,000 | 9.250 | % | 06/01/11 | $ | 4,668,750 | ||||||||||
| BE Aerospace, Inc. (B+/B3) | ||||||||||||||||
| 2,000,000 | 8.875 | 05/01/11 | 2,075,000 | |||||||||||||
| FastenTech, Inc. (B-/B3) | ||||||||||||||||
| 1,250,000 | 11.500 | 05/01/11 | 1,293,750 | |||||||||||||
| K&F Acquisition, Inc. (B-/Caa1) | ||||||||||||||||
| 7,625,000 | 7.750 | 11/15/14 | 7,701,250 | |||||||||||||
| Mecachrome International, Inc. (B-/B3) | ||||||||||||||||
| EUR2,500,000 | 9.000 | 05/15/14 | 3,158,842 | |||||||||||||
| MTU Aero Engines (BB-/Ba3) | ||||||||||||||||
| 1,800,000 | 8.250 | 04/01/14 | 2,564,979 | |||||||||||||
| Sequa Corp. (BB-/B2) | ||||||||||||||||
| $ | 4,000,000 | 9.000 | 08/01/09 | 4,210,000 | ||||||||||||
| Standard Aero Holdings, Inc. (B-/Caa1) | ||||||||||||||||
| 5,375,000 | 8.250 | 09/01/14 | 5,294,375 | |||||||||||||
| Vought Aircraft Industries, Inc. (CCC/B3) | ||||||||||||||||
| 2,500,000 | 8.000 | 07/15/11 | 2,356,250 | |||||||||||||
| 33,323,196 | ||||||||||||||||
| Agriculture �� 0.5% | ||||||||||||||||
| Land O’ Lakes, Inc. (B+/Ba3) | ||||||||||||||||
| 320,000 | 8.750 | 11/15/11 | 332,800 | |||||||||||||
| Land O’ Lakes, Inc. (BB/Ba2) | ||||||||||||||||
| 2,000,000 | 9.000 | 12/15/10 | 2,110,000 | |||||||||||||
| National Beef Packing Co LLC/NB Finance Corp. (B-/Caa1) | ||||||||||||||||
| 2,750,000 | 10.500 | 08/01/11 | 2,846,250 | |||||||||||||
| Swift & Co. (B-/B3) | ||||||||||||||||
| 3,000,000 | 10.125 | 10/01/09 | 3,090,000 | |||||||||||||
| Swift & Co. (CCC+/Caa1) | ||||||||||||||||
| 5,000,000 | 12.500 | 01/01/10 | 5,125,000 | |||||||||||||
| 13,504,050 | ||||||||||||||||
| Automotive – 2.9% | ||||||||||||||||
| FCE Bank PLC (B+/B1)(a) | ||||||||||||||||
| EUR2,000,000 | 4.376 | 09/30/09 | 2,443,348 | |||||||||||||
| Ford Motor Co. (B/B3) | ||||||||||||||||
| $ | 5,000,000 | 7.450 | 07/16/31 | 3,912,500 | ||||||||||||
| 1,000,000 | 8.900 | 01/15/32 | 895,000 | |||||||||||||
| Ford Motor Credit Co. (B/B1) | ||||||||||||||||
| 2,500,000 | 9.750 | (b) | 09/15/10 | 2,569,236 | ||||||||||||
| 11,250,000 | 9.875 | 08/10/11 | 11,634,380 | |||||||||||||
| 14,000,000 | 7.250 | 10/25/11 | 13,262,359 | |||||||||||||
| 3,000,000 | 7.000 | 10/01/13 | 2,790,241 | |||||||||||||
| General Motors Acceptance Corp. (BB/Ba1) | ||||||||||||||||
| EUR1,500,000 | 4.750 | 09/14/09 | 1,891,809 | |||||||||||||
| $ | 3,000,000 | 7.250 | 03/02/11 | 3,052,684 | ||||||||||||
| 18,500,000 | 6.875 | 09/15/11 | 18,644,483 | |||||||||||||
| 5,000,000 | 6.750 | 12/01/14 | 4,975,125 | |||||||||||||
| 7,500,000 | 8.000 | 11/01/31 | 7,987,500 | |||||||||||||
| General Motors Corp. (B-/Caa1)(c) | ||||||||||||||||
| 1,000,000 | 8.800 | 03/01/21 | 907,500 | |||||||||||||
| General Motors Corp. (B-/Caa1) | ||||||||||||||||
| 5,250,000 | 8.375 | 07/15/33 | 4,679,063 | |||||||||||||
| General Motors Corp. (B-/Caa3) | ||||||||||||||||
| EUR2,000,000 | 7.250 | 07/03/13 | 2,434,542 | |||||||||||||
| General Motors Nova Scotia Finance Co. (B-/Caa1) | ||||||||||||||||
| 750,000 | 6.850 | 10/15/08 | 735,938 | |||||||||||||
| GMAC Canada Ltd. (BB/Ba1) | ||||||||||||||||
| GBP500,000 | 6.625 | 12/17/10 | 946,621 | |||||||||||||
| 83,762,329 | ||||||||||||||||
| Automotive – Distributor – 0.1% | ||||||||||||||||
| Keystone Automotive Operations, Inc. (B-/Caa1) | ||||||||||||||||
| $ | 4,000,000 | 9.750 | 11/01/13 | 3,850,000 | ||||||||||||
| Automotive Parts – 1.6% | ||||||||||||||||
| Accuride Corp. (B-/B3) | ||||||||||||||||
| 3,000,000 | 8.500 | 02/01/15 | 2,910,000 | |||||||||||||
| Affinia Group, Inc. (CCC+/Caa1) | ||||||||||||||||
| 4,000,000 | 9.000 | 11/30/14 | 3,790,000 | |||||||||||||
| American Axle & Manufacturing, Inc. (BB/Ba3) | ||||||||||||||||
| 2,000,000 | 5.250 | 02/11/14 | 1,695,000 | |||||||||||||
| Tenneco Automotive, Inc. (B/B3) | ||||||||||||||||
| 3,250,000 | 8.625 | 11/15/14 | 3,266,250 | |||||||||||||
| Tenneco Automotive, Inc. (B/Ba3) | ||||||||||||||||
| 2,000,000 | 10.250 | 07/15/13 | 2,190,000 | |||||||||||||
| The Goodyear Tire & Rubber Co. (B-/B2) | ||||||||||||||||
| 4,000,000 | 11.250 | 03/01/11 | 4,400,000 | |||||||||||||
| 3,000,000 | 9.000 | 07/01/15 | 3,030,000 | |||||||||||||
| The Goodyear Tire & Rubber Co. (B-/B3) | ||||||||||||||||
| 5,000,000 | 7.857 | 08/15/11 | 4,850,000 | |||||||||||||
| TRW Automotive, Inc. (BB-/B1) | ||||||||||||||||
| 3,250,000 | 11.000 | 02/15/13 | 3,570,937 | |||||||||||||
| EUR2,838,000 | 11.750 | 02/15/13 | 4,074,906 | |||||||||||||
| TRW Automotive, Inc. (BB-/Ba3) | ||||||||||||||||
| 1,250,000 | 9.375 | 02/15/13 | 1,342,188 | |||||||||||||
| United Components, Inc. (B-/Caa1) | ||||||||||||||||
| 5,500,000 | 9.375 | 06/15/13 | 5,555,000 | |||||||||||||
| Visteon Corp. (B-/Caa1) | ||||||||||||||||
| 3,250,000 | 8.250 | 08/01/10 | 3,103,750 | |||||||||||||
| 2,000,000 | 7.000 | 03/10/14 | 1,740,000 | |||||||||||||
| 45,518,031 | ||||||||||||||||
| Building Materials – Consumer – 0.4% | ||||||||||||||||
| Collins & Aikman Floor Cover (B-/B3) | ||||||||||||||||
| 1,750,000 | 9.750 | 02/15/10 | 1,776,250 | |||||||||||||
| Culligan Finance Corp. B.V. (B-/B3) | ||||||||||||||||
| EUR3,000,000 | 8.000 | 10/01/14 | 4,077,778 | |||||||||||||
| Heating Finance PLC (B-/B2) | ||||||||||||||||
| GBP1,750,000 | 7.875 | 03/31/14 | 3,146,263 | |||||||||||||
| Interface, Inc. (CCC+/Caa1) | ||||||||||||||||
| 2,000,000 | 9.500 | 02/01/14 | 2,075,000 | |||||||||||||
| Werner Holdings Co., Inc. (WR)(d) | ||||||||||||||||
| 3,000,000 | 10.000 | 11/15/07 | 270,000 | |||||||||||||
| 11,345,291 | ||||||||||||||||
| Building Materials – Fixtures & Fittings – 3.3% | ||||||||||||||||
| ACIH, Inc. (CCC+/Caa1)(b)(e) | ||||||||||||||||
| 6,250,000 | 11.500 | 12/15/12 | 4,242,188 | |||||||||||||
| Associated Materials, Inc. (CCC/B3) | ||||||||||||||||
| 1,000,000 | 9.750 | 04/15/12 | 1,016,250 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
29
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Building Materials – Fixtures & Fittings – (continued) | ||||||||||||||||
| Associated Materials, Inc. (CCC/Caa2)(e) | ||||||||||||||||
| $ | 9,000,000 | 11.250 | % | 03/01/14 | $ | 5,332,500 | ||||||||||
| CPG International, Inc. (B-/B3) | ||||||||||||||||
| 1,750,000 | 10.500 | 07/01/13 | 1,785,000 | |||||||||||||
| Goodman Global Holdings Co., Inc. (B-/B3) | ||||||||||||||||
| 13,500,000 | 7.875 | 12/15/12 | 13,044,375 | |||||||||||||
| Grohe Holdings (CCC+/Caa1) | ||||||||||||||||
| EUR18,000,000 | 8.625 | 10/01/14 | 23,283,536 | |||||||||||||
| Jacuzzi Brands, Inc. (B/B2) | ||||||||||||||||
| $ | 3,000,000 | 9.625 | 07/01/10 | 3,206,250 | ||||||||||||
| Legrand S.A. (BB+/Baa3) | ||||||||||||||||
| 5,050,000 | 8.500 | 02/15/25 | 5,775,938 | |||||||||||||
| Nortek, Inc. (CCC+/B3) | ||||||||||||||||
| 21,750,000 | 8.500 | 09/01/14 | 20,852,812 | |||||||||||||
| NTK Holdings, Inc. (CCC+/Caa1)(e) | ||||||||||||||||
| 12,000,000 | 10.750 | 03/01/14 | 8,265,000 | |||||||||||||
| Panolam Industries International, Inc. (CCC+/Caa1)(b) | ||||||||||||||||
| 4,625,000 | 10.750 | 10/01/13 | 4,717,500 | |||||||||||||
| PLY Gem Industries, Inc. (CCC+/Caa1) | ||||||||||||||||
| 5,625,000 | 9.000 | 02/15/12 | 4,725,000 | |||||||||||||
| 96,246,349 | ||||||||||||||||
| Building Materials – Materials – 0.4% | ||||||||||||||||
| Carmeuse Lime B.V. (BB-/Ba3) | ||||||||||||||||
| EUR5,625,000 | 10.750 | 07/15/12 | 7,825,313 | |||||||||||||
| RMCC Acquisition Co. (CCC+/B2)(b) | ||||||||||||||||
| $ | 3,000,000 | 10.000 | 11/01/12 | 3,101,250 | ||||||||||||
| Texas Industries, Inc. (BB-/Ba3) | ||||||||||||||||
| 1,000,000 | 7.250 | 07/15/13 | 1,006,250 | |||||||||||||
| 11,932,813 | ||||||||||||||||
| Capital Goods – Others – 1.9% | ||||||||||||||||
| Altra Industrial Motion, Inc. (CCC+/B1) | ||||||||||||||||
| 1,750,000 | 9.000 | 12/01/11 | 1,820,000 | |||||||||||||
| Briggs & Stratton Corp. (BBB-/Ba1) | ||||||||||||||||
| 2,500,000 | 8.875 | 03/15/11 | 2,706,250 | |||||||||||||
| Coleman Cable, Inc. (B-/B3) | ||||||||||||||||
| 750,000 | 9.875 | 10/01/12 | 765,000 | |||||||||||||
| General Cable Corp. (B+/B1) | ||||||||||||||||
| 2,500,000 | 9.500 | 11/15/10 | 2,668,750 | |||||||||||||
| Metaldyne Corp. (CCC+/Caa3) | ||||||||||||||||
| 2,000,000 | 11.000 | 06/15/12 | 1,835,000 | |||||||||||||
| Mueller Group, Inc. (B/B3) | ||||||||||||||||
| 2,600,000 | 10.000 | 05/01/12 | 2,840,500 | |||||||||||||
| Mueller Holdings, Inc. (B/B3)(e) | ||||||||||||||||
| 6,438,000 | 14.750 | 04/15/14 | 5,657,393 | |||||||||||||
| RBS Global & Rexnord Corp. (CCC+/B3)(b) | ||||||||||||||||
| 12,500,000 | 9.500 | 08/01/14 | 12,812,500 | |||||||||||||
| RBS Global & Rexnord Corp. (CCC+/Caa1)(b) | ||||||||||||||||
| 10,250,000 | 11.750 | 08/01/16 | 10,634,375 | |||||||||||||
| Sensata Technologies BV (B-/Caa1)(b) | ||||||||||||||||
| 7,500,000 | 8.000 | 05/01/14 | 7,237,500 | |||||||||||||
| Sensata Technologies BV (B-/Caa1) | ||||||||||||||||
| EUR2,125,000 | 9.000 | 05/01/16 | 2,732,478 | |||||||||||||
| Texon International PLC(d) | ||||||||||||||||
| DEM2,250,000 | 10.000 | 02/01/10 | — | |||||||||||||
| VAC Finanzierung GMBH (CCC+/B3) | ||||||||||||||||
| EUR3,000,000 | 9.250 | % | 04/15/16 | $ | 3,905,477 | |||||||||||
| 55,615,223 | ||||||||||||||||
| Chemicals – 6.4% | ||||||||||||||||
| Basell AF SCA (B-/B2)(b) | ||||||||||||||||
| 5,000,000 | 8.375 | 08/15/15 | 6,708,551 | |||||||||||||
| BCP Crystal Holdings Corp. (B/B3) | ||||||||||||||||
| $ | 650,000 | 9.625 | 06/15/14 | 711,750 | ||||||||||||
| BCP Crystal Holdings Corp. (B/B3)(e) | ||||||||||||||||
| 650,000 | 10.000 | 10/01/14 | 544,375 | |||||||||||||
| BCP Crystal Holdings Corp. Series B (B/B3)(e) | ||||||||||||||||
| 13,452,000 | 10.500 | 10/01/14 | 11,232,420 | |||||||||||||
| Compass Minerals International, Inc. (B-)(e) | ||||||||||||||||
| 8,750,000 | 12.750 | 12/15/12 | 8,596,875 | |||||||||||||
| 7,750,000 | 12.000 | 06/01/13 | 7,323,750 | |||||||||||||
| Equistar Chemical/Funding (BB-/B1) | ||||||||||||||||
| 3,000,000 | 10.625 | 05/01/11 | 3,210,000 | |||||||||||||
| Equistar Chemicals LP (BB-/B1) | ||||||||||||||||
| 2,750,000 | 10.125 | 09/01/08 | 2,915,000 | |||||||||||||
| 2,000,000 | 7.550 | 02/15/26 | 1,835,000 | |||||||||||||
| Ethyl Corp. (BB-/B2) | ||||||||||||||||
| 4,250,000 | 8.875 | 05/01/10 | 4,420,000 | |||||||||||||
| Ferro Corp. (B/WR) | ||||||||||||||||
| 3,250,000 | 9.125 | 01/01/09 | 3,335,313 | |||||||||||||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC (B-/B3) | ||||||||||||||||
| 6,000,000 | 9.000 | 07/15/14 | 6,803,040 | |||||||||||||
| Hexion US Finance Corp/Hexion Nova Scotia Finance ULC (B-/B3)(b) | ||||||||||||||||
| 8,250,000 | 9.750 | 11/15/14 | 8,250,000 | |||||||||||||
| Huntsman ICI Chemicals (B/B3) | ||||||||||||||||
| EUR2,715,000 | 10.125 | 07/01/09 | 3,534,457 | |||||||||||||
| Huntsman ICI Chemicals LLC (B/B2) | ||||||||||||||||
| $ | 1,845,000 | 9.875 | 03/01/09 | 1,911,881 | ||||||||||||
| Huntsman International LLC (B/B3)(b) | ||||||||||||||||
| 2,500,000 | 7.875 | 11/15/14 | 2,500,000 | |||||||||||||
| IMC Global, Inc. (BB/Ba3) | ||||||||||||||||
| 4,500,000 | 10.875 | 08/01/13 | 5,124,375 | |||||||||||||
| Ineos Group Holdings PLC (B-/B2) | ||||||||||||||||
| EUR6,750,000 | 7.875 | 02/15/16 | 8,259,654 | |||||||||||||
| $ | 12,750,000 | 8.500 | (b) | 02/15/16 | 12,271,875 | |||||||||||
| Invista (B+/Ba3)(b) | ||||||||||||||||
| 5,000,000 | 9.250 | 05/01/12 | 5,312,500 | |||||||||||||
| KRATON Polymers LLC/Capital Corp. (B-/B3) | ||||||||||||||||
| 7,250,000 | 8.125 | 01/15/14 | 7,050,625 | |||||||||||||
| LBC Luxembourg (CCC+/Caa1) | ||||||||||||||||
| EUR3,250,000 | 11.000 | 05/15/14 | 4,811,650 | |||||||||||||
| Lyondell Chemical Co. (B+/B1) | ||||||||||||||||
| $ | 2,000,000 | 8.250 | 09/15/16 | 2,055,000 | ||||||||||||
| Lyondell Chemical Co. (BB/Ba2) | ||||||||||||||||
| 884,000 | 9.500 | 12/15/08 | 905,030 | |||||||||||||
| 4,000,000 | 10.500 | 06/01/13 | 4,410,000 | |||||||||||||
| Nell AF SARL (B-/B2)(b) | ||||||||||||||||
| 9,250,000 | 8.375 | 08/15/15 | 9,388,750 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
30
GOLDMAN SACHS HIGH YIELD FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Chemicals – (continued) | ||||||||||||||||
| PQ Corp. (B-/B3) | ||||||||||||||||
| $ | 6,500,000 | 7.500 | % | 02/15/13 | $ | 6,256,250 | ||||||||||
| Rhodia S.A. (B-/B2) | ||||||||||||||||
| 2,500,000 | 10.250 | 06/01/10 | 2,850,000 | |||||||||||||
| Rhodia S.A. (B-/B2)(a)(b) | ||||||||||||||||
| EUR4,500,000 | 6.242 | 10/15/13 | 5,733,585 | |||||||||||||
| Rhodia S.A. (B-/B3) | ||||||||||||||||
| $ | 4,714,000 | 8.875 | 06/01/11 | 4,949,700 | ||||||||||||
| EUR6,641,000 | 9.250 | 06/01/11 | 9,069,220 | |||||||||||||
| Rockwood Specialties Group, Inc. (B-/B3) | ||||||||||||||||
| $ | 10,500,000 | 7.625 | 11/15/14 | 14,138,210 | ||||||||||||
| Rockwood Specialties, Inc. (B-/B3) | ||||||||||||||||
| 3,645,000 | 10.625 | 05/15/11 | 3,909,262 | |||||||||||||
| SPCM SA (B/B3)(b) | ||||||||||||||||
| EUR2,750,000 | 8.250 | 06/15/13 | 3,768,674 | |||||||||||||
| 184,096,772 | ||||||||||||||||
| Conglomerates – 1.3% | ||||||||||||||||
| Blount, Inc. (B/B2) | ||||||||||||||||
| $ | 6,375,000 | 8.875 | 08/01/12 | 6,375,000 | ||||||||||||
| Bombardier, Inc. (BB/Ba2)(b) | ||||||||||||||||
| 6,250,000 | 6.750 | 05/01/12 | 6,046,875 | |||||||||||||
| Invensys PLC (B-/B2)(b) | ||||||||||||||||
| 1,463,000 | 9.875 | 03/15/11 | 1,587,355 | |||||||||||||
| Noma Luxembourg S.A. (B-/B1) | ||||||||||||||||
| EUR2,000,000 | 9.750 | 07/15/11 | 2,865,293 | |||||||||||||
| Park-Ohio Industries, Inc. (CCC+/B3) | ||||||||||||||||
| $ | 5,000,000 | 8.375 | 11/15/14 | 4,637,500 | ||||||||||||
| Polypore International, Inc. (CCC+/Caa2)(e) | ||||||||||||||||
| 4,000,000 | 10.500 | 10/01/12 | 2,960,000 | |||||||||||||
| Polypore, Inc. (CCC+/Caa1) | ||||||||||||||||
| EUR7,250,000 | 8.750 | 05/15/12 | 8,128,918 | |||||||||||||
| Trimas Corp. (CCC+/B3) | ||||||||||||||||
| $ | 6,375,000 | 9.875 | 06/15/12 | 6,008,437 | ||||||||||||
| 38,609,378 | ||||||||||||||||
| Consumer Products – Household & Leisure – 3.1% | ||||||||||||||||
| Affinion Group, Inc. (B-/B3) | ||||||||||||||||
| 5,000,000 | 10.125 | 10/15/13 | 5,287,500 | |||||||||||||
| Affinion Group, Inc. (B-/Caa1) | ||||||||||||||||
| 3,750,000 | 11.500 | 10/15/15 | 3,871,875 | |||||||||||||
| Ames True Temper (CCC-/Caa3) | ||||||||||||||||
| 3,500,000 | 10.000 | 07/15/12 | 3,123,750 | |||||||||||||
| FTD Group, Inc. (B-/B3) | ||||||||||||||||
| 2,430,000 | 7.750 | 02/15/14 | 2,417,850 | |||||||||||||
| Harry & David Holdings, Inc. (B-/B3) | ||||||||||||||||
| 2,750,000 | 9.000 | 03/01/13 | 2,640,000 | |||||||||||||
| Safilo Capital International S.A. (B/B2) | ||||||||||||||||
| EUR7,475,000 | 9.625 | 05/15/13 | 10,513,455 | |||||||||||||
| Sealy Mattress Co. (B/B2) | ||||||||||||||||
| $ | 4,250,000 | 8.250 | 06/15/14 | 4,404,063 | ||||||||||||
| Simmons Bedding Co. (B-/B3) | ||||||||||||||||
| 2,750,000 | 7.875 | 01/15/14 | 2,722,500 | |||||||||||||
| Simmons Bedding Co. (B-/Caa1) | ||||||||||||||||
| 4,250,000 | 10.000 | 12/15/14 | 3,166,250 | |||||||||||||
| Solo Cup Co. (CCC-/Caa2) | ||||||||||||||||
| 8,750,000 | 8.500 | 02/15/14 | 7,393,750 | |||||||||||||
| Spectrum Brands, Inc. (CCC/Caa2) | ||||||||||||||||
| 5,000,000 | 8.500 | 10/01/13 | 4,387,500 | |||||||||||||
| 13,500,000 | 7.375 | 02/01/15 | 11,002,500 | |||||||||||||
| True Temper Sports, Inc. (CCC+/Caa1) | ||||||||||||||||
| 2,500,000 | 8.375 | 09/15/11 | 2,275,000 | |||||||||||||
| Vertrue, Inc. (B/Ba3) | ||||||||||||||||
| 3,000,000 | 9.250 | 04/01/14 | 3,123,750 | |||||||||||||
| Visant Corp. (B-/B2) | ||||||||||||||||
| 6,375,000 | 7.625 | 10/01/12 | 6,422,812 | |||||||||||||
| Visant Holding Corp. (B-/B3) | ||||||||||||||||
| 11,250,000 | 8.750 | 12/01/13 | 11,503,125 | |||||||||||||
| Visant Holding Corp. (B-/B3)(e) | ||||||||||||||||
| 7,125,000 | 10.250 | 12/01/13 | 6,002,813 | |||||||||||||
| 90,258,493 | ||||||||||||||||
| Consumer Products – Industrial – 0.8% | ||||||||||||||||
| Johnsondiversey Holdings, Inc. (CCC+/Caa1)(e) | ||||||||||||||||
| 7,000,000 | 10.670 | 05/15/13 | 6,326,250 | |||||||||||||
| Johnsondiversey, Inc. (CCC+/B3) | ||||||||||||||||
| 4,005,000 | 9.625 | 05/15/12 | 4,115,137 | |||||||||||||
| Johnsondiversey, Inc. (CCC+/Caa1) | ||||||||||||||||
| EUR3,500,000 | 9.625 | 05/15/12 | 4,601,061 | |||||||||||||
| Norcross Safety Products (B-/B2) | ||||||||||||||||
| $ | 4,250,000 | 9.875 | 08/15/11 | 4,515,625 | ||||||||||||
| Safety Products Holdings, Inc. Series B (B-/B3)(f) | ||||||||||||||||
| 1,776,917 | 11.750 | 01/01/12 | 1,919,070 | |||||||||||||
| 21,477,143 | ||||||||||||||||
| Consumer Products – Non Durable – 0.7% | ||||||||||||||||
| Chattem, Inc. (B/B1) | ||||||||||||||||
| 1,000,000 | 7.000 | 03/01/14 | 966,250 | |||||||||||||
| Del Laboratories, Inc. (CCC/Caa2) | ||||||||||||||||
| 4,500,000 | 8.000 | 02/01/12 | 4,072,500 | |||||||||||||
| Jafra Cosmetics International, Inc. (B-/B1) | ||||||||||||||||
| 1,303,000 | 10.750 | 05/15/11 | 1,394,210 | |||||||||||||
| Leiner Health Products, Inc. (CCC/Caa1) | ||||||||||||||||
| 1,625,000 | 11.000 | 06/01/12 | 1,604,688 | |||||||||||||
| Playtex Products, Inc. (B-/Caa1) | ||||||||||||||||
| 6,500,000 | 9.375 | 06/01/11 | 6,792,500 | |||||||||||||
| Prestige Brands, Inc. (B-/B3) | ||||||||||||||||
| 2,100,000 | 9.250 | 04/15/12 | 2,107,875 | |||||||||||||
| Reddy Ice Holdings, Inc. (B-/B3)(e) | ||||||||||||||||
| 3,750,000 | 10.500 | 11/01/12 | 3,281,250 | |||||||||||||
| 20,219,273 | ||||||||||||||||
| Defense – 0.9% | ||||||||||||||||
| Alliant Techsystems, Inc. (B+/B1) | ||||||||||||||||
| 1,625,000 | 6.750 | 04/01/16 | 1,608,750 | |||||||||||||
| Communications & Power Industries, Inc. (B-/B2) | ||||||||||||||||
| 2,000,000 | 8.000 | 02/01/12 | 2,002,500 | |||||||||||||
| DRS Technologies, Inc. (B/B3) | ||||||||||||||||
| 1,625,000 | 6.875 | 11/01/13 | 1,625,000 | |||||||||||||
| 2,250,000 | 7.625 | 02/01/18 | 2,295,000 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
31
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Defense – (continued) | ||||||||||||||||
| Heckler Koch GMBH (B-/B1) | ||||||||||||||||
| EUR2,000,000 | 9.250 | % | 07/15/11 | $ | 2,597,270 | |||||||||||
| L-3 Communications Corp. (BB+/Ba3) | ||||||||||||||||
| $ | 3,500,000 | 6.125 | 01/15/14 | 3,447,500 | ||||||||||||
| 3,000,000 | 5.875 | 01/15/15 | 2,902,500 | |||||||||||||
| 8,500,000 | 6.375 | 10/15/15 | 8,372,500 | |||||||||||||
| 24,851,020 | ||||||||||||||||
| Energy – Coal – 0.4% | ||||||||||||||||
| Arch Western Finance LLC (BB-/B1) | ||||||||||||||||
| 2,000,000 | 6.750 | 07/01/13 | 1,945,000 | |||||||||||||
| Massey Energy Co. (B+/B2) | ||||||||||||||||
| 4,000,000 | 6.875 | 12/15/13 | 3,765,000 | |||||||||||||
| Peabody Energy Corp. (BB/Ba1) | ||||||||||||||||
| 4,000,000 | 6.875 | 03/15/13 | 4,060,000 | |||||||||||||
| 1,750,000 | 7.375 | 11/01/16 | 1,828,750 | |||||||||||||
| 11,598,750 | ||||||||||||||||
| Energy – Exploration & Production – 2.0% | ||||||||||||||||
| Chesapeake Energy Corp. (BB/Ba2) | ||||||||||||||||
| 4,500,000 | 6.375 | 06/15/15 | 4,308,750 | |||||||||||||
| 2,250,000 | 6.625 | 01/15/16 | 2,199,375 | |||||||||||||
| 7,500,000 | 6.875 | 01/15/16 | 7,406,250 | |||||||||||||
| 9,250,000 | 6.500 | 08/15/17 | 8,695,000 | |||||||||||||
| El Paso Production Holding Co. (B+/B1) | ||||||||||||||||
| 6,000,000 | 7.750 | 06/01/13 | 6,180,000 | |||||||||||||
| Encore Acquisition Co. (B/B1) | ||||||||||||||||
| 8,250,000 | 6.000 | 07/15/15 | 7,528,125 | |||||||||||||
| 2,250,000 | 7.250 | 12/01/17 | 2,165,625 | |||||||||||||
| KCS Energy, Inc. (B-/B3) | ||||||||||||||||
| 2,375,000 | 7.125 | 04/01/12 | 2,288,906 | |||||||||||||
| Newfield Exploration Co. (BB-/Ba3) | ||||||||||||||||
| 3,250,000 | 6.625 | 04/15/16 | 3,176,875 | |||||||||||||
| Pogo Producing Co. (B+/B1) | ||||||||||||||||
| 1,250,000 | 7.875 | (b) | 05/01/13 | 1,268,750 | ||||||||||||
| 4,750,000 | 6.875 | 10/01/17 | 4,512,500 | |||||||||||||
| Range Resources Corp. (B/B1) | ||||||||||||||||
| 3,500,000 | 6.375 | 03/15/15 | 3,360,000 | |||||||||||||
| Vintage Petroleum, Inc. (A-/A3) | ||||||||||||||||
| 2,000,000 | 8.250 | 05/01/12 | 2,105,000 | |||||||||||||
| Whiting Petroleum Corp. (B/B1) | ||||||||||||||||
| 2,500,000 | 7.250 | 05/01/13 | 2,475,000 | |||||||||||||
| 57,670,156 | ||||||||||||||||
| Energy – Services – 0.1% | ||||||||||||||||
| Aker Kvaerner ASA (Ba1) | ||||||||||||||||
| EUR2,750,000 | 8.375 | 06/15/11 | 3,878,356 | |||||||||||||
| Entertainment & Leisure – 1.0% | ||||||||||||||||
| AMC Entertainment, Inc. (B-/Ba3) | ||||||||||||||||
| $ | 1,875,000 | 8.625 | 08/15/12 | 1,935,938 | ||||||||||||
| Festival Fun Parks LLC (B3) | ||||||||||||||||
| 2,750,000 | 10.875 | 04/15/14 | 2,701,875 | |||||||||||||
| HRP Myrtle Beach Operations LLC (B/B2)(a)(b) | ||||||||||||||||
| 1,750,000 | 10.120 | 04/01/12 | 1,739,063 | |||||||||||||
| Six Flags, Inc. (CCC/Caa1) | ||||||||||||||||
| 4,500,000 | 9.750 | 04/15/13 | 4,179,375 | |||||||||||||
| Universal City Development Partners (B-/B2) | ||||||||||||||||
| 8,750,000 | 11.750 | 04/01/10 | 9,439,062 | |||||||||||||
| Universal City Florida Holding Co. (B-/B3) | ||||||||||||||||
| 1,000,000 | 8.375 | 05/01/10 | 1,006,250 | |||||||||||||
| Warner Music Group (B-/B2) | ||||||||||||||||
| 5,625,000 | 7.375 | 04/15/14 | 5,484,375 | |||||||||||||
| WMG Holdings Corp. (B-/B2)(e) | ||||||||||||||||
| 4,550,000 | 9.500 | 12/15/14 | 3,492,125 | |||||||||||||
| 29,978,063 | ||||||||||||||||
| Environmental – 1.0% | ||||||||||||||||
| Allied Waste North America, Inc. (BB-/B2) | ||||||||||||||||
| 2,500,000 | 8.500 | 12/01/08 | 2,631,250 | |||||||||||||
| 2,000,000 | 6.500 | 11/15/10 | 1,977,500 | |||||||||||||
| 2,125,000 | 6.375 | 04/15/11 | 2,093,125 | |||||||||||||
| 2,250,000 | 7.875 | 04/15/13 | 2,317,500 | |||||||||||||
| 3,000,000 | 6.125 | 02/15/14 | 2,823,750 | |||||||||||||
| 8,250,000 | 7.250 | 03/15/15 | 8,250,000 | |||||||||||||
| 2,250,000 | 7.125 | 05/15/16 | 2,230,313 | |||||||||||||
| Waste Services (CCC/Caa1) | ||||||||||||||||
| 3,500,000 | 9.500 | 04/15/14 | 3,587,500 | |||||||||||||
| WCA Waste Corp. (B-/B3)(b) | ||||||||||||||||
| 1,688,000 | 9.250 | 06/15/14 | 1,747,080 | |||||||||||||
| 27,658,018 | ||||||||||||||||
| Finance – 0.1% | ||||||||||||||||
| ETrade Financial Corp. (BB-/Ba2) | ||||||||||||||||
| 4,000,000 | 7.375 | 09/15/13 | 4,110,000 | |||||||||||||
| Food – 1.3% | ||||||||||||||||
| Barry Callebaut Services N.V. (BB-/B1) | ||||||||||||||||
| EUR3,000,000 | 9.250 | 03/15/10 | 4,068,205 | |||||||||||||
| Chiquita Brands International, Inc. (CCC+/Caa2) | ||||||||||||||||
| $ | 3,000,000 | 8.875 | 12/01/15 | 2,737,500 | ||||||||||||
| Dean Foods Co. (BB-/Ba2) | ||||||||||||||||
| 3,000,000 | 7.000 | 06/01/16 | 3,037,500 | |||||||||||||
| Dole Food Co. (B/B3) | ||||||||||||||||
| 3,500,000 | 8.625 | 05/01/09 | 3,447,500 | |||||||||||||
| 3,000,000 | 8.875 | 03/15/11 | 2,880,000 | |||||||||||||
| Eagle Family Foods (CCC-/Caa2) | ||||||||||||||||
| 3,500,000 | 8.750 | 01/15/08 | 2,712,500 | |||||||||||||
| Michael Foods, Inc. (B-/B3) | ||||||||||||||||
| 4,250,000 | 8.000 | 11/15/13 | 4,388,125 | |||||||||||||
| Pinnacle Foods Holding Corp. (B-/B3) | ||||||||||||||||
| 11,000,000 | 8.250 | 12/01/13 | 11,055,000 | |||||||||||||
| Supervalu, Inc. (B/B1) | ||||||||||||||||
| 4,250,000 | 7.500 | 11/15/14 | 4,324,375 | |||||||||||||
| 38,650,705 | ||||||||||||||||
| Gaming – 5.5% | ||||||||||||||||
| Boyd Gaming Corp. (B+/Ba3) | ||||||||||||||||
| 2,000,000 | 8.750 | 04/15/12 | 2,100,000 | |||||||||||||
| 2,000,000 | 6.750 | 04/15/14 | 1,965,000 | |||||||||||||
| 1,000,000 | 7.125 | 02/01/16 | 976,250 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
32
GOLDMAN SACHS HIGH YIELD FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Gaming – (continued) | ||||||||||||||||
| Caesars Entertainment, Inc. (BB+/Baa3) | ||||||||||||||||
| $ | 1,500,000 | 7.500 | % | 09/01/09 | $ | 1,555,980 | ||||||||||
| CCM Merger, Inc. (CCC+/B3)(b) | ||||||||||||||||
| 3,000,000 | 8.000 | 08/01/13 | 2,880,000 | |||||||||||||
| Chukchansi Economic Development Authority (BB-/B2)(b) | ||||||||||||||||
| 4,000,000 | 8.000 | 11/15/13 | 4,160,000 | |||||||||||||
| Circus & Eldorado (B/B2) | ||||||||||||||||
| 3,500,000 | 10.125 | 03/01/12 | 3,679,375 | |||||||||||||
| Cirsa Finance Luxembourg SA (B+/B1) | ||||||||||||||||
| EUR5,000,000 | 8.750 | 05/15/14 | 6,852,134 | |||||||||||||
| Codere Finance Luxembourg SA (B/B2) | ||||||||||||||||
| 13,000,000 | 8.250 | 06/15/15 | 17,828,312 | |||||||||||||
| French Lick Resorts & Casino LLC (B-/B3)(b) | ||||||||||||||||
| $ | 3,000,000 | 10.750 | 04/15/14 | 2,756,250 | ||||||||||||
| Galaxy Entertainment Finance Co., Ltd. (B+/B1)(b) | ||||||||||||||||
| 1,250,000 | 9.875 | 12/15/12 | 1,318,750 | |||||||||||||
| Greektown Holdings LLC (CCC+/B3)(b) | ||||||||||||||||
| 3,250,000 | 10.750 | 12/01/13 | 3,445,000 | |||||||||||||
| Harrah’s Operating Co., Inc. (BB+/Baa3) | ||||||||||||||||
| 6,750,000 | 5.625 | 06/01/15 | 5,670,000 | |||||||||||||
| Herbst Gaming, Inc. (B-/B3) | ||||||||||||||||
| 2,000,000 | 8.125 | 06/01/12 | 2,050,000 | |||||||||||||
| Isle of Capri Casinos, Inc. (B/B1) | ||||||||||||||||
| 1,500,000 | 9.000 | 03/15/12 | 1,565,625 | |||||||||||||
| 3,250,000 | 7.000 | 03/01/14 | 3,123,900 | |||||||||||||
| Mandalay Resort Group (B+/B1) | ||||||||||||||||
| 3,250,000 | 10.250 | 08/01/07 | 3,343,438 | |||||||||||||
| 2,000,000 | 9.375 | 02/15/10 | 2,130,000 | |||||||||||||
| MGM Mirage, Inc. (B+/B1) | ||||||||||||||||
| 5,125,000 | 8.375 | 02/01/11 | 5,336,406 | |||||||||||||
| MGM Mirage, Inc. (BB/Ba2) | ||||||||||||||||
| 2,000,000 | 8.500 | 09/15/10 | 2,115,000 | |||||||||||||
| 2,000,000 | 5.875 | 02/27/14 | 1,835,000 | |||||||||||||
| 18,375,000 | 6.625 | 07/15/15 | 17,456,250 | |||||||||||||
| Mirage Resorts, Inc. (BB/Ba2) | ||||||||||||||||
| 3,125,000 | 7.250 | 08/01/17 | 3,070,313 | |||||||||||||
| Mohegan Tribal Gaming Authority (B+/Ba2) | ||||||||||||||||
| 3,000,000 | 8.000 | 04/01/12 | 3,127,500 | |||||||||||||
| MTR Gaming Group, Inc. (B+/B1) | ||||||||||||||||
| 3,000,000 | 9.750 | 04/01/10 | 3,157,500 | |||||||||||||
| Park Place Entertainment Corp. (BB-/Ba1) | ||||||||||||||||
| 5,000,000 | 7.875 | 03/15/10 | 5,137,500 | |||||||||||||
| 2,500,000 | 8.125 | 05/15/11 | 2,568,750 | |||||||||||||
| Penn National Gaming, Inc. (B+/B1) | ||||||||||||||||
| 2,000,000 | 6.750 | 03/01/15 | 1,965,000 | |||||||||||||
| Pinnacle Entertainment, Inc. (B-/Caa1) | ||||||||||||||||
| 4,000,000 | 8.250 | 03/15/12 | 4,050,000 | |||||||||||||
| 1,500,000 | 8.750 | 10/01/13 | 1,588,125 | |||||||||||||
| Pokagon Gaming Authority (B/B3)(b) | ||||||||||||||||
| 625,000 | 10.375 | 06/15/14 | 672,656 | |||||||||||||
| Poster Financial Group, Inc. (B/B3)(c) | ||||||||||||||||
| 2,000,000 | 8.750 | 12/01/11 | 2,085,000 | |||||||||||||
| River Rock Entertainment (B+/B2) | ||||||||||||||||
| 2,000,000 | 9.750 | 11/01/11 | 2,142,500 | |||||||||||||
| San Pasqual Casino (B+/B2)(b) | ||||||||||||||||
| 1,500,000 | 8.000 | 09/15/13 | 1,526,250 | |||||||||||||
| Station Casinos, Inc. (B+/Ba3) | ||||||||||||||||
| 5,000,000 | 6.500 | 02/01/14 | 4,581,250 | |||||||||||||
| 13,000,000 | 6.875 | 03/01/16 | 11,960,000 | |||||||||||||
| Trump Entertainment Resorts, Inc. (B-/Caa1) | ||||||||||||||||
| 3,375,000 | 8.500 | 06/01/15 | 3,307,500 | |||||||||||||
| Turning Stone Casino Resort Enterprise (B+/Ba3)(b) | ||||||||||||||||
| 2,750,000 | 9.125 | 09/15/14 | 2,801,563 | |||||||||||||
| Wynn Las Vegas LLC (BB-/B1) | ||||||||||||||||
| 11,250,000 | 6.625 | 12/01/14 | 10,968,750 | |||||||||||||
| 158,852,827 | ||||||||||||||||
| Health Care – Medical Products – 1.0% | ||||||||||||||||
| CDRV Investors, Inc. (B-/Caa2)(e) | ||||||||||||||||
| 17,250,000 | 9.625 | 01/01/15 | 13,239,375 | |||||||||||||
| Fisher Scientific International, Inc. (BBB/Baa3) | ||||||||||||||||
| 2,250,000 | 6.125 | 07/01/15 | 2,230,313 | |||||||||||||
| VWR International, Inc. (B-/Caa1) | ||||||||||||||||
| 12,125,000 | 8.000 | 04/15/14 | 12,458,437 | |||||||||||||
| 27,928,125 | ||||||||||||||||
| Health Care – Pharmaceutical – 1.5% | ||||||||||||||||
| Angiotech Pharmaceuticals, Inc. (B/B2)(b) | ||||||||||||||||
| 3,000,000 | 7.750 | 04/01/14 | 2,850,000 | |||||||||||||
| Athena Neurosciences Finance LLC (B/B3) | ||||||||||||||||
| 1,500,000 | 7.250 | 02/21/08 | 1,500,000 | |||||||||||||
| Biovail Corp. (BB-/B1) | ||||||||||||||||
| 3,000,000 | 7.875 | 04/01/10 | 3,022,500 | |||||||||||||
| Elan Finance PLC/Elan Finance Corp. (B/B3) | ||||||||||||||||
| 5,250,000 | 7.750 | 11/15/11 | 5,177,813 | |||||||||||||
| Mylan Laboratories, Inc. (BBB-/Ba1) | ||||||||||||||||
| 1,000,000 | 6.375 | 08/15/15 | 970,187 | |||||||||||||
| NYCO Holdings 2 APS (CCC+/B3) | ||||||||||||||||
| EUR9,000,000 | 11.500 | 03/31/13 | 13,238,419 | |||||||||||||
| Nycomed S.A.(f) | ||||||||||||||||
| 8,663,237 | 11.750 | 09/15/13 | 11,692,658 | |||||||||||||
| Warner Chilcott Corp. (B-/Caa1) | ||||||||||||||||
| $ | 4,981,000 | 8.750 | 02/01/15 | 5,142,883 | ||||||||||||
| 43,594,460 | ||||||||||||||||
| Health Care – Services – 2.7% | ||||||||||||||||
| Accellent, Inc. (B-/Caa1) | ||||||||||||||||
| 7,250,000 | 10.500 | 12/01/13 | 7,558,125 | |||||||||||||
| Alliance Imaging, Inc. (B-/B3) | ||||||||||||||||
| 3,250,000 | 7.250 | 12/15/12 | 3,038,750 | |||||||||||||
| AmeriPath, Inc. (B-/B3) | ||||||||||||||||
| 6,000,000 | 10.500 | 04/01/13 | 6,480,000 | |||||||||||||
| CRC Health Corp. (CCC+/Caa1) | ||||||||||||||||
| 2,125,000 | 10.750 | 02/01/16 | 2,236,562 | |||||||||||||
| DaVita, Inc. (B/B3) | ||||||||||||||||
| 5,250,000 | 7.250 | 03/15/15 | 5,223,750 | |||||||||||||
| HCA, Inc. (B-/Ba2) | ||||||||||||||||
| 11,000,000 | 6.250 | 02/15/13 | 9,185,000 | |||||||||||||
| 4,000,000 | 6.750 | 07/15/13 | 3,390,000 | |||||||||||||
| 5,250,000 | 6.375 | 01/15/15 | 4,200,000 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
33
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Health Care – Services – (continued) | ||||||||||||||||
| Omnicare, Inc. (BB+/Ba2) | ||||||||||||||||
| $ | 2,000,000 | 6.875 | % | 12/15/15 | $ | 1,955,000 | ||||||||||
| Psychiatric Solutions, Inc. (B-/B3) | ||||||||||||||||
| 1,666,000 | 10.625 | 06/15/13 | 1,811,775 | |||||||||||||
| 1,500,000 | 7.750 | 07/15/15 | 1,485,000 | |||||||||||||
| Select Medical Corp. (B-/B2) | ||||||||||||||||
| 6,125,000 | 7.625 | 02/01/15 | 5,114,375 | |||||||||||||
| Senior Housing Properties Trust (BB+/Ba2) | ||||||||||||||||
| 1,950,000 | 7.875 | 04/15/15 | 2,023,125 | |||||||||||||
| Tenet Healthcare Corp. (CCC+/Caa1) | ||||||||||||||||
| 1,000,000 | 6.500 | 06/01/12 | 867,500 | |||||||||||||
| 9,250,000 | 7.375 | 02/01/13 | 8,278,750 | |||||||||||||
| 2,500,000 | 9.875 | 07/01/14 | 2,443,750 | |||||||||||||
| 1,000,000 | 9.250 | 02/01/15 | 955,000 | |||||||||||||
| U.S. Oncology, Inc. (B-/B2) | ||||||||||||||||
| 4,000,000 | 9.000 | 08/15/12 | 4,160,000 | |||||||||||||
| U.S. Oncology, Inc. (B-/B3) | ||||||||||||||||
| 875,000 | 10.750 | 08/15/14 | 964,688 | |||||||||||||
| Vanguard Health Holding Co. I (CCC+/Caa1)(e) | ||||||||||||||||
| 3,500,000 | 11.250 | 10/01/15 | 2,563,750 | |||||||||||||
| Vanguard Health Holding Co. II (CCC+/Caa1) | ||||||||||||||||
| 3,000,000 | 9.000 | 10/01/14 | 2,895,000 | |||||||||||||
| Ventas Realty LP (BB+/Ba2) | ||||||||||||||||
| 2,000,000 | 9.000 | 05/01/12 | 2,215,000 | |||||||||||||
| 79,044,900 | ||||||||||||||||
| Home Construction – 0.4% | ||||||||||||||||
| K. Hovnanian Enterprises, Inc. (BB/Ba1) | ||||||||||||||||
| 1,500,000 | 6.250 | 01/15/15 | 1,380,000 | |||||||||||||
| 3,000,000 | 7.500 | 05/15/16 | 2,910,000 | |||||||||||||
| 2,000,000 | 8.625 | 01/15/17 | 2,072,500 | |||||||||||||
| Kimball Hill, Inc. (B/B3) | ||||||||||||||||
| 1,750,000 | 10.500 | 12/15/12 | 1,577,188 | |||||||||||||
| Meritage Homes Corp. (BB-/Ba2) | ||||||||||||||||
| 4,000,000 | 6.250 | 03/15/15 | 3,615,000 | |||||||||||||
| 11,554,688 | ||||||||||||||||
| Lodging – 0.8% | ||||||||||||||||
| Gaylord Entertainment Co. (B-/B3) | ||||||||||||||||
| 3,125,000 | 8.000 | 11/15/13 | 3,171,875 | |||||||||||||
| Host Hotels & Resorts LP (BB/Ba1)(b) | ||||||||||||||||
| 2,000,000 | 6.875 | 11/01/14 | 2,007,500 | |||||||||||||
| Host Marriott LP (BB/Ba1) | ||||||||||||||||
| 1,875,000 | 9.500 | 01/15/07 | 1,884,375 | |||||||||||||
| 5,250,000 | 7.125 | 11/01/13 | 5,302,500 | |||||||||||||
| 3,125,000 | 6.375 | 03/15/15 | 3,023,438 | |||||||||||||
| MGM Mirage (BB/Ba2) | ||||||||||||||||
| 4,000,000 | 6.750 | 04/01/13 | 3,880,000 | |||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc. (BBB-/Baa3) | ||||||||||||||||
| 1,500,000 | 7.875 | 05/01/12 | 1,575,000 | |||||||||||||
| 2,000,000 | 7.375 | 11/15/15 | 2,020,000 | |||||||||||||
| 22,864,688 | ||||||||||||||||
| Machinery – 0.4% | ||||||||||||||||
| Case New Holland, Inc. (BB/Ba3) | ||||||||||||||||
| 3,000,000 | 7.125 | 03/01/14 | 3,015,000 | |||||||||||||
| Columbus Mckinnon Corp. (BB-/Ba2) | ||||||||||||||||
| 1,787,000 | 10.000 | 08/01/10 | 1,934,428 | |||||||||||||
| Douglas Dynamics LLC (B-/B3)(b) | ||||||||||||||||
| 500,000 | 7.750 | 01/15/12 | 472,500 | |||||||||||||
| Dresser-Rand Group, Inc. (B/B1) | ||||||||||||||||
| 3,995,000 | 7.375 | 11/01/14 | 3,955,050 | |||||||||||||
| Terex Corp. (B+/B1) | ||||||||||||||||
| 2,000,000 | 9.250 | 07/15/11 | 2,102,500 | |||||||||||||
| 11,479,478 | ||||||||||||||||
| Media – 0.7% | ||||||||||||||||
| DIRECTV Holdings LLC (BB-/Ba3) | ||||||||||||||||
| 3,500,000 | 8.375 | 03/15/13 | 3,631,250 | |||||||||||||
| 500,000 | 6.375 | 06/15/15 | 480,000 | |||||||||||||
| Echostar DBS Corp. (BB-/Ba3) | ||||||||||||||||
| 5,500,000 | 6.375 | 10/01/11 | 5,424,375 | |||||||||||||
| 4,250,000 | 7.000 | (b) | 10/01/13 | 4,207,500 | ||||||||||||
| 4,500,000 | 7.125 | (b) | 02/01/16 | 4,381,875 | ||||||||||||
| Lamar Media Corp. (B/Ba3) | ||||||||||||||||
| 2,500,000 | 7.250 | 01/01/13 | 2,518,750 | |||||||||||||
| 500,000 | 7.250 | (b) | 01/01/13 | 433,750 | ||||||||||||
| 21,077,500 | ||||||||||||||||
| Media – Broadcasting & Radio – 0.5% | ||||||||||||||||
| Clear Channel Communications, Inc. (BBB-/Baa3) | ||||||||||||||||
| 3,000,000 | 8.000 | 11/01/08 | 3,127,741 | |||||||||||||
| CMP Susquehanna Corp. (CCC/B3)(b) | ||||||||||||||||
| 5,000,000 | 9.875 | 05/15/14 | 4,862,500 | |||||||||||||
| LIN Television Corp. (B-/Ba3) | ||||||||||||||||
| 4,500,000 | 6.500 | 05/15/13 | 4,286,250 | |||||||||||||
| Radio One, Inc. (B/B1) | ||||||||||||||||
| 2,000,000 | 6.375 | 02/15/13 | 1,865,000 | |||||||||||||
| 14,141,491 | ||||||||||||||||
| Media – Cable – 4.1% | ||||||||||||||||
| Adelphia Communications Corp. (WR)(d) | ||||||||||||||||
| 2,000,000 | 10.250 | 06/15/11 | 1,610,000 | |||||||||||||
| Atlantic Broadband Finance LLC (CCC+/Caa1) | ||||||||||||||||
| 3,250,000 | 9.375 | 01/15/14 | 3,233,750 | |||||||||||||
| Cablecom Luxembourg SCA (CCC+/B3)(b) | ||||||||||||||||
| EUR2,500,000 | 8.000 | 11/01/16 | 3,176,790 | |||||||||||||
| Cablevision Systems Corp. (B+/B3) | ||||||||||||||||
| $ | 7,875,000 | 8.000 | 04/15/12 | 7,638,750 | ||||||||||||
| CCH I Holdings LLC (CCC-/Caa3) | ||||||||||||||||
| 3,250,000 | 9.920 | 04/01/14 | 2,583,750 | |||||||||||||
| 5,500,000 | 11.750 | 05/15/14 | 4,647,500 | |||||||||||||
| CCH I LLC (CCC-/Caa2) | ||||||||||||||||
| 9,553,000 | 11.000 | 10/01/15 | 9,194,762 | |||||||||||||
| Charter Communications Holdings II (CCC-/Caa2) | ||||||||||||||||
| 6,125,000 | 10.250 | 09/15/10 | 6,324,062 | |||||||||||||
| CSC Holdings, Inc. (B+) | ||||||||||||||||
| 2,250,000 | 6.750 | 04/15/12 | 2,219,062 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
34
GOLDMAN SACHS HIGH YIELD FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Media – Cable – (continued) | ||||||||||||||||
| CSC Holdings, Inc. (B+/B2) | ||||||||||||||||
| $ | 8,250,000 | 8.125 | % | 07/15/09 | $ | 8,507,812 | ||||||||||
| 1,250,000 | 8.125 | 08/15/09 | 1,289,063 | |||||||||||||
| 2,000,000 | 7.625 | 04/01/11 | 2,020,000 | |||||||||||||
| 1,000,000 | 6.750 | (b) | 04/15/12 | 980,000 | ||||||||||||
| FrontierVision Holdings LP (WR)(d) | ||||||||||||||||
| 2,000,000 | 11.000 | 10/15/06 | 2,940,000 | |||||||||||||
| 2,000,000 | 11.875 | 09/15/07 | 2,540,000 | |||||||||||||
| Kabel Deutschland GMBH (B-/B2)(b) | ||||||||||||||||
| 3,125,000 | 10.625 | 07/01/14 | 3,375,000 | |||||||||||||
| Mediacom LLC (B/B3) | ||||||||||||||||
| 3,000,000 | 9.500 | 01/15/13 | 3,078,750 | |||||||||||||
| NTL Cable PLC (B-/B2) | ||||||||||||||||
| GBP1,750,000 | 9.750 | 04/15/14 | 3,484,257 | |||||||||||||
| Ono Finance II (CCC+/B3) | ||||||||||||||||
| EUR6,375,000 | 8.000 | 05/16/14 | 7,994,024 | |||||||||||||
| Ono Finance PLC (CCC+/B3) | ||||||||||||||||
| 3,500,000 | 10.500 | 05/15/14 | 4,857,916 | |||||||||||||
| Tele Columbus AG & Co. (CCC+/B3) | ||||||||||||||||
| 6,250,000 | 9.375 | 04/15/12 | 8,854,330 | |||||||||||||
| Telenet Communications N.V. (B-/B2) | ||||||||||||||||
| 2,054,250 | 9.000 | 12/15/13 | 2,897,132 | |||||||||||||
| Telenet Group Holding N.V. (CCC+/Caa1)(b)(e) | ||||||||||||||||
| $ | 11,121,000 | 11.500 | 06/15/14 | 9,939,394 | ||||||||||||
| UPC Holding BV (CCC+/B3) | ||||||||||||||||
| EUR4,000,000 | 7.750 | 01/15/14 | 5,003,095 | |||||||||||||
| 8,000,000 | 8.625 | 01/15/14 | 10,414,606 | |||||||||||||
| 118,803,805 | ||||||||||||||||
| Metals – 1.2% | ||||||||||||||||
| AK Steel Corp. (B+/B2) | ||||||||||||||||
| $ | 1,000,000 | 7.875 | 02/15/09 | 1,000,000 | ||||||||||||
| 7,250,000 | 7.750 | 06/15/12 | 7,250,000 | |||||||||||||
| GrafTech International Ltd. (CCC+/B2)(c) | ||||||||||||||||
| 1,500,000 | 1.625 | 01/15/11 | 1,110,693 | |||||||||||||
| Kloeckner Investment S.C.A. (B+/B2) | ||||||||||||||||
| EUR2,778,846 | 10.500 | 05/15/15 | 4,260,402 | |||||||||||||
| Novelis, Inc. (B/B3)(b) | ||||||||||||||||
| $ | 11,750,000 | 7.250 | 02/15/15 | 11,162,500 | ||||||||||||
| UCAR Finance, Inc. (B-/B2) | ||||||||||||||||
| 8,000,000 | 10.250 | 02/15/12 | 8,420,000 | |||||||||||||
| 33,203,595 | ||||||||||||||||
| Mining – 0.2% | ||||||||||||||||
| OM Group, Inc. (B-/B3) | ||||||||||||||||
| 6,000,000 | 9.250 | 12/15/11 | 6,255,000 | |||||||||||||
| Packaging – 3.7% | ||||||||||||||||
| Berry Plastics Holding Corp. (CCC+/B2)(b) | ||||||||||||||||
| 5,000,000 | 8.875 | 09/15/14 | 5,050,000 | |||||||||||||
| Consolidated Container Co. LLC (CCC/B3)(e) | ||||||||||||||||
| 2,750,000 | 10.750 | 06/15/09 | 2,701,875 | |||||||||||||
| Consolidated Container Co. LLC (CCC/Caa2) | ||||||||||||||||
| 3,000,000 | 10.125 | 07/15/09 | 2,880,000 | |||||||||||||
| Covalence Specialty Materials Corp. (CCC+/B3)(b) | ||||||||||||||||
| 6,000,000 | 10.250 | 03/01/16 | 5,805,000 | |||||||||||||
| Crown Americas LLC (B/B1) | ||||||||||||||||
| 8,000,000 | 7.750 | 11/15/15 | 8,240,000 | |||||||||||||
| Gerresheimer Holdings GMBH (B-/Caa1) | ||||||||||||||||
| EUR6,000,000 | 7.875 | 03/01/15 | 7,734,376 | |||||||||||||
| Graham Packaging Co., Inc. (CCC+/Caa1) | ||||||||||||||||
| $ | 19,000,000 | 9.875 | 10/15/14 | 19,000,000 | ||||||||||||
| Graphic Packaging International, Inc. (B-/B3) | ||||||||||||||||
| 11,500,000 | 9.500 | 08/15/13 | 11,845,000 | |||||||||||||
| Impress Holdings BV(b)(f) | ||||||||||||||||
| EUR750,000 | 17.000 | 12/31/49 | 985,942 | |||||||||||||
| Impress Holdings BV (B/B1)(a)(b) | ||||||||||||||||
| 1,000,000 | 6.477 | 09/15/13 | 1,284,277 | |||||||||||||
| Impress Holdings BV (CCC+/B3)(b) | ||||||||||||||||
| 12,000,000 | 9.250 | 09/15/14 | 15,047,574 | |||||||||||||
| Owens Brockway Glass Container (B/B3) | ||||||||||||||||
| $ | 2,500,000 | 8.250 | 05/15/13 | 2,581,250 | ||||||||||||
| 1,000,000 | 6.750 | 12/01/14 | 960,000 | |||||||||||||
| Owens Brockway Glass Container (BB-/Ba2) | ||||||||||||||||
| 7,032,000 | 8.875 | 02/15/09 | 7,207,800 | |||||||||||||
| Pliant Corp. (CCC/Caa1) | ||||||||||||||||
| 2,000,000 | 11.125 | 09/01/09 | 1,950,000 | |||||||||||||
| Pliant Corp. (CCC+/Caa1) | ||||||||||||||||
| 369,000 | 13.000 | 07/15/10 | 169,740 | |||||||||||||
| Portola Packaging, Inc. (CCC/Caa2) | ||||||||||||||||
| 1,500,000 | 8.250 | 02/01/12 | 1,320,000 | |||||||||||||
| Pregis Corp. (CCC+/Caa1)(b) | ||||||||||||||||
| 6,250,000 | 12.375 | 10/15/13 | 6,625,000 | |||||||||||||
| Tekni-Plex, Inc. (C/Caa1)(b) | ||||||||||||||||
| 4,000,000 | 8.750 | 11/15/13 | 3,970,000 | |||||||||||||
| Tekni-Plex, Inc. (CCC-/B1)(b) | ||||||||||||||||
| 1,000,000 | 10.875 | 08/15/12 | 1,115,000 | |||||||||||||
| 106,472,834 | ||||||||||||||||
| Paper – 2.6% | ||||||||||||||||
| Abitibi-Consolidated, Inc. (B+/B2) | ||||||||||||||||
| 7,565,000 | 8.550 | 08/01/10 | 7,290,769 | |||||||||||||
| Ainsworth Lumber Co. Ltd. (B/B2) | ||||||||||||||||
| 4,000,000 | 7.250 | 10/01/12 | 2,980,000 | |||||||||||||
| 2,500,000 | 6.750 | 03/15/14 | 1,768,750 | |||||||||||||
| Boise Cascade LLC (B+/B2) | ||||||||||||||||
| 4,000,000 | 7.125 | 10/15/14 | 3,770,000 | |||||||||||||
| Catalyst Paper Corp. (B+/B2) | ||||||||||||||||
| 2,750,000 | 8.625 | 06/15/11 | 2,750,000 | |||||||||||||
| Georgia-Pacific Corp. (B/B2) | ||||||||||||||||
| 8,500,000 | 8.125 | 05/15/11 | 8,765,625 | |||||||||||||
| 1,000,000 | 9.500 | 12/01/11 | 1,090,000 | |||||||||||||
| 1,500,000 | 7.700 | 06/15/15 | 1,522,500 | |||||||||||||
| 2,750,000 | 7.750 | 11/15/29 | 2,684,687 | |||||||||||||
| Jefferson Smurfit Corp. (CCC+/B2) | ||||||||||||||||
| 5,500,000 | 8.250 | 10/01/12 | 5,335,000 | |||||||||||||
| 1,750,000 | 7.500 | 06/01/13 | 1,631,875 | |||||||||||||
| JSG Funding PLC (B-/B3) | ||||||||||||||||
| 5,375,000 | 9.625 | 10/01/12 | 5,697,500 | |||||||||||||
| EUR4,125,000 | 10.125 | 10/01/12 | 5,758,306 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
35
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Paper – (continued) | ||||||||||||||||
| JSG Funding PLC (B-/Caa1) | ||||||||||||||||
| EUR2,500,000 | 7.750 | % | 04/01/15 | $ | 3,118,958 | |||||||||||
| $ | 2,000,000 | 7.750 | 04/01/15 | 1,880,000 | ||||||||||||
| JSG Holding PLC (B-/Caa2)(f) | ||||||||||||||||
| EUR4,426,111 | 11.500 | 10/01/15 | 5,832,638 | |||||||||||||
| NewPage Corp. (CCC+/B3) | ||||||||||||||||
| $ | 5,500,000 | 10.000 | 05/01/12 | 5,761,250 | ||||||||||||
| Port Townsend Paper Corp. (CCC/Caa1)(b) | ||||||||||||||||
| 2,750,000 | 11.000 | 04/15/11 | 2,413,125 | |||||||||||||
| Verso Paper Holdings LLC (B+/B2)(b) | ||||||||||||||||
| 4,000,000 | 9.125 | 08/01/14 | 4,080,000 | |||||||||||||
| 74,130,983 | ||||||||||||||||
| Printing – 0.2% | ||||||||||||||||
| SGS International, Inc. (B-/B3) | ||||||||||||||||
| 4,750,000 | 12.000 | 12/15/13 | 4,892,500 | |||||||||||||
| Publishing – 4.7% | ||||||||||||||||
| Advanstar Communications, Inc. (B/B1) | ||||||||||||||||
| 5,000,000 | 10.750 | 08/15/10 | 5,406,250 | |||||||||||||
| Advanstar Communications, Inc. (CCC/Caa1) | ||||||||||||||||
| 2,000,000 | 12.000 | 02/15/11 | 2,095,000 | |||||||||||||
| Advanstar, Inc.(e) | ||||||||||||||||
| 2,500,000 | 15.000 | 10/15/11 | 2,596,875 | |||||||||||||
| American Media Operations, Inc. (CCC-/Caa2) | ||||||||||||||||
| 2,000,000 | 8.875 | 01/15/11 | 1,767,500 | |||||||||||||
| Dex Media East LLC (B/B2) | ||||||||||||||||
| 3,087,000 | 12.125 | 11/15/12 | 3,426,570 | |||||||||||||
| Dex Media West LLC (B/B2) | ||||||||||||||||
| 6,744,000 | 9.875 | 08/15/13 | 7,334,100 | |||||||||||||
| Dex Media, Inc. (B/B3) | ||||||||||||||||
| 1,250,000 | 8.000 | 11/15/13 | 1,260,937 | |||||||||||||
| 12,750,000 | 9.000 | (e) | 11/15/13 | 11,124,375 | ||||||||||||
| Houghton Mifflin Co. (CCC+/B1)(e) | ||||||||||||||||
| 1,750,000 | 8.250 | 02/01/11 | 1,806,875 | |||||||||||||
| Houghton Mifflin Co. (CCC+/B3) | ||||||||||||||||
| 4,000,000 | 9.875 | 02/01/13 | 4,300,000 | |||||||||||||
| Houghton Mifflin Co. (CCC+/Caa1)(e) | ||||||||||||||||
| 3,375,000 | 11.500 | 10/15/13 | 3,037,500 | |||||||||||||
| Lighthouse International Co. SA (B/B2) | ||||||||||||||||
| EUR10,750,000 | 8.000 | 04/30/14 | 14,903,592 | |||||||||||||
| Nielsen Finance LLC (CCC+/B3)(b) | ||||||||||||||||
| $ | 16,500,000 | 10.000 | 08/01/14 | 17,201,250 | ||||||||||||
| Nielsen Finance LLC (CCC+/Caa1)(b)(e) | ||||||||||||||||
| 20,000,000 | 12.500 | 08/01/16 | 12,300,000 | |||||||||||||
| Primedia, Inc. (B/B2) | ||||||||||||||||
| 4,000,000 | 8.875 | 05/15/11 | 3,970,000 | |||||||||||||
| 3,000,000 | 8.000 | 05/15/13 | 2,786,250 | |||||||||||||
| RH Donnelley Corp. (B/B3) | ||||||||||||||||
| 3,000,000 | 6.875 | 01/15/13 | 2,827,500 | |||||||||||||
| 10,625,000 | 8.875 | 01/15/16 | 10,943,750 | |||||||||||||
| WDAC Subsidiary Corp. (CCC+/Caa1) | ||||||||||||||||
| EUR19,125,000 | 8.500 | 12/01/14 | 24,897,417 | |||||||||||||
| Ziff Davis Media, Inc. (CC)(f) | ||||||||||||||||
| $ | 459,485 | 12.000 | 08/12/09 | 94,058 | ||||||||||||
| 134,079,799 | ||||||||||||||||
| Real Estate – 0.1% | ||||||||||||||||
| CB Richard Ellis Services, Inc. (BB+/Ba1) | ||||||||||||||||
| 650,000 | 9.750 | 05/15/10 | 692,250 | |||||||||||||
| Crescent Real Estate Equities Ltd. (B/B1) | ||||||||||||||||
| 2,000,000 | 9.250 | 04/15/09 | 2,060,000 | |||||||||||||
| 2,752,250 | ||||||||||||||||
| Restaurants – 0.5% | ||||||||||||||||
| Domino’s, Inc. (B/B2) | ||||||||||||||||
| 4,011,000 | 8.250 | 07/01/11 | 4,196,509 | |||||||||||||
| Landry’s Restaurants, Inc. (B/B1) | ||||||||||||||||
| 9,875,000 | 7.500 | 12/15/14 | 9,480,000 | |||||||||||||
| 13,676,509 | ||||||||||||||||
| Retailers – 1.5% | ||||||||||||||||
| Bon-Ton Department Stores, Inc. (B-/B3) | ||||||||||||||||
| 7,750,000 | 10.250 | 03/15/14 | 7,846,875 | |||||||||||||
| General Nutrition Center (B-/Ba3) | ||||||||||||||||
| 2,000,000 | 8.625 | 01/15/11 | 2,060,000 | |||||||||||||
| General Nutrition Center (CCC+/B3) | ||||||||||||||||
| 6,125,000 | 8.500 | 12/01/10 | 6,125,000 | |||||||||||||
| Michaels Stores, Inc. (CCC/B2)(b) | ||||||||||||||||
| 2,500,000 | 10.000 | 11/01/14 | 2,506,250 | |||||||||||||
| Neiman-Marcus Group, Inc. (B-/B2) | ||||||||||||||||
| 5,000,000 | 9.000 | 10/15/15 | 5,350,000 | |||||||||||||
| Neiman-Marcus Group, Inc. (B-/B3) | ||||||||||||||||
| 9,375,000 | 10.375 | 10/15/15 | 10,230,469 | |||||||||||||
| Victoria Acquisition II BV(a)(f) | ||||||||||||||||
| EUR2,769,932 | 11.587 | 05/15/15 | 3,654,578 | |||||||||||||
| Victoria Acquisition III B.V. (B-/B2) | ||||||||||||||||
| 3,625,000 | 7.875 | 10/01/14 | 5,152,861 | |||||||||||||
| 42,926,033 | ||||||||||||||||
| Retailers – Food & Drug – 1.0% | ||||||||||||||||
| Ahold Lease USA, Inc. (BB+/Ba1)(e) | ||||||||||||||||
| $ | 895,786 | 7.820 | 01/02/20 | 922,660 | ||||||||||||
| 2,000,000 | 8.620 | 01/02/25 | 2,060,000 | |||||||||||||
| Brake Bros. Finance PLC (CCC+/B3) | ||||||||||||||||
| GBP6,000,000 | 12.000 | 12/15/11 | 12,675,661 | |||||||||||||
| Ingles Markets, Inc. (B/B3) | ||||||||||||||||
| $ | 4,000,000 | 8.875 | 12/01/11 | 4,170,000 | ||||||||||||
| Jean Coutu Group, Inc. (B-/B3) | ||||||||||||||||
| 875,000 | 7.625 | 08/01/12 | 918,750 | |||||||||||||
| Jean Coutu Group, Inc. (B-/Caa2) | ||||||||||||||||
| 5,000,000 | 8.500 | 08/01/14 | 4,925,000 | |||||||||||||
| Rite Aid Corp. (B+/B2) | ||||||||||||||||
| 2,000,000 | 9.500 | 02/15/11 | 2,077,500 | |||||||||||||
| 27,749,571 | ||||||||||||||||
| Services Cyclical – Business Services – 0.9% | ||||||||||||||||
| Carlson Wagonlit B.V. (B-/B2)(a)(b) | ||||||||||||||||
| EUR3,000,000 | 9.306 | 05/01/15 | 3,882,504 | |||||||||||||
| Cornell Co., Inc. (CCC+/B2) | ||||||||||||||||
| $ | 1,500,000 | 10.750 | 07/01/12 | 1,627,500 | ||||||||||||
| Corrections Corp. of America (BB-/Ba3) | ||||||||||||||||
| 2,000,000 | 7.500 | 05/01/11 | 2,045,000 | |||||||||||||
| 625,000 | 6.750 | 01/31/14 | 623,437 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
36
GOLDMAN SACHS HIGH YIELD FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Services Cyclical – Business Services – (continued) | ||||||||||||||||
| Iron Mountain, Inc. (B/B3) | ||||||||||||||||
| $ | 4,000,000 | 8.625 | % | 04/01/13 | $ | 4,110,000 | ||||||||||
| Savcio Holdings Property Ltd. (B+/B2)(b) | ||||||||||||||||
| EUR2,000,000 | 8.000 | 02/15/13 | 2,638,750 | |||||||||||||
| West Corp. (B-/Caa1)(b) | ||||||||||||||||
| $ | 5,000,000 | 9.500 | 10/15/14 | 4,975,000 | ||||||||||||
| 4,750,000 | 11.000 | 10/15/16 | 4,773,750 | |||||||||||||
| 24,675,941 | ||||||||||||||||
| Services Cyclical – Consumer Services – 0.1% | ||||||||||||||||
| Brickman Group Ltd. (B/Ba3) | ||||||||||||||||
| 2,000,000 | 11.750 | 12/15/09 | 2,132,500 | |||||||||||||
| Service Corp. International (BB-/B1) | ||||||||||||||||
| 1,000,000 | 7.700 | 04/15/09 | 1,032,500 | |||||||||||||
| 3,165,000 | ||||||||||||||||
| Services Cyclical – Distribution/Logistics – 1.9% | ||||||||||||||||
| ACCO Brands Corp. (B/B2) | ||||||||||||||||
| 7,000,000 | 7.625 | 08/15/15 | 6,833,750 | |||||||||||||
| Ray Acquisition SCA (CCC+/Caa1) | ||||||||||||||||
| EUR32,250,000 | 9.375 | 03/15/15 | 46,614,455 | |||||||||||||
| 53,448,205 | ||||||||||||||||
| Services Cyclical – Rental Equipment – 1.5% | ||||||||||||||||
| Ahern Rentals, Inc. (B-/B3) | ||||||||||||||||
| $ | 3,000,000 | 9.250 | 08/15/13 | 3,090,000 | ||||||||||||
| Ashtead Capital, Inc. (B/B3)(b) | ||||||||||||||||
| 2,000,000 | 9.000 | 08/15/16 | 2,105,000 | |||||||||||||
| Ashtead Holdings PLC (B/B3)(b) | ||||||||||||||||
| 1,000,000 | 8.625 | 08/01/15 | 1,013,750 | |||||||||||||
| Hertz Corp. (B/B1)(b) | ||||||||||||||||
| 10,750,000 | 8.875 | 01/01/14 | 11,260,625 | |||||||||||||
| Hertz Corp. (B/B2)(b) | ||||||||||||||||
| 9,000,000 | 10.500 | 01/01/16 | 9,866,250 | |||||||||||||
| United Rentals North America, Inc. (B/B3) | ||||||||||||||||
| 6,250,000 | 7.750 | 11/15/13 | 6,226,562 | |||||||||||||
| 5,000,000 | 7.000 | 02/15/14 | 4,787,500 | |||||||||||||
| Williams Scotsman, Inc. (B+/B3) | ||||||||||||||||
| 5,500,000 | 8.500 | 10/01/15 | 5,623,750 | |||||||||||||
| 43,973,437 | ||||||||||||||||
| Technology – Hardware – 2.1% | ||||||||||||||||
| Avago Technologies Finance (B/B2)(b) | ||||||||||||||||
| 6,125,000 | 10.125 | 12/01/13 | 6,523,125 | |||||||||||||
| Avago Technologies Finance (CCC+/Caa1)(b) | ||||||||||||||||
| 2,000,000 | 11.875 | 12/01/15 | 2,200,000 | |||||||||||||
| Lucent Technologies, Inc. (B/B1) | ||||||||||||||||
| 4,000,000 | 5.500 | 11/15/08 | 3,950,000 | |||||||||||||
| 8,750,000 | 6.450 | 03/15/29 | 7,831,250 | |||||||||||||
| MagnaChip Semiconductor (B+/B1) | ||||||||||||||||
| 1,500,000 | 6.875 | 12/15/11 | 1,256,250 | |||||||||||||
| MagnaChip Semiconductor (B-/B3) | ||||||||||||||||
| 3,000,000 | 8.000 | 12/15/14 | 1,852,500 | |||||||||||||
| Nortel Networks Corp. (B-/B3) | ||||||||||||||||
| 2,000,000 | 4.250 | 09/01/08 | 1,913,688 | |||||||||||||
| Nortel Networks Ltd. (B-/B3)(b) | ||||||||||||||||
| 4,375,000 | 10.125 | 07/15/13 | 4,637,500 | |||||||||||||
| 1,000,000 | 10.750 | 07/15/16 | 1,070,000 | |||||||||||||
| NXP BV/NXP Funding LLC (B+/B2)(b) | ||||||||||||||||
| EUR1,875,000 | 8.625 | 10/15/15 | 2,411,010 | |||||||||||||
| $ | 6,500,000 | 9.500 | 10/15/15 | 6,556,875 | ||||||||||||
| NXP BV/NXP Funding LLC (BB+/Ba2)(b) | ||||||||||||||||
| 4,250,000 | 7.875 | 10/15/14 | 4,303,125 | |||||||||||||
| Spansion, Inc. (B/Caa1)(b) | ||||||||||||||||
| 7,125,000 | 11.250 | 01/15/16 | 7,410,000 | |||||||||||||
| Xerox Capital Trust I (B+/Ba2) | ||||||||||||||||
| 2,250,000 | 8.000 | 02/01/27 | 2,309,062 | |||||||||||||
| Xerox Corp. (BB+/Ba1) | ||||||||||||||||
| EUR2,000,000 | 9.750 | 01/15/09 | 2,814,241 | |||||||||||||
| $ | 2,250,000 | 9.750 | 01/15/09 | 2,441,250 | ||||||||||||
| 2,000,000 | 7.625 | 06/15/13 | 2,105,000 | |||||||||||||
| 61,584,876 | ||||||||||||||||
| Technology – Software/Services – 1.6% | ||||||||||||||||
| Serena Software, Inc. (CCC+/Caa1) | ||||||||||||||||
| 3,500,000 | 10.375 | 03/15/16 | 3,718,750 | |||||||||||||
| Sungard Data Systems, Inc. (B-/Caa1) | ||||||||||||||||
| 11,500,000 | 9.125 | 08/15/13 | 11,960,000 | |||||||||||||
| 12,750,000 | 10.250 | 08/15/15 | 13,355,625 | |||||||||||||
| Travelport, Inc. (B-/Caa1)(b) | ||||||||||||||||
| 12,375,000 | 9.875 | 09/01/14 | 12,220,312 | |||||||||||||
| 5,000,000 | 11.875 | 09/01/16 | 4,937,500 | |||||||||||||
| 46,192,187 | ||||||||||||||||
| Telecommunications – 1.7% | ||||||||||||||||
| Citizens Communications Co. (BB+/Ba2) | ||||||||||||||||
| 7,125,000 | 9.250 | 05/15/11 | 7,882,031 | |||||||||||||
| Exodus Communications, Inc. (WR)(d) | ||||||||||||||||
| EUR2,500,000 | 10.750 | 12/15/09 | 47,861 | |||||||||||||
| $ | 1,500,000 | 11.250 | 07/01/08 | 2 | ||||||||||||
| Nordic Telephone Co. Holdings (B/B2)(b) | ||||||||||||||||
| EUR8,125,000 | 8.250 | 05/01/16 | 11,303,230 | |||||||||||||
| $ | 6,500,000 | 8.875 | 05/01/16 | 6,841,250 | ||||||||||||
| PSINet, Inc. (WR)(d) | ||||||||||||||||
| 859,073 | 11.000 | 08/01/09 | 86 | |||||||||||||
| 3,225,361 | 10.000 | 02/15/05 | 323 | |||||||||||||
| 854,862 | 11.500 | 11/01/08 | 85 | |||||||||||||
| Qwest Capital Funding, Inc. (B/B3) | ||||||||||||||||
| 750,000 | 7.000 | 08/03/09 | 756,563 | |||||||||||||
| 6,750,000 | 7.900 | 08/15/10 | 6,969,375 | |||||||||||||
| Qwest Communications International, Inc. (B/B2) | ||||||||||||||||
| 2,000,000 | 7.500 | 02/15/14 | 2,035,000 | |||||||||||||
| Qwest Corp. (BB/Ba2) | ||||||||||||||||
| 4,000,000 | 8.875 | 03/15/12 | 4,390,000 | |||||||||||||
| 1,250,000 | 7.500 | (b) | 10/01/14 | 1,303,125 | ||||||||||||
| 3,000,000 | 6.875 | 09/15/33 | 2,805,000 | |||||||||||||
| Windstream Corp. (BB-/Ba3)(b) | ||||||||||||||||
| 4,625,000 | 8.625 | 08/01/16 | 4,983,437 | |||||||||||||
| 49,317,368 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
37
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Telecommunications – Cellular – 3.7% | ||||||||||||||||
| Alamosa Delaware, Inc. (BBB+/Baa3) | ||||||||||||||||
| $ | 1,787,000 | 11.000 | % | 07/31/10 | $ | 1,946,542 | ||||||||||
| 1,500,000 | 8.500 | 01/31/12 | 1,601,032 | |||||||||||||
| American Cellular Corp. (CCC/B3) | ||||||||||||||||
| 5,500,000 | 10.000 | 08/01/11 | 5,788,750 | |||||||||||||
| American Tower Corp. (BB-/Ba3) | ||||||||||||||||
| 4,875,000 | 7.125 | 10/15/12 | 4,972,500 | |||||||||||||
| American Towers, Inc. (BB-/Ba2) | ||||||||||||||||
| 1,000,000 | 7.250 | 12/01/11 | 1,027,500 | |||||||||||||
| Cell C Ltd. (B+/B3) | ||||||||||||||||
| EUR1,750,000 | 8.625 | 07/01/12 | 2,244,692 | |||||||||||||
| Centennial Cellular Communications (CCC/B2) | ||||||||||||||||
| $ | 1,500,000 | 10.125 | 06/15/13 | 1,612,500 | ||||||||||||
| Digicel Ltd. (B3)(b) | ||||||||||||||||
| 2,250,000 | 9.250 | 09/01/12 | 2,345,625 | |||||||||||||
| Dobson Communications Corp. (CCC/Caa2) | ||||||||||||||||
| 2,000,000 | 8.875 | 10/01/13 | 1,997,500 | |||||||||||||
| Hellas Telecommunications Finance (B-)(a)(b)(f) | ||||||||||||||||
| EUR108,073 | 11.744 | 04/15/14 | 139,658 | |||||||||||||
| Hellas Telecommunications Finance (B-)(a)(f) | ||||||||||||||||
| 6,287,201 | 11.744 | 04/15/14 | 8,124,657 | |||||||||||||
| Hellas Telecommunications III (B-/B3) | ||||||||||||||||
| 7,125,000 | 8.500 | 10/15/13 | 10,184,872 | |||||||||||||
| Horizon PCS, Inc. (B-/B3) | ||||||||||||||||
| $ | 1,125,000 | 11.375 | 07/15/12 | 1,258,594 | ||||||||||||
| Nextel Communications, Inc. (BBB+/Baa3) | ||||||||||||||||
| 3,500,000 | 5.950 | 03/15/14 | 3,438,462 | |||||||||||||
| 15,000,000 | 7.375 | 08/01/15 | 15,529,372 | |||||||||||||
| Nextel Partners, Inc. (BBB+/Ba3) | ||||||||||||||||
| 4,000,000 | 8.125 | 07/01/11 | 4,200,000 | |||||||||||||
| Rogers Wireless Communications, Inc. (BB+/Ba2) | ||||||||||||||||
| 2,000,000 | 7.500 | 03/15/15 | 2,135,000 | |||||||||||||
| Rogers Wireless, Inc. (BB-/B1) | ||||||||||||||||
| 5,000,000 | 8.000 | 12/15/12 | 5,300,000 | |||||||||||||
| Rural Cellular Corp. (CCC/B3) | ||||||||||||||||
| 4,000,000 | 9.875 | 02/01/10 | 4,205,000 | |||||||||||||
| Rural Cellular Corp. (CCC/Caa2) | ||||||||||||||||
| 1,500,000 | 9.750 | 01/15/10 | 1,518,750 | |||||||||||||
| Wind Acquisition Finance SA (B-/B2) | ||||||||||||||||
| EUR6,375,000 | 9.750 | 12/01/15 | 9,183,974 | |||||||||||||
| Wind Acquisition Finance SA (B-/B2)(b) | ||||||||||||||||
| $ | 15,750,000 | 10.750 | 12/01/15 | 17,521,875 | ||||||||||||
| 106,276,855 | ||||||||||||||||
| Telecommunications – Satellites – 1.0% | ||||||||||||||||
| Inmarsat Finance II PLC (B+/B1)(e) | ||||||||||||||||
| 6,000,000 | 10.375 | 11/15/12 | 5,445,000 | |||||||||||||
| Inmarsat Finance PLC (B+/Ba3) | ||||||||||||||||
| 1,000,000 | 7.625 | 06/30/12 | 1,032,500 | |||||||||||||
| Intelsat Bermuda Ltd. (B/Caa1)(b) | ||||||||||||||||
| 1,750,000 | 11.250 | 06/15/16 | 1,903,125 | |||||||||||||
| Intelsat Bermuda Ltd. (B+/B2)(b) | ||||||||||||||||
| 2,750,000 | 9.250 | 06/15/16 | 2,921,875 | |||||||||||||
| Intelsat Corp. (B/B2)(b) | ||||||||||||||||
| 1,500,000 | 9.000 | 06/15/16 | 1,571,250 | |||||||||||||
| Intelsat Ltd. (B/B3)(e) | ||||||||||||||||
| 2,000,000 | 9.250 | 02/01/15 | 1,515,000 | |||||||||||||
| Intelsat Ltd. (B/Caa1) | ||||||||||||||||
| 6,500,000 | 7.625 | 04/15/12 | 5,882,500 | |||||||||||||
| Intelsat Ltd. (B/Caa1) | ||||||||||||||||
| 1,000,000 | 6.500 | 11/01/13 | 826,250 | |||||||||||||
| Intelsat Subsidiary Holding Co. Ltd. (B+/B2) | ||||||||||||||||
| 4,375,000 | 8.250 | 01/15/13 | 4,462,500 | |||||||||||||
| PanAmSat Corp. (B/B2) | ||||||||||||||||
| 4,162,000 | 9.000 | 08/15/14 | 4,359,695 | |||||||||||||
| 29,919,695 | ||||||||||||||||
| Textiles & Apparel – 0.6% | ||||||||||||||||
| Oxford Industries, Inc. (B/B1) | ||||||||||||||||
| 3,500,000 | 8.875 | 06/01/11 | 3,596,250 | |||||||||||||
| Propex Fabrics, Inc. (B-/Caa1) | ||||||||||||||||
| 4,500,000 | 10.000 | 12/01/12 | 4,061,250 | |||||||||||||
| Quiksilver, Inc. (BB-/Ba3) | ||||||||||||||||
| 6,250,000 | 6.875 | 04/15/15 | 5,992,188 | |||||||||||||
| Warnaco, Inc. (B+/B1) | ||||||||||||||||
| 2,000,000 | 8.875 | 06/15/13 | 2,087,500 | |||||||||||||
| 15,737,188 | ||||||||||||||||
| Tobacco – 0.2% | ||||||||||||||||
| Alliance One International, Inc. (B-/B2) | ||||||||||||||||
| 6,000,000 | 11.000 | 05/15/12 | 6,225,000 | |||||||||||||
| Transportation – 0.1% | ||||||||||||||||
| Stena AB (BB-/Ba3) | ||||||||||||||||
| 2,000,000 | 9.625 | 12/01/12 | 2,150,000 | |||||||||||||
| 1,000,000 | 7.500 | 11/01/13 | 987,500 | |||||||||||||
| 3,137,500 | ||||||||||||||||
| Utilities – Distribution – 0.5% | ||||||||||||||||
| AmeriGas Partners L.P. (B1) | ||||||||||||||||
| 2,000,000 | 7.250 | 05/20/15 | 1,995,000 | |||||||||||||
| AmeriGas Partners LP/AmeriGas Eagle Finance Corp. (B1) | ||||||||||||||||
| 3,625,000 | 7.125 | 05/20/16 | 3,588,750 | |||||||||||||
| Inergy LP/Inergy Finance Corp. (B/B1) | ||||||||||||||||
| 2,500,000 | 6.875 | 12/15/14 | 2,418,750 | |||||||||||||
| 2,750,000 | 8.250 | 03/01/16 | 2,856,562 | |||||||||||||
| Suburban Propane Partners LP (B-/B1) | ||||||||||||||||
| 2,125,000 | 6.875 | 12/15/13 | 2,047,969 | |||||||||||||
| 12,907,031 | ||||||||||||||||
| Utilities – Electric – 3.4% | ||||||||||||||||
| AES Corp. (B/B1) | ||||||||||||||||
| 5,250,000 | 9.500 | 06/01/09 | 5,591,250 | |||||||||||||
| 5,250,000 | 9.375 | 09/15/10 | 5,696,250 | |||||||||||||
| Allegheny Energy Supply Co. LLC (BB-/Ba3)(b) | ||||||||||||||||
| 5,000,000 | 8.250 | 04/15/12 | 5,437,500 | |||||||||||||
| Calpine Canada Energy Finance (D/WR)(d) | ||||||||||||||||
| 3,750,000 | 8.500 | 05/01/08 | 2,475,000 | |||||||||||||
| Calpine Corp.(D)(b)(d) | ||||||||||||||||
| 1,250,000 | 8.500 | 07/15/10 | 1,309,375 | |||||||||||||
| 3,000,000 | 8.750 | 07/15/13 | 3,142,500 | |||||||||||||
| 2,750,000 | 9.875 | 12/01/11 | 2,901,250 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
38
GOLDMAN SACHS HIGH YIELD FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
| Utilities – Electric – (continued) | ||||||||||||||||
| Dynegy Holdings, Inc. (B2) | ||||||||||||||||
| $ | 2,375,000 | 8.375 | % | 05/01/16 | $ | 2,440,313 | ||||||||||
| Dynegy Holdings, Inc. (B-/B2) | ||||||||||||||||
| 3,000,000 | 8.750 | 02/15/12 | 3,127,500 | |||||||||||||
| 1,500,000 | 7.125 | 05/15/18 | 1,402,500 | |||||||||||||
| Edison Mission Energy (BB-/B1)(b) | ||||||||||||||||
| 1,125,000 | 7.500 | 06/15/13 | 1,153,125 | |||||||||||||
| Elwood Energy LLC (BB-/Ba1) | ||||||||||||||||
| 2,463,750 | 8.159 | 07/05/26 | 2,608,399 | |||||||||||||
| Ipalco Enterprises, Inc. (BB-/Ba1) | ||||||||||||||||
| 1,500,000 | 8.625 | 11/14/11 | 1,608,750 | |||||||||||||
| Midwest Generation LLC (B+/Ba2)(c) | ||||||||||||||||
| 9,000,000 | 8.750 | 05/01/34 | 9,675,000 | |||||||||||||
| Midwest Generation LLC (BB-/Ba2) | ||||||||||||||||
| 991,754 | 8.300 | 07/02/09 | 1,006,631 | |||||||||||||
| 4,174,001 | 8.560 | 01/02/16 | 4,487,051 | |||||||||||||
| Mirant Americas Generation LLC (B-/Caa1) | ||||||||||||||||
| 7,500,000 | 8.300 | 05/01/11 | 7,593,750 | |||||||||||||
| Mirant Mid-Atlantic LLC (BB/Ba2) | ||||||||||||||||
| 2,236,320 | 9.125 | 06/30/17 | 2,532,632 | |||||||||||||
| Mirant North America LLC (B-/B2) | ||||||||||||||||
| 5,000,000 | 7.375 | 12/31/13 | 5,087,500 | |||||||||||||
| Mission Energy Holding Co. (B/B2) | ||||||||||||||||
| 4,500,000 | 13.500 | 07/15/08 | 5,017,500 | |||||||||||||
| NRG Energy, Inc. (B-/B1) | ||||||||||||||||
| 5,000,000 | 7.250 | 02/01/14 | 5,050,000 | |||||||||||||
| 11,750,000 | 7.375 | 02/01/16 | 11,896,875 | |||||||||||||
| Orion Power Holdings, Inc. (B-/B2) | ||||||||||||||||
| 1,500,000 | 12.000 | 05/01/10 | 1,698,750 | |||||||||||||
| Reliant Resources, Inc. (B/B2) | ||||||||||||||||
| 3,000,000 | 9.250 | 07/15/10 | 3,112,500 | |||||||||||||
| 1,250,000 | 9.500 | 07/15/13 | 1,309,375 | |||||||||||||
| South Point Energy Center LLC(D)(b)(d) | ||||||||||||||||
| 671,782 | 8.400 | 05/30/12 | 653,308 | |||||||||||||
| 98,014,584 | ||||||||||||||||
| Utilities – Pipelines – 3.3% | ||||||||||||||||
| El Paso Corp. (B/B2) | ||||||||||||||||
| 2,000,000 | 7.625 | 09/01/08 | 2,050,000 | |||||||||||||
| EUR7,000,000 | 7.125 | 05/06/09 | 9,302,630 | |||||||||||||
| $ | 4,250,000 | 7.750 | 06/15/10 | 4,420,000 | ||||||||||||
| 1,000,000 | 10.750 | 10/01/10 | 1,121,250 | |||||||||||||
| 2,000,000 | 7.875 | 06/15/12 | 2,080,000 | |||||||||||||
| 3,000,000 | 7.375 | 12/15/12 | 3,060,000 | |||||||||||||
| 8,000,000 | 7.800 | 08/01/31 | 8,360,000 | |||||||||||||
| 3,750,000 | 7.750 | 01/15/32 | 3,890,625 | |||||||||||||
| 2,000,000 | 7.420 | 02/15/37 | 1,935,000 | |||||||||||||
| El Paso Natural Gas Co. (B+/Ba1) | ||||||||||||||||
| 2,875,000 | 8.625 | 01/15/22 | 3,291,875 | |||||||||||||
| 2,375,000 | 7.500 | 11/15/26 | 2,487,812 | |||||||||||||
| 4,250,000 | 8.375 | 06/15/32 | 4,845,000 | |||||||||||||
| MarkWest Energy Partners LP/MarkWest Energy Finance Corp. (B/B2)(b) | ||||||||||||||||
| 3,000,000 | 8.500 | 07/15/16 | 3,022,500 | |||||||||||||
| Sonat, Inc. (B/B2) | ||||||||||||||||
| 1,000,000 | 7.625 | 07/15/11 | 1,037,500 | |||||||||||||
| Southern Natural Gas Co. (B+/Ba1) | ||||||||||||||||
| 3,000,000 | 8.875 | 03/15/10 | 3,157,500 | |||||||||||||
| 3,000,000 | 7.350 | 02/15/31 | 3,172,500 | |||||||||||||
| 3,000,000 | 8.000 | 03/01/32 | 3,322,500 | |||||||||||||
| Southern Star Central Corp. (BB+/Ba2) | ||||||||||||||||
| 1,000,000 | 6.750 | 03/01/16 | 997,500 | |||||||||||||
| Targa Resources, Inc. (B-/B3)(b) | ||||||||||||||||
| 2,750,000 | 8.500 | 11/01/13 | 2,722,500 | |||||||||||||
| Tennessee Gas Pipeline Co. (B+/Ba1) | ||||||||||||||||
| 3,000,000 | 7.000 | 10/15/28 | 2,981,250 | |||||||||||||
| 3,750,000 | 8.375 | 06/15/32 | 4,359,709 | |||||||||||||
| 1,500,000 | 7.625 | 04/01/37 | 1,613,271 | |||||||||||||
| The Williams Cos., Inc. (BB-/Ba2) | ||||||||||||||||
| 6,500,000 | 8.125 | 03/15/12 | 6,987,500 | |||||||||||||
| 3,000,000 | 7.625 | 07/15/19 | 3,150,000 | |||||||||||||
| 11,000,000 | 7.875 | 09/01/21 | 11,632,500 | |||||||||||||
| 1,000,000 | 7.500 | 01/15/31 | 1,017,500 | |||||||||||||
| 96,018,422 | ||||||||||||||||
| TOTAL CORPORATE BONDS | ||||||||||||||||
| (Cost $2,441,156,826) | $ | 2,514,227,734 | ||||||||||||||
Emerging Market Debt – 1.7% | ||||||||||||||||
| Federal Republic of Brazil (BB/Ba2) | ||||||||||||||||
| $ | 5,140,000 | 8.250 | 01/20/34 | $ | 6,008,660 | |||||||||||
| 3,700,000 | 11.000 | 08/17/40 | 4,871,050 | |||||||||||||
| Republic of Argentina (B+/B3)(a) | ||||||||||||||||
| 14,100,000 | 5.590 | 08/03/12 | 13,205,768 | |||||||||||||
| Republic of Peru (BB/Ba3) | ||||||||||||||||
| 2,500,000 | 9.125 | 02/21/12 | 2,887,500 | |||||||||||||
| EUR2,000,000 | 7.500 | 10/14/14 | 2,932,426 | |||||||||||||
| $ | 700,000 | 8.375 | 05/03/16 | 819,000 | ||||||||||||
| 1,930,000 | 8.750 | 11/21/33 | 2,446,275 | |||||||||||||
| Republic of Venezuela (BB-/B2) | ||||||||||||||||
| 3,700,000 | 9.375 | 01/13/34 | 4,630,550 | |||||||||||||
| Russian Federation (BBB+/Baa2)(e) | ||||||||||||||||
| 9,800,000 | 5.000 | 03/31/30 | 10,982,125 | |||||||||||||
| TOTAL EMERGING MARKET DEBT | ||||||||||||||||
| (Cost $45,416,503) | $ | 48,783,354 | ||||||||||||||
| Shares | Description | Value | ||||||||
Common Stocks* – 0.5% | ||||||||||
| 2,731 | APP China Group Ltd. | $ | 95,585 | |||||||
| 24,334 | Axiohm Transaction Solutions, Inc. | 243 | ||||||||
| 3,157 | Crunch Equity Holding, LLC | 3,156,974 | ||||||||
| 54,826 | Dobson Communications Corp. | 425,450 | ||||||||
| 538 | General Chemical Industrial Product, Inc. | 149,860 | ||||||||
The accompanying notes are an integral part of these financial statements.
39
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2006
| Shares | Description | Value | ||||||||
Common Stocks* – (continued) | ||||||||||
| 45,251 | Hayes Lemmerz International, Inc. | $ | 96,837 | |||||||
| 195,700 | Huntsman Corp. | 3,379,739 | ||||||||
| 8,366 | iPCS, Inc. | 451,346 | ||||||||
| 7,393 | JSG Funding PLC | 3,208 | ||||||||
| 11,243 | Mattress Discounters | — | ||||||||
| 96,747 | NTL, Inc. | 2,615,071 | ||||||||
| 1,656 | Nycomed | 21 | ||||||||
| 567,500 | Parmalat SpA(b) | 2,024,500 | ||||||||
| 351 | Pliant Corp. New | — | ||||||||
| 33,975 | Polymer Group, Inc. | 883,690 | ||||||||
| 103,389 | Viasystems Group, Inc. | 904,654 | ||||||||
| 3,044 | WRC Media, Inc.(b) | 30 | ||||||||
| TOTAL COMMON STOCKS | ||||||||||
| (Cost $22,162,859) | $ | 14,187,208 | ||||||||
| Dividend | Maturity | |||||||||||||||
| Shares | Rate | Date | Value | |||||||||||||
Preferred Stocks – 0.3% | ||||||||||||||||
| Dobson Communications Corp.(b) | ||||||||||||||||
| 3,876 | 6.000 | 08/19/16 | $ | 661,904 | ||||||||||||
| GNC Corp.(c)(f) | ||||||||||||||||
| 2,750 | 12.000 | 01/12/11 | 3,025,000 | |||||||||||||
| Lucent Technologies Capital Trust I(b) | ||||||||||||||||
| 1,000 | 7.750 | 03/15/17 | 1,022,900 | |||||||||||||
| Pliant Corp. | ||||||||||||||||
| 2,796 | 13.000 | 1,349,014 | ||||||||||||||
| Spanish Broadcasting Systems, Inc.(c)(f) | ||||||||||||||||
| 2,994 | 10.750 | 10/15/13 | 3,263,086 | |||||||||||||
| Ziff Davis Holdings, Inc. | ||||||||||||||||
| 120 | 10.000 | 03/31/10 | 15,600 | |||||||||||||
| TOTAL PREFERRED STOCKS | ||||||||||||||||
| (Cost $10,311,093) | $ | 9,337,504 | ||||||||||||||
| Expiration | ||||||||||||||
| Units | Date | Value | ||||||||||||
Warrants* – 0.0% | ||||||||||||||
| Advanstar Holdings Corp.(b) | ||||||||||||||
| 2,875 | 10/15/11 | $ | 29 | |||||||||||
| ASAT Finance LLC(b) | ||||||||||||||
| 2,000 | 11/01/06 | 260 | ||||||||||||
| Avecia Group PLC (Ordinary)(b) | ||||||||||||||
| 40,000 | 07/01/10 | 400 | ||||||||||||
| Avecia Group PLC (Preferred)(b) | ||||||||||||||
| 40,000 | 01/01/10 | 400 | ||||||||||||
| General Chemical Industrial Product, Inc. Series A | ||||||||||||||
| 311 | 04/30/11 | — | ||||||||||||
| General Chemical Industrial Product, Inc. Series B | ||||||||||||||
| 231 | 04/30/11 | — | ||||||||||||
| Knology, Inc.(b) | ||||||||||||||
| 1,750 | 10/15/07 | 4,136 | ||||||||||||
| Mattress Discounters Holding Corp.(b) | ||||||||||||||
| 750 | 07/15/07 | 7 | ||||||||||||
| MDP Acquisitions PLC(b) | ||||||||||||||
| 2,500 | 10/01/13 | 37,500 | ||||||||||||
| Merrill Corp. Class A(b) | ||||||||||||||
| 1,500 | 05/01/09 | 15 | ||||||||||||
| Parmalat SpA(b) | ||||||||||||||
| 650 | 12/31/15 | 1,669 | ||||||||||||
| Ziff Davis Holdings, Inc. | ||||||||||||||
| 22,000 | 08/12/12 | 220 | ||||||||||||
| TOTAL WARRANTS | ||||||||||||||
| (Cost $348,842) | $ | 44,636 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
40
GOLDMAN SACHS HIGH YIELD FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Repurchase Agreement(g) – 9.9% | ||||||||||||||||
| Joint Repurchase Agreement Account II | ||||||||||||||||
| $ | 285,700,000 | 5.316 | % | 11/01/06 | $ | 285,700,000 | ||||||||||
| Maturity Value: $285,742,188 | ||||||||||||||||
| (Cost $285,700,000) | ||||||||||||||||
| TOTAL INVESTMENTS – 99.7% | ||||||||||||||||
| (Cost $2,805,096,115) | $ | 2,872,280,436 | ||||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.3% | 9,664,156 | |||||||||||||||
| NET ASSETS – 100.0% | $ | 2,881,944,592 | ||||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| * | Non-income producing security. |
| • | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
| Currency Description | ||||||||||
| $ | = | U.S. Dollar | EUR | = | Euro Currency | |||||
| DEM | = | German Mark | GBP | = | British Pounds | |||||
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2006. |
| (b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $425,146,137, which represents approximately 14.8% of net assets as of October 31, 2006. |
| (c) | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| (d) | Security is currently in default/non-income producing. |
| (e) | These securities are issued with a zero coupon or interest rate which increases to the stated rate at a set date in the future. |
| (f) | Pay-in-kind securities. |
| (g) | Joint repurchase agreement was entered into on October 31, 2006. Additional information appears on page 49. |
| Security ratings disclosed, if any, are issued by Standard & Poor’s/Moody’s Investors Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information. |
The accompanying notes are an integral part of these financial statements.
41
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2006
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At October 31, 2006, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
| Open Forward Foreign Currency | Expiration | Value on | Unrealized | |||||||||||||
| Purchase Contract | Date | Settlement Date | Current Value | Gain | ||||||||||||
| British Pound | 11/16/06 | $ | 3,699,214 | $ | 3,787,813 | $ | 88,599 | |||||||||
| Open Forward Foreign Currency | Expiration | Value on | Unrealized | |||||||||||||
| Sale Contracts | Date | Settlement Date | Current Value | Gain (Loss) | ||||||||||||
| British Pound | 11/16/06 | $ | 29,784,649 | $ | 30,020,127 | $ | (235,478 | ) | ||||||||
| Euro | 11/16/06 | 404,437,417 | 403,387,239 | 1,050,178 | ||||||||||||
| Euro | 11/16/06 | 36,127,390 | 36,427,553 | (300,163 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 470,349,456 | $ | 469,834,919 | $ | 514,537 | ||||||||||
The accompanying notes are an integral part of these financial statements.
42
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Performance Summary
October 31, 2006
The following graph shows the value, as of October 31, 2006, of a $10,000 investment made on August 29, 2003 (commencement of operations) in Institutional Shares of the Goldman Sachs Emerging Markets Debt Fund. For comparative purposes, the performance of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A and Class C Shares will vary from Institutional Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a portfolio.
| Emerging Markets Debt Fund’s Lifetime Performance |
Performance of a $10,000 Investment, Distributions Reinvested August 29, 2003 to October 31, 2006.
| Average Annual Total Return through October 31, 2006 | Since Inception | One Year | ||||||||
Class A (commenced August 29, 2003) | ||||||||||
| Excluding sales charges | 14.92% | 11.63% | ||||||||
| Including sales charges | 13.28% | 6.63% | ||||||||
Class C (commenced September 29, 2006) | ||||||||||
| Excluding sales charges | 2.15% | (a) | N/A | |||||||
| Including sales charges | 1.15% | (a) | N/A | |||||||
Institutional Class (commenced August 29, 2003) | 15.38% | 11.93% | ||||||||
| (a) | Not annualized. |
43
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – 80.7% | ||||||||||||||||
| Argentina – 7.5% | ||||||||||||||||
| Republic of Argentina (B+) | ||||||||||||||||
| ARS7,996,211 | 2.000 | % | 01/03/16 | $ | 4,312,391 | |||||||||||
| 2,250,499 | 5.830 | (a) | 12/31/33 | 676,540 | ||||||||||||
| EUR645,640 | 1.200 | (b) | 12/31/38 | 361,749 | ||||||||||||
| Republic of Argentina (B+/B3)(a) | ||||||||||||||||
| $ | 5,118,750 | 5.590 | 08/03/12 | 4,794,115 | ||||||||||||
| Republic of Argentina (D/Ca)(c) | ||||||||||||||||
| DEM270,000 | 11.750 | 11/13/26 | 51,096 | |||||||||||||
| $ | 1,500,000 | 9.750 | 09/19/27 | 450,000 | ||||||||||||
| 572,400 | 12.000 | 06/19/31 | 180,306 | |||||||||||||
| Republic of Argentina (D/WR)(c) | ||||||||||||||||
| DEM540,000 | 10.500 | 11/14/02 | 102,191 | |||||||||||||
| 225,000 | 7.000 | 03/18/04 | 44,415 | |||||||||||||
| EUR400,000 | 9.000 | 05/24/05 | 153,794 | |||||||||||||
| Republic of Argentina (Ca)(c) | ||||||||||||||||
| DEM800,000 | 11.750 | 05/20/11 | 160,530 | |||||||||||||
| Republic of Argentina(a)(d) | ||||||||||||||||
| $ | 2,160,000 | 0.000 | 12/15/35 | 236,088 | ||||||||||||
| 11,523,215 | ||||||||||||||||
| Brazil – 3.8% | ||||||||||||||||
| Federal Republic of Brazil (BB/Ba2) | ||||||||||||||||
| $ | 1,496,000 | 10.500 | 07/14/14 | 1,891,692 | ||||||||||||
| 2,800,000 | 8.000 | 01/15/18 | 3,095,400 | |||||||||||||
| 700,000 | 11.000 | 08/17/40 | 921,550 | |||||||||||||
| 5,908,642 | ||||||||||||||||
| Bulgaria – 0.8% | ||||||||||||||||
| Republic of Bulgaria (BBB+/Baa3) | ||||||||||||||||
| 990,000 | 8.250 | 01/15/15 | 1,170,675 | |||||||||||||
| Colombia – 2.9% | ||||||||||||||||
| Republic of Colombia (BB/Ba2) | ||||||||||||||||
| COP950,000,000 | 12.000 | 10/22/15 | 487,756 | |||||||||||||
| $ | 2,890,000 | 7.375 | 01/27/17 | 3,066,290 | ||||||||||||
| 830,000 | 8.375 | 02/15/27 | 950,350 | |||||||||||||
| 4,504,396 | ||||||||||||||||
| Croatia(a) – 0.0% | ||||||||||||||||
| Republic of Croatia (BBB/Baa3) | ||||||||||||||||
| 25,455 | 6.375 | 07/31/10 | 25,556 | |||||||||||||
| Dominican Republic – 0.7% | ||||||||||||||||
| Dominican Republic (B/B3) | ||||||||||||||||
| 983,679 | 9.040 | 01/23/18 | 1,121,395 | |||||||||||||
| Ecuador(b) – 2.1% | ||||||||||||||||
| Republic of Ecuador (CCC+/Caa1) | ||||||||||||||||
| 3,245,000 | 10.000 | 08/15/30 | 3,248,245 | |||||||||||||
| El Salvador – 2.2% | ||||||||||||||||
| Republic of El Salvador (BB+/Baa3) | ||||||||||||||||
| 2,470,000 | 8.250 | 04/10/32 | 2,896,075 | |||||||||||||
| 440,000 | 7.650 | 06/15/35 | 484,000 | |||||||||||||
| 3,380,075 | ||||||||||||||||
| Guatemala – 3.4% | ||||||||||||||||
| Republic of Guatemala (BB/Ba2) | ||||||||||||||||
| 1,730,000 | 10.250 | 11/08/11 | 2,041,400 | |||||||||||||
| 2,300,000 | 9.250 | 08/01/13 | 2,679,500 | |||||||||||||
| 535,000 | 8.125 | (e)(f) | 10/06/34 | 607,225 | ||||||||||||
| 5,328,125 | ||||||||||||||||
| Indonesia – 1.5% | ||||||||||||||||
| Republic of Indonesia (BB-/B1) | ||||||||||||||||
| 2,000,000 | 7.500 | 01/15/16 | 2,152,400 | |||||||||||||
| 100,000 | 8.500 | 10/12/35 | 118,500 | |||||||||||||
| 2,270,900 | ||||||||||||||||
| Iraq(e) – 0.7% | ||||||||||||||||
| Republic of Iraq | ||||||||||||||||
| 1,650,000 | 5.800 | 01/15/28 | 1,097,250 | |||||||||||||
| Ivory Coast – 0.1% | ||||||||||||||||
| Ivory Coast | ||||||||||||||||
| 465,500 | 2.000 | 03/30/18 | 107,065 | |||||||||||||
| Jamaica – 0.6% | ||||||||||||||||
| Government of Jamaica (B/B1) | ||||||||||||||||
| 903,000 | 9.000 | 06/02/15 | 961,695 | |||||||||||||
| Lebanon(a) – 0.8% | ||||||||||||||||
| Republic of Lebanon MTN (B-) | ||||||||||||||||
| 1,190,000 | 8.567 | 11/30/09 | 1,210,825 | |||||||||||||
| Malaysia – 1.0% | ||||||||||||||||
| Malaysia (A-/A3) | ||||||||||||||||
| 1,360,000 | 7.500 | 07/15/11 | 1,484,532 | |||||||||||||
| Mexico – 4.7% | ||||||||||||||||
| United Mexican States (A/Baa1) | ||||||||||||||||
| MXN63,540,000 | 8.000 | 12/19/13 | 5,948,437 | |||||||||||||
| United Mexican States (BBB/Baa1) | ||||||||||||||||
| $ | 1,060,000 | 8.300 | 08/15/31 | 1,347,790 | ||||||||||||
| 7,296,227 | ||||||||||||||||
| Nigeria(b) – 1.8% | ||||||||||||||||
| Central Bank of Nigeria (BB-) | ||||||||||||||||
| 2,750,000 | 6.250 | 11/15/20 | 2,743,125 | |||||||||||||
| Panama – 3.2% | ||||||||||||||||
| Republic of Panama (BB/Ba1) | ||||||||||||||||
| 590,000 | 8.875 | 09/30/27 | 734,550 | |||||||||||||
| 1,610,000 | 9.375 | 04/01/29 | 2,093,000 | |||||||||||||
| 2,160,000 | 6.700 | 01/26/36 | 2,178,360 | |||||||||||||
| 5,005,910 | ||||||||||||||||
| Peru – 3.0% | ||||||||||||||||
| Republic of Peru (BB/Ba3) | ||||||||||||||||
| 2,445,000 | 8.375 | 05/03/16 | 2,860,650 | |||||||||||||
| 1,380,000 | 8.750 | 11/21/33 | 1,749,150 | |||||||||||||
| 4,609,800 | ||||||||||||||||
| Philippines – 7.4% | ||||||||||||||||
| Republic of Philippines (B1) | ||||||||||||||||
| 10,025,000 | 7.500 | 09/25/24 | 10,726,750 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
44
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – (continued) | ||||||||||||||||
| Philippines – (continued) | ||||||||||||||||
| Republic of Philippines (BB-/B1) | ||||||||||||||||
| $ | 5,000 | 9.375 | %(f) | 01/18/12 | $ | 6,044 | ||||||||||
| 510,000 | 10.625 | 03/16/25 | 709,512 | |||||||||||||
| 11,442,306 | ||||||||||||||||
| Poland – 2.2% | ||||||||||||||||
| Republic of Poland (A-/A2) | ||||||||||||||||
| PLN10,080,000 | 6.000 | 05/24/09 | 3,418,672 | |||||||||||||
| Russia – 12.7% | ||||||||||||||||
| Ministry Finance of Russia (BBB+/Baa2) | ||||||||||||||||
| $ | 4,200,000 | 3.000 | 05/14/08 | 4,038,300 | ||||||||||||
| Russian Federation (BBB+/Baa2)(b) | ||||||||||||||||
| 13,855,000 | 5.000 | 03/31/30 | 15,526,259 | |||||||||||||
| 19,564,559 | ||||||||||||||||
| Serbia(b) – 0.6% | ||||||||||||||||
| Republic of Serbia (BB-) | ||||||||||||||||
| 1,090,000 | 3.750 | 11/01/24 | 975,550 | |||||||||||||
| Turkey – 6.8% | ||||||||||||||||
| Republic of Turkey (BB-/Ba3) | ||||||||||||||||
| 3,450,000 | 9.500 | 01/15/14 | 3,980,438 | |||||||||||||
| 1,806,000 | 7.000 | 09/26/16 | 1,815,030 | |||||||||||||
| 1,900,000 | 7.375 | 02/05/25 | 1,914,250 | |||||||||||||
| 2,630,000 | 8.000 | 02/14/34 | 2,807,525 | |||||||||||||
| 10,517,243 | ||||||||||||||||
| Ukraine – 0.8% | ||||||||||||||||
| Ukraine Government (BB-/B1) | ||||||||||||||||
| 780,000 | 8.903 | (a) | 08/05/09 | 828,750 | ||||||||||||
| 390,000 | 7.650 | 06/11/13 | 417,300 | |||||||||||||
| 1,246,050 | ||||||||||||||||
| Uruguay – 3.2% | ||||||||||||||||
| Republic of Uruguay (B+/B3) | ||||||||||||||||
| 440,000 | 7.250 | 02/15/11 | 459,800 | |||||||||||||
| UYU2,867,281 | 5.000 | 09/14/18 | 128,738 | |||||||||||||
| $ | 3,960,000 | 8.000 | 11/18/22 | 4,286,700 | ||||||||||||
| 4,875,238 | ||||||||||||||||
| Venezuela – 5.9% | ||||||||||||||||
| Republic of Venezuela (BB-/B2) | ||||||||||||||||
| 1,890,000 | 10.750 | 09/19/13 | 2,319,975 | |||||||||||||
| 5,270,000 | 5.750 | 02/26/16 | 4,887,925 | |||||||||||||
| 1,610,000 | 6.000 | 12/09/20 | 1,461,880 | |||||||||||||
| 304,000 | 9.250 | 09/15/27 | 376,656 | |||||||||||||
| 9,046,436 | ||||||||||||||||
| Vietnam – 0.3% | ||||||||||||||||
| Socialist Republic of Vietnam (BB/Ba3) | ||||||||||||||||
| 480,000 | 6.875 | 01/15/16 | 504,000 | |||||||||||||
| TOTAL SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
| (Cost $120,711,733) | $ | 124,587,707 | ||||||||||||||
Corporate Obligations – 5.6% | ||||||||||||||||
| Netherlands – 1.2% | ||||||||||||||||
| Majapahit Holdings BV (BB-/ B1)(e) | ||||||||||||||||
| $ | 300,000 | 7.250 | % | 10/17/2011 | $ | 305,250 | ||||||||||
| 1,500,000 | 7.250 | 10/17/2016 | 1,535,625 | |||||||||||||
| 1,840,875 | ||||||||||||||||
| Peru – 0.9% | ||||||||||||||||
| IIRSA Norte Finance Ltd. (BB/ Ba2)(e) | ||||||||||||||||
| 1,350,000 | 8.750 | 05/30/2024 | 1,424,250 | |||||||||||||
| Russia – 0.7% | ||||||||||||||||
| RSHB Capital SA for OJSC Russian Agricultural Bank (A3)(e) | ||||||||||||||||
| 540,000 | 7.175 | 05/16/2013 | 567,000 | |||||||||||||
| VNESHTORGBANK (BBB+/A1) | ||||||||||||||||
| RUB12,000,000 | 7.000 | 04/13/2009 | 457,383 | |||||||||||||
| 1,024,383 | ||||||||||||||||
| Trinidad and Tobago – 0.5% | ||||||||||||||||
| National Gas Co. of Trinidad and Tobago Ltd. (BBB/A3)(e) | ||||||||||||||||
| $ | 880,000 | 6.050 | 01/15/2036 | 854,114 | ||||||||||||
| Ukraine – 0.6% | ||||||||||||||||
| Nal Naftogaz Ukrainy (Ba2) | ||||||||||||||||
| 1,000,000 | 8.125 | 09/30/2009 | 965,000 | |||||||||||||
| United States – 1.7% | ||||||||||||||||
| Pemex Project Funding Master Trust (BBB/Baa1) | ||||||||||||||||
| 1,770,000 | 7.375 | 12/15/2014 | 1,938,150 | |||||||||||||
| Southern Copper Corp. (BBB/Baa2) | ||||||||||||||||
| 650,000 | 7.500 | 07/27/2035 | 685,295 | |||||||||||||
| 2,623,445 | ||||||||||||||||
| TOTAL CORPORATE OBLIGATIONS | ||||||||||||||||
| (Cost $8,550,274) | 8,732,067 | |||||||||||||||
Credit Linked Notes – 8.2% | ||||||||||||||||
| Brazil – 5.3% | ||||||||||||||||
| Brazilian Inflation Linked Credit Linked Note(h) | ||||||||||||||||
| BRL4,265,000 | 6.000 | % | 05/15/2009 | $ | 2,192,945 | |||||||||||
| 620,000 | 6.000 | 08/18/2010 | 423,940 | |||||||||||||
| 1,100,000 | 6.000 | 05/19/2015 | 699,346 | |||||||||||||
| 1,400,000 | 6.000 | 08/15/2024 | 855,393 | |||||||||||||
| 2,940,000 | 6.000 | 05/15/2045 | 1,122,458 | |||||||||||||
| 3,200,000 | 6.000 | 05/17/2045 | 2,815,580 | |||||||||||||
| 8,109,662 | ||||||||||||||||
| Egypt – 2.9% | ||||||||||||||||
| Egyptian Credit Linked Note(d)(i) | ||||||||||||||||
| $ | 1,930,000 | 0.000 | (e) | 11/02/2006 | 1,976,668 | |||||||||||
| EGP15,590,000 | 6.000 | 10/25/2007 | 2,478,361 | |||||||||||||
| 4,455,029 | ||||||||||||||||
| TOTAL CREDIT LINKED NOTES | ||||||||||||||||
| (Cost $12,320,429) | 12,564,691 | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
45
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
October 31, 2006
| Principal | Interest | Maturity | ||||||||||||||
| Amount• | Rate | Date | Value | |||||||||||||
Repurchase Agreement(g) – 8.1% | ||||||||||||||||
| United States – 8.1% | ||||||||||||||||
| Joint Repurchase Agreement Account II | ||||||||||||||||
| $ | 12,500,000 | 5.316 | % | 11/01/06 | $ | 12,500,000 | ||||||||||
| Maturity Value: $12,501,846 | ||||||||||||||||
| (Cost $12,500,000) | ||||||||||||||||
| TOTAL INVESTMENTS — 102.6% | ||||||||||||||||
| (Cost $154,082,436) | $ | 158,384,465 | ||||||||||||||
| LIABILITIES IN EXCESS OF | ||||||||||||||||
OTHER ASSETS — (2.6 | )% | (4,008,582 | ) | |||||||||||||
| NET ASSETS — 100.0% | $ | 154,375,883 | ||||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| • | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
| Currency Description | ||||||||||
| $ | – | U.S. Dollar | MXN | – | Mexican Peso | |||||
| ARS | – | Argentine Peso | PLN | – | Polish Zloty | |||||
| BRL | – | Brazilian Real | RUB | – | Russian Ruble | |||||
| COP | – | Columbian Peso | TRL | – | Turkish Lira | |||||
| DEM | – | German Mark | TRY | – | New Turkish Lira | |||||
| EGP | – | Egyptian Pound | UYU | – | Uruguay Peso | |||||
| EUR | – | Euro Currency | ||||||||
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2006. |
| (b) | Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at October 31, 2006. |
| (c) | Security is currently in default/non-income producing. |
| (d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
| (e) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $8,367,382, which represents approximately 5.4% of net assets as of October 31, 2006. |
| (f) | Securities with “Call” or “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| (g) | Joint repurchase agreement was entered into on October 31, 2006. Additional information appears on page 49. |
| (h) | The underlying security is a government bond issued by the Federal Republic of Brazil. |
| (i) | The underlying security is a government bond issued by the Arab Republic of Egypt. |
Security ratings disclosed, if any, are issued by Standard & Poor’s/Moody’s Investors Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.
| Investment Abbreviation: | ||||||
| MTN | — | Medium-Term Note | ||||
The accompanying notes are an integral part of these financial statements.
46
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At October 31, 2006, the Fund had outstanding forward foreign currency exchange contracts, to sell foreign currencies:
| Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
| Sale Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
| Brazilian Real | 11/20/06 | $ | 1,223,188 | $ | 1,236,183 | $ | (12,995 | ) | ||||||||
| Brazilian Real | 12/05/06 | 418,693 | 422,505 | (3,812 | ) | |||||||||||
| Brazilian Real | 12/06/06 | 526,013 | 531,440 | (5,427 | ) | |||||||||||
| Brazilian Real | 01/30/07 | 846,048 | 845,218 | 830 | ||||||||||||
| Euro | 11/29/06 | 725,323 | 730,875 | (5,552 | ) | |||||||||||
| Mexican Peso | 01/12/07 | 5,592,131 | 5,754,731 | (162,600 | ) | |||||||||||
| Polish Zloty | 12/13/06 | 3,066,339 | 3,176,871 | (110,532 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 12,397,735 | $ | 12,697,823 | $ | (300,088 | ) | |||||||||
The accompanying notes are an integral part of these financial statements.
47
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
October 31, 2006
| ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At October 31, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACT
| Rates Exchanged | ||||||||||||||
| Notional | Payments | |||||||||||||
| Amount | Termination | received by | Payments made by | Unrealized | ||||||||||
| Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain | |||||||||
Salomon Smith Barney | MXN 86,000 | 03/10/08 | 7.98 | % | Mexican Interbank Equilibrium Rate | $ | 54,075 | |||||||
TOTAL RETURN INDEX SWAP CONTRACTS (UNFUNDED)
| Notional | Value | |||||||||||||||||
| Amount | Termination | Reference | to be | Unrealized | ||||||||||||||
| Swap Counterparty | (000s) | Date | Security | exchanged # | Gain (Loss) | |||||||||||||
DMG & Partners | TRY 1,968 | 07/16/08 | Turkish Government Bond | TRL Central Bank Deposit Rate + 0.750% | $ | (3,581 | ) | |||||||||||
DMG & Partners | TRY 532 | 07/16/08 | Turkish Government Bond | TRL Central Bank Deposit Rate + 0.750% | (596 | ) | ||||||||||||
DMG & Partners | TRY 664 | 07/16/08 | Turkish Government Bond | TRL Central Bank Deposit Rate + 0.750% | 560 | |||||||||||||
DMG & Partners | TRY 5,999 | 08/13/08 | Turkish Government Bond | TRL Central Bank Deposit Rate + 1.250% | 99,280 | |||||||||||||
TOTAL | $ | 95,663 | ||||||||||||||||
| # | The Fund does not make or receive periodic payments in accordance with the swap contracts. On the termination date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued payments and the value of the reference security (notional multiplied by the price of the reference security, converted to US Dollars). |
TOTAL RETURN INDEX SWAP CONTRACT (FULLY FUNDED)
| Notional | Payments | Upfront | ||||||||||||||||||||||
| Amount | Termination | Reference | received by | Payment | Unrealized | |||||||||||||||||||
| Swap Counterparty | (000s) | Date | Security | the Fund* | made by the Fund | Gain | ||||||||||||||||||
Merrill Lynch | BRL 1,627 | 05/15/45 | Brazilian Sovereign Bond | Inflation Linked Brazilian Local Bonds Index + 6.00% | $ | 925,357 | $ | 69,682 | ||||||||||||||||
| * | On termination date of the swap contract, the Fund will receive a payment from the counterparty equal to the value of the reference security (notional multiplied by the price of the reference security, converted to US Dollars). |
The accompanying notes are an integral part of these financial statements.
48
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| ADDITIONAL INVESTMENT INFORMATION (continued) |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At October 31, 2006, the Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
| Fund | Principal Amount | |||
| High Yield | $ | 285,700,000 | ||
| Emerging Markets Debt | 12,500,000 | |||
| Principal | Interest | Maturity | Maturity | |||||||||||
| Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
| ABN Amro, Inc. | $ | 500,000,000 | 5.32 | % | 11/01/06 | $ | 500,073,889 | |||||||
| Banc of America Securities LLC | 2,750,000,000 | 5.31 | 11/01/06 | 2,750,405,625 | ||||||||||
| Barclays Capital PLC | 200,000,000 | 5.31 | 11/01/06 | 200,029,500 | ||||||||||
| Barclays Capital PLC | 2,000,000,000 | 5.32 | 11/01/06 | 2,000,295,557 | ||||||||||
| Bear Stearns | 500,000,000 | 5.32 | 11/01/06 | 500,073,889 | ||||||||||
| Credit Suisse Securities (USA) LLC | 750,000,000 | 5.32 | 11/01/06 | 750,110,834 | ||||||||||
| Greenwich Capital Markets | 300,000,000 | 5.32 | 11/01/06 | 300,044,334 | ||||||||||
| Merrill Lynch | 500,000,000 | 5.31 | 11/01/06 | 500,073,750 | ||||||||||
| Wachovia Bank | 250,000,000 | 5.31 | 11/01/06 | 250,036,875 | ||||||||||
| UBS Securities LLC | 2,700,200,000 | 5.32 | 11/01/06 | 2,700,399,027 | ||||||||||
TOTAL | $ | 10,450,200,000 | $ | 10,451,543,280 | ||||||||||
At October 31, 2006, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 5.75%, due 12/14/06 to 09/22/15; Federal Home Loan Mortgage Association, 2.35% to 9.50%, due 11/17/06 to 09/01/36; Federal National Mortgage Association, 0.00% to 11.00%, due 11/1/06 to 11/01/36; Government National Mortgage Association, 4.50% to 9.00%, due 10/15/09 to 10/15/36 and U.S. Treasury Notes, 4.25% to 4.88% due 03/31/11 to 01/15/14. The aggregate market value of the collateral, including accrued interest, was $10,679,289,697.
The accompanying notes are an integral part of these financial statements.
49
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Assets and Liabilities
October 31, 2006
| Global Income | High Yield | Emerging Markets | |||||||||||||||
| Fund | Fund | Debt Fund | |||||||||||||||
| Assets: | |||||||||||||||||
| Investments in securities, at value (identified cost $851,536,539, $2,805,096,115 and $154,082,436, respectively) | $ | 861,434,827 | $ | 2,872,280,436 | $ | 158,384,465 | |||||||||||
Cash(a) | 1,565,479 | 7,992,943 | 1,530,973 | ||||||||||||||
| Foreign currencies, at value (identified cost $886,593, $5,468,582 and $32,126, respectively) | 886,310 | 5,529,303 | 33,239 | ||||||||||||||
| Receivables: | |||||||||||||||||
| Investment securities sold, at value | — | 2,028,439 | 1,343,502 | ||||||||||||||
| Swap contracts, at value (includes upfront payments made of $4,261,219, $0 and $925,357, respectively) | 11,440,531 | — | 1,148,954 | ||||||||||||||
| Interest and dividends, at value (net of allowances) | 11,743,770 | 53,222,459 | 2,476,786 | ||||||||||||||
| Fund shares sold | 3,141,211 | 8,292,793 | 515,751 | ||||||||||||||
| Forward foreign currency exchange contracts, at value | 5,813,896 | 1,138,777 | 830 | ||||||||||||||
| Due from broker — variation margin, at value | 872,599 | — | — | ||||||||||||||
| Reimbursement from investment adviser | — | — | 67 | ||||||||||||||
| Other assets | 1,187 | 5,022 | 247 | ||||||||||||||
Total assets | 896,899,810 | 2,950,490,172 | 165,434,814 | ||||||||||||||
| Liabilities: | |||||||||||||||||
| Payables: | |||||||||||||||||
| Investment securities purchased, at value | 4,482,570 | 57,895,356 | 10,277,937 | ||||||||||||||
| Swap contracts, at value (includes upfront payments received $3,638,504, $0 and $0, respectively) | 10,533,709 | — | 4,177 | ||||||||||||||
| Forward foreign currency exchange contracts, at value | 10,270,529 | 535,641 | 300,918 | ||||||||||||||
| Due to broker — swap collateral | 1,300,000 | — | — | ||||||||||||||
| Fund shares repurchased | 796,013 | 3,916,176 | 154,519 | ||||||||||||||
| Income distribution | — | 3,560,990 | 62,977 | ||||||||||||||
| Amounts owed to affiliates | 612,058 | 2,344,630 | 126,815 | ||||||||||||||
| Accrued expenses and other liabilities | 342,773 | 292,787 | 131,588 | ||||||||||||||
Total liabilities | 28,337,652 | 68,545,580 | 11,058,931 | ||||||||||||||
| Net Assets: | |||||||||||||||||
| Paid-in capital | 925,706,266 | 2,814,647,648 | 147,858,328 | ||||||||||||||
| Accumulated undistributed (distributions in excess of) net investment income | (1,826,999 | ) | 11,514,693 | (331,587 | ) | ||||||||||||
| Accumulated net realized gain (loss) on investment, options, futures, swaps and foreign currency related transactions | (60,798,299 | ) | (12,157,681 | ) | 2,630,930 | ||||||||||||
| Net unrealized gain on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 5,481,190 | 67,939,932 | 4,218,212 | ||||||||||||||
NET ASSETS | $ | 868,562,158 | $ | 2,881,944,592 | $ | 154,375,883 | |||||||||||
| Net Assets: | |||||||||||||||||
| Class A | $ | 252,962,017 | $ | 1,395,264,908 | $ | 69,301,768 | |||||||||||
| Class B | 17,715,364 | 96,743,233 | — | ||||||||||||||
| Class C | 6,908,312 | 90,528,399 | 1,490 | ||||||||||||||
| Institutional | 590,541,270 | 1,296,428,407 | 85,072,625 | ||||||||||||||
| Service | 435,195 | 2,979,645 | — | ||||||||||||||
| Shares outstanding: | |||||||||||||||||
| Class A | 19,851,135 | 173,624,524 | 5,784,459 | ||||||||||||||
| Class B | 1,395,227 | 12,023,204 | — | ||||||||||||||
| Class C | 545,099 | 11,263,155 | 124 | ||||||||||||||
| Institutional | 46,407,025 | 161,130,690 | 7,093,161 | ||||||||||||||
| Service | 34,231 | 371,156 | — | ||||||||||||||
| Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 68,232,717 | 358,412,729 | 12,877,744 | ||||||||||||||
Net asset value, offering and redemption price per share: (b) | |||||||||||||||||
| Class A | $12.74 | $8.04 | $11.98 | ||||||||||||||
| Class B | 12.70 | 8.05 | — | ||||||||||||||
| Class C | 12.67 | 8.04 | 11.97 | ||||||||||||||
| Institutional | 12.73 | 8.05 | 11.99 | ||||||||||||||
| Service | 12.71 | 8.03 | — | ||||||||||||||
| (a) | Includes restricted cash of $950,000 related to initial margin requirements and collateral on futures transactions for the Global Income Fund. |
| (b) | Maximum public offering price per share for Class A Shares of the Global Income, High Yield and Emerging Markets Debt Funds (NAV per share multiplied by 1.0471) is $13.34, $8.42 and $12.54 respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
The accompanying notes are an integral part of these financial statements.
50
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Operations
For the Year Ended October 31, 2006
| Global Income | High Yield | Emerging Markets | ||||||||||||
| Fund | Fund | Debt Fund | ||||||||||||
| Investment income: | ||||||||||||||
Interest (net of allowances)(a) | $ | 19,842,999 | $ | 196,445,245 | $ | 7,744,473 | ||||||||
| Dividends | 46,957 | 449,476 | — | |||||||||||
Total income | 19,889,956 | 196,894,721 | 7,744,473 | |||||||||||
| Expenses: | ||||||||||||||
| Management fees | 3,515,096 | 15,997,975 | 970,797 | |||||||||||
Distribution and Service fees(b) | 754,210 | 4,669,256 | 153,107 | |||||||||||
Transfer Agent fees(b) | 478,646 | 2,518,765 | 122,031 | |||||||||||
| Custody and accounting fees | 365,760 | 424,174 | 131,970 | |||||||||||
| Registration fees | 70,169 | 123,123 | 66,009 | |||||||||||
| Professional fees | 70,112 | 91,625 | 89,263 | |||||||||||
| Printing fees | 31,905 | 90,358 | 41,343 | |||||||||||
| Trustee fees | 12,837 | 12,837 | 12,837 | |||||||||||
| Service share fees | 2,287 | 11,756 | — | |||||||||||
| Other | 43,313 | 141,095 | 47,751 | |||||||||||
Total expenses | 5,344,335 | 24,080,964 | 1,635,108 | |||||||||||
| Less — expense reductions | (629,605 | ) | (530,275 | ) | (367,798 | ) | ||||||||
Net expenses | 4,714,730 | 23,550,689 | 1,267,310 | |||||||||||
NET INVESTMENT INCOME | 15,175,226 | 173,344,032 | 6,477,163 | |||||||||||
| Realized and unrealized gain (loss) on investment, options, futures, swap and foreign currency related transactions: | ||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||
| Investment transactions | (3,273,840 | ) | 3,982,284 | 2,702,348 | ||||||||||
| Futures transactions | (645,475 | ) | — | 70,854 | ||||||||||
| Options written | 385,172 | — | — | |||||||||||
| Swap contracts | (1,139,374 | ) | — | 115,778 | ||||||||||
| Foreign currency related transactions | (1,977,384 | ) | 6,375,160 | (450,476 | ) | |||||||||
| Net change in unrealized gain (loss) on: | ||||||||||||||
| Investments | 11,268,008 | 68,663,993 | 3,389,496 | |||||||||||
| Futures | (814,725 | ) | — | (55,966 | ) | |||||||||
| Options written | 130,858 | — | — | |||||||||||
| Swap contracts | 216,642 | — | 228,663 | |||||||||||
| Translation of assets and liabilities denominated in foreign currencies | (2,731,229 | ) | (12,256,564 | ) | (319,671 | ) | ||||||||
Net realized and unrealized gain on investment, options, futures, swap and foreign currency related transactions | 1,418,653 | 66,764,873 | 5,681,026 | |||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 16,593,879 | $ | 240,108,905 | $ | 12,158,189 | ||||||||
| (a) | Net of $4,839 and $14,521 in foreign withholding tax for the Global Income and High Yield Funds, respectively. |
| (b) | Class specific Distribution and Service and Transfer Agent fees were as follows: |
| Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||
| Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
| Global Income | $ | 477,299 | $ | 207,550 | $ | 69,361 | $ | 305,471 | $ | 33,208 | $ | 11,098 | $ | 128,686 | $ | 183 | ||||||||||||||||
| High Yield | 2,868,400 | 1,002,411 | 798,445 | 1,835,776 | 160,386 | 127,751 | 393,912 | 940 | ||||||||||||||||||||||||
| Emerging Markets Debt | 153,106 | — | 1 | 97,987 | — | 1 | 24,043 | — | ||||||||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
51
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Changes in Net Assets
| Global Income Fund | |||||||||||
| For the | For the | ||||||||||
| Year Ended | Year Ended | ||||||||||
| October 31, 2006 | October 31, 2005 | ||||||||||
| From operations: | |||||||||||
| Net investment income | $ | 15,175,226 | $ | 8,503,204 | |||||||
| Net realized gain (loss) on investment, futures, options, swaps and foreign currency related transactions | (6,650,901 | ) | 29,826,002 | ||||||||
| Net change in unrealized gain (loss) on investments, options, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 8,069,554 | (23,407,913 | ) | ||||||||
Net increase in net assets resulting from operations | 16,593,879 | 14,921,293 | |||||||||
| Distributions to shareholders: | |||||||||||
| From net investment income | |||||||||||
| Class A Shares | (10,177,713 | ) | (12,637,043 | ) | |||||||
| Class B Shares | (1,057,409 | ) | (1,906,896 | ) | |||||||
| Class C Shares | (329,720 | ) | (615,553 | ) | |||||||
| Institutional Shares | (16,109,652 | ) | (10,092,583 | ) | |||||||
| Service Shares | (24,929 | ) | (39,718 | ) | |||||||
| From net realized gains | |||||||||||
| Class A Shares | — | — | |||||||||
| Institutional Shares | — | — | |||||||||
| From capital | |||||||||||
| Class A Shares | (673,831 | ) | — | ||||||||
| Class B Shares | (70,007 | ) | — | ||||||||
| Class C Shares | (21,830 | ) | — | ||||||||
| Institutional Shares | (1,066,563 | ) | — | ||||||||
| Service Shares | (1,650 | ) | — | ||||||||
Total distributions to shareholders | (29,533,304 | ) | (25,291,793 | ) | |||||||
| From share transactions: | |||||||||||
| Proceeds from sales of shares | 623,711,550 | 294,640,539 | |||||||||
| Reinvestment of dividends and distributions | 26,966,721 | 21,891,808 | |||||||||
Cost of shares repurchased(a) | (190,950,469 | ) | (210,384,450 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | 459,727,802 | 106,147,897 | |||||||||
TOTAL INCREASE (DECREASE) | 446,788,377 | 95,777,397 | |||||||||
| Net assets: | |||||||||||
| Beginning of year | 421,773,781 | 325,996,384 | |||||||||
| End of year | $ | 868,562,158 | $ | 421,773,781 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1,826,999 | ) | $ | 13,747,736 | ||||||
| (a) | Net of redemption fees, remitted to the Funds as follows: |
| For the | For the | |||||||
| Year Ended | Year Ended | |||||||
| Fund | October 31, 2006 | October 31, 2005 | ||||||
| Global Income | $ | 6,373 | $ | 6,229 | ||||
| High Yield | 75,035 | 63,737 | ||||||
| Emerging Markets Debt | 19,806 | 2,083 | ||||||
The accompanying notes are an integral part of these financial statements.
52
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| High Yield Fund | Emerging Markets Debt Fund | |||||||||||||||
| For the | For the | For the | For the | |||||||||||||
| Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
| October 31, 2006 | October 31, 2005 | October 31, 2006 | October 31, 2005 | |||||||||||||
| $ | 173,344,032 | $ | 158,592,451 | $ | 6,477,163 | $ | 2,662,733 | |||||||||
| 10,357,444 | 45,239,247 | 2,438,504 | 3,264,243 | |||||||||||||
| 56,407,429 | (102,730,743 | ) | 3,242,522 | 96,790 | ||||||||||||
| 240,108,905 | 101,100,955 | 12,158,189 | 6,023,766 | |||||||||||||
| (84,061,954 | ) | (89,921,358 | ) | (3,310,565 | ) | (880,892 | ) | |||||||||
| (6,619,789 | ) | (8,286,780 | ) | — | — | |||||||||||
| (5,260,116 | ) | (4,972,722 | ) | (5 | ) | — | ||||||||||
| (75,965,184 | ) | (68,948,809 | ) | (3,479,083 | ) | (1,670,378 | ) | |||||||||
| (169,229 | ) | (125,665 | ) | — | — | |||||||||||
| — | — | (1,535,731 | ) | (297,553 | ) | |||||||||||
| — | — | (1,540,548 | ) | (948,324 | ) | |||||||||||
| — | — | — | — | |||||||||||||
| — | — | — | — | |||||||||||||
| — | — | — | — | |||||||||||||
| — | — | — | — | |||||||||||||
| — | — | — | — | |||||||||||||
| (172,076,272 | ) | (172,255,334 | ) | (9,865,932 | ) | (3,797,147 | ) | |||||||||
| 1,402,984,435 | 1,034,540,842 | 129,969,181 | 52,373,706 | |||||||||||||
| 131,273,894 | 122,358,326 | 8,984,045 | 3,703,776 | |||||||||||||
| (731,412,439 | ) | (1,178,657,417 | ) | (62,158,343 | ) | (8,812,947 | ) | |||||||||
| 802,845,890 | (21,758,249 | ) | 76,794,883 | 47,264,535 | ||||||||||||
| 870,878,523 | (92,912,628 | ) | 79,087,140 | 49,491,154 | ||||||||||||
| 2,011,066,069 | 2,103,978,697 | 75,288,743 | 25,797,589 | |||||||||||||
| $ | 2,881,944,592 | $ | 2,011,066,069 | $ | 154,375,883 | $ | 75,288,743 | |||||||||
| $ | 11,514,693 | $ | 4,214,366 | $ | (331,587 | ) | $ | 269,755 | ||||||||
The accompanying notes are an integral part of these financial statements.
53
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements
October 31, 2006
| 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 Goldman Sachs Global Income Fund (“Global Income”), Goldman Sachs High Yield Fund (“High Yield”) and Goldman Sachs Emerging Markets Debt Fund (“Emerging Markets Debt”), (collectively, the “Funds” or individually a “Fund”). High Yield is a diversified portfolio of the Trust whereas Global Income and Emerging Markets Debt are registered as non-diversified portfolios. Global Income and High Yield offer five classes of shares — Class A, Class B, Class C, Institutional and Service. Emerging Markets Debt offers three classes of shares — Class A, Class C and Institutional. Class A shares of Global Income, High Yield and Emerging Markets Debt are sold with front-end sales charges of up to 4.50%. Class B shares of Global Income and High Yield are sold with contingent deferred sales charges that decline from 5.00% to zero, depending upon the period of time the shares are held. Class C shares of Global Income, High Yield and Emerging Markets Debt have a contingent deferred sales charge of 1% during the first 12 months. Institutional Class shares of Global Income, High Yield and Emerging Markets Debt, and Service Class Shares of Global Income and High Yield, are not subject to a sales charge. Goldman, Sachs & Co. (“Goldman Sachs”), as distributor of the Funds, receives such sales loads of which a certain portion may be retained.
High Yield invests primarily in non-investment grade fixed-income securities, which are considered predominantly speculative by traditional investment standards. Non-investment grade fixed-income securities and unrated securities of comparable credit quality (commonly known as “junk bonds”) are subject to the increased risk of an issuer’s inability to meet principal and interest obligations. These securities, also referred to as high yield securities, may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, generally negative perceptions of the junk bond markets and less secondary market liquidity.
Emerging Markets Debt and Global Income invest in securities of foreign companies and foreign governments which involve special risks; including, but not limited to, the possibility of future political and economic developments that could adversely affect the value of such securities. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid, and their prices more volatile, than those of comparable U.S. companies and the United States government. In addition, Emerging Markets Debt invests in the Sovereign Debt Obligations of countries that are considered emerging markets countries at the time of purchase. Therefore, the Fund is susceptible to governmental factors and economic developments that may adversely affect the economies of these emerging markets countries. In addition, these debt obligations may be less liquid and subject to greater volatility than debt obligations of more developed countries.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the 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 — Portfolio securities for which market quotations are readily available are valued at market value on the basis of quotations furnished by a pricing service or provided by dealers in such securities. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Investments in securities traded on a U.S. or foreign securities exchange (or the NASDAQ system) are valued daily at their last price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Portfolio securities for which market quotations are not readily available or are deemed not to reflect market value by the Funds’ respective investment adviser are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are reflected 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 (net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable), premium amortized and discount accreted. Dividend income is recorded on the ex-dividend date,
54
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
(net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds). Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the respective Funds based upon the relative proportion of net assets of each class.
Certain mortgage security paydown gains and losses are recorded as interest income (loss) and are included in interest income in the accompanying Statements of Operations. Original issue discounts (OID) on debt securities are accreted to interest income over the life of the security with a corresponding increase in the cost basis of that security. Market discounts and market premiums on debt securities are accreted/amortized to interest income over the expected life of the security with a corresponding adjustment in the cost basis of that security.
Pursuant to applicable law and procedures adopted by the Trust’s Board of Trustees, securities transactions in portfolio securities (including futures transactions) may be effected from time to time through Goldman Sachs or an affiliate. In order for Goldman Sachs or an affiliate, acting as agent, to effect securities or futures transactions for a Fund, the commissions, fees or other remuneration received by Goldman Sachs or an affiliate must be reasonable and fair compared to the commissions, fees or other remuneration received by other brokers in connection with comparable transactions involving similar securities or futures contracts.
C. 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.
Class A, Class B and Class C shareholders of the Funds bear all expenses and fees relating to their respective Distribution and Service Plans. Service Shares bear all expenses and fees relating to their Service and Shareholder Administration Plans. Each class of shares of the Funds separately bears its respective class-specific Transfer Agency fees.
D. 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 income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions for High Yield and Emerging Markets Debt are declared daily and paid monthly. Income distributions for Global Income are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually for all Funds. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from U.S. generally accepted accounting principles. Therefore, the source of a Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gains, or as a tax return of capital.
E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
Net realized and unrealized gain (loss) on foreign currency transactions will represent: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) gains and losses from the sale of investments; (iii) currency gains and losses between trade date and settlement date on investment securities transactions and forward exchange contracts; and (iv) gains and losses from the difference between amounts of interest, dividends and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on securities and derivative instruments are segregated in the Statement of Operations from the effects of changes in market prices of those securities and derivative instruments, but are included with the net realized and unrealized gain (loss) on securities and derivative instruments. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities
55
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2006
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions
F. Forward Foreign Currency Exchange Contracts — The Funds may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Funds may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Funds’ financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. At October 31, 2006, the Funds had segregated sufficient cash and/or securities to cover any commitments under these contracts.
G. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to segregate or deliver cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependant on the fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statements of Operations.
The use of futures contracts involve, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of the Funds’ strategies and potentially result in a loss.
H. Options — The Funds may write and/or purchase call and put options on any securities in which the Funds may invest or any securities index consisting of securities in which they may invest. When the Funds write call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current market value of the option written. When a written option expires on its stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize a gain or loss without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. When a written call option is exercised, the Funds realize a gain or loss from the sale of the underlying security, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Funds purchase upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received.
Upon the purchase of a call option or a put option by the Funds, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. If an option which the Funds have purchased expires on the stipulated expiration date, the Funds will realize a loss in the amount of the cost of the option. If the Funds enter into a closing sale transaction, the Funds will realize a gain or loss, depending on whether the sale proceeds for the closing sale transaction are greater or less than the cost of the option. If the Funds exercise a purchased put option, the Funds will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Funds exercise a purchased call option, the cost of the security which the Funds purchase upon exercise will be increased by the premium originally paid. Purchased over-the counter options are subject to the risk that the counterparty may default on its obligations, which could result in a loss to a Fund.
56
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
I. 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 sub custodians under triparty repurchase agreements.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“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.
J. Segregation Transactions — The Funds may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, swaps, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds may be required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
K. Swap Contracts — The Funds may enter into swap transactions for hedging purposes or to seek to increase total return. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Funds, and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market, liquidity, elements of credit, legal and documentation risk in excess of amounts recognized in the Statement of Assets and Liabilities. The Funds may invest in the following type of swaps:
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specific prices, rates or indices for a specified amount of an underlying notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A total return swap is an agreement that gives the Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which is typically an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, the Fund may also be required to pay the dollar value of that decline to the counterparty.
Credit default swap agreements involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically a corporate issuer on its obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of a corporate issuer or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a seller of protection, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. If the Fund enters into a buy contract and no credit event occurs, its exposure is limited to the periodic payments previously made to the counterparty. In addition, if the Fund enters into a sale contract and a credit event occurs, the value of the referenced obligation received by the Fund reduced by the periodic payments previously received may be less than the maximum payment it pays to the counterparty, resulting in a loss to the Fund.
Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or models prices and the change in value, if any, is recorded as unrealized gain or loss in the Statement of Operations. An upfront payment made and/or received by the Funds, is recorded as an asset and/or liability on the Statement of Assets and Liabilities and is only
57
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2006
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
recorded as a realized gain or loss when either the contract’s term ends or, with respect to a Credit Default Swap, a credit event occurs. Periodic payments received or made on swap contracts are recorded as realized gain or loss in the Statement of Operations. Gains or losses are also realized upon early termination of the swap agreements.
L. Treasury Inflation-Protected Securities — The Funds may invest in Treasury Inflation-Protected Securities (“TIPS”), specially structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index (“CPI”). The adjustments for interest income due to inflation are reflected in interest income in the Statements of Operations. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
| 3. AGREEMENTS |
GSAM, an affiliate of Goldman Sachs, serves as investment adviser pursuant to an Investment Management Agreement with the Trust on behalf of High Yield and Emerging Markets Debt, and Goldman Sachs Asset Management International (“GSAMI”), an affiliate of GSAM and Goldman Sachs, serves as investment adviser pursuant to an Investment Management Agreement with the Trust on behalf of Global Income (the Investment Management Agreements with GSAM and GSAMI are collectively referred to herein as the “Agreements”). Under the Agreements, the respective investment adviser manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administering the Funds’ business affairs, including providing facilities, the investment advisers are entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
The investment advisers entered into a fee reduction commitment for the Funds which was implemented on a voluntary basis prior to February 28, 2006, and on a contractual basis as of February 28, 2006 to achieve the following rates:
| Management Fee | Average Daily | |||||||
| Fund | Annual Rate | Net Assets | ||||||
| Global Income | 0.65 | % | Up to $1 billion | |||||
| 0.59 | Next $1 billion | |||||||
| 0.56 | Over $2 billion | |||||||
| High Yield | 0.70 | Up to $2 billion | ||||||
| 0.63 | Over $2 billion | |||||||
| Emerging Markets Debt | 0.80 | Up to $2 billion | ||||||
| 0.72 | Over $2 billion | |||||||
Prior to February 28, 2006, the contractual Management fees for Global Income, High Yield and Emerging Markets Debt as an annual percentage rate of average daily net assets were 0.65%, 0.70% and 0.80%, respectively.
Each investment adviser has voluntarily agreed to limit certain “Other Expenses” of the Funds (excluding Management fees, Distribution and Service fees, Transfer Agency fees and expenses, Service Share fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meeting and other extraordinary expenses exclusive of any expense offset agreements) to the extent that such expenses exceed, on an annual basis, a percentage rate 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 their respective adviser for prior fiscal year expense reimbursements, if any.
For the year ended October 31, 2006, as an annual percentage rate of average daily net assets, the Other Expense limitations of Global Income, High Yield, and Emerging Markets Debt were 0.004%, 0.024%, and 0.044%, respectively.
58
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| 3. AGREEMENTS (continued) |
The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs and/or authorized dealers are entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% and 0.75% of the average daily net assets attributable to Emerging Markets Debt Class A and Class C Shares, respectively, and 0.25%, 0.75% and 0.75% of the average daily net assets attributable to Class A, Class B and Class C Shares, respectively of Global Income and High Yield. Additionally, Goldman Sachs and/or authorized dealers are entitled to receive, under the Plans, a separate fee for personal and account maintenance services equal to, on an annual basis, 0.25% of each Fund’s average daily net assets attributable to Class B and Class C Shares of Global Income and High Yield and Class C of Emerging Markets Debt.
Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may retain a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the year ended October 31, 2006, Goldman Sachs advised the Funds that it retained the following approximate amounts:
| Contingent Deferred | ||||||||||||
| Sales Load | Sales Charge | |||||||||||
| Fund | Class A | Class B | Class C | |||||||||
| Global Income | $ | 16,800 | $ | — | $ | 100 | ||||||
| High Yield | 282,600 | — | 1,300 | |||||||||
| Emerging Markets Debt | 19,500 | N/A | — | |||||||||
All shares of the Funds charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less (60 calendar days in the case of High Yield). For this purpose, the Funds use a first-in first-out (“FIFO”) method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are reimbursed to the Funds and reflected as a reduction in share redemptions on the Statements of Changes in Net Assets. Redemption fees are credited to Paid-in Capital and are allocated to each share class of a Fund on a pro rata basis.
Goldman Sachs also serves as Transfer Agent of the Funds for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.16% of the average daily net assets for Class A and Class C Shares of the Funds, Class B (Global Income and High Yield only) Shares and 0.04% of the average daily net assets for Institutional and Service shares (Global Income and High Yield only).
The Trust, on behalf of Global Income and High Yield, has adopted a Service Plan and Shareholder Administration Plan for Service Shares. These plans allow for Service Shares to compensate service organizations for providing varying levels of personal and account administration and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan provide for compensation to the service organizations in an amount equal to, on an annual basis, 0.25% and 0.25%, respectively, of the average daily net assets of the Service Shares.
59
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2006
| 3. AGREEMENTS (continued) |
For the year ended October 31, 2006, GSAM and GSAMI have voluntarily agreed to waive certain fees and reimburse other expenses. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction of the Funds’ expenses. These expense reductions were as follows (in thousands):
| Expense Credits | ||||||||||||||||||||
| Management Fee | Other Expense | Custody | Transfer Agent | Total Expense | ||||||||||||||||
| Fund | Waiver | Reimbursement | Fees | Fees | Reductions | |||||||||||||||
| Global Income | $ | — | $ | 573 | $ | 43 | $ | 14 | $ | 630 | ||||||||||
| High Yield | 16 | 328 | 103 | 83 | 530 | |||||||||||||||
| Emerging Markets Debt | — | 336 | 30 | 2 | 368 | |||||||||||||||
As of October 31, 2006, the amounts owed to affiliates of the Trust were as follows (in thousands):
| Management | Distribution and | Transfer | Over | |||||||||||||||||
| Fund | Fees | Service Fees | Agent Fees | Reimbursement | Total | |||||||||||||||
| Global Income | $ | 459 | $ | 73 | $ | 55 | $ | 25 | $ | 612 | ||||||||||
| High Yield | 1,608 | 442 | 250 | 45 | 2,345 | |||||||||||||||
| Emerging Markets Debt | 101 | 14 | 12 | — | 127 | |||||||||||||||
| 4. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the year ended October 31, 2006, were as follows:
| Sales and | Sales and Maturities | |||||||||||||||
| Purchases of | Purchases | Maturities of | (Excluding | |||||||||||||
| U.S. Government | (Excluding | U.S. Government | U.S. Government | |||||||||||||
| and Agency | U.S. Government and | and Agency | and Agency | |||||||||||||
| Fund | Obligations | Agency Obligations) | Obligations | Obligations) | ||||||||||||
| Global Income | $ | 317,528,433 | $ | 603,532,863 | $ | 177,691,227 | $ | 308,630,780 | ||||||||
| High Yield | — | 1,475,968,118 | — | 881,451,691 | ||||||||||||
| Emerging Markets Debt | — | 257,640,720 | — | 178,842,674 | ||||||||||||
For the year ended October 31, 2006, Emerging Markets Debt paid commissions of approximately $200 in connection with futures contracts entered into with Goldman Sachs.
| 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, the Funds must own securities having a market value in excess of 300% of each Fund’s 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. For the year ended October 31, 2006, the Funds did not have any borrowings under this facility.
60
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| 6. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2006 was as follows:
| Global Income | High Yield | Emerging Markets Debt | |||||||||||
| Distributions paid from: | |||||||||||||
| Ordinary income | $ | 27,699,423 | $ | 172,076,272 | $ | 9,553,421 | |||||||
| Net long-term capital gains | — | — | 312,511 | ||||||||||
| Total taxable distributions | $ | 27,699,423 | $ | 172,076,272 | $ | 9,865,932 | |||||||
| Tax return of capital | 1,833,881 | — | — | ||||||||||
The tax character of distributions paid during the fiscal year ended October 31, 2005 was as follows:
| Global Income | High Yield | Emerging Markets Debt | |||||||||||
| Distributions paid from: | |||||||||||||
| Ordinary income | $ | 25,291,793 | $ | 172,255,334 | $ | 3,797,147 | |||||||
| Total taxable distributions | $ | 25,291,793 | $ | 172,255,334 | $ | 3,797,147 | |||||||
As of October 31, 2006, the components of accumulated earnings (losses) on a tax basis were as follows:
| Global Income | High Yield | Emerging Markets Debt | |||||||||||
| Undistributed ordinary income — net | $ | — | $ | 16,579,380 | $ | 2,327,454 | |||||||
| Undistributed long-term capital gains | — | — | 604,032 | ||||||||||
| Total undistributed earnings | $ | — | $ | 16,579,380 | $ | 2,931,486 | |||||||
| Capital loss carryforward:* | |||||||||||||
| Expiring 2010 | $ | (26,255,373 | ) | $ | — | $ | — | ||||||
| Expiring 2011 | (28,737,453 | ) | (3,216,116 | ) | — | ||||||||
| Expiring 2012 | (1,611,665 | ) | — | — | |||||||||
| Expiring 2014 | (3,390,506 | ) | (8,291,304 | ) | — | ||||||||
| Total capital loss carryforward | (59,994,997 | ) | (11,507,420 | ) | — | ||||||||
| Timing differences (deferred straddle losses, taxable interest on defaulted securities and income distribution payable) | (3,493,932 | ) | (5,064,686 | ) | (658,800 | ) | |||||||
| Unrealized gains — net | 6,344,821 | 67,289,670 | 4,244,869 | ||||||||||
| Total accumulated earnings (losses) — net | $ | (57,144,108 | ) | $ | 67,296,944 | $ | 6,517,555 | ||||||
| * | Expiration occurs on October 31 of the year indicated. |
61
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2006
| 6. TAX INFORMATION (continued) |
At October 31, 2006, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Global Income | High Yield | Emerging Markets Debt | ||||||||||
| Tax cost | $ | 855,824,420 | $ | 2,805,143,241 | $ | 154,366,763 | ||||||
| Gross unrealized gain | 15,582,149 | 126,726,608 | 19,027,269 | |||||||||
| Gross unrealized loss | (9,971,742 | ) | (59,589,413 | ) | (15,009,567 | ) | ||||||
| Net unrealized security gain | 5,610,407 | 67,137,195 | 4,017,702 | |||||||||
| Net unrealized gain on other investments | 734,414 | 152,475 | 227,167 | |||||||||
| Net unrealized gain | $ | 6,344,821 | $ | 67,289,670 | $ | 4,244,869 | ||||||
The differences between book and tax basis unrealized gains (losses) is attributable primarily to wash sales, swap treatment, net marked-to-market gains and losses on futures and foreign currency contracts recognized by tax purposes and differing treatment of market premium amortization.
In order to present certain components of the Funds’ capital accounts on a tax basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds. Reclassifications result primarily from the differing book/tax treatments for foreign currency transactions, swap transactions and certain consent fee payments.
| Accumulated net | ||||||||
| realized | ||||||||
| Accumulated | gain (loss) on | |||||||
| undistributed net | investment | |||||||
| Fund | investment income | transactions | ||||||
| Global Income | $ | (3,050,538 | ) | $ | 3,050,538 | |||
| High Yield | 6,032,567 | (6,032,567 | ) | |||||
| Emerging Markets Debt | (288,852 | ) | 288,852 | |||||
| 7. OTHER MATTERS |
The following Goldman Sachs Asset Allocation Portfolios were beneficial owners of the Funds as of October 31, 2006 with amounts of 5% or greater of the total shares outstanding, as follows:
| Goldman Sachs | ||||||||||||
| Goldman Sachs | Goldman Sachs | Growth and Income | ||||||||||
| Balanced Strategy | Growth Strategy | Strategy | ||||||||||
| Fund | Portfolio | Portfolio | Portfolio | |||||||||
| Global Income | 5 | % | 21 | % | 38 | % | ||||||
| Emerging Markets Debt | — | 21 | % | 24 | % | |||||||
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 Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds (including these Funds), and the Trustees and Officers of the 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, GSAMI, Goldman Sachs and certain related parties including certain Goldman Sachs Funds
62
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| 7. OTHER MATTERS (continued) |
and the Trustees and Officers of the Trust. These Funds, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. 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. By agreement, the plaintiffs subsequently withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
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 their ability to provide investment management services to their 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 a Fund’s 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, the investment advisers are evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
On September 15, 2006, FASB released Statement Financial Accounting Standard No. 157 Fair Value Measurement (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations on an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment advisers do not believe the adoption of FAS 157 will impact the amounts reported in the financial statements, however, additional disclosures will be required.
63
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2006
| 8. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Global Income Fund | ||||||||||||||||
| For the Year Ended | For the Year Ended | |||||||||||||||
| October 31, 2006 | October 31, 2005 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
| Shares sold | 11,905,993 | $ | 151,347,777 | 5,506,979 | $ | 74,333,167 | ||||||||||
Shares converted from Class B(a) | 48,774 | 632,232 | 35,018 | 472,887 | ||||||||||||
| Reinvestment of dividends and distributions | 773,632 | 9,933,914 | 838,199 | 11,271,419 | ||||||||||||
| Shares repurchased | (5,984,030 | ) | (76,641,869 | ) | (5,602,085 | ) | (75,652,596 | ) | ||||||||
| 6,744,369 | 85,272,054 | 778,111 | 10,424,877 | |||||||||||||
Class B Shares | ||||||||||||||||
| Shares sold | 60,972 | 777,498 | 126,039 | 1,694,577 | ||||||||||||
| Reinvestment of dividends and distributions | 70,664 | 906,495 | 115,459 | 1,547,652 | ||||||||||||
Shares converted to Class A(a) | (48,983 | ) | (632,232 | ) | (35,172 | ) | (472,887 | ) | ||||||||
| Shares repurchased | (567,097 | ) | (7,247,692 | ) | (623,523 | ) | (8,390,953 | ) | ||||||||
| (484,444 | ) | (6,195,931 | ) | (417,197 | ) | (5,621,611 | ) | |||||||||
Class C Shares | ||||||||||||||||
| Shares sold | 178,494 | 2,271,072 | 227,163 | 3,067,526 | ||||||||||||
| Reinvestment of dividends and distributions | 20,674 | 264,555 | 37,222 | 498,032 | ||||||||||||
| Shares repurchased | (289,164 | ) | (3,733,311 | ) | (252,443 | ) | (3,388,520 | ) | ||||||||
| (89,996 | ) | (1,197,684 | ) | 11,942 | 177,038 | |||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 36,969,936 | 469,268,400 | 16,030,460 | 215,416,614 | ||||||||||||
| Reinvestment of dividends and distributions | 1,239,946 | 15,852,486 | 638,411 | 8,557,970 | ||||||||||||
| Shares repurchased | (8,003,654 | ) | (103,261,990 | ) | (9,082,740 | ) | (122,816,175 | ) | ||||||||
| 30,206,228 | 381,858,896 | 7,586,131 | 101,158,409 | |||||||||||||
Service Shares | ||||||||||||||||
| Shares sold | 3,630 | 46,803 | 9,461 | 128,655 | ||||||||||||
| Reinvestment of dividends and distributions | 722 | 9,271 | 1,247 | 16,735 | ||||||||||||
| Shares repurchased | (5,170 | ) | (65,607 | ) | (10,154 | ) | (136,206 | ) | ||||||||
| (818 | ) | (9,533 | ) | 554 | 9,184 | |||||||||||
NET INCREASE (DECREASE) | 36,375,339 | $ | 459,727,802 | 7,959,541 | $ | 106,147,897 | ||||||||||
| (a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
| (b) | Less than 0.5 shares. |
64
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
| High Yield Fund | Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
| For the Year Ended | For the Year Ended | For the Year Ended | For the Year Ended | |||||||||||||||||||||||||||||
| October 31, 2006 | October 31, 2005 | October 31, 2006 | October 31, 2005 | |||||||||||||||||||||||||||||
| Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
| 84,785,341 | $ | 672,552,166 | 59,918,904 | $ | 482,923,803 | 6,562,901 | $ | 77,214,520 | 2,559,829 | $ | 29,690,378 | |||||||||||||||||||||
| 358,760 | 2,837,177 | 215,394 | 1,716,843 | — | — | — | — | |||||||||||||||||||||||||
| 8,605,618 | 68,277,260 | 8,288,463 | 66,555,057 | 348,525 | 4,045,052 | 95,808 | 1,090,595 | |||||||||||||||||||||||||
| (49,060,035 | ) | (388,283,776 | ) | (76,783,213 | ) | (614,605,307 | ) | (4,049,208 | ) | (46,991,805 | ) | (217,414 | ) | (2,465,633 | ) | |||||||||||||||||
| 44,689,684 | 355,382,827 | (8,360,452 | ) | (63,409,604 | ) | 2,862,218 | 34,267,767 | 2,438,223 | 28,315,340 | |||||||||||||||||||||||
| 2,017,511 | 16,010,287 | 3,339,129 | 26,994,815 | — | — | — | — | |||||||||||||||||||||||||
| 590,917 | 4,691,601 | 703,838 | 5,657,069 | — | — | — | — | |||||||||||||||||||||||||
| (358,307 | ) | (2,837,177 | ) | (215,124 | ) | (1,716,843 | ) | — | — | — | — | |||||||||||||||||||||
| (3,609,924 | ) | (28,608,623 | ) | (3,438,905 | ) | (27,602,836 | ) | — | — | — | — | |||||||||||||||||||||
| (1,359,803 | ) | (10,743,912 | ) | 388,938 | 3,332,205 | — | — | — | — | |||||||||||||||||||||||
| 4,194,002 | 33,221,422 | 4,483,137 | 36,110,747 | 124 | 1,462 | — | — | |||||||||||||||||||||||||
| 436,524 | 3,462,905 | 424,989 | 3,409,990 | — | (b) | 5 | — | — | ||||||||||||||||||||||||
| (2,661,355 | ) | (21,059,692 | ) | (2,566,081 | ) | (20,585,642 | ) | — | — | — | — | |||||||||||||||||||||
| 1,969,171 | 15,624,635 | 2,342,045 | 18,935,095 | 124 | 1,467 | — | — | |||||||||||||||||||||||||
| 85,609,899 | 679,637,335 | 60,952,919 | 487,770,294 | 4,525,781 | 52,753,199 | 1,980,002 | 22,683,328 | |||||||||||||||||||||||||
| 6,890,895 | 54,750,060 | 5,806,502 | 46,697,529 | 424,776 | 4,938,988 | 231,745 | 2,613,181 | |||||||||||||||||||||||||
| (36,928,796 | ) | (293,121,131 | ) | (64,058,550 | ) | (515,581,178 | ) | (1,340,699 | ) | (15,166,538 | ) | (550,280 | ) | (6,347,314 | ) | |||||||||||||||||
| 55,571,998 | 441,266,264 | 2,700,871 | 18,886,645 | 3,609,858 | 42,525,649 | 1,661,467 | 18,949,195 | |||||||||||||||||||||||||
| 197,698 | 1,563,225 | 91,663 | 741,183 | — | — | — | — | |||||||||||||||||||||||||
| 11,607 | 92,068 | 4,827 | 38,681 | — | — | — | — | |||||||||||||||||||||||||
| (42,888 | ) | (339,217 | ) | (35,156 | ) | (282,454 | ) | — | — | — | — | |||||||||||||||||||||
| 166,417 | 1,316,076 | 61,334 | 497,410 | — | — | — | — | |||||||||||||||||||||||||
| 101,037,467 | $ | 802,845,890 | (2,867,264 | ) | $ | (21,758,249 | ) | 6,472,200 | $ | 76,794,883 | 4,099,690 | $ | 47,264,535 | |||||||||||||||||||
65
GOLDMAN SACHS GLOBAL INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||
| investment operations | Total distributions to shareholders | |||||||||||||||||||||||||||||||
| Net asset | ||||||||||||||||||||||||||||||||
| value, | Net | Net realized | Total from | From net | ||||||||||||||||||||||||||||
| beginning | investment | and unrealized | investment | investment | From | Total | ||||||||||||||||||||||||||
| Year - Share Class | of year | income(a) | gain (loss) | operations | income | capital | distributions | |||||||||||||||||||||||||
| FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
| 2006 - A | $ | 13.25 | $ | 0.34 | $ | (0.09 | ) | $ | 0.25 | $ | (0.71 | ) | $ | (0.05 | ) | $ | (0.76 | ) | ||||||||||||||
| 2006 - B | 13.20 | 0.24 | (0.08 | ) | 0.16 | (0.62 | ) | (0.04 | ) | (0.66 | ) | |||||||||||||||||||||
| 2006 - C | 13.18 | 0.24 | (0.09 | ) | 0.15 | (0.62 | ) | (0.04 | ) | (0.66 | ) | |||||||||||||||||||||
| 2006 - Institutional | 13.23 | 0.38 | (0.07 | ) | 0.31 | (0.76 | ) | (0.05 | ) | (0.81 | ) | |||||||||||||||||||||
| 2006 - Service | 13.22 | 0.32 | (0.08 | ) | 0.24 | (0.70 | ) | (0.05 | ) | (0.75 | ) | |||||||||||||||||||||
| 2005 - A | 13.65 | 0.32 | 0.28 | 0.60 | (1.00 | ) | — | (1.00 | ) | |||||||||||||||||||||||
| 2005 - B | 13.61 | 0.22 | 0.27 | 0.49 | (0.90 | ) | — | (0.90 | ) | |||||||||||||||||||||||
| 2005 - C | 13.58 | 0.22 | 0.28 | 0.50 | (0.90 | ) | — | (0.90 | ) | |||||||||||||||||||||||
| 2005 - Institutional | 13.64 | 0.37 | 0.28 | 0.65 | (1.06 | ) | — | (1.06 | ) | |||||||||||||||||||||||
| 2005 - Service | 13.63 | 0.30 | 0.28 | 0.58 | (0.99 | ) | — | (0.99 | ) | |||||||||||||||||||||||
| 2004 - A | 14.39 | 0.36 | 0.19 | 0.55 | (1.29 | ) | — | (1.29 | ) | |||||||||||||||||||||||
| 2004 - B | 14.34 | 0.28 | 0.19 | 0.47 | (1.20 | ) | — | (1.20 | ) | |||||||||||||||||||||||
| 2004 - C | 14.32 | 0.28 | 0.18 | 0.46 | (1.20 | ) | — | (1.20 | ) | |||||||||||||||||||||||
| 2004 - Institutional | 14.37 | 0.43 | 0.20 | 0.63 | (1.36 | ) | — | (1.36 | ) | |||||||||||||||||||||||
| 2004 - Service | 14.36 | 0.37 | 0.19 | 0.56 | (1.29 | ) | — | (1.29 | ) | |||||||||||||||||||||||
| 2003 - A | 14.34 | 0.46 | 0.32 | 0.78 | (0.73 | ) | — | (0.73 | ) | |||||||||||||||||||||||
| 2003 - B | 14.30 | 0.39 | 0.30 | 0.69 | (0.65 | ) | — | (0.65 | ) | |||||||||||||||||||||||
| 2003 - C | 14.27 | 0.38 | 0.32 | 0.70 | (0.65 | ) | — | (0.65 | ) | |||||||||||||||||||||||
| 2003 - Institutional | 14.33 | 0.56 | 0.30 | 0.86 | (0.82 | ) | — | (0.82 | ) | |||||||||||||||||||||||
| 2003 - Service | 14.31 | 0.49 | 0.31 | 0.80 | (0.75 | ) | — | (0.75 | ) | |||||||||||||||||||||||
| 2002 - A | 14.72 | 0.50 | (c) | (0.35 | )(c) | 0.15 | (0.53 | ) | — | (0.53 | ) | |||||||||||||||||||||
| 2002 - B | 14.68 | 0.41 | (c) | (0.33 | )(c) | 0.08 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||||
| 2002 - C | 14.65 | 0.41 | (c) | (0.33 | )(c) | 0.08 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||||
| 2002 - Institutional | 14.70 | 0.58 | (c) | (0.33 | )(c) | 0.25 | (0.62 | ) | — | (0.62 | ) | |||||||||||||||||||||
| 2002 - Service | 14.69 | 0.50 | (c) | (0.33 | )(c) | 0.17 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
| (c) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.43%. |
The accompanying notes are an integral part of these financial statements.
66
GOLDMAN SACHS GLOBAL INCOME FUND
| Ratios assuming no | ||||||||||||||||||||||||||||||||||
| expense reductions | ||||||||||||||||||||||||||||||||||
| Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
| Net assets, | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||||||||||
| Net asset | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||
| value, end | Total | year | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
| of year | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
| $ | 12.74 | 2.07 | % | $ | 252,962 | 1.05 | % | 2.63 | % | 1.17 | % | 2.51 | % | 97 | % | |||||||||||||||||||
| 12.70 | 1.36 | 17,716 | 1.80 | 1.89 | 1.93 | 1.76 | 97 | |||||||||||||||||||||||||||
| 12.67 | 1.28 | 6,908 | 1.80 | 1.89 | 1.93 | 1.76 | 97 | |||||||||||||||||||||||||||
| 12.73 | 2.53 | 590,541 | 0.68 | 3.00 | 0.80 | 2.88 | 97 | |||||||||||||||||||||||||||
| 12.71 | 1.93 | 435 | 1.18 | 2.51 | 1.31 | 2.38 | 97 | |||||||||||||||||||||||||||
| 13.25 | 4.56 | 173,712 | 1.08 | 2.36 | 1.32 | 2.12 | 137 | |||||||||||||||||||||||||||
| 13.20 | 3.72 | 24,819 | 1.83 | 1.61 | 2.07 | 1.37 | 137 | |||||||||||||||||||||||||||
| 13.18 | 3.80 | 8,370 | 1.83 | 1.61 | 2.07 | 1.37 | 137 | |||||||||||||||||||||||||||
| 13.23 | 4.90 | 214,410 | 0.69 | 2.70 | 0.91 | 2.48 | 137 | |||||||||||||||||||||||||||
| 13.22 | 4.38 | 463 | 1.19 | 2.26 | 1.43 | 2.02 | 137 | |||||||||||||||||||||||||||
| 13.65 | 4.01 | 168,340 | 1.25 | 2.60 | 1.67 | 2.18 | 109 | |||||||||||||||||||||||||||
| 13.61 | 3.47 | 31,252 | 1.84 | 2.00 | 2.26 | 1.58 | 109 | |||||||||||||||||||||||||||
| 13.58 | 3.40 | 8,463 | 1.84 | 2.01 | 2.26 | 1.59 | 109 | |||||||||||||||||||||||||||
| 13.64 | 4.66 | 117,471 | 0.69 | 3.12 | 1.11 | 2.70 | 109 | |||||||||||||||||||||||||||
| 13.63 | 4.13 | 470 | 1.19 | 2.65 | 1.61 | 2.23 | 109 | |||||||||||||||||||||||||||
| 14.39 | 5.45 | 224,553 | 1.35 | 3.15 | 1.74 | 2.76 | 106 | |||||||||||||||||||||||||||
| 14.34 | 4.87 | 37,118 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
| 14.32 | 4.96 | 11,238 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
| 14.37 | 6.07 | 90,368 | 0.70 | 3.82 | 1.09 | 3.43 | 106 | |||||||||||||||||||||||||||
| 14.36 | 5.61 | 609 | 1.20 | 3.37 | 1.59 | 2.98 | 106 | |||||||||||||||||||||||||||
| 14.34 | 1.08 | 255,821 | 1.34 | 3.36 | (c) | 1.72 | 2.98 | (c) | 146 | |||||||||||||||||||||||||
| 14.30 | 0.59 | 37,986 | 1.84 | 2.88 | (c) | 2.22 | 2.50 | (c) | 146 | |||||||||||||||||||||||||
| 14.27 | 0.59 | 11,533 | 1.84 | 2.88 | (c) | 2.22 | 2.50 | (c) | 146 | |||||||||||||||||||||||||
| 14.33 | 1.82 | 143,127 | 0.69 | 4.00 | (c) | 1.07 | 3.62 | (c) | 146 | |||||||||||||||||||||||||
| 14.31 | 1.24 | 1,184 | 1.19 | 3.49 | (c) | 1.57 | 3.11 | (c) | 146 | |||||||||||||||||||||||||
67
GOLDMAN SACHS HIGH YIELD FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||
| Distributions | ||||||||||||||||||||||||
| Net asset | to shareholders | |||||||||||||||||||||||
| value, | Net | Net realized | Total from | from net | ||||||||||||||||||||
| beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
| Year - Share Class | of year | income(a) | gain (loss) | operations | income | |||||||||||||||||||
| FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
| 2006 - A | $ | 7.81 | $ | 0.58 | $ | 0.23 | $ | 0.81 | $ | (0.58 | ) | |||||||||||||
| 2006 - B | 7.82 | 0.53 | 0.22 | 0.75 | (0.52 | ) | ||||||||||||||||||
| 2006 - C | 7.81 | 0.53 | 0.22 | 0.75 | (0.52 | ) | ||||||||||||||||||
| 2006 - Institutional | 7.82 | 0.61 | 0.23 | 0.84 | (0.61 | ) | ||||||||||||||||||
| 2006 - Service | 7.80 | 0.57 | 0.23 | 0.80 | (0.57 | ) | ||||||||||||||||||
| 2005 - A | 8.08 | 0.62 | (0.22 | ) | 0.40 | (0.67 | ) | |||||||||||||||||
| 2005 - B | 8.09 | 0.56 | (0.22 | ) | 0.34 | (0.61 | ) | |||||||||||||||||
| 2005 - C | 8.08 | 0.56 | (0.22 | ) | 0.34 | (0.61 | ) | |||||||||||||||||
| 2005 - Institutional | 8.09 | 0.65 | (0.21 | ) | 0.44 | (0.71 | ) | |||||||||||||||||
| 2005 - Service | 8.09 | 0.62 | (0.24 | ) | 0.38 | (0.67 | ) | |||||||||||||||||
| 2004 - A | 7.79 | 0.65 | 0.32 | 0.97 | (0.68 | ) | ||||||||||||||||||
| 2004 - B | 7.80 | 0.60 | 0.31 | 0.91 | (0.62 | ) | ||||||||||||||||||
| 2004 - C | 7.79 | 0.60 | 0.31 | 0.91 | (0.62 | ) | ||||||||||||||||||
| 2004 - Institutional | 7.81 | 0.69 | 0.30 | 0.99 | (0.71 | ) | ||||||||||||||||||
| 2004 - Service | 7.80 | 0.65 | 0.31 | 0.96 | (0.67 | ) | ||||||||||||||||||
| 2003 - A | 6.38 | 0.65 | 1.40 | 2.05 | (0.64 | ) | ||||||||||||||||||
| 2003 - B | 6.39 | 0.60 | 1.39 | 1.99 | (0.58 | ) | ||||||||||||||||||
| 2003 - C | 6.38 | 0.59 | 1.40 | 1.99 | (0.58 | ) | ||||||||||||||||||
| 2003 - Institutional | 6.39 | 0.68 | 1.41 | 2.09 | (0.67 | ) | ||||||||||||||||||
| 2003 - Service | 6.39 | 0.64 | 1.40 | 2.04 | (0.63 | ) | ||||||||||||||||||
| 2002 - A | 7.24 | 0.68 | (c) | (0.86 | )(c) | (0.18 | ) | (0.68 | ) | |||||||||||||||
| 2002 - B | 7.24 | 0.63 | (c) | (0.85 | )(c) | (0.22 | ) | (0.63 | ) | |||||||||||||||
| 2002 - C | 7.24 | 0.62 | (c) | (0.85 | )(c) | (0.23 | ) | (0.63 | ) | |||||||||||||||
| 2002 - Institutional | 7.25 | 0.70 | (c) | (0.85 | )(c) | (0.15 | ) | (0.71 | ) | |||||||||||||||
| 2002 - Service | 7.24 | 0.67 | (c) | (0.84 | )(c) | (0.17 | ) | (0.68 | ) | |||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| (c) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. For the year ended October 31, 2002 this change had no impact on net investment income per share, no impact on net realized and unrealized gains and losses per share and no impact on the ratio of net investment income to average net assets with or without expense reductions. |
The accompanying notes are an integral part of these financial statements.
68
GOLDMAN SACHS HIGH YIELD FUND
| Ratios assuming no | ||||||||||||||||||||||||||||||||||
| expense reductions | ||||||||||||||||||||||||||||||||||
| Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
| Net assets, | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||||||||||
| Net asset | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||
| value, end | Total | year | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
| year | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
| $ | 8.04 | 10.76 | % | $ | 1,395,265 | 1.12 | % | 7.38 | % | 1.14 | % | 7.36 | % | 41 | % | |||||||||||||||||||
| 8.05 | 9.93 | 96,743 | 1.87 | 6.64 | 1.89 | 6.62 | 41 | |||||||||||||||||||||||||||
| 8.04 | 9.94 | 90,528 | 1.87 | 6.64 | 1.89 | 6.62 | 41 | |||||||||||||||||||||||||||
| 8.05 | 11.16 | 1,296,429 | 0.75 | 7.76 | 0.77 | 7.74 | 41 | |||||||||||||||||||||||||||
| 8.03 | 10.63 | 2,980 | 1.25 | 7.26 | 1.27 | 7.24 | 41 | |||||||||||||||||||||||||||
| 7.81 | 5.10 | 1,006,734 | 1.15 | 7.74 | 1.17 | 7.72 | 52 | |||||||||||||||||||||||||||
| 7.82 | 4.31 | 104,637 | 1.90 | 6.98 | 1.92 | 6.96 | 52 | |||||||||||||||||||||||||||
| 7.81 | 4.32 | 72,590 | 1.90 | 6.95 | 1.92 | 6.93 | 52 | |||||||||||||||||||||||||||
| 7.82 | 5.50 | 825,508 | 0.76 | 8.11 | 0.79 | 8.08 | 52 | |||||||||||||||||||||||||||
| 7.80 | 4.72 | 1,597 | 1.26 | 7.62 | 1.29 | 7.59 | 52 | |||||||||||||||||||||||||||
| 8.08 | 12.94 | 1,109,364 | 1.16 | 8.31 | 1.18 | 8.29 | 47 | |||||||||||||||||||||||||||
| 8.09 | 12.09 | 105,106 | 1.91 | 7.54 | 1.93 | 7.52 | 47 | |||||||||||||||||||||||||||
| 8.08 | 12.10 | 56,174 | 1.91 | 7.53 | 1.93 | 7.51 | 47 | |||||||||||||||||||||||||||
| 8.09 | 13.23 | 832,175 | 0.76 | 8.73 | 0.78 | 8.71 | 47 | |||||||||||||||||||||||||||
| 8.09 | 12.81 | 1,160 | 1.26 | 8.18 | 1.28 | 8.16 | 47 | |||||||||||||||||||||||||||
| 7.79 | 33.34 | 1,821,032 | 1.17 | 8.97 | 1.19 | 8.95 | 54 | |||||||||||||||||||||||||||
| 7.80 | 32.31 | 97,894 | 1.92 | 8.25 | 1.94 | 8.23 | 54 | |||||||||||||||||||||||||||
| 7.79 | 32.36 | 46,812 | 1.92 | 8.21 | 1.94 | 8.19 | 54 | |||||||||||||||||||||||||||
| 7.81 | 33.98 | 1,119,417 | 0.77 | 9.42 | 0.79 | 9.40 | 54 | |||||||||||||||||||||||||||
| 7.80 | 33.16 | 958 | 1.27 | 8.86 | 1.29 | 8.84 | 54 | |||||||||||||||||||||||||||
| 6.38 | (2.98 | ) | 770,011 | 1.16 | 9.54 | (c) | 1.19 | 9.51 | (c) | 36 | ||||||||||||||||||||||||
| 6.39 | (3.56 | ) | 54,065 | 1.91 | 8.83 | (c) | 1.94 | 8.80 | (c) | 36 | ||||||||||||||||||||||||
| 6.38 | (3.57 | ) | 20,107 | 1.91 | 8.81 | (c) | 1.94 | 8.78 | (c) | 36 | ||||||||||||||||||||||||
| 6.39 | (2.59 | ) | 726,140 | 0.76 | 9.95 | (c) | 0.79 | 9.92 | (c) | 36 | ||||||||||||||||||||||||
| 6.39 | (2.93 | ) | 494 | 1.26 | 9.50 | (c) | 1.29 | 9.47 | (c) | 36 | ||||||||||||||||||||||||
69
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Income from | Distributions | |||||||||||||||||||||||||||||||
| investment operations | to shareholders | |||||||||||||||||||||||||||||||
| Net asset | ||||||||||||||||||||||||||||||||
| value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
| beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
| Period - Share Class | of period | income(a) | gain | operations | income | gains | distributions | |||||||||||||||||||||||||
| FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
| 2006 - A | $ | 11.75 | $ | 0.60 | $ | 0.69 | $ | 1.29 | $ | (0.65 | ) | $ | (0.41 | ) | $ | (1.06 | ) | |||||||||||||||
| 2006 - C (commenced September 29, 2006) | 11.78 | 0.01 | 0.22 | 0.23 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
| 2006 - Institutional | 11.76 | 0.64 | 0.69 | 1.33 | (0.69 | ) | (0.41 | ) | (1.10 | ) | ||||||||||||||||||||||
| 2005 - A | 11.18 | 0.74 | 1.00 | 1.74 | (0.64 | ) | (0.53 | ) | (1.17 | ) | ||||||||||||||||||||||
| 2005 - Institutional | 11.19 | 0.77 | 1.02 | 1.79 | (0.69 | ) | (0.53 | ) | (1.22 | ) | ||||||||||||||||||||||
| 2004 - A | 10.22 | 0.59 | 0.97 | 1.56 | (0.57 | ) | (0.03 | ) | (0.60 | ) | ||||||||||||||||||||||
| 2004 - Institutional | 10.23 | 0.62 | 0.98 | 1.60 | (0.61 | ) | (0.03 | ) | (0.64 | ) | ||||||||||||||||||||||
| FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
| 2003 - A (commenced August 29, 2003) | 10.00 | 0.08 | 0.26 | 0.34 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
| 2003 - Institutional (commenced August 29, 2003) | 10.00 | 0.11 | 0.24 | 0.35 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
| (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 dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
| (c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
70
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
| Ratios assuming no | ||||||||||||||||||||||||||||||||||
| expense reductions | ||||||||||||||||||||||||||||||||||
| Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
| Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
| Net asset | end of | net expenses | income | total expenses | income | Portfolio | ||||||||||||||||||||||||||||
| value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
| of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
| $ | 11.98 | 11.63 | % | $ | 69,302 | 1.23 | % | 5.17 | % | 1.53 | % | 4.87 | % | 167 | % | |||||||||||||||||||
| 11.97 | 1.98 | 1 | 1.71 | (c) | 1.36 | (c) | 1.75 | (c) | 1.32 | (c) | 167 | |||||||||||||||||||||||
| 11.99 | 11.93 | 85,073 | 0.86 | 5.51 | 1.16 | 5.21 | 167 | |||||||||||||||||||||||||||
| 11.75 | 16.48 | 34,327 | 1.26 | 6.13 | 1.82 | 5.57 | 207 | |||||||||||||||||||||||||||
| 11.76 | 17.01 | 40,962 | 0.88 | 6.58 | 1.52 | 5.94 | 207 | |||||||||||||||||||||||||||
| 11.18 | 15.78 | 5,411 | 1.28 | 5.43 | 3.09 | 3.62 | 273 | |||||||||||||||||||||||||||
| 11.19 | 16.22 | 20,387 | 0.88 | 5.90 | 2.57 | 4.21 | 273 | |||||||||||||||||||||||||||
| 10.22 | 3.36 | 1,088 | 1.28 | (c) | 5.35 | (c) | 5.53 | (c) | 1.10 | (c) | 49 | |||||||||||||||||||||||
| 10.23 | 3.52 | 11,688 | 0.88 | (c) | 5.96 | (c) | 4.88 | (c) | 1.96 | (c) | 49 | |||||||||||||||||||||||
71
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
Goldman Sachs Trust
Goldman Sachs Trust
We have audited the accompanying statements of assets and liabilities, including the statements of investments, of Goldman Sachs Global Income Fund, Goldman Sachs High Yield Fund and Goldman Sachs Emerging Markets Debt Fund (three of the funds comprising the Goldman Sachs Trust) (the “Funds”), as of October 31, 2006, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs Global Income Fund, Goldman Sachs High Yield Fund and Goldman Sachs Emerging Markets Debt Fund at October 31, 2006, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
 |
New York, New York
December 21, 2006
72
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Fund Expenses (Unaudited) — Six Month Period Ended October 31, 2006
As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and 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 May 1, 2006 through October 31, 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 ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. 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.
| Global Income Fund | High Yield Fund | Emerging Markets Debt 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 | 5/1/06 | 10/31/06 | 10/31/06* | 5/1/06 | 10/31/06 | 10/31/06* | 5/1/06 | 10/31/06 | 10/31/06* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
| Actual | $ | 1,000 | $ | 1,023.20 | $ | 5.37 | $ | 1,000 | $ | 1,042.90 | $ | 5.71 | $ | 1,000 | $ | 1,052.40 | $ | 6.40 | ||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.89 | + | 5.36 | 1,000 | 1,019.62 | + | 5.64 | 1,000 | 1,018.97 | + | 6.30 | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
| Actual | 1,000 | 1,019.40 | 9.18 | 1,000 | 1,039.00 | 9.55 | N/A | N/A | N/A | |||||||||||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,016.12 | + | 9.16 | 1,000 | 1,015.84 | + | 9.44 | N/A | N/A | N/A | |||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
| Actual | 1,000 | 1,019.50 | 9.18 | 1,000 | 1,039.00 | 9.55 | 1,000 | 1,021.50 | 11.92 | |||||||||||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,016.11 | + | 9.16 | 1,000 | 1,015.84 | + | 9.44 | 1,000 | 1,013.42 | + | 11.87 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
| Actual | 1,000 | 1,026.00 | 3.50 | 1,000 | 1,044.80 | 3.81 | 1,000 | 1,054.30 | 4.51 | |||||||||||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,021.75 | + | 3.50 | 1,000 | 1,021.48 | + | 3.77 | 1,000 | 1,020.82 | + | 4.43 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
| Actual | 1,000 | 1,022.60 | 6.03 | 1,000 | 1,041.00 | 6.38 | N/A | N/A | N/A | |||||||||||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.24 | + | 6.02 | 1,000 | 1,018.96 | + | 6.31 | N/A | N/A | N/A | |||||||||||||||||||||||||
| * | Expenses for each share class are calculated using each Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2006 (except for Emerging Market Debt Class C shares which commenced on September 29, 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 fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
| Global Income | 1.05 | % | 1.80 | % | 1.80 | % | 0.69 | % | 1.18 | % | ||||||||||
| High Yield | 1.11 | 1.86 | 1.86 | 0.74 | 1.24 | |||||||||||||||
| Emerging Markets Debt | 1.24 | N/A | 1.99 | 0.87 | N/A | |||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses. |
73
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
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. and Goldman Sachs Asset Management International (the “Investment Advisers”) 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 other regularly scheduled 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 Advisers’ undertaking to reimburse certain expenses of the Funds that exceed specified levels; (d) the Investment Advisers’ potential economies of scale and the breakpoints implemented in 2005 for the fees payable by the Funds under the Management Agreement; (e) the relative expense levels of the Funds; (f) information on the advisory fees charged by the Investment Advisers to institutional accounts; (g) the Investment Advisers’ profitability with respect to the Trust and the Funds; (h) the quality of the non-advisory services provided to the Funds; (i) the statutory and regulatory requirements applicable to the approval and continuation of mutual fund investment management agreements; (j) an evaluation of the Trustees’ contract review process provided by an outside third party; and (k) 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 Advisers and their affiliates with respect to the Goldman Sachs mutual funds since 2003; (b) the quality of the Investment Advisers’ services; (c) the structure, staff and capabilities of the Investment Advisers and their portfolio management teams; (d) the groups within the Investment Advisers 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 Advisers’ business continuity and disaster recovery planning; (f) the Investment Advisers’ financial resources and their ability to hire and retain talented personnel; (g) the fees received by the Investment Advisers’ affiliates from the Funds for transfer agency, securities lending, distribution, portfolio brokerage 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 Advisers’ oversight of the Funds’ other service providers including the custodian and fund accounting agent; and (j) the Investment Advisers’ 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 and the breakpoints in the contractual fee rates under the Management Agreement that were approved in 2005.
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 attended other sessions at which the Trustees reviewed the payment of Rule 12b-1 distribution and service fees by the Funds. Information was also provided to the Trustees relating to the Funds’ portfolio turnover rates, revenue sharing by the Investment Advisers, portfolio manager compensation and the alignment of the interests of the Funds and the portfolio managers, the number and types of accounts managed by the portfolio managers, and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions without employees of the Investment Advisers or their affiliates 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 Advisers, their services and the Funds. At those meetings the Trustees received materials relating to the Investment Advisers’ investment management and
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
other services under the Management Agreement, including: (a) information on the investment performance of the Funds in comparison to other mutual funds and benchmark performance indices; (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 were provided to investors who had invested in the funds, as well as information on the Goldman Sachs mutual funds’ competitive universe and 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 Advisers. 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 Advisers and their affiliates. These services include services as the Funds’ transfer agent, securities lending agent and distributor. In addition, affiliates of the Investment Advisers receive compensation in connection with the execution of the Funds’ portfolio securities transactions and sales loads on the sale of certain classes of shares offered by the Funds. The Trustees concluded that the Investment Advisers were 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 Advisers had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Advisers, including education and training initiatives.
The Trustees also considered the investment performance of the Funds and the Investment Advisers. In this regard, the Trustees compared the investment performance of the Funds to the performance of other SEC-registered funds and to rankings and ratings issued by the Outside Data Provider. The Trustees also reviewed the Funds’ investment performance relative to their respective performance benchmarks. For Funds that had been in existence for the respective periods, this information on the Funds’ investment performance was provided for one, three, five and ten (where applicable) year periods. In addition, the Trustees considered the investment performance trends of the Funds over time, and reviewed the investment performance of the Funds in light of their respective investment objectives, policies and credit and duration parameters, as well as in light of periodic analyses of their respective quality and risk profiles. In addition, the Trustees considered whether the Funds had operated within their investment policies, and their record of compliance with their investment limitations. The Trustees believed that the Funds were providing investment performance within a competitive range for long-term investors and that the High Yield Fund and Emerging Markets Debt Fund were providing very competitive performance to investors. In this connection the Trustees considered, among other things, the effect on investment performance of the Global Income Fund’s U.S. dollar hedging practices.
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 Advisers 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 Advisers’ 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 voluntary 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 fees 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 Fund. In addition, the Trustees noted the Investment Advisers’ voluntary undertaking to limit the Funds’ total expense ratios (excluding certain expenses) to specified levels.
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Board of Trustees also considered the breakpoints in the contractual fee rates under the Management Agreement for each of the Funds that were approved in 2005, which had been implemented at the following annual percentages of the average daily net assets of the respective Funds:
| Management Fee | Average Daily | |||||
| Fund | Annual Rate | Net Assets | ||||
| Global Income Fund | 0.65 | % | First $1 Billion | |||
| 0.59 | Next $1 Billion | |||||
| 0.56 | Over $2 Billion | |||||
| High Yield Fund | 0.70 | First $2 Billion | ||||
| 0.63 | Over $2 Billion | |||||
| Emerging Markets Debt Fund | 0.80 | First $2 Billion | ||||
| 0.72 | Over $2 Billion | |||||
In approving these fee breakpoints, the Trustees had reviewed information regarding the Investment Advisers’ 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 Advisers relating to the costs of the services provided by the Investment Advisers and their affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Advisers with fee rates charged by other, unaffiliated investment managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting in 2006, the Trustees continued to believe that the fee breakpoints were a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset levels.
The Trustees also considered the other benefits derived by the Investment Advisers and their affiliates from the Funds as stated above, including the fees received by them for transfer agency, securities lending, distribution and brokerage services, and the brokerage and research services received by the Investment Advisers in connection with the placement of brokerage transactions for the Funds. The Trustees noted the reduction of the transfer agency fees on Class A, Class B and Class C Shares of the Funds in 2005. In addition, the Trustees reviewed the Investment Advisers’ pre-tax revenues and pre-tax margins with respect to the Trust and the Funds. In this regard 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 Advisers’ schedules of revenues and expenses. The Trustees considered the Investment Advisers’ 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 Advisers, their costs and the Funds’ current and reasonably anticipated asset levels, and that the Management Agreement should be approved and continued.
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Position(s) | Office and | Fund Complex | Other | |||||||
| Name, | Held with | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | the Trust2 | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 64 | Chairman of the Board of Trustees | Since 1991 | President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003). Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies). | 77 | None | |||||
| John P. Coblentz, Jr. Age: 65 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). | 77 | None | |||||
| Patrick T. Harker Age: 48 | Trustee | Since 2000 | Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). | 77 | None | |||||
| Mary P. McPherson Age: 71 | Trustee | Since 1997 | Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). | 77 | None | |||||
| Wilma J. Smelcer Age: 57 | Trustee | Since 2001 | Chairman, Bank of America, Illinois (banking) (1998-January 2001); and Governor, Board of Governors, Chicago Stock Exchange (national securities exchange) (April 2001-April 2004). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). | 77 | Lawson Products Inc. (distributor of industrial products). | |||||
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Position(s) | Office and | Fund Complex | Other | |||||||
| Name, | Held with | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | the Trust2 | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 67 | Trustee | Since 1987 | Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). | 77 | Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios). | |||||
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Position(s) | Office and | Fund Complex | Other | |||||||
| Name, | Held with | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | the Trust2 | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| *Alan A. Shuch Age: 57 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). | 77 | None | |||||
| *Kaysie P. Uniacke Age: 45 | Trustee & | Since 2001 | Managing Director, GSAM (1997-Present). | 77 | None | |||||
| President | Since 2002 | Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). President — Goldman Sachs Mutual Fund Complex (2002-Present) (registered investment companies). Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies). Trustee — Gettysburg College | ||||||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997. | |
| 3 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of October 31, 2006, the Trust consisted of 65 portfolios, including the Funds described in this Annual Report, and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios. | |
| 5 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Age And Address | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| Kaysie P. Uniacke 32 Old Slip New York, NY 10005 Age: 45 | President & Trustee | Since 2002 Since 2001 | Managing Director, Goldman Sachs (1997-Present). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies). President — Goldman Sachs Mutual Fund Complex (registered investment companies). Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies). Trustee — Gettysburg College. | |||
| James A. Fitzpatrick 71 South Wacker Drive Suite 500 Chicago, IL 60606 Age: 46 | Vice President | Since 1997 | Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999). Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies). | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 44 | Vice President | Since 2001 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies). Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004). | |||
| John M. Perlowski 32 Old Slip New York, NY 10005 Age: 42 | Treasurer | Since 1997 | Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003). Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies). | |||
| Peter V. Bonanno 32 Old Slip New York, NY 10005 Age: 37 | Secretary | Since 2006 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002). Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Special Focus Fixed Income Funds Tax Information (Unaudited)
| Pursuant to Section 852 of the Internal Revenue Code, the Emerging Markets Debt Fund designates $312,511 as capital gain dividends paid during the year ended October 31, 2006. | |
| For the year ended October 31, 2006, 0.33% of the dividends paid from net investment company taxable income by the High Yield Fund qualify for the dividends received deduction available to corporations. | |
| For the year ended October 31, 2006, 0.26% of the dividends paid from net investment company taxable income by the High Yield Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003. | |
| Pursuant to Section 871(k) of the Internal Revenue Code, the Emerging Markets Debt Fund designates $2,877,883 as short-term capital gain dividends paid during the year ended October 31, 2006. |
80
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, The Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $610.2 billion in assets under management as of September 30, 2006 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers.
| GOLDMAN SACHS FUNDS |
In building a globally diversified portfolio, you can select from more than 50 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations.
| Money Market Funds1 Fixed Income Funds ▪ Enhanced Income Fund ▪ Ultra-Short Duration Government Fund ▪ Short Duration Government Fund ▪ Short Duration Tax-Free Fund ▪ California Intermediate AMT-Free Municipal Fund ▪ New York Intermediate AMT-Free Municipal Fund ▪ Tennessee Municipal Fund ▪ Municipal Income Fund ▪ U.S. Mortgages Fund ▪ Government Income Fund ▪ Core Fixed Income Fund ▪ Core Plus Fixed Income Fund ▪ Investment Grade Credit Fund ▪ Global Income Fund ▪ High Yield Municipal Fund ▪ High Yield Fund ▪ Emerging Markets Debt Fund | Domestic Equity Funds ▪ Balanced Fund ▪ Growth and Income Fund ▪ Structured Large Cap Value2 ▪ Large Cap Value ▪ Structured U.S. Equity Fund2 ▪ Structured U.S. Equity Flex Fund ▪ Structured Large Cap Growth Fund2 ▪ Capital Growth Fund ▪ Strategic Growth Fund ▪ Concentrated Growth Fund ▪ Mid Cap Value Fund ▪ Growth Opportunities Fund ▪ Small/ Mid Cap Growth Fund ▪ Structured Small Cap Equity Fund2 ▪ Small Cap Value Fund | International Equity Funds ▪ Structured International Equity Fund2 ▪ Structured International Equity Flex Fund ▪ Concentrated International Equity Fund 2 ▪ Japanese Equity Fund ▪ International Small Cap Fund2 ▪ Asia Equity Fund2 ▪ Emerging Markets Equity Fund ▪ BRIC Fund (Brazil, Russia, India, China) Asset Allocation Funds3 Specialty Funds3 ▪ U.S. Equity Dividend and Premium Fund ▪ Structured Tax-Managed Equity Fund2 ▪ Real Estate Securities Fund ▪ International Real Estate Securities Fund ▪ Tollkeeper FundSM |
| 1 | An investment in a money market fund 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. |
| 2 | Effective December 30, 2005, the Asia Growth Fund was renamed the Asia Equity Fund and the International Growth Opportunities Fund was renamed the International Small Cap Fund. Also effective December 30, 2005, the CORE International Equity, CORE Small Cap Equity, CORE Large Cap Growth, CORE Large Cap Value and CORE U.S. Equity Funds were renamed, respectively, the Structured International Equity, Structured Small Cap Equity, Structured Large Cap Growth, Structured Large Cap Value Funds and Structured U.S. Equity. Effective January 6, 2006, the CORE Tax-Managed Equity Fund was renamed the Structured Tax-Managed Equity Fund. Effective December 26, 2006, the International Equity Fund was renamed the Concentrated International Equity Fund. |
| 3 | Individual Funds within the Asset Allocation and Specialty categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Asset Allocation or Specialty category. |
| The Goldman Sachs Tollkeeper FundSM is a registered service mark of Goldman, Sachs & Co. |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005
| 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 | GOLDMAN SACHS INTERNATIONAL Christchurch Court 10-15 Newgate Street London, England EC1 A7HD | |
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
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 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); 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. Beginning the fiscal quarter ended January 31, 2005 and every first and third fiscal quarter thereafter, 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’ Forms 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 be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ 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 to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
| Copyright 2006 Goldman, Sachs & Co. All rights reserved. 06-1995 | SFFIAR /90.8K / 12-06 |