UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-5349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Suite 500, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Peter V. Bonanno, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jack Murphy, Esq. | |
One New York Plaza | Dechert | |
New York, New York 10004 | 1775 I Street, NW | |
Washington, DC 20006 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: October 31
Date of reporting period: April 30, 2007
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semiannual Report to Stockholders is filed herewith. |
Goldman Sachs Funds
SPECIAL FOCUS FIXED INCOME FUNDS | Semiannual Report April 30, 2007 |
Current income potential from portfolios that invest in a variety of fixed income securities. |
Goldman Sachs Special Focus
Fixed Income Funds
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 and structured securities. 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 and structured securities. 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 and structured securities. 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 Asset
Management’s Fixed Income Investment Process?
Management’s 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 GSAM 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 |
1
PORTFOLIO RESULTS
Global Income Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Global Income Fund during the six-month reporting period that ended April 30, 2007.
Performance Review
Over the six-month period that ended April 30, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 1.41%, 0.95%, 1.03%, 1.52% and 1.34%, respectively. These returns compare to the 1.51% cumulative total return of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index (hedged), over the same time period. | |
The primary drivers of performance over the period were the Fund’s currency strategy and relative country positioning. Class A, B, C and Service Shares were impacted by the same strategies, however, due to expenses higher than those of Institutional Shares, they did not outperform the benchmark. | |
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. |
Market Review
U.S. Treasuries ended the reporting period relatively flat despite significant volatility. U.S. Treasury bonds sold off in December 2006 and into January 2007 on the back of stronger-than-expected manufacturing data and a tight labor market. Weakness within the sub-prime section of the mortgage market and a global equity sell-off saw Treasuries rally sharply in February. However, Treasuries gave back some of their gains in March and April to end the period little changed. The Federal Reserve Board kept rates on hold at 5.25% and acknowledged downside risks to growth, highlighting the housing sector and business spending while continuing to stress the risks of inflation. | |
European bonds sold off consistently over the period on the back of strong economic data in the Eurozone, which includes Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain. Industrial and business confidence surveys continued to register multi-year highs. Consumer confidence also improved, despite soft income growth and the increase in German value-added tax, aided by healthy job growth and a falling unemployment rate. The European Central Bank further tightened monetary policy during the period, raising overnight rates twice to 3.75%. | |
Mixed economic data in Japan saw Japanese government bonds end the period marginally stronger. While fourth quarter gross domestic product (“GDP”) growth exceeded expectations, consumption remained weak and industrial production growth slowed. While employment growth remained strong, real wage growth was stagnant. Signs of increasing inflationary pressures emerged late in the period as land prices turned positive for the first time in 16 years. The Bank of Japan raised overnight rates to 0.50% in February 2007. |
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.
Factors Affecting Performance
Overall, our duration strategy was a positive contributor to the Fund’s performance. Our duration strategy performed well in December 2006 as economic data in the U.S. was stronger than expected. However, the gains were pared back by negative performance from our underweight position in Japanese 10-year bonds as Japanese government bonds ended the period stronger. | |
Our currency strategy was the main contributor to performance. Our long Norwegian krone position added value as economic data remained robust and the Norges Bank maintained its aggressive tone regarding interest rates. Our underweight Japanese yen position added value in the first half of the reporting period but later detracted value as a bout of global risk aversion in February saw the market unwind some of the large yen positions (also known as carry trades). This caused the yen to appreciate sharply against the U.S. dollar. Our long Australian dollar position performed well on the back of robust economic data and strong commodity prices. | |
Within our country strategy, our short Europe/long U.S. position added value as economic data in Europe continued to indicate sustained economic growth while growth in the U.S. was slowing. However, the positive performance from this trade was partially offset by negative performance from our long Australia and Europe versus Japan trades. |
Outlook
In the U.S., we believe there is a risk of slower growth as we continue to expect below-average GDP growth in 2007. Housing market weakness has clearly had a negative impact on broader activity and household wealth, corporate earnings appear to have peaked and the lagged effects of tighter monetary policy are likely to be more fully felt later in the year. Slower U.S. growth, a stronger euro and fiscal tightening in Germany and Italy also support the argument that European growth will be slower in 2007 than in 2006. In Japan, we believe disappointing wage and consumption data in recent months should improve in 2007 as the labor market continues to tighten. Consumer sentiment should also benefit from a falling unemployment rate. We believe the consumer will be the defining variable in stimulating the economy. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Fixed Income Investment Management Team | |
May 15, 2007 |
3
FUND BASICS
Global Income Fund
as of April 30, 2007
PERFORMANCE REVIEW |
November 1, 2006– | Fund Total Return | J.P. Morgan Global Government | 30-Day Standardized | |||||||||||
April 30, 2007 | (based on NAV)1 | Bond Index (hedged)2 | Yield3 | |||||||||||
Class A | 1.41 | % | 1.51 | % | 2.57 | % | ||||||||
Class B | 0.95 | 1.51 | 1.95 | |||||||||||
Class C | 1.03 | 1.51 | 1.94 | |||||||||||
Institutional | 1.52 | 1.51 | 3.06 | |||||||||||
Service | 1.34 | 1.51 | 2.56 | |||||||||||
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 3/31/07 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.01 | % | 3.03 | % | 4.55 | % | 5.72 | % | 8/2/91 | |||||||||||
Class B | -3.19 | 2.91 | 4.43 | 4.81 | 5/1/96 | |||||||||||||||
Class C | 0.89 | 3.35 | n/a | 4.20 | 8/15/97 | |||||||||||||||
Institutional | 3.06 | 4.53 | 5.64 | 6.41 | 8/1/95 | |||||||||||||||
Service | 2.55 | 4.00 | 5.10 | 6.085 | 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. |
4
FUND BASICS
EXPENSE RATIOS6 |
Current Expense Ratio (Net) | Expense Ratio Before Waivers (Gross) | |||||||||
Class A | 1.06 | % | 1.17 | % | ||||||
Class B | 1.81 | 1.92 | ||||||||
Class C | 1.81 | 1.92 | ||||||||
Institutional | 0.69 | 0.80 | ||||||||
Service | 1.19 | 1.30 | ||||||||
6 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
CURRENCY ALLOCATION7 |
Percentage of Net Assets | ||||||||||
as of 4/30/07 | as of 10/31/06 | |||||||||
Euro | 39.2 | % | 34.3 | % | ||||||
U.S. Dollar8 | 23.3 | 27.5 | ||||||||
Japanese Yen | 19.5 | 18.8 | ||||||||
British Pound | 5.6 | 4.7 | ||||||||
Canadian Dollar | 2.8 | 3.7 | ||||||||
Polish Zloty | 0.8 | 1.0 | ||||||||
Danish Krone | 0.5 | 0.7 | ||||||||
Swedish Krona | 0.4 | 0.6 | ||||||||
Deutschemark | 0.3 | 0.4 | ||||||||
Australian Dollar | 0.1 | 0.1 | ||||||||
7 | The percentage shown for each currency reflects the value of investments in that category as a percentage of net assets. Figures in the above table are reflective of the Fund’s total investments before the effect of derivative instruments, including forward foreign currency contracts. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
8 | These figures represent the value excluding short-term obligations. If short-term obligations had been included the percentages for 2007 and 2006 would have been 28.6% and 34.8%, respectively. |
5
PORTFOLIO RESULTS
High Yield Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs High Yield Fund during the six-month reporting period that ended April 30, 2007.
Performance Review
Over the six-month period that ended April 30, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 6.88%, 6.48%, 6.48%, 7.07% and 6.82%, respectively. These returns compared to the 6.96% cumula-tive 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 performed in line with its benchmark during the reporting period. The market is trading in a narrow range, reflecting continued low default rates. Favorable outlooks across most industry sectors continue to support current market spread levels within the high yield market. | |
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. |
Market Environment
The high yield market performed well during the reporting period. This was largely due to generally solid company earnings and favorable merger and acquisition activity in the midst of volatile equity returns. Returns continued to be driven by the strength of CCC rated securities (as rated by a nationally recognized statistical rating organization). Despite a setback in March, CCC rated securities returned 10.61% during the past six months. In light of the favorable credit environment, defaults remain at record lows and recovery rates remain at all time highs — further supporting the CCC rally. According to the 1Q07 research report provided by Altman-NYU Salomon Center and dated April 30, 2007, default losses were a mere 0.01% in the first quarter of 2007. | |
General Motors capped off a year of strong returns (gaining over 50%) in 2006, with the sale of its finance subsidiary GMAC to Cerberus at the end of November. However, GMAC has been one of the weakest performers in 2007 as its bonds have come under pressure due to the company’s sub-prime mortgage loan exposure. Bonds of home construction and building materials companies were particularly affected as concerns over sub-prime mortgage lending spilled over into each of these sectors. | |
Merger and acquisition activity continued apace, with leveraged buyouts announced for Harrah’s Entertainment, Station Casino and Clear Channel. We believe these should provide plenty of investment opportunities later in the year. |
6
PORTFOLIO RESULTS
INVESTMENT OBJECTIVE |
The Fund seeks a high level of current income and may also consider the potential for capital appreciation.
Factors Affecting Performance
The Fund posted consistently strong returns during the six-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 59% of its assets, versus approximately 45% for the benchmark. Meanwhile, securities rated BB accounted for 17% of the Fund, compared to approximately 36% for the benchmark. | |
During the period, several favorable corporate actions contributed to performance. In par-ticular, Fund performance benefited from premium tender offers and initial public offering (IPO) announcements across a wide-range of companies. Of note, Pinnacle Foods was sold to Blackstone, resulting in a premium tender for the bonds. The sale also resulted in the redemption of our equity in the company which we received when Pinnacle purchased Aurora Foods. This was offset, somewhat, by the Fund’s European exposure which underperformed after a strong rally last year. |
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 thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs High Yield Investment Management Team | |
May 15, 2007 |
7
FUND BASICS
High Yield Fund
as of April 30, 2007
PERFORMANCE REVIEW |
Lehman Brothers | ||||||||||||||
U.S. Corporate | 30-Day | |||||||||||||
November 1, 2006– | Fund Total Return | High Yield Bond Index– | Standardized | |||||||||||
April 30, 2007 | (based on NAV)1 | 2% Issuer Capped2 | Yield3 | |||||||||||
Class A | 6.88 | % | 6.96 | % | 6.57 | % | ||||||||
Class B | 6.48 | 6.96 | 6.13 | |||||||||||
Class C | 6.48 | 6.96 | 6.13 | |||||||||||
Institutional | 7.07 | 6.96 | 7.25 | |||||||||||
Service | 6.82 | 6.96 | 6.75 | |||||||||||
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 3/31/07 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | 5.61 | % | 9.98 | % | 6.52 | % | 8/1/97 | |||||||||
Class B | 4.45 | 9.76 | 6.24 | 8/1/97 | ||||||||||||
Class C | 8.88 | 10.20 | 6.29 | 8/15/97 | ||||||||||||
Institutional | 11.03 | 11.41 | 7.44 | 8/1/97 | ||||||||||||
Service | 10.64 | 10.84 | 6.90 | 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 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. |
8
FUND BASICS
EXPENSE RATIOS5 |
Current Expense Ratio (Net) | Expense Ratio Before Waivers (Gross) | |||||||||
Class A | 1.12 | % | 1.14 | % | ||||||
Class B | 1.87 | 1.89 | ||||||||
Class C | 1.87 | 1.89 | ||||||||
Institutional | 0.75 | 0.77 | ||||||||
Service | 1.25 | 1.27 | ||||||||
5 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 ISSUERS AS OF 4/30/076 |
Company | % of Net Assets | Line of Business | ||||
Ford | 1.7 | % | Automotive | |||
HCA | 1.5 | Health Care – Services | ||||
GMAC | 1.3 | Finance | ||||
MGM Mirage | 1.3 | Gaming | ||||
RH Donnelley | 1.2 | Publishing | ||||
Nielsen | 1.1 | Publishing | ||||
Nortek | 1.1 | Building Materials – Fixtures and Fittings | ||||
El Paso | 1.1 | Utilities – Pipelines | ||||
VWR International | 1.1 | Health Care – Medical Products | ||||
Rexnord | 1.0 | Capital Goods – Others | ||||
6 | The top 10 issuers may not be representative of the Fund’s future investments. |
TOP 10 INDUSTRY ALLOCATION7 |
Percentage of Net Assets | ||||||||||
as of 4/30/07 | as of 10/31/06 | |||||||||
Gaming | 6.2 | % | 5.7 | % | ||||||
Chemicals | 6.0 | 6.5 | ||||||||
Publishing | 4.7 | 4.7 | ||||||||
Media – Cable | 4.1 | 4.2 | ||||||||
Packaging | 3.8 | 3.7 | ||||||||
Health Care – Services | 3.7 | 2.7 | ||||||||
Building Materials – Fixtures & Fittings | 3.5 | 3.3 | ||||||||
Telecommunications – Cellular | 3.4 | 3.7 | ||||||||
Utilities – Electric | 3.2 | 3.4 | ||||||||
Technology – Hardware | 3.2 | 2.1 | ||||||||
7 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
9
GOLDMAN SACHS SPECIAL FOCUS FUNDS
Emerging Markets Debt Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Emerging Markets Debt Fund during the six-month reporting period that ended April 30, 2007.
Performance Review
Over the six-month period that ended April 30, 2007, the Fund’s Class A, Class C, and Institutional Shares generated cumulative total returns, without sales charges, of 6.78%, 6.22% and 6.97%, respectively. These returns compare to the 5.09% cumulative total return of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, over the same time period. | |
The Fund generated a positive return during the reporting period and outperformed its bench-mark. This was largely due to the Fund’s local debt security selection and active currency exposure to the Brazilian real during the period. Slightly offsetting this was an underweight to the country Brazil versus the benchmark and active currency exposure to the Argentine peso, both of which detracted from results. | |
To the extent we find them effective instruments with which to manage certain of the portfolio’s risk exposures (e.g., dration 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. |
Market Review
The J.P. Morgan EMBI Global Diversified Index returned 5.09% over the six-month period ended April 30, 2007. Spreads tightened 31 basis points (“bps”) to close the period at 178 bps, seven basis points above the Index’s all-time low of 171. The market continued to per-form particularly well, aided by the ongoing improvement in emerging market fundamentals, supportive technicals and strong investor demand. The Ivory Coast (+37.8%), Uruguay (+10.3%) and Brazil (+8.6%) were the top-performing emerging market countries, while Ecuador (-1.4%), Iraq (+0.7%) and Lebanon (+1.8%) were the bottom-performing areas during the period. |
INVESTMENT OBJECTIVE |
The Fund seeks a high level of total return consisting of income and capital appreciation.
Portfolio Composition
At the end of the reporting period relative to the benchmark, the Fund held underweight positions to Asia, Africa, the Middle East, Latin America and Europe. The Fund was neutral versus the benchmark in Europe. The Fund remains well diversified across 32 countries and across all emerging market regions. At the end of the period, the portfolio’s largest relative overweight was Argentina (+6.3%) and its largest underweight was Mexico (-9.4%). The Fund held a short interest rate duration versus the benchmark and held long positions in the Argentine peso, Turkish lira and Egyptian pound. |
10
PORTFOLIO RESULTS
Portfolio Highlights
In country exposures, security selection of Argentine and Brazilian local 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 6% over the reporting period. Primary detractors from performance included an underweight to Brazil, security selection of external Ecuadorian debt, and active currency exposure to the Argentine peso. From a top-down per-spective, the Fund’s overweight to spread duration contributed to returns, as spreads tightened over the period. |
Outlook
Fundamentally, we continue to see a favorable emerging market debt environment due to supportive cyclical factors, sovereign macroeconomic stabilization programs, and improved debt management efforts. We believe sustained or rising commodity prices should continue to support emerging markets, particularly the oil exporters. We believe that the technical picture also shines favorably on the asset class. Strategic inflows remain strong as investor demand is high and broadening, while net supply remains favorable as emergers are paying down more debt than they are issuing. While spreads (i.e., valuations) are currently at or near all-time highs, we believe such levels can remain in a fairly narrow range due to the strong fundamental and technical backdrop. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Fixed Income Investment Management Team | |
May 15, 2007 |
11
FUND BASICS
Emerging Markets Debt Fund
as of April 30, 2007
PERFORMANCE REVIEW |
November 1, 2006– | Fund Total Return | J.P. Morgan EMBI Global | 30-Day Standardized | |||||||||||
April 30, 2007 | (based on NAV)1 | Diversified Index2 | Yield3 | |||||||||||
Class A | 6.78 | % | 5.09 | % | 5.15 | % | ||||||||
Class C | 6.22 | 5.09 | 4.64 | |||||||||||
Institutional | 6.97 | 5.09 | 5.77 | |||||||||||
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 3/31/07 | One Year | Since Inception | Inception Date | |||||||||
Class A | 5.87 | % | 13.15 | % | 8/29/03 | |||||||
Class C | n/a | 5.42 | 9/29/06 | |||||||||
Institutional | 11.26 | 15.06 | 8/29/03 | |||||||||
4 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is less than one year) 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. |
EXPENSE RATIOS5 |
Current Expense Ratio (Net) | Expense Ratio Before Waivers (Gross) | |||||||||
Class A | 1.25 | % | 1.53 | % | ||||||
Class C | 2.00 | 2.28 | ||||||||
Institutional | 0.88 | 1.16 | ||||||||
5 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
12
FUND BASICS
TOP 10 COUNTRY ALLOCATION6 |
Percentage of Net Assets | ||||||||||
as of 4/30/07 | as of 10/31/06 | |||||||||
Russia | 12.4 | % | 13.0 | % | ||||||
Brazil | 9.8 | 9.1 | ||||||||
Argentina | 8.3 | 7.4 | ||||||||
United States7 | 7.5 | 11.1 | ||||||||
Venezuela | 6.7 | 5.9 | ||||||||
Turkey | 5.6 | 6.8 | ||||||||
Philippines | 5.4 | 7.4 | ||||||||
Mexico | 4.8 | 4.7 | ||||||||
Peru | 4.2 | 3.9 | ||||||||
Indonesia | 3.9 | 1.5 | ||||||||
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
7 | These figures include short-term investments of 5.5% and 8.1% for 4/30/07 and 10/31/06, respectively. Short-term investments include repurchase agreements. |
13
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Foreign Sovereign Debt Obligations – 65.1% | ||||||||||||||||
Australian Dollar – 0.1% | ||||||||||||||||
Australia Government Bond | ||||||||||||||||
AUD1,100,000 | 6.000 | % | 02/15/17 | $ | 921,586 | |||||||||||
British Pound – 4.1% | ||||||||||||||||
United Kingdom Treasury | ||||||||||||||||
GBP3,400,000 | 4.250 | 03/07/11 | 6,540,660 | |||||||||||||
5,140,000 | 8.000 | 09/27/13 | 11,832,407 | |||||||||||||
1,300,000 | 8.750 | 08/25/17 | 3,370,230 | |||||||||||||
7,240,000 | 8.000 | 06/07/21 | 18,926,865 | |||||||||||||
4,750,000 | 4.250 | 06/07/32 | 9,023,646 | |||||||||||||
1,000,000 | 4.250 | 03/07/36 | 1,915,213 | |||||||||||||
700,000 | 4.250 | 12/07/55 | 1,392,791 | |||||||||||||
53,001,812 | ||||||||||||||||
Canadian Dollar – 2.5% | ||||||||||||||||
Government of Canada | ||||||||||||||||
CAD26,100,000 | 6.000 | 06/01/08 | 23,952,317 | |||||||||||||
3,900,000 | 4.500 | 06/01/15 | 3,597,740 | |||||||||||||
4,350,000 | 5.750 | 06/01/29 | 4,771,048 | |||||||||||||
32,321,105 | ||||||||||||||||
Danish Krone – 0.5% | ||||||||||||||||
Kingdom of Denmark | ||||||||||||||||
DKK20,000,000 | 6.000 | 11/15/09 | 3,819,022 | |||||||||||||
16,000,000 | 4.000 | 11/15/15 | 2,898,746 | |||||||||||||
6,717,768 | ||||||||||||||||
Euro – 37.2% | ||||||||||||||||
Federal Republic of Germany | ||||||||||||||||
EUR14,250,000 | 5.250 | 01/04/08 | 19,590,349 | |||||||||||||
68,750,000 | 3.500 | 04/08/11 | 91,737,782 | |||||||||||||
28,830,000 | 4.000 | 07/04/16 | 38,902,200 | |||||||||||||
4,750,000 | 6.250 | 01/04/24 | 7,963,694 | |||||||||||||
13,300,000 | 4.750 | 07/04/28 | 19,181,835 | |||||||||||||
2,750,000 | 5.500 | 01/04/31 | 4,382,240 | |||||||||||||
10,950,000 | 4.750 | 07/04/34 | 15,931,981 | |||||||||||||
50,000 | 4.000 | 01/04/37 | 64,668 | |||||||||||||
Government of France | ||||||||||||||||
18,300,000 | 5.250 | 04/25/08 | 25,226,559 | |||||||||||||
27,000,000 | 4.000 | 04/25/09 | 36,753,049 | |||||||||||||
10,700,000 | 3.500 | 04/25/15 | 13,950,802 | |||||||||||||
5,300,000 | 5.500 | 04/25/29 | 8,387,694 | |||||||||||||
3,600,000 | 4.000 | 10/25/38 | 4,620,282 | |||||||||||||
Kingdom of Belgium | ||||||||||||||||
17,500,000 | 5.000 | 09/28/12 | 24,833,513 | |||||||||||||
Kingdom of Spain | ||||||||||||||||
2,000,000 | 6.000 | 01/31/08 | 2,765,162 | |||||||||||||
2,950,000 | 4.200 | 07/30/13 | 4,033,807 | |||||||||||||
10,000,000 | 4.400 | 01/31/15 | 13,834,405 | |||||||||||||
Kingdom of The Netherlands | ||||||||||||||||
19,900,000 | 3.750 | 07/15/09 | 26,931,557 | |||||||||||||
29,800,000 | 4.250 | 07/15/13 | 40,886,555 | |||||||||||||
Republic of Austria | ||||||||||||||||
13,650,000 | 3.500 | 07/15/15 | 17,764,453 | |||||||||||||
Republic of Italy | ||||||||||||||||
EUR20,000,000 | 3.000 | 02/01/09 | 26,781,788 | |||||||||||||
13,100,000 | 5.500 | 11/01/10 | 18,649,725 | |||||||||||||
7,500,000 | 6.000 | 05/01/31 | 12,302,314 | |||||||||||||
475,476,414 | ||||||||||||||||
Japanese Yen – 19.5% | ||||||||||||||||
Government of Japan | ||||||||||||||||
JPY4,475,000,000 | 0.900 | 12/22/08 | 37,514,384 | |||||||||||||
4,500,000,000 | 0.800 | 09/20/09 | 37,540,888 | |||||||||||||
7,300,000,000 | 0.800 | 12/20/10 | 60,486,596 | |||||||||||||
1,000,000,000 | 1.300 | 06/20/12 | 8,399,925 | |||||||||||||
4,105,000,000 | 1.000 | 06/20/13 | 33,738,850 | |||||||||||||
770,000,000 | 1.700 | 12/20/16 | 6,519,986 | |||||||||||||
1,825,000,000 | 1.900 | 03/20/24 | 15,127,300 | |||||||||||||
400,000,000 | 1.900 | 06/20/25 | 3,293,334 | |||||||||||||
1,325,000,000 | 2.000 | 12/20/25 | 11,050,989 | |||||||||||||
430,000,000 | 2.100 | 12/20/26 | 3,626,773 | |||||||||||||
785,000,000 | 2.500 | 09/20/34 | 6,864,599 | |||||||||||||
Government of Japan CPI Linked Bond | ||||||||||||||||
85,000,000 | 0.800 | 12/10/15 | 697,262 | |||||||||||||
109,000,000 | 0.800 | 03/10/16 | 892,388 | |||||||||||||
170,000,000 | 1.000 | 06/10/16 | 1,411,335 | |||||||||||||
2,107,000,000 | 1.100 | 09/10/16 | 17,649,601 | |||||||||||||
568,000,000 | 1.100 | 12/10/16 | 4,753,720 | |||||||||||||
249,567,930 | ||||||||||||||||
Polish Zloty – 0.8% | ||||||||||||||||
Poland Government Bond | ||||||||||||||||
PLN25,900,000 | 5.750 | 03/24/10 | 9,558,938 | |||||||||||||
Swedish Krona – 0.4% | ||||||||||||||||
Kingdom of Sweden | ||||||||||||||||
SEK11,000,000 | 6.750 | 05/05/14 | 1,899,046 | |||||||||||||
20,000,000 | 4.500 | 08/12/15 | 3,064,753 | |||||||||||||
4,963,799 | ||||||||||||||||
TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $808,868,635) | $ | 832,529,352 | ||||||||||||||
Corporate Bonds – 5.4% | ||||||||||||||||
Banks – 2.2% | ||||||||||||||||
Banca Popolare di Bergamo Capital Trust(a) | ||||||||||||||||
EUR1,180,000 | 8.364 | % | 12/29/49 | $ | 1,802,361 | |||||||||||
Bancaja Emisiones SA Unipersonal(a) | ||||||||||||||||
500,000 | 4.625 | 12/29/49 | 655,486 | |||||||||||||
Caja de Ahorros de Valencia Castellon y Alicante(a) | ||||||||||||||||
2,100,000 | 4.375 | 12/31/49 | 2,656,236 | |||||||||||||
Citicorp | ||||||||||||||||
DEM4,500,000 | 6.250 | 09/19/09 | 3,256,149 | |||||||||||||
Credit Suisse First Boston London(a)(b) | ||||||||||||||||
$ | 1,330,000 | 7.900 | 05/29/49 | 1,332,827 | ||||||||||||
Instituto de Credito Oficial MTN | ||||||||||||||||
2,100,000 | 4.625 | 10/26/10 | 2,087,581 |
The accompanying notes are an integral part of these financial statements.
14
GOLDMAN SACHS GLOBAL INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Banks – (continued) | ||||||||||||||||
Landwirtschaftliche Rentenbank | ||||||||||||||||
$ | 8,940,000 | 5.000 | % | 11/08/16 | $ | 8,962,580 | ||||||||||
Merita Bank Ltd. | ||||||||||||||||
1,010,000 | 6.500 | 04/01/09 | 1,033,690 | |||||||||||||
National Westminster Bank PLC(a) | ||||||||||||||||
370,000 | 7.750 | 04/29/49 | 373,243 | |||||||||||||
OTP Bank Nyrt. | ||||||||||||||||
EUR1,300,000 | 5.270 | 09/19/16 | 1,767,331 | |||||||||||||
RBS Capital Trust I(a) | ||||||||||||||||
$ | 860,000 | 4.709 | 12/29/49 | 820,606 | ||||||||||||
Resona Bank Ltd. MTN(a) | ||||||||||||||||
EUR1,180,000 | 3.750 | 04/15/15 | 1,571,398 | |||||||||||||
Schieneninfrastructurfinanzierungs-Gesellschaft mBH MTN | ||||||||||||||||
$ | 760,000 | 4.625 | 11/21/13 | 744,453 | ||||||||||||
Washington Mutual Bank | ||||||||||||||||
GBP500,000 | 5.500 | 06/10/19 | 938,292 | |||||||||||||
28,002,233 | ||||||||||||||||
Capital Goods(b) – 0.0% | ||||||||||||||||
Bombardier, Inc. | ||||||||||||||||
$ | 250,000 | 6.300 | 05/01/14 | 239,687 | ||||||||||||
360,000 | 7.450 | 05/01/34 | 343,350 | |||||||||||||
583,037 | ||||||||||||||||
Communications – 0.6% | ||||||||||||||||
AMFM, Inc. | ||||||||||||||||
900,000 | 8.000 | 11/01/08 | 930,570 | |||||||||||||
Bell Atlantic New Jersey, Inc. | ||||||||||||||||
65,000 | 8.000 | 06/01/22 | 74,047 | |||||||||||||
Comcast Cable Communications | ||||||||||||||||
1,900,000 | 8.375 | 05/01/07 | 1,900,000 | |||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
170,000 | 9.455 | 11/15/22 | 224,436 | |||||||||||||
Cox Communications, Inc. | ||||||||||||||||
1,850,000 | 4.625 | 01/15/10 | 1,824,208 | |||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
230,000 | 8.250 | 06/15/30 | 288,750 | |||||||||||||
Time Warner Cable, Inc.(b) | ||||||||||||||||
2,800,000 | 6.550 | 05/01/37 | 2,849,682 | |||||||||||||
8,091,693 | ||||||||||||||||
Consumer Noncyclical – 0.3% | ||||||||||||||||
Casino Guichard-Perrachon SA | ||||||||||||||||
EUR1,750,000 | 4.875 | 04/10/14 | 2,362,583 | |||||||||||||
Imperial Tobacco Overseas BV | ||||||||||||||||
$ | 1,410,000 | 7.125 | 04/01/09 | 1,455,053 | ||||||||||||
3,817,636 | ||||||||||||||||
Electric – 0.1% | ||||||||||||||||
TXU Corp. Series O | ||||||||||||||||
2,060,000 | 4.800 | 11/15/09 | 2,029,100 | |||||||||||||
Financial Companies – 1.0% | ||||||||||||||||
Capital One Financial Corp. | ||||||||||||||||
4,540,000 | 5.700 | 09/15/11 | 4,577,618 | |||||||||||||
Countrywide Home Loans MTN | ||||||||||||||||
710,000 | 4.250 | 12/19/07 | 704,286 | |||||||||||||
Dexia Funding Luxembourg(a) | ||||||||||||||||
EUR2,155,000 | 4.892 | 11/30/49 | 2,883,850 | |||||||||||||
Olivetti Finance NV | ||||||||||||||||
1,800,000 | 7.750 | 01/24/33 | 2,979,821 | |||||||||||||
PHH Corp. | ||||||||||||||||
$ | 1,233,000 | 6.000 | 03/01/08 | 1,235,645 | ||||||||||||
12,381,220 | ||||||||||||||||
Insurance – 1.1% | ||||||||||||||||
American International Group, Inc.(a) | ||||||||||||||||
EUR4,650,000 | 4.875 | 03/15/67 | 6,200,939 | |||||||||||||
AXA SA(a) | ||||||||||||||||
2,280,000 | 5.777 | 07/29/49 | 3,207,387 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
$ | 420,000 | 6.600 | 12/15/08 | 427,811 | ||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
20,000 | 7.000 | 07/15/34 | 20,662 | |||||||||||||
Resolution PLC(a) | ||||||||||||||||
GBP1,300,000 | 6.586 | 11/29/49 | 2,532,774 | |||||||||||||
SL Finance PLC(a) | ||||||||||||||||
850,000 | 6.546 | 01/29/49 | 1,673,336 | |||||||||||||
14,062,909 | ||||||||||||||||
Transportation – 0.1% | ||||||||||||||||
OeBB Infrastruktur Bau AG | ||||||||||||||||
$ | 810,000 | 4.750 | 10/28/13 | 797,042 | ||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $68,859,233) | $ | 69,764,870 | ||||||||||||||
Foreign Debt Obligation – 0.3% | ||||||||||||||||
Sovereign – 0.3% | ||||||||||||||||
Quebec Province of Canada | ||||||||||||||||
$ | 3,350,000 | 5.125 | % | 11/14/16 | $ | 3,348,687 | ||||||||||
(Cost $3,337,018) | ||||||||||||||||
Asset-Backed Securities(a) – 0.1% | ||||||||||||||||
Mortgages – 0.1% | ||||||||||||||||
Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A | ||||||||||||||||
$ | 650,978 | 5.620 | % | 12/15/33 | $ | 652,078 | ||||||||||
First Horizon ABS Trust Series 2004-HE3, Class A | ||||||||||||||||
699,873 | 5.610 | 10/25/34 | 701,265 | |||||||||||||
1,353,343 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $1,350,851) | $ | 1,353,343 | ||||||||||||||
Mortgage-Backed Obligations(a) – 1.6% | ||||||||||||||||
CMO – 1.0% | ||||||||||||||||
Granite Master Issuer PLC Series 2007-1, Class 5A1 | ||||||||||||||||
GBP4,450,000 | 5.663 | % | 12/20/54 | $ | 8,900,347 |
The accompanying notes are an integral part of these financial statements.
15
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations(a) – (continued) | ||||||||||||||||
CMO – (continued) | ||||||||||||||||
Holmes Master Issuer PLC Series 2006-1X, Class 3A3 | ||||||||||||||||
GBP2,250,000 | 5.700 | % | 07/15/40 | $ | 4,501,665 | |||||||||||
13,402,012 | ||||||||||||||||
Home Equity – 0.6% | ||||||||||||||||
American Home Mortgage Investment Trust Series 2004-3, Class 1A | ||||||||||||||||
$ | 111,498 | 5.690 | 10/25/34 | 111,661 | ||||||||||||
Countrywide Alternative Loan Trust Series 2005-82, Class A1 | ||||||||||||||||
5,055,995 | 5.590 | 02/25/36 | 5,065,328 | |||||||||||||
Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1 | ||||||||||||||||
1,898,842 | 5.530 | 03/20/46 | 1,900,186 | |||||||||||||
Sequoia Mortgage Trust Series 2004-10, Class A3A | ||||||||||||||||
765,892 | 5.866 | 11/20/34 | 767,958 | |||||||||||||
7,845,133 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $20,865,673) | $ | 21,247,145 | ||||||||||||||
U.S. Treasury Obligations – 11.0% | ||||||||||||||||
Sovereign – 11.0% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 19,500,000 | 7.500 | % | 11/15/24 | $ | 25,482,795 | ||||||||||
7,000,000 | 5.250 | 11/15/28 | 7,343,350 | |||||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
13,870,358 | 1.875 | 07/15/15 | 13,584,212 | |||||||||||||
4,641,032 | 2.375 | 01/15/17 | 4,716,449 | |||||||||||||
474,192 | 2.375 | 01/15/27 | 477,693 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
9,750,000 | 2.625 | 05/15/08 | 9,528,344 | |||||||||||||
28,630,000 | 3.125 | 04/15/09 | 27,838,209 | |||||||||||||
24,020,000 | 4.250 | 08/15/13 | 23,674,351 | |||||||||||||
17,240,000 | 4.250 | 08/15/15 | 16,820,379 | |||||||||||||
11,440,000 | 4.625 | 11/15/16 | 11,432,850 | |||||||||||||
140,898,632 | ||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $140,182,500) | $ | 140,898,632 | ||||||||||||||
Agency Debentures – 8.8% | ||||||||||||||||
FHLB | ||||||||||||||||
$ | 25,000,000 | 5.125 | % | 06/13/08 | $ | 25,024,550 | ||||||||||
40,000,000 | 5.375 | 08/19/11 | 40,854,068 | |||||||||||||
FHLMC | ||||||||||||||||
6,250,000 | 5.000 | 02/08/08 | 6,240,187 | |||||||||||||
11,600,000 | 4.125 | 07/12/10 | 11,373,014 | |||||||||||||
20,000,000 | 5.250 | 07/18/11 | 20,313,660 | |||||||||||||
FNMA | ||||||||||||||||
1,450,000 | 3.550 | 11/16/07 | 1,436,728 | |||||||||||||
7,130,000 | 5.270 | 01/16/09 | 7,124,635 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $112,253,695) | $ | 112,366,842 | ||||||||||||||
Dividend | Maturity | |||||||||||||||
Shares | Rate | Date | Value | |||||||||||||
Preferred Stock(a) – 0.1% | ||||||||||||||||
BCI US Funding Trust II | ||||||||||||||||
870,000 | 5.569 | % | 10/15/49 | $ | 1,206,241 | |||||||||||
(Cost $1,145,057) | ||||||||||||||||
Exercise | Expiration | |||||||||||||||
Contracts* | Rate | Date | Value | |||||||||||||
Options Purchased – 0.0% | ||||||||||||||||
Cross Currency Option | ||||||||||||||||
Call ILS 3,695,000 | ||||||||||||||||
Put USD14,041,000 | 3.800 | % | 01/24/08 | $ | 19,705 | |||||||||||
Cross Currency Option | ||||||||||||||||
Call ZAR 13,967,224 | ||||||||||||||||
Put USD93,580,401 | 6.700 | 06/11/07 | 46,092 | |||||||||||||
TOTAL OPTIONS PURCHASED | ||||||||||||||||
(Cost $63,089) | $ | 65,797 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 5.3% | ||||||||||||||||
Time Deposit – 5.3% | ||||||||||||||||
Rabobank | ||||||||||||||||
$ | 67,473,059 | 5.290 | % | 05/01/07 | $ | 67,473,059 | ||||||||||
(Cost $67,473,059) | ||||||||||||||||
TOTAL INVESTMENTS – 97.7% | ||||||||||||||||
(Cost $1,224,398,810) | $ | 1,250,253,968 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.3% | 28,999,831 | |||||||||||||||
NET ASSETS – 100.0% | $ | 1,279,253,799 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
16
GOLDMAN SACHS GLOBAL INCOME FUND
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 | ||
AUD | = | Australian Dollar | ||
CAD | = | Canadian Dollar | ||
DEM | = | German Mark | ||
DKK | = | Danish Krone | ||
EUR | = | Euro Currency | ||
GBP | = | British Pounds | ||
ILS | = | Israeli Shekel | ||
JPY | = | Japanese Yen | ||
NZD | = | New Zealand Dollar | ||
PLN | = | Polish Zloty | ||
SEK | = | Swedish Krona | ||
ZAR | = | South African Rand |
(a) | Variable rate security. Interest/dividend rate disclosed is that which is in effect at April 30, 2007. |
(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 $4,765,546, which represents approximately 0.4% of net assets as of April 30, 2007. |
Investment Abbreviations: | ||||||
CMO | — | Collateralized Mortgage Obligation | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
MTN | — | Medium-Term Note | ||||
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2007, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Gain | Sale Contract | Date | Settlement Date | Value | Gain | |||||||||||||||
Argentine Peso | Purchase | 05/08/07 | $ | 1,480,518 | $ | 1,486,029 | $ | 5,511 | ||||||||||||
Argentine Peso | Purchase | 06/01/07 | 3,042,805 | 3,057,792 | 14,987 | |||||||||||||||
Australian Dollar | Purchase | 06/20/07 | 44,318,257 | 45,829,217 | 1,510,960 | |||||||||||||||
Brazilian Real | Purchase | 05/04/07 | 4,112,764 | 4,329,874 | 217,110 | |||||||||||||||
Brazilian Real | Purchase | 05/08/07 | 4,705,129 | 4,849,082 | 143,953 | |||||||||||||||
Brazilian Real | Purchase | 05/23/07 | 1,518,000 | 1,581,553 | 63,553 | |||||||||||||||
Brazilian Real | Purchase | 06/01/07 | 1,540,500 | 1,622,802 | 82,302 | |||||||||||||||
Brazilian Real | Purchase | 07/05/07 | 3,252,000 | 3,298,596 | 46,596 | |||||||||||||||
Brazilian Real | Purchase | 07/17/07 | 43,685 | 43,834 | 149 | |||||||||||||||
Brazilian Real | Purchase | 07/26/07 | 2,607,449 | 2,620,096 | 12,647 | |||||||||||||||
Brazilian Real | Purchase | 07/30/07 | 4,598,667 | 4,611,612 | 12,945 | |||||||||||||||
British Pound | Purchase | 05/16/07 | 4,245,658 | 4,324,020 | 78,362 | |||||||||||||||
British Pound | Purchase | 06/20/07 | 112,993,593 | 116,857,755 | 3,864,162 | |||||||||||||||
Canadian Dollar | Purchase | 06/20/07 | 57,925,000 | 59,767,948 | 1,842,948 | |||||||||||||||
Czech Koruna | Sale | 06/20/07 | 886,615 | 883,894 | 2,721 | |||||||||||||||
Chilean Peso | Purchase | 06/01/07 | 2,713,000 | 2,746,006 | 33,006 | |||||||||||||||
Colombian Peso | Purchase | 05/31/07 | 3,080,897 | 3,267,574 | 186,677 |
The accompanying notes are an integral part of these financial statements.
17
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Gain | Sale Contract | Date | Settlement Date | Value | Gain | |||||||||||||||
Colombian Peso | Purchase | 06/06/07 | $ | 396,000 | $ | 426,096 | $ | 30,096 | ||||||||||||
Euro | Purchase | 06/20/07 | 63,573,984 | 64,907,239 | 1,333,255 | |||||||||||||||
Euro | Sale | 06/20/07 | 11,874,000 | 11,870,669 | 3,331 | |||||||||||||||
Hong Kong Dollar | Sale | 06/20/07 | 6,683,441 | 6,669,691 | 13,750 | |||||||||||||||
Hungarian Forint | Purchase | 06/20/07 | 6,679,329 | 6,960,988 | 281,659 | |||||||||||||||
Indian Rupee | Purchase | 05/04/07 | 2,438,324 | 2,623,024 | 184,700 | |||||||||||||||
Indian Rupee | Purchase | 05/09/07 | 2,223,000 | 2,382,775 | 159,775 | |||||||||||||||
Indian Rupee | Purchase | 05/23/07 | 2,510,000 | 2,694,754 | 184,754 | |||||||||||||||
Indian Rupee | Purchase | 06/07/07 | 913,957 | 983,083 | 69,126 | |||||||||||||||
Indian Rupee | Purchase | 07/03/07 | 741,076 | 763,198 | 22,122 | |||||||||||||||
Indonesian Rupiah | Purchase | 05/02/07 | 2,270,658 | 2,283,775 | 13,117 | |||||||||||||||
Indonesian Rupiah | Purchase | 05/07/07 | 1,450,704 | 1,454,173 | 3,469 | |||||||||||||||
Indonesian Rupiah | Purchase | 05/31/07 | 1,598,182 | 1,598,445 | 263 | |||||||||||||||
Indonesian Rupiah | Purchase | 06/22/07 | 1,696,631 | 1,709,658 | 13,027 | |||||||||||||||
Israeli Shekel | Purchase | 06/20/07 | 14,659,299 | 15,235,785 | 576,486 | |||||||||||||||
Israeli Shekel | Sale | 06/20/07 | 3,263,000 | 3,243,542 | 19,458 | |||||||||||||||
Israeli Shekel | Sale | 01/28/08 | 606,000 | 594,531 | 11,469 | |||||||||||||||
Japanese Yen | Sale | 05/31/07 | 253,154,985 | 251,290,626 | 1,864,359 | |||||||||||||||
Japanese Yen | Sale | 06/20/07 | 84,489,405 | 82,926,287 | 1,563,118 | |||||||||||||||
Malaysian Ringgit | Purchase | 05/07/07 | 1,743,606 | 1,771,870 | 28,264 | |||||||||||||||
Malaysian Ringgit | Purchase | 05/09/07 | 2,222,861 | 2,253,252 | 30,391 | |||||||||||||||
Malaysian Ringgit | Purchase | 05/14/07 | 1,338,309 | 1,358,097 | 19,788 | |||||||||||||||
Malaysian Ringgit | Purchase | 06/06/07 | 1,186,359 | 1,211,300 | 24,941 | |||||||||||||||
Malaysian Ringgit | Purchase | 06/25/07 | 6,341,680 | 6,456,473 | 114,793 | |||||||||||||||
Malaysian Ringgit | Purchase | 07/12/07 | 1,709,036 | 1,718,570 | 9,534 | |||||||||||||||
Malaysian Ringgit | Purchase | 07/16/07 | 1,496,414 | 1,505,923 | 9,509 | |||||||||||||||
Malaysian Ringgit | Purchase | 07/20/07 | 985,126 | 990,909 | 5,783 | |||||||||||||||
Mexican Peso | Purchase | 06/20/07 | 5,246,024 | 5,362,483 | 116,459 | |||||||||||||||
New Zealand Dollar | Purchase | 06/20/07 | 36,168,567 | 37,745,619 | 1,577,052 | |||||||||||||||
Norwegian Krone | Purchase | 06/20/07 | 103,258,848 | 106,275,086 | 3,016,238 | |||||||||||||||
Philippine Peso | Purchase | 05/04/07 | 1,749,338 | 1,800,451 | 51,113 | |||||||||||||||
Philippine Peso | Purchase | 05/07/07 | 659,000 | 673,422 | 14,422 | |||||||||||||||
Philippine Peso | Sale | 05/07/07 | 673,537 | 673,422 | 115 | |||||||||||||||
Philippine Peso | Purchase | 05/09/07 | 2,237,106 | 2,261,354 | 24,248 | |||||||||||||||
Philippine Peso | Purchase | 05/11/07 | 1,640,000 | 1,649,977 | 9,977 | |||||||||||||||
Philippine Peso | Sale | 05/11/07 | 1,633,179 | 1,630,192 | 2,987 | |||||||||||||||
Philippine Peso | Purchase | 05/15/07 | 551,631 | 557,703 | 6,072 | |||||||||||||||
Philippine Peso | Purchase | 05/18/07 | 6,193,545 | 6,277,435 | 83,890 | |||||||||||||||
Philippine Peso | Purchase | 05/21/07 | 286,529 | 288,730 | 2,201 | |||||||||||||||
Philippine Peso | Purchase | 06/27/07 | 895,000 | 903,517 | 8,517 | |||||||||||||||
Polish Zloty | Purchase | 06/20/07 | 2,634,620 | 2,704,931 | 70,311 | |||||||||||||||
Russian Ruble | Purchase | 05/17/07 | 4,588,166 | 4,704,474 | 116,308 | |||||||||||||||
Russian Ruble | Purchase | 05/25/07 | 2,014,277 | 2,073,279 | 59,002 | |||||||||||||||
Russian Ruble | Purchase | 07/02/07 | 911,598 | 923,408 | 11,810 | |||||||||||||||
Russian Ruble | Purchase | 08/02/07 | 4,043,518 | 4,053,336 | 9,818 |
The accompanying notes are an integral part of these financial statements.
18
GOLDMAN SACHS GLOBAL INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Gain | Sale Contract | Date | Settlement Date | Value | Gain | |||||||||||||||
Russian Ruble | Purchase | 08/06/07 | $ | 617,223 | $ | 624,379 | $ | 7,156 | ||||||||||||
Singapore Dollar | Purchase | 06/20/07 | 3,417,096 | 3,430,263 | 13,167 | |||||||||||||||
South African Rand | Purchase | 06/20/07 | 11,417,272 | 11,795,189 | 377,917 | |||||||||||||||
South African Rand | Sale | 06/20/07 | 477,571 | 475,266 | 2,305 | |||||||||||||||
South Korean Won | Purchase | 05/02/07 | 1,267,538 | 1,274,256 | 6,718 | |||||||||||||||
South Korean Won | Sale | 06/05/07 | 1,693,318 | 1,688,130 | 5,188 | |||||||||||||||
South Korean Won | Purchase | 06/11/07 | 2,991,840 | 3,005,574 | 13,734 | |||||||||||||||
South Korean Won | Purchase | 06/18/07 | 2,253,402 | 2,265,662 | 12,260 | |||||||||||||||
South Korean Won | Sale | 06/18/07 | 1,392,968 | 1,388,769 | 4,199 | |||||||||||||||
Swedish Krona | Purchase | 06/20/07 | 22,981,992 | 23,694,318 | 712,326 | |||||||||||||||
Swiss Franc | Purchase | 06/20/07 | 57,002,000 | 57,227,677 | 225,677 | |||||||||||||||
Swiss Franc | Sale | 06/20/07 | 49,115,573 | 48,939,513 | 176,060 | |||||||||||||||
Taiwan Dollar | Sale | 05/02/07 | 1,428,000 | 1,398,037 | 29,963 | |||||||||||||||
Taiwan Dollar | Sale | 05/09/07 | 2,964,000 | 2,927,108 | 36,892 | |||||||||||||||
Taiwan Dollar | Sale | 05/15/07 | 2,043,356 | 2,021,673 | 21,683 | |||||||||||||||
Taiwan Dollar | Sale | 05/16/07 | 2,040,008 | 2,021,873 | 18,135 | |||||||||||||||
Taiwan Dollar | Sale | 05/29/07 | 5,479,052 | 5,470,838 | 8,214 | |||||||||||||||
Taiwan Dollar | Sale | 07/23/07 | 1,511,966 | 1,510,652 | 1,314 | |||||||||||||||
Turkish Lira | Purchase | 05/01/07 | 4,087,673 | 4,303,877 | 216,204 | |||||||||||||||
Turkish Lira | Purchase | 05/07/07 | 4,887,158 | 5,171,324 | 284,166 | |||||||||||||||
Turkish Lira | Purchase | 05/14/07 | 916,128 | 968,572 | 52,444 | |||||||||||||||
Turkish Lira | Purchase | 05/21/07 | 550,448 | 573,937 | 23,489 | |||||||||||||||
Turkish Lira | Purchase | 05/22/07 | 2,754,518 | 2,829,006 | 74,488 | |||||||||||||||
Turkish Lira | Purchase | 05/29/07 | 1,540,000 | 1,608,314 | 68,314 | |||||||||||||||
Turkish Lira | Purchase | 06/01/07 | 1,265,173 | 1,323,357 | 58,184 | |||||||||||||||
Turkish Lira | Purchase | 07/10/07 | 2,187,837 | 2,212,189 | 24,352 | |||||||||||||||
Turkish Lira | Purchase | 07/11/07 | 3,280,000 | 3,324,344 | 44,344 | |||||||||||||||
Turkish Lira | Purchase | 07/16/07 | 324,344 | 328,482 | 4,138 | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CONTRACTS WITH UNREALIZED GAIN | $ | 22,412,497 | ||||||||||||||||||
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Loss | Sale Contract | Date | Settlement Date | Value | Loss | |||||||||||||||
Argentine Peso | Purchase | 07/02/07 | $ | 248,000 | $ | 247,884 | $ | (116 | ) | |||||||||||
Brazilian Real | Sale | 05/04/07 | 4,147,003 | 4,329,873 | (182,870 | ) | ||||||||||||||
Brazilian Real | Sale | 05/07/07 | 2,715,894 | 2,881,469 | (165,575 | ) | ||||||||||||||
Brazilian Real | Sale | 05/08/07 | 2,134,088 | 2,265,695 | (131,607 | ) | ||||||||||||||
Brazilian Real | Sale | 06/01/07 | 487,520 | 494,397 | (6,877 | ) | ||||||||||||||
Brazilian Real | Sale | 07/05/07 | 970,810 | 975,805 | (4,995 | ) | ||||||||||||||
Brazilian Real | Purchase | 08/06/07 | 1,640,171 | 1,638,605 | (1,566 | ) | ||||||||||||||
British Pound | Purchase | 05/16/07 | 62,730 | 62,712 | (18 | ) | ||||||||||||||
British Pound | Sale | 05/16/07 | 75,846,081 | 77,328,652 | (1,482,571 | ) | ||||||||||||||
British Pound | Purchase | 06/20/07 | 23,425,000 | 23,402,492 | (22,508 | ) | ||||||||||||||
British Pound | Sale | 06/20/07 | 79,734,968 | 81,289,917 | (1,554,949 | ) | ||||||||||||||
Canadian Dollar | Sale | 06/20/07 | 56,542,397 | 59,721,205 | (3,178,808 | ) |
The accompanying notes are an integral part of these financial statements.
19
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Loss | Sale Contract | Date | Settlement Date | Value | Loss | |||||||||||||||
Canadian Dollar | Sale | 07/12/07 | $ | 32,917,509 | $ | 34,005,706 | $ | (1,088,197 | ) | |||||||||||
Chilean Peso | Sale | 05/08/07 | 6,742,731 | 6,844,848 | (102,117 | ) | ||||||||||||||
Chilean Peso | Sale | 05/14/07 | 791,388 | 824,067 | (32,679 | ) | ||||||||||||||
Chilean Peso | Sale | 06/01/07 | 982,223 | 1,007,626 | (25,403 | ) | ||||||||||||||
Chilean Peso | Sale | 06/05/07 | 557,661 | 571,489 | (13,828 | ) | ||||||||||||||
Chilean Peso | Sale | 07/05/07 | 456,547 | 468,866 | (12,319 | ) | ||||||||||||||
Chilean Peso | Sale | 07/18/07 | 1,155,268 | 1,168,265 | (12,997 | ) | ||||||||||||||
Chilean Peso | Sale | 07/30/07 | 1,473,113 | 1,477,106 | (3,993 | ) | ||||||||||||||
Czech Koruna | Sale | 06/20/07 | 4,183,459 | 4,315,145 | (131,686 | ) | ||||||||||||||
Danish Krone | Sale | 06/22/07 | 13,976,020 | 14,782,406 | (806,386 | ) | ||||||||||||||
Euro | Purchase | 05/30/07 | 2,418,794 | 2,415,014 | (3,780 | ) | ||||||||||||||
Euro | Sale | 05/30/07 | 512,846,286 | 513,801,167 | (954,881 | ) | ||||||||||||||
Euro | Sale | 06/20/07 | 56,672,605 | 57,790,189 | (1,117,584 | ) | ||||||||||||||
Indian Rupee | Sale | 05/04/07 | 2,618,916 | 2,623,024 | (4,108 | ) | ||||||||||||||
Indian Rupee | Sale | 05/09/07 | 613,000 | 641,526 | (28,526 | ) | ||||||||||||||
Indian Rupee | Purchase | 05/23/07 | 2,787,000 | 2,763,221 | (23,779 | ) | ||||||||||||||
Indian Rupee | Sale | 05/23/07 | 2,527,575 | 2,648,535 | (120,960 | ) | ||||||||||||||
Indonesian Rupiah | Sale | 05/02/07 | 1,476,000 | 1,481,670 | (5,670 | ) | ||||||||||||||
Indonesian Rupiah | Purchase | 05/08/07 | 1,208,953 | 1,206,533 | (2,420 | ) | ||||||||||||||
Indonesian Rupiah | Purchase | 05/09/07 | 1,105,572 | 1,101,079 | (4,493 | ) | ||||||||||||||
Indonesian Rupiah | Purchase | 05/11/07 | 3,832,771 | 3,827,903 | (4,868 | ) | ||||||||||||||
Indonesian Rupiah | Sale | 05/11/07 | 1,756,000 | 1,778,990 | (22,990 | ) | ||||||||||||||
Indonesian Rupiah | Sale | 05/31/07 | 1,768,000 | 1,779,930 | (11,930 | ) | ||||||||||||||
Indonesian Rupiah | Purchase | 06/22/07 | 495,000 | 494,192 | (808 | ) | ||||||||||||||
Indonesian Rupiah | Sale | 06/22/07 | 1,366,000 | 1,366,015 | (15 | ) | ||||||||||||||
Indonesian Rupiah | Purchase | 08/02/07 | 800,176 | 795,350 | (4,826 | ) | ||||||||||||||
Israeli Shekel | Purchase | 06/20/07 | 495,493 | 494,956 | (537 | ) | ||||||||||||||
Israeli Shekel | Sale | 06/20/07 | 3,534,138 | 3,536,468 | (2,330 | ) | ||||||||||||||
Israeli Shekel | Purchase | 01/28/08 | 606,000 | 594,747 | (11,253 | ) | ||||||||||||||
Japanese Yen | Purchase | 06/20/07 | 68,307,495 | 66,857,332 | (1,450,163 | ) | ||||||||||||||
Malaysian Ringgit | Sale | 05/07/07 | 1,771,215 | 1,771,870 | (655 | ) | ||||||||||||||
Malaysian Ringgit | Purchase | 08/08/07 | 1,782,148 | 1,779,830 | (2,318 | ) | ||||||||||||||
Mexican Peso | Sale | 06/20/07 | 15,349,714 | 15,464,310 | (114,596 | ) | ||||||||||||||
New Zealand Dollar | Sale | 05/30/07 | 719,277 | 764,985 | (45,708 | ) | ||||||||||||||
New Zealand Dollar | Sale | 06/20/07 | 42,582,277 | 45,529,227 | (2,946,950 | ) | ||||||||||||||
Norwegian Krone | Sale | 06/20/07 | 57,081,000 | 58,528,410 | (1,447,410 | ) | ||||||||||||||
Philippine Peso | Sale | 05/04/07 | 549,222 | 555,579 | (6,357 | ) | ||||||||||||||
Philippine Peso | Sale | 05/15/07 | 351,000 | 359,730 | (8,730 | ) | ||||||||||||||
Philippine Peso | Purchase | 05/25/07 | 3,040,350 | 3,034,206 | (6,144 | ) | ||||||||||||||
Philippine Peso | Purchase | 07/27/07 | 1,247,990 | 1,245,064 | (2,926 | ) | ||||||||||||||
Philippine Peso | Purchase | 07/25/07 | 1,448,000 | 1,444,910 | (3,090 | ) | ||||||||||||||
Philippine Peso | Purchase | 08/07/07 | 674,245 | 673,490 | (755 | ) | ||||||||||||||
Polish Zloty | Sale | 05/14/07 | 9,235,582 | 9,951,241 | (715,659 | ) | ||||||||||||||
Russian Ruble | Sale | 05/17/07 | 538,065 | 556,325 | (18,260 | ) | ||||||||||||||
Singapore Dollar | Purchase | 06/20/07 | 6,208,558 | 6,182,244 | (26,314 | ) |
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 | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Loss | Sale Contract | Date | Settlement Date | Value | Loss | |||||||||||||||
South African Rand | Purchase | 05/03/07 | $ | 975,347 | $ | 974,406 | $ | (941 | ) | |||||||||||
South African Rand | Sale | 06/20/07 | 14,979,730 | 15,775,333 | (795,603 | ) | ||||||||||||||
South Korean Won | Purchase | 05/02/07 | 1,692,314 | 1,687,102 | (5,212 | ) | ||||||||||||||
South Korean Won | Sale | 05/02/07 | 2,929,000 | 2,961,358 | (32,358 | ) | ||||||||||||||
South Korean Won | Purchase | 06/05/07 | 3,063,996 | 3,053,758 | (10,238 | ) | ||||||||||||||
South Korean Won | Sale | 06/05/07 | 3,111,582 | 3,153,699 | (42,117 | ) | ||||||||||||||
South Korean Won | Sale | 06/11/07 | 3,153,000 | 3,211,570 | (58,570 | ) | ||||||||||||||
South Korean Won | Purchase | 06/18/07 | 1,447,152 | 1,438,773 | (8,379 | ) | ||||||||||||||
South Korean Won | Sale | 06/18/07 | 2,495,181 | 2,531,829 | (36,648 | ) | ||||||||||||||
Swedish Krona | Sale | 06/20/07 | 11,426,000 | 11,941,913 | (515,913 | ) | ||||||||||||||
Swedish Krona | Sale | 06/21/07 | 5,201,354 | 5,411,336 | (209,982 | ) | ||||||||||||||
Swiss Franc | Purchase | 06/20/07 | 46,404,451 | 46,282,431 | (122,020 | ) | ||||||||||||||
Swiss Franc | Sale | 06/20/07 | 76,094,064 | 76,881,077 | (787,013 | ) | ||||||||||||||
Taiwan Dollar | Purchase | 05/02/07 | 2,801,955 | 2,796,074 | (5,881 | ) | ||||||||||||||
Taiwan Dollar | Purchase | 05/09/07 | 3,153,000 | 3,101,299 | (51,701 | ) | ||||||||||||||
Taiwan Dollar | Sale | 06/04/07 | 968,944 | 970,715 | (1,771 | ) | ||||||||||||||
Taiwan Dollar | Purchase | 07/26/07 | 2,988,938 | 2,980,908 | (8,030 | ) | ||||||||||||||
Taiwan Dollar | Sale | 07/26/07 | 1,406,223 | 1,409,468 | (3,245 | ) | ||||||||||||||
Turkish Lira | Sale | 05/01/07 | 2,459,343 | 2,560,923 | (101,580 | ) | ||||||||||||||
Turkish Lira | Sale | 05/07/07 | 3,269,013 | 3,377,314 | (108,301 | ) | ||||||||||||||
Turkish Lira | Sale | 05/14/07 | 1,626,441 | 1,678,169 | (51,728 | ) | ||||||||||||||
Turkish Lira | Sale | 05/21/07 | 1,084,454 | 1,120,303 | (35,849 | ) | ||||||||||||||
Turkish Lira | Sale | 05/22/07 | 1,859,287 | 1,918,167 | (58,880 | ) | ||||||||||||||
Turkish Lira | Purchase | 05/29/07 | 397,090 | 388,523 | (8,567 | ) | ||||||||||||||
Turkish Lira | Sale | 05/29/07 | 636,954 | 657,379 | (20,425 | ) | ||||||||||||||
Turkish Lira | Purchase | 07/16/07 | 1,736,618 | 1,694,818 | (41,800 | ) | ||||||||||||||
Yuan Renminbi | Purchase | 05/11/07 | 1,506,930 | 1,493,148 | (13,782 | ) | ||||||||||||||
Yuan Renminbi | Purchase | 05/16/07 | 1,890,615 | 1,876,623 | (13,992 | ) | ||||||||||||||
Yuan Renminbi | Purchase | 06/05/07 | 1,282,707 | 1,275,843 | (6,864 | ) | ||||||||||||||
Yuan Renminbi | Purchase | 06/06/07 | 3,261,510 | 3,242,907 | (18,603 | ) | ||||||||||||||
Yuan Renminbi | Purchase | 06/22/07 | 3,502,804 | 3,478,405 | (24,399 | ) | ||||||||||||||
Yuan Renminbi | Purchase | 07/03/07 | 487,520 | 485,621 | (1,899 | ) | ||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CONTRACTS WITH UNREALIZED LOSS | $ | (21,286,149 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
21
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
Open Forward Foreign Currency | Expiration | Purchase | Sale | Unrealized | ||||||||||||
Cross Contracts (Purchase/Sale) with Unrealized Gain | Date | Current Value | Current Value | Gain | ||||||||||||
Euro/Czech Koruna | 06/20/07 | $ | 9,185,243 | $ | 9,547,620 | $ | 362,377 | |||||||||
Euro/Hungarian Forint | 06/20/07 | 3,708,629 | 3,795,346 | 86,717 | ||||||||||||
Hungarian Forint/Euro | 06/20/07 | 13,609,127 | 14,183,363 | 574,236 | ||||||||||||
New Zealand Dollar/Japanese Yen | 06/20/07 | 15,407,766 | 15,872,103 | 464,337 | ||||||||||||
Polish Zloty/Euro | 06/20/07 | 14,515,210 | 15,061,160 | 545,950 | ||||||||||||
Slovakian Koruna/Euro | 06/20/07 | 7,822,668 | 8,066,319 | 243,651 | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CROSS CONTRACTS (PURCHASE/SALE) WITH UNREALIZED GAIN | $ | 2,277,268 | ||||||||||||||
Open Forward Foreign Currency | Expiration | Purchase | Sale | Unrealized | ||||||||||||
Cross Contracts (Purchase/Sale) with Unrealized Loss | Date | Current Value | Current Value | Loss | ||||||||||||
Euro/Czech Koruna | 06/20/07 | $ | 9,525,130 | $ | 9,185,243 | $ | (339,887 | ) | ||||||||
Euro/Hungarian Forint | 06/20/07 | 3,659,722 | 3,570,256 | (89,466 | ) | |||||||||||
Hungarian Forint/Euro | 06/20/07 | 13,992,735 | 13,609,127 | (383,608 | ) | |||||||||||
Polish Zloty/Euro | 06/20/07 | 17,363,360 | 17,029,792 | (333,568 | ) | |||||||||||
Slovakian Koruna/Euro | 06/20/07 | 8,056,784 | 7,822,668 | (234,116 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CROSS CONTRACTS (PURCHASE/SALE) WITH UNREALIZED LOSS | $ | (1,380,645 | ) | |||||||||||||
FUTURES CONTRACTS — At April 30, 2007, the following futures contracts were open:
Number of | ||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Australia 10 Year Treasury Bond | 98 | June 2007 | $ | 57,382,415 | $ | 51,820 | ||||||||||
2 Year Euro Schatz | (114 | ) | June 2007 | (16,045,492 | ) | 71,562 | ||||||||||
5 Year Euro-Bobl | (533 | ) | June 2007 | (78,387,380 | ) | 546,365 | ||||||||||
10 Year Euro-Bund | 487 | June 2007 | 75,862,288 | (782,272 | ) | |||||||||||
Japan 10 Year Treasury Bond | 200 | June 2007 | 224,889,112 | 923,508 | ||||||||||||
U.K. Life Long Gilt | (39 | ) | June 2007 | (8,358,006 | ) | 13,258 | ||||||||||
U.S. Long Bonds | 192 | June 2007 | 21,456,000 | (30,000 | ) | |||||||||||
2 Year U.S. Treasury Notes | (124 | ) | June 2007 | (25,385,125 | ) | 45,250 | ||||||||||
5 Year U.S. Treasury Notes | 2,108 | June 2007 | 223,085,688 | 135,766 | ||||||||||||
10 Year U.S. Treasury Notes | 289 | June 2007 | 31,306,828 | (130,438 | ) | |||||||||||
TOTAL | $ | 505,806,328 | $ | 844,819 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
22
GOLDMAN SACHS GLOBAL INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2007, 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) | ||||||||||||
Bank of America Securities LLC(a) | USD 103,590 | 06/22/09 | 5.000% | 3 month LIBOR | $ | 226,869 | $ | (192,563 | ) | |||||||||
Barclays Bank PLC(a) | EUR 111,030 | 06/22/09 | 4.250 | 6 month EURO | 220,274 | (557,459 | ) | |||||||||||
Barclays Bank PLC(a) | USD 135,280 | 06/22/09 | 5.000 | 3 month LIBOR | (174,029 | ) | 83,777 | |||||||||||
Barclays Bank PLC(a) | USD 233,100 | 06/22/09 | 3 month LIBOR | 5.000% | (639,423 | ) | 483,910 | |||||||||||
BNP Paribas SA (London)(a) | EUR 83,320 | 06/22/09 | 4.250 | 6 month EURO | 157,571 | (408,808 | ) | |||||||||||
Credit Suisse First Boston International (London)(a) | USD 164,170 | 06/22/09 | 5.000 | 3 month LIBOR | 33,866 | (39,756 | ) | |||||||||||
Credit Suisse First Boston International (London)(a) | USD 205,830 | 06/22/09 | 3 month LIBOR | 5.000 | (675,264 | ) | 812,584 | |||||||||||
Lehman Brothers International (Europe)(a) | USD 135,080 | 06/22/09 | 5.000 | 3 month LIBOR | (178,500 | ) | 88,382 | |||||||||||
Merrill Lynch Capital Markets(a) | EUR 103,760 | 06/22/09 | 4.250 | 6 month EURO | 201,205 | (517,665 | ) | |||||||||||
Deutsche Bank AG(a) | EUR 195,930 | 10/16/09 | 4.360 | 6 month EURO | — | (59,079 | ) | |||||||||||
Deutsche Bank AG(a) | EUR 78,380 | 10/16/09 | 4.401 | 6 month EURO | — | 57,062 | ||||||||||||
Deutsche Bank AG(a) | EUR 78,380 | 10/16/09 | 4.395 | 6 month EURO | — | 45,252 | ||||||||||||
Deutsche Bank AG(a) | EUR 39,190 | 10/16/09 | 4.363 | 6 month EURO | — | (8,865 | ) | |||||||||||
Merrill Lynch Capital Markets | CAD 10,200 | 07/15/10 | 3 month CDOR | 3.636 | — | 233,401 | ||||||||||||
Merrill Lynch Capital Markets | CAD 10,300 | 07/15/10 | 3 month CDOR | 3.641 | — | 234,187 | ||||||||||||
Merrill Lynch Capital Markets | USD 6,600 | 07/19/10 | 4.398 | 3 month LIBOR | — | (51,161 | ) | |||||||||||
Merrill Lynch Capital Markets | USD 6,600 | 07/19/10 | 4.402 | 3 month LIBOR | — | (50,442 | ) | |||||||||||
Merrill Lynch Capital Markets | CAD 10,150 | 03/08/11 | 4.396 | 3 month CDOR | — | (10,473 | ) | |||||||||||
Merrill Lynch Capital Markets | USD 7,050 | 03/10/11 | 3 month LIBOR | 5.236 | — | (48,741 | ) | |||||||||||
Deutsche Bank AG | CAD 7,450 | 04/12/11 | 4.588 | 3 month CDOR | — | 40,955 | ||||||||||||
Credit Suisse First Boston International (London) | USD 4,350 | 04/18/11 | 3 month LIBOR | 5.368 | — | (51,349 | ) | |||||||||||
Deutsche Bank AG | CAD 1,260 | 07/25/11 | 3 month CDOR | 4.618 | — | (8,720 | ) | |||||||||||
UBS AG (London) | CAD 2,000 | 07/25/11 | 3 month CDOR | 4.668 | — | (17,609 | ) | |||||||||||
Deutsche Bank AG | CAD 1,260 | 07/28/11 | 3 month CDOR | 4.635 | — | (9,596 | ) | |||||||||||
Deutsche Bank AG | CAD 990 | 07/28/11 | 3 month CDOR | 4.650 | — | (8,085 | ) | |||||||||||
Deutsche Bank AG | CAD 1,860 | 08/01/11 | 3 month CDOR | 4.579 | — | (10,107 | ) | |||||||||||
Deutsche Bank AG | CAD 1,260 | 08/04/11 | 3 month CDOR | 4.578 | — | (6,741 | ) | |||||||||||
Deutsche Bank AG | CAD 1,260 | 08/08/11 | 3 month CDOR | 4.565 | — | (6,207 | ) | |||||||||||
Deutsche Bank AG | CAD 3,460 | 08/09/11 | 3 month CDOR | 4.561 | — | (16,999 | ) | |||||||||||
UBS AG (London) | CAD 9,050 | 08/10/11 | 3 month CDOR | 4.553 | — | (37,116 | ) | |||||||||||
Deutsche Bank AG | CAD 3,900 | 08/10/11 | 3 month CDOR | 4.570 | — | (18,496 | ) | |||||||||||
Deutsche Bank AG | CAD 3,900 | 08/10/11 | 3 month CDOR | 4.552 | — | (15,923 | ) | |||||||||||
Citibank NA | JPY 1,680,000 | 09/21/11 | 6 month JYOR | 1.605 | — | (199,387 | ) | |||||||||||
Citibank NA(a) | USD 10,000 | 09/21/11 | 5.600 | 3 month LIBOR | 17,300 | 206,177 | ||||||||||||
Citibank NA | EUR 6,250 | 09/21/11 | 4.031 | 6 month EURO | — | 67,416 | ||||||||||||
Deutsche Bank AG | JPY 420,000 | 09/21/11 | 6 month JYOR | 1.610 | — | (50,646 | ) | |||||||||||
Deutsche Bank AG | EUR 1,600 | 09/21/11 | 4.022 | 6 month EURO | — | 16,423 |
The accompanying notes are an integral part of these financial statements.
23
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
INTEREST RATE SWAP CONTRACTS (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 | JPY 450,000 | 09/21/11 | 6 month JYOR | 1.581% | $ | — | $ | (49,610 | ) | |||||||||
Deutsche Bank AG | EUR 1,650 | 09/21/11 | 4.074% | 6 month EURO | — | 22,173 | ||||||||||||
Deutsche Bank AG | CAD 7,020 | 09/27/11 | 4.158 | 3 month CDOR | — | (70,287 | ) | |||||||||||
Deutsche Bank AG | CAD 2,400 | 09/27/11 | 4.168 | 3 month CDOR | — | (23,406 | ) | |||||||||||
National Australia Bank | CAD 9,230 | 09/27/11 | 4.165 | 3 month CDOR | — | (90,861 | ) | |||||||||||
Deutsche Bank AG | CAD 690 | 09/28/11 | 4.179 | 3 month CDOR | — | (6,446 | ) | |||||||||||
National Australia Bank | CAD 5,360 | 10/03/11 | 4.176 | 3 month CDOR | — | (51,864 | ) | |||||||||||
UBS AG (London) | CAD 2,820 | 10/05/11 | 4.195 | 3 month CDOR | — | (25,362 | ) | |||||||||||
Deutsche Bank AG | CAD 2,520 | 10/06/11 | 4.183 | 3 month CDOR | — | (23,476 | ) | |||||||||||
Deutsche Bank AG | CAD 6,750 | 04/04/12 | 4.318 | 3 month CDOR | — | (11,613 | ) | |||||||||||
Deutsche Bank AG | CAD 6,750 | 04/05/12 | 4.328 | 3 month CDOR | — | (10,547 | ) | |||||||||||
Deutsche Bank AG | NZD 10,860 | 04/10/12 | 3 month ZDOR | 7.598 | — | (13,073 | ) | |||||||||||
Deutsche Bank AG | NZD 10,860 | 04/11/12 | 3 month ZDOR | 7.598 | — | 22,076 | ||||||||||||
Barclays Bank PLC(a) | GBP 12,920 | 06/20/12 | 5.500 | 6 month BP | 88,963 | (291,355 | ) | |||||||||||
Barclays Bank PLC(a) | USD 321,930 | 06/20/12 | 3 month LIBOR | 5.000 | 1,334,440 | (1,691,931 | ) | |||||||||||
Barclays Bank PLC(a) | EUR 96,010 | 06/20/12 | 6 month EURO | 4.250 | (845,278 | ) | 1,407,526 | |||||||||||
Barclays Bank PLC(a) | USD 432,820 | 06/20/12 | 5.000 | 3 month LIBOR | 2,201,308 | (2,681,937 | ) | |||||||||||
Citibank NA(a) | USD 31,720 | 06/20/12 | 3 month LIBOR | 5.000 | 27,377 | (62,601 | ) | |||||||||||
Credit Suisse First Boston International (London)(a) | USD 56,080 | 06/20/12 | 3 month LIBOR | 5.000 | (33,136 | ) | 20,077 | |||||||||||
Deutsche Bank AG(a) | AUD 154,270 | 06/20/12 | 6.250 | 6 month BBSW | (334,546 | ) | (1,010,290 | ) | ||||||||||
Deutsche Bank AG(a) | USD 95,690 | 06/20/12 | 3 month LIBOR | 5.000 | (375,560 | ) | 269,300 | |||||||||||
Deutsche Bank AG(a) | SEK 83,000 | 06/20/12 | 4.250 | 3 month SKOF | — | (141,729 | ) | |||||||||||
Deutsche Bank AG(a) | AUD 98,060 | 06/20/12 | 6 month BBSW | 6.250 | 1,214,304 | (359,475 | ) | |||||||||||
Deutsche Bank AG(a) | USD 59,630 | 06/20/12 | 5.000 | 3 month LIBOR | (107,187 | ) | 173,402 | |||||||||||
Deutsche Bank AG(a) | CAD 15,050 | 06/20/12 | 3 month CDOR | 4.500 | (168,560 | ) | 142,204 | |||||||||||
Lehman Brothers International (London)(a) | USD 233,430 | 06/20/12 | 3 month LIBOR | 5.000 | 989,236 | (1,248,451 | ) | |||||||||||
Merrill Lynch Capital Markets(a) | JPY 8,905,000 | 06/20/12 | 6 month JYOR | 1.500 | (447,440 | ) | 55,144 | |||||||||||
Barclays Bank PLC(a) | USD 27,990 | 06/20/14 | 3 month LIBOR | 5.100 | (214,900 | ) | 143,755 | |||||||||||
Citibank NA(a) | JPY 4,745,000 | 06/20/14 | 1.500 | 6 month JYOR | (72,567 | ) | (128,704 | ) | ||||||||||
Citibank NA(a) | JPY 24,811,000 | 06/20/14 | 6 month JYOR | 1.500 | 943,988 | 108,427 | ||||||||||||
Deutsche Bank AG(a) | JPY 4,745,000 | 06/20/14 | 1.500 | 6 month JYOR | (13,497 | ) | (187,773 | ) | ||||||||||
Deutsche Bank AG(a) | JPY 6,163,000 | 06/20/14 | 6 month JYOR | 1.500 | 191,781 | (453,199 | ) | |||||||||||
JPMorgan Securities, Inc.(a) | JPY 19,826,500 | 06/20/14 | 6 month JYOR | 1.500 | 1,697,623 | (856,637 | ) | |||||||||||
Merrill Lynch Capital Markets(a) | JPY 5,700,000 | 06/20/14 | 6 month JYOR | 1.500 | 177,834 | 55,071 | ||||||||||||
Deutsche Bank AG(a) | EUR 132,050 | 10/16/14 | 6 month EURO | 4.378 | — | (58,128 | ) | |||||||||||
Deutsche Bank AG(a) | EUR 52,800 | 10/16/14 | 6 month EURO | 4.435 | — | (245,547 | ) | |||||||||||
Deutsche Bank AG(a) | EUR 52,800 | 10/16/14 | 6 month EURO | 4.442 | — | (292,018 | ) | |||||||||||
Deutsche Bank AG(a) | EUR 26,400 | 10/16/14 | 6 month EURO | 4.380 | — | (16,854 | ) | |||||||||||
Morgan Stanley Capital Services | EUR 23,000 | 06/13/16 | 4.198 | 6 month EURO | — | 222,687 | ||||||||||||
Citibank NA | JPY 489,000 | 06/28/16 | 6 month JYOR | 2.100 | — | (153,615 | ) |
The accompanying notes are an integral part of these financial statements.
24
GOLDMAN SACHS GLOBAL INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
INTEREST RATE SWAP CONTRACTS (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 | EUR 1,905 | 06/28/16 | 4.281% | 6 month EURO | $ | — | $ | 35,218 | ||||||||||
Citibank NA | JPY 489,000 | 06/29/16 | 6 month JYOR | 2.119% | — | (160,127 | ) | |||||||||||
Citibank NA | EUR 1,905 | 06/29/16 | 4.296 | 6 month EURO | — | 38,361 | ||||||||||||
Morgan Stanley Capital Services | EUR 5,150 | 07/13/16 | 4.290 | 6 month EURO | — | 111,443 | ||||||||||||
Bank of America NA(a) | JPY 6,494,000 | 06/20/17 | 1.750 | 6 month JYOR | (690,549 | ) | 385,491 | |||||||||||
Barclays Bank PLC(a) | SEK 710,000 | 06/20/17 | 3 month SKOF | 4.250 | — | 2,570,139 | ||||||||||||
Barclays Bank PLC(a) | EUR 77,660 | 06/20/17 | 4.250 | 6 month EURO | 540,402 | (1,952,599 | ) | |||||||||||
Citibank NA(a) | EUR 5,490 | 06/20/17 | 4.250 | 6 month EURO | 36,497 | (136,329 | ) | |||||||||||
Citibank NA(a) | JPY 2,090,000 | 06/20/17 | 1.750 | 6 month JYOR | (100,342 | ) | 4,026 | |||||||||||
Credit Suisse First Boston International (London)(a) | SEK 258,000 | 06/20/17 | 3 month SKOF | 4.250 | 105,694 | 828,244 | ||||||||||||
Credit Suisse First Boston International (London)(a) | GBP 8,600 | 06/20/17 | 6 month BP | 5.250 | (194,454 | ) | 442,769 | |||||||||||
Credit Suisse First Boston International (London)(a) | EUR 36,790 | 06/20/17 | 6 month EUR | 4.250 | 864,498 | (235,370 | ) | |||||||||||
Credit Suisse First Boston International (London)(a) | EUR 10,070 | 06/20/17 | 4.250 | 6 month EUR | 65,572 | (248,689 | ) | |||||||||||
Credit Suisse First Boston International (London)(a) | USD 10,920 | 06/20/17 | 5.100 | 3 month LIBOR | 18,481 | (75,622 | ) | |||||||||||
Deutsche Bank AG(a) | SEK 107,000 | 06/20/17 | 3 month SKOF | 4.250 | — | 387,331 | ||||||||||||
Deutsche Bank AG(a) | EUR 6,290 | 06/20/17 | 4.250 | 6 month EURO | 40,950 | (155,329 | ) | |||||||||||
Morgan Stanley Capital Services(a) | SEK 242,000 | 06/20/17 | 3 month SKOF | 4.250 | — | 876,019 | ||||||||||||
Barclays Bank PLC(a) | USD 189,840 | 06/20/22 | 3 month LIBOR | 5.250 | (735,727 | ) | 1,698,996 | |||||||||||
Barclays Bank PLC(a) | USD 101,230 | 06/20/22 | 5.250 | 3 month LIBOR | (1,469,227 | ) | 955,575 | |||||||||||
Lehman Brothers International (Europe)(a) | USD 101,000 | 06/20/22 | 5.250 | 3 month LIBOR | (1,430,532 | ) | 918,048 | |||||||||||
Barclays Bank PLC(a) | USD 23,770 | 06/21/27 | 5.250 | 3 month LIBOR | (524,177 | ) | 202,909 | |||||||||||
Credit Suisse First Boston International (London)(a) | USD 18,480 | 06/21/27 | 5.250 | 3 month LIBOR | (233,451 | ) | (16,318 | ) | ||||||||||
Citibank NA(a) | USD 7,700 | 06/21/27 | 5.250 | 3 month LIBOR | (98,219 | ) | (5,852 | ) | ||||||||||
Credit Suisse First Boston International (London) | EUR 4,200 | 12/10/35 | 3.904 | 6 month EURO | — | (570,143 | ) | |||||||||||
Credit Suisse First Boston International (London) | EUR 1,350 | 12/24/35 | 3.838 | 6 month EURO | — | (203,649 | ) | |||||||||||
Merrill Lynch Capital Markets | EUR 2,180 | 04/14/36 | 4.438 | 6 month EURO | — | (43,412 | ) | |||||||||||
Merrill Lynch Capital Markets | EUR 2,170 | 04/14/36 | 4.446 | 6 month EURO | — | (39,413 | ) | |||||||||||
Deutsche Bank AG | EUR 1,850 | 05/23/36 | 6 month EURO | 4.558 | — | (73,615 | ) | |||||||||||
Barclays Bank PLC(a) | GBP 8,950 | 06/22/37 | 6 month BP | 4.500 | 168,994 | 815,226 | ||||||||||||
Credit Suisse First Boston International (London)(a) | EUR 15,860 | 06/22/37 | 4.250 | 6 month EURO | (265,057 | ) | (721,554 | ) | ||||||||||
Credit Suisse First Boston International (London)(a) | GBP 6,860 | 06/22/37 | 6 month BP | 4.500 | 130,090 | 623,351 | ||||||||||||
Merrill Lynch Capital Markets(a) | GBP 12,300 | 06/22/37 | 6 month BP | 4.500 | 243,050 | 1,109,564 |
The accompanying notes are an integral part of these financial statements.
25
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
INTEREST RATE SWAP CONTRACTS (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) | EUR 29,460 | 10/16/37 | 4.568 | % | 6 month EURO | $ | — | $ | 208,460 | |||||||||||||||
Deutsche Bank AG(a) | EUR 11,820 | 10/16/37 | 4.641 | 6 month EURO | — | 271,222 | ||||||||||||||||||
Deutsche Bank AG(a) | EUR 11,800 | 10/16/37 | 4.631 | 6 month EURO | — | 245,110 | ||||||||||||||||||
Deutsche Bank AG(a) | EUR 5,910 | 10/16/37 | 4.573 | 6 month EURO | — | 47,601 | ||||||||||||||||||
TOTAL | $ | 1,916,545 | $ | 489,668 | ||||||||||||||||||||
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to April 30, 2007. |
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 |
CREDIT DEFAULT SWAP CONTRACTS
Upfront | ||||||||||||||||||||||||
Notional | Rates | Payments | ||||||||||||||||||||||
Amount | Paid by | Termination | made (received) | Unrealized | ||||||||||||||||||||
Referenced Obligation | Swap Counterparty | (000s) | the Fund | Date | by the Fund | Loss | ||||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||||
Core Investment Grade Bond Trust | Credit Suisse First Boston International (London) | EUR 59,900 | 0.300% | 12/20/11 | $ | (208,798 | ) | $ | (129,581 | ) | ||||||||||||||
Core Investment Grade Bond Trust | Barclays Bank PLC | EUR 31,700 | 0.300 | 12/20/11 | (110,474 | ) | (68,601 | ) | ||||||||||||||||
Core Investment Grade Bond Trust | Deutsche Bank AG | EUR 12,400 | 0.300 | 12/20/11 | (45,674 | ) | (24,374 | ) | ||||||||||||||||
Core Investment Grade Bond Trust | Lehman Brothers International (London) | $52,300 | 0.350 | 06/20/12 | 116,854 | (112,161 | ) | |||||||||||||||||
TOTAL | $ | (248,092 | ) | $ | (334,717 | ) | ||||||||||||||||||
WRITTEN OPTIONS — For the six months ended April 30, 2007, the Fund had the following written options activity:
Number of | Premiums | |||||||
Contracts | Received | |||||||
Contracts Outstanding October 31, 2006 | — | $ | — | |||||
Contracts written | 4,436,000 | 14,084 | ||||||
Contracts expired | (4,436,000 | ) | (14,084 | ) | ||||
Contracts Outstanding April 30, 2007 | — | $ | — | |||||
The accompanying notes are an integral part of these financial statements.
26
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – 91.5% | ||||||||||||||||
Aerospace – 0.9% | ||||||||||||||||
BE Aerospace, Inc. (WR) | ||||||||||||||||
$ | 2,000,000 | 8.875 | % | 05/01/11 | $ | 2,059,160 | ||||||||||
FastenTech, Inc. (B-/B3) | ||||||||||||||||
1,250,000 | 11.500 | 05/01/11 | 1,321,875 | |||||||||||||
K&F Acquisition, Inc. (B-/Caa1) | ||||||||||||||||
7,625,000 | 7.750 | 11/15/14 | 8,158,750 | |||||||||||||
Mecachrome International, Inc. (B-/B3) | ||||||||||||||||
EUR3,500,000 | 9.000 | 05/15/14 | 4,895,679 | |||||||||||||
Sequa Corp. (BB-/B2) | ||||||||||||||||
$ | 4,000,000 | 9.000 | 08/01/09 | 4,230,000 | ||||||||||||
Standard Aero Holdings, Inc. (B-/Caa1) | ||||||||||||||||
5,750,000 | 8.250 | 09/01/14 | 6,210,000 | |||||||||||||
Vought Aircraft Industries, Inc. (CCC/B3) | ||||||||||||||||
2,500,000 | 8.000 | 07/15/11 | 2,525,000 | |||||||||||||
29,400,464 | ||||||||||||||||
Agriculture – 0.8% | ||||||||||||||||
Land O’ Lakes, Inc. (B+/Ba3) | ||||||||||||||||
320,000 | 8.750 | 11/15/11 | 333,600 | |||||||||||||
Land O’ Lakes, Inc. (BB/Ba2) | ||||||||||||||||
3,000,000 | 9.000 | 12/15/10 | 3,202,500 | |||||||||||||
National Beef Packing Co. LLC/NB Finance Corp. (B-/Caa1) | ||||||||||||||||
2,750,000 | 10.500 | 08/01/11 | 2,894,375 | |||||||||||||
Pilgrim’s Pride Corp. (B/B1) | ||||||||||||||||
5,000,000 | 7.625 | 05/01/15 | 5,068,750 | |||||||||||||
Pilgrim’s Pride Corp. (B/B2) | ||||||||||||||||
3,250,000 | 8.375 | 05/01/17 | 3,294,688 | |||||||||||||
Swift & Co. (B-/Caa1) | ||||||||||||||||
3,000,000 | 10.125 | 10/01/09 | 3,105,000 | |||||||||||||
Swift & Co. (CCC+/Caa1) | ||||||||||||||||
4,125,000 | 12.500 | 01/01/10 | 4,290,000 | |||||||||||||
Tereos Europe (BB-/Ba3)(a) | ||||||||||||||||
EUR2,875,000 | 6.375 | 04/15/14 | 4,001,834 | |||||||||||||
26,190,747 | ||||||||||||||||
Automotive – 2.4% | ||||||||||||||||
FCE Bank PLC (B+/B1) | ||||||||||||||||
2,000,000 | 4.914 | (b) | 09/30/09 | 2,677,442 | ||||||||||||
4,250,000 | 7.125 | 01/16/12 | 5,840,358 | |||||||||||||
Ford Motor Co. (CCC+/Caa1) | ||||||||||||||||
$ | 7,500,000 | 7.450 | 07/16/31 | 5,962,500 | ||||||||||||
1,000,000 | 8.900 | 01/15/32 | 857,500 | |||||||||||||
Ford Motor Credit Co. (B/B1) | ||||||||||||||||
2,500,000 | 9.750 | 09/15/10 | 2,643,233 | |||||||||||||
11,250,000 | 9.875 | 08/10/11 | 11,964,107 | |||||||||||||
14,000,000 | 7.250 | 10/25/11 | 13,687,183 | |||||||||||||
4,000,000 | 7.000 | 10/01/13 | 3,790,385 | |||||||||||||
5,750,000 | 8.000 | 12/15/16 | 5,606,043 | |||||||||||||
General Motors Corp. (B-/Caa1) | ||||||||||||||||
EUR2,000,000 | 7.250 | 07/03/13 | 2,647,419 | |||||||||||||
$ | 1,750,000 | 8.800 | (c) | 03/01/21 | 1,658,125 | |||||||||||
2,500,000 | 8.250 | 07/15/23 | 2,262,500 | |||||||||||||
2,000,000 | 8.375 | 07/05/33 | 2,579,187 | |||||||||||||
16,500,000 | 8.375 | 07/15/33 | 14,932,500 | |||||||||||||
General Motors Nova Scotia Finance Co. (B-/Caa1) | ||||||||||||||||
750,000 | 6.850 | 10/15/08 | 744,375 | |||||||||||||
77,852,857 | ||||||||||||||||
Automotive – Distributor – 0.1% | ||||||||||||||||
Keystone Automotive Operations, Inc. (CCC+/Caa1) | ||||||||||||||||
4,000,000 | 9.750 | 11/01/13 | 3,800,000 | |||||||||||||
Automotive Parts – 1.3% | ||||||||||||||||
Accuride Corp. (B-/B3) | ||||||||||||||||
3,000,000 | 8.500 | 02/01/15 | 3,097,500 | |||||||||||||
Tenneco Automotive, Inc. (B+/Ba3) | ||||||||||||||||
2,000,000 | 10.250 | 07/15/13 | 2,195,000 | |||||||||||||
Tenneco, Inc. (B/B3) | ||||||||||||||||
3,250,000 | 8.625 | 11/15/14 | 3,461,250 | |||||||||||||
The Goodyear Tire & Rubber Co. (B-/B2) | ||||||||||||||||
4,000,000 | 11.250 | 03/01/11 | 4,375,000 | |||||||||||||
3,000,000 | 9.000 | 07/01/15 | 3,307,500 | |||||||||||||
The Goodyear Tire & Rubber Co. (B-/B3) | ||||||||||||||||
5,000,000 | 7.857 | 08/15/11 | 5,250,000 | |||||||||||||
TRW Automotive, Inc. (BB-/Ba3)(a) | ||||||||||||||||
EUR3,500,000 | 6.375 | 03/15/14 | 4,785,228 | |||||||||||||
$ | 4,750,000 | 7.000 | 03/15/14 | 4,660,938 | ||||||||||||
United Components, Inc. (CCC+/Caa1) | ||||||||||||||||
5,500,000 | 9.375 | 06/15/13 | 5,726,875 | |||||||||||||
Visteon Corp. (CCC+/Caa2) | ||||||||||||||||
3,500,000 | 8.250 | 08/01/10 | 3,570,000 | |||||||||||||
2,000,000 | 7.000 | 03/10/14 | 1,782,500 | |||||||||||||
42,211,791 | ||||||||||||||||
Building Materials – Consumer – 0.4% | ||||||||||||||||
Collins & Aikman Floor Cover (B-/B3) | ||||||||||||||||
1,750,000 | 9.750 | 02/15/10 | 1,789,375 | |||||||||||||
Culligan Finance Corp. B.V. (CCC+/B3) | ||||||||||||||||
EUR3,000,000 | 8.000 | 10/01/14 | 4,544,282 | |||||||||||||
Heating Finance PLC (B-/B2) | ||||||||||||||||
GBP1,750,000 | 7.875 | 03/31/14 | 3,368,245 | |||||||||||||
Interface, Inc. (CCC+/B3) | ||||||||||||||||
$ | 2,000,000 | 9.500 | 02/01/14 | 2,175,000 | ||||||||||||
Werner Holdings Co., Inc. (WR)(d) | ||||||||||||||||
3,000,000 | 10.000 | 11/15/07 | 153,750 | |||||||||||||
12,030,652 | ||||||||||||||||
Building Materials – Fixtures & Fittings – 3.5% | ||||||||||||||||
ACIH, Inc. (CCC+/Caa1)(a)(e) | ||||||||||||||||
6,250,000 | 11.500 | 12/15/12 | 5,195,312 | |||||||||||||
Associated Materials, Inc. (CCC/B3) | ||||||||||||||||
1,250,000 | 9.750 | 04/15/12 | 1,309,375 | |||||||||||||
Associated Materials, Inc. (CCC/Caa2)(e) | ||||||||||||||||
13,000,000 | 11.250 | 03/01/14 | 9,685,000 | |||||||||||||
CPG International, Inc. (B-/B3) | ||||||||||||||||
3,000,000 | 10.500 | 07/01/13 | 3,150,000 | |||||||||||||
Goodman Global Holdings Co., Inc. (B-/B3) | ||||||||||||||||
13,500,000 | 7.875 | 12/15/12 | 13,635,000 | |||||||||||||
Grohe Holding (CCC+/B3) | ||||||||||||||||
EUR19,000,000 | 8.625 | 10/01/14 | 26,706,187 |
The accompanying notes are an integral part of these financial statements.
27
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Building Materials – Fixtures & Fittings – (continued) | ||||||||||||||||
Legrand S.A. (BBB/Baa3) | ||||||||||||||||
$ | 5,050,000 | 8.500 | % | 02/15/25 | $ | 5,933,750 | ||||||||||
Nortek, Inc. (CCC+/B3) | ||||||||||||||||
23,750,000 | 8.500 | 09/01/14 | 23,512,500 | |||||||||||||
NTK Holdings, Inc. (CCC+/Caa1)(e) | ||||||||||||||||
16,750,000 | 10.750 | 03/01/14 | 12,562,500 | |||||||||||||
Panolam Industries International, Inc. (CCC+/Caa1)(a) | ||||||||||||||||
5,000,000 | 10.750 | 10/01/13 | 5,350,000 | |||||||||||||
PLY Gem Industries, Inc. (CCC+/Caa1) | ||||||||||||||||
7,000,000 | 9.000 | 02/15/12 | 6,326,250 | |||||||||||||
113,365,874 | ||||||||||||||||
Building Materials – Materials – 0.3% | ||||||||||||||||
Carmeuse Lime B.V. (BB/Ba3) | ||||||||||||||||
EUR5,625,000 | 10.750 | 07/15/12 | 8,232,673 | |||||||||||||
Texas Industries, Inc. (BB-/Ba3) | ||||||||||||||||
$ | 1,000,000 | 7.250 | 07/15/13 | 1,032,500 | ||||||||||||
9,265,173 | ||||||||||||||||
Capital Goods – Others – 2.3% | ||||||||||||||||
Altra Industrial Motion, Inc. (CCC+/B2) | ||||||||||||||||
2,000,000 | 9.000 | 12/01/11 | 2,070,000 | |||||||||||||
Baldor Electric Co. (B/B3) | ||||||||||||||||
12,000,000 | 8.625 | 02/15/17 | 12,810,000 | |||||||||||||
Belden CDT, Inc. (BB-/Ba2)(a) | ||||||||||||||||
1,250,000 | 7.000 | 03/15/17 | 1,278,125 | |||||||||||||
Briggs & Stratton Corp. (BB+/Ba1) | ||||||||||||||||
2,500,000 | 8.875 | 03/15/11 | 2,687,500 | |||||||||||||
Mueller Group, Inc. (B/B3) | ||||||||||||||||
3,600,000 | 10.000 | 05/01/12 | 3,888,000 | |||||||||||||
Mueller Holdings, Inc. (B/B3)(e) | ||||||||||||||||
7,438,000 | 14.750 | 04/15/14 | 6,898,745 | |||||||||||||
RBS Global & Rexnord Corp. (CCC+/B3) | ||||||||||||||||
12,500,000 | 9.500 | 08/01/14 | 13,406,250 | |||||||||||||
5,000,000 | 8.875 | 09/01/16 | 5,237,500 | |||||||||||||
RBS Global & Rexnord Corp. (CCC+/Caa1) | ||||||||||||||||
11,500,000 | 11.750 | 08/01/16 | 12,621,250 | |||||||||||||
Sensata Technologies (B-/Caa1) | ||||||||||||||||
8,250,000 | 8.000 | 05/01/14 | 8,291,250 | |||||||||||||
Texon International PLC (WR) | ||||||||||||||||
DEM2,250,000 | 10.000 | 02/01/10 | — | |||||||||||||
VAC Finanzierung GMBH (CCC+/B3) | ||||||||||||||||
EUR3,000,000 | 9.250 | 04/15/16 | 4,411,229 | |||||||||||||
73,599,849 | ||||||||||||||||
Chemicals – 6.0% | ||||||||||||||||
Basell AF SCA (B/B2)(a) | ||||||||||||||||
$ | 9,750,000 | 8.375 | 08/15/15 | 10,164,375 | ||||||||||||
Basell AF SCA (B/B2) | ||||||||||||||||
EUR5,250,000 | 8.375 | 08/15/15 | 7,764,428 | |||||||||||||
Compass Minerals International, Inc. (B-)(e) | ||||||||||||||||
$ | 8,750,000 | 12.750 | 12/15/12 | 8,903,125 | ||||||||||||
7,750,000 | 12.000 | 06/01/13 | 7,614,375 | |||||||||||||
Equistar Chemical/Funding (BB-/B1) | ||||||||||||||||
3,000,000 | 10.625 | 05/01/11 | 3,165,000 | |||||||||||||
Equistar Chemicals LP (BB-/B1) | ||||||||||||||||
2,750,000 | 10.125 | 09/01/08 | 2,897,813 | |||||||||||||
2,000,000 | 7.550 | 02/15/26 | 1,980,000 | |||||||||||||
Ferro Corp. (B+/WR) | ||||||||||||||||
3,250,000 | 9.125 | 01/01/09 | 3,339,375 | |||||||||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC (B-/B3)(a) | ||||||||||||||||
11,250,000 | 9.750 | 11/15/14 | 12,178,125 | |||||||||||||
Huntsman International LLC (B/B2)(a) | ||||||||||||||||
2,500,000 | 7.875 | 11/15/14 | 2,612,500 | |||||||||||||
Ineos Group Holdings PLC (B-/B2) | ||||||||||||||||
EUR9,000,000 | 7.875 | 02/15/16 | 11,606,342 | |||||||||||||
Ineos Group Holdings PLC (B-/B2)(a) | ||||||||||||||||
$ | 12,750,000 | 8.500 | 02/15/16 | 12,463,125 | ||||||||||||
Invista (B+/Ba3)(a) | ||||||||||||||||
6,000,000 | 9.250 | 05/01/12 | 6,390,000 | |||||||||||||
KRATON Polymers LLC/Capital Corp. (B-/B3) | ||||||||||||||||
7,250,000 | 8.125 | 01/15/14 | 7,286,250 | |||||||||||||
LBC Luxembourg (CCC+/B3) | ||||||||||||||||
EUR3,250,000 | 11.000 | 05/15/14 | 5,205,711 | |||||||||||||
Lyondell Chemical Co. (B+/B1) | ||||||||||||||||
$ | 2,000,000 | 8.250 | 09/15/16 | 2,150,000 | ||||||||||||
Lyondell Chemical Co. (BB/Ba2) | ||||||||||||||||
4,000,000 | 10.500 | 06/01/13 | 4,390,000 | |||||||||||||
MacDermid, Inc. (CCC+/Caa1)(a) | ||||||||||||||||
3,625,000 | 9.500 | 04/15/17 | 3,770,000 | |||||||||||||
Momentive Performance Materials, Inc. (B-/B3)(a) | ||||||||||||||||
10,750,000 | 9.750 | 12/01/14 | 11,368,125 | |||||||||||||
Momentive Performance Materials, Inc. (B-/B3)(a)(f) | ||||||||||||||||
4,000,000 | 10.125 | 12/01/14 | 4,240,000 | |||||||||||||
Momentive Performance Materials, Inc. (CCC+/Caa2)(a) | ||||||||||||||||
8,000,000 | 11.500 | 12/01/16 | 8,560,000 | |||||||||||||
PQ Corp. (B-/B3) | ||||||||||||||||
6,500,000 | 7.500 | 02/15/13 | 6,841,250 | |||||||||||||
Rhodia S.A. (B/B1)(b)(c) | ||||||||||||||||
EUR4,500,000 | 6.718 | 10/15/13 | 6,309,797 | |||||||||||||
Rhodia S.A. (B/B3) | ||||||||||||||||
$ | 4,714,000 | 8.875 | 06/01/11 | 4,932,022 | ||||||||||||
EUR6,641,000 | 9.250 | 06/01/11 | 9,493,111 | |||||||||||||
Rockwood Specialties Group, Inc. (B-/B3) | ||||||||||||||||
$ | 3,645,000 | 10.625 | 05/15/11 | 3,843,653 | ||||||||||||
10,500,000 | 7.625 | 11/15/14 | 15,081,081 | |||||||||||||
SPCM SA (B/B3)(a) | ||||||||||||||||
EUR2,750,000 | 8.250 | 06/15/13 | 4,067,081 | |||||||||||||
The Mosaic Co. (BB-/B1)(a) | ||||||||||||||||
$ | 1,000,000 | 7.375 | 12/01/14 | 1,045,000 | ||||||||||||
3,000,000 | 7.625 | 12/01/16 | 3,187,500 | |||||||||||||
192,849,164 | ||||||||||||||||
Conglomerates – 1.7% | ||||||||||||||||
Blount, Inc. (B/B2) | ||||||||||||||||
6,375,000 | 8.875 | 08/01/12 | 6,693,750 | |||||||||||||
Bombardier, Inc. (BB/Ba2)(a) | ||||||||||||||||
6,250,000 | 6.750 | 05/01/12 | 6,226,562 | |||||||||||||
3,000,000 | 8.000 | 11/15/14 | 3,153,750 | |||||||||||||
EUR2,000,000 | 7.250 | 11/15/16 | 2,882,822 |
The accompanying notes are an integral part of these financial statements.
28
GOLDMAN SACHS HIGH YIELD FUND
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Conglomerates – (continued) | ||||||||||||||||
Invensys PLC (B-/B2)(a) | ||||||||||||||||
$ | 1,463,000 | 9.875 | % | 03/15/11 | $ | 1,576,383 | ||||||||||
Noma Luxembourg S.A. (B+/B1) | ||||||||||||||||
EUR2,000,000 | 9.750 | 07/15/11 | 3,002,228 | |||||||||||||
Park-Ohio Industries, Inc. (B-/B3) | ||||||||||||||||
$ | 5,000,000 | 8.375 | 11/15/14 | 5,000,000 | ||||||||||||
Polypore International, Inc. (CCC+/Caa2)(e) | ||||||||||||||||
6,750,000 | 10.500 | 10/01/12 | 6,446,250 | |||||||||||||
Polypore, Inc. (CCC+/Caa1) | ||||||||||||||||
EUR10,750,000 | 8.750 | 05/15/12 | 13,746,050 | |||||||||||||
Trimas Corp. (CCC+/B3) | ||||||||||||||||
$ | 7,000,000 | 9.875 | 06/15/12 | 7,262,500 | ||||||||||||
55,990,295 | ||||||||||||||||
Consumer Products – Household & Leisure – 2.9% | ||||||||||||||||
Affinion Group, Inc. (B-/B2) | ||||||||||||||||
6,250,000 | 10.125 | 10/15/13 | 6,859,375 | |||||||||||||
Affinion Group, Inc. (B-/Caa1) | ||||||||||||||||
4,500,000 | 11.500 | 10/15/15 | 4,972,500 | |||||||||||||
Ames True Temper (CCC-/Caa3) | ||||||||||||||||
3,750,000 | 10.000 | 07/15/12 | 3,712,500 | |||||||||||||
FTD Group, Inc. (B-/B3) | ||||||||||||||||
2,430,000 | 7.750 | 02/15/14 | 2,430,000 | |||||||||||||
Harry & David Holdings, Inc. (B-/B3) | ||||||||||||||||
3,000,000 | 9.000 | 03/01/13 | 3,120,000 | |||||||||||||
Safilo Capital International S.A. (B/B2) | ||||||||||||||||
EUR7,150,000 | 9.625 | 05/15/13 | 10,623,198 | |||||||||||||
Sealy Mattress Co. (B/B2) | ||||||||||||||||
$ | 5,000,000 | 8.250 | 06/15/14 | 5,300,000 | ||||||||||||
Simmons Bedding Co. (CCC+/B2) | ||||||||||||||||
3,000,000 | 7.875 | 01/15/14 | 3,090,000 | |||||||||||||
Simmons Bedding Co. (CCC+/B3) | ||||||||||||||||
4,500,000 | 10.000 | 12/15/14 | 3,802,500 | |||||||||||||
Solo Cup Co. (CCC-/Caa2) | ||||||||||||||||
1,750,000 | 8.500 | 02/15/14 | 1,531,250 | |||||||||||||
Spectrum Brands, Inc. (CCC-/Caa3) | ||||||||||||||||
13,500,000 | 7.375 | 02/01/15 | 10,698,750 | |||||||||||||
Spectrum Brands, Inc. (CCC-)(f) | ||||||||||||||||
5,500,000 | 11.250 | 10/02/13 | 5,142,500 | |||||||||||||
True Temper Sports, Inc. (CCC/Caa2) | ||||||||||||||||
2,500,000 | 8.375 | 09/15/11 | 2,256,250 | |||||||||||||
Vertrue, Inc. (B/Ba3) | ||||||||||||||||
3,000,000 | 9.250 | 04/01/14 | 3,292,500 | |||||||||||||
Visant Corp. (B-/B2) | ||||||||||||||||
6,375,000 | 7.625 | 10/01/12 | 6,518,437 | |||||||||||||
Visant Holding Corp. (B-/B3) | ||||||||||||||||
11,250,000 | 8.750 | 12/01/13 | 11,840,625 | |||||||||||||
Visant Holding Corp. (B-/B3)(e) | ||||||||||||||||
8,750,000 | 10.250 | 12/01/13 | 8,181,250 | |||||||||||||
93,371,635 | ||||||||||||||||
Consumer Products – Industrial – 0.7% | ||||||||||||||||
Johnsondiversey Holdings, Inc. (CCC+/Caa1)(e) | ||||||||||||||||
7,000,000 | 10.670 | 05/15/13 | 7,253,750 | |||||||||||||
Johnsondiversey, Inc. (CCC+/B3) | ||||||||||||||||
EUR3,500,000 | 9.625 | 05/15/12 | 4,991,205 | |||||||||||||
$ | 4,005,000 | 9.625 | 05/15/12 | 4,170,206 | ||||||||||||
Norcross Safety Products (B-/B2) | ||||||||||||||||
4,250,000 | 9.875 | 08/15/11 | 4,494,375 | |||||||||||||
Safety Products Holdings, Inc. Series B (B-/B3)(f) | ||||||||||||||||
1,881,310 | 11.750 | 01/01/12 | 2,003,595 | |||||||||||||
22,913,131 | ||||||||||||||||
Consumer Products – Non Durable – 1.7% | ||||||||||||||||
Chattem, Inc. (B/B2) | ||||||||||||||||
2,405,000 | 7.000 | 03/01/14 | 2,417,025 | |||||||||||||
Del Laboratories, Inc. (CCC/Caa2) | ||||||||||||||||
7,250,000 | 8.000 | 02/01/12 | 6,815,000 | |||||||||||||
Jafra Cosmetics International, Inc. (B-/B1) | ||||||||||||||||
1,303,000 | 10.750 | 05/15/11 | 1,371,408 | |||||||||||||
Leiner Health Products, Inc. (CCC/Caa1) | ||||||||||||||||
2,000,000 | 11.000 | 06/01/12 | 1,980,000 | |||||||||||||
Nutro Products, Inc. (CCC/Caa1)(a) | ||||||||||||||||
3,750,000 | 10.750 | 04/15/14 | 3,984,375 | |||||||||||||
Playtex Products, Inc. (B-/Caa1) | ||||||||||||||||
6,500,000 | 9.375 | 06/01/11 | 6,711,250 | |||||||||||||
Prestige Brands, Inc. (B-/B3) | ||||||||||||||||
2,100,000 | 9.250 | 04/15/12 | 2,184,000 | |||||||||||||
Reddy Ice Holdings, Inc. (B-/B3)(e) | ||||||||||||||||
3,750,000 | 10.500 | 11/01/12 | 3,426,562 | |||||||||||||
Sally Holdings LLC (CCC+/B2)(a) | ||||||||||||||||
8,500,000 | 9.250 | 11/15/14 | 8,861,250 | |||||||||||||
Sally Holdings LLC (CCC+/Caa1)(a) | ||||||||||||||||
13,000,000 | 10.500 | 11/15/16 | 13,552,500 | |||||||||||||
Yankee Acquisition Corp. (CCC+/B3)(a) | ||||||||||||||||
2,875,000 | 8.500 | 02/15/15 | 2,946,875 | |||||||||||||
Yankee Acquisition Corp. (CCC+/Caa1)(a) | ||||||||||||||||
2,000,000 | 9.750 | 02/15/17 | 2,050,000 | |||||||||||||
56,300,245 | ||||||||||||||||
Defense – 0.9% | ||||||||||||||||
Alliant Techsystems, Inc. (B+/B1) | ||||||||||||||||
4,000,000 | 6.750 | 04/01/16 | 4,035,000 | |||||||||||||
Communications & Power Industries, Inc. (B-/B2) | ||||||||||||||||
2,000,000 | 8.000 | 02/01/12 | 2,055,000 | |||||||||||||
DRS Technologies, Inc. (B/B3) | ||||||||||||||||
1,625,000 | 6.875 | 11/01/13 | 1,641,250 | |||||||||||||
3,000,000 | 7.625 | 02/01/18 | 3,142,500 | |||||||||||||
Heckler Koch GMBH (B-/B2) | ||||||||||||||||
EUR2,000,000 | 9.250 | 07/15/11 | 2,848,705 | |||||||||||||
L-3 Communications Corp. (BB+/Ba3) | ||||||||||||||||
$ | 3,500,000 | 6.125 | 01/15/14 | 3,465,000 | ||||||||||||
3,000,000 | 5.875 | 01/15/15 | 2,917,500 | |||||||||||||
8,500,000 | 6.375 | 10/15/15 | 8,457,500 | |||||||||||||
28,562,455 | ||||||||||||||||
Energy – Coal – 0.5% | ||||||||||||||||
Arch Western Finance LLC (BB-/B1) | ||||||||||||||||
2,500,000 | 6.750 | 07/01/13 | 2,481,250 |
The accompanying notes are an integral part of these financial statements.
29
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Energy – Coal – (continued) | ||||||||||||||||
Massey Energy Co. (B+/B2) | ||||||||||||||||
$ | 5,750,000 | 6.875 | % | 12/15/13 | $ | 5,548,750 | ||||||||||
Peabody Energy Corp. (BB/Ba1) | ||||||||||||||||
4,000,000 | 6.875 | 03/15/13 | 4,070,000 | |||||||||||||
1,000,000 | 5.875 | 04/15/16 | 957,500 | |||||||||||||
1,750,000 | 7.375 | 11/01/16 | 1,850,625 | |||||||||||||
14,908,125 | ||||||||||||||||
Energy – Exploration & Production – 2.1% | ||||||||||||||||
Chesapeake Energy Corp. (BB/Ba2) | ||||||||||||||||
4,750,000 | 6.375 | 06/15/15 | 4,767,813 | |||||||||||||
5,250,000 | 6.625 | 01/15/16 | 5,328,750 | |||||||||||||
8,000,000 | 6.875 | 01/15/16 | 8,150,000 | |||||||||||||
9,250,000 | 6.500 | 08/15/17 | 9,203,750 | |||||||||||||
Encore Acquisition Co. (B/B1) | ||||||||||||||||
8,250,000 | 6.000 | 07/15/15 | 7,548,750 | |||||||||||||
3,000,000 | 7.250 | 12/01/17 | 2,895,000 | |||||||||||||
EXCO Resources, Inc. (B-/B3) | ||||||||||||||||
4,000,000 | 7.250 | 01/15/11 | 4,010,000 | |||||||||||||
KCS Energy, Inc. (B-/B3) | ||||||||||||||||
2,375,000 | 7.125 | 04/01/12 | 2,351,250 | |||||||||||||
Newfield Exploration Co. (BB-/Ba3) | ||||||||||||||||
5,000,000 | 6.625 | 04/15/16 | 5,025,000 | |||||||||||||
Pogo Producing Co. (B+/B1) | ||||||||||||||||
1,250,000 | 7.875 | 05/01/13 | 1,271,875 | |||||||||||||
4,750,000 | 6.875 | 10/01/17 | 4,666,875 | |||||||||||||
Quicksilver Resources, Inc. (B/B1) | ||||||||||||||||
3,250,000 | 7.125 | 04/01/16 | 3,225,625 | |||||||||||||
Range Resources Corp. (B/B1) | ||||||||||||||||
3,500,000 | 6.375 | 03/15/15 | 3,465,000 | |||||||||||||
Vintage Petroleum, Inc. (WR) | ||||||||||||||||
2,000,000 | 8.250 | 05/01/12 | 2,082,591 | |||||||||||||
Whiting Petroleum Corp. (B/B1) | ||||||||||||||||
2,500,000 | 7.250 | 05/01/13 | 2,462,500 | |||||||||||||
1,500,000 | 7.000 | 02/01/14 | 1,462,500 | |||||||||||||
67,917,279 | ||||||||||||||||
Energy – Refining(a) – 0.1% | ||||||||||||||||
Petroplus Finance Ltd. (BB-/B1) | ||||||||||||||||
2,125,000 | 6.750 | 05/01/14 | 2,132,969 | |||||||||||||
2,500,000 | 7.000 | 05/01/17 | 2,521,875 | |||||||||||||
4,654,844 | ||||||||||||||||
Energy – Services – 0.2% | ||||||||||||||||
Aker Kvaerner ASA (WR) | ||||||||||||||||
EUR2,750,000 | 8.375 | 06/15/11 | 4,083,031 | |||||||||||||
Seitel, Inc. (B-/B3)(a) | ||||||||||||||||
$ | 2,000,000 | 9.750 | 02/15/14 | 2,035,000 | ||||||||||||
6,118,031 | ||||||||||||||||
Entertainment & Leisure – 0.9% | ||||||||||||||||
AMC Entertainment, Inc. (B-/Ba3) | ||||||||||||||||
1,875,000 | 8.625 | 08/15/12 | 1,996,875 | |||||||||||||
Blockbuster, Inc. (CCC+/Caa2) | ||||||||||||||||
3,500,000 | 9.000 | 09/01/12 | 3,583,125 | |||||||||||||
Festival Fun Parks LLC (B/B3) | ||||||||||||||||
2,750,000 | 10.875 | 04/15/14 | 2,842,813 | |||||||||||||
HRP Myrtle Beach Operations LLC (B/B2)(a)(b) | ||||||||||||||||
1,750,000 | 10.070 | 04/01/12 | 1,771,875 | |||||||||||||
Universal City Development Partners (B-/B2) | ||||||||||||||||
8,750,000 | 11.750 | 04/01/10 | 9,307,812 | |||||||||||||
Universal City Florida Holding Co. (B-/B3) | ||||||||||||||||
1,000,000 | 8.375 | 05/01/10 | 1,035,000 | |||||||||||||
Warner Music Group (B/B2) | ||||||||||||||||
5,625,000 | 7.375 | 04/15/14 | 5,392,969 | |||||||||||||
WMG Holdings Corp. (B/B2)(e) | ||||||||||||||||
4,550,000 | 9.500 | 12/15/14 | 3,480,750 | |||||||||||||
29,411,219 | ||||||||||||||||
Environmental – 0.9% | ||||||||||||||||
Allied Waste North America, Inc. (BB/B1) | ||||||||||||||||
2,000,000 | 6.500 | 11/15/10 | 2,025,000 | |||||||||||||
3,875,000 | 6.375 | 04/15/11 | 3,884,687 | |||||||||||||
2,250,000 | 7.875 | 04/15/13 | 2,342,813 | |||||||||||||
3,000,000 | 6.125 | 02/15/14 | 2,947,500 | |||||||||||||
8,250,000 | 7.250 | 03/15/15 | 8,507,812 | |||||||||||||
Allied Waste North America, Inc. Series B (BB/B1) | ||||||||||||||||
2,250,000 | 7.125 | 05/15/16 | 2,303,438 | |||||||||||||
1,000,000 | 6.875 | 06/01/17 | 1,017,500 | |||||||||||||
Waste Services (CCC+/Caa1) | ||||||||||||||||
4,500,000 | 9.500 | 04/15/14 | 4,753,125 | |||||||||||||
WCA Waste Corp. (B-/B3) | ||||||||||||||||
1,688,000 | 9.250 | 06/15/14 | 1,780,840 | |||||||||||||
29,562,715 | ||||||||||||||||
Finance – 1.7% | ||||||||||||||||
ETrade Financial Corp. (BB-/Ba2) | ||||||||||||||||
4,000,000 | 7.375 | 09/15/13 | 4,180,000 | |||||||||||||
General Motors Acceptance Corp. (BB+/Ba1) | ||||||||||||||||
EUR1,500,000 | 4.750 | 09/14/09 | 2,008,945 | |||||||||||||
$ | 3,000,000 | 7.250 | 03/02/11 | 3,045,394 | ||||||||||||
18,500,000 | 6.875 | 09/15/11 | 18,597,532 | |||||||||||||
5,500,000 | 6.750 | 12/01/14 | 5,412,756 | |||||||||||||
11,500,000 | 8.000 | 11/01/31 | 12,391,250 | |||||||||||||
GMAC Canada Ltd. (BB+/Ba1) | ||||||||||||||||
GBP500,000 | 6.625 | 12/17/10 | 976,114 | |||||||||||||
NCO Group, Inc. (B-/Caa1)(a) | ||||||||||||||||
$ | 7,250,000 | 11.875 | 11/15/14 | 7,485,625 | ||||||||||||
54,097,616 | ||||||||||||||||
Food – 1.0% | ||||||||||||||||
Dean Foods Co. (B+/B1) | ||||||||||||||||
5,000,000 | 7.000 | 06/01/16 | 5,075,000 | |||||||||||||
Dole Food Co. (B-/Ca1) | ||||||||||||||||
3,500,000 | 8.625 | 05/01/09 | 3,552,500 | |||||||||||||
3,000,000 | 8.875 | 03/15/11 | 3,026,250 | |||||||||||||
Eagle Family Foods (Caa2) | ||||||||||||||||
3,500,000 | 8.750 | 01/15/08 | 3,500,000 | |||||||||||||
Michael Foods, Inc. (B-/B3) | ||||||||||||||||
4,500,000 | 8.000 | 11/15/13 | 4,635,000 |
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) | ||||||||||||||||
Food – (continued) | ||||||||||||||||
Pinnacle Foods Finance LLC (CCC/Caa2)(a) | ||||||||||||||||
$ | 9,000,000 | 9.250 | % | 04/01/15 | $ | 8,966,250 | ||||||||||
5,000,000 | 10.625 | 04/01/17 | 5,043,750 | |||||||||||||
33,798,750 | ||||||||||||||||
Gaming – 6.2% | ||||||||||||||||
Boyd Gaming Corp. (B+/Ba3) | ||||||||||||||||
2,000,000 | 6.750 | 04/15/14 | 2,000,000 | |||||||||||||
1,000,000 | 7.125 | 02/01/16 | 1,000,000 | |||||||||||||
Buffalo Thunder Development Authority (B/B2)(a) | ||||||||||||||||
2,500,000 | 9.375 | 12/15/14 | 2,562,500 | |||||||||||||
Caesars Entertainment, Inc. (BB/Baa3) | ||||||||||||||||
1,500,000 | 7.500 | 09/01/09 | 1,561,875 | |||||||||||||
CCM Merger, Inc. (CCC+/B3)(a) | ||||||||||||||||
3,500,000 | 8.000 | 08/01/13 | 3,552,500 | |||||||||||||
Chukchansi Economic Development Authority (BB-/B2)(a) | ||||||||||||||||
4,000,000 | 8.000 | 11/15/13 | 4,140,000 | |||||||||||||
Circus & Eldorado (B/B2) | ||||||||||||||||
3,500,000 | 10.125 | 03/01/12 | 3,683,750 | |||||||||||||
Cirsa Finance Luxembourg SA (B/B1) | ||||||||||||||||
EUR5,000,000 | 8.750 | 05/15/14 | 7,164,409 | |||||||||||||
Codere Finance Luxembourg SA | ||||||||||||||||
10,500,000 | 8.250 | 06/15/15 | 15,493,034 | |||||||||||||
Codere Finance Luxembourg SA (B/B2) | ||||||||||||||||
2,500,000 | 8.250 | 06/15/15 | 3,688,818 | |||||||||||||
French Lick Resorts & Casino LLC (B-/B3)(a) | ||||||||||||||||
$ | 3,000,000 | 10.750 | 04/15/14 | 2,610,000 | ||||||||||||
Galaxy Entertainment Finance Co., Ltd. (B+/B1)(a) | ||||||||||||||||
1,250,000 | 9.875 | 12/15/12 | 1,368,750 | |||||||||||||
Greektown Holdings LLC (CCC+/B3)(a) | ||||||||||||||||
3,500,000 | 10.750 | 12/01/13 | 3,753,750 | |||||||||||||
Harrah’s Operating Co., Inc. (BB/Baa3) | ||||||||||||||||
8,000,000 | 5.625 | 06/01/15 | 6,820,000 | |||||||||||||
7,000,000 | 6.500 | 06/01/16 | 6,230,000 | |||||||||||||
Herbst Gaming, Inc. (B-/B3) | ||||||||||||||||
2,000,000 | 8.125 | 06/01/12 | 2,025,000 | |||||||||||||
Isle of Capri Casinos, Inc. (B/B1) | ||||||||||||||||
1,500,000 | 9.000 | 03/15/12 | 1,567,500 | |||||||||||||
3,250,000 | 7.000 | 03/01/14 | 3,209,375 | |||||||||||||
Mandalay Resort Group (B+/B1) | ||||||||||||||||
3,250,000 | 10.250 | 08/01/07 | 3,282,500 | |||||||||||||
2,000,000 | 9.375 | 02/15/10 | 2,155,000 | |||||||||||||
MGM Mirage, Inc. (B+/B1) | ||||||||||||||||
5,125,000 | 8.375 | 02/01/11 | 5,451,719 | |||||||||||||
MGM Mirage, Inc. (BB/Ba2) | ||||||||||||||||
2,000,000 | 8.500 | 09/15/10 | 2,142,500 | |||||||||||||
5,500,000 | 6.750 | 04/01/13 | 5,472,500 | |||||||||||||
2,000,000 | 5.875 | 02/27/14 | 1,880,000 | |||||||||||||
18,750,000 | 6.625 | 07/15/15 | 18,210,937 | |||||||||||||
Mirage Resorts, Inc. (BB/Ba2) | ||||||||||||||||
3,125,000 | 7.250 | 08/01/17 | 3,085,937 | |||||||||||||
Mohegan Tribal Gaming Authority (B/Ba2) | ||||||||||||||||
3,000,000 | 8.000 | 04/01/12 | 3,116,250 | |||||||||||||
MTR Gaming Group, Inc. (B+/B1) | ||||||||||||||||
3,000,000 | 9.750 | 04/01/10 | 3,153,750 | |||||||||||||
Park Place Entertainment Corp. (B+/Ba1) | ||||||||||||||||
5,000,000 | 7.875 | 03/15/10 | 5,250,000 | |||||||||||||
2,500,000 | 8.125 | 05/15/11 | 2,653,125 | |||||||||||||
Peermont Global Ltd. (B/B3)(a) | ||||||||||||||||
EUR5,000,000 | 7.750 | 04/30/14 | 7,020,780 | |||||||||||||
Penn National Gaming, Inc. (B+/B1) | ||||||||||||||||
$ | 2,750,000 | 6.750 | 03/01/15 | 2,756,875 | ||||||||||||
Pinnacle Entertainment, Inc. (B-/Caa1) | ||||||||||||||||
4,500,000 | 8.250 | 03/15/12 | 4,623,750 | |||||||||||||
1,500,000 | 8.750 | 10/01/13 | 1,584,375 | |||||||||||||
Pokagon Gaming Authority (B/B3)(a) | ||||||||||||||||
625,000 | 10.375 | 06/15/14 | 700,000 | |||||||||||||
Poster Financial Group, Inc. (BB-/B3)(c) | ||||||||||||||||
2,000,000 | 8.750 | 12/01/11 | 2,080,000 | |||||||||||||
River Rock Entertainment (B+/B2) | ||||||||||||||||
2,000,000 | 9.750 | 11/01/11 | 2,127,500 | |||||||||||||
San Pasqual Casino (B+/B2)(a) | ||||||||||||||||
1,500,000 | 8.000 | 09/15/13 | 1,545,000 | |||||||||||||
Seminole Hard Rock Entertainment, Inc. (BB/B1)(a)(b) | ||||||||||||||||
2,500,000 | 7.848 | 03/15/14 | 2,546,875 | |||||||||||||
Snoqualmie Entertainment Authority (B/B3)(a) | ||||||||||||||||
4,250,000 | 9.125 | 02/01/15 | 4,388,125 | |||||||||||||
Station Casinos, Inc. (B/Ba3) | ||||||||||||||||
8,750,000 | 6.500 | 02/01/14 | 8,235,937 | |||||||||||||
13,500,000 | 6.875 | 03/01/16 | 12,706,875 | |||||||||||||
Turning Stone Casino Resort Enterprise (B+/B1)(a) | ||||||||||||||||
2,750,000 | 9.125 | 09/15/14 | 2,805,000 | |||||||||||||
Wimar Opco LLC/Wimar Opco Finance Corp. (CCC+/B3)(a) | ||||||||||||||||
7,000,000 | 9.625 | 12/15/14 | 7,096,250 | |||||||||||||
Wynn Las Vegas LLC (BB-/B1) | ||||||||||||||||
11,500,000 | 6.625 | 12/01/14 | 11,543,125 | |||||||||||||
200,045,946 | ||||||||||||||||
Health Care – Medical Products – 1.8% | ||||||||||||||||
Advanced Medical Optics, Inc. (B/B1)(a) | ||||||||||||||||
3,000,000 | 7.500 | 05/01/17 | 3,082,500 | |||||||||||||
CDRV Investors, Inc. (CCC+/Caa1)(a)(b)(f) | ||||||||||||||||
3,000,000 | 9.860 | 12/01/11 | 3,015,000 | |||||||||||||
CDRV Investors, Inc. (CCC+/Caa1)(e)(f) | ||||||||||||||||
19,750,000 | 9.625 | 01/01/15 | 17,281,250 | |||||||||||||
Fisher Scientific International, Inc. (BBB/Baa3) | ||||||||||||||||
2,250,000 | 6.125 | 07/01/15 | 2,261,642 | |||||||||||||
PTS Acquisition Corp. (B-/Caa1)(a)(f) | ||||||||||||||||
14,000,000 | 9.500 | 04/15/15 | 14,315,000 | |||||||||||||
PTS Acquisition Corp. (B-/Caa1)(a) | ||||||||||||||||
EUR2,125,000 | 9.750 | 04/15/17 | 2,961,502 | |||||||||||||
The Cooper Cos., Inc. (BB-/Ba3)(a) | ||||||||||||||||
$ | 1,250,000 | 7.125 | 02/15/15 | 1,268,750 | ||||||||||||
VWR International, Inc. (CCC+/B3) | ||||||||||||||||
12,625,000 | 8.000 | 04/15/14 | 13,414,063 | |||||||||||||
57,599,707 | ||||||||||||||||
Health Care – Pharmaceutical – 0.5% | ||||||||||||||||
Angiotech Pharmaceuticals, Inc. (B-/B3) | ||||||||||||||||
3,000,000 | 7.750 | 04/01/14 | 2,775,000 |
The accompanying notes are an integral part of these financial statements.
31
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Health Care – Pharmaceutical – (continued) | ||||||||||||||||
Elan Finance PLC/Elan Finance Corp. (B/B3) | ||||||||||||||||
$ | 6,000,000 | 7.750 | % | 11/15/11 | $ | 5,985,000 | ||||||||||
1,500,000 | 8.875 | (a) | 12/01/13 | 1,556,250 | ||||||||||||
Mylan Laboratories, Inc. (BBB-/Ba1) | ||||||||||||||||
1,000,000 | 6.375 | 08/15/15 | 989,312 | |||||||||||||
Warner Chilcott Corp. (B-/Caa1) | ||||||||||||||||
5,231,000 | 8.750 | 02/01/15 | 5,544,860 | |||||||||||||
16,850,422 | ||||||||||||||||
Health Care – Services – 3.7% | ||||||||||||||||
Accellent, Inc. (CCC+/Caa2) | ||||||||||||||||
8,250,000 | 10.500 | 12/01/13 | 8,415,000 | |||||||||||||
Alliance Imaging, Inc. (B-/B3) | ||||||||||||||||
4,000,000 | 7.250 | 12/15/12 | 3,930,000 | |||||||||||||
AmeriPath, Inc. (B-/B3) | ||||||||||||||||
6,000,000 | 10.500 | 04/01/13 | 6,525,000 | |||||||||||||
CRC Health Corp. (CCC+/Caa1) | ||||||||||||||||
2,125,000 | 10.750 | 02/01/16 | 2,326,875 | |||||||||||||
DaVita, Inc. (B/B2) | ||||||||||||||||
5,250,000 | 7.250 | 03/15/15 | 5,368,125 | |||||||||||||
HCA, Inc. (B-/Caa1) | ||||||||||||||||
12,000,000 | 6.250 | 02/15/13 | 11,070,000 | |||||||||||||
5,000,000 | 6.750 | 07/15/13 | 4,675,000 | |||||||||||||
6,500,000 | 6.375 | 01/15/15 | 5,679,375 | |||||||||||||
4,000,000 | 6.500 | 02/15/16 | 3,485,000 | |||||||||||||
HCA, Inc. (BB-/B2)(a) | ||||||||||||||||
2,500,000 | 9.125 | 11/15/14 | 2,700,000 | |||||||||||||
10,500,000 | 9.250 | 11/15/16 | 11,458,125 | |||||||||||||
7,000,000 | 9.625 | (f) | 11/15/16 | 7,647,500 | ||||||||||||
Psychiatric Solutions, Inc. (B-/B3) | ||||||||||||||||
1,666,000 | 10.625 | 06/15/13 | 1,807,610 | |||||||||||||
1,500,000 | 7.750 | 07/15/15 | 1,535,625 | |||||||||||||
Select Medical Corp. (CCC+/B3) | ||||||||||||||||
6,125,000 | 7.625 | 02/01/15 | 5,512,500 | |||||||||||||
Senior Housing Properties Trust (BB+/Ba2) | ||||||||||||||||
1,950,000 | 7.875 | 04/15/15 | 2,037,750 | |||||||||||||
Tenet Healthcare Corp. (CCC+/Caa1) | ||||||||||||||||
2,500,000 | 6.375 | 12/01/11 | 2,346,875 | |||||||||||||
2,250,000 | 6.500 | 06/01/12 | 2,089,688 | |||||||||||||
9,250,000 | 7.375 | 02/01/13 | 8,683,437 | |||||||||||||
3,000,000 | 9.875 | 07/01/14 | 3,067,500 | |||||||||||||
1,000,000 | 0.000 | 02/01/15 | 997,500 | |||||||||||||
U.S. Oncology, Inc. (B-/B1) | ||||||||||||||||
4,000,000 | 9.000 | 08/15/12 | 4,260,000 | |||||||||||||
U.S. Oncology, Inc. (B-/B2) | ||||||||||||||||
1,875,000 | 10.750 | 08/15/14 | 2,100,000 | |||||||||||||
United Surgical Partners International, Inc. (CCC+/Caa1)(a) | ||||||||||||||||
2,750,000 | 8.875 | 05/01/17 | 2,825,625 | |||||||||||||
Vanguard Health Holding Co. I (CCC+/Caa1)(e) | ||||||||||||||||
3,500,000 | 11.250 | 10/01/15 | 2,922,500 | |||||||||||||
Vanguard Health Holding Co. II (CCC+/Caa1) | ||||||||||||||||
3,500,000 | 9.000 | 10/01/14 | 3,640,000 | |||||||||||||
Ventas Realty LP (BB+/Ba2) | ||||||||||||||||
2,000,000 | 9.000 | 05/01/12 | 2,235,000 | |||||||||||||
119,341,610 | ||||||||||||||||
Home Construction – 0.4% | ||||||||||||||||
K. Hovnanian Enterprises, Inc. (BB/Ba2) | ||||||||||||||||
1,500,000 | 6.250 | 01/15/15 | 1,365,000 | |||||||||||||
3,000,000 | 7.500 | 05/15/16 | 2,895,000 | |||||||||||||
4,000,000 | 8.625 | 01/15/17 | 4,050,000 | |||||||||||||
Kimball Hill, Inc. (B/B3) | ||||||||||||||||
2,250,000 | 10.500 | 12/15/12 | 2,205,000 | |||||||||||||
Meritage Homes Corp. (BB/Ba2) | ||||||||||||||||
4,000,000 | 6.250 | 03/15/15 | 3,730,000 | |||||||||||||
14,245,000 | ||||||||||||||||
Lodging – 0.4% | ||||||||||||||||
Gaylord Entertainment Co. (B-/B3) | ||||||||||||||||
3,125,000 | 8.000 | 11/15/13 | 3,257,812 | |||||||||||||
Host Hotels & Resorts LP (BB)(a) | ||||||||||||||||
2,000,000 | 6.875 | 11/01/14 | 2,047,500 | |||||||||||||
Host Marriott LP (BB/Ba1) | ||||||||||||||||
5,750,000 | 7.125 | 11/01/13 | 5,936,875 | |||||||||||||
3,125,000 | 6.375 | 03/15/15 | 3,117,188 | |||||||||||||
14,359,375 | ||||||||||||||||
Machinery – 0.3% | ||||||||||||||||
Case New Holland, Inc. (BB/Ba3) | ||||||||||||||||
3,000,000 | 7.125 | 03/01/14 | 3,146,250 | |||||||||||||
Columbus Mckinnon Corp. (BB-/Ba2) | ||||||||||||||||
1,787,000 | 10.000 | 08/01/10 | 1,907,623 | |||||||||||||
Douglas Dynamics LLC (B-/B3)(a) | ||||||||||||||||
500,000 | 7.750 | 01/15/12 | 466,250 | |||||||||||||
Dresser-Rand Group, Inc. (B/B1) | ||||||||||||||||
4,067,000 | 7.375 | 11/01/14 | 4,128,005 | |||||||||||||
9,648,128 | ||||||||||||||||
Media – 0.7% | ||||||||||||||||
DIRECTV Holdings LLC (BB-/Ba3) | ||||||||||||||||
3,500,000 | 8.375 | 03/15/13 | 3,688,125 | |||||||||||||
500,000 | 6.375 | 06/15/15 | 481,250 | |||||||||||||
EchoStar DBS Corp. (BB-/Ba3) | ||||||||||||||||
5,500,000 | 6.375 | 10/01/11 | 5,568,750 | |||||||||||||
4,250,000 | 7.000 | 10/01/13 | 4,420,000 | |||||||||||||
4,500,000 | 7.125 | 02/01/16 | 4,685,625 | |||||||||||||
Lamar Media Corp. (B/Ba3) | ||||||||||||||||
2,500,000 | 7.250 | 01/01/13 | 2,550,000 | |||||||||||||
500,000 | 7.250 | (a) | 01/01/13 | 460,000 | ||||||||||||
21,853,750 | ||||||||||||||||
Media – Broadcasting & Radio – 1.5% | ||||||||||||||||
AMFM, Inc. (B+/Baa3) | ||||||||||||||||
3,000,000 | 8.000 | 11/01/08 | 3,101,900 | |||||||||||||
Clear Channel Communications, Inc. (B+/Baa3) | ||||||||||||||||
5,000,000 | 5.750 | 01/15/13 | 4,640,877 | |||||||||||||
5,750,000 | 5.500 | 09/15/14 | 5,091,949 | |||||||||||||
4,000,000 | 5.500 | 12/15/16 | 3,404,024 | |||||||||||||
CMP Susquehanna Corp. (CCC/B3)(a) | ||||||||||||||||
6,500,000 | 9.875 | 05/15/14 | 6,630,000 | |||||||||||||
LIN Television Corp. (B-/B1) | ||||||||||||||||
5,500,000 | 6.500 | 05/15/13 | 5,417,500 |
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) | ||||||||||||||||
Media – Broadcasting & Radio – (continued) | ||||||||||||||||
Radio One, Inc. (B-/B1) | ||||||||||||||||
$ | 2,000,000 | 6.375 | % | 02/15/13 | $ | 1,950,000 | ||||||||||
Sinclair Broadcast Group, Inc. (B/B1) | ||||||||||||||||
1,750,000 | 8.000 | 03/15/12 | 1,811,250 | |||||||||||||
Univision Communications, Inc. (CCC+/B3)(a)(f) | ||||||||||||||||
16,750,000 | 9.750 | 03/15/15 | 16,875,625 | |||||||||||||
48,923,125 | ||||||||||||||||
Media – Cable – 4.1% | ||||||||||||||||
Adelphia Communications Corp. (WR)(d) | ||||||||||||||||
2,000,000 | 10.250 | 06/15/49 | 685,656 | |||||||||||||
Atlantic Broadband Finance LLC (CCC+/Caa1) | ||||||||||||||||
3,250,000 | 9.375 | 01/15/14 | 3,355,625 | |||||||||||||
Cablecom Luxembourg SCA (CCC+/B3) | ||||||||||||||||
EUR4,250,000 | 8.000 | 11/01/16 | 6,133,246 | |||||||||||||
Cablevision Systems Corp. (B+/B3) | ||||||||||||||||
$ | 7,875,000 | 8.000 | 04/15/12 | 8,052,187 | ||||||||||||
CCH I Holdings LLC (CCC/Caa3) | ||||||||||||||||
3,250,000 | 9.920 | 04/01/14 | 3,030,625 | |||||||||||||
5,500,000 | 11.750 | 05/15/14 | 5,458,750 | |||||||||||||
CCH I LLC (CCC/Caa2) | ||||||||||||||||
11,500,000 | 11.000 | 10/01/15 | 12,190,000 | |||||||||||||
Charter Communications Holdings II (CCC/Caa2) | ||||||||||||||||
6,125,000 | 10.250 | 09/15/10 | 6,523,125 | |||||||||||||
CSC Holdings, Inc. (B+/B2) | ||||||||||||||||
8,250,000 | 8.125 | 07/15/09 | 8,569,687 | |||||||||||||
1,250,000 | 8.125 | 08/15/09 | 1,293,750 | |||||||||||||
2,000,000 | 7.625 | 04/01/11 | 2,060,000 | |||||||||||||
3,750,000 | 6.750 | 04/15/12 | 3,740,625 | |||||||||||||
Kabel Deutschland GmbH (B-/B2) | ||||||||||||||||
5,750,000 | 10.625 | 07/01/14 | 6,461,563 | |||||||||||||
Mediacom LLC (B/B3) | ||||||||||||||||
3,000,000 | 9.500 | 01/15/13 | 3,105,000 | |||||||||||||
NTL Cable PLC | ||||||||||||||||
GBP2,250,000 | 9.750 | 04/15/14 | 4,780,533 | |||||||||||||
Ono Finance II (CCC+/B3) | ||||||||||||||||
EUR11,250,000 | 8.000 | 05/16/14 | 15,947,206 | |||||||||||||
Ono Finance PLC (CCC+/B3) | ||||||||||||||||
4,000,000 | 10.500 | 05/15/14 | 6,127,275 | |||||||||||||
Rainbow National Services LLC (B+/B3)(a) | ||||||||||||||||
$ | 2,000,000 | 10.375 | 09/01/14 | 2,250,000 | ||||||||||||
Telenet Communications N.V. (B-/B3) | ||||||||||||||||
EUR2,054,250 | 9.000 | 12/15/13 | 3,066,143 | |||||||||||||
Telenet Group Holding N.V. (CCC+/B3)(a)(e) | ||||||||||||||||
$ | 11,121,000 | 11.500 | 06/15/14 | 10,439,839 | ||||||||||||
UPC Holding BV (CCC+/B3) | ||||||||||||||||
EUR4,250,000 | 7.750 | 01/15/14 | 6,017,251 | |||||||||||||
8,000,000 | 8.625 | 01/15/14 | 11,667,752 | |||||||||||||
130,955,838 | ||||||||||||||||
Metals – 1.6% | ||||||||||||||||
AK Steel Corp. (B+/B2) | ||||||||||||||||
$ | 500,000 | 7.875 | 02/15/09 | 498,750 | ||||||||||||
7,500,000 | 7.750 | 06/15/12 | 7,743,750 | |||||||||||||
Aleris International, Inc. (B-/B3)(a)(f) | ||||||||||||||||
6,750,000 | 9.000 | 12/15/14 | 7,180,313 | |||||||||||||
Aleris International, Inc. (B-/Caa1)(a) | ||||||||||||||||
12,250,000 | 10.000 | 12/15/16 | 12,755,312 | |||||||||||||
GrafTech Finance, Inc. (B-/B2) | ||||||||||||||||
5,514,000 | 10.250 | 02/15/12 | 5,789,700 | |||||||||||||
GrafTech International Ltd. (CCC+/B2)(c) | ||||||||||||||||
1,250,000 | 1.625 | 01/15/24 | 1,164,063 | |||||||||||||
Kloeckner Investment S.C.A. (B+/B1) | ||||||||||||||||
EUR2,778,846 | 10.500 | 05/15/15 | 4,474,738 | |||||||||||||
Novelis, Inc. (B/B2) | ||||||||||||||||
$ | 11,875,000 | 7.250 | 02/15/15 | 12,557,812 | ||||||||||||
52,164,438 | ||||||||||||||||
Packaging – 3.8% | ||||||||||||||||
Berry Plastics Holding Corp. (B-/B3) | ||||||||||||||||
8,500,000 | 8.875 | 09/15/14 | 8,733,750 | |||||||||||||
Consol Speciality Glass Ltd. (B+/B1)(a) | ||||||||||||||||
EUR2,000,000 | 7.625 | 04/15/14 | 2,807,311 | |||||||||||||
Covalence Specialty Materials Corp. (CCC+/Caa1)(a) | ||||||||||||||||
$ | 8,000,000 | 10.250 | 03/01/16 | 8,040,000 | ||||||||||||
Crown Americas LLC (B/B1) | ||||||||||||||||
8,000,000 | 7.750 | 11/15/15 | 8,460,000 | |||||||||||||
Gerresheimer Holdings GMBH (B-/Caa1) | ||||||||||||||||
EUR7,750,000 | 7.875 | 03/01/15 | 11,448,555 | |||||||||||||
Graham Packaging Co., Inc. (CCC+/Caa1) | ||||||||||||||||
$ | 20,000,000 | 9.875 | 10/15/14 | 20,700,000 | ||||||||||||
Graphic Packaging International, Inc. (B-/B3) | ||||||||||||||||
12,500,000 | 9.500 | 08/15/13 | 13,343,750 | |||||||||||||
Impress Holdings BV (B/Ba3)(b) | ||||||||||||||||
EUR1,000,000 | 7.093 | 09/15/13 | 1,405,589 | |||||||||||||
Impress Holdings BV (CCC+/B3) | ||||||||||||||||
13,000,000 | 9.250 | 09/15/14 | 19,070,974 | |||||||||||||
Owens Brockway Glass Container (B/B3) | ||||||||||||||||
$ | 2,500,000 | 8.250 | 05/15/13 | 2,621,875 | ||||||||||||
1,000,000 | 6.750 | 12/01/14 | 1,006,250 | |||||||||||||
Owens Brockway Glass Container (BB-/Ba2) | ||||||||||||||||
7,032,000 | 8.875 | 02/15/09 | 7,190,220 | |||||||||||||
Pliant Corp.(f) | ||||||||||||||||
392,585 | 13.000 | 07/15/10 | 231,625 | |||||||||||||
Pliant Corp. (CCC/Caa1) | ||||||||||||||||
2,000,000 | 11.125 | 09/01/09 | 2,032,500 | |||||||||||||
Pregis Corp. (CCC+/Caa1)(a) | ||||||||||||||||
6,750,000 | 12.375 | 10/15/13 | 7,627,500 | |||||||||||||
Stichting Participatie Impress Cooperatieve UA(f) | ||||||||||||||||
EUR821,895 | 17.000 | 09/29/49 | 1,208,522 | |||||||||||||
Tekni-Plex, Inc. (C/Caa1)(a) | ||||||||||||||||
$ | 4,500,000 | 9.750 | 11/15/13 | 4,601,250 | ||||||||||||
Tekni-Plex, Inc. (CCC-/B1)(a) | ||||||||||||||||
1,000,000 | 11.875 | 08/15/12 | 1,140,000 | |||||||||||||
121,669,671 | ||||||||||||||||
Paper – 2.7% | ||||||||||||||||
Abitibi-Consolidated, Inc. (B+/B3) | ||||||||||||||||
7,181,000 | 8.550 | 08/01/10 | 7,306,667 | |||||||||||||
Ainsworth Lumber Co. Ltd. (CCC+/B2) | ||||||||||||||||
4,000,000 | 7.250 | 10/01/12 | 2,940,000 | |||||||||||||
2,500,000 | 6.750 | 03/15/14 | 1,762,500 |
The accompanying notes are an integral part of these financial statements.
33
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Paper – (continued) | ||||||||||||||||
Boise Cascade LLC (B+/B2) | ||||||||||||||||
$ | 6,000,000 | 7.125 | % | 10/15/14 | $ | 6,000,000 | ||||||||||
Catalyst Paper Corp. (B+/B2) | ||||||||||||||||
2,750,000 | 8.625 | 06/15/11 | 2,784,375 | |||||||||||||
1,500,000 | 7.375 | 03/01/14 | 1,440,000 | |||||||||||||
Georgia-Pacific Corp. (B/B2) | ||||||||||||||||
8,500,000 | 8.125 | 05/15/11 | 8,967,500 | |||||||||||||
1,000,000 | 9.500 | 12/01/11 | 1,103,750 | |||||||||||||
1,500,000 | 7.700 | 06/15/15 | 1,537,500 | |||||||||||||
2,750,000 | 7.750 | 11/15/29 | 2,743,125 | |||||||||||||
Georgia-Pacific Corp. (B/Ba3)(a) | ||||||||||||||||
5,250,000 | 7.000 | 01/15/15 | 5,276,250 | |||||||||||||
6,750,000 | 7.125 | 01/15/17 | 6,783,750 | |||||||||||||
Jefferson Smurfit Corp. (CCC+/B3) | ||||||||||||||||
6,000,000 | 8.250 | 10/01/12 | 6,097,500 | |||||||||||||
1,750,000 | 7.500 | 06/01/13 | 1,736,875 | |||||||||||||
JSG Funding PLC (B/B2) | ||||||||||||||||
EUR94,000 | 10.125 | 10/01/12 | 137,256 | |||||||||||||
3,000,000 | 7.750 | 04/01/15 | 4,360,055 | |||||||||||||
$ | 2,000,000 | 7.750 | 04/01/15 | 2,055,000 | ||||||||||||
NewPage Corp. (B-/B2) | ||||||||||||||||
5,500,000 | 10.000 | 05/01/12 | 6,070,625 | |||||||||||||
Port Townsend Paper Corp. (WR)(a)(d) | ||||||||||||||||
2,500,000 | 11.000 | 04/15/11 | 1,625,000 | |||||||||||||
Smurfit Kappa Funding PLC (B/B2) | ||||||||||||||||
498,000 | 9.625 | 10/01/12 | 527,880 | |||||||||||||
Smurfit-Stone Container Enterprises, Inc. (CCC+/B2)(a) | ||||||||||||||||
6,000,000 | 8.000 | 03/15/17 | 6,000,000 | |||||||||||||
Stone Container Finance (CCC+/B3) | ||||||||||||||||
500,000 | 7.375 | 07/15/14 | 492,500 | |||||||||||||
Verso Paper Holdings LLC (B/B2)(a) | ||||||||||||||||
4,250,000 | 9.125 | 08/01/14 | 4,505,000 | |||||||||||||
Verso Paper Holdings LLC (CCC+/B3)(a) | ||||||||||||||||
5,000,000 | 11.375 | 08/01/16 | 5,350,000 | |||||||||||||
87,603,108 | ||||||||||||||||
Printing – 0.3% | ||||||||||||||||
SGS International, Inc. (B-/B3) | ||||||||||||||||
4,750,000 | 12.000 | 12/15/13 | 5,165,625 | |||||||||||||
Valassis Communications, Inc. (B-/B3)(a) | ||||||||||||||||
3,750,000 | 8.250 | 03/01/15 | 3,703,125 | |||||||||||||
8,868,750 | ||||||||||||||||
Publishing – 4.7% | ||||||||||||||||
Advanstar Communications, Inc. (B+/B1) | ||||||||||||||||
5,000,000 | 10.750 | 08/15/10 | 5,450,000 | |||||||||||||
Advanstar Communications, Inc. (CCC/Caa1) | ||||||||||||||||
2,000,000 | 12.000 | 02/15/11 | 2,090,000 | |||||||||||||
Advanstar, Inc.(e) | ||||||||||||||||
2,500,000 | 15.000 | 10/15/11 | 2,618,750 | |||||||||||||
American Media Operations, Inc. (CCC-/Caa2) | ||||||||||||||||
2,000,000 | 8.875 | 01/15/11 | 1,810,000 | |||||||||||||
Dex Media East LLC (B/B2) | ||||||||||||||||
3,087,000 | 12.125 | 11/15/12 | 3,368,689 | |||||||||||||
Dex Media West LLC (B/B2) | ||||||||||||||||
6,744,000 | 9.875 | 08/15/13 | 7,359,390 | |||||||||||||
Dex Media, Inc. (B/B3) | ||||||||||||||||
1,250,000 | 8.000 | 11/15/13 | 1,312,500 | |||||||||||||
12,750,000 | 9.000 | (e) | 11/15/13 | 12,000,937 | ||||||||||||
Idearc, Inc. (B+/B2)(a) | ||||||||||||||||
9,500,000 | 8.000 | 11/15/16 | 9,915,625 | |||||||||||||
Lighthouse International Co. SA (B/B2) | ||||||||||||||||
EUR10,000,000 | 8.000 | 04/30/14 | 14,806,445 | |||||||||||||
Nielsen Finance LLC (CCC+/Caa1)(a) | ||||||||||||||||
$ | 16,500,000 | 10.000 | 08/01/14 | 18,108,750 | ||||||||||||
Nielsen Finance LLC (CCC+/Caa1) | ||||||||||||||||
EUR3,750,000 | 11.125 | 08/01/16 | 3,690,950 | |||||||||||||
Nielsen Finance LLC (CCC+/Caa1)(a)(e) | ||||||||||||||||
$ | 19,750,000 | 12.500 | 08/01/16 | 14,318,750 | ||||||||||||
Primedia, Inc. (B/B2) | ||||||||||||||||
4,000,000 | 8.875 | 05/15/11 | 4,120,000 | |||||||||||||
3,750,000 | 8.000 | 05/15/13 | 3,885,937 | |||||||||||||
RH Donnelley Corp. (B/B3) | ||||||||||||||||
3,500,000 | 6.875 | 01/15/13 | 3,460,625 | |||||||||||||
11,000,000 | 8.875 | 01/15/16 | 11,880,000 | |||||||||||||
The Reader’s Digest Association, Inc. (CCC+/Caa1)(a) | ||||||||||||||||
2,250,000 | 9.000 | 02/15/17 | 2,207,813 | |||||||||||||
WDAC Subsidiary Corp. (CCC+/Caa1) | ||||||||||||||||
EUR19,750,000 | 8.500 | 12/01/14 | 28,981,633 | |||||||||||||
151,386,794 | ||||||||||||||||
Real Estate – 0.8% | ||||||||||||||||
Castle Holdco Ltd. (B/B2)(a)(b) | ||||||||||||||||
GBP2,000,000 | 8.584 | 05/15/14 | 3,999,400 | |||||||||||||
Castle Holdco Ltd. (CCC+/Caa1)(a) | ||||||||||||||||
2,125,000 | 9.875 | 05/15/15 | 4,249,363 | |||||||||||||
Crescent Real Estate Equities Ltd. (B/B1) | ||||||||||||||||
$ | 2,000,000 | 9.250 | 04/15/09 | 2,045,000 | ||||||||||||
Realogy Corp. (B-/Caa1)(a) | ||||||||||||||||
7,000,000 | 10.500 | 04/15/14 | 7,017,500 | |||||||||||||
Realogy Corp. (B-/Caa1)(a)(f) | ||||||||||||||||
2,000,000 | 11.000 | 04/15/14 | 1,990,000 | |||||||||||||
Realogy Corp. (B-/Caa2)(a) | ||||||||||||||||
5,250,000 | 12.375 | 04/15/15 | 5,250,000 | |||||||||||||
24,551,263 | ||||||||||||||||
Restaurants – 0.3% | ||||||||||||||||
Landry’s Restaurants, Inc. (B/B1) | ||||||||||||||||
10,500,000 | 7.500 | 12/15/14 | 10,447,500 | |||||||||||||
Retailers – 1.4% | ||||||||||||||||
Michaels Stores, Inc. (CCC/B2)(a) | ||||||||||||||||
6,750,000 | 10.000 | 11/01/14 | 7,408,125 | |||||||||||||
Michaels Stores, Inc. (CCC/Caa1)(a) | ||||||||||||||||
8,500,000 | 11.375 | 11/01/16 | 9,371,250 | |||||||||||||
Neiman-Marcus Group, Inc. (B-/B2)(f) | ||||||||||||||||
5,000,000 | 9.000 | 10/15/15 | 5,500,000 | |||||||||||||
Neiman-Marcus Group, Inc. (B-/B3) | ||||||||||||||||
11,000,000 | 10.375 | 10/15/15 | 12,375,000 | |||||||||||||
Victoria Acquisition II B.V.(b)(f) | ||||||||||||||||
EUR2,918,947 | 11.814 | 05/15/15 | 4,053,047 |
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) | ||||||||||||||||
Retailers – (continued) | ||||||||||||||||
Victoria Acquisition III B.V. (B-/B3) | ||||||||||||||||
$ | 3,625,000 | 7.875 | % | 10/01/14 | $ | 5,429,172 | ||||||||||
44,136,594 | ||||||||||||||||
Retailers – Food & Drug – 1.1% | ||||||||||||||||
Ahold Lease USA, Inc. (BB+/Ba1)(e) | ||||||||||||||||
2,000,000 | 8.620 | 01/02/25 | 2,260,000 | |||||||||||||
Ahold Lease USA, Inc. (BBB-/Ba1)(e) | ||||||||||||||||
890,955 | 7.820 | 01/02/20 | 963,345 | |||||||||||||
Brake Bros. Finance PLC (CCC+/B3) | ||||||||||||||||
GBP6,000,000 | 12.000 | 12/15/11 | 12,958,056 | |||||||||||||
Ingles Markets, Inc. (B/B3) | ||||||||||||||||
$ | 4,000,000 | 8.875 | 12/01/11 | 4,155,000 | ||||||||||||
Jean Coutu Group, Inc. (B-/B3) | ||||||||||||||||
875,000 | 7.625 | 08/01/12 | 933,363 | |||||||||||||
Jean Coutu Group, Inc. (B-/Caa2) | ||||||||||||||||
4,750,000 | 8.500 | 08/01/14 | 5,153,750 | |||||||||||||
Rite Aid Corp. (B/B3) | ||||||||||||||||
3,250,000 | 7.500 | 03/01/17 | 3,241,875 | |||||||||||||
Supervalu, Inc. (B/B1) | ||||||||||||||||
4,250,000 | 7.500 | 11/15/14 | 4,435,937 | |||||||||||||
34,101,326 | ||||||||||||||||
Services Cyclical – Business Services – 1.1% | ||||||||||||||||
Carlson Wagonlit BV (B-/B2)(b) | ||||||||||||||||
EUR3,000,000 | 9.763 | 05/01/15 | 4,371,108 | |||||||||||||
Cornell Co., Inc. (CCC+/B2) | ||||||||||||||||
$ | 1,500,000 | 10.750 | 07/01/12 | 1,635,000 | ||||||||||||
Corrections Corp. of America (BB/Ba2) | ||||||||||||||||
2,000,000 | 7.500 | 05/01/11 | 2,057,500 | |||||||||||||
625,000 | 6.750 | 01/31/14 | 635,938 | |||||||||||||
Iron Mountain, Inc. (B/B3) | ||||||||||||||||
4,000,000 | 8.625 | 04/01/13 | 4,110,000 | |||||||||||||
Savcio Holdings Ltd. (B2/B+) | ||||||||||||||||
EUR2,000,000 | 8.000 | 02/15/13 | 2,886,233 | |||||||||||||
West Corp. (B-/Caa1)(a) | ||||||||||||||||
$ | 8,000,000 | 9.500 | 10/15/14 | 8,460,000 | ||||||||||||
10,000,000 | 11.000 | 10/15/16 | 10,925,000 | |||||||||||||
35,080,779 | ||||||||||||||||
Services Cyclical – Distribution/Logistics – 0.3% | ||||||||||||||||
ACCO Brands Corp. (B/B2) | ||||||||||||||||
7,500,000 | 7.625 | 08/15/15 | 7,687,500 | |||||||||||||
Jarden Corp. (B-/B3) | ||||||||||||||||
3,500,000 | 7.500 | 05/01/17 | 3,587,500 | |||||||||||||
11,275,000 | ||||||||||||||||
Services Cyclical – Rental Equipment – 1.9% | ||||||||||||||||
Ahern Rentals, Inc. (B/B3) | ||||||||||||||||
3,000,000 | 9.250 | 08/15/13 | 3,127,500 | |||||||||||||
Ashtead Capital, Inc. (B/B3)(a) | ||||||||||||||||
2,000,000 | 9.000 | 08/15/16 | 2,150,000 | |||||||||||||
Ashtead Holdings PLC (B/B3)(a) | ||||||||||||||||
2,000,000 | 8.625 | 08/01/15 | 2,085,000 | |||||||||||||
Hertz Corp. (B/B1) | ||||||||||||||||
10,750,000 | 8.875 | 01/01/14 | 11,610,000 | |||||||||||||
Hertz Corp. (B/B2) | ||||||||||||||||
9,000,000 | 10.500 | 01/01/16 | 10,305,000 | |||||||||||||
Rental Service Corp. (B-/Caa1)(a) | ||||||||||||||||
12,000,000 | 9.500 | 12/01/14 | 12,750,000 | |||||||||||||
United Rentals North America, Inc. (B/B3) | ||||||||||||||||
7,000,000 | 7.750 | 11/15/13 | 7,262,500 | |||||||||||||
5,000,000 | 7.000 | 02/15/14 | 5,087,500 | |||||||||||||
Williams Scotsman, Inc. (B+/B2) | ||||||||||||||||
5,500,000 | 8.500 | 10/01/15 | 5,830,000 | |||||||||||||
60,207,500 | ||||||||||||||||
Technology – Hardware – 3.2% | ||||||||||||||||
Avago Technologies (CCC+/Caa1) | ||||||||||||||||
6,000,000 | 11.875 | 12/01/15 | 6,825,000 | |||||||||||||
Avago Technologies Finance Corp. (B/B2) | ||||||||||||||||
9,750,000 | 10.125 | 12/01/13 | 10,664,062 | |||||||||||||
Freescale Semiconductor, Inc. (B/B1)(a) | ||||||||||||||||
4,750,000 | 8.875 | 12/15/14 | 4,761,875 | |||||||||||||
Freescale Semiconductor, Inc. (B/B1)(a)(f) | ||||||||||||||||
10,750,000 | 9.125 | 12/15/14 | 10,723,125 | |||||||||||||
Freescale Semiconductor, Inc. (B/B2)(a) | ||||||||||||||||
11,000,000 | 10.125 | 12/15/16 | 11,110,000 | |||||||||||||
Lucent Technologies, Inc. (B+/Ba2) | ||||||||||||||||
4,000,000 | 5.500 | 11/15/08 | 3,980,000 | |||||||||||||
11,000,000 | 6.450 | 03/15/29 | 10,037,500 | |||||||||||||
MagnaChip Semiconductor (B/B2) | ||||||||||||||||
1,500,000 | 6.875 | 12/15/11 | 1,245,000 | |||||||||||||
MagnaChip Semiconductor (CCC+/Caa1) | ||||||||||||||||
3,000,000 | 8.000 | 12/15/14 | 1,927,500 | |||||||||||||
Nortel Networks Corp. (B-/B3) | ||||||||||||||||
2,000,000 | 4.250 | 09/01/08 | 1,975,588 | |||||||||||||
Nortel Networks Ltd. (B-/B3)(a) | ||||||||||||||||
4,375,000 | 10.125 | 07/15/13 | 4,856,250 | |||||||||||||
2,000,000 | 10.750 | 07/15/16 | 2,255,000 | |||||||||||||
NXP BV/NXP Funding LLC (B+/B2) | ||||||||||||||||
EUR1,875,000 | 8.625 | 10/15/15 | 2,616,289 | |||||||||||||
$ | 7,500,000 | 9.500 | (a) | 10/15/15 | 7,875,000 | |||||||||||
NXP BV/NXP Funding LLC (BB+/Ba2)(a) | ||||||||||||||||
4,250,000 | 7.875 | 10/15/14 | 4,409,375 | |||||||||||||
Spansion, Inc. (B/Caa1)(a) | ||||||||||||||||
8,625,000 | 11.250 | 01/15/16 | 8,883,750 | |||||||||||||
Xerox Capital Trust I (B+/Ba1) | ||||||||||||||||
2,250,000 | 8.000 | 02/01/27 | 2,289,375 | |||||||||||||
Xerox Corp. (BB+/Baa3) | ||||||||||||||||
2,250,000 | 9.750 | 01/15/09 | 2,405,908 | |||||||||||||
2,000,000 | 7.625 | 06/15/13 | 2,101,433 | |||||||||||||
Xerox Corp. (BBB-/Baa3) | ||||||||||||||||
EUR2,000,000 | 9.750 | 01/15/09 | 2,954,466 | |||||||||||||
103,896,496 | ||||||||||||||||
Technology – Software/Services – 1.9% | ||||||||||||||||
Serena Software, Inc. (CCC+/Caa1) | ||||||||||||||||
3,500,000 | 10.375 | 03/15/16 | 3,810,625 | |||||||||||||
Sungard Data Systems, Inc. (B-/Caa1) | ||||||||||||||||
11,500,000 | 9.125 | 08/15/13 | 12,333,750 | |||||||||||||
17,000,000 | 10.250 | 08/15/15 | 18,700,000 |
The accompanying notes are an integral part of these financial statements.
35
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Technology – Software/Services – (continued) | ||||||||||||||||
Travelport, Inc. (CCC+/B3)(a) | ||||||||||||||||
$ | 13,750,000 | 9.875 | % | 09/01/14 | $ | 14,781,250 | ||||||||||
Travelport, Inc. (CCC+/Caa1)(a) | ||||||||||||||||
9,500,000 | 11.875 | 09/01/16 | 10,640,000 | |||||||||||||
60,265,625 | ||||||||||||||||
Telecommunications – 2.1% | ||||||||||||||||
BCM Ireland Preferred Equity Ltd. (B-)(b)(f) | ||||||||||||||||
EUR3,713,566 | 10.814 | 02/15/17 | 5,086,719 | |||||||||||||
Citizens Communications Co. (BB+/Ba2) | ||||||||||||||||
$ | 7,125,000 | 9.250 | 05/15/11 | 7,908,750 | ||||||||||||
Level 3 Financing, Inc. (CCC+/B3)(a) | ||||||||||||||||
8,000,000 | 9.250 | 11/01/14 | 8,320,000 | |||||||||||||
Nordic Telephone Co. Holdings (B/B2) | ||||||||||||||||
EUR8,125,000 | 8.250 | 05/01/16 | 12,168,834 | |||||||||||||
$ | 8,500,000 | 8.875 | (a) | 05/01/16 | 9,084,375 | |||||||||||
Qwest Capital Funding, Inc. (B+/B1) | ||||||||||||||||
750,000 | 7.000 | 08/03/09 | 763,125 | |||||||||||||
6,750,000 | 7.900 | 08/15/10 | 7,053,750 | |||||||||||||
Qwest Communications International, Inc. (B+/Ba3) | ||||||||||||||||
2,000,000 | 7.500 | 02/15/14 | 2,070,000 | |||||||||||||
Qwest Corp. (BB+/Ba1) | ||||||||||||||||
4,000,000 | 8.875 | 03/15/12 | 4,425,000 | |||||||||||||
1,250,000 | 7.500 | 10/01/14 | 1,323,438 | |||||||||||||
3,000,000 | 6.875 | 09/15/33 | 2,932,500 | |||||||||||||
Windstream Corp. (BB-/Ba3) | ||||||||||||||||
4,625,000 | 8.625 | 08/01/16 | 5,075,937 | |||||||||||||
2,000,000 | 7.000 | (a) | 03/15/19 | 2,017,500 | ||||||||||||
68,229,928 | ||||||||||||||||
Telecommunications – Cellular – 3.4% | ||||||||||||||||
Alamosa Delaware, Inc. (BBB/Baa3) | ||||||||||||||||
1,787,000 | 11.000 | 07/31/10 | 1,903,628 | |||||||||||||
1,500,000 | 8.500 | 01/31/12 | 1,588,487 | |||||||||||||
American Cellular Corp. (CCC/B3) | ||||||||||||||||
905,000 | 10.000 | 08/01/11 | 957,037 | |||||||||||||
American Tower Corp. (BB-/Ba2) | ||||||||||||||||
5,000,000 | 7.125 | 10/15/12 | 5,193,750 | |||||||||||||
American Towers, Inc. (BB-/Ba1) | ||||||||||||||||
1,000,000 | 7.250 | 12/01/11 | 1,040,000 | |||||||||||||
Centennial Cellular Communications (CCC/B2) | ||||||||||||||||
1,500,000 | 10.125 | 06/15/13 | 1,627,500 | |||||||||||||
Digicel Group Ltd. (Caa2)(a) | ||||||||||||||||
4,750,000 | 8.875 | 01/15/15 | 4,660,937 | |||||||||||||
Digicel Ltd. (Caa2)(a) | ||||||||||||||||
5,000,000 | 9.125 | 01/15/15 | 4,850,000 | |||||||||||||
Digicel Ltd. (B3)(a) | ||||||||||||||||
2,250,000 | 9.250 | 09/01/12 | 2,385,000 | |||||||||||||
Dobson Communications Corp. (CCC/Caa1) | ||||||||||||||||
2,000,000 | 8.875 | 10/01/13 | 2,062,500 | |||||||||||||
Hellas Telecommunications III (CCC+/B3) | ||||||||||||||||
EUR7,125,000 | 8.500 | 10/15/13 | 10,658,977 | |||||||||||||
Nextel Communications, Inc. (BBB/Baa3) | ||||||||||||||||
$ | 3,500,000 | 5.950 | 03/15/14 | 3,441,367 | ||||||||||||
14,000,000 | 7.375 | 08/01/15 | 14,569,184 | |||||||||||||
Nextel Partners, Inc. (BBB/WR) | ||||||||||||||||
4,000,000 | 8.125 | 07/01/11 | 4,172,843 | |||||||||||||
Orascom Telecom Finance SCA (B-/B2)(a) | ||||||||||||||||
10,000,000 | 7.875 | 02/08/14 | 9,866,240 | |||||||||||||
Rogers Wireless Communications, Inc. (BBB-/Baa3) | ||||||||||||||||
2,000,000 | 7.500 | 03/15/15 | 2,197,500 | |||||||||||||
Rogers Wireless, Inc. (BB+/Ba1) | ||||||||||||||||
5,000,000 | 8.000 | 12/15/12 | 5,343,750 | |||||||||||||
Rural Cellular Corp. (CCC/B3) | ||||||||||||||||
4,000,000 | 9.875 | 02/01/10 | 4,240,000 | |||||||||||||
Wind Acquisition Finance SA (B-/B2) | ||||||||||||||||
EUR6,375,000 | 9.750 | 12/01/15 | 10,048,083 | |||||||||||||
Wind Acquisition Finance SA (B-/B2)(a) | ||||||||||||||||
$ | 16,750,000 | 10.750 | 12/01/15 | 19,346,250 | ||||||||||||
110,153,033 | ||||||||||||||||
Telecommunications – Satellites – 1.1% | ||||||||||||||||
Inmarsat Finance II PLC (B+/B1)(e) | ||||||||||||||||
6,000,000 | 10.375 | 11/15/12 | 5,760,000 | |||||||||||||
Inmarsat Finance PLC (B+/Ba3) | ||||||||||||||||
1,000,000 | 7.625 | 06/30/12 | 1,046,250 | |||||||||||||
Intelsat Bermuda Ltd. (B/Caa1) | ||||||||||||||||
1,000,000 | 6.500 | 11/01/13 | 860,000 | |||||||||||||
4,250,000 | 11.250 | 06/15/16 | 4,845,000 | |||||||||||||
Intelsat Bermuda Ltd. (B+/B2) | ||||||||||||||||
2,750,000 | 9.250 | 06/15/16 | 3,025,000 | |||||||||||||
Intelsat Corp. (B/B2) | ||||||||||||||||
1,500,000 | 9.000 | 06/15/16 | 1,638,750 | |||||||||||||
Intelsat Ltd. (B/B3)(e) | ||||||||||||||||
3,750,000 | 9.250 | 02/01/15 | 3,131,250 | |||||||||||||
Intelsat Ltd. (B/Caa1) | ||||||||||||||||
7,500,000 | 7.625 | 04/15/12 | 7,050,000 | |||||||||||||
Intelsat Subsidiary Holding Co. Ltd. (B+/B2) | ||||||||||||||||
4,375,000 | 8.250 | 01/15/13 | 4,560,938 | |||||||||||||
PanAmSat Corp. (B/B2) | ||||||||||||||||
4,162,000 | 9.000 | 08/15/14 | 4,484,555 | |||||||||||||
36,401,743 | ||||||||||||||||
Textiles & Apparel – 0.5% | ||||||||||||||||
Oxford Industries, Inc. (B/B1) | ||||||||||||||||
3,500,000 | 8.875 | 06/01/11 | 3,631,250 | |||||||||||||
Propex Fabrics, Inc. (CCC/Caa1) | ||||||||||||||||
2,750,000 | 10.000 | 12/01/12 | 2,516,250 | |||||||||||||
Quiksilver, Inc. (B+/Ba3) | ||||||||||||||||
6,750,000 | 6.875 | 04/15/15 | 6,572,813 | |||||||||||||
Warnaco, Inc. (B+/B1) | ||||||||||||||||
2,000,000 | 8.875 | 06/15/13 | 2,132,500 | |||||||||||||
14,852,813 | ||||||||||||||||
Tobacco – 0.3% | ||||||||||||||||
Alliance One International, Inc. (B/B2)(a) | ||||||||||||||||
1,500,000 | 8.500 | 05/15/12 | 1,546,875 | |||||||||||||
Alliance One International, Inc. (B/B2) | ||||||||||||||||
6,000,000 | 11.000 | 05/15/12 | 6,682,500 | |||||||||||||
8,229,375 | ||||||||||||||||
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) | ||||||||||||||||
Transportation – 0.0% | ||||||||||||||||
Stena AB (BB-/Ba3) | ||||||||||||||||
$ | 1,000,000 | 7.500 | % | 11/01/13 | $ | 1,025,000 | ||||||||||
Utilities – Distribution – 0.6% | ||||||||||||||||
AmeriGas Partners L.P. (B1) | ||||||||||||||||
2,000,000 | 7.250 | 05/20/15 | 2,035,000 | |||||||||||||
AmeriGas Partners LP/AmeriGas Eagle Finance Corp. (B1) | ||||||||||||||||
4,500,000 | 7.125 | 05/20/16 | 4,567,500 | |||||||||||||
Inergy LP/Inergy Finance Corp. (B/B1) | ||||||||||||||||
2,500,000 | 6.875 | 12/15/14 | 2,475,000 | |||||||||||||
3,000,000 | 8.250 | 03/01/16 | 3,165,000 | |||||||||||||
Sabine Pass LNG LP (BB/Ba3)(a) | ||||||||||||||||
4,500,000 | 7.500 | 11/30/16 | 4,623,750 | |||||||||||||
Suburban Propane Partners LP (B-/B1) | ||||||||||||||||
3,000,000 | 6.875 | 12/15/13 | 2,992,500 | |||||||||||||
19,858,750 | ||||||||||||||||
Utilities – Electric – 3.2% | ||||||||||||||||
AES Corp. (B/B1) | ||||||||||||||||
5,250,000 | 9.500 | 06/01/09 | 5,597,813 | |||||||||||||
5,250,000 | 9.375 | 09/15/10 | 5,775,000 | |||||||||||||
Allegheny Energy Supply Co. LLC (BB-/Ba3)(a) | ||||||||||||||||
5,000,000 | 8.250 | 04/15/12 | 5,431,250 | |||||||||||||
Calpine Corp. (D)(a)(d) | ||||||||||||||||
1,250,000 | 8.500 | 07/15/10 | 1,337,500 | |||||||||||||
2,750,000 | 9.875 | 12/01/11 | 3,011,250 | |||||||||||||
3,000,000 | 8.750 | 07/15/13 | 3,225,000 | |||||||||||||
Dynegy Holdings, Inc. (B-/B2) | ||||||||||||||||
3,000,000 | 8.750 | 02/15/12 | 3,225,000 | |||||||||||||
2,500,000 | 8.375 | 05/01/16 | 2,637,500 | |||||||||||||
1,500,000 | 7.125 | 05/15/18 | 1,455,000 | |||||||||||||
Edison Mission Energy (BB-/B1) | ||||||||||||||||
2,000,000 | 7.500 | 06/15/13 | 2,092,500 | |||||||||||||
Elwood Energy LLC (BB-/Ba1) | ||||||||||||||||
2,359,950 | 8.159 | 07/05/26 | 2,498,279 | |||||||||||||
Ipalco Enterprises, Inc. (BB-/Ba1) | ||||||||||||||||
1,500,000 | 8.625 | 11/14/11 | 1,631,250 | |||||||||||||
Midwest Generation LLC (B+/Ba2)(c) | ||||||||||||||||
9,000,000 | 8.750 | 05/01/34 | 9,945,000 | |||||||||||||
Midwest Generation LLC (BB-/Ba2) | ||||||||||||||||
842,789 | 8.300 | 07/02/09 | 861,751 | |||||||||||||
4,174,001 | 8.560 | 01/02/16 | 4,591,401 | |||||||||||||
Mirant Americas Generation LLC (B-/Caa1) | ||||||||||||||||
7,500,000 | 8.300 | 05/01/11 | 7,950,000 | |||||||||||||
Mirant Mid-Atlantic LLC (BB/Ba2) | ||||||||||||||||
2,236,320 | 9.125 | 06/30/17 | 2,577,358 | |||||||||||||
Mirant North America LLC (B-/B2) | ||||||||||||||||
5,000,000 | 7.375 | 12/31/13 | 5,300,000 | |||||||||||||
Mission Energy Holding Co. (B/B2) | ||||||||||||||||
4,500,000 | 13.500 | 07/15/08 | 4,905,000 | |||||||||||||
NRG Energy, Inc. (B/B1) | ||||||||||||||||
5,000,000 | 7.250 | 02/01/14 | 5,168,750 | |||||||||||||
12,250,000 | 7.375 | 02/01/16 | 12,770,625 | |||||||||||||
4,750,000 | 7.375 | 01/15/17 | 4,945,938 | |||||||||||||
Orion Power Holdings, Inc. (B/B2) | ||||||||||||||||
1,500,000 | 12.000 | 05/01/10 | 1,730,625 | |||||||||||||
Reliant Resources, Inc. (B/B2) | ||||||||||||||||
3,000,000 | 9.250 | 07/15/10 | 3,157,500 | |||||||||||||
1,250,000 | 9.500 | 07/15/13 | 1,353,125 | |||||||||||||
South Point Energy Center LLC (D/WR)(a)(d) | ||||||||||||||||
646,055 | 8.400 | 05/30/12 | 633,134 | |||||||||||||
103,807,549 | ||||||||||||||||
Utilities – Pipelines – 2.3% | ||||||||||||||||
El Paso Natural Gas Co. (BB/Baa3) | ||||||||||||||||
2,875,000 | 8.625 | 01/15/22 | 3,546,389 | |||||||||||||
2,375,000 | 7.500 | 11/15/26 | 2,682,743 | |||||||||||||
4,250,000 | 8.375 | 06/15/32 | 5,332,881 | |||||||||||||
El Paso Production Holding Co. (BB/B1) | ||||||||||||||||
6,000,000 | 7.750 | 06/01/13 | 6,322,500 | |||||||||||||
MarkWest Energy Partners LP/Mark West Energy Finance Corp. (B/B2)(a) | ||||||||||||||||
6,000,000 | 8.500 | 07/15/16 | 6,322,500 | |||||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp. (B/B2)(a) | ||||||||||||||||
5,000,000 | 8.375 | 12/15/13 | 5,162,500 | |||||||||||||
Southern Natural Gas Co. (BB/Baa3) | ||||||||||||||||
3,000,000 | 7.350 | 02/15/31 | 3,371,520 | |||||||||||||
3,000,000 | 8.000 | 03/01/32 | 3,578,118 | |||||||||||||
Southern Star Central Corp. (BB+/Ba2) | ||||||||||||||||
1,000,000 | 6.750 | 03/01/16 | 1,008,750 | |||||||||||||
Targa Resources, Inc. (B-/B3)(a) | ||||||||||||||||
3,750,000 | 8.500 | 11/01/13 | 3,839,063 | |||||||||||||
Tennessee Gas Pipeline Co. (BB/Baa3) | ||||||||||||||||
3,000,000 | 7.000 | 10/15/28 | 3,232,436 | |||||||||||||
3,750,000 | 8.375 | 06/15/32 | 4,705,483 | |||||||||||||
1,500,000 | 7.625 | 04/01/37 | 1,758,216 | |||||||||||||
The Williams Cos., Inc. (BB/Ba2) | ||||||||||||||||
6,500,000 | 8.125 | 03/15/12 | 7,125,625 | |||||||||||||
3,000,000 | 7.625 | 07/15/19 | 3,285,000 | |||||||||||||
11,000,000 | 7.875 | 09/01/21 | 12,100,000 | |||||||||||||
1,000,000 | 7.500 | 01/15/31 | 1,065,000 | |||||||||||||
74,438,724 | ||||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $2,797,687,145) | $ | 2,954,647,571 | ||||||||||||||
Emerging Market Debt – 0.8% | ||||||||||||||||
Federal Republic of Brazil (BB/Ba2) | ||||||||||||||||
$ | 5,490,000 | 7.125 | % | 01/20/37 | $ | 6,231,150 | ||||||||||
3,700,000 | 11.000 | 08/17/40 | 5,022,750 | |||||||||||||
Republic of Argentina (B+/B3)(b) | ||||||||||||||||
14,100,000 | 5.475 | 08/03/12 | 13,469,495 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $22,660,398) | $ | 24,723,395 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
37
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Shares | Description | Value | ||||||||
Common Stocks* – 0.4% | ||||||||||
526,991 | Adelphia Recovery Trust | $ | 173,907 | |||||||
1,996,917 | Adelphia Recovery Trust Series ACC-1 | 187,311 | ||||||||
2,731 | APP China Group Ltd. | 95,585 | ||||||||
24,334 | Axiohm Transaction Solutions, Inc. | 243 | ||||||||
538 | General Chemical Industrial Product, Inc. | 149,860 | ||||||||
195,700 | Huntsman Corp. | 3,835,720 | ||||||||
8,366 | iPCS, Inc. | 419,137 | ||||||||
11,243 | Mattress Discounters | — | ||||||||
1,656 | Nycomed | 23 | ||||||||
567,500 | Parmalat SpA(a) | 2,538,427 | ||||||||
351 | Pliant Corp. | 3 | ||||||||
33,975 | Polymer Group, Inc. | 934,312 | ||||||||
20,372 | Smurfit Kappa Group PLC | 558,793 | ||||||||
96,057 | Time Warner Cable, Inc. | 3,536,819 | ||||||||
103,389 | Viasystems Group, Inc. | 904,654 | ||||||||
55,738 | Virgin Media, Inc. | 1,406,270 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $20,364,761) | $ | 14,741,064 | ||||||||
Dividend | Maturity | |||||||||||||||
Shares | Rate | Date | Value | |||||||||||||
Preferred Stocks – 0.2% | ||||||||||||||||
Dobson Communications Corp.(a) | ||||||||||||||||
3,876 | 6.000 | % | 08/19/16 | $ | 764,541 | |||||||||||
Lucent Technologies Capital Trust I | ||||||||||||||||
1,000 | 7.750 | 03/15/17 | 1,025,000 | |||||||||||||
Pliant Corp.(f) | ||||||||||||||||
2,796 | 13.000 | 09/01/09 | 1,349,014 | |||||||||||||
Spanish Broadcasting Systems, Inc.(c)(f) | ||||||||||||||||
2,994 | 10.750 | 10/15/13 | 3,308,370 | |||||||||||||
Ziff Davis Holdings, Inc. | ||||||||||||||||
120 | 10.000 | 03/31/10 | 2,400 | |||||||||||||
TOTAL PREFERRED STOCKS | ||||||||||||||||
(Cost $7,544,593) | $ | 6,449,325 | ||||||||||||||
Expiration | ||||||||||||||
Units | Date | Value | ||||||||||||
Warrants* – 0.0% | ||||||||||||||
Advanstar Holdings Corp.(a) | ||||||||||||||
2,875 | 10/15/11 | $ | 29 | |||||||||||
Avecia Group PLC (Ordinary)(a) | ||||||||||||||
40,000 | 07/01/10 | 400 | ||||||||||||
Avecia Group PLC (Preferred)(a) | ||||||||||||||
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.(a) | ||||||||||||||
1,750 | 10/15/07 | 7,378 | ||||||||||||
Mattress Discounters Holding Corp.(a) | ||||||||||||||
750 | 07/15/07 | 7 | ||||||||||||
Merrill Corp. Class A(a) | ||||||||||||||
1,500 | 05/01/09 | 15 | ||||||||||||
Parmalat SpA(a) | ||||||||||||||
650 | 12/31/15 | 2,257 | ||||||||||||
Ziff Davis Holdings, Inc. | ||||||||||||||
22,000 | 08/12/12 | 220 | ||||||||||||
TOTAL WARRANTS | ||||||||||||||
(Cost $258,842) | $ | 10,706 | ||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Repurchase Agreement(g) – 4.7% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 150,200,000 | 5.242 | % | 05/01/07 | $ | 150,200,000 | ||||||||||
Maturity Value: $150,221,871 | ||||||||||||||||
(Cost $150,200,000) | ||||||||||||||||
TOTAL INVESTMENTS – 97.6% | ||||||||||||||||
(Cost $2,998,715,739) | $ | 3,150,772,061 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.4% | 76,732,250 | |||||||||||||||
NET ASSETS – 100.0% | $ | 3,227,504,311 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
38
GOLDMAN SACHS HIGH YIELD FUND
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 | ||
DEM | = | German Mark | ||
EUR | = | Euro Currency | ||
GBP | = | British Pounds |
(a) | 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 $691,471,715, which represents approximately 21.4% of net assets as of April 30, 2007. |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2007. |
(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 April 30, 2007. Additional information appears on page 45. |
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. |
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2007, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
Open Forward Foreign Currency | Purchase/Sale | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Gain | Contract | Date | Settlement Date | Value | Gain | |||||||||||||||
Euro | Purchase | 05/16/07 | $ | 9,565,709 | $ | 9,798,618 | $ | 232,909 | ||||||||||||
Open Forward Foreign Currency | Purchase/Sale | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Loss | Contract | Date | Settlement Date | Value | Loss | |||||||||||||||
British Pound | Sale | 05/16/07 | $ | 26,965,597 | $ | 27,492,696 | $ | (527,099 | ) | |||||||||||
Euro | Sale | 05/16/07 | 454,124,860 | 469,930,103 | (15,805,243 | ) | ||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CONTRACTS WITH UNREALIZED LOSS | $ | (16,332,342 | ) | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
39
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – 73.6% | ||||||||||||||||
Argentina – 8.3% | ||||||||||||||||
Republic of Argentina(a) | ||||||||||||||||
EUR6,450,000 | 0.662 | % | 12/15/35 | $ | 1,254,281 | |||||||||||
Republic of Argentina (B+) | ||||||||||||||||
ARS11,371,145 | 5.830 | (a) | 12/31/33 | 3,888,101 | ||||||||||||
EUR645,640 | 1.200 | (b) | 12/31/38 | 385,910 | ||||||||||||
Republic of Argentina (B3) | ||||||||||||||||
$ | 1,391,250 | 5.475 | (a) | 08/03/12 | 1,329,038 | |||||||||||
1,100,000 | 7.000 | 09/12/13 | 1,076,075 | |||||||||||||
ARS8,421,327 | 2.000 | (a) | 01/03/16 | 4,701,836 | ||||||||||||
$ | 8,670,000 | 1.330 | (b) | 12/31/38 | 4,074,900 | |||||||||||
Republic of Argentina (CC/Ca)(c) | ||||||||||||||||
DEM800,000 | 11.750 | 05/20/11 | 191,877 | |||||||||||||
Republic of Argentina (D/Ca)(c) | ||||||||||||||||
270,000 | 11.750 | 11/13/26 | 60,284 | |||||||||||||
$ | 1,500,000 | 9.750 | 09/19/27 | 525,000 | ||||||||||||
572,400 | 12.000 | 06/19/31 | 206,064 | |||||||||||||
Republic of Argentina (D/WR)(c) | ||||||||||||||||
DEM540,000 | 10.500 | 11/14/02 | 126,220 | |||||||||||||
225,000 | 7.000 | 03/18/04 | 52,984 | |||||||||||||
EUR400,000 | 9.000 | 05/24/05 | 178,769 | |||||||||||||
18,051,339 | ||||||||||||||||
Brazil – 2.3% | ||||||||||||||||
Federal Republic of Brazil (BB/Ba2) | ||||||||||||||||
$ | 1,496,000 | 10.500 | 07/14/14 | 1,933,580 | ||||||||||||
2,640,000 | 6.000 | 01/17/17 | 2,691,480 | |||||||||||||
390,000 | 8.000 | 01/15/18 | 442,650 | |||||||||||||
5,067,710 | ||||||||||||||||
Bulgaria – 0.8% | ||||||||||||||||
Republic of Bulgaria (BBB+/Baa3) | ||||||||||||||||
1,430,000 | 8.250 | 01/15/15 | 1,696,337 | |||||||||||||
Colombia – 3.1% | ||||||||||||||||
Republic of Colombia | ||||||||||||||||
COP698,000,000 | 11.750 | 03/01/10 | 352,559 | |||||||||||||
Republic of Colombia (BB+/Ba2) | ||||||||||||||||
$ | 4,830,000 | 7.375 | 01/27/17 | 5,310,585 | ||||||||||||
830,000 | 8.375 | 02/15/27 | 991,850 | |||||||||||||
6,654,994 | ||||||||||||||||
Croatia(a) – 0.0% | ||||||||||||||||
Republic of Croatia (BBB/Baa3) | ||||||||||||||||
22,273 | 6.213 | 07/31/10 | 22,362 | |||||||||||||
Dominican Republic – 0.5% | ||||||||||||||||
Dominican Republic (B/B2) | ||||||||||||||||
983,679 | 9.040 | 01/23/18 | 1,142,544 | |||||||||||||
Ecuador(b) – 1.3% | ||||||||||||||||
Republic of Ecuador (CCC/Caa2) | ||||||||||||||||
3,085,000 | 10.000 | 08/15/30 | 2,861,337 | |||||||||||||
El Salvador – 2.1% | ||||||||||||||||
Republic of El Salvador (BB+/Baa3) | ||||||||||||||||
3,320,000 | 8.250 | 04/10/32 | 4,067,000 | |||||||||||||
440,000 | 7.650 | 06/15/35 | 509,300 | |||||||||||||
4,576,300 | ||||||||||||||||
Fiji – 0.2% | ||||||||||||||||
Republic of Fiji (B/Ba2) | ||||||||||||||||
$ | 460,000 | 6.875 | 09/13/11 | $ | 437,000 | |||||||||||
Indonesia – 3.9% | ||||||||||||||||
Republic of Indonesia (BB-/B1) | ||||||||||||||||
2,260,000 | 7.500 | 01/15/16 | 2,491,650 | |||||||||||||
5,970,000 | 6.625 | (d) | 02/17/37 | 5,917,762 | ||||||||||||
8,409,412 | ||||||||||||||||
Iraq – 0.5% | ||||||||||||||||
Republic of Iraq | ||||||||||||||||
1,650,000 | 5.800 | 01/15/28 | 1,056,000 | |||||||||||||
Ivory Coast – 0.1% | ||||||||||||||||
Ivory Coast | ||||||||||||||||
465,500 | 2.000 | 03/30/18 | 155,943 | |||||||||||||
Jamaica – 0.6% | ||||||||||||||||
Government of Jamaica (B/B1) | ||||||||||||||||
903,000 | 9.000 | 06/02/15 | 988,785 | |||||||||||||
250,000 | 8.000 | 03/15/39 | 251,250 | |||||||||||||
1,240,035 | ||||||||||||||||
Lebanon(a) – 0.9% | ||||||||||||||||
Republic of Lebanon MTN (B-) | ||||||||||||||||
1,890,000 | 8.604 | 11/30/09 | 1,880,550 | |||||||||||||
Luxembourg – 0.5% | ||||||||||||||||
Gaz Capital for Gazprom (BBB/A3)(d) | ||||||||||||||||
1,000,000 | 6.212 | 11/22/16 | 1,010,000 | |||||||||||||
Malaysia – 0.9% | ||||||||||||||||
Malaysia (A-/A3) | ||||||||||||||||
1,790,000 | 7.500 | 07/15/11 | 1,950,767 | |||||||||||||
Mexico – 4.8% | ||||||||||||||||
Mexican Fixed Rate Bonds (A/Baa1) | ||||||||||||||||
MXN91,160,000 | 8.000 | 12/19/13 | 8,526,952 | |||||||||||||
United Mexican States (BBB/Baa1) | ||||||||||||||||
$ | 400,000 | 8.300 | 08/15/31 | 524,800 | ||||||||||||
1,180,000 | 7.500 | 04/08/33 | 1,430,160 | |||||||||||||
10,481,912 | ||||||||||||||||
Panama – 3.3% | ||||||||||||||||
Republic of Panama (BB/Ba1)(e) | ||||||||||||||||
1,610,000 | 9.375 | 04/01/29 | 2,193,625 | |||||||||||||
Republic of Panama (BB/Ba1) | ||||||||||||||||
4,770,000 | 6.700 | 01/26/36 | 5,044,275 | |||||||||||||
7,237,900 | ||||||||||||||||
Peru – 4.2% | ||||||||||||||||
Republic of Peru (BB+/Ba3) | ||||||||||||||||
5,165,000 | 8.375 | 05/03/16 | 6,177,340 | |||||||||||||
2,700,000 | 6.550 | 03/14/37 | 2,856,600 | |||||||||||||
9,033,940 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
40
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – (continued) | ||||||||||||||||
Philippines – 5.4% | ||||||||||||||||
Republic of Philippines (BB-/B1) | ||||||||||||||||
$ | 660,000 | 10.625 | % | 03/16/25 | $ | 942,150 | ||||||||||
Republic of Philippines (B1) | ||||||||||||||||
9,765,000 | 7.500 | 09/25/24 | 10,790,325 | |||||||||||||
11,732,475 | ||||||||||||||||
Poland – 1.9% | ||||||||||||||||
Republic of Poland (A/A2) | ||||||||||||||||
PLN11,450,000 | 6.000 | 05/24/09 | $ | 4,226,143 | ||||||||||||
Russia(b) – 11.6% | ||||||||||||||||
Russian Federation (BBB+/Baa2) | ||||||||||||||||
$ | 22,054,175 | 7.500 | 03/31/30 | 25,059,056 | ||||||||||||
Serbia(b) – 0.7% | ||||||||||||||||
Republic of Serbia (BB-/BB-) | ||||||||||||||||
1,510,000 | 3.750 | 11/01/24 | 1,438,275 | |||||||||||||
Turkey – 3.3% | ||||||||||||||||
Republic of Turkey (BB-/Ba3) | ||||||||||||||||
4,090,000 | 7.375 | 02/05/25 | 4,207,587 | |||||||||||||
2,630,000 | 8.000 | 02/14/34 | 2,889,713 | |||||||||||||
7,097,300 | ||||||||||||||||
Ukraine – 1.6% | ||||||||||||||||
Ukraine Government (B-/B1) | ||||||||||||||||
2,800,000 | 6.875 | 03/04/11 | 2,893,240 | |||||||||||||
600,000 | 7.650 | 06/11/13 | 649,680 | |||||||||||||
3,542,920 | ||||||||||||||||
Uruguay – 3.8% | ||||||||||||||||
Republic of Uruguay (B+/B1) | ||||||||||||||||
6,219,587 | 8.000 | 11/18/22 | 7,183,623 | |||||||||||||
UYU25,000,000 | 4.250 | 04/05/27 | 1,094,055 | |||||||||||||
8,277,678 | ||||||||||||||||
Venezuela – 6.7% | ||||||||||||||||
Republic of Venezuela (BB-/B2) | ||||||||||||||||
$ | 2,970,000 | 6.000 | 12/09/20 | 2,704,185 | ||||||||||||
7,872,000 | 7.650 | 04/21/25 | 8,273,472 | |||||||||||||
2,780,000 | 9.375 | 01/13/34 | 3,484,730 | |||||||||||||
14,462,387 | ||||||||||||||||
Vietnam – 0.3% | ||||||||||||||||
Socialist Republic of Vietnam (BB/Ba3) | ||||||||||||||||
200,000 | 6.875 | 01/15/16 | 214,750 | |||||||||||||
Socialist Republic of Vietnam (BB/Ba3)(d) | ||||||||||||||||
430,000 | 6.875 | 01/15/16 | 461,713 | |||||||||||||
676,463 | ||||||||||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $153,061,953) | $ | 159,479,079 | ||||||||||||||
Corporate Obligations – 5.3% | ||||||||||||||||
Bermuda(d) – 0.2% | ||||||||||||||||
Digicel Group Ltd. (CCC+/Caa2) | ||||||||||||||||
$ | 370,000 | 8.875 | % | 01/15/15 | $ | 363,062 | ||||||||||
Brazil – 0.6% | ||||||||||||||||
Companhia Energetica de Sao Paulo (Ba3) | ||||||||||||||||
BRL2,311,328 | 9.750 | 01/15/15 | 1,216,204 | |||||||||||||
Dominican Republic(d) – 0.8% | ||||||||||||||||
Cerveceria Nacional Dominicana (B+/Ba3) | ||||||||||||||||
$ | 1,490,000 | 16.000 | 03/27/12 | $ | 1,615,286 | |||||||||||
220,000 | 8.000 | 03/27/14 | 226,600 | |||||||||||||
1,841,886 | ||||||||||||||||
Netherlands – 0.9% | ||||||||||||||||
CenterCredit International BV (Ba1) | ||||||||||||||||
KZT232,000,000 | 8.250 | 09/30/11 | 1,896,971 | |||||||||||||
Russia – 0.7% | ||||||||||||||||
RSHB Capital SA for OJSC Russian Agricultural Bank (A3)(d) | ||||||||||||||||
$ | 540,000 | 7.175 | 05/16/13 | 573,750 | ||||||||||||
Reachcom Public Ltd. | ||||||||||||||||
RUB13,000,000 | 10.500 | 07/27/07 | 505,933 | |||||||||||||
VNESHTORGBANK | ||||||||||||||||
12,000,000 | 7.000 | 04/13/09 | 472,386 | |||||||||||||
1,552,069 | ||||||||||||||||
Trinidad and Tobago(d) – 0.4% | ||||||||||||||||
National Gas Co. of Trinidad & Tobago Ltd. (BBB+/A3) | ||||||||||||||||
$ | 880,000 | 6.050 | 01/15/36 | 866,478 | ||||||||||||
Turkey – 0.1% | ||||||||||||||||
International Bank for Reconstruction & Development | ||||||||||||||||
TRY500,000 | 13.625 | 05/09/17 | 359,252 | |||||||||||||
Ukraine – 0.5% | ||||||||||||||||
Nak Naftogaz Ukrainy (Ba2) | ||||||||||||||||
1,000,000 | 8.125 | 09/30/09 | 1,007,500 | |||||||||||||
United Kingdom(d) – 0.3% | ||||||||||||||||
UK SPV Credit Finance PLC (Ba2) | ||||||||||||||||
740,000 | 8.000 | 02/06/12 | 736,300 | |||||||||||||
United States – 0.8% | ||||||||||||||||
Pemex Project Funding Master Trust (BBB/Baa1)(d) | ||||||||||||||||
$ | 885,000 | 6.625 | 06/15/35 | 933,675 | ||||||||||||
Southern Copper Corp. (BBB-/Baa2) | ||||||||||||||||
650,000 | 7.500 | 07/27/35 | 716,888 | |||||||||||||
1,650,563 | ||||||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||||
(Cost $11,090,918) | $ | 11,490,285 | ||||||||||||||
Credit Linked Notes – 9.5% | ||||||||||||||||
Brazil – 6.7% | ||||||||||||||||
Brazil Inflation Linked Credit Linked Note(g) | ||||||||||||||||
BRL4,265,000 | 6.000 | % | 05/15/09 | $ | 2,415,853 | |||||||||||
$ | 2,203,450 | 13.000 | 03/08/10 | 2,282,875 | ||||||||||||
BRL620,000 | 6.000 | 08/18/10 | 488,131 |
The accompanying notes are an integral part of these financial statements.
41
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Credit Linked Notes – (continued) | ||||||||||||||||
Brazil – (continued) | ||||||||||||||||
Brazil Inflation Linked Credit Linked Note(g) – (continued) | ||||||||||||||||
BRL3,800,000 | 6.000 | % | 05/19/15 | $ | 2,967,447 | |||||||||||
864,687 | 6.000 | 08/16/24 | 1,074,374 | |||||||||||||
2,940,000 | 6.000 | 05/15/45 | 1,508,532 | |||||||||||||
3,200,000 | 6.000 | 05/17/45 | 3,808,260 | |||||||||||||
14,545,472 | ||||||||||||||||
Egypt – 2.8% | ||||||||||||||||
Egyptian Credit Linked Note(f)(h) | ||||||||||||||||
EGP15,590,000 | 0.000 | 10/25/07 | 2,627,402 | |||||||||||||
$ | 3,030,000 | 0.000 | 11/15/07 | 3,201,861 | ||||||||||||
EGP1,300,000 | 0.000 | 04/24/08 | 211,286 | |||||||||||||
6,040,549 | ||||||||||||||||
TOTAL CREDIT LINKED NOTES | ||||||||||||||||
(Cost $17,809,862) | $ | 20,586,021 | ||||||||||||||
U.S. Treasury Obligation – 0.6% | ||||||||||||||||
United States Treasury Notes | ||||||||||||||||
$ | 1,200,000 | 4.625 | % | 02/15/17 | $ | 1,199,808 | ||||||||||
(Cost $1,210,095) | ||||||||||||||||
Principal | Interest | Termination | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Structured Notes – 2.4% | ||||||||||||||||
Deutsche Bank Securities, Inc.(f)(i) | ||||||||||||||||
$ | 6,500,000 | 0.000 | % | 08/08/08 | $ | 3,784,529 | ||||||||||
JP Morgan Securities, Inc.(i) | ||||||||||||||||
1,700,000 | 6.000 | 03/07/12 | 1,130,896 | |||||||||||||
Merrill Lynch(g) | ||||||||||||||||
1,627,000 | 6.000 | 05/15/45 | 376,419 | |||||||||||||
5,291,844 | ||||||||||||||||
TOTAL STRUCTURED NOTES | ||||||||||||||||
(Cost $5,633,122) | $ | 5,291,844 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Repurchase Agreement(j) – 5.5% | ||||||||||||||||
United States – 5.5% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 11,900,000 | 5.242 | % | 05/01/07 | $ | 11,900,000 | ||||||||||
Maturity Value: $11,901,733 | ||||||||||||||||
(Cost $11,900,000) | ||||||||||||||||
TOTAL INVESTMENTS – 96.9% | ||||||||||||||||
(Cost $200,705,950) | $ | 209,947,037 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.1% | 6,682,485 | |||||||||||||||
NET ASSETS – 100.0% | $ | 216,629,522 | ||||||||||||||
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 | KZT | = | Kazakhstan Tenge | |||||
ARS | = | Argentine Peso | MXN | = | Mexican Peso | |||||
BRL | = | Brazilian Real | PLN | = | Polish Zloty | |||||
COP | = | Colombian Peso | RUB | = | Russian Ruble | |||||
DEM | = | German Mark | TRY | = | Turkish Lira | |||||
EGP | = | Egyptian Pound | UYU | = | Uruguayan Peso | |||||
EUR | = | Euro Currency |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2007. |
(b) | Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at April 30, 2007. |
(c) | Security is currently in default/non-income producing. |
(d) | 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 $ 12,704,626, which represents approximately 5.9% of net assets as of April 30, 2007. |
(e) | Securities with “Call” or “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
(f) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
(g) | The underlying security is a government bond issued by the Federal Republic of Brazil. |
(h) | The underlying security is a government bond issued by the Arab Republic of Egypt. |
(i) | The underlying security is a government bond issued by the Republic of Turkey. |
(j) | Joint repurchase agreement was entered into on April 30, 2007. Additional information appears on page 45. |
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.
42
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2007, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Gain | Sale Contract | Date | Settlement Date | Value | Gain | |||||||||||||||
Brazilian Real | Purchase | 05/07/07 | $ | 1,654,250 | $ | 1,773,757 | $ | 119,507 | ||||||||||||
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Current | Unrealized | |||||||||||||||
Contracts with Unrealized Loss | Sale Contract | Date | Settlement Date | Value | Loss | |||||||||||||||
Brazilian Real | Sale | 05/07/07 | $ | 1,477,305 | $ | 1,549,545 | $ | (72,240 | ) | |||||||||||
Brazilian Real | Sale | 06/05/07 | 2,075,846 | 2,194,530 | (118,684 | ) | ||||||||||||||
Brazilian Real | Sale | 06/06/07 | 530,448 | 564,701 | (34,253 | ) | ||||||||||||||
Brazilian Real | Sale | 06/12/07 | 3,177,400 | 3,353,519 | (176,119 | ) | ||||||||||||||
Brazilian Real | Sale | 06/22/07 | 872,745 | 905,054 | (32,309 | ) | ||||||||||||||
Brazilian Real | Sale | 06/29/07 | 1,989,479 | 2,045,033 | (55,554 | ) | ||||||||||||||
Euro | Sale | 05/30/07 | 1,825,496 | 1,828,906 | (3,410 | ) | ||||||||||||||
Mexican Peso | Sale | 07/12/07 | 8,229,090 | 8,281,246 | (52,156 | ) | ||||||||||||||
Polish Zloty | Sale | 05/14/07 | 3,709,384 | 3,996,822 | (287,438 | ) | ||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CONTRACTS WITH UNREALIZED LOSS | $ | (832,163 | ) | |||||||||||||||||
SWAP CONTRACTS — At April 30, 2007, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rates Exchanged | ||||||||||||||||||||
Notional | Payments | Payments | Upfront Payments | |||||||||||||||||
Amount | Termination | received by | made by | made | Unrealized | |||||||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | by the Fund | Loss | ||||||||||||||
Salomon Smith Barney, Inc. | PLN54,000 | 01/15/09 | 4.675 | % | 6 month WIBO | $ | — | $ | (42,422 | ) | ||||||||||
JPMorgan Securities, Inc.(a) | $ | 2,200 | 06/20/14 | 5.100 | 3 month LIBOR | 2,693 | — | |||||||||||||
TOTAL | $ | 2,693 | $ | (42,422 | ) | |||||||||||||||
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to April 30, 2007. |
LIBOR | — | London Interbank Offered Rate | ||||
WIBO | — | Warsaw Interbank Offered Rate | ||||
The accompanying notes are an integral part of these financial statements.
43
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
April 30, 2007 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
CREDIT DEFAULT SWAP CONTRACTS
Notional | Rates | |||||||||||||||
Amount | Received by | Termination | Unrealized | |||||||||||||
Reference Obligation | Swap Counterparty | (000s) | the Fund | Date | Gain | |||||||||||
Protection Sold: | ||||||||||||||||
Turkish Government International Bond | JPMorgan Securities, Inc. | $ | 1,600 | 2.740 | % | 03/20/17 | $ | 28,022 | ||||||||
Turkish Government International Bond | JPMorgan Securities, Inc. | 1,946 | 2.500 | 05/20/17 | — | |||||||||||
TOTAL | $ | 28,022 | ||||||||||||||
TOTAL RETURN SWAP CONTRACTS
Notional | ||||||||||||||
Amount | Termination | Reference | Value | Unrealized | ||||||||||
Swap Counterparty | (000s) | Date | Security | to be Exchanged# | Gain | |||||||||
DMG & Partners | TRY664 | 07/16/08 | Turkish Gov’t Bond | TRL Central Deposit Bank + 0.750% | $ | 18,324 | ||||||||
DMG & Partners | TRY1,968 | 07/16/08 | Turkish Gov’t Bond | TRL Central Deposit Bank + 0.750% | 48,080 | |||||||||
Deutsche Bank Securities, Inc. | TRY23,000 | 11/26/08 | Turkish Gov’t Bond | TRL Central Deposit Bank + 0.750% | 27,441 | |||||||||
Citibank NA | TRY2,000 | 01/20/11 | Turkish Gov’t Bond | TRL Central Deposit Bank + 0.750% | 15,745 | |||||||||
TOTAL | $ | 109,590 | ||||||||||||
# | 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 accrued fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
The accompanying notes are an integral part of these financial statements.
44
ADDITIONAL INVESTMENT INFORMATION (continued) |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2007, the Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
Fund | Principal Amount | |||
High Yield | $ | 150,200,000 | ||
Emerging Markets Debt | 11,900,000 | |||
REPURCHASE AGREEMENTS
Principal | Interest | Maturity | Maturity | |||||||||||
Counterparty | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 5.24 | % | 05/01/07 | $ | 1,500,218,333 | |||||||
Barclays Capital PLC | 1,250,000,000 | 5.24 | 05/01/07 | 1,250,181,944 | ||||||||||
Bear Stearns | 750,000,000 | 5.25 | 05/01/07 | 750,109,375 | ||||||||||
Citigroup Global Markets, Inc. | 1,050,000,000 | 5.24 | 05/01/07 | 1,050,152,833 | ||||||||||
Credit Suisse First Boston LLC | 500,000,000 | 5.25 | 05/01/07 | 500,072,917 | ||||||||||
Deutsche Bank Securities, Inc. | 950,000,000 | 5.24 | 05/01/07 | 950,138,278 | ||||||||||
Greenwich Capital Markets | 550,000,000 | 5.25 | 05/01/07 | 550,080,208 | ||||||||||
UBS Securities LLC | 1,850,000,000 | 5.24 | 05/01/07 | 1,850,269,279 | ||||||||||
Wachovia Bank | 250,000,000 | 5.24 | 05/01/07 | 250,036,389 | ||||||||||
TOTAL | $ | 8,650,000,000 | $ | 8,651,259,556 | ||||||||||
At April 30, 2007, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Mortgage Association, 2.700% to 10.500%, due 05/01/07 to 04/01/47; Federal National Mortgage Association, 3.375% to 9.000%, due 05/15/07 to 05/01/47; Government National Mortgage Association, 4.500% to 9.000%, due 07/15/09 to 04/20/37. The aggregate market value of the collateral, including accrued interest, was $8,849,763,665.
The accompanying notes are an integral part of these financial statements.
45
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Assets and Liabilities
April 30, 2007 (Unaudited)
Global Income | High Yield | Emerging Markets | |||||||||||||||
Fund | Fund | Debt Fund | |||||||||||||||
Assets: | |||||||||||||||||
Investments in securities, at value (identified cost $1,224,398,810, $2,998,715,739 and $200,705,950, respectively) | $ | 1,250,253,968 | $ | 3,150,772,061 | $ | 209,947,037 | |||||||||||
Cash(a) | 1,579,209 | 186,068 | 1,663,769 | ||||||||||||||
Foreign currencies, at value (identified cost $4,357,443, $64,365,298 and $170,966, respectively) | 4,363,414 | 64,363,727 | 171,121 | ||||||||||||||
Receivables: | |||||||||||||||||
Investment securities sold, at value | 45,874 | 15,511,291 | 7,674,104 | ||||||||||||||
Interest and dividends, at value (net of allowances) | 15,970,465 | 58,815,875 | 2,985,812 | ||||||||||||||
Forward foreign currency exchange contracts, at value | 24,689,765 | 232,909 | 119,507 | ||||||||||||||
Swap contracts, at value (includes upfront payments made of $12,154,157, $0, and $2,693, respectively) | 15,445,290 | — | 140,305 | ||||||||||||||
Fund shares sold | 4,072,647 | 14,514,919 | 687,549 | ||||||||||||||
Due from broker-variation margin, at value(b) | 4,890,542 | — | — | ||||||||||||||
Reimbursement from investment adviser | 110,119 | 136,002 | 51,051 | ||||||||||||||
Other assets | 84,851 | 30,576 | 72,883 | ||||||||||||||
Total assets | 1,321,506,144 | 3,304,563,428 | 223,513,138 | ||||||||||||||
Liabilities: | |||||||||||||||||
Due to Custodian | 1,742,591 | — | — | ||||||||||||||
Payables: | |||||||||||||||||
Investment securities purchased, at value | 2,919,274 | 47,709,968 | 5,582,088 | ||||||||||||||
Forward foreign currency exchange contracts, at value | 22,666,794 | 16,332,342 | 832,163 | ||||||||||||||
Swap contracts, at value (includes upfront payments received of $10,485,704, $0 and $0, respectively) | 13,621,886 | — | 42,422 | ||||||||||||||
Fund shares repurchased | 273,622 | 6,105,817 | 35,341 | ||||||||||||||
Income distribution | — | 4,039,523 | 73,295 | ||||||||||||||
Amounts owed to affiliates | 806,059 | 2,545,845 | 168,017 | ||||||||||||||
Accrued expenses and other liabilities | 222,119 | 325,622 | 150,290 | ||||||||||||||
Total liabilities | 42,252,345 | 77,059,117 | 6,883,616 | ||||||||||||||
Net Assets: | |||||||||||||||||
Paid-in capital | 1,337,382,281 | 3,077,059,675 | 205,459,063 | ||||||||||||||
Accumulated undistributed (distribution in excess of) net investment income | (3,726,303 | ) | 3,983,139 | 13,407 | |||||||||||||
Accumulated net realized gain (loss) on investment, futures, options, swaps and foreign currency related transactions | (83,810,658 | ) | 9,844,109 | 1,552,989 | |||||||||||||
Net unrealized gain on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 29,408,479 | 136,617,388 | 9,604,063 | ||||||||||||||
NET ASSETS | $ | 1,279,253,799 | $ | 3,227,504,311 | $ | 216,629,522 | |||||||||||
Net Assets: | |||||||||||||||||
Class A | $ | 322,314,585 | $ | 1,626,789,958 | $ | 79,876,359 | |||||||||||
Class B | 14,171,085 | 98,520,285 | — | ||||||||||||||
Class C | 5,538,110 | 110,534,548 | 207,105 | ||||||||||||||
Institutional | 936,836,152 | 1,387,317,360 | 136,546,058 | ||||||||||||||
Service | 393,867 | 4,342,160 | — | ||||||||||||||
Shares Outstanding: | |||||||||||||||||
Class A | 25,303,362 | 196,928,497 | 6,514,033 | ||||||||||||||
Class B | 1,116,427 | 11,910,112 | — | ||||||||||||||
Class C | 437,130 | 13,377,511 | 16,922 | ||||||||||||||
Institutional | 73,649,316 | 167,722,430 | 11,126,772 | ||||||||||||||
Service | 30,990 | 526,155 | — | ||||||||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 100,537,225 | 390,464,705 | 17,657,727 | ||||||||||||||
Net asset value, offering and redemption price per share: (c) | |||||||||||||||||
Class A | $12.74 | $8.26 | $12.26 | ||||||||||||||
Class B | 12.69 | 8.27 | — | ||||||||||||||
Class C | 12.67 | 8.26 | 12.24 | ||||||||||||||
Institutional | 12.72 | 8.27 | 12.27 | ||||||||||||||
Service | 12.71 | 8.25 | — | ||||||||||||||
(a) | Represents restricted cash relating to initial margin requirements on swaps transactions. |
(b) | Includes restricted cash of $3,768,702 related to initial margin requirements and collateral on futures transactions for Global Income Fund. |
(c) | 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 $8.65 and $12.84 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.
46
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Operations
For the Six Months Ended April 30, 2007 (Unaudited)
Global Income | High Yield | Emerging Markets | |||||||||||||
Fund | Fund | Debt Fund | |||||||||||||
Investment income: | |||||||||||||||
Interest (net of allowances)(a) | $ | 19,357,920 | $ | 128,607,317 | $ | 5,793,736 | |||||||||
Dividends | 30,399 | 1,414,066 | — | ||||||||||||
Total investment income | 19,388,319 | 130,021,383 | 5,793,736 | ||||||||||||
Expenses: | |||||||||||||||
Management fees | 3,428,616 | 10,221,706 | 712,915 | ||||||||||||
Distribution and Service fees(b) | 465,823 | 2,871,102 | 91,887 | ||||||||||||
Transfer Agent fees(b) | 396,917 | 1,628,888 | 79,630 | ||||||||||||
Custody and accounting fees | 234,401 | 219,675 | 92,981 | ||||||||||||
Professional fees | 49,561 | 65,136 | 60,036 | ||||||||||||
Registration fees | 47,592 | 70,587 | 26,992 | ||||||||||||
Printing fees | 19,840 | 32,459 | 2,317 | ||||||||||||
Trustee fees | 9,217 | 9,217 | 9,217 | ||||||||||||
Service share fees | 1,044 | 9,698 | — | ||||||||||||
Other | 12,984 | 136,255 | 896 | ||||||||||||
Total expenses | 4,665,995 | 15,264,723 | 1,076,871 | ||||||||||||
Less — expense reductions | (409,647 | ) | (267,511 | ) | (168,142 | ) | |||||||||
Net expenses | 4,256,348 | 14,997,212 | 908,729 | ||||||||||||
NET INVESTMENT INCOME | 15,131,971 | 115,024,171 | 4,885,007 | ||||||||||||
Realized and unrealized gain (loss) on investment, futures, options, swap and foreign currency related transactions: | |||||||||||||||
Net realized gain (loss) from: | |||||||||||||||
Investment transactions | 1,106,116 | 19,962,747 | 1,910,521 | ||||||||||||
Futures transactions | 2,275,307 | — | — | ||||||||||||
Written options | (106,234 | ) | — | — | |||||||||||
Swap contracts | (3,380,970 | ) | — | 391,590 | |||||||||||
Foreign currency related transactions | (22,906,578 | ) | 2,039,043 | (448,963 | ) | ||||||||||
Net change in unrealized gain (loss) on: | |||||||||||||||
Investments | 15,956,870 | 84,872,001 | 4,939,058 | ||||||||||||
Futures | 1,112,407 | — | — | ||||||||||||
Swap contracts | (129,156 | ) | — | (124,230 | ) | ||||||||||
Translation of assets and liabilities denominated in foreign currencies | 6,987,168 | (16,194,545 | ) | 571,023 | |||||||||||
Net realized and unrealized gain on investment, futures, options, swap and foreign currency related transactions | 914,930 | 90,679,246 | 7,238,999 | ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 16,046,901 | $ | 205,703,417 | $ | 12,124,006 | |||||||||
(a) | Net of $315 and $26,781 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 | $ | 355,880 | $ | 77,961 | $ | 31,982 | $ | 227,763 | $ | 12,474 | $ | 5,117 | $ | 151,479 | $ | 84 | ||||||||||||||||
High Yield | 1,887,327 | 486,342 | 497,433 | 1,207,889 | 77,815 | 79,589 | 262,819 | 776 | ||||||||||||||||||||||||
Emerging Markets Debt | 91,550 | — | 337 | 58,592 | — | 54 | 20,984 | — |
The accompanying notes are an integral part of these financial statements.
47
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Changes in Net Assets
Global Income Fund | |||||||||||
For the | |||||||||||
Six Months Ended | For the | ||||||||||
April 30, 2007 | Year Ended | ||||||||||
(Unaudited) | October 31, 2006 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 15,131,971 | $ | 15,175,226 | |||||||
Net realized gain (loss) on investment, futures, options, swaps and foreign currency related transactions | (23,012,359 | ) | (6,650,901 | ) | |||||||
Net change in unrealized gain on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 23,927,289 | 8,069,554 | |||||||||
Net increase in net assets resulting from operations | 16,046,901 | 16,593,879 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Class A Shares | (4,131,365 | ) | (10,177,713 | ) | |||||||
Class B Shares | (156,703 | ) | (1,057,409 | ) | |||||||
Class C Shares | (64,466 | ) | (329,720 | ) | |||||||
Institutional Shares | (12,673,209 | ) | (16,109,652 | ) | |||||||
Service Shares | (5,532 | ) | (24,929 | ) | |||||||
From net realized gains | |||||||||||
Class A Shares | — | — | |||||||||
Class C 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 | (17,031,275 | ) | (29,533,304 | ) | |||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 507,218,694 | 623,711,550 | |||||||||
Reinvestment of dividends and distributions | 16,697,674 | 26,966,721 | |||||||||
Cost of shares repurchased(a) | (112,240,353 | ) | (190,950,469 | ) | |||||||
Net increase in net assets resulting from share transactions | 411,676,015 | 459,727,802 | |||||||||
TOTAL INCREASE | 410,691,641 | 446,788,377 | |||||||||
Net assets: | |||||||||||
Beginning of period | 868,562,158 | 421,773,781 | |||||||||
End of period | $ | 1,279,253,799 | $ | 868,562,158 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (3,726,303 | ) | $ | (1,826,999 | ) | |||||
(a) | Net of redemption fees, remitted to the Funds as follows: |
For the Six | ||||||||
Months Ended | For the | |||||||
April 30, 2007 | Year Ended | |||||||
Fund | (Unaudited) | October 31, 2006 | ||||||
Global Income | $ | 5,190 | $ | 6,373 | ||||
High Yield | 153,832 | 75,035 | ||||||
Emerging Markets Debt | 1,949 | 19,806 | ||||||
The accompanying notes are an integral part of these financial statements.
48
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
High Yield Fund | Emerging Markets Debt Fund | |||||||||||||||
For the | For the | |||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | |||||||||||||
April 30, 2007 | Year Ended | April 30, 2007 | Year Ended | |||||||||||||
(Unaudited) | October 31, 2006 | (Unaudited) | October 31, 2006 | |||||||||||||
$ | 115,024,171 | $ | 173,344,032 | $ | 4,885,007 | $ | 6,477,163 | |||||||||
22,001,790 | 10,357,444 | 1,853,148 | 2,438,504 | |||||||||||||
68,677,456 | 56,407,429 | 5,385,851 | 3,242,522 | |||||||||||||
205,703,417 | 240,108,905 | 12,124,006 | 12,158,189 | |||||||||||||
(60,215,465 | ) | (84,061,954 | ) | (1,781,038 | ) | (3,310,565 | ) | |||||||||
(3,520,000 | ) | (6,619,789 | ) | — | — | |||||||||||
(3,591,115 | ) | (5,260,116 | ) | (1,332 | ) | (5 | ) | |||||||||
(55,076,172 | ) | (75,965,184 | ) | (2,757,643 | ) | (3,479,083 | ) | |||||||||
(152,973 | ) | (169,229 | ) | — | — | |||||||||||
— | — | (1,270,842 | ) | (1,535,731 | ) | |||||||||||
— | — | (379 | ) | — | ||||||||||||
— | — | (1,659,868 | ) | (1,540,548 | ) | |||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
(122,555,725 | ) | (172,076,272 | ) | (7,471,102 | ) | (9,865,932 | ) | |||||||||
822,190,608 | 1,402,984,435 | 73,276,071 | 129,969,181 | |||||||||||||
96,996,107 | 131,273,894 | 6,715,962 | 8,984,045 | |||||||||||||
(656,774,688 | ) | (731,412,439 | ) | (22,391,298 | ) | (62,158,343 | ) | |||||||||
262,412,027 | 802,845,890 | 57,600,735 | 76,794,883 | |||||||||||||
345,559,719 | 870,878,523 | 62,253,639 | 79,087,140 | |||||||||||||
2,881,944,592 | 2,011,066,069 | 154,375,883 | 75,288,743 | |||||||||||||
$ | 3,227,504,311 | $ | 2,881,944,592 | $ | 216,629,522 | $ | 154,375,883 | |||||||||
$ | 3,983,139 | $ | 11,514,693 | $ | 13,407 | $ | (331,587 | ) | ||||||||
The accompanying notes are an integral part of these financial statements.
49
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements
April 30, 2007 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”) as an open-end management investment company. The Trust includes the 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 the Funds 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 the Funds have a contingent deferred sales charge of 1% during the first 12 months. Institutional Class shares of the Funds, 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 involves 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. Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and have delayed settlements, and their prices may be more volatile than those of comparable securities in the United States.
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 — Fixed income 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 equity 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.
50
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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, (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 of 1986, as amended (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 each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain, 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.
51
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
April 30, 2007 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 (applicable to fixed income securities); (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, and are included with the net realized and unrealized gain (loss) on foreign currency related transactions. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities 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 April 30, 2007, 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 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, dependent 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 Statement of Operations.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statement 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. These risks 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.
52
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
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 subcustodians 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, swap contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are 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 specified prices, rates or indices for a specified amount of an underlying asset or notional principal 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 will typically be 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
53
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
April 30, 2007 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 payout amount 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 model prices and the change in value, if any, is recorded as unrealized gain or loss in the Statement of Operations. Upfront payments made and/or received by the Funds, are recorded as an asset and/or liability on the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the contract’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on termination date. Periodic payments received or made on swap contracts are recorded as realized gain or loss on the Statement of Operations. Gains or losses are also realized upon early termination of the swap agreements or, with respect to Credit Default Swaps, when a credit event occurs and recorded as realized gains from swaps on the Statement of Operations.
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 on the Statement of Operations. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
M. Structured Notes — The Funds may invest in structured notes whose values are based on the price movements of a reference security or index. The value of these structured notes will rise and fall in response to changes in the reference security or index. On termination date of each structured note, the Funds will receive a payment from a counterparty based on the value of the referenced security (notional multiplied by price of the referenced security) and record a realized gain or loss. These structured notes are subject to credit and interest rate risks.
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.
54
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
3. AGREEMENTS (continued) |
For the six months ended April 30, 2007, the Funds’ Management fees as an annual percentage rate of average daily net assets were as follows:
Contractual Management Fee | ||||||||||||||||
Up to | Next | Over | Effective | |||||||||||||
Fund | $1 Billion | $1 Billion | $2 Billion | Rate | ||||||||||||
Global Income | 0.65 | % | 0.59 | % | 0.56 | % | 0.64 | % | ||||||||
High Yield | 0.70 | 0.70 | 0.63 | 0.68 | ||||||||||||
Emerging Markets Debt | 0.80 | 0.80 | 0.72 | 0.80 | ||||||||||||
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 custody and transfer agent fee credit reductions) 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 six months ended April 30, 2007, 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.
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 which may not exceed, 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 six months ended April 30, 2007 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 | $ | 5,800 | $ | — | $ | — | ||||||
High Yield | 207,000 | — | 300 | |||||||||
Emerging Markets Debt | 8,100 | 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
55
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
April 30, 2007 (Unaudited)
3. AGREEMENTS (continued) |
Class C Shares of the Funds, Class B Shares (Global Income and High Yield only) 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.
For the six months ended April 30, 2007, GSAM and GSAMI have voluntarily agreed to 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 | ||||||||||||||||
Other Expense | Custody | Transfer Agent | Total Expense | |||||||||||||
Fund | Reimbursement | Fee | Fee | Reductions | ||||||||||||
Global Income | $ | 352 | $ | 51 | $ | 7 | $ | 410 | ||||||||
High Yield | 170 | 60 | 38 | 268 | ||||||||||||
Emerging Markets Debt | 153 | 13 | 2 | 168 | ||||||||||||
As of April 30, 2007, the amounts owed to affiliates of the Trust were as follows (in thousands):
Management | Distribution and | Transfer | ||||||||||||||
Fund | Fees | Service Fees | Agent Fees | Total | ||||||||||||
Global Income | $ | 652 | $ | 81 | $ | 73 | $ | 806 | ||||||||
High Yield | 1,760 | 502 | 284 | 2,546 | ||||||||||||
Emerging Markets Debt | 137 | 16 | 15 | 168 | ||||||||||||
56
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
4. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2007, were as follows:
Purchases | Sales and | Sales and Maturities | ||||||||||||||
Purchases of | (Excluding | Maturities of | (Excluding | |||||||||||||
U.S. Government | U.S. Government | U.S. Government | U.S. Government | |||||||||||||
and Agency | and Agency | and Agency | and Agency | |||||||||||||
Fund | Obligations | Obligations) | Obligations | Obligations) | ||||||||||||
Global Income | $ | 177,258,451 | $ | 384,274,831 | $ | 125,577,647 | $ | 64,243,204 | ||||||||
High Yield | — | 904,592,049 | — | 616,717,988 | ||||||||||||
Emerging Markets Debt | 1,210,219 | 115,878,597 | — | 79,187,958 | ||||||||||||
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 or affiliates. Such amount was increased to $450,000,000 effective May 23, 2007. 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 six months ended April 30, 2007, the Funds did not have any borrowings under this facility.
57
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
April 30, 2007 (Unaudited)
6. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, October 31, 2006, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
Emerging Markets | |||||||||||||
Global Income | High Yield | Debt | |||||||||||
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 | ) | ||||
* | Expiration occurs on October 31 of the year indicated. |
At April 30, 2007, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
Emerging Markets | ||||||||||||
Global Income | High Yield | Debt | ||||||||||
Tax Cost | $ | 1,230,500,835 | $ | 2,998,762,865 | $ | 201,006,506 | ||||||
Gross unrealized gain | 29,397,854 | 184,687,465 | 10,068,724 | |||||||||
Gross unrealized loss | (9,644,721 | ) | (32,678,269 | ) | (1,128,193 | ) | ||||||
Net unrealized security gain | $ | 19,753,133 | $ | 152,009,196 | $ | 8,940,531 | ||||||
The difference 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.
7. OTHER MATTERS |
The following Goldman Sachs Asset Allocation Portfolios were beneficial owners of the Funds as of April 30, 2007 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 | 8 | % | 28 | % | 61 | % | ||||||
Emerging Markets Debt | — | 36 | 41 | |||||||||
High Yield | — | — | 5 | |||||||||
New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine
58
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
7. OTHER MATTERS (continued) |
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. Recent SEC guidance allows implementing FIN 48 in Fund net asset value calculations as late as the Fund’s last net asset value calculation in the first required financial statement reporting period. As a result, the Funds will incorporate FIN 48 in their April 30, 2008 semiannual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
On September 15, 2006, the 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 adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financial statements, however, additional disclosures will be required.
8. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
On December 14, 2006, the Board of Trustees of the Trust, upon the recommendation of the Board’s audit committee, determined not to retain Ernst & Young LLP and approved a change of the Portfolios’ independent registered public accounting firm to Pricewaterhouse Coopers LLP. For the years ended October 31, 2006 and October 31, 2005, Ernst & Young LLP’s audit reports contained no adverse opinion or disclaimer of opinion; nor were their reports qualified or modified as to uncertainty, audit scope, or accounting principles. Further, there were no disagreements between the Portfolios and Ernst & Young LLP on accounting principles or practices, financial statement disclosure or audit scope or procedures, which if not resolved to the satisfaction of Ernst & Young LLP would have caused them to make reference to the disagreement in their reports.
9. SUBSEQUENT EVENT |
Mergers and Reorganizations — At a meeting held on November 9, 2006, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (the “Agreement”) providing for the tax-free acquisition of the AXA Enterprise High Yield Bond Fund (“AXA High Yield Bond”) by High Yield. Following the approval of the Board of Trustees and shareholders of AXA High Yield Bond, the acquisition was completed on June 25, 2007, as of the close of business June 22, 2007.
59
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
April 30, 2007 (Unaudited)
10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Global Income Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
April 30, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | October 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 8,794,873 | $ | 112,101,599 | 11,905,993 | $ | 151,347,777 | ||||||||||
Shares converted from Class B(a) | 22,131 | 282,346 | 48,774 | 632,232 | ||||||||||||
Reinvestment of dividends and distributions | 311,253 | 3,964,766 | 773,632 | 9,933,914 | ||||||||||||
Shares repurchased | (3,676,030 | ) | (46,843,964 | ) | (5,984,030 | ) | (76,641,869 | ) | ||||||||
5,452,227 | 69,504,747 | 6,744,369 | 85,272,054 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 26,505 | 336,799 | 60,972 | 777,498 | ||||||||||||
Reinvestment of dividends and distributions | 10,009 | 127,072 | 70,664 | 906,495 | ||||||||||||
Shares converted to Class A(a) | (22,229 | ) | (282,346 | ) | (48,983 | ) | (632,232 | ) | ||||||||
Shares repurchased | (293,085 | ) | (3,725,639 | ) | (567,097 | ) | (7,247,692 | ) | ||||||||
(278,800 | ) | (3,544,114 | ) | (484,444 | ) | (6,195,931 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 106,335 | 1,350,368 | 178,494 | 2,271,072 | ||||||||||||
Reinvestment of dividends and distributions | 3,877 | 49,110 | 20,674 | 264,555 | ||||||||||||
Shares repurchased | (218,181 | ) | (2,766,973 | ) | (289,164 | ) | (3,733,311 | ) | ||||||||
(107,969 | ) | (1,367,495 | ) | (89,996 | ) | (1,197,684 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 30,882,968 | 393,387,431 | 36,969,936 | 469,268,400 | ||||||||||||
Reinvestment of dividends and distributions | 987,285 | 12,555,063 | 1,239,946 | 15,852,486 | ||||||||||||
Shares repurchased | (4,627,962 | ) | (58,818,515 | ) | (8,003,654 | ) | (103,261,990 | ) | ||||||||
27,242,291 | 347,123,979 | 30,206,228 | 381,858,896 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 3,338 | 42,497 | 3,630 | 46,803 | ||||||||||||
Reinvestment of dividends and distributions | 131 | 1,663 | 722 | 9,271 | ||||||||||||
Shares repurchased | (6,710 | ) | (85,262 | ) | (5,170 | ) | (65,607 | ) | ||||||||
(3,241 | ) | (41,102 | ) | (818 | ) | (9,533 | ) | |||||||||
NET INCREASE | 32,304,508 | $ | 411,676,015 | 36,375,339 | $ | 459,727,802 | ||||||||||
(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. |
60
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
High Yield Fund | Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||
April 30, 2007 | For the Year Ended | April 30, 2007 | For the Year Ended | |||||||||||||||||||||||||||||
(Unaudited) | October 31, 2006 | (Unaudited) | October 31, 2006 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
45,309,358 | $ | 370,194,611 | 84,785,341 | $ | 672,552,166 | 2,005,479 | $ | 24,149,281 | 6,562,901 | $ | 77,214,520 | |||||||||||||||||||||
127,750 | 1,043,996 | 358,760 | 2,837,177 | — | — | — | — | |||||||||||||||||||||||||
6,228,669 | 50,866,995 | 8,605,618 | 68,277,260 | 212,199 | 2,548,592 | 348,525 | 4,045,052 | |||||||||||||||||||||||||
(28,361,804 | ) | (232,040,357 | ) | (49,060,035 | ) | (388,283,776 | ) | (1,488,104 | ) | (17,899,724 | ) | (4,049,208 | ) | (46,991,805 | ) | |||||||||||||||||
23,303,973 | 190,065,245 | 44,689,684 | 355,382,827 | 729,574 | 8,798,149 | 2,862,218 | 34,267,767 | |||||||||||||||||||||||||
1,009,995 | 8,264,081 | 2,017,511 | 16,010,287 | — | — | — | — | |||||||||||||||||||||||||
307,628 | 2,514,998 | 590,917 | 4,691,601 | — | — | — | — | |||||||||||||||||||||||||
(127,522 | ) | (1,043,996 | ) | (358,307 | ) | (2,837,177 | ) | — | — | — | — | |||||||||||||||||||||
(1,303,193 | ) | (10,655,853 | ) | (3,609,924 | ) | (28,608,623 | ) | — | — | — | — | |||||||||||||||||||||
(113,092 | ) | (920,770 | ) | (1,359,803 | ) | (10,743,912 | ) | — | — | — | — | |||||||||||||||||||||
3,257,609 | 26,625,848 | 4,194,002 | 33,221,422 | 16,731 | 201,143 | 124 | 1,462 | |||||||||||||||||||||||||
282,742 | 2,310,094 | 436,524 | 3,462,905 | 68 | 814 | — | (b) | 5 | ||||||||||||||||||||||||
(1,425,995 | ) | (11,672,131 | ) | (2,661,355 | ) | (21,059,692 | ) | (1 | ) | (12 | ) | — | — | |||||||||||||||||||
2,114,356 | 17,263,811 | 1,969,171 | 15,624,635 | 16,798 | 201,945 | 124 | 1,467 | |||||||||||||||||||||||||
50,762,284 | 415,446,602 | 85,609,899 | 679,637,335 | 4,061,510 | 48,925,647 | 4,525,781 | 52,753,199 | |||||||||||||||||||||||||
5,039,658 | 41,193,883 | 6,890,895 | 54,750,060 | 346,243 | 4,166,556 | 424,776 | 4,938,988 | |||||||||||||||||||||||||
(49,210,202 | ) | (401,894,916 | ) | (36,928,796 | ) | (293,121,131 | ) | (374,142 | ) | (4,491,562 | ) | (1,340,699 | ) | (15,166,538 | ) | |||||||||||||||||
6,591,740 | 54,745,569 | 55,571,998 | 441,266,264 | 4,033,611 | 48,600,641 | 3,609,858 | 42,525,649 | |||||||||||||||||||||||||
204,012 | 1,659,466 | 197,698 | 1,563,225 | — | — | — | — | |||||||||||||||||||||||||
13,492 | 110,137 | 11,607 | 92,068 | — | — | — | — | |||||||||||||||||||||||||
(62,505 | ) | (511,431 | ) | (42,888 | ) | (339,217 | ) | — | — | — | — | |||||||||||||||||||||
154,999 | 1,258,172 | 166,417 | 1,316,076 | — | — | — | — | |||||||||||||||||||||||||
32,051,976 | $ | 262,412,027 | 101,037,467 | $ | 802,845,890 | 4,779,983 | $ | 57,600,735 | 6,472,200 | $ | 76,794,883 | |||||||||||||||||||||
61
GOLDMAN SACHS GLOBAL INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from | Total distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | From | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | capital | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 12.74 | $ | 0.16 | $ | 0.02 | $ | 0.18 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | ||||||||||||||||
2007 - B | 12.70 | 0.11 | 0.01 | 0.12 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2007 - C | 12.67 | 0.11 | 0.02 | 0.13 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2007 - Institutional | 12.73 | 0.19 | — | 0.19 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||||||
2007 - Service | 12.71 | 0.15 | 0.02 | 0.17 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||||||
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 | (0.35 | ) | 0.15 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||||||
2002 - B | 14.68 | 0.41 | (0.33 | ) | 0.08 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||||||
2002 - C | 14.65 | 0.41 | (0.33 | ) | 0.08 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||||||
2002 - Institutional | 14.70 | 0.58 | (0.33 | ) | 0.25 | (0.62 | ) | — | (0.62 | ) | ||||||||||||||||||||||
2002 - Service | 14.69 | 0.50 | (0.33 | ) | 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 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 returns for periods less than one full year are not annualized. 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) | Annualized. |
The accompanying notes are an integral part of these financial statements.
62
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 | 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 | |||||||||||||||||||||||||||
$ | 12.74 | 1.41 | % | $ | 322,315 | 1.05 | %(c) | 2.58 | %(c) | 1.12 | %(c) | 2.51 | %(c) | 19 | % | |||||||||||||||||||
12.69 | 0.95 | 14,171 | 1.80 | (c) | 1.80 | (c) | 1.87 | (c) | 1.72 | (c) | 19 | |||||||||||||||||||||||
12.67 | 1.03 | 5,538 | 1.80 | (c) | 1.80 | (c) | 1.87 | (c) | 1.72 | (c) | 19 | |||||||||||||||||||||||
12.72 | 1.52 | 936,836 | 0.68 | (c) | 2.97 | (c) | 0.75 | (c) | 2.89 | (c) | 19 | |||||||||||||||||||||||
12.71 | 1.34 | 394 | 1.18 | (c) | 2.42 | (c) | 1.25 | (c) | 2.35 | (c) | 19 | |||||||||||||||||||||||
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 | 1.72 | 2.98 | 146 | |||||||||||||||||||||||||||
14.30 | 0.59 | 37,986 | 1.84 | 2.88 | 2.22 | 2.50 | 146 | |||||||||||||||||||||||||||
14.27 | 0.59 | 11,533 | 1.84 | 2.88 | 2.22 | 2.50 | 146 | |||||||||||||||||||||||||||
14.33 | 1.82 | 143,127 | 0.69 | 4.00 | 1.07 | 3.62 | 146 | |||||||||||||||||||||||||||
14.31 | 1.24 | 1,184 | 1.19 | 3.49 | 1.57 | 3.11 | 146 | |||||||||||||||||||||||||||
63
GOLDMAN SACHS HIGH YIELD FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
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 period | income(a) | gain (loss) | operations | income | |||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||
2007 - A | $ | 8.04 | $ | 0.30 | $ | 0.24 | $ | 0.54 | $ | (0.32 | ) | |||||||||||||
2007 - B | 8.05 | 0.27 | 0.24 | 0.51 | (0.29 | ) | ||||||||||||||||||
2007 - C | 8.04 | 0.27 | 0.24 | 0.51 | (0.29 | ) | ||||||||||||||||||
2007 - Institutional | 8.05 | 0.32 | 0.24 | 0.56 | (0.34 | ) | ||||||||||||||||||
2007 - Service | 8.03 | 0.30 | 0.24 | 0.54 | (0.32 | ) | ||||||||||||||||||
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 | (0.86 | ) | (0.18 | ) | (0.68 | ) | ||||||||||||||||
2002 - B | 7.24 | 0.63 | (0.85 | ) | (0.22 | ) | (0.63 | ) | ||||||||||||||||
2002 - C | 7.24 | 0.62 | (0.85 | ) | (0.23 | ) | (0.63 | ) | ||||||||||||||||
2002 - Institutional | 7.25 | 0.70 | (0.85 | ) | (0.15 | ) | (0.71 | ) | ||||||||||||||||
2002 - Service | 7.24 | 0.67 | (0.84 | ) | (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 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.
64
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 | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 8.26 | 6.88 | % | $ | 1,626,790 | 1.10 | %(c) | 7.49 | %(c) | 1.12 | %(c) | 7.47 | %(c) | 23 | % | |||||||||||||||||||
8.27 | 6.48 | 98,520 | 1.85 | (c) | 6.74 | (c) | 1.87 | (c) | 6.72 | (c) | 23 | |||||||||||||||||||||||
8.26 | 6.48 | 110,535 | 1.85 | (c) | 6.73 | (c) | 1.87 | (c) | 6.72 | (c) | 23 | |||||||||||||||||||||||
8.27 | 7.07 | 1,387,317 | 0.73 | (c) | 7.87 | (c) | 0.75 | (c) | 7.85 | (c) | 23 | |||||||||||||||||||||||
8.25 | 6.82 | 4,342 | 1.23 | (c) | 7.38 | (c) | 1.25 | (c) | 7.37 | (c) | 23 | |||||||||||||||||||||||
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 | 1.19 | 9.51 | 36 | ||||||||||||||||||||||||||
6.39 | (3.56 | ) | 54,065 | 1.91 | 8.83 | 1.94 | 8.80 | 36 | ||||||||||||||||||||||||||
6.38 | (3.57 | ) | 20,107 | 1.91 | 8.81 | 1.94 | 8.78 | 36 | ||||||||||||||||||||||||||
6.39 | (2.59 | ) | 726,140 | 0.76 | 9.95 | 0.79 | 9.92 | 36 | ||||||||||||||||||||||||||
6.39 | (2.93 | ) | 494 | 1.26 | 9.50 | 1.29 | 9.47 | 36 | ||||||||||||||||||||||||||
65
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income from | Distributions to | |||||||||||||||||||||||||||||||
investment operations | 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 SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 11.98 | $ | 0.31 | $ | 0.47 | $ | 0.78 | $ | (0.29 | ) | $ | (0.21 | ) | $ | (0.50 | ) | |||||||||||||||
2007 - C | 11.97 | 0.25 | 0.48 | 0.73 | (0.25 | ) | (0.21 | ) | (0.46 | ) | ||||||||||||||||||||||
2007 - Institutional | 11.99 | 0.34 | 0.46 | 0.80 | (0.31 | ) | (0.21 | ) | (0.52 | ) | ||||||||||||||||||||||
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.
66
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 | |||||||||||||||||||||||||||
$ | 12.26 | 6.78 | % | $ | 79,877 | 1.24 | %(c) | 5.24 | %(c) | 1.43 | %(c) | 5.06 | %(c) | 48 | % | |||||||||||||||||||
12.24 | 6.22 | 207 | 1.99 | (c) | 4.32 | (c) | 2.18 | (c) | 4.10 | (c) | 48 | |||||||||||||||||||||||
12.27 | 6.97 | 136,546 | 0.87 | (c) | 5.65 | (c) | 1.06 | (c) | 5.46 | (c) | 48 | |||||||||||||||||||||||
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 | |||||||||||||||||||||||
67
GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Fund Expenses (Unaudited) — Six Month Period Ended April 30, 2007
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 November 1, 2006 through April 30, 2007.
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 | 11/1/06 | 4/30/07 | 4/30/07* | 11/1/06 | 4/30/07 | 4/30/07* | 11/1/06 | 4/30/07 | 4/30/07* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,014.10 | $ | 5.22 | $ | 1,000 | $ | 1,068.80 | $ | 5.66 | $ | 1,000 | $ | 1,067.80 | $ | 6.33 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.61 | + | 5.24 | 1,000 | 1,019.32 | + | 5.53 | 1,000 | 1,018.67 | + | 6.18 | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,009.50 | 8.94 | 1,000 | 1,064.80 | 9.49 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.90 | + | 8.97 | 1,000 | 1,015.60 | + | 9.26 | N/A | N/A | N/A | |||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,010.30 | 8.94 | 1,000 | 1,064.80 | 9.49 | 1,000 | 1,062.20 | 10.06 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.90 | + | 8.97 | 1,000 | 1,015.61 | + | 9.26 | 1,000 | 1,015.03 | + | 9.83 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,015.20 | 3.39 | 1,000 | 1,070.70 | 3.77 | 1,000 | 1,069.70 | 4.46 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.43 | + | 3.40 | 1,000 | 1,021.16 | + | 3.68 | 1,000 | 1,020.49 | + | 4.35 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,013.40 | 5.86 | 1,000 | 1,068.20 | 6.33 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.97 | + | 5.88 | 1,000 | 1,018.67 | + | 6.18 | N/A | N/A | N/A | |||||||||||||||||||||||||
* | Expenses for each share class are calculated using each Fund’s net annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2007. Expenses are calculated by multiplying the annualized net 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 | % | 0.68 | % | 1.18 | % | ||||||||||
High Yield | 1.10 | 1.85 | 1.85 | 0.73 | 1.23 | |||||||||||||||
Emerging Markets Debt | 1.24 | N/A | 1.99 | 0.87 | N/A | |||||||||||||||
+ | Hypothetical expenses are based on each Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses. |
68
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 $699.0 billion in assets under management as of March 31, 2007 — 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 AMT-Free Municipal Fund2 ▪ New York AMT-Free Municipal Fund2 ▪ 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 Value Fund ▪ Large Cap Value Fund ▪ Structured U.S. Equity Fund ▪ Structured U.S. Equity Flex Fund ▪ Structured Large Cap Growth Fund ▪ 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 Fund ▪ Small Cap Value Fund | International Equity Funds ▪ Structured International Equity Fund ▪ Structured International Equity Flex Fund ▪ Concentrated International Equity Fund2 ▪ Japanese Equity Fund ▪ International Small Cap Fund ▪ Asia Equity Fund ▪ 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 Fund ▪ Real Estate Securities Fund ▪ International Real Estate Securities Fund ▪ Tollkeeper FundSM ▪ Commodity Strategy Fund |
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 26, 2006, the International Equity Fund was renamed the Concentrated International Equity Fund. Effective June 1, 2007, the California Intermediate AMT-Free Municipal Fund was renamed the California AMT-Free Municipal Fund and the New York Intermediate AMT-Free Municipal Fund was renamed the New York AMT-Free Municipal 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 Richard P. Strubel | OFFICERS Kaysie P. Uniacke, President James A. McNamara, Senior Vice President John M. Perlowski, Senior Vice President and 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. The Funds’ Forms 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 also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (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 2007 Goldman, Sachs & Co. All rights reserved. 07-1208 | SFFISAR / 109.1K / 06-07 |
ITEM 2. | CODE OF ETHICS. |
(a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). | |||
(b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. | |||
(c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. | |||
(d) | A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
N/A |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
Schedule of Investments is included as part of the Report to Stockholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. | |
ITEM 11. | CONTROLS AND PROCEDURES. | |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. | ||
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123-04-0002984). | ||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Goldman Sachs Trust | ||||||
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | June 29, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | June 29, 2007 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | June 29, 2007 |