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 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Peter V. Bonanno, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jack W. Murphy, Esq. | |
One New York Plaza | Dechert LLP | |
New York, New York 10004 | 1775 I Street, NW | |
Washington, D.C. 20006 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: September 30, 2009
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Funds
Semi-Annual Report | September 30, 2009 | ||
Multi Sector Fixed Income Funds | |||
Core Fixed Income | |||
Core Plus Fixed Income | |||
Global Income | |||
Goldman Sachs Multi Sector Fixed Income Funds
n | CORE FIXED INCOME | |
n | CORE PLUS FIXED INCOME | |
n | GLOBAL INCOME |
TABLE OF CONTENTS
Principal Investment Strategies and Risks | 1 | |
Investment Process | 2 | |
Market Review | 3 | |
Portfolio Management Discussions and Performance Summaries | 8 | |
Schedules of Investments | 20 | |
Financial Statements | 60 | |
Notes to Financial Statements | 64 | |
Financial Highlights | 84 | |
Other Information | 90 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Principal Investment Strategies and Risks
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
What Differentiates the Goldman Sachs Asset
Management Fixed Income Investment Process?
Management Fixed Income Investment Process?
At Goldman Sachs Asset Management, L.P. (“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 sectors (such as mortgage-backed and corporate debt securities) and sub-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 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 |
MARKET OVERVIEW
Goldman Sachs Multi Sector Fixed Income Funds
Market Review
U.S. Fixed Income Market
The combination of improving financial conditions and stability in economic data led to a dramatic increase in demand for riskier fixed income assets during the six months ended September 30, 2009 (the “Reporting Period”). Fears of financial systemic risk were significantly reduced as a result of unprecedented policy mechanisms put in place earlier in the calendar year. After edging higher throughout the spring as the pace of economic decline began to level off, the Purchasing Managers’ Index, which is an indicator of the economic health of the manufacturing sector, as reported by the Institute of Supply Management, rose above 50 for the first time in 18 months in August 2009. Because a reading above 50 indicates growth in the manufacturing sector, this was one of the strongest and most hopeful pieces of evidence that the economy had begun to pull out of recession. Business inventories declined. Retail sales were also better than expected. Although some of the uptick was attributed to higher gasoline prices, the government’s “Cash for Clunkers” program also provided a boost to retail sales. Indeed, even excluding auto sales, retail sales rose 1.1% in August 2009, significantly more than the forecasted 0.4% increase, indicating that the renewed strength in private demand was broader than expected. While the marked upturn in discretionary spending indicated the possibility of sustained economic recovery, consumers continued to be burdened by high debt levels and a weak labor market. The pace of decline in nonfarm payrolls slowed, but at the end of September, the unemployment rate stood at 9.8%, the highest rate since June 1983. Although commodity and energy prices rose during the Reporting Period, inflation remained subdued. In a statement following its June meeting, the Federal Open Market Committee (the “Fed”) stated that “substantial resource slack is likely to dampen cost pressures, and the Committee expects that inflation will remain subdued for some time.” This sentiment was repeated by the Fed following its September meeting.
During the first months of the Reporting Period, what is known as the TED spread, which is the difference in yield between 3-month LIBOR* and 3-month U.S. Treasuries and a common measure of financial stress, stood at about 0.50%. This was the lowest reading of the TED spread since the middle of 2007, before the credit crisis hit in earnest. Interest rates rose during most of the second calendar quarter, but reversed course in the final weeks of June as heavy supply was well absorbed. Nevertheless, the 10-year Treasury ended the second calendar quarter 87 basis points (0.87%) higher at a yield of 3.53%. Notably, the U.S. Treasury yield curve, or spectrum of maturities, reached its steepest level ever, meaning the yields on securities with longer-term maturities were significantly higher than the yields on securities with shorter-term maturities. The differential between 2- and 10-year Treasury notes reached 275 basis points (2.75%) in May before ending June at 242 basis points (2.42%). Investors showed a strong appetite for risky assets and all spread, or non-Treasury, sectors handily outperformed U.S. Treasuries.
* | LIBOR, or London interbank offered rates, are floating interest rates that are widely used as reference rates in bank, corporate and government lending agreements. |
MARKET OVERVIEW
In the third calendar quarter, interest rates were relatively stable and even declined slightly, aided by continued signs of easy monetary policy. In a statement following its September meeting, the Fed stated that it “continues to anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period.” The 10-year Treasury ended the Reporting Period 23 basis points (0.23%) lower at a yield of 3.31%. The 10-year Treasury remained surprisingly strong mainly due to support from international and domestic fund flows. The Treasury yield curve flattened slightly, meaning the difference in yields between shorter-term and longer-term Treasury securities narrowed. Still, the Treasury yield curve remained steep as the differential between the 2- and 10-year Treasury notes was 236 basis points (2.36%) at the end of September. Investors continued to show a strong appetite for risky assets and all non-Treasury sectors added to their year-to-date outperformance versus Treasuries.
International Fixed Income Markets
As the Reporting Period began, global central banks had acted aggressively to improve liquidity in financial markets, thereby mitigating systemic risk, encouraging an increase in investor risk appetite, and stemming the flight to safety. Economic data from around the world soon began to show signs of improvement. As a result, risk appetite and growth expectations returned to the international fixed income markets, spurring investors to move their money to higher yielding assets. Global government bonds underperformed non-government bonds, as investors started to price in the huge increase in government bond supply needed to fund record fiscal deficits. Inflationary concerns on the back of the global fiscal stimulus increased, which led to the market pricing interest rate hikes into the yield curve. The European Central Bank was perceived to be lagging in its response to the economic crisis and therefore cut interest rates during these months, while all other major central banks kept rates unchanged at very low levels.
In contrast to government bonds, all spread, or non-government, fixed income sectors generated positive returns during the second calendar quarter. Investment grade corporate bonds, high yield corporate bonds and emerging market debt each posted double-digit returns. Investor sentiment was buoyed by the outcome of the London G20 summit, where it was decided to pledge $1.1 trillion to aid global recovery and implement measures to tighten international banking regulation and oppose protectionism. Such optimism regarding programs designed to promote economic recovery more than offset concerns regarding higher unemployment and disappointing retail sales. In response to the increased risk appetite, the U.K. sterling rallied relative to the U.S. dollar, despite worries about the Standard & Poor’s ratings downgrade of the U.K. from stable to negative. Commodity-sensitive currencies also rallied as did the “dollar bloc” currencies of Canada, Australia and New Zealand.
As in the U.S., economic data released during the third calendar quarter illustrated that the rest of the world was also pulling out of recession in a production-driven recovery. In Europe, for example, the European Central Bank’s second unlimited tender — allowing market participants to borrow at a fixed 1% rate for one year in exchange for a variety of
MARKET OVERVIEW
collateral — was met with muted response. This was in contrast to its first offer just a couple of months earlier, which was the biggest incentive of its kind ever and which attracted over 400 billion euros in subscriptions. Markets interpreted the muted response to the second offer as a positive sign that banks were more confident about their access to financing. In spite of the better economic tone, government bond prices rallied, due partly to the support from central bank buy-back programs and the money markets flows into government bonds. In the U.K., the Bank of England surprised the market by extending its quantitative easing program. Risk appetite fluctuated over the quarter, as confidence surveys contradicted the weakness in the labor market and consumer demand, thereby providing further support to the government bond markets. Still, a rally across a broad spectrum of non-government fixed income sectors continued during the third quarter of 2009, supported by central banks downplaying signs of recovery and remaining committed to easing monetary policy. Corporate bonds, both high yield and investment grade, particularly benefited from the stabilizing macroeconomic environment. As the rally in non-government bond sectors continued, the U.S. dollar continued its weakening trend against most major and emerging currencies.
Looking Ahead
U.S. Fixed Income Market
In our view, the U.S. economy will likely continue to rebound in the months ahead, but the sustainability of the recovery remains an open question. Most of the economic growth during the second half of 2009 is being driven by what may be temporary factors, including government spending, corporate cost-cutting and inventory rebuilding. We expect that these sources of growth will begin to fade in 2010, and consumer spending and/or business investment will need to sustain the recovery. We believe prospects for consumption are still the key, because we see little potential for business investment to be a strong source of growth unless end-demand improves. While retail sales saw an uptick, with help from a temporary boost to auto sales with the “Cash for Clunkers” program and from higher gas prices, we think sustainable growth in consumer spending will depend largely on whether improvements in the job market and housing prices can continue. The pace of job cuts has slowed significantly, but U.S. employment remains very weak and the unemployment rate may well continue to rise. We believe the job market will continue to stabilize in the coming months, with unemployment peaking at slightly more than 10%. Still, the ongoing decline in hourly earnings suggests the job market will remain a challenge for consumers for some time to come.
As with employment, housing prices have stabilized in recent months but probably have further downside risk. In our view, home price gains during the Reporting Period were exaggerated by a summer seasonal boost combined with a foreclosure moratorium earlier in the year that temporarily reduced the supply of foreclosed homes being sold at distressed prices. We expect home prices to turn down again over the winter of 2009-2010 given the typical drop in demand during winter months. Plus, the pent-up foreclosure supply is likely to hit the market during these same months. That said, housing
MARKET OVERVIEW
affordability has improved dramatically, particularly in markets like California that led the downturn. We believe that seasonal effects may well turn positive again after the winter, and we expect the California market to establish a true bottom in the spring of 2010, with other markets to follow. Considering the overall stabilization anticipated in housing prices and employment, as well as the continuing challenges in both sectors, we think consumption is likely to improve but remain rather subdued going forward over the near term.
With respect to a somewhat longer-term perspective, we believe the U.S. economy may expand at a year-over-year rate of about 2.4% over the next 12 months, slightly below the consensus forecast of 2.6%. We anticipate inflation of about 1.4% over the same period, which is also below the consensus forecast of about 1.8%.
In the near-term, we believe the risks to our view are probably tilted to the upside. The recovery appears to have gained momentum, and rebounds after a severe recession tend to exceed expectations. Over the longer term, we continue to see the possibility of higher inflation given the unprecedented amount of monetary and fiscal stimulus, but we see little potential for hyperinflation.
Given this view, in the months ahead, we think there is still value in the non-Treasury sectors of the market, although perhaps not as much so as at the beginning of the Reporting Period. We additionally expect slow growth and low inflation to be supportive of still-lower Treasury yields.
International Fixed Income Markets
In our view, the global economy at the end of September was in the sweet spot of the cycle — the growth effect of fiscal and monetary stimulus was at or near its peak and the rebuilding phase of the inventory cycle was in full swing. A combination of benign inflation and Asian savings flowing into global debt markets was keeping interest rates low even as what are relatively risky assets rallied. Going forward we believe the result will be a recovery that is increasingly strong for the remainder of 2009 and the first half of 2010. China and the emerging markets may lead the broad recovery in global economic growth. In Europe, Japan and the U.K., we believe the third and fourth quarters of 2009 may prove to be the strongest quarters of the recovery, as may be the case as well in the U.S. Beginning in mid-2010, we believe the reduced effect of fiscal and monetary stimulus, higher real interest rates, declining business confidence and protracted high savings rates may restrain growth to a trend well below what was customary in the 1990s.
While economic growth is recovering, our primary concern longer term is whether the economic recovery can be sustained given the global imbalances in consumption and savings that have yet to be addressed and in some cases are rebuilding themselves. The primary example is U.S. debt relative to Asian savings. China and the rest of Asia are leading the recovery, their foreign exchange reserves are continuing to build, and those reserves are again being recycled into global debt markets. Meanwhile, U.S. debt continues to grow, with Asia providing much of the financing. This U.S./Asia imbalance played a
MARKET OVERVIEW
major role in creating the subprime mortgage crisis and is growing again after a brief pause.
In short, we think the global recovery can continue, but we have lingering significant doubts about its long-term sustainability. In our most benign scenario, global imbalances begin to decline through higher savings in the developed world and higher consumption in the emerging world. We think this scenario means continued growth in the emerging world, and higher taxes, lower spending and modest growth for an extended period in the developed world.
We anticipate year-over-year growth for the Eurozone economy of about 1.6% over the next 12 months, slightly above the consensus forecast of 1.2%. We believe inflation may be about 1.0% over the same period, which is below the consensus forecast of about 1.2%. We believe the U.K. economy may expand at a year-over-year rate of about 1.5% over the next 12 months, slightly below the consensus forecast of 1.8%. We anticipate inflation of about 1.7% over the same period, which is also below the consensus forecast of about 1.8%. In Japan, we believe year-over-year economic growth may reach 1.3% over the next 12 months, slightly above the consensus forecast of 1.2%. We expect, as does the consensus, that Japan will actually see deflation. We expect that deflation in Japan to be at a rate of –0.3% over the same period, somewhat less than the consensus forecast of –0.8%.
In our view, the most important investment implication of this outlook both for the U.S. and internationally is that fixed income markets have moved into an environment where security selection will be increasingly critical. For most of the crisis period, security selection was secondary to sector exposure, as changes in liquidity and uncertainty premiums caused whole sectors to decline and then rally. With further improvement in economic data, we think the current rally in risk sectors can continue. However, we also see signs that the decline in yield on high quality securities is prompting investors to begin reaching for yield in lower quality securities. Where credit fundamentals are sound, we think further gains and a portfolio overweight are justified. On the other hand, we see growing evidence that certain lower quality securities have overshot their fundamental values.
From a top-down perspective, we believe that massive Treasury security supply and the near-term prospect of strong economic growth will be negative for the long-term end of government yield curves, particularly in the U.S., and the dollar will continue its decline.
The economic and market forecasts presented herein have been generated by GSAM for informational purposes as of the date of this report. They are based on proprietary models and there can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this report.
PORTFOLIO RESULTS
Goldman Sachs Core Fixed Income Fund
INVESTMENT OBJECTIVE
The Goldman Sachs Core Fixed Income Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Barclays Capital U.S. Aggregate Bond Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Fund’s performance and positioning for the six months ended September 30, 2009.
Q | How did the Goldman Sachs Core Fixed Income Fund (the “Fund”) perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service, IR and R Shares generated cumulative total returns, without sales charges, of 14.70%, 14.21%, 14.21%, 14.84%, 14.55%, 14.82% and 14.56%, respectively. These returns compare to the 5.59% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Barclays Index” formerly the Lehman Brothers U.S. Aggregate Bond Index), during the same period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | Both top-down and bottom-up strategies contributed to the Fund’s outperformance during the Reporting Period. Within our top-down strategies, our duration and cross-sector strategies contributed the most. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issuer selection within all of the fixed income sectors in which the Fund invests also contributed positively to the Fund’s performance during the Reporting Period. Individual issuer selection in the government/agency and corporate bond sectors was particularly effective. |
Q | Which fixed income market sectors most significantly affected Fund performance? |
A | The Fund’s cross-sector positioning relative to its benchmark contributed most to its results during the Reporting Period. The Fund benefited most from exposure to various spread, or non-Treasury, sectors. Spreads, or the difference in yields between non-Treasury sectors and duration-equivalent Treasury securities, contracted, as excess liquidity from government policy and programs made its way into the market. |
More specifically, exposure to credit-sensitive mortgage-backed securities was particularly beneficial. Non-agency residential mortgage-backed securities (RMBS), including adjustable-rate mortgages (ARMs), performed especially well. RMBS benefited from improved supply and demand technicals and were further boosted by the release of details that indicated support of the sector within the highly anticipated Public-Private Investment Program (PPIP) and in part due to a variety of housing market indicators suggesting overall activity seemed to be stabilizing. For example, new home sales increased in August 2009 for the fourth consecutive month. Also, 18 of the 20 cities comprising the S&P/Case-Shiller Home Price Index posted modest price gains, and sales of existing homes rose for the fourth straight month.
The Fund also benefited from a modestly overweighted allocation to investment grade corporate bonds, which delivered their best quarterly excess return over Treasuries on record during the second calendar quarter. Investment grade corporate bonds continued to rally during the third calendar quarter, as strong demand allowed record issuance to be well absorbed.
The Fund benefited during the Reporting Period from a tightening in the spread, or yield differential, between the credit default swap index (CDX) and corporate cash bonds. In other words, improvements in funding markets helped mitigate basis risk between the CDX and corporate cash bonds moderately, but the relationship between cash bonds and synthetics remained more volatile than in the past. Basis risk is the risk that offsetting investments in a
PORTFOLIO RESULTS
hedging strategy will not experience price changes in entirely opposite directions from each other. This imperfect correlation between the two investments creates the potential for excess gains or losses in a hedging strategy, thus adding risk to the position. Credit-default swap indexes are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Issuer selection within the investment grade and high yield corporate bond sectors also proved effective, primarily within the financials industry. For example, the Fund’s modestly overweighted exposure to subordinated debt contributed to performance, as the banking sector showed signs of improvement. Subordinated debt is debt that ranks below other securities with regard to claims on assets or earnings, but which typically offers a higher rate of return than senior debt due to the increased inherent risk. Selection of specific agency securities boosted the Fund’s results as well.
Individual issuer selection within the mortgage-backed securities (MBS) sector generated mixed results. MBS issuer selection contributed positively to the Fund’s results during the second calendar quarter when our focus on premium, or higher, coupon pass-through mortgage-backed securities was particularly beneficial. These securities outperformed duration-equivalent Treasuries, as spreads tightened. Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors. Second calendar quarter gains were partially offset by the detracting effect of individual issuer selection within the RMBS sector during the third calendar quarter.
The major detractors from the Fund’s performance during the Reporting Period were its underweighted position in commercial mortgage-backed securities (CMBS), as the sector performed well during the Reporting Period, as well as issue selection within the CMBS sector. Having an underweighted allocation to emerging market debt also detracted from performance, as the sector performed well during the Reporting Period.
Q | Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period? |
A | During the second quarter of 2009, the Fund’s short duration position in the longer-maturity end of the U.S. fixed income yield curve contributed positively to performance, as interest rates rose during these months on improving financial conditions and a stabilization of macroeconomic data. However, this same positioning detracted from performance as interest rates declined during the third calendar quarter, with U.S. government securities rallying as supply was generally well absorbed. |
Q | Were there any notable changes in the Fund’s Sector weightings during the Reporting Period? |
A | During the Reporting Period, we shifted from an underweighted to an overweighted position in agency securities. We also trimmed the Fund’s overweighted exposure to prime non-agency ARMs and reduced the Fund’s cash position. |
Q | How was the Fund positioned relative to its benchmark index at the end of September 2009? |
A | At the end of September 2009, the Fund had overweighted allocations relative to the Barclays Index in agency securities, asset-backed securities, CMBS, RMBS and investment grade corporate bonds. The Fund also had exposure to high yield corporate bonds, which is a sector not represented in the Barclays Index. The Fund had underweighted exposure relative to the benchmark index in U.S. government securities and emerging market debt. The Fund maintained its modestly shorter-than-benchmark index duration at the end of the Reporting Period. |
FUND BASICS
Core Fixed Income Fund
as of September 30, 2009
PERFORMANCE REVIEW
April 1, 2009– | Fund Total Return | Barclays Capital U.S. | 30–Day | |||||||||||
September 30, 2009 | (based on NAV1) | Aggregate Bond Index2 | Standardized Yield3 | |||||||||||
Class A | 14.70 | % | 5.59 | % | 3.08 | % | ||||||||
Class B | 14.21 | 5.59 | 2.46 | |||||||||||
Class C | 14.21 | 5.59 | 2.46 | |||||||||||
Institutional | 14.84 | 5.59 | 3.54 | |||||||||||
Service | 14.55 | 5.59 | 3.05 | |||||||||||
Class IR | 14.82 | 5.59 | 3.45 | |||||||||||
Class R | 14.56 | 5.59 | 2.95 | |||||||||||
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 Barclays Capital U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
For the period ended 9/30/09 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 6.08 | % | 2.15 | % | 4.72 | % | 4.96 | % | 5/1/97 | |||||||||||
Class B | 4.20 | 1.76 | 4.33 | 4.51 | 5/1/97 | |||||||||||||||
Class C | 8.38 | 2.15 | 4.33 | 4.30 | 8/15/97 | |||||||||||||||
Institutional | 10.50 | 3.29 | 5.50 | 5.74 | 1/5/94 | |||||||||||||||
Service | 10.06 | 2.80 | 4.99 | 5.21 | 3/13/96 | |||||||||||||||
Class IR | 10.52 | N/A | N/A | 1.24 | 11/30/07 | |||||||||||||||
Class R | 10.03 | N/A | N/A | 0.78 | 11/30/07 | |||||||||||||||
4 | The Standardized Average Annual 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 3.75% 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). Effective July 29, 2009, the maximum sales charge for Class A was changed retroactively from 4.50% to the current charge of 3.75% for Class A shares. As a result, the Standardized Average Total Returns reflect the updated sales charge for Class A since inception. Because Institutional, Service, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
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. |
FUND BASICS
EXPENSE RATIOS5
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 0.81 | % | 0.81 | % | ||||||
Class B | 1.56 | 1.56 | ||||||||
Class C | 1.56 | 1.56 | ||||||||
Institutional | 0.47 | 0.47 | ||||||||
Service | 0.97 | 0.97 | ||||||||
Class IR | 0.56 | 0.56 | ||||||||
Class R | 1.06 | 1.06 | ||||||||
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable 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. |
SECTOR ALLOCATIONS6
Percentage of Net Assets
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
7 | Federal Agencies are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the United States Government. |
8 | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or the Foreign Government Guarantee Program and are backed by the full faith and credit of the United States or the federal government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. |
9 | “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate similar to any other publicly traded company. |
PORTFOLIO RESULTS
Goldman Sachs Core Plus Fixed Income Fund
INVESTMENT OBJECTIVE
The Goldman Sachs Core Plus Fixed Income Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Barclays Capital U.S. Aggregate Bond Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Fund’s performance and positioning for the six months ended September 30, 2009.
Q | How did the Goldman Sachs Core Plus Fixed Income Fund (the “Fund”) perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service, IR and R Shares generated cumulative total returns, without sales charges, of 11.74%, 11.22%, 11.33%, 11.81%, 11.54%, 11.88% and 11.48%, respectively. These returns compare to the 5.59% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Barclays Index” formerly the Lehman Brothers U.S. Aggregate Bond Index), during the same time period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | Both top-down and bottom-up strategies contributed to the Fund’s outperformance during the Reporting Period. Within our top-down strategies, our duration and cross-sector strategies contributed the most. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issuer selection within the government/agency sector was particularly effective, offset in part by weaker individual issuer selection in the corporate bond and collateralized mortgage-backed securities sectors. |
Q | Which fixed income market sectors most significantly affected Fund performance? |
A | The Fund’s cross-sector positioning relative to its benchmark contributed most to its results during the Reporting Period. The Fund benefited most from exposure to various spread, or non-Treasury, sectors. Spreads, or the difference in yields between non-Treasury sectors and duration-equivalent Treasury securities, contracted, as excess liquidity from government policy and programs made its way into the market. |
More specifically, exposure to credit-sensitive mortgage-backed securities was particularly beneficial. Non-agency residential mortgage-backed securities (RMBS), including adjustable-rate mortgages (ARMs), performed especially well. RMBS benefited from improved supply and demand technicals and were further boosted by the release of details that indicated support of the sector within the highly anticipated Public-Private Investment Program (PPIP) and in part due to a variety of housing market indicators suggesting overall activity seemed to be stabilizing. For example, new home sales increased in August 2009 for the fourth consecutive month. Also, 18 of the 20 cities comprising the S&P/Case-Shiller Home Price Index posted modest price gains, and sales of existing homes rose for the fourth straight month.
The Fund also benefited from a modestly overweighted allocation to investment grade corporate bonds, which delivered their best quarterly excess return over Treasuries on record during the second calendar quarter. Investment grade corporate bonds continued to rally during the third calendar quarter, as strong demand allowed record issuance to be well absorbed.
The Fund benefited during the Reporting Period from a tightening in the spread, or yield differential, between the credit default swap index (CDX) and corporate cash bonds. In other words, improvements in funding markets helped mitigate basis risk between the CDX and corporate cash bonds moderately, but the relationship between cash bonds and synthetics remained more volatile than in the past. Basis risk is the risk that offsetting investments in a hedging strategy will not experience price changes in entirely opposite directions from each other. This imperfect
PORTFOLIO RESULTS
correlation between the two investments creates the potential for excess gains or losses in a hedging strategy, thus adding risk to the position. Credit-default swap indexes are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Issuer selection within the Fund’s modest exposure to below investment grade corporate bonds proved effective, as high yield corporate bonds rallied strongly during the Reporting Period. Issuer selection within the government and agency securities sectors further boosted the Fund’s results as did issue selection within the emerging market debt sector. Specifically, exposure to the external debt of Brazil, Argentina and Russia contributed positively to the Fund’s results during the Reporting Period. During the third calendar quarter, exposure to the external debt of Mexico also helped.
Individual issuer selection within the mortgage-backed securities (MBS) sector generated mixed results. MBS issuer selection contributed positively to the Fund’s results during the second calendar quarter when our focus on premium, or higher, coupon pass-through mortgage-backed securities was particularly beneficial. These securities outperformed duration-equivalent Treasuries, as spreads tightened. Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors. Second calendar quarter gains were partially offset by the detracting effect of individual issuer selection within the residential MBS sector during the third calendar quarter.
The major detractors from the Fund’s performance during the Reporting Period included its underweighted allocation to commercial mortgage-backed securities (CMBS), as the sector performed well during the Reporting Period. Individual issuer selection within the investment grade corporate bond, collateralized mortgage-backed security, and agency pass-through security sectors hurt as well.
Q | Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period? |
A | During the second quarter of 2009, the Fund’s short duration position in the longer-maturity end of the U.S. fixed income yield curve contributed positively to performance, as interest rates rose during these months on improving financial conditions and a stabilization of macroeconomic data. However, this same positioning detracted from performance as interest rates declined during the third calendar quarter, with U.S. government securities rallying as supply was generally well absorbed. |
Q | Were there any notable changes in the Fund’s Sector weightings during the Reporting Period? |
A | During the Reporting Period, we increased the Fund’s allocation to government bonds, but maintained an underweighted position. We reduced the Fund’s exposure to agency pass-through securities, shifting from an overweighted to an underweighted position. We further decreased the Fund’s already underweighted allocation to industrial-related investment grade corporate bonds. |
Q | How was the Fund positioned relative to its benchmark index at the end of September 2009? |
A | At the end of September 2009, the Fund had overweighted allocations relative to the Barclays Index in agency securities, RMBS and, to a lesser extent, CMBS. The Fund also had exposure to high yield corporate bonds, which is a sector not represented in the Barclays Index. The Fund had underweighted exposure relative to the benchmark index in U.S. government securities and investment grade corporate bonds. The Fund had a rather neutral position in asset-backed securities and emerging market debt compared to the Barclays Index as of September 30, 2009. The Fund maintained its modestly shorter-than-benchmark index duration at the end of the Reporting Period. |
FUND BASICS
Core Plus Fixed Income Fund
as of September 30, 2009
PERFORMANCE REVIEW
April 1, 2009– | Fund Total Return | Barclays Capital U.S. | 30–Day | |||||||||||
September 30, 2009 | (based on NAV1) | Aggregate Bond Index2 | Standardized Yield3 | |||||||||||
Class A | 11.74 | % | 5.59 | % | 3.56 | % | ||||||||
Class B | 11.22 | 5.59 | 2.95 | |||||||||||
Class C | 11.33 | 5.59 | 2.95 | |||||||||||
Institutional | 11.81 | 5.59 | 4.03 | |||||||||||
Service | 11.54 | 5.59 | 3.56 | |||||||||||
Class IR | 11.88 | 5.59 | 3.92 | |||||||||||
Class R | 11.48 | 5.59 | 3.42 | |||||||||||
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 Barclays Capital U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
For the period ended 9/30/09 | One Year | Since Inception | Inception Date | |||||||||
Class A | 8.92 | % | 3.26 | % | 11/30/06 | |||||||
Class B | 7.04 | 3.61 | 6/20/07 | |||||||||
Class C | 11.30 | 3.85 | 11/30/06 | |||||||||
Institutional | 13.55 | 5.00 | 11/30/06 | |||||||||
Service | 12.99 | 5.64 | 6/20/07 | |||||||||
Class IR | 13.46 | 4.40 | 11/30/07 | |||||||||
Class R | 12.77 | 3.83 | 11/30/07 | |||||||||
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 3.75% 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). Effective July 29, 2009, the maximum sales charge for Class A was changed retroactively from 4.50% to the current charge of 3.75% for Class A shares. As a result, the Standardized Average Total Returns reflect the updated sales charge for Class A since inception. Because Institutional, Service, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual 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. |
FUND BASICS
EXPENSE RATIOS5
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 0.83 | % | 1.39 | % | ||||||
Class B | 1.58 | 2.14 | ||||||||
Class C | 1.58 | 2.14 | ||||||||
Institutional | 0.49 | 1.05 | ||||||||
Service | 0.99 | 1.55 | ||||||||
Class IR | 0.58 | 1.14 | ||||||||
Class R | 1.08 | 1.64 | ||||||||
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable 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. |
SECTOR ALLOCATIONS6
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
7 | Federal Agencies are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the United States Government. |
8 | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or the Foreign Government Guarantee Program and are backed by the full faith and credit of the United States or the federal government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. |
9 | “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate similar to any other publicly traded company. |
PORTFOLIO RESULTS
Goldman Sachs Global Income Fund
INVESTMENT OBJECTIVE
The Goldman Sachs Global Income Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Fund’s performance and positioning for the six months ended September 30, 2009.
Q | How did the Goldman Sachs Global Income Fund (the “Fund”) perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 10.64%, 10.26%, 10.21%, 10.84% and 10.58%, respectively. These returns compare to the 4.79% cumulative total return of the Fund’s benchmark, the Barclays Capital Global Aggregate Bond Index (USD hedged) (the “Barclays Index” formerly the Lehman Brothers Global Aggregate Bond Index (USD hedged), during the same time period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | Both top-down and bottom-up strategies contributed to the Fund’s outperformance during the Reporting Period. Within our top-down strategies, our duration and cross-sector strategies contributed the most. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Barclays Index. Bottom-up individual issuer selection within the corporate bond and government/agency sectors was particularly effective. |
Our active currency strategy was the biggest detractor from the Fund’s results during the Reporting Period.
Q | Which fixed income market sectors most significantly affected Fund performance? |
A | Within our cross-sector strategy, the Fund’s overweighted allocations to the corporate bond and mortgage-backed securities sectors contributed to the Fund’s performance. As investor risk appetite increased in the fixed income market, we positioned the Fund’s portfolio to be overweight spread, or non-government, sectors relative to the Barclays Index. As indicated in our Market Review, non-government fixed income sectors significantly outperformed government securities in both the U.S. and internationally during the Reporting Period. Correspondingly, then, the Fund’s underweighted position in the government securities sector relative to the Barclays Index helped the Fund’s results as well. |
Individual issuer selection in the corporate bond sector added value, particularly selection of investment grade corporate bonds in the financials industry. Issuer selection within the government/agency sector contributed positively as well.
Conversely, the Fund’s underweighted allocation to and issuer selection within the emerging market debt sector relative to the Barclays Index detracted from the Fund’s performance, as this was one of the strongest performing fixed income sectors during the Reporting Period. Our individual issuer selection of mortgage-backed securities in general and of non-agency adjustable-rate mortgages (ARMs) in particular hurt the Fund’s results during the Reporting Period, as our selected securities remained under pressure and underperformed the mortgage-backed securities segment of the Barclays Index.
Q | Which countries’ bond markets had the greatest effect on the Fund’s performance during the Reporting Period? |
A | Our country views are expressed through our country strategy, which is based on our relative views between any two countries within the G10 universe. Within our country strategy, the trades that contributed most to performance during the Reporting Period were: 1) long U.S./short Canada; 2) long Europe/short U.K.; and 3) long U.S./short Australia. |
PORTFOLIO RESULTS
We initiated the Fund’s long U.S./short Canada 5-year trade, as we believe Canada’s exposure to both the energy sector and the U.S. should mean it is better positioned for any improvement in economic conditions. It also means that monetary policy tightening may happen sooner in Canada than in the U.S.
We initiated the long Europe/short U.K. 10-year trade on the belief that the U.K. quantitative easing program is unlikely to be extended further, causing gilt yields to come under upward pressure. By contrast, European Central Bank policy and economic sluggishness of Europe may be bullish for European bonds.
We initiated the long U.S./short Australia 3-year trade, as we believe that immediate transmission from monetary and fiscal policies had led to a broad improvement in the outlook for Australia and that interest rates there are likely to remain on hold. Early tightening of monetary policy is also possible should global economic growth continue to recover.
The relative country trades that detracted most from Fund performance during the Reporting Period were: 1) long U.K./short Japan and 2) long Europe/short Japan.
Q | Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period? |
A | The combined effect of the Fund’s duration and yield curve positioning helped its results during the Reporting Period. As mentioned, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. |
Our duration strategy performed particularly well during the second quarter of 2009, when its short U.S. duration position benefited from the sell-off in long-dated U.S. Treasuries. U.S. Treasuries sold off on the back of the huge supply of government debt issuance and concerns about the potential inflationary effect of aggressive monetary and fiscal policy responses to the financial crisis. The Fund’s long Europe duration position contributed to the Fund’s results in June 2009 when economic prospects for the Eurozone deteriorated further. Overall, the Fund had a bias to have a shorter duration than the Barclays Index during the Reporting Period.
Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
A | Some of the new trades put on during the Reporting Period include the establishment of a fundamental U.S. bonds short 15-year position. We believe that the aggressive monetary policy actions taken by the Fed so far reduce the risk of longer-term deflation taking hold and that the eventual unwinding of these policies may be accompanied by higher long-term rates. We also initiated a short position in U.K. 10-year gilts based on the belief that yields will rebound as they are at low levels due to the recent rally, the gilt purchase program is coming toward completion, and a significant extension of that purchase program is looking less likely. We initiated a short Japan 10-year futures position. Markets have rallied in Japan post the election there, and bond yields have reached four-year lows. We expect supply pressures and potential upside growth surprises to weigh on the Japanese government bond market. |
We also closed several trades, including a short U.S./long U.K. 10-year position; a long European Union/short Japan five-year position; a long U.K./short Japan five-year position; a Japan breakeven 10-year position; and a long U.S./short Australia position, each of which matured during the semi-annual period.
Q | Were there any notable changes in the Fund’s Sector weightings during the Reporting Period? |
A | We maintained the Fund’s overweighted allocation to the Eurozone during the six-month period, but shifted from an underweighted position to an overweighted position in the U.S. |
Q | How was the Fund positioned relative to its benchmark index at the end of September 2009? |
A | At the end of September 2009, the Fund had overweighted allocations relative to the Barclays Index in corporate bonds, residential mortgage-backed securities (RMBS) and asset-backed securities. The Fund had underweighted exposure relative to the benchmark index in government securities and emerging market debt. |
From a country perspective, the Fund was overweight duration compared to the Barclays Index in Australia, Canada, Denmark, Japan and Norway. The Fund was underweight duration relative to the benchmark index in the Eurozone, Sweden, the U.K. and the U.S. as of September 30, 2009.
FUND BASICS
Global Income Fund
as of September 30, 2009
PERFORMANCE REVIEW
April 1, 2009– | Fund Total Return | Barclays Capital Global Aggregate | 30-Day | |||||||||||
September 30, 2009 | (based on NAV1) | Bond Index (USD hedged)2 | Standardized Yield3 | |||||||||||
Class A | 10.64 | % | 4.79 | % | 2.82 | % | ||||||||
Class B | 10.26 | 4.79 | 2.19 | |||||||||||
Class C | 10.21 | 4.79 | 2.19 | |||||||||||
Institutional | 10.84 | 4.79 | 3.27 | |||||||||||
Service | 10.58 | 4.79 | 2.77 | |||||||||||
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 reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Barclays Capital Global Aggregate Bond Index (USD hedged), an unmanaged index, provides a broad based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
For the period ended 9/30/09 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 9.85 | % | 3.68 | % | 4.36 | % | 5.77 | % | 8/2/91 | |||||||||||
Class B | 7.67 | 3.27 | 4.10 | 4.83 | 5/1/96 | |||||||||||||||
Class C | 12.05 | 3.69 | 4.10 | 4.35 | 8/15/97 | |||||||||||||||
Institutional | 14.41 | 4.86 | 5.29 | 6.35 | 8/1/95 | |||||||||||||||
Service | 13.86 | 4.34 | 4.76 | 5.10 | 3/12/97 | |||||||||||||||
4 | The Standardized Average Annual 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 3.75% 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). Effective July 29, 2009, the maximum sales charge for Class A was changed retroactively from 4.50% to the current charge of 3.75% for Class A shares. As a result, the Standardized Average Total Returns reflect the updated sales charge for Class A since inception. Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual 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.
FUND BASICS
EXPENSE RATIOS5
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.02 | % | 1.11 | % | ||||||
Class B | 1.77 | 1.86 | ||||||||
Class C | 1.77 | 1.86 | ||||||||
Institutional | 0.68 | 0.77 | ||||||||
Service | 1.18 | 1.27 | ||||||||
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable 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 ALLOCATION6
Percentage of Net Assets | ||||||||||
as of 9/30/09 | as of 3/31/09 | |||||||||
U.S. Dollar7 | 42.8 | % | 38.2 | % | ||||||
Euro | 33.2 | 33.2 | ||||||||
Japanese Yen | 12.3 | 15.3 | ||||||||
British Pound | 5.6 | 5.0 | ||||||||
Canadian Dollar | 1.1 | 1.9 | ||||||||
Swedish Krona | 0.5 | 0.5 | ||||||||
Danish Krone | 0.4 | 0.3 | ||||||||
Polish Zloty | 0.3 | 0.3 | ||||||||
Australian Dollar | 0.1 | 0.1 | ||||||||
Deutschemark | — | 0.3 | ||||||||
6 | 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. |
7 | These figures represent the value excluding short-term obligations. If short-term obligations had been included the percentage for 9/30/09 and 3/31/09 would have been 43.6% and 47.1%, respectively. |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – 21.9% | ||||||||||||||||
Banks – 3.2% | ||||||||||||||||
ANZ Capital Trust II(a)(b) | ||||||||||||||||
$ | 3,500,000 | 5.360 | % | 12/15/49 | $ | 3,163,845 | ||||||||||
Astoria Financial Corp.(a) | ||||||||||||||||
4,050,000 | 5.750 | 10/15/12 | 3,752,294 | |||||||||||||
Bank of America Corp. | ||||||||||||||||
3,250,000 | 5.750 | 12/01/17 | 3,244,075 | |||||||||||||
1,675,000 | 7.625 | 06/01/19 | 1,887,375 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
1,000,000 | 5.875 | 05/29/37 | 871,903 | |||||||||||||
JPMorgan Chase & Co.(a)(c) | ||||||||||||||||
1,200,000 | 7.900 | 04/30/49 | 1,152,204 | |||||||||||||
MUFG Capital Finance 1 Ltd.(a)(c) | ||||||||||||||||
4,650,000 | 6.346 | 07/25/49 | 4,185,000 | |||||||||||||
PNC Bank NA | ||||||||||||||||
3,075,000 | 6.875 | 04/01/18 | 3,324,769 | |||||||||||||
Resona Bank Ltd.(a)(b)(c) | ||||||||||||||||
3,500,000 | 5.850 | 04/15/49 | 3,027,500 | |||||||||||||
EUR 2,675,000 | 4.125 | 09/27/49 | 3,405,579 | |||||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||||
$ | 1,950,000 | 4.875 | (b) | 08/25/14 | 1,979,971 | |||||||||||
4,500,000 | 9.118 | 03/31/49 | 4,162,500 | |||||||||||||
Santander Issuances SA Unipersonal(a)(b)(c) | ||||||||||||||||
1,600,000 | 5.805 | 06/20/16 | 1,424,000 | |||||||||||||
Sovereign Bank(a)(c) | ||||||||||||||||
250,000 | 2.193 | 08/01/13 | 238,407 | |||||||||||||
US Bank NA(a)(c) | ||||||||||||||||
EUR 1,700,000 | 4.375 | 02/28/17 | 2,311,913 | |||||||||||||
Wachovia Bank NA | ||||||||||||||||
$ | 2,275,000 | 6.600 | 01/15/38 | 2,497,236 | ||||||||||||
Wachovia Corp. | ||||||||||||||||
3,975,000 | 5.500 | 05/01/13 | 4,262,819 | |||||||||||||
Wells Fargo Capital XIII(a)(c) | ||||||||||||||||
3,300,000 | 7.700 | 03/26/49 | 2,904,000 | |||||||||||||
47,795,390 | ||||||||||||||||
Brokerage – 2.6% | ||||||||||||||||
Bear Stearns & Co., Inc. | ||||||||||||||||
4,775,000 | 6.400 | 10/02/17 | 5,176,096 | |||||||||||||
10,100,000 | 7.250 | 02/01/18 | 11,550,120 | |||||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||||
2,950,000 | 6.400 | 08/28/17 | 2,987,654 | |||||||||||||
6,100,000 | 6.875 | 04/25/18 | 6,428,256 | |||||||||||||
Morgan Stanley & Co.(a) | ||||||||||||||||
3,000,000 | 5.300 | 03/01/13 | 3,151,928 | |||||||||||||
6,125,000 | 6.625 | 04/01/18 | 6,468,788 | |||||||||||||
750,000 | 7.300 | 05/13/19 | 825,206 | |||||||||||||
1,925,000 | 5.625 | 09/23/19 | 1,901,426 | |||||||||||||
38,489,474 | ||||||||||||||||
Building Materials(b) – 0.1% | ||||||||||||||||
Holcim US Finance Sarl & Cie | ||||||||||||||||
1,600,000 | 6.000 | 12/30/19 | 1,619,469 | |||||||||||||
Captive Financial – 0.2% | ||||||||||||||||
International Lease Finance Corp. | ||||||||||||||||
2,625,000 | 4.950 | 02/01/11 | 2,403,628 | |||||||||||||
Chemicals(a) – 0.6% | ||||||||||||||||
Airgas, Inc. | ||||||||||||||||
3,375,000 | 4.500 | 09/15/14 | 3,434,761 | |||||||||||||
The Dow Chemical Co. | ||||||||||||||||
2,900,000 | 7.600 | 05/15/14 | 3,208,122 | |||||||||||||
2,200,000 | 5.900 | 02/15/15 | 2,258,043 | |||||||||||||
8,900,926 | ||||||||||||||||
Consumer Products(a) – 0.2% | ||||||||||||||||
Whirlpool Corp. | ||||||||||||||||
1,025,000 | 8.000 | 05/01/12 | 1,106,387 | |||||||||||||
1,375,000 | 8.600 | 05/01/14 | 1,538,109 | |||||||||||||
2,644,496 | ||||||||||||||||
Distributor(a)(b) – 0.1% | ||||||||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III | ||||||||||||||||
1,700,000 | 5.500 | 09/30/14 | 1,797,750 | |||||||||||||
Electric(a) – 2.2% | ||||||||||||||||
Arizona Public Service Co. | ||||||||||||||||
2,590,000 | 5.800 | 06/30/14 | 2,718,467 | |||||||||||||
1,625,000 | 6.250 | 08/01/16 | 1,683,223 | |||||||||||||
Commonwealth Edison Co. | ||||||||||||||||
2,400,000 | 5.875 | 02/01/33 | 2,533,862 | |||||||||||||
2,725,000 | 5.900 | 03/15/36 | 2,896,010 | |||||||||||||
Enel Finance International SA(b) | ||||||||||||||||
3,725,000 | 5.125 | 10/07/19 | 3,708,610 | |||||||||||||
FirstEnergy Corp. | ||||||||||||||||
2,325,000 | 7.375 | 11/15/31 | 2,606,155 | |||||||||||||
MidAmerican Energy Holdings Co. | ||||||||||||||||
3,575,000 | 6.125 | 04/01/36 | 3,808,218 | |||||||||||||
Nevada Power Co. | ||||||||||||||||
3,000,000 | 7.125 | 03/15/19 | 3,412,380 | |||||||||||||
NiSource Finance Corp.(c) | ||||||||||||||||
5,000,000 | 0.977 | 11/23/09 | 4,996,225 | |||||||||||||
Progress Energy, Inc. | ||||||||||||||||
3,075,000 | 7.050 | 03/15/19 | 3,580,342 | |||||||||||||
31,943,492 | ||||||||||||||||
Energy(a) – 0.3% | ||||||||||||||||
Dolphin Energy Ltd.(b) | ||||||||||||||||
1,750,000 | 5.888 | 06/15/19 | 1,768,602 | |||||||||||||
Suncor Energy, Inc. | ||||||||||||||||
1,950,000 | 6.100 | 06/01/18 | 2,037,879 | |||||||||||||
3,806,481 | ||||||||||||||||
Entertainment – 0.2% | ||||||||||||||||
Time Warner Entertainment Co. | ||||||||||||||||
2,175,000 | 8.375 | 03/15/23 | 2,559,088 | |||||||||||||
Environmental(a) – 0.4% | ||||||||||||||||
Republic Services, Inc.(b) | ||||||||||||||||
1,875,000 | 5.500 | 09/15/19 | 1,931,544 | |||||||||||||
Waste Management, Inc. | ||||||||||||||||
3,275,000 | 7.375 | 03/11/19 | 3,811,262 | |||||||||||||
5,742,806 | ||||||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
Food & Beverage(a)(b) – 0.5% | ||||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||||||||||
$ | 5,725,000 | 7.750 | % | 01/15/19 | $ | 6,774,163 | ||||||||||
Healthcare Products – 0.6% | ||||||||||||||||
Agilent Technologies, Inc.(a) | ||||||||||||||||
4,105,000 | 5.500 | 09/14/15 | 4,222,551 | |||||||||||||
CareFusion Corp.(b) | ||||||||||||||||
4,275,000 | 6.375 | 08/01/19 | 4,636,485 | |||||||||||||
8,859,036 | ||||||||||||||||
Life Insurance – 0.4% | ||||||||||||||||
Americo Life, Inc.(a)(b) | ||||||||||||||||
1,600,000 | 7.875 | 05/01/13 | 1,112,103 | |||||||||||||
MetLife Capital Trust X(a)(b)(c) | ||||||||||||||||
2,000,000 | 9.250 | 04/08/38 | 2,140,542 | |||||||||||||
Phoenix Life Insurance Co.(a)(b) | ||||||||||||||||
3,200,000 | 7.150 | 12/15/34 | 760,000 | |||||||||||||
Reinsurance Group of America, Inc. | ||||||||||||||||
550,000 | 6.750 | 12/15/11 | 564,296 | |||||||||||||
Symetra Financial Corp.(a)(b)(c) | ||||||||||||||||
3,100,000 | 8.300 | 10/15/37 | 1,922,000 | |||||||||||||
6,498,941 | ||||||||||||||||
Media-Cable – 0.9% | ||||||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
1,220,000 | 8.375 | 03/15/13 | 1,418,164 | |||||||||||||
2,050,000 | 9.455 | 11/15/22 | 2,634,246 | |||||||||||||
Cox Communications, Inc.(a)(b) | ||||||||||||||||
5,050,000 | 5.875 | 12/01/16 | 5,308,186 | |||||||||||||
Rogers Communications, Inc.(a) | ||||||||||||||||
2,000,000 | 6.800 | 08/15/18 | 2,244,512 | |||||||||||||
Time Warner Cable, Inc.(a) | ||||||||||||||||
1,375,000 | 8.250 | 04/01/19 | 1,661,957 | |||||||||||||
150,000 | 6.550 | 05/01/37 | 159,000 | |||||||||||||
13,426,065 | ||||||||||||||||
Media-Non Cable(a) – 0.5% | ||||||||||||||||
DirecTV Holdings LLC(b) | ||||||||||||||||
1,725,000 | 5.875 | 10/01/19 | 1,720,667 | |||||||||||||
Thomson Reuters Corp. | ||||||||||||||||
4,950,000 | 6.500 | 07/15/18 | 5,596,168 | |||||||||||||
7,316,835 | ||||||||||||||||
Metals & Mining – 0.3% | ||||||||||||||||
Anglo American Capital PLC(a)(b) | ||||||||||||||||
1,375,000 | 9.375 | 04/08/19 | 1,670,625 | |||||||||||||
ArcelorMittal | ||||||||||||||||
1,925,000 | 9.850 | 06/01/19 | 2,266,687 | |||||||||||||
3,937,312 | ||||||||||||||||
Noncaptive-Financial – 0.8% | ||||||||||||||||
General Electric Capital Corp. | ||||||||||||||||
1,300,000 | 6.000 | 06/15/12 | 1,392,331 | |||||||||||||
HSBC Finance Corp. | ||||||||||||||||
5,875,000 | 5.700 | 06/01/11 | 6,093,909 | |||||||||||||
SLM Corp. | ||||||||||||||||
4,300,000 | 5.400 | 10/25/11 | 3,967,696 | |||||||||||||
11,453,936 | ||||||||||||||||
Pharmaceuticals(a) – 0.2% | ||||||||||||||||
Watson Pharmaceuticals, Inc. | ||||||||||||||||
2,700,000 | 5.000 | 08/15/14 | 2,767,738 | |||||||||||||
Pipelines(a) – 2.7% | ||||||||||||||||
Boardwalk Pipelines LP | ||||||||||||||||
4,400,000 | 5.875 | 11/15/16 | 4,467,570 | |||||||||||||
CenterPoint Energy Resources Corp. Series B | ||||||||||||||||
4,075,000 | 5.950 | 01/15/14 | 4,356,207 | |||||||||||||
DCP Midstream LLC(b) | ||||||||||||||||
2,205,000 | 9.750 | 03/15/19 | 2,634,141 | |||||||||||||
Energy Transfer Partners LP | ||||||||||||||||
2,925,000 | 6.700 | 07/01/18 | 3,153,237 | |||||||||||||
1,825,000 | 9.700 | (d) | 03/15/19 | 2,260,213 | ||||||||||||
Enterprise Products Operating LP | ||||||||||||||||
4,625,000 | 5.000 | 03/01/15 | 4,719,484 | |||||||||||||
ONEOK Partners LP | ||||||||||||||||
2,900,000 | 6.850 | 10/15/37 | 3,089,690 | |||||||||||||
Southern Natural Gas Co.(b) | ||||||||||||||||
1,650,000 | 5.900 | 04/01/17 | 1,699,341 | |||||||||||||
Tennessee Gas Pipeline Co. | ||||||||||||||||
1,450,000 | 8.375 | 06/15/32 | 1,750,665 | |||||||||||||
TEPPCO Partners LP | ||||||||||||||||
6,225,000 | 5.900 | 04/15/13 | 6,506,750 | |||||||||||||
The Williams Cos., Inc. | ||||||||||||||||
2,600,000 | 8.750 | 03/15/32 | 2,981,584 | |||||||||||||
TransCanada PipeLines Ltd.(c) | ||||||||||||||||
3,200,000 | 6.350 | 05/15/67 | 2,793,938 | |||||||||||||
40,412,820 | ||||||||||||||||
Property/Casualty Insurance(a) – 2.0% | ||||||||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
3,200,000 | 7.350 | 05/01/34 | 2,978,314 | |||||||||||||
Aspen Insurance Holdings Ltd. | ||||||||||||||||
1,525,000 | 6.000 | 08/15/14 | 1,491,010 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
500,000 | 5.850 | 12/15/14 | 453,516 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
2,950,000 | 6.150 | 10/15/15 | 3,090,647 | |||||||||||||
QBE Insurance Group Ltd.(b)(c) | ||||||||||||||||
3,150,000 | 5.647 | 07/01/23 | 2,608,770 | |||||||||||||
Swiss Re Capital I LP(b)(c) | ||||||||||||||||
5,100,000 | 6.854 | 05/29/49 | 3,825,000 | |||||||||||||
The Chubb Corp.(c) | ||||||||||||||||
4,225,000 | 6.375 | 03/29/67 | 3,802,500 | |||||||||||||
White Mountains Reinsurance Group Ltd.(b) | ||||||||||||||||
4,900,000 | 6.375 | 03/20/17 | 4,454,490 | |||||||||||||
Willis North America, Inc. | ||||||||||||||||
1,275,000 | 7.000 | 09/29/19 | 1,310,979 | |||||||||||||
ZFS Finance USA Trust I(b)(c) | ||||||||||||||||
4,000,000 | 6.150 | 12/15/65 | 3,600,000 | |||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
Property/Casualty Insurance(a) – (continued) | ||||||||||||||||
ZFS Finance USA Trust IV(b)(c) | ||||||||||||||||
$ | 3,050,000 | 5.875 | % | 05/09/32 | $ | 2,473,977 | ||||||||||
30,089,203 | ||||||||||||||||
Real Estate Investment Trusts(a) – 1.0% | ||||||||||||||||
Liberty Property LP | ||||||||||||||||
1,100,000 | 7.250 | 03/15/11 | 1,144,000 | |||||||||||||
Simon Property Group LP | ||||||||||||||||
4,725,000 | 6.125 | 05/30/18 | 4,760,792 | |||||||||||||
Westfield Capital Corp.(b) | ||||||||||||||||
3,725,000 | 5.125 | 11/15/14 | 3,626,127 | |||||||||||||
Westfield Group(b) | ||||||||||||||||
4,411,000 | 5.400 | 10/01/12 | 4,531,394 | |||||||||||||
14,062,313 | ||||||||||||||||
Retailers(a) – 0.4% | ||||||||||||||||
AutoZone, Inc. | ||||||||||||||||
1,300,000 | 5.750 | 01/15/15 | 1,384,129 | |||||||||||||
CVS Caremark Corp. | ||||||||||||||||
3,825,000 | 5.750 | 06/01/17 | 4,094,682 | |||||||||||||
Marks & Spencer PLC(b) | ||||||||||||||||
100,000 | 7.125 | 12/01/37 | 94,738 | |||||||||||||
5,573,549 | ||||||||||||||||
Tobacco – 0.1% | ||||||||||||||||
Philip Morris International, Inc. | ||||||||||||||||
2,000,000 | 5.650 | 05/16/18 | 2,128,832 | |||||||||||||
Wireless Telecommunications(a)(b) – 0.2% | ||||||||||||||||
Verizon Wireless | ||||||||||||||||
2,550,000 | 8.500 | 11/15/18 | 3,184,012 | |||||||||||||
Wirelines Telecommunications(a) – 1.2% | ||||||||||||||||
AT&T, Inc. | ||||||||||||||||
3,750,000 | 5.800 | 02/15/19 | 4,012,635 | |||||||||||||
3,675,000 | 6.400 | 05/15/38 | 3,901,240 | |||||||||||||
Telecom Italia Capital | ||||||||||||||||
3,350,000 | 7.721 | 06/04/38 | 3,977,991 | |||||||||||||
Telecom Italia Capital SA | ||||||||||||||||
1,225,000 | 4.950 | 09/30/14 | 1,267,748 | |||||||||||||
Verizon Communications, Inc. | ||||||||||||||||
4,125,000 | 6.400 | 02/15/38 | 4,438,478 | |||||||||||||
17,598,092 | ||||||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||||
(Cost $312,717,939) | $ | 321,785,847 | ||||||||||||||
Mortgage-Backed Obligations – 53.0% | ||||||||||||||||
Adjustable Rate Non-Agency(c) – 9.5% | ||||||||||||||||
American Home Mortgage Assets Series 2007-1, Class A1 | ||||||||||||||||
$ | 18,896,358 | 1.601 | % | 02/25/47 | $ | 8,490,708 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-05, Class 1A1 | ||||||||||||||||
66,892 | 4.299 | 08/25/33 | 57,303 | |||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2005-03, Class 2A1 | ||||||||||||||||
6,687,078 | 5.086 | 06/25/35 | 5,047,174 | |||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2006-2, Class 3A2 | ||||||||||||||||
634,926 | 5.750 | 07/25/36 | 461,768 | |||||||||||||
Bear Stearns Alt-A Trust Series 2005-8, Class 11A1 | ||||||||||||||||
1,876,186 | 0.516 | 10/25/35 | 1,082,411 | |||||||||||||
Bear Stearns Mortgage Funding Trust Series 2006-AR2, Class 1A1 | ||||||||||||||||
17,281,489 | 0.446 | 09/25/46 | 8,756,717 | |||||||||||||
Countrywide Home Loan Trust Series 2003-37, Class 1A1 | ||||||||||||||||
48,422 | 3.815 | 08/25/33 | 39,660 | |||||||||||||
Countrywide Home Loan Trust Series 2005-HYB4, Class 2A1 | ||||||||||||||||
8,977,318 | 4.864 | 08/20/35 | 6,666,907 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
56,658 | 3.963 | 03/25/33 | 45,525 | |||||||||||||
Downey Savings & Loan Association Mortgage Loan Trust Series 2005-AR6, Class 2A1A | ||||||||||||||||
5,298,397 | 0.536 | 10/19/45 | 2,801,689 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-10, Class 2A1A | ||||||||||||||||
8,443,537 | 0.556 | 11/19/35 | 4,703,023 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-14, Class 5A1A | ||||||||||||||||
5,949,422 | 5.724 | 12/19/35 | 3,832,950 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A | ||||||||||||||||
1,395,647 | 0.486 | 01/19/36 | 783,116 | |||||||||||||
Impac CMB Trust Series 2005-06, Class 1A1 | ||||||||||||||||
5,731,574 | 0.496 | 10/25/35 | 2,680,740 | |||||||||||||
Impac Secured Assets Corp. Series 2005-2, Class A1W | ||||||||||||||||
5,830,667 | 0.496 | 03/25/36 | 2,410,456 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1 | ||||||||||||||||
4,274,154 | 5.186 | 08/25/35 | 2,904,224 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2005-AR15, Class A1 | ||||||||||||||||
4,672,661 | 5.278 | 09/25/35 | 3,322,654 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A | ||||||||||||||||
7,532,408 | 0.456 | 05/25/46 | 3,631,896 | |||||||||||||
Lehman XS Trust Series 2005-5N, Class 3A1A | ||||||||||||||||
7,094,395 | 0.546 | 11/25/35 | 4,011,943 | |||||||||||||
Lehman XS Trust Series 2005-7N, Class 1A1A | ||||||||||||||||
212,307 | 0.516 | 12/25/35 | 129,815 | |||||||||||||
Lehman XS Trust Series 2005-9N, Class 1A1 | ||||||||||||||||
7,984,281 | 0.516 | 02/25/36 | 4,057,976 | |||||||||||||
Luminent Mortgage Trust Series 2006-2, Class A1A | ||||||||||||||||
8,056,237 | 0.446 | 02/25/46 | 4,196,980 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2004-9, Class 2A1 | ||||||||||||||||
10,955 | 0.626 | 11/25/34 | 9,044 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A | ||||||||||||||||
2,854,371 | 1.901 | 12/25/46 | 900,527 | |||||||||||||
Mortgage Trust Series 2005-AR1, Class 1A1 | ||||||||||||||||
7,300,517 | 0.496 | 11/25/35 | 3,963,792 | |||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Non-Agency(c) – (continued) | ||||||||||||||||
Residential Accredit Loans, Inc. Series 2005-Q05, Class A1 | ||||||||||||||||
$ | 6,982,499 | 1.901 | % | 01/25/46 | $ | 3,769,872 | ||||||||||
Residential Accredit Loans, Inc. Series 2007-QH9, Class A1 | ||||||||||||||||
22,274,166 | 6.521 | 11/25/37 | 9,726,819 | |||||||||||||
Sequoia Mortgage Trust Series 2003-4, Class 1A2 | ||||||||||||||||
1,834,348 | 1.315 | 07/20/33 | 1,591,801 | |||||||||||||
Structured Asset Mortgage Investments, Inc. Series 2006-AR1, Class 3A1 | ||||||||||||||||
12,648,807 | 0.476 | 02/25/36 | 6,593,149 | |||||||||||||
Structured Asset Securities Corp. Series 2003-26A, Class 3A5 | ||||||||||||||||
3,604,152 | 3.271 | 09/25/33 | 2,945,638 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR19, Class A7 | ||||||||||||||||
148,134 | 4.499 | 02/25/33 | 121,980 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR13, Class A1A1 | ||||||||||||||||
7,882,871 | 0.536 | 10/25/45 | 5,185,968 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR15, Class A1A1 | ||||||||||||||||
9,171,169 | 0.506 | 11/25/45 | 5,914,586 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR17, Series A1A1 | ||||||||||||||||
6,972,820 | 0.516 | 12/25/45 | 4,547,162 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR11, Class 3A1A | ||||||||||||||||
3,449,633 | 1.821 | 09/25/46 | 1,623,637 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR9, Class 2A | ||||||||||||||||
18,520,954 | 1.741 | 11/25/46 | 7,534,650 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2007-0A2, Class 1A | ||||||||||||||||
5,940,405 | 1.601 | 03/25/47 | 3,083,745 | |||||||||||||
Wells Fargo Alternative Loan Trust Series 2007-PA6, Class A1 | ||||||||||||||||
18,926,388 | 6.558 | 12/28/37 | 11,852,210 | |||||||||||||
139,480,215 | ||||||||||||||||
Collateralized Mortgage Obligations – 3.3% | ||||||||||||||||
Interest Only(e) – 0.0% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-5, Class A2 | ||||||||||||||||
592,671 | 5.500 | 04/25/33 | 75,342 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X(c)(f) | ||||||||||||||||
283,840 | 0.000 | 11/25/32 | — | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(c)(f) | ||||||||||||||||
1,180,513 | 0.000 | 07/25/33 | 1 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(c)(f) | ||||||||||||||||
1,631,699 | 0.000 | 08/25/33 | 2 | |||||||||||||
FNMA REMIC Series 2004-47, Class EI(c)(f) | ||||||||||||||||
4,136,769 | 0.000 | 06/25/34 | 45,740 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2003-G, Class AI0(c) | ||||||||||||||||
7,502,448 | 0.740 | 06/25/33 | 35,382 | |||||||||||||
156,467 | ||||||||||||||||
Inverse Floaters(c) – 0.1% | ||||||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
138,565 | 25.703 | 10/16/31 | 203,620 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
261,246 | 31.455 | 10/16/31 | 398,267 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
269,984 | 25.703 | 10/16/31 | 400,000 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
49,521 | 25.541 | 11/16/24 | 73,134 | |||||||||||||
GNMA Series 2002-11, Class SA | ||||||||||||||||
138,538 | 36.441 | 02/16/32 | 220,675 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
324,681 | 36.441 | 02/16/32 | 517,515 | |||||||||||||
1,813,211 | ||||||||||||||||
Inverse Floating Rate-Interest Only(c)(e) – 0.0% | ||||||||||||||||
FNMA REMIC Series 2003-46, Class BS | ||||||||||||||||
5,573,311 | 7.454 | 04/25/17 | 326,920 | |||||||||||||
Planned Amortization Class – 0.3% | ||||||||||||||||
FHLMC REMIC Series 2639, Class UL | ||||||||||||||||
205,174 | 4.750 | 03/15/22 | 213,657 | |||||||||||||
FHLMC REMIC Series 2681, Class PC | ||||||||||||||||
734,023 | 5.000 | 01/15/19 | 746,791 | |||||||||||||
FHLMC REMIC Series 2775, Class MC | ||||||||||||||||
1,000,689 | 5.000 | 08/15/27 | 1,030,688 | |||||||||||||
FHLMC REMIC Series 2949, Class WV | ||||||||||||||||
2,000,000 | 5.000 | 12/15/20 | 2,035,580 | |||||||||||||
FNMA REMIC Series 2003-134, Class ME | ||||||||||||||||
260,531 | 4.500 | 06/25/33 | 268,019 | |||||||||||||
FNMA REMIC Series 2004-64, Class BA | ||||||||||||||||
175,949 | 5.000 | 03/25/34 | 181,709 | |||||||||||||
4,476,444 | ||||||||||||||||
Regular Floater(c) – 2.4% | ||||||||||||||||
FHLMC REMIC Series 3013, Class XH(f) | ||||||||||||||||
337,576 | 0.000 | 08/15/35 | 326,014 | |||||||||||||
FHLMC REMIC Series 3038, Class XA(f) | ||||||||||||||||
345,227 | 0.000 | 09/15/35 | 314,644 | |||||||||||||
FHLMC REMIC Series 3138, Class X(f) | ||||||||||||||||
31,297 | 0.000 | 04/15/36 | 30,260 | |||||||||||||
FHLMC REMIC Series 3273, Class TC(f) | ||||||||||||||||
545,691 | 0.000 | 02/15/37 | 525,627 | |||||||||||||
FHLMC REMIC Series 3292, Class WA(f) | ||||||||||||||||
849,274 | 0.000 | 07/15/36 | 836,146 | |||||||||||||
FHLMC REMIC Series 3307, Class FC | ||||||||||||||||
9,321,223 | 0.643 | 07/15/34 | 8,970,906 | |||||||||||||
FHLMC REMIC Series 3325, Class SX(f) | ||||||||||||||||
1,084,443 | 0.000 | 06/15/37 | 1,011,149 | |||||||||||||
FNMA REMIC Series 2004-62, Class DI(e)(f) | ||||||||||||||||
1,847,854 | 0.000 | 07/25/33 | 26,789 | |||||||||||||
FNMA REMIC Series 2004-71, Class DI(e)(f) | ||||||||||||||||
4,313,264 | 0.000 | 04/25/34 | 94,139 | |||||||||||||
FNMA REMIC Series 2006-48, Class VF | ||||||||||||||||
339,607 | 0.596 | 02/25/20 | 337,890 | |||||||||||||
FNMA REMIC Series 2006-81, Class LF(f) | ||||||||||||||||
134,763 | 0.000 | 09/25/36 | 133,717 | |||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Regular Floater(c) – (continued) | ||||||||||||||||
FNMA REMIC Series 2007-27, Class XA(f) | ||||||||||||||||
$ | 220,276 | 0.000 | % | 05/25/35 | $ | 210,323 | ||||||||||
FNMA REMIC Series 2007-4, Class DF | ||||||||||||||||
10,636,353 | 0.691 | 02/25/37 | 10,343,418 | |||||||||||||
FNMA REMIC Series 2007-53, Class UF(f) | ||||||||||||||||
59,212 | 0.000 | 06/25/37 | 53,520 | |||||||||||||
FNMA REMIC Series 2007-56, Class GY(f) | ||||||||||||||||
234,119 | 0.000 | 06/25/37 | 246,375 | |||||||||||||
FNMA REMIC Series 2008-22, Class FD | ||||||||||||||||
12,420,730 | 1.086 | 04/25/48 | 12,286,995 | |||||||||||||
35,747,912 | ||||||||||||||||
Sequential Fixed Rate – 0.5% | ||||||||||||||||
Countrywide Alternative Loan Trust Series 2005-J11, Class 2A1 | ||||||||||||||||
3,828,617 | 6.000 | 10/25/35 | 2,668,367 | |||||||||||||
Countrywide Alternative Loan Trust Series 2006-5T2, Class A3 | ||||||||||||||||
4,585,570 | 6.000 | 04/25/36 | 3,361,157 | |||||||||||||
FHLMC REMIC Series 2664, Class MA | ||||||||||||||||
279,983 | 5.000 | 04/15/30 | 289,764 | |||||||||||||
FHLMC REMIC Series 2796, Class AB | ||||||||||||||||
109,903 | 5.500 | 10/15/31 | 113,441 | |||||||||||||
FNMA REMIC Series 2005-103, Class DA | ||||||||||||||||
98,007 | 5.000 | 06/25/16 | 98,050 | |||||||||||||
6,530,779 | ||||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 49,051,733 | ||||||||||||||
Commercial Mortgage-Backed Securities – 6.2% | ||||||||||||||||
Agency – 0.4% | ||||||||||||||||
FNMA | ||||||||||||||||
1,192,984 | 7.040 | 08/01/15 | 1,376,674 | |||||||||||||
2,625,443 | 6.460 | 12/01/28 | 2,894,332 | |||||||||||||
FNMA Series 2001-M2, Class C(c) | ||||||||||||||||
1,321,445 | 6.300 | 09/25/15 | 1,397,030 | |||||||||||||
5,668,036 | ||||||||||||||||
Interest Only(b)(c)(e) – 0.0% | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-CKS4, Class ASP | ||||||||||||||||
21,296,821 | 1.761 | 11/15/36 | 861 | |||||||||||||
Sequential Fixed Rate – 5.8% | ||||||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2006-4, Class A4 | ||||||||||||||||
7,505,000 | 5.634 | 07/10/46 | 6,957,299 | |||||||||||||
Commercial Mortgage Pass-Through Certificates Series 2006-C7, Class A4 | ||||||||||||||||
15,000,000 | 5.961 | 06/10/46 | 14,353,173 | |||||||||||||
CWCapital Cobalt Ltd. Series 2006-C1, Class A4 | ||||||||||||||||
10,500,000 | 5.223 | 08/15/48 | 8,568,252 | |||||||||||||
First Union National Bank Commercial Mortgage Trust Series 2000-C2, Class A1 | ||||||||||||||||
14,395,569 | 7.202 | 10/15/32 | 14,838,343 | |||||||||||||
GMAC Commercial Mortgage Securities, Inc. Series 2002-C1, Class A2 | ||||||||||||||||
15,000,000 | 6.278 | 11/15/39 | 15,749,419 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2005-C5, Class A4 | ||||||||||||||||
9,000,000 | 4.954 | 09/15/30 | 8,568,434 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2005-C7, Class A4 | ||||||||||||||||
10,175,000 | 5.197 | 11/15/30 | 9,899,681 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4 | ||||||||||||||||
6,000,000 | 5.156 | 02/15/31 | 5,579,892 | |||||||||||||
84,514,493 | ||||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ | 90,183,390 | ||||||||||||||
Federal Agencies – 34.0% | ||||||||||||||||
Adjustable Rate FNMA(c) – 2.0% | ||||||||||||||||
26,223 | 3.069 | 06/01/33 | 26,810 | |||||||||||||
3,435,955 | 3.798 | 07/01/34 | 3,558,918 | |||||||||||||
11,107,564 | 3.930 | 09/01/34 | 11,436,859 | |||||||||||||
8,676,028 | 3.855 | 05/01/35 | 8,982,717 | |||||||||||||
5,040,492 | 3.601 | 06/01/35 | 5,170,214 | |||||||||||||
29,175,518 | ||||||||||||||||
FHLMC – 6.6% | ||||||||||||||||
95,003 | 5.000 | 12/01/12 | 100,948 | |||||||||||||
11,575 | 5.500 | 07/01/13 | 12,313 | |||||||||||||
87,177 | 5.500 | 12/01/13 | 92,735 | |||||||||||||
935,992 | 6.500 | 12/01/13 | 997,963 | |||||||||||||
63,416 | 4.000 | 02/01/14 | 65,059 | |||||||||||||
27,117 | 5.500 | 02/01/14 | 28,846 | |||||||||||||
1,035,258 | 4.000 | 03/01/14 | 1,062,084 | |||||||||||||
205,132 | 4.000 | 04/01/14 | 210,448 | |||||||||||||
7,309 | 5.500 | 06/01/14 | 7,811 | |||||||||||||
31,417 | 5.500 | 09/01/14 | 33,004 | |||||||||||||
1,771 | 7.000 | 10/01/14 | 1,897 | |||||||||||||
314,581 | 6.000 | 12/01/14 | 331,329 | |||||||||||||
16,084 | 7.000 | 05/01/15 | 17,259 | |||||||||||||
49,649 | 8.000 | 07/01/15 | 53,775 | |||||||||||||
11,438 | 7.000 | 02/01/16 | 12,304 | |||||||||||||
26,234 | 7.000 | 03/01/16 | 28,213 | |||||||||||||
382,770 | 7.500 | 05/01/16 | 414,639 | |||||||||||||
3,419 | 5.000 | 09/01/16 | 3,599 | |||||||||||||
40,172 | 5.000 | 11/01/16 | 42,726 | |||||||||||||
10,248 | 5.000 | 12/01/16 | 10,914 | |||||||||||||
140,476 | 5.000 | 01/01/17 | 149,597 | |||||||||||||
238,663 | 5.000 | 02/01/17 | 254,046 | |||||||||||||
185,205 | 5.000 | 03/01/17 | 197,022 | |||||||||||||
319,259 | 5.000 | 04/01/17 | 339,985 | |||||||||||||
8,260 | 5.000 | 05/01/17 | 8,730 | |||||||||||||
5,231 | 5.000 | 06/01/17 | 5,535 | |||||||||||||
15,896 | 5.000 | 08/01/17 | 16,928 | |||||||||||||
822,726 | 5.000 | 09/01/17 | 876,079 | |||||||||||||
903,395 | 5.000 | 10/01/17 | 962,044 | |||||||||||||
1,777 | 7.000 | 10/01/17 | 1,977 | |||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FHLMC – (continued) | ||||||||||||||||
$ | 531,681 | 5.000 | % | 11/01/17 | $ | 566,197 | ||||||||||
616,785 | 5.000 | 12/01/17 | 656,824 | |||||||||||||
753,245 | 5.000 | 01/01/18 | 802,054 | |||||||||||||
1,614,662 | 5.000 | 02/01/18 | 1,718,943 | |||||||||||||
1,592,168 | 5.000 | 03/01/18 | 1,695,208 | |||||||||||||
1,364,931 | 5.000 | 04/01/18 | 1,453,296 | |||||||||||||
1,688,816 | 4.500 | 05/01/18 | 1,783,656 | |||||||||||||
914,109 | 5.000 | 05/01/18 | 972,881 | |||||||||||||
370,482 | 4.500 | 06/01/18 | 391,287 | |||||||||||||
209,859 | 5.000 | 06/01/18 | 223,421 | |||||||||||||
199,888 | 5.000 | 07/01/18 | 212,805 | |||||||||||||
121,057 | 5.000 | 08/01/18 | 128,887 | |||||||||||||
1,475,551 | 4.500 | 09/01/18 | 1,558,414 | |||||||||||||
82,549 | 5.000 | 09/01/18 | 87,881 | |||||||||||||
1,169,567 | 4.500 | 10/01/18 | 1,235,246 | |||||||||||||
1,322,519 | 5.000 | 10/01/18 | 1,406,660 | |||||||||||||
1,484,561 | 4.500 | 11/01/18 | 1,567,930 | |||||||||||||
295,156 | 5.000 | 11/01/18 | 314,226 | |||||||||||||
1,223,005 | 4.500 | 12/01/18 | 1,291,685 | |||||||||||||
215,509 | 5.000 | 12/01/18 | 229,434 | |||||||||||||
455,254 | 4.500 | 01/01/19 | 480,819 | |||||||||||||
165,957 | 5.000 | 01/01/19 | 176,684 | |||||||||||||
29,445 | 5.000 | 02/01/19 | 31,301 | |||||||||||||
1,147,011 | 4.500 | 03/01/19 | 1,208,377 | |||||||||||||
38,307 | 5.000 | 03/01/19 | 40,662 | |||||||||||||
444,568 | 5.000 | 06/01/19 | 471,414 | |||||||||||||
2,344,100 | 4.500 | 02/01/20 | 2,465,813 | |||||||||||||
2,298,351 | 5.000 | 06/01/20 | 2,437,140 | |||||||||||||
3,221,780 | 5.000 | 07/01/20 | 3,408,256 | |||||||||||||
2,466,523 | 4.500 | 10/01/23 | 2,527,985 | |||||||||||||
358,914 | 5.500 | 10/01/25 | 380,165 | |||||||||||||
578,822 | 5.500 | 11/01/25 | 613,093 | |||||||||||||
44,508 | 7.000 | 06/01/26 | 48,876 | |||||||||||||
58,863 | 7.500 | 03/01/27 | 65,665 | |||||||||||||
57,119 | 7.500 | 12/01/30 | 62,661 | |||||||||||||
41,554 | 7.500 | 01/01/31 | 45,587 | |||||||||||||
372,990 | 6.500 | 10/01/33 | 400,518 | |||||||||||||
1,120,273 | 5.000 | 12/01/35 | 1,163,334 | |||||||||||||
3,224 | 5.500 | 02/01/36 | 3,395 | |||||||||||||
66,739 | 6.000 | 10/01/36 | 70,939 | |||||||||||||
112,922 | 6.000 | 11/01/36 | 119,904 | |||||||||||||
16,716 | 5.500 | 01/01/37 | 17,582 | |||||||||||||
78,647 | 5.500 | 03/01/37 | 83,187 | |||||||||||||
316,479 | 5.500 | 04/01/37 | 334,240 | |||||||||||||
36,837 | 6.000 | 04/01/37 | 39,293 | |||||||||||||
55,674 | 6.000 | 05/01/37 | 59,108 | |||||||||||||
35,798 | 5.500 | 06/01/37 | 37,898 | |||||||||||||
62,857 | 6.000 | 06/01/37 | 66,734 | |||||||||||||
496,546 | 5.500 | 07/01/37 | 522,112 | |||||||||||||
10,447 | 6.000 | 07/01/37 | 11,145 | |||||||||||||
38,832 | 5.500 | 08/01/37 | 40,832 | |||||||||||||
325,786 | 5.500 | 09/01/37 | 341,481 | |||||||||||||
497,014 | 6.000 | 09/01/37 | 530,309 | |||||||||||||
518,499 | 6.000 | 11/01/37 | 550,318 | |||||||||||||
458,691 | 5.500 | 12/01/37 | 483,448 | |||||||||||||
663,017 | 5.500 | 02/01/38 | 699,328 | |||||||||||||
87,897 | 5.000 | 04/01/38 | 91,179 | |||||||||||||
763,066 | 5.500 | 04/01/38 | 805,452 | |||||||||||||
117,319 | 6.000 | 04/01/38 | 124,519 | |||||||||||||
441,821 | 5.500 | 05/01/38 | 466,363 | |||||||||||||
852,226 | 6.000 | 05/01/38 | 904,258 | |||||||||||||
3,808,508 | 5.500 | 06/01/38 | 4,023,489 | |||||||||||||
386,855 | 6.000 | 07/01/38 | 412,381 | |||||||||||||
100,239 | 6.000 | 09/01/38 | 106,328 | |||||||||||||
233,315 | 6.500 | 09/01/38 | 248,819 | |||||||||||||
192,421 | 5.500 | 10/01/38 | 203,200 | |||||||||||||
26,821 | 6.000 | 10/01/38 | 28,605 | |||||||||||||
8,848,902 | 6.000 | 11/01/38 | 9,440,327 | |||||||||||||
912,017 | 5.500 | 12/01/38 | 963,674 | |||||||||||||
490,403 | 6.000 | 12/01/38 | 523,026 | |||||||||||||
237,557 | 6.000 | 01/01/39 | 253,396 | |||||||||||||
122,090 | 6.000 | 02/01/39 | 129,506 | |||||||||||||
487,313 | 5.000 | 03/01/39 | 505,587 | |||||||||||||
1,354,901 | 5.000 | 04/01/39 | 1,405,710 | |||||||||||||
60,207 | 5.500 | 04/01/39 | 63,806 | |||||||||||||
620,572 | 5.000 | 05/01/39 | 644,813 | |||||||||||||
8,326,870 | 5.000 | 06/01/39 | 8,623,097 | |||||||||||||
2,153,596 | 5.000 | 07/01/39 | 2,234,931 | |||||||||||||
740,979 | 5.000 | 08/01/39 | 769,172 | |||||||||||||
9,899,327 | 4.500 | 09/01/39 | 10,031,286 | |||||||||||||
5,808,150 | 5.000 | 09/01/39 | 6,010,206 | |||||||||||||
315,749 | 5.000 | 10/01/39 | 326,715 | |||||||||||||
1,300,000 | 4.500 | TBA-30yr | (g) | 1,311,594 | ||||||||||||
2,000,000 | 5.000 | TBA-30yr | (g) | 2,066,250 | ||||||||||||
97,394,036 | ||||||||||||||||
FNMA – 20.5% | ||||||||||||||||
258,087 | 8.500 | 10/01/15 | 275,133 | |||||||||||||
7,639 | 7.000 | 01/01/16 | 8,246 | |||||||||||||
400,493 | 6.000 | 12/01/16 | 429,704 | |||||||||||||
5,068,755 | 5.000 | 10/01/17 | 5,355,288 | |||||||||||||
4,158,730 | 5.000 | 12/01/17 | 4,395,621 | |||||||||||||
957,479 | 5.000 | 01/01/18 | 1,015,022 | |||||||||||||
330,026 | 5.000 | 02/01/18 | 350,778 | |||||||||||||
951,781 | 5.000 | 04/01/18 | 1,010,942 | |||||||||||||
4,964,390 | 4.500 | 05/01/18 | 5,243,561 | |||||||||||||
716,475 | 5.000 | 05/01/18 | 761,011 | |||||||||||||
8,630,564 | 4.500 | 06/01/18 | 9,116,289 | |||||||||||||
539,271 | 5.000 | 06/01/18 | 572,791 | |||||||||||||
3,963,737 | 4.000 | 07/01/18 | 4,127,989 | |||||||||||||
8,841,566 | 4.500 | 07/01/18 | 9,339,234 | |||||||||||||
2,003,233 | 4.000 | 08/01/18 | 2,086,245 | |||||||||||||
2,092,107 | 4.500 | 08/01/18 | 2,209,961 | |||||||||||||
48,243 | 6.000 | 08/01/18 | 51,911 | |||||||||||||
17,612,227 | 4.000 | 09/01/18 | 18,343,949 | |||||||||||||
4,059,796 | 4.500 | 09/01/18 | 4,287,950 | |||||||||||||
135,624 | 4.500 | 10/01/18 | 143,268 | |||||||||||||
3,417 | 6.500 | 10/01/18 | 3,719 | |||||||||||||
412,004 | 4.500 | 01/01/19 | 435,086 | |||||||||||||
567,615 | 4.500 | 03/01/19 | 599,415 | |||||||||||||
1,843,795 | 5.000 | 04/01/19 | 1,958,401 | |||||||||||||
135,215 | 5.000 | 05/01/19 | 143,218 | |||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA – (continued) | ||||||||||||||||
$ | 286,118 | 4.500 | % | 06/01/19 | $ | 300,939 | ||||||||||
206,099 | 5.000 | 06/01/19 | 218,910 | |||||||||||||
181,458 | 4.500 | 07/01/19 | 190,858 | |||||||||||||
166,473 | 4.500 | 08/01/19 | 175,097 | |||||||||||||
6,358,081 | 6.000 | 09/01/19 | 6,830,466 | |||||||||||||
272,599 | 5.000 | 11/01/19 | 288,732 | |||||||||||||
508,510 | 5.000 | 12/01/19 | 540,118 | |||||||||||||
7,935,597 | 6.000 | 12/01/20 | 8,525,187 | |||||||||||||
258,535 | 6.000 | 03/01/21 | 276,209 | |||||||||||||
245,423 | 6.000 | 06/01/21 | 261,853 | |||||||||||||
340,940 | 6.000 | 08/01/21 | 363,764 | |||||||||||||
588,887 | 6.000 | 10/01/22 | 627,786 | |||||||||||||
1,392,461 | 5.500 | 09/01/23 | 1,480,266 | |||||||||||||
263,723 | 5.500 | 10/01/23 | 280,742 | |||||||||||||
592,888 | 7.000 | 08/01/27 | 650,545 | |||||||||||||
21,042 | 6.500 | 09/01/27 | 22,665 | |||||||||||||
1,517,405 | 7.000 | 03/01/28 | 1,664,043 | |||||||||||||
16,414 | 6.500 | 05/01/28 | 17,671 | |||||||||||||
3,474 | 5.500 | 01/01/29 | 3,659 | |||||||||||||
533 | 5.500 | 04/01/29 | 561 | |||||||||||||
23,268 | 7.500 | 12/01/30 | 25,308 | |||||||||||||
117,591 | 8.000 | 01/01/31 | 127,926 | |||||||||||||
63,361 | 8.000 | 02/01/31 | 69,104 | |||||||||||||
404,841 | 7.000 | 03/01/31 | 444,693 | |||||||||||||
74,942 | 5.000 | 12/01/31 | 77,727 | |||||||||||||
30,926 | 5.500 | 02/01/33 | 32,669 | |||||||||||||
1,457,268 | 5.500 | 03/01/33 | 1,535,647 | |||||||||||||
795,104 | 5.500 | 05/01/33 | 836,795 | |||||||||||||
105,206 | 5.000 | 06/01/33 | 109,116 | |||||||||||||
126,095 | 5.500 | 06/01/33 | 132,662 | |||||||||||||
82,333 | 5.000 | 07/01/33 | 85,479 | |||||||||||||
1,495,412 | 5.500 | 07/01/33 | 1,573,360 | |||||||||||||
635,322 | 5.000 | 08/01/33 | 658,931 | |||||||||||||
152,679 | 5.500 | 08/01/33 | 161,309 | |||||||||||||
111,755 | 5.000 | 09/01/33 | 115,924 | |||||||||||||
296,689 | 5.500 | 09/01/33 | 313,333 | |||||||||||||
14,575 | 6.500 | 09/01/33 | 15,683 | |||||||||||||
155,147 | 5.000 | 10/01/33 | 160,912 | |||||||||||||
5,301 | 5.500 | 10/01/33 | 5,600 | |||||||||||||
189,117 | 5.000 | 11/01/33 | 196,145 | |||||||||||||
73,498 | 5.500 | 11/01/33 | 77,652 | |||||||||||||
29,376 | 5.000 | 12/01/33 | 30,467 | |||||||||||||
17,802 | 5.500 | 12/01/33 | 18,809 | |||||||||||||
30,092 | 5.000 | 01/01/34 | 31,210 | |||||||||||||
30,936 | 5.500 | 01/01/34 | 32,684 | |||||||||||||
63,451 | 5.500 | 02/01/34 | 66,869 | |||||||||||||
19,863 | 5.000 | 03/01/34 | 20,601 | |||||||||||||
7,473 | 5.500 | 03/01/34 | 7,895 | |||||||||||||
10,158 | 5.500 | 04/01/34 | 10,715 | |||||||||||||
1,348,744 | 5.500 | 05/01/34 | 1,424,884 | |||||||||||||
738,594 | 5.500 | 06/01/34 | 777,063 | |||||||||||||
61,594 | 5.000 | 07/01/34 | 63,882 | |||||||||||||
40,058 | 5.500 | 07/01/34 | 42,323 | |||||||||||||
17,017 | 5.500 | 08/01/34 | 17,952 | |||||||||||||
1,137 | 5.500 | 10/01/34 | 1,198 | |||||||||||||
685,454 | 5.500 | 12/01/34 | 722,057 | |||||||||||||
2,492 | 6.000 | 12/01/34 | 2,649 | |||||||||||||
61,024 | 5.500 | 04/01/35 | 64,254 | |||||||||||||
48,594 | 5.500 | 07/01/35 | 51,167 | |||||||||||||
620,596 | 6.000 | 07/01/35 | 660,983 | |||||||||||||
1,839 | 5.500 | 08/01/35 | 1,939 | |||||||||||||
84,503 | 5.500 | 09/01/35 | 88,975 | |||||||||||||
22,206 | 5.500 | 10/01/35 | 23,321 | |||||||||||||
65,425 | 5.500 | 11/01/35 | 69,153 | |||||||||||||
8,374 | 5.500 | 12/01/35 | 8,830 | |||||||||||||
11,579 | 5.500 | 01/01/36 | 12,244 | |||||||||||||
70,876 | 5.500 | 02/01/36 | 74,939 | |||||||||||||
4,086,421 | 5.500 | 03/01/36 | 4,311,037 | |||||||||||||
208,730 | 6.000 | 03/01/36 | 221,922 | |||||||||||||
37,611 | 5.500 | 04/01/36 | 39,773 | |||||||||||||
41,696 | 6.000 | 04/01/36 | 44,331 | |||||||||||||
121,704 | 5.500 | 05/01/36 | 128,697 | |||||||||||||
38,781 | 6.000 | 09/01/36 | 41,208 | |||||||||||||
2,803 | 5.500 | 10/01/36 | 2,954 | |||||||||||||
65,846 | 6.000 | 10/01/36 | 69,967 | |||||||||||||
1,758,847 | 6.000 | 11/01/36 | 1,866,989 | |||||||||||||
69,924 | 5.500 | 12/01/36 | 73,668 | |||||||||||||
42,206 | 6.000 | 12/01/36 | 44,801 | |||||||||||||
150,946 | 5.500 | 01/01/37 | 158,700 | |||||||||||||
234,444 | 6.000 | 01/01/37 | 248,899 | |||||||||||||
61,222 | 5.500 | 02/01/37 | 64,557 | |||||||||||||
281,735 | 6.000 | 02/01/37 | 299,057 | |||||||||||||
192,948 | 5.500 | 03/01/37 | 203,042 | |||||||||||||
2,932,130 | 6.000 | 03/01/37 | 3,111,952 | |||||||||||||
1,085,859 | 5.500 | 04/01/37 | 1,141,493 | |||||||||||||
826,549 | 6.000 | 04/01/37 | 877,239 | |||||||||||||
23,805 | 5.500 | 05/01/37 | 25,017 | |||||||||||||
3,074,230 | 5.500 | 05/01/37 | 3,231,018 | |||||||||||||
302,958 | 6.000 | 05/01/37 | 321,547 | |||||||||||||
225,659 | 5.500 | 06/01/37 | 237,217 | |||||||||||||
28,447 | 6.000 | 06/01/37 | 30,268 | |||||||||||||
26,600 | 5.000 | 07/01/37 | 27,588 | |||||||||||||
154,997 | 5.500 | 07/01/37 | 163,068 | |||||||||||||
210,401 | 6.000 | 07/01/37 | 223,304 | |||||||||||||
34,103 | 5.500 | 08/01/37 | 35,721 | |||||||||||||
190,476 | 6.000 | 08/01/37 | 202,122 | |||||||||||||
5,670 | 5.500 | 09/01/37 | 5,977 | |||||||||||||
800,635 | 6.000 | 09/01/37 | 846,529 | |||||||||||||
383,899 | 5.500 | 10/01/37 | 403,439 | |||||||||||||
130,683 | 6.000 | 11/01/37 | 138,656 | |||||||||||||
8,705 | 5.500 | 12/01/37 | 9,164 | |||||||||||||
138,446 | 6.000 | 12/01/37 | 147,209 | |||||||||||||
713,438 | 5.500 | 01/01/38 | 750,526 | |||||||||||||
73,934 | 6.000 | 01/01/38 | 78,446 | |||||||||||||
299,447 | 5.000 | 02/01/38 | 308,069 | |||||||||||||
640,536 | 5.500 | 02/01/38 | 673,270 | |||||||||||||
90,563 | 6.000 | 02/01/38 | 96,357 | |||||||||||||
2,342,331 | 5.500 | 03/01/38 | 2,462,641 | |||||||||||||
55,861 | 6.000 | 03/01/38 | 59,427 | |||||||||||||
2,220,288 | 5.500 | 04/01/38 | 2,333,732 | |||||||||||||
1,677,999 | 5.500 | 05/01/38 | 1,770,276 | |||||||||||||
3,578,099 | 6.000 | 05/01/38 | 3,795,456 | |||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA – (continued) | ||||||||||||||||
$ | 4,053,719 | 5.500 | % | 06/01/38 | $ | 4,257,713 | ||||||||||
60,770 | 6.000 | 06/01/38 | 64,595 | |||||||||||||
325,513 | 5.500 | 07/01/38 | 343,408 | |||||||||||||
175,397 | 6.000 | 07/01/38 | 186,300 | |||||||||||||
542,491 | 5.500 | 08/01/38 | 571,770 | |||||||||||||
659,215 | 6.000 | 08/01/38 | 699,152 | |||||||||||||
1,114,369 | 5.500 | 09/01/38 | 1,176,762 | |||||||||||||
166,290 | 6.000 | 09/01/38 | 175,864 | |||||||||||||
553,255 | 5.500 | 10/01/38 | 581,932 | |||||||||||||
11,794,589 | 6.000 | 10/01/38 | 12,506,871 | |||||||||||||
459,399 | 5.500 | 11/01/38 | 485,527 | |||||||||||||
2,389,278 | 6.000 | 11/01/38 | 2,533,568 | |||||||||||||
849,986 | 5.500 | 12/01/38 | 896,118 | |||||||||||||
2,102,805 | 6.000 | 12/01/38 | 2,229,794 | |||||||||||||
3,755,134 | 5.500 | 01/01/39 | 3,966,638 | |||||||||||||
1,016,378 | 6.000 | 01/01/39 | 1,077,757 | |||||||||||||
270,037 | 5.000 | 02/01/39 | 280,295 | |||||||||||||
63,637 | 5.500 | 02/01/39 | 67,203 | |||||||||||||
22,759,766 | 6.000 | 02/01/39 | 24,148,467 | |||||||||||||
3,966,087 | 4.500 | 03/01/39 | 3,966,913 | |||||||||||||
79,005 | 5.000 | 03/01/39 | 81,955 | |||||||||||||
79,155 | 5.500 | 03/01/39 | 83,593 | |||||||||||||
209,997 | 5.000 | 04/01/39 | 217,872 | |||||||||||||
29,379 | 5.500 | 04/01/39 | 31,025 | |||||||||||||
1,361,299 | 5.000 | 05/01/39 | 1,413,042 | |||||||||||||
67,805 | 5.500 | 05/01/39 | 71,330 | |||||||||||||
381,741 | 4.500 | 06/01/39 | 387,870 | |||||||||||||
5,289,229 | 5.000 | 06/01/39 | 5,471,585 | |||||||||||||
47,843 | 5.500 | 06/01/39 | 50,675 | |||||||||||||
530,661 | 4.500 | 07/01/39 | 539,230 | |||||||||||||
2,885,941 | 5.000 | 07/01/39 | 2,991,837 | |||||||||||||
820,592 | 4.500 | 08/01/39 | 833,669 | |||||||||||||
633,960 | 5.000 | 08/01/39 | 657,898 | |||||||||||||
1,600,000 | 4.500 | 09/01/39 | 1,626,000 | |||||||||||||
7,137,756 | 5.000 | 09/01/39 | 7,406,711 | |||||||||||||
7,362,380 | 4.500 | 10/01/39 | 7,478,230 | |||||||||||||
8,712,763 | 5.000 | 10/01/39 | 9,021,690 | |||||||||||||
12,000,000 | 4.500 | TBA-30yr | (g) | 12,149,052 | ||||||||||||
2,000,000 | 5.000 | TBA-30yr | (g) | 2,065,624 | ||||||||||||
30,000,000 | 5.500 | TBA-30yr | (g) | 31,378,140 | ||||||||||||
18,000,000 | 6.000 | TBA-30yr | (g) | 18,828,750 | ||||||||||||
300,396,596 | ||||||||||||||||
GNMA – 4.9% | ||||||||||||||||
6,583,943 | 6.000 | 08/15/38 | 6,964,577 | |||||||||||||
4,380,930 | 6.000 | 09/15/38 | 4,634,202 | |||||||||||||
38,254 | 6.000 | 10/15/38 | 40,786 | |||||||||||||
142,883 | 6.000 | 11/15/38 | 152,086 | |||||||||||||
1,207,606 | 6.000 | 12/15/38 | 1,280,060 | |||||||||||||
2,927,400 | 6.000 | 01/15/39 | 3,098,266 | |||||||||||||
2,038,415 | 5.000 | 04/15/39 | 2,122,294 | |||||||||||||
4,079,508 | 5.000 | 05/15/39 | 4,245,684 | |||||||||||||
6,272,816 | 4.500 | 06/15/39 | 6,380,876 | |||||||||||||
6,103,353 | 5.000 | 06/15/39 | 6,352,894 | |||||||||||||
996,521 | 4.500 | 07/15/39 | 1,013,687 | |||||||||||||
1,220,380 | 5.000 | 07/15/39 | 1,269,813 | |||||||||||||
5,694,053 | 5.000 | 08/15/39 | 5,913,567 | |||||||||||||
3,000,000 | 4.500 | 09/15/39 | 3,050,625 | |||||||||||||
18,900,000 | 5.000 | 09/15/39 | 19,601,072 | |||||||||||||
6,000,000 | 5.000 | TBA-30yr | (g) | 6,208,128 | ||||||||||||
72,328,617 | ||||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 499,294,767 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $876,560,798) | $ | 778,010,105 | ||||||||||||||
Agency Debentures – 1.2% | ||||||||||||||||
FHLB | ||||||||||||||||
$ | 5,250,000 | 4.500 | % | 09/13/19 | $ | 5,417,228 | ||||||||||
FHLMC(h) | ||||||||||||||||
9,300,000 | 4.750 | 11/17/15 | 10,158,669 | |||||||||||||
FNMA | ||||||||||||||||
800,000 | 0.000 | (i) | 10/09/19 | 447,164 | ||||||||||||
306,000 | 5.000 | 06/16/28 | 294,318 | |||||||||||||
Small Business Administration | ||||||||||||||||
319,783 | 6.300 | 06/01/18 | 345,244 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $16,556,699) | $ | 16,662,623 | ||||||||||||||
Asset-Backed Securities – 1.9% | ||||||||||||||||
Home Equity – 1.7% | ||||||||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A2(b)(c) | ||||||||||||||||
$ | 3,400,000 | 1.496 | % | 10/25/37 | $ | 1,393,655 | ||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A3(b)(c) | ||||||||||||||||
6,500,000 | 1.696 | 10/25/37 | 2,425,774 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A(c) | ||||||||||||||||
875,714 | 0.503 | 10/15/28 | 608,759 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A(c) | ||||||||||||||||
518,707 | 0.463 | 12/15/29 | 215,676 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2006-HW, Class 2A1B(c) | ||||||||||||||||
14,195,230 | 0.393 | 11/15/36 | 8,711,696 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||||
1,843,371 | 7.000 | 09/25/37 | 1,092,041 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||||
2,407,432 | 7.000 | 09/25/37 | 998,927 | |||||||||||||
Household Home Equity Loan Trust Series 2007-3, Class APT(c) | ||||||||||||||||
9,252,978 | 1.446 | 11/20/36 | 7,518,038 | |||||||||||||
Impac CMB Trust Series 2004-08, Class 1A(c) | ||||||||||||||||
728,640 | 0.966 | 10/25/34 | 327,540 | |||||||||||||
Impac CMB Trust Series 2004-10, Class 2A(c) | ||||||||||||||||
927,580 | 0.886 | 03/25/35 | 421,653 | |||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||||
Home Equity – (continued) | ||||||||||||||||
Morgan Stanley Capital, Inc. Series 2004-HE1, Class A4(c) | ||||||||||||||||
$ | 4,071,384 | 0.986 | % | 01/25/34 | $ | 1,979,227 | ||||||||||
25,692,986 | ||||||||||||||||
Manufactured Housing – 0.1% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
1,218,569 | 8.330 | 04/01/30 | 1,183,651 | |||||||||||||
Utilities – 0.1% | ||||||||||||||||
Massachusetts RRB Special Purpose Trust Series 1999-1, Class A5 | ||||||||||||||||
1,240,971 | 7.030 | 03/15/12 | 1,277,774 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $46,986,142) | $ | 28,154,411 | ||||||||||||||
Foreign Debt Obligations – 5.0% | ||||||||||||||||
Sovereign – 2.5% | ||||||||||||||||
Federal Republic of Brazil | ||||||||||||||||
$ | 1,710,000 | 8.250 | % | 01/20/34 | $ | 2,254,635 | ||||||||||
1,460,000 | 7.125 | 01/20/37 | 1,741,050 | |||||||||||||
Ontario Province of Canada | ||||||||||||||||
2,800,000 | 4.100 | 06/16/14 | 2,960,342 | |||||||||||||
Societe Financement de l’Economie Francaise(b) | ||||||||||||||||
18,900,000 | 3.375 | 05/05/14 | 19,506,343 | |||||||||||||
State of Qatar | ||||||||||||||||
2,000,000 | 5.150 | 04/09/14 | 2,095,000 | |||||||||||||
Swedish Export Credit | ||||||||||||||||
8,700,000 | 3.250 | 09/16/14 | 8,752,979 | |||||||||||||
37,310,349 | ||||||||||||||||
Supranational – 2.5% | ||||||||||||||||
European Investment Bank | ||||||||||||||||
14,500,000 | 3.000 | 04/08/14 | 14,838,416 | |||||||||||||
4,200,000 | 3.125 | 06/04/14 | 4,298,024 | |||||||||||||
Inter-American Development Bank | ||||||||||||||||
2,300,000 | 3.000 | 04/22/14 | 2,343,415 | |||||||||||||
International Bank for Reconstruction & Development(j) | ||||||||||||||||
15,000,000 | 1.400 | 04/14/11 | 15,081,775 | |||||||||||||
36,561,630 | ||||||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $72,239,884) | $ | 73,871,979 | ||||||||||||||
Municipal Debt Obligations – 0.4% | ||||||||||||||||
California – 0.4% | ||||||||||||||||
California State GO Bonds Build America Taxable Series 2009 | ||||||||||||||||
$ | 1,825,000 | 7.500 | % | 04/01/34 | $ | 2,006,533 | ||||||||||
3,850,000 | 7.550 | 04/01/39 | 4,284,511 | |||||||||||||
TOTAL MUNICIPAL DEBT OBLIGATIONS | ||||||||||||||||
(Cost $5,861,687) | $ | 6,291,044 | ||||||||||||||
Government Guarantee Obligations – 12.3% | ||||||||||||||||
ANZ National (International) Ltd.(b)(k) | ||||||||||||||||
$ | 12,500,000 | 3.250 | % | 04/02/12 | $ | 12,925,059 | ||||||||||
Citigroup Funding, Inc.(l) | ||||||||||||||||
9,900,000 | 1.875 | 10/22/12 | 9,925,988 | |||||||||||||
15,800,000 | 1.875 | 11/15/12 | 15,772,824 | |||||||||||||
8,500,000 | 2.250 | 12/10/12 | 8,614,444 | |||||||||||||
General Electric Capital Corp.(l) | ||||||||||||||||
10,700,000 | 2.000 | 09/28/12 | 10,759,631 | |||||||||||||
13,700,000 | 2.625 | 12/28/12 | 14,036,349 | |||||||||||||
Israel Government AID Bond(l) | ||||||||||||||||
4,000,000 | 5.500 | 09/18/33 | 4,384,208 | |||||||||||||
Kreditanstalt fuer Wiederaufbau MTN(k) | ||||||||||||||||
14,000,000 | 4.750 | 05/15/12 | 15,115,674 | |||||||||||||
17,000,000 | 4.000 | 10/15/13 | 18,034,875 | |||||||||||||
LeasePlan Corp. NV(b)(k) | ||||||||||||||||
9,000,000 | 3.000 | 05/07/12 | 9,169,348 | |||||||||||||
Macquarie Bank Ltd.(b)(k) | ||||||||||||||||
13,800,000 | 3.300 | 07/17/14 | 13,751,442 | |||||||||||||
Royal Bank of Scotland Group PLC(b)(k) | ||||||||||||||||
16,100,000 | 2.625 | 05/11/12 | 16,218,975 | |||||||||||||
Societe Financement de l’Economie Francaise(b)(k) | ||||||||||||||||
14,000,000 | 2.375 | 03/26/12 | 14,211,933 | |||||||||||||
17,200,000 | 2.875 | 09/22/14 | 17,235,260 | |||||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
(Cost $178,419,899) | $ | 180,156,010 | ||||||||||||||
U.S. Treasury Obligations – 4.6% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 2,700,000 | 4.250 | %(h) | 05/15/39 | $ | 2,793,234 | ||||||||||
10,200,000 | 4.500 | 08/15/39 | 10,996,875 | |||||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
17,933,292 | 1.625 | 01/15/15 | 18,269,541 | |||||||||||||
5,154,082 | 2.000 | 01/15/16 | 5,347,361 | |||||||||||||
2,346,102 | 2.500 | 07/15/16 | 2,514,728 | |||||||||||||
2,729,637 | 3.625 | (h) | 04/15/28 | 3,374,513 | ||||||||||||
United States Treasury Note | ||||||||||||||||
13,000,000 | 3.000 | 08/31/16 | 13,077,194 | |||||||||||||
United States Treasury Principal-Only STRIPS(i) | ||||||||||||||||
4,600,000 | 0.000 | 05/15/20 | 3,073,002 | |||||||||||||
4,400,000 | 0.000 | 08/15/20 | 2,897,985 | |||||||||||||
2,800,000 | 0.000 | 05/15/21 | 1,768,068 | |||||||||||||
4,600,000 | 0.000 | 11/15/21 | 2,827,234 | |||||||||||||
400,000 | 0.000 | 08/15/27 | 187,589 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $65,178,269) | $ | 67,127,324 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $1,574,521,317) | $ | 1,472,059,343 | ||||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(m) – 5.6% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 82,700,000 | 0.061 | % | 10/01/09 | $ | 82,700,000 | ||||||||||
Maturity Value: $82,700,140 | ||||||||||||||||
(Cost $82,700,000) | ||||||||||||||||
TOTAL INVESTMENTS – 105.9% | ||||||||||||||||
(Cost $1,657,221,317) | $ | 1,554,759,343 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (5.9)% | (86,391,679 | ) | ||||||||||||||
NET ASSETS – 100.0% | $ | 1,468,367,664 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Securities with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $189,442,281, which represents approximately 12.9% of net assets as of September 30, 2009. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2009. | |
(d) | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(e) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(f) | Security is issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level. | |
(g) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $74,007,538 which represents approximately 5.0% of net assets as of September 30, 2009. |
(h) | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
(i) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(j) | Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at September 30, 2009. | |
(k) | Represents securities which are guaranteed by a foreign government. Total market value of these securities amounts to $116,662,566, which represents approximately 8.0% of net assets as of September 30, 2009. | |
(l) | This debt is guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. Total market value of these securities amounts to $63,493,444, which represents approximately 4.3% of net assets as of September 30, 2009. | |
(m) | Joint repurchase agreement was entered into on September 30, 2009. Additional information appears on pages 58 and 59. |
Investment Abbreviations: | ||||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
GO | — | General Obligation | ||||
LIBOR | — | London Interbank Offered Rate | ||||
MTN | — | Medium-Term Note | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
RRB | — | Rate Reduction Bond | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2009, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||||
Exchange Contracts with Unrealized Gain | Type | Date | Settlement Date | Value | Gain | |||||||||||||
Australian Dollar | Purchase | 12/16/09 | $ | 3,423,879 | $ | 3,554,002 | $ | 130,123 | ||||||||||
Euro | Purchase | 12/16/09 | 11,982,610 | 12,160,784 | 178,174 | |||||||||||||
Euro | Sale | 12/16/09 | 3,894,381 | 3,884,850 | 9,531 | |||||||||||||
Japanese Yen | Purchase | 12/16/09 | 6,117,000 | 6,238,917 | 121,917 | |||||||||||||
New Zealand Dollar | Purchase | 12/16/09 | 7,128,843 | 7,565,419 | 436,576 | |||||||||||||
Norwegian Krone | Purchase | 12/16/09 | 2,930,000 | 2,953,217 | 23,217 | |||||||||||||
Swedish Krona | Purchase | 12/16/09 | 3,700,317 | 3,749,414 | 49,097 | |||||||||||||
TOTAL | $ | 948,635 | ||||||||||||||||
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||||
Exchange Contracts with Unrealized Loss | Type | Date | Settlement Date | Value | Loss | |||||||||||||
British Pound | Purchase | 12/16/09 | $ | 5,984,461 | $ | 5,906,219 | $ | (78,242 | ) | |||||||||
Euro | Sale | 10/13/09 | 7,586,603 | 7,807,023 | (220,420 | ) | ||||||||||||
Euro | Purchase | 12/16/09 | 978,542 | 970,115 | (8,427 | ) | ||||||||||||
Euro | Sale | 12/16/09 | 2,506,194 | 2,582,584 | (76,390 | ) | ||||||||||||
Japanese Yen | Sale | 12/16/09 | 11,829,294 | 12,360,896 | (531,602 | ) | ||||||||||||
New Zealand Dollar | Sale | 12/16/09 | 1,886,923 | 2,015,701 | (128,778 | ) | ||||||||||||
Swiss Franc | Sale | 12/16/09 | 5,142,575 | 5,293,705 | (151,130 | ) | ||||||||||||
TOTAL | $ | (1,194,989 | ) | |||||||||||||||
Open Forward Foreign Currency | ||||||||||||||
Exchange Cross Contracts with Unrealized | Expiration | Purchase | Sale | Unrealized | ||||||||||
Gain (Purchase/Sale) | Date | Current Value | Current Value | Gain | ||||||||||
Australian Dollar/Canadian Dollar | 12/16/09 | $ | 993,861 | $ | 992,825 | $ | 1,036 | |||||||
Australian Dollar/Euro | 12/16/09 | 2,005,686 | 1,981,200 | 24,486 | ||||||||||
Canadian Dollar/Euro | 12/16/09 | 4,125,578 | 4,101,407 | 24,171 | ||||||||||
Euro/British Pound | 12/16/09 | 4,830,090 | 4,740,909 | 89,181 | ||||||||||
Euro/Swedish Krona | 12/16/09 | 1,934,377 | 1,910,989 | 23,388 | ||||||||||
New Zealand Dollar/Euro | 12/16/09 | 995,196 | 968,652 | 26,544 | ||||||||||
Norwegian Krone/Euro | 12/16/09 | 3,137,488 | 3,097,637 | 39,851 | ||||||||||
Norwegian Krone/Swedish Krona | 12/16/09 | 1,196,530 | 1,194,226 | 2,304 | ||||||||||
Swiss Franc/Euro | 12/16/09 | 1,989,686 | 1,986,177 | 3,509 | ||||||||||
TOTAL | $ | 234,470 | ||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (continued)
Open Forward Foreign Currency | ||||||||||||||
Exchange Cross Contracts with Unrealized Loss | Expiration | Purchase | Sale | Unrealized | ||||||||||
(Purchase/Sale) | Date | Current Value | Current Value | Loss | ||||||||||
Australian Dollar/New Zealand Dollar | 12/16/09 | $ | 1,936,889 | $ | 1,949,812 | $ | (12,923 | ) | ||||||
British Pound/Euro | 12/16/09 | 1,183,564 | 1,192,524 | (8,960 | ) | |||||||||
Canadian Dollar/Euro | 12/16/09 | 1,562,071 | 1,577,351 | (15,280 | ) | |||||||||
Canadian Dollar/Japanese Yen | 12/16/09 | 1,142,433 | 1,174,224 | (31,791 | ) | |||||||||
Euro/Australian Dollar | 12/16/09 | 3,873,144 | 3,988,395 | (115,251 | ) | |||||||||
Euro/Canadian Dollar | 12/16/09 | 1,949,009 | 1,994,213 | (45,204 | ) | |||||||||
Euro/New Zealand Dollar | 12/16/09 | 4,916,420 | 4,979,711 | (63,291 | ) | |||||||||
Euro/Norwegian Krone | 12/16/09 | 1,886,906 | 1,943,909 | (57,003 | ) | |||||||||
New Zealand Dollar/Euro | 12/16/09 | 1,587,252 | 1,587,594 | (342 | ) | |||||||||
Swedish Krona/Euro | 12/16/09 | 1,932,918 | 1,946,083 | (13,165 | ) | |||||||||
TOTAL | $ | (363,210 | ) | |||||||||||
FORWARD SALES CONTRACT — At September 30, 2009, the Fund had the following forward sales contract:
Interest | Maturity | Settlement | Principal | |||||||||||||||
Description | Rate | Date | Date | Amount | Value | |||||||||||||
GNMA (Proceeds Receivable $13,705,352) | 6.000% | TBA-15yr(g) | 10/21/09 | $ | 13,000,000 | $ | 13,723,125 | |||||||||||
FUTURES CONTRACTS — At September 30, 2009, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
Eurodollars | 116 | November 2009 | $ | 28,902,850 | $ | 12,933 | ||||||||
Eurodollars | 106 | December 2009 | 26,401,950 | 165,882 | ||||||||||
Eurodollars | (4 | ) | September 2010 | (986,350 | ) | (596 | ) | |||||||
Eurodollars | (1 | ) | December 2010 | (245,612 | ) | (201 | ) | |||||||
2 Year U.S. Treasury Notes | 252 | December 2009 | 54,676,125 | 274,639 | ||||||||||
5 Year U.S. Treasury Notes | (661 | ) | December 2009 | (76,737,969 | ) | (386,598 | ) | |||||||
10 Year U.S. Treasury Notes | 1,502 | December 2009 | 177,728,844 | 2,559,605 | ||||||||||
30 Year U.S. Treasury Bonds | 880 | December 2009 | 106,810,000 | 2,249,291 | ||||||||||
TOTAL | $ | 4,874,955 | ||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At September 30, 2009, 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 | Market | made (received) | Unrealized | ||||||||||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Value | by the Fund | Gain (Loss) | |||||||||||||||||
Banc of America Securities LLC | $ | 65,000 | 04/19/12 | 4.547% | 3 month LIBOR | $ | 5,999,283 | $ | — | $ | 5,999,283 | |||||||||||||
11,000 | 05/25/15 | 4.533 | 3 month LIBOR | 1,164,949 | — | 1,164,949 | ||||||||||||||||||
25,000 | 10/19/15 | 4.965 | 3 month LIBOR | 3,420,274 | — | 3,420,274 | ||||||||||||||||||
9,700 | (a) | 12/16/16 | 3 month LIBOR | 3.250% | (15,281 | ) | 89,131 | (104,412 | ) | |||||||||||||||
13,000 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (20,479 | ) | 122,254 | (142,733 | ) | |||||||||||||||
13,900 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (21,897 | ) | 344,720 | (366,617 | ) | |||||||||||||||
16,700 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (26,308 | ) | 282,905 | (309,213 | ) | |||||||||||||||
20,200 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (31,821 | ) | 427,432 | (459,253 | ) | |||||||||||||||
20,700 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (32,609 | ) | 362,250 | (394,859 | ) | |||||||||||||||
21,000 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (33,081 | ) | 333,498 | (366,579 | ) | |||||||||||||||
27,800 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (43,794 | ) | 704,730 | (748,524 | ) | |||||||||||||||
51,800 | (a) | 08/14/17 | 4.955 | 3 month LIBOR | 1,754,559 | — | 1,754,559 | |||||||||||||||||
80,000 | 03/23/20 | 3 month LIBOR | 5.108 | (11,661,083 | ) | — | (11,661,083 | ) | ||||||||||||||||
29,100 | (a) | 08/15/22 | 3 month LIBOR | 5.078 | (1,646,261 | ) | — | (1,646,261 | ) | |||||||||||||||
Credit Suisse First Boston Corp | 4,500 | (a) | 12/17/29 | 3 month LIBOR | 4.000 | (49,751 | ) | 126,944 | (176,695 | ) | ||||||||||||||
Deutsche Bank Securities, Inc. | 24,900 | (a) | 09/05/17 | 4.568 | 3 month LIBOR | 418,655 | — | 418,655 | ||||||||||||||||
14,600 | (a) | 09/06/22 | 3 month LIBOR | 4.710 | (404,603 | ) | — | (404,603 | ) | |||||||||||||||
JPMorgan Securities, Inc. | 34,900 | (a) | 12/16/19 | 3.500 | 3 month LIBOR | (156,550 | ) | (417,589 | ) | 261,039 | ||||||||||||||
11,600 | (a) | 12/17/29 | 3 month LIBOR | 4.000 | (128,247 | ) | (205,668 | ) | 77,421 | |||||||||||||||
TOTAL | $ | (1,514,045 | ) | $ | 2,170,607 | $ | (3,684,652 | ) | ||||||||||||||||
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2009. |
CREDIT DEFAULT SWAP CONTRACTS
Notional | Upfront Payments | |||||||||||||||||||||
Amount | Rates received | Termination | Market | made (received) | Unrealized | |||||||||||||||||
Swap Counterparty | Referenced Obligation | (000s) | (paid) by Fund | Date | Value | by the Fund | Gain (Loss) | |||||||||||||||
Protection Purchased: | ||||||||||||||||||||||
Deutsche Bank Securities, Inc. | CDX North America Investment Grade Index | $ | 51,000 | (1.500)% | 12/20/13 | $ | (443,238 | ) | $ | 1,395,290 | $ | (1,838,528 | ) | |||||||||
CDX North America Investment Grade Index | 12,600 | (1.000) | 12/20/14 | (3,500 | ) | — | (3,500 | ) | ||||||||||||||
CDX North America Investment Grade Index | 17,800 | (1.000) | 12/20/14 | 4,084 | (34,229 | ) | 38,313 | |||||||||||||||
TOTAL | $ | (442,654 | ) | $ | 1,361,061 | $ | (1,803,715 | ) | ||||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – 17.6% | ||||||||||||||||
Automotive – 0.3% | ||||||||||||||||
GMAC LLC | ||||||||||||||||
$ | 625,000 | 6.875 | % | 09/15/11 | $ | 588,181 | ||||||||||
Banks – 3.7% | ||||||||||||||||
ANZ Capital Trust I(a)(b) | ||||||||||||||||
250,000 | 4.484 | 01/29/49 | 245,846 | |||||||||||||
ANZ Capital Trust II(a)(b) | ||||||||||||||||
175,000 | 5.360 | 12/29/49 | 158,192 | |||||||||||||
Bank of America Corp.(a) | ||||||||||||||||
75,000 | 7.625 | 06/01/19 | 84,509 | |||||||||||||
Bank of America NA | ||||||||||||||||
1,575,000 | 6.100 | 06/15/17 | 1,584,173 | |||||||||||||
Barclays Bank PLC | ||||||||||||||||
900,000 | 6.750 | 05/22/19 | 1,006,591 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
225,000 | 4.125 | 02/22/10 | 227,266 | |||||||||||||
HSBC Holdings PLC | ||||||||||||||||
500,000 | 6.800 | 06/01/38 | 561,054 | |||||||||||||
JPMorgan Chase & Co. | ||||||||||||||||
400,000 | 6.000 | 10/01/17 | 420,700 | |||||||||||||
100,000 | 6.300 | 04/23/19 | 109,173 | |||||||||||||
350,000 | 7.900 | (a)(c) | 04/30/49 | 336,060 | ||||||||||||
JPMorgan Chase Capital XXII Series V(a) | ||||||||||||||||
250,000 | 6.450 | 02/02/37 | 231,250 | |||||||||||||
MUFG Capital Finance 1 Ltd.(a)(c) | ||||||||||||||||
250,000 | 6.346 | 07/29/49 | 225,000 | |||||||||||||
PNC Bank NA | ||||||||||||||||
250,000 | 6.875 | 04/01/18 | 270,306 | |||||||||||||
Resona Preferred Global Securities Ltd.(a)(b)(c) | ||||||||||||||||
300,000 | 7.191 | 12/29/49 | 249,000 | |||||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||||
600,000 | 4.875 | (b) | 08/25/14 | 609,222 | ||||||||||||
175,000 | 9.118 | (a) | 03/31/49 | 161,875 | ||||||||||||
UFJ Finance Aruba AEC | ||||||||||||||||
30,000 | 6.750 | 07/15/13 | 33,000 | |||||||||||||
US Bank NA(a)(c) | ||||||||||||||||
EUR 200,000 | 4.375 | 02/28/17 | 271,990 | |||||||||||||
Wachovia Bank NA | ||||||||||||||||
$ | 150,000 | 6.600 | 01/15/38 | 164,653 | ||||||||||||
Wachovia Corp. | ||||||||||||||||
500,000 | 5.500 | 05/01/13 | 536,204 | |||||||||||||
Wells Fargo & Co. | ||||||||||||||||
100,000 | 5.625 | 12/11/17 | 104,781 | |||||||||||||
Wells Fargo Capital XIII(a)(c) | ||||||||||||||||
300,000 | 7.700 | 03/26/49 | 264,000 | |||||||||||||
7,854,845 | ||||||||||||||||
Brokerage – 1.3% | ||||||||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||||
150,000 | 5.450 | 02/05/13 | 156,324 | |||||||||||||
200,000 | 6.400 | 08/28/17 | 202,553 | |||||||||||||
700,000 | 6.875 | 04/25/18 | 737,669 | |||||||||||||
Morgan Stanley & Co. | ||||||||||||||||
550,000 | 0.788 | %(c) | 01/09/12 | 535,931 | ||||||||||||
325,000 | 6.625 | (a) | 04/01/18 | 343,242 | ||||||||||||
525,000 | 7.300 | (a) | 05/13/19 | 577,644 | ||||||||||||
250,000 | 5.625 | (a) | 09/23/19 | 246,938 | ||||||||||||
2,800,301 | ||||||||||||||||
Captive Financial – 0.1% | ||||||||||||||||
International Lease Finance Corp. | ||||||||||||||||
125,000 | 4.950 | 02/01/11 | 114,458 | |||||||||||||
Chemicals(a) – 0.3% | ||||||||||||||||
The Dow Chemical Co. | ||||||||||||||||
500,000 | 7.600 | 05/15/14 | 553,125 | |||||||||||||
175,000 | 5.900 | 02/15/15 | 179,617 | |||||||||||||
732,742 | ||||||||||||||||
Consumer Products(a) – 0.1% | ||||||||||||||||
Whirlpool Corp. | ||||||||||||||||
75,000 | 8.000 | 05/01/12 | 80,955 | |||||||||||||
100,000 | 8.600 | 05/01/14 | 111,863 | |||||||||||||
192,818 | ||||||||||||||||
Distributors(a)(b) – 0.3% | ||||||||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III | ||||||||||||||||
250,000 | 6.750 | 09/30/19 | 280,321 | |||||||||||||
Southern Star Central Gas Pipeline, Inc. | ||||||||||||||||
300,000 | 6.000 | 06/01/16 | 284,848 | |||||||||||||
565,169 | ||||||||||||||||
Electric(a) – 2.0% | ||||||||||||||||
AEP Texas Central Co. | ||||||||||||||||
115,000 | 6.650 | 02/15/33 | 123,575 | |||||||||||||
Arizona Public Service Co. | ||||||||||||||||
150,000 | 6.250 | 08/01/16 | 155,374 | |||||||||||||
325,000 | 8.750 | 03/01/19 | 393,489 | |||||||||||||
Commonwealth Edison Co. | ||||||||||||||||
75,000 | 5.800 | 03/15/18 | 81,024 | |||||||||||||
150,000 | 5.875 | 02/01/33 | 158,366 | |||||||||||||
125,000 | 5.900 | 03/15/36 | 132,845 | |||||||||||||
Enel Finance International SA(b) | ||||||||||||||||
525,000 | 5.125 | 10/07/19 | 522,690 | |||||||||||||
FirstEnergy Corp. | ||||||||||||||||
300,000 | 7.375 | 11/15/31 | 336,278 | |||||||||||||
MidAmerican Energy Holdings Co. | ||||||||||||||||
75,000 | 5.750 | 04/01/18 | 80,955 | |||||||||||||
225,000 | 6.125 | 04/01/36 | 239,678 | |||||||||||||
Nevada Power Co. | ||||||||||||||||
225,000 | 7.125 | 03/15/19 | 255,929 | |||||||||||||
Niagara Mohawk Power Corp.(b) | ||||||||||||||||
720,000 | 4.881 | 08/15/19 | 735,335 | |||||||||||||
NiSource Finance Corp. | ||||||||||||||||
125,000 | 10.750 | 03/15/16 | 146,963 | |||||||||||||
Pacific Gas & Electric Co. | ||||||||||||||||
175,000 | 6.250 | 03/01/39 | 200,223 | |||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
Electric(a) – (continued) | ||||||||||||||||
Progress Energy, Inc. | ||||||||||||||||
$ | 100,000 | 5.625 | % | 01/15/16 | $ | 105,490 | ||||||||||
150,000 | 7.050 | 03/15/19 | 174,651 | |||||||||||||
Puget Sound Energy, Inc.(c) | ||||||||||||||||
250,000 | 6.974 | 06/01/67 | 200,805 | |||||||||||||
Scottish Power PLC | ||||||||||||||||
125,000 | 4.910 | 03/15/10 | 127,275 | |||||||||||||
4,170,945 | ||||||||||||||||
Energy – 1.1% | ||||||||||||||||
Canadian Natural Resources Ltd.(a) | ||||||||||||||||
175,000 | 5.700 | 05/15/17 | 184,282 | |||||||||||||
75,000 | 6.500 | 02/15/37 | 81,635 | |||||||||||||
Dolphin Energy Ltd.(a)(b) | ||||||||||||||||
240,000 | 5.888 | 06/15/19 | 242,551 | |||||||||||||
Halliburton Co.(b) | ||||||||||||||||
25,000 | 7.600 | 08/15/96 | 28,990 | |||||||||||||
Nexen, Inc.(a) | ||||||||||||||||
350,000 | 6.400 | 05/15/37 | 340,738 | |||||||||||||
Petro-Canada(a) | ||||||||||||||||
550,000 | 6.050 | 05/15/18 | 575,904 | |||||||||||||
Petroleos Mexicanos(a) | ||||||||||||||||
370,000 | 8.000 | 05/03/19 | 422,540 | |||||||||||||
Transocean, Inc.(a) | ||||||||||||||||
175,000 | 6.800 | 03/15/38 | 197,972 | |||||||||||||
XTO Energy, Inc.(a) | ||||||||||||||||
225,000 | 6.500 | 12/15/18 | 248,392 | |||||||||||||
2,323,004 | ||||||||||||||||
Entertainment(a) – 0.1% | ||||||||||||||||
Universal City Development Partners | ||||||||||||||||
125,000 | 11.750 | 04/01/10 | 125,000 | |||||||||||||
Food & Beverage(a) – 0.4% | ||||||||||||||||
Anheuser-Busch InBev Worldwide, Inc.(b) | ||||||||||||||||
700,000 | 7.750 | 01/15/19 | 828,282 | |||||||||||||
Land O’ Lakes, Inc. | ||||||||||||||||
125,000 | 8.750 | 11/15/11 | 125,000 | |||||||||||||
953,282 | ||||||||||||||||
Health Care-Medical Products – 0.5% | ||||||||||||||||
Agilent Technologies, Inc.(a) | ||||||||||||||||
525,000 | 5.500 | 09/14/15 | 540,034 | |||||||||||||
Boston Scientific Corp.(a) | ||||||||||||||||
125,000 | 7.000 | 11/15/35 | 114,531 | |||||||||||||
CareFusion Corp.(b) | ||||||||||||||||
325,000 | 6.375 | 08/01/19 | 352,481 | |||||||||||||
1,007,046 | ||||||||||||||||
Health Care-Services(a)(b) – 0.1% | ||||||||||||||||
HCA, Inc. | ||||||||||||||||
250,000 | 7.875 | 02/15/20 | 251,875 | |||||||||||||
Industrial(a)(d) – 0.0% | ||||||||||||||||
Allied Waste Industries, Inc. | ||||||||||||||||
60,000 | 4.250 | 04/15/34 | 59,416 | |||||||||||||
Life Insurance(a)(b) – 0.1% | ||||||||||||||||
Americo Life, Inc. | ||||||||||||||||
50,000 | 7.875 | 05/01/13 | 34,753 | |||||||||||||
Phoenix Life Insurance Co. | ||||||||||||||||
100,000 | 7.150 | 12/15/34 | 23,750 | |||||||||||||
Symetra Financial Corp. | ||||||||||||||||
100,000 | 6.125 | 04/01/16 | 84,783 | |||||||||||||
143,286 | ||||||||||||||||
Media-Cable – 0.6% | ||||||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
200,000 | 10.625 | 07/15/12 | 238,413 | |||||||||||||
175,000 | 9.455 | 11/15/22 | 224,875 | |||||||||||||
Cox Communications, Inc.(a)(b) | ||||||||||||||||
150,000 | 5.875 | 12/01/16 | 157,669 | |||||||||||||
300,000 | 6.250 | 06/01/18 | 318,272 | |||||||||||||
CSC Holdings, Inc. Series B | ||||||||||||||||
250,000 | 7.625 | 04/01/11 | 260,625 | |||||||||||||
EchoStar DBS Corp.(a) | ||||||||||||||||
125,000 | 7.125 | 02/01/16 | 124,062 | |||||||||||||
1,323,916 | ||||||||||||||||
Media-Non Cable(a) – 0.3% | ||||||||||||||||
DIRECTV Holdings LLC(b) | ||||||||||||||||
250,000 | 5.875 | 10/01/19 | 249,372 | |||||||||||||
Thomson Reuters Corp. | ||||||||||||||||
275,000 | 6.500 | 07/15/18 | 310,898 | |||||||||||||
560,270 | ||||||||||||||||
Metals & Mining(a) – 0.5% | ||||||||||||||||
Anglo American Capital PLC(b) | ||||||||||||||||
600,000 | 9.375 | 04/08/19 | 729,000 | |||||||||||||
ArcelorMittal | ||||||||||||||||
325,000 | 6.125 | 06/01/18 | 320,176 | |||||||||||||
1,049,176 | ||||||||||||||||
Noncaptive-Financial – 0.6% | ||||||||||||||||
Pemex Project Funding Master Trust | ||||||||||||||||
10,000 | 9.125 | 10/13/10 | 10,650 | |||||||||||||
SLM Corp. | ||||||||||||||||
300,000 | 5.450 | 04/25/11 | 283,586 | |||||||||||||
The Bear Stearns Cos. LLC | ||||||||||||||||
50,000 | 6.400 | 10/02/17 | 54,200 | |||||||||||||
825,000 | 7.250 | 02/01/18 | 943,450 | |||||||||||||
VIP Finance Ireland Ltd. for OJSC Vimpel Communications | ||||||||||||||||
100,000 | 9.125 | 04/30/18 | 104,750 | |||||||||||||
1,396,636 | ||||||||||||||||
Packaging(a)(c) – 0.1% | ||||||||||||||||
Impress Holdings BV | ||||||||||||||||
EUR 125,000 | 4.121 | 09/15/13 | 171,157 | |||||||||||||
Pharmaceuticals(a)(b) – 0.2% | ||||||||||||||||
Roche Holdings, Inc. | ||||||||||||||||
$ | 425,000 | 6.000 | 03/01/19 | 473,084 | ||||||||||||
Pipelines – 1.9% | ||||||||||||||||
Boardwalk Pipelines LP(a) | ||||||||||||||||
175,000 | 5.875 | 11/15/16 | 177,687 | |||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
Pipelines – (continued) | ||||||||||||||||
Buckeye Partners LP(a) | ||||||||||||||||
$ | 475,000 | 5.500 | % | 08/15/19 | $ | 485,488 | ||||||||||
DCP Midstream LLC(a)(b) | ||||||||||||||||
325,000 | 9.750 | 03/15/19 | 388,252 | |||||||||||||
El Paso Corp.(a) | ||||||||||||||||
500 | 7.750 | 01/15/32 | 460 | |||||||||||||
Energy Transfer Partners LP(a) | ||||||||||||||||
400,000 | 5.950 | 02/01/15 | 423,129 | |||||||||||||
125,000 | 6.700 | 07/01/18 | 134,754 | |||||||||||||
Enterprise Products Operating LP(a) | ||||||||||||||||
125,000 | 5.600 | 10/15/14 | 132,178 | |||||||||||||
225,000 | 5.000 | 03/01/15 | 229,597 | |||||||||||||
100,000 | 7.034 | (c) | 01/15/68 | 87,572 | ||||||||||||
Gulf South Pipeline Co. LP(a)(b) | ||||||||||||||||
175,000 | 6.300 | 08/15/17 | 179,894 | |||||||||||||
Magellan Midstream Partners LP(a) | ||||||||||||||||
425,000 | 6.550 | 07/15/19 | 472,268 | |||||||||||||
ONEOK Partners LP(a) | ||||||||||||||||
125,000 | 6.650 | 10/01/36 | 129,856 | |||||||||||||
Southern Natural Gas Co.(a)(b) | ||||||||||||||||
50,000 | 5.900 | 04/01/17 | 51,495 | |||||||||||||
Tennessee Gas Pipeline Co. | ||||||||||||||||
325,000 | 7.625 | 04/01/37 | 367,063 | |||||||||||||
TEPPCO Partners LP(a) | ||||||||||||||||
275,000 | 6.650 | 04/15/18 | 298,044 | |||||||||||||
The Williams Cos., Inc.(a) | ||||||||||||||||
533,000 | 7.875 | 09/01/21 | 578,793 | |||||||||||||
4,136,530 | ||||||||||||||||
Property/Casualty Insurance – 0.6% | ||||||||||||||||
CNA Financial Corp. | ||||||||||||||||
150,000 | 7.250 | 11/15/23 | 124,623 | |||||||||||||
Endurance Specialty Holdings Ltd.(a) | ||||||||||||||||
75,000 | 6.150 | 10/15/15 | 78,576 | |||||||||||||
150,000 | 7.000 | 07/15/34 | 134,088 | |||||||||||||
QBE Insurance Group Ltd.(b) | ||||||||||||||||
122,000 | 9.750 | 03/14/14 | 138,483 | |||||||||||||
Swiss Re Capital I LP(a)(b)(c) | ||||||||||||||||
100,000 | 6.854 | 05/29/49 | 75,000 | |||||||||||||
The Chubb Corp.(a) | ||||||||||||||||
75,000 | 6.500 | 05/15/38 | 88,422 | |||||||||||||
125,000 | 6.375 | (c) | 03/29/67 | 112,500 | ||||||||||||
ZFS Finance USA Trust I(a)(b)(c) | ||||||||||||||||
500,000 | 6.150 | 12/15/65 | 450,000 | |||||||||||||
1,201,692 | ||||||||||||||||
Real Estate Investment Trust(a) – 0.3% | ||||||||||||||||
Simon Property Group LP | ||||||||||||||||
450,000 | 6.125 | 05/30/18 | 453,409 | |||||||||||||
WEA Finance LLC/WT Finance Australia Property Ltd.(b) | ||||||||||||||||
150,000 | 7.500 | 06/02/14 | 161,655 | |||||||||||||
Westfield Capital Corp.(b) | ||||||||||||||||
150,000 | 5.125 | 11/15/14 | 146,019 | |||||||||||||
761,083 | ||||||||||||||||
Technology(a) – 0.1% | ||||||||||||||||
Fiserv, Inc. | ||||||||||||||||
225,000 | 6.125 | 11/20/12 | 243,528 | |||||||||||||
Tobacco – 0.4% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
225,000 | 9.700 | 11/10/18 | 279,463 | |||||||||||||
BAT International Finance PLC(a)(b) | ||||||||||||||||
200,000 | 9.500 | 11/15/18 | 259,405 | |||||||||||||
Philip Morris International, Inc. | ||||||||||||||||
250,000 | 5.650 | 05/16/18 | 266,104 | |||||||||||||
804,972 | ||||||||||||||||
Wireless Telecommunications(a) – 0.8% | ||||||||||||||||
AT&T, Inc. | ||||||||||||||||
725,000 | 6.400 | 05/15/38 | 769,632 | |||||||||||||
Hellas Telecommunications Luxembourg V(c) | ||||||||||||||||
EUR 125,000 | 4.496 | 10/15/12 | 159,139 | |||||||||||||
Inmarsat Finance II PLC(e) | ||||||||||||||||
$ | 125,000 | 10.375 | 11/15/12 | 129,375 | ||||||||||||
Rogers Communications, Inc. | ||||||||||||||||
225,000 | 6.800 | 08/15/18 | 252,508 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
125,000 | 8.375 | 03/15/12 | 129,375 | |||||||||||||
Verizon Wireless Capital LLC(b) | ||||||||||||||||
150,000 | 8.500 | 11/15/18 | 187,295 | |||||||||||||
1,627,324 | ||||||||||||||||
Wirelines Telecommunications – 0.8% | ||||||||||||||||
New England Telephone & Telegraph Co.(d) | ||||||||||||||||
5,000 | 7.875 | 11/15/29 | 5,675 | |||||||||||||
Nordic Telephone Co. Holdings(a) | ||||||||||||||||
EUR 125,000 | 8.250 | 05/01/16 | 192,065 | |||||||||||||
Qtel International Finance Ltd.(b) | ||||||||||||||||
$ | 140,000 | 6.500 | 06/10/14 | 152,950 | ||||||||||||
Qwest Capital Funding, Inc.(a) | ||||||||||||||||
250,000 | 7.250 | 02/15/11 | 250,000 | |||||||||||||
Telecom Italia Capital(a) | ||||||||||||||||
300,000 | 7.721 | 06/04/38 | 356,238 | |||||||||||||
Telecom Italia Capital SA(a) | ||||||||||||||||
175,000 | 6.200 | 07/18/11 | 186,262 | |||||||||||||
Verizon Communications, Inc.(a) | ||||||||||||||||
300,000 | 6.400 | 02/15/38 | 322,798 | |||||||||||||
150,000 | 8.950 | 03/01/39 | 205,495 | |||||||||||||
1,671,483 | ||||||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||||
(Cost $35,342,883) | $ | 37,303,219 | ||||||||||||||
Mortgage-Backed Obligations – 48.6% | ||||||||||||||||
Adjustable Rate Non-Agency(c) – 7.7% | ||||||||||||||||
Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1 | ||||||||||||||||
$ | 137,079 | 5.007 | % | 04/25/35 | $ | 115,358 | ||||||||||
American Home Mortgage Assets Series 2007-1, Class A1 | ||||||||||||||||
787,348 | 1.601 | 02/25/47 | 353,779 | |||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Non-Agency(c) – (continued) | ||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1 | ||||||||||||||||
$ | 120,159 | 4.217 | % | 04/25/34 | $ | 101,186 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2005-03, Class 2A1 | ||||||||||||||||
445,805 | 5.086 | 06/25/35 | 336,478 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-38, Class A3 | ||||||||||||||||
316,691 | 0.596 | 09/25/35 | 174,923 | |||||||||||||
Countrywide Alternative Loan Trust Series 2006-0A21, Class A1 | ||||||||||||||||
718,526 | 0.436 | 03/20/47 | 339,264 | |||||||||||||
Countrywide Home Loan Trust Series 2004-HYB5, Class 2A1 | ||||||||||||||||
262,777 | 3.885 | 04/20/35 | 238,895 | |||||||||||||
Countrywide Home Loan Trust Series 2004-HYB6, Class A2 | ||||||||||||||||
155,456 | 4.377 | 11/20/34 | 118,244 | |||||||||||||
Countrywide Home Loan Trust Series 2005-HYB4, Class 2A1 | ||||||||||||||||
672,099 | 4.864 | 08/20/35 | 499,127 | |||||||||||||
Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR1, Class 2A1A | ||||||||||||||||
2,661,990 | 1.841 | 04/19/47 | 1,378,480 | |||||||||||||
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1 | ||||||||||||||||
60,313 | 4.750 | 12/25/34 | 52,754 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2004-AR1, Class 12A | ||||||||||||||||
222,806 | 4.720 | 06/25/34 | 194,201 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-14, Class 5A1A | ||||||||||||||||
661,047 | 5.724 | 12/19/35 | 425,883 | |||||||||||||
Harborview Mortgage Loan Trust Series 2006-10, Class 2A1A | ||||||||||||||||
661,155 | 0.426 | 11/19/36 | 329,799 | |||||||||||||
Harborview Mortgage Loan Trust Series 2006-12, Class 2A2A | ||||||||||||||||
1,394,818 | 0.436 | 01/19/38 | 736,567 | |||||||||||||
Harborview Mortgage Loan Trust Series 2006-14, Class 2A1A | ||||||||||||||||
3,735,216 | 0.396 | 01/25/47 | 1,918,893 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1 | ||||||||||||||||
427,415 | 5.186 | 08/25/35 | 290,422 | |||||||||||||
JPMorgan Mortgage Trust Series 2005-A4, Class 2A1 | ||||||||||||||||
514,633 | 5.055 | 07/25/35 | 407,173 | |||||||||||||
Lehman XS Trust Series 2006-2N, Class 1A1 | ||||||||||||||||
1,418,183 | 0.506 | 02/25/46 | 726,850 | |||||||||||||
Lehman XS Trust Series 2007-16N, Class 2A2 | ||||||||||||||||
1,350,136 | 1.096 | 09/25/47 | 637,537 | |||||||||||||
Lehman XS Trust Series 2007-4N, Class 1A1 | ||||||||||||||||
1,697,863 | 0.376 | 03/25/47 | 1,007,875 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2004-9, Class 2A1 | ||||||||||||||||
2,191 | 0.626 | 11/25/34 | 1,809 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2006-A2, Class 4A1B | ||||||||||||||||
713,593 | 2.251 | 12/25/46 | 228,908 | |||||||||||||
Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1 | ||||||||||||||||
578,928 | 3.539 | 10/25/34 | 472,395 | |||||||||||||
Residential Accredit Loans, Inc. Series 2005-Q05, Class A1 | ||||||||||||||||
498,750 | 1.901 | 01/25/46 | 269,277 | |||||||||||||
Residential Accredit Loans, Inc. Series 2007-QH9, Class A1 | ||||||||||||||||
928,090 | 6.521 | 11/25/37 | 405,284 | |||||||||||||
Residential Funding Mortgage Securities I Series 2005-SA4, Class 2A1 | ||||||||||||||||
555,594 | 5.210 | 09/25/35 | 429,786 | |||||||||||||
Residential Funding Mortgage Securities I Series 2005-SA4, Class 2A2 | ||||||||||||||||
630,046 | 5.190 | 09/25/35 | 523,797 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-05, Class 3A1 | ||||||||||||||||
205,705 | 3.734 | 05/25/34 | 174,213 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2 | ||||||||||||||||
80,981 | 3.396 | 09/25/34 | 68,073 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-16, Class 3A1 | ||||||||||||||||
378,944 | 5.089 | 11/25/34 | 318,592 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2005-22, Class 1A4 | ||||||||||||||||
3,000,000 | 5.250 | 12/25/35 | 985,667 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2006-1, Class 5A2 | ||||||||||||||||
1,000,000 | 5.250 | 02/25/36 | 510,413 | |||||||||||||
Washington Mutual Asset-Backed Certificates Series 2007-HE1, Class 2A3 | ||||||||||||||||
3,000,000 | 0.396 | 01/25/37 | 869,906 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR03, Class A2 | ||||||||||||||||
236,023 | 3.137 | 06/25/34 | 220,757 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR2, Class 1A1 | ||||||||||||||||
639,100 | 5.279 | 03/25/37 | 474,117 | |||||||||||||
16,336,682 | ||||||||||||||||
Collateralized Mortgage Obligations – 5.4% | ||||||||||||||||
Planned Amortization Class – 0.2% | ||||||||||||||||
FNMA REMIC Series 2005-70, Class PA | ||||||||||||||||
442,449 | 5.500 | 08/25/35 | 470,358 | |||||||||||||
Regular Floater(c) – 1.7% | ||||||||||||||||
FHLMC REMIC Series 3038, Class XA(f) | ||||||||||||||||
49,318 | 0.000 | 09/15/35 | 44,949 | |||||||||||||
FHLMC REMIC Series 3167, Class X(f) | ||||||||||||||||
12,245 | 0.000 | 06/15/36 | 11,849 | |||||||||||||
FHLMC REMIC Series 3266, Class F | ||||||||||||||||
2,669,694 | 0.543 | 01/15/37 | 2,600,593 | |||||||||||||
FNMA REMIC Series 2007-2, Class FM | ||||||||||||||||
969,705 | 0.496 | 02/25/37 | 945,269 | |||||||||||||
3,602,660 | ||||||||||||||||
Sequential Fixed Rate – 3.5% | ||||||||||||||||
Banc of America Funding Corp. Series 2007-E, Class 4A1 | ||||||||||||||||
1,426,120 | 5.763 | 07/20/47 | 942,172 | |||||||||||||
Bear Stearns Alt-A Trust Series 2006-6, Class 1A1 | ||||||||||||||||
2,137,880 | 0.406 | 11/25/36 | 800,033 | |||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Sequential Fixed Rate – (continued) | ||||||||||||||||
Countrywide Alternative Loan Trust Series 2005-1CB, Class 2A1 | ||||||||||||||||
$ | 618,817 | 6.000 | % | 03/25/35 | $ | 456,039 | ||||||||||
Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A3 | ||||||||||||||||
7,000,000 | 0.496 | 11/25/36 | 847,872 | |||||||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AR3, Class A6 | ||||||||||||||||
7,000,000 | 0.526 | 08/25/36 | 914,554 | |||||||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-BAR1, Class A3 | ||||||||||||||||
4,000,000 | 0.406 | 03/25/37 | 1,158,769 | |||||||||||||
FHLMC REMIC Series 3200, Class AD | ||||||||||||||||
531,588 | 5.500 | 05/15/29 | 548,399 | |||||||||||||
First Horizon Alternative Mortgage Securities Series 2006-FA8, Class 1A7 | ||||||||||||||||
1,048,082 | 6.000 | 02/25/37 | 781,693 | |||||||||||||
Residential Funding Mortgage Securities I Series 2007-SA2, Class 2A1 | ||||||||||||||||
1,439,650 | 5.653 | 04/25/37 | 965,136 | |||||||||||||
7,414,667 | ||||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 11,487,685 | ||||||||||||||
Commercial Mortgage-Backed Securities – 4.3% | ||||||||||||||||
Sequential Fixed Rate – 4.3% | ||||||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2002-2, Class A3 | ||||||||||||||||
530,000 | 5.118 | 07/11/43 | 545,604 | |||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2005-6, Class A4 | ||||||||||||||||
1,000,000 | 5.351 | 09/10/47 | 970,778 | |||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2006-2, Class A4 | ||||||||||||||||
2,000,000 | 5.929 | 05/10/45 | 1,922,683 | |||||||||||||
Bear Stearns Commercial Mortgage Securities Series 2006-PW13, Class A4 | ||||||||||||||||
1,000,000 | 5.540 | 09/11/41 | 937,442 | |||||||||||||
GMAC Commercial Mortgage Securities, Inc. Series 2000-C3, Class A2 | ||||||||||||||||
722,349 | 6.957 | 09/15/35 | 751,547 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP3, Class A4A | ||||||||||||||||
1,000,000 | 4.936 | 08/15/42 | 986,090 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2007-CB18, Class A4 | ||||||||||||||||
700,000 | 5.440 | 06/12/47 | 601,929 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4 | ||||||||||||||||
1,207,000 | 5.156 | 02/15/31 | 1,122,488 | |||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Class A5 | ||||||||||||||||
1,300,000 | 5.926 | 05/15/43 | 1,231,882 | |||||||||||||
9,070,443 | ||||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ | 9,070,443 | ||||||||||||||
Federal Agencies – 31.2% | ||||||||||||||||
Adjustable Rate FHLMC(c) – 0.4% | ||||||||||||||||
564,746 | 4.815 | 09/01/35 | 591,638 | |||||||||||||
271,324 | 5.740 | 04/01/37 | 287,368 | |||||||||||||
879,006 | ||||||||||||||||
FHLMC – 10.6% | ||||||||||||||||
257,589 | 5.000 | 05/01/18 | 273,908 | |||||||||||||
256,584 | 5.500 | 05/01/33 | 269,984 | |||||||||||||
1,397 | 5.500 | 01/01/37 | 1,470 | |||||||||||||
3,574 | 5.500 | 03/01/37 | 3,781 | |||||||||||||
19,046 | 5.500 | 04/01/37 | 20,106 | |||||||||||||
1,627 | 5.500 | 06/01/37 | 1,723 | |||||||||||||
41,235 | 5.500 | 07/01/37 | 43,358 | |||||||||||||
3,246 | 5.500 | 08/01/37 | 3,413 | |||||||||||||
312,746 | 6.500 | 08/01/37 | 335,835 | |||||||||||||
21,467 | 6.000 | 09/01/37 | 22,905 | |||||||||||||
707,890 | 6.500 | 10/01/37 | 761,148 | |||||||||||||
33,535 | 5.500 | 12/01/37 | 35,340 | |||||||||||||
46,257 | 5.500 | 02/01/38 | 48,790 | |||||||||||||
22,145 | 6.000 | 02/01/38 | 23,625 | |||||||||||||
53,236 | 5.500 | 04/01/38 | 56,194 | |||||||||||||
30,824 | 5.500 | 05/01/38 | 32,536 | |||||||||||||
852,226 | 6.000 | 05/01/38 | 904,258 | |||||||||||||
233,390 | 5.500 | 06/01/38 | 246,403 | |||||||||||||
50,887 | 5.500 | 07/01/38 | 53,336 | |||||||||||||
202,434 | 6.000 | 07/01/38 | 215,692 | |||||||||||||
7,951 | 5.500 | 08/01/38 | 8,365 | |||||||||||||
12,750,044 | 6.000 | 08/01/38 | 13,532,478 | |||||||||||||
799,224 | 6.500 | 09/01/38 | 852,333 | |||||||||||||
17,318 | 5.500 | 10/01/38 | 18,273 | |||||||||||||
23,635 | 6.000 | 10/01/38 | 25,208 | |||||||||||||
73,328 | 5.500 | 11/01/38 | 76,856 | |||||||||||||
170,711 | 5.500 | 12/01/38 | 179,687 | |||||||||||||
36,041 | 5.500 | 01/01/39 | 37,936 | |||||||||||||
13,839 | 5.500 | 02/01/39 | 14,566 | |||||||||||||
681,592 | 5.000 | 04/01/39 | 708,217 | |||||||||||||
2,737 | 5.500 | 04/01/39 | 2,901 | |||||||||||||
133,446 | 5.000 | 05/01/39 | 138,658 | |||||||||||||
1,681,321 | 5.000 | 06/01/39 | 1,741,568 | |||||||||||||
512,141 | 5.000 | 07/01/39 | 531,502 | |||||||||||||
149,149 | 5.000 | 08/01/39 | 154,841 | |||||||||||||
1,000,000 | 4.500 | 09/01/39 | 1,013,021 | |||||||||||||
22,390,215 | ||||||||||||||||
FNMA – 16.9% | ||||||||||||||||
195,331 | 4.500 | 10/01/18 | 206,275 | |||||||||||||
45,856 | 4.500 | 11/01/18 | 48,425 | |||||||||||||
73,352 | 4.500 | 12/01/18 | 77,462 | |||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA – (continued) | ||||||||||||||||
$ | 17,360 | 6.000 | % | 12/01/18 | $ | 18,679 | ||||||||||
45,728 | 4.500 | 01/01/19 | 48,305 | |||||||||||||
177,293 | 6.000 | 02/01/19 | 189,911 | |||||||||||||
279,058 | 4.500 | 05/01/19 | 293,514 | |||||||||||||
266,287 | 5.000 | 05/01/19 | 282,839 | |||||||||||||
361,112 | 4.000 | 06/01/19 | 369,427 | |||||||||||||
139,519 | 4.500 | 06/01/19 | 146,746 | |||||||||||||
98,059 | 4.500 | 08/01/19 | 103,138 | |||||||||||||
348,259 | 5.000 | 08/01/19 | 368,871 | |||||||||||||
252,039 | 6.000 | 08/01/19 | 269,977 | |||||||||||||
317,904 | 6.000 | 09/01/19 | 341,523 | |||||||||||||
603,753 | 5.500 | 06/01/20 | 646,297 | |||||||||||||
3,837,267 | 5.000 | 08/01/20 | 4,054,737 | |||||||||||||
396,780 | 6.000 | 12/01/20 | 426,259 | |||||||||||||
331,242 | 5.000 | 01/01/21 | 350,015 | |||||||||||||
494,566 | 6.000 | 04/01/21 | 530,406 | |||||||||||||
160,249 | 6.000 | 06/01/21 | 171,203 | |||||||||||||
140,831 | 5.500 | 07/01/21 | 149,402 | |||||||||||||
98,634 | 6.000 | 07/01/21 | 105,237 | |||||||||||||
77,689 | 4.500 | 11/01/22 | 80,659 | |||||||||||||
356,403 | 5.000 | 07/01/23 | 373,961 | |||||||||||||
489,429 | 5.000 | 08/01/23 | 515,946 | |||||||||||||
244,251 | 5.500 | 09/01/23 | 259,656 | |||||||||||||
87,908 | 5.500 | 10/01/23 | 93,581 | |||||||||||||
726,853 | 4.500 | 12/01/23 | 754,188 | |||||||||||||
79 | 6.000 | 03/01/32 | 84 | |||||||||||||
521,635 | 6.000 | 12/01/32 | 555,500 | |||||||||||||
7,624 | 6.000 | 05/01/33 | 8,115 | |||||||||||||
33,378 | 5.000 | 08/01/33 | 34,618 | |||||||||||||
4,191 | 5.500 | 09/01/33 | 4,418 | |||||||||||||
3,421 | 6.000 | 12/01/33 | 3,639 | |||||||||||||
5,298 | 5.500 | 02/01/34 | 5,584 | |||||||||||||
83,467 | 6.000 | 02/01/34 | 88,781 | |||||||||||||
848 | 5.500 | 04/01/34 | 895 | |||||||||||||
57,236 | 5.500 | 12/01/34 | 60,293 | |||||||||||||
15,252 | 6.000 | 02/01/35 | 16,216 | |||||||||||||
5,683 | 6.000 | 04/01/35 | 6,038 | |||||||||||||
153,856 | 6.000 | 07/01/35 | 163,794 | |||||||||||||
7,056 | 5.500 | 09/01/35 | 7,430 | |||||||||||||
257,153 | 5.000 | 11/01/35 | 266,312 | |||||||||||||
83,606 | 6.000 | 11/01/35 | 88,733 | |||||||||||||
89,571 | 6.000 | 01/01/36 | 95,177 | |||||||||||||
7,936 | 6.000 | 02/01/36 | 8,415 | |||||||||||||
176,571 | 4.500 | 03/01/36 | 179,565 | |||||||||||||
299,346 | 5.000 | �� | 03/01/36 | 310,008 | ||||||||||||
48,426 | 6.000 | 03/01/36 | 51,468 | |||||||||||||
49,462 | 6.000 | 04/01/36 | 52,588 | |||||||||||||
2,641 | 6.000 | 05/01/36 | 2,800 | |||||||||||||
5,600 | 6.000 | 06/01/36 | 5,939 | |||||||||||||
37,408 | 6.000 | 08/01/36 | 39,748 | |||||||||||||
113,254 | 6.000 | 10/01/36 | 120,341 | |||||||||||||
126,147 | 6.000 | 11/01/36 | 133,903 | |||||||||||||
2,754 | 5.500 | 12/01/36 | 2,895 | |||||||||||||
18,143 | 5.500 | 01/01/37 | 19,072 | |||||||||||||
932 | 5.500 | 02/01/37 | 980 | |||||||||||||
4,821 | 5.500 | 03/01/37 | 5,068 | |||||||||||||
111,920 | 5.500 | 04/01/37 | 117,617 | |||||||||||||
535,740 | 5.500 | 05/01/37 | 562,692 | |||||||||||||
2,108 | 5.500 | 05/01/37 | 2,215 | |||||||||||||
10,159 | 5.500 | 06/01/37 | 10,676 | |||||||||||||
28,447 | 6.000 | 06/01/37 | 30,268 | |||||||||||||
534,271 | 5.500 | 07/01/37 | 563,031 | |||||||||||||
33,992 | 5.500 | 10/01/37 | 35,722 | |||||||||||||
366,652 | 5.500 | 11/01/37 | 383,838 | |||||||||||||
55,978 | 6.000 | 12/01/37 | 59,709 | |||||||||||||
54,996 | 5.500 | 01/01/38 | 57,803 | |||||||||||||
560,072 | 5.500 | 02/01/38 | 586,897 | |||||||||||||
184,709 | 6.000 | 02/01/38 | 196,277 | |||||||||||||
564,152 | 5.500 | 03/01/38 | 592,839 | |||||||||||||
55,861 | 6.000 | 03/01/38 | 59,426 | |||||||||||||
504,046 | 5.500 | 04/01/38 | 529,731 | |||||||||||||
82,204 | 5.000 | 05/01/38 | 84,985 | |||||||||||||
61,793 | 5.500 | 05/01/38 | 64,941 | |||||||||||||
26,653 | 6.000 | 05/01/38 | 28,425 | |||||||||||||
386,266 | 5.500 | 06/01/38 | 406,071 | |||||||||||||
23,534 | 6.000 | 06/01/38 | 25,099 | |||||||||||||
552,122 | 5.500 | 07/01/38 | 580,908 | |||||||||||||
53,816 | 6.000 | 07/01/38 | 57,377 | |||||||||||||
351,347 | 5.500 | 08/01/38 | 369,451 | |||||||||||||
244,029 | 6.000 | 08/01/38 | 258,892 | |||||||||||||
41,813 | 5.500 | 09/01/38 | 43,948 | |||||||||||||
281,327 | 6.000 | 09/01/38 | 298,317 | |||||||||||||
229,850 | 5.500 | 10/01/38 | 241,677 | |||||||||||||
132,799 | 6.000 | 10/01/38 | 140,819 | |||||||||||||
146,187 | 5.500 | 11/01/38 | 153,755 | |||||||||||||
973,714 | 6.000 | 11/01/38 | 1,032,518 | |||||||||||||
126,590 | 5.500 | 12/01/38 | 133,172 | |||||||||||||
184,151 | 5.500 | 01/01/39 | 193,724 | |||||||||||||
30,333 | 5.000 | 02/01/39 | 31,513 | |||||||||||||
110,937 | 5.500 | 02/01/39 | 116,427 | |||||||||||||
1,108,153 | 6.000 | 02/01/39 | 1,175,768 | |||||||||||||
933,152 | 5.000 | 03/01/39 | 965,268 | |||||||||||||
9,228 | 5.500 | 03/01/39 | 9,708 | |||||||||||||
30,335 | 5.000 | 04/01/39 | 31,468 | |||||||||||||
205,331 | 5.000 | 05/01/39 | 213,046 | |||||||||||||
75,027 | 4.500 | 06/01/39 | 76,246 | |||||||||||||
102,995 | 5.000 | 06/01/39 | 106,888 | |||||||||||||
91,595 | 4.500 | 07/01/39 | 93,082 | |||||||||||||
240,223 | 5.000 | 07/01/39 | 249,365 | |||||||||||||
132,417 | 4.500 | 08/01/39 | 134,506 | |||||||||||||
61,063 | 5.000 | 08/01/39 | 63,343 | |||||||||||||
200,000 | 4.500 | 09/01/39 | 203,250 | |||||||||||||
459,897 | 5.000 | 09/01/39 | 476,388 | |||||||||||||
700,000 | 4.500 | 10/01/39 | 710,999 | |||||||||||||
1,266,749 | 5.000 | 10/01/39 | 1,312,455 | |||||||||||||
2,000,000 | 4.500 | TBA-30yr | (g) | 2,024,844 | ||||||||||||
1,000,000 | 5.000 | TBA-30yr | (g) | 1,032,812 | ||||||||||||
5,000,000 | 5.500 | TBA-30yr | (g) | 5,229,690 | ||||||||||||
35,774,942 | ||||||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
GNMA – 3.3% | ||||||||||||||||
$ | 16,598 | 5.500 | % | 05/15/36 | $ | 17,468 | ||||||||||
53,387 | 5.000 | 04/15/39 | 55,572 | |||||||||||||
131,671 | 5.000 | 05/15/39 | 137,020 | |||||||||||||
612,510 | 5.000 | 06/15/39 | 637,565 | |||||||||||||
2,995,632 | 5.000 | 08/15/39 | 3,119,202 | |||||||||||||
1,600,000 | 5.000 | 09/15/39 | 1,659,348 | |||||||||||||
400,000 | 4.500 | 09/15/39 | 406,750 | |||||||||||||
1,000,000 | 5.000 | TBA-30yr | (g) | 1,034,688 | ||||||||||||
7,067,613 | ||||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 66,111,776 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $107,047,761) | $ | 103,006,586 | ||||||||||||||
Agency Debentures – 2.1% | ||||||||||||||||
FHLB(h) | ||||||||||||||||
$ | 2,400,000 | 4.625 | % | 09/11/20 | $ | 2,476,946 | ||||||||||
FNMA(i) | ||||||||||||||||
50,000 | 0.000 | 10/09/19 | 27,948 | |||||||||||||
Private Export Funding Corp. | ||||||||||||||||
1,500,000 | 3.050 | 10/15/14 | 1,513,629 | |||||||||||||
Tennessee Valley Authority Series B | ||||||||||||||||
400,000 | 4.375 | 06/15/15 | 425,990 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $4,252,364) | $ | 4,444,513 | ||||||||||||||
Asset-Backed Securities – 0.4% | ||||||||||||||||
Home Equity – 0.4% | ||||||||||||||||
Bear Stearns Asset Backed Securities Trust Series 2001-3, Class A2(c) | ||||||||||||||||
$ | 17,958 | 0.646 | % | 10/27/32 | $ | 12,718 | ||||||||||
Bear Stearns Asset Backed Securities Trust Series 2002-2, Class A1(c) | ||||||||||||||||
11,351 | 0.906 | 10/25/32 | 7,165 | |||||||||||||
Bear Stearns Asset Backed Securities Trust Series 2003-2, Class A2(c) | ||||||||||||||||
2,237 | 0.696 | 03/25/43 | 2,030 | |||||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A1(b)(c) | ||||||||||||||||
244,628 | 1.246 | 10/25/37 | 217,923 | |||||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A2(b)(c) | ||||||||||||||||
150,000 | 1.496 | 10/25/37 | 61,485 | |||||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A3(b)(c) | ||||||||||||||||
250,000 | 1.696 | 10/25/37 | 93,299 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2001-HE17, Class A1(c) | ||||||||||||||||
1,893 | 0.866 | 01/25/32 | 1,288 | |||||||||||||
First Alliance Mortgage Loan Trust Series 1999-4, Class A2(c) | ||||||||||||||||
3,065 | 1.006 | 03/20/31 | 2,091 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||||
61,446 | 7.000 | 09/25/37 | 36,401 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||||
103,176 | 7.000 | 09/25/37 | 42,811 | |||||||||||||
Home Equity Asset Trust Series 2002-1, Class A4(c) | ||||||||||||||||
257 | 0.846 | 11/25/32 | 154 | |||||||||||||
Household Home Equity Loan Trust Series 2007-3, Class APT(c) | ||||||||||||||||
355,884 | 1.446 | 11/20/36 | 289,155 | |||||||||||||
Renaissance Home Equity Loan Trust Series 2003-2, Class A(c) | ||||||||||||||||
3,066 | 0.686 | 08/25/33 | 1,784 | |||||||||||||
Renaissance Home Equity Loan Trust Series 2003-3, Class A(c) | ||||||||||||||||
9,059 | 0.746 | 12/25/33 | 5,662 | |||||||||||||
Salomon Brothers Mortgage Securities VII Series 2002-CIT1, Class A(c) | ||||||||||||||||
812 | 0.546 | 03/25/32 | 456 | |||||||||||||
Wells Fargo Home Equity Trust Series 2005-3, Class AI1A(c) | ||||||||||||||||
137,392 | 0.516 | 11/25/35 | 132,752 | |||||||||||||
907,174 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $1,352,886) | $ | 907,174 | ||||||||||||||
Foreign Debt Obligations – 3.1% | ||||||||||||||||
Sovereign – 1.8% | ||||||||||||||||
Ontario Province of Canada | ||||||||||||||||
$ | 500,000 | 4.100 | % | 06/16/14 | $ | 528,633 | ||||||||||
Republic of Argentina | ||||||||||||||||
380,000 | 7.000 | 10/03/15 | 273,452 | |||||||||||||
Republic of Peru | ||||||||||||||||
230,000 | 7.125 | 03/30/19 | 266,225 | |||||||||||||
Societe Financement de l’Economie Francaise(b) | ||||||||||||||||
900,000 | 3.375 | 05/05/14 | 928,874 | |||||||||||||
State of Qatar | ||||||||||||||||
360,000 | 5.150 | 04/09/14 | 377,100 | |||||||||||||
Swedish Export Credit | ||||||||||||||||
1,200,000 | 3.250 | 09/16/14 | 1,207,307 | |||||||||||||
United Mexican States | ||||||||||||||||
300,000 | 6.050 | 01/11/40 | 302,640 | |||||||||||||
3,884,231 | ||||||||||||||||
Supranational – 1.3% | ||||||||||||||||
European Investment Bank | ||||||||||||||||
1,200,000 | 3.000 | 04/08/14 | 1,228,007 | |||||||||||||
700,000 | 3.125 | 06/04/14 | 716,337 | |||||||||||||
Inter-American Development Bank | ||||||||||||||||
700,000 | 3.000 | 04/22/14 | 713,213 | |||||||||||||
2,657,557 | ||||||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $6,269,009) | $ | 6,541,788 | ||||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Municipal Debt Obligations – 0.4% | ||||||||||||||||
California – 0.4% | ||||||||||||||||
California State GO Bonds Build America Taxable Series 2009 | ||||||||||||||||
$ | 300,000 | 7.500 | % | 04/01/34 | $ | 329,841 | ||||||||||
475,000 | 7.550 | 04/01/39 | 528,608 | |||||||||||||
858,449 | ||||||||||||||||
Ohio – 0.0% | ||||||||||||||||
Buckeye Tobacco Settlement Financial Authority RB Asset-Backed Senior Turbo Series 2007 A-2 | ||||||||||||||||
25,000 | 5.875 | 06/01/47 | 20,280 | |||||||||||||
TOTAL MUNICIPAL DEBT OBLIGATIONS | ||||||||||||||||
(Cost $802,475) | $ | 878,729 | ||||||||||||||
Government Guarantee Obligations – 12.0% | ||||||||||||||||
ANZ National (International) Ltd.(b)(j) | ||||||||||||||||
$ | 1,700,000 | 3.250 | % | 04/02/12 | $ | 1,757,808 | ||||||||||
Bank of America Corp.(k) | ||||||||||||||||
800,000 | 2.100 | 04/30/12 | 811,226 | |||||||||||||
Citigroup Funding, Inc.(k) | ||||||||||||||||
1,400,000 | 1.875 | 10/22/12 | 1,403,675 | |||||||||||||
2,100,000 | 1.875 | 11/15/12 | 2,096,388 | |||||||||||||
1,200,000 | 2.250 | 12/10/12 | 1,216,157 | |||||||||||||
Citigroup, Inc.(k) | ||||||||||||||||
2,200,000 | 2.125 | 04/30/12 | 2,231,137 | |||||||||||||
General Electric Capital Corp.(k) | ||||||||||||||||
2,400,000 | 2.000 | 09/28/12 | 2,413,375 | |||||||||||||
1,000,000 | 2.125 | 12/21/12 | 1,009,083 | |||||||||||||
1,800,000 | 2.625 | 12/28/12 | 1,844,192 | |||||||||||||
Israel Government AID Bond(k) | ||||||||||||||||
50,000 | 5.500 | 04/26/24 | 55,275 | |||||||||||||
40,000 | 5.500 | 09/18/33 | 43,842 | |||||||||||||
Kreditanstalt fuer Wiederaufbau MTN(j) | ||||||||||||||||
1,500,000 | 4.750 | 05/15/12 | 1,619,536 | |||||||||||||
Landwirtschaftliche Rentenbank(j) | ||||||||||||||||
2,600,000 | 4.875 | 01/10/14 | 2,828,282 | |||||||||||||
LeasePlan Corp. NV(b)(j) | ||||||||||||||||
600,000 | 3.000 | 05/07/12 | 611,290 | |||||||||||||
Macquarie Bank Ltd.(b)(j) | ||||||||||||||||
1,900,000 | 3.300 | 07/17/14 | 1,893,314 | |||||||||||||
Royal Bank of Scotland Group PLC(b)(j) | ||||||||||||||||
1,200,000 | 2.625 | 05/11/12 | 1,208,868 | |||||||||||||
Societe Financement de l’Economie Francaise(b)(j) | ||||||||||||||||
2,300,000 | 2.875 | 09/22/14 | 2,304,715 | |||||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
(Cost $25,073,766) | $ | 25,348,163 | ||||||||||||||
U.S. Treasury Obligations – 10.2% | ||||||||||||||||
United States Treasury Bond | ||||||||||||||||
$ | 800,000 | 4.250 | % | 05/15/39 | $ | 827,625 | ||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
1,127,880 | 1.625 | 01/15/15 | 1,149,028 | |||||||||||||
1,410,591 | 2.000 | 01/15/16 | 1,463,488 | |||||||||||||
1,706,256 | 2.500 | 07/15/16 | 1,828,893 | |||||||||||||
228,506 | 2.375 | 01/15/25 | 239,574 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
1,400,000 | 2.375 | 09/30/14 | 1,403,612 | |||||||||||||
4,500,000 | 3.250 | 06/30/16 | 4,609,337 | |||||||||||||
1,500,000 | 3.000 | 08/31/16 | 1,508,907 | |||||||||||||
United States Treasury Principal-Only STRIPS(i) | ||||||||||||||||
2,100,000 | 0.000 | 08/15/20 | 1,383,129 | |||||||||||||
5,500,000 | 0.000 | 05/15/21 | 3,472,992 | |||||||||||||
5,900,000 | 0.000 | 11/15/26 | 2,858,190 | |||||||||||||
2,000,000 | 0.000 | 02/15/31 | 815,818 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $20,966,845) | $ | 21,560,593 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $201,107,989) | $ | 199,990,765 | ||||||||||||||
Repurchase Agreement(l) – 10.2% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 21,600,000 | 0.061 | % | 10/01/09 | $ | 21,600,000 | ||||||||||
Maturity Value: $21,600,037 | ||||||||||||||||
(Cost $21,600,000) | ||||||||||||||||
TOTAL INVESTMENTS – 104.6% | ||||||||||||||||
(Cost $222,707,989) | $ | 221,590,765 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.6)% | (9,649,635 | ) | ||||||||||||||
NET ASSETS – 100.0% | $ | 211,941,130 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Securities with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $18,128,340, which represents approximately 8.6% of net assets as of September 30, 2009. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2009. | |
(d) | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(e) | This security is issued with a zero coupon or interest rate which increases to the stated rate at a set date in the future. | |
(f) | Security is issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level. |
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
(g) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $9,322,034 which represents approximately 4.4% of net assets as of September 30, 2009. | |
(h) | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
(i) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(j) | Represents securities which are guaranteed by a foreign government. Total market value of these securities amounts to $12,223,813, which represents approximately 5.8% of net assets as of September 30, 2009. | |
(k) | This debt is guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. Total market value of these securities amounts to $13,124,350, which represents approximately 6.2% of net assets as of September 30, 2009. | |
(l) | Joint repurchase agreement was entered into on September 30, 2009. Additional information appears on pages 58 and 59. |
Investment Abbreviations: | ||||||
BP | — | British Pound Offered Rate | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
GO | — | General Obligation | ||||
KWCDC | — | South Korean Won Certificate of Deposit | ||||
LIBOR | — | London Interbank Offered Rate | ||||
MTN | — | Medium-Term Note | ||||
RB | — | Revenue Bond | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2009, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||
Exchange Contracts with Unrealized Gain | Type | Date | Settlement Date | Value | Gain | |||||||||||
Australian Dollar | Purchase | 12/16/09 | $ | 559,261 | $ | 582,917 | $ | 23,656 | ||||||||
Euro | Purchase | 10/13/09 | 394,309 | 405,425 | 11,116 | |||||||||||
Euro | Purchase | 12/16/09 | 1,739,397 | 1,765,388 | 25,991 | |||||||||||
Euro | Sale | 12/16/09 | 539,786 | 538,465 | 1,321 | |||||||||||
Japanese Yen | Purchase | 12/16/09 | 839,000 | 855,527 | 16,527 | |||||||||||
New Zealand Dollar | Purchase | 12/16/09 | 927,122 | 983,900 | 56,778 | |||||||||||
Norwegian Krone | Purchase | 12/16/09 | 406,000 | 409,217 | 3,217 | |||||||||||
Swedish Krona | Purchase | 12/16/09 | 500,954 | 507,601 | 6,647 | |||||||||||
TOTAL | $ | 145,253 | ||||||||||||||
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||
Exchange Contracts with Unrealized Loss | Type | Date | Settlement Date | Value | Loss | |||||||||||
British Pound | Purchase | 12/16/09 | $ | 825,539 | $ | 814,746 | $ | (10,793 | ) | |||||||
Euro | Sale | 10/13/09 | 753,913 | 775,880 | (21,967 | ) | ||||||||||
Euro | Purchase | 12/16/09 | 135,786 | 134,617 | (1,169 | ) | ||||||||||
Euro | Sale | 12/16/09 | 346,465 | 357,025 | (10,560 | ) | ||||||||||
Japanese Yen | Sale | 12/16/09 | 1,610,996 | 1,683,393 | (72,397 | ) | ||||||||||
New Zealand Dollar | Sale | 12/16/09 | 260,914 | 278,721 | (17,807 | ) | ||||||||||
Swiss Franc | Sale | 12/16/09 | 756,802 | 779,759 | (22,957 | ) | ||||||||||
TOTAL | $ | (157,650 | ) | |||||||||||||
Open Forward Foreign Currency | ||||||||||||||
Exchange Cross Contracts with Unrealized Gain | Expiration | Purchase | Sale | Unrealized | ||||||||||
(Purchase/Sale) | Date | Current Value | Current Value | Gain | ||||||||||
Australian Dollar/Canadian Dollar | 12/16/09 | $ | 137,598 | $ | 137,403 | $ | 195 | |||||||
Australian Dollar/Euro | 12/16/09 | 275,523 | 272,159 | 3,364 | ||||||||||
Canadian Dollar/Euro | 12/16/09 | 571,078 | 567,729 | 3,349 | ||||||||||
Euro/British Pound | 12/16/09 | 671,618 | 659,209 | 12,409 | ||||||||||
Euro/Swedish Krona | 12/16/09 | 267,769 | 264,532 | 3,237 | ||||||||||
New Zealand Dollar/Euro | 12/16/09 | 138,317 | 134,616 | 3,701 | ||||||||||
Norwegian Krone/Euro | 12/16/09 | 425,305 | 419,944 | 5,361 | ||||||||||
Norwegian Krone/Swedish Krona | 12/16/09 | 164,395 | 164,079 | 316 | ||||||||||
Swiss Franc/Euro | 12/16/09 | 273,631 | 273,148 | 483 | ||||||||||
TOTAL | $ | 32,415 | ||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (continued)
Open Forward Foreign Currency | ||||||||||||||
Exchange Cross Contracts with Unrealized Loss | Expiration | Purchase | Sale | Unrealized | ||||||||||
(Purchase/Sale) | Date | Current Value | Current Value | Loss | ||||||||||
Australian Dollar/New Zealand Dollar | 12/16/09 | $ | 259,419 | $ | 260,788 | $ | (1,369 | ) | ||||||
British Pound/Euro | 12/16/09 | 162,649 | 163,881 | (1,232 | ) | |||||||||
Canadian Dollar/Euro | 12/16/09 | 217,357 | 219,483 | (2,126 | ) | |||||||||
Canadian Dollar/Japanese Yen | 12/16/09 | 159,735 | 164,180 | (4,445 | ) | |||||||||
Euro/Australian Dollar | 12/16/09 | 538,465 | 554,554 | (16,089 | ) | |||||||||
Euro/Canadian Dollar | 12/16/09 | 270,696 | 276,974 | (6,278 | ) | |||||||||
Euro/New Zealand Dollar | 12/16/09 | 677,471 | 686,189 | (8,718 | ) | |||||||||
Euro/Norwegian Krone | 12/16/09 | 253,422 | 261,078 | (7,656 | ) | |||||||||
New Zealand Dollar/Euro | 12/16/09 | 217,973 | 218,020 | (47 | ) | |||||||||
Swedish Krona/Euro | 12/16/09 | 261,589 | 263,380 | (1,791 | ) | |||||||||
TOTAL | $ | (49,751 | ) | |||||||||||
FUTURES CONTRACTS — At September 30, 2009, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
Eurodollars | 26 | December 2009 | $ | 6,475,950 | $ | 55,897 | ||||||||
Eurodollars | (13 | ) | March 2010 | (3,229,688 | ) | (87,362 | ) | |||||||
Eurodollars | (3 | ) | September 2010 | (739,763 | ) | (447 | ) | |||||||
U.K. Life Long Gilt | (32 | ) | December 2009 | (6,063,258 | ) | (29,639 | ) | |||||||
5 Year Euro-Bobl | (18 | ) | December 2009 | (3,043,620 | ) | (8,686 | ) | |||||||
10 Year Euro-Bund | 7 | December 2009 | 1,248,471 | 6,638 | ||||||||||
10 Year Japan Government Bond | (9 | ) | December 2009 | (13,970,478 | ) | (64,106 | ) | |||||||
2 Year U.S. Treasury Notes | 92 | December 2009 | 19,961,125 | 48,190 | ||||||||||
5 Year U.S. Treasury Notes | 98 | December 2009 | 11,377,188 | 52,729 | ||||||||||
10 Year U.S. Treasury Notes | 208 | December 2009 | 24,612,250 | 375,634 | ||||||||||
30 Year U.S. Treasury Bonds | 4 | December 2009 | 485,500 | 5,977 | ||||||||||
TOTAL | $ | 354,825 | ||||||||||||
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At September 30, 2009, 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 | Market | made (received) | Unrealized | ||||||||||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Value | by the Fund | Gain (Loss) | |||||||||||||||||
Banc of America Securities LLC | $ | 1,100 | (a) | 12/16/16 | 3 month LIBOR | 3.250% | $ | (1,733 | ) | $ | 18,634 | $ | (20,367 | ) | ||||||||||
3,000 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (4,726 | ) | 74,400 | (79,126 | ) | |||||||||||||||
3,600 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (5,671 | ) | 33,080 | (38,751 | ) | |||||||||||||||
3,600 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (5,671 | ) | 33,855 | (39,526 | ) | |||||||||||||||
3,800 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (5,986 | ) | 80,408 | (86,394 | ) | |||||||||||||||
3,900 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (6,144 | ) | 68,250 | (74,394 | ) | |||||||||||||||
3,900 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (6,144 | ) | 61,935 | (68,079 | ) | |||||||||||||||
6,000 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (9,452 | ) | 152,100 | (161,552 | ) | |||||||||||||||
8,800 | (a) | 08/14/17 | 4.955% | 3 month LIBOR | 298,072 | — | 298,072 | |||||||||||||||||
4,900 | (a) | 08/15/22 | 3 month LIBOR | 5.078 | (277,205 | ) | — | (277,205 | ) | |||||||||||||||
500 | (a) | 12/17/29 | 3 month LIBOR | 4.000 | (5,528 | ) | 33,712 | (39,240 | ) | |||||||||||||||
Credit Suisse First Boston Corp. | GBP 1,050 | (a) | 12/16/14 | 3.500 | 6 month BP | 8,034 | (41,028 | ) | 49,062 | |||||||||||||||
2,060 | (a) | 12/16/14 | 3.500 | 6 month BP | 15,762 | (47,278 | ) | 63,040 | ||||||||||||||||
$ | 1,100 | (a) | 12/17/29 | 3 month LIBOR | 4.000 | (12,161 | ) | 31,031 | (43,192 | ) | ||||||||||||||
Deutsche Bank Securities, Inc. | KRW 471,000 | 01/28/11 | 2.820 | 3 month KWCDC | (4,294 | ) | — | (4,294 | ) | |||||||||||||||
260,000 | 06/12/11 | 3.870 | 3 month KWCDC | (23 | ) | — | (23 | ) | ||||||||||||||||
1,200,000 | 06/26/11 | 3.693 | 3 month KWCDC | (4,217 | ) | — | (4,217 | ) | ||||||||||||||||
496,931 | 07/06/11 | 3.620 | 3 month KWCDC | (1,189 | ) | — | (1,189 | ) | ||||||||||||||||
830,250 | 07/07/11 | 3.626 | 3 month KWCDC | (1,940 | ) | — | (1,940 | ) | ||||||||||||||||
$ | 4,100 | (a) | 09/05/17 | 4.568 | 3 month LIBOR | 68,935 | — | 68,935 | ||||||||||||||||
2,400 | (a) | 09/06/22 | 3 month LIBOR | 4.710 | (66,510 | ) | — | (66,510 | ) | |||||||||||||||
100 | (a) | 12/17/29 | 3 month LIBOR | 4.000 | (1,106 | ) | 2,314 | (3,420 | ) | |||||||||||||||
JPMorgan Securities, Inc. | KRW 458,000 | 01/28/11 | 2.830 | 3 month KWCDC | (4,118 | ) | — | (4,118 | ) | |||||||||||||||
360,000 | 06/15/11 | 3.900 | 3 month KWCDC | (22 | ) | — | (22 | ) | ||||||||||||||||
1,250,000 | 06/22/11 | 3.720 | 3 month KWCDC | (3,457 | ) | — | (3,457 | ) | ||||||||||||||||
394,879 | 07/08/11 | 3.660 | 3 month KWCDC | (725 | ) | — | (725 | ) | ||||||||||||||||
$ | 3,000 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (4,726 | ) | 65,130 | (69,856 | ) | ||||||||||||||
700 | (a) | 12/16/19 | 3 month LIBOR | 3.500 | 3,140 | 24,354 | (21,214 | ) | ||||||||||||||||
Royal Bank of Scotland | GBP 190 | (a) | 12/16/14 | 3.500 | 6 month BP | 1,454 | (3,743 | ) | 5,197 | |||||||||||||||
TOTAL | $ | (37,351 | ) | $ | 587,154 | $ | (624,505 | ) | ||||||||||||||||
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2009. |
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
CREDIT DEFAULT SWAP CONTRACTS
Notional | Rates | Credit Spread at | Upfront Payments | |||||||||||||||||||||||
Amount | received (paid) | Termination | September 30, 2009 | Market | made (received) | Unrealized | ||||||||||||||||||||
Swap Counterparty | Referenced Obligation | (000s) | by Fund | Date | (basis points)(a) | Value | by the Fund | Gain (Loss) | ||||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||||||
Deutsche Bank Securities, Inc. | CDX North America Investment Grade Index | $ | 3,300 | (1.500)% | 12/20/13 | 129 | $ | (28,690 | ) | $ | 90,441 | $ | (119,131 | ) | ||||||||||||
CDX North America Investment Grade Index | 1,800 | (1.000) | 12/20/14 | 101 | (500 | ) | — | (500 | ) | |||||||||||||||||
CDX North America Investment Grade Index | 2,400 | (1.000) | 12/20/14 | 101 | 551 | (4,615 | ) | 5,166 | ||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
Credit Suisse First Boston Corp. | ABX-HE-AAA 07-1 Index | 450 | 0.090 | 08/25/37 | 3319 | (310,836 | ) | (99,407 | ) | (211,429 | ) | |||||||||||||||
ABX-HE-AAA 07-1 Index | 450 | 0.090 | 08/25/37 | 3319 | (310,836 | ) | (99,409 | ) | (211,427 | ) | ||||||||||||||||
ABX-HE-AAA 07-2 Index | 350 | 0.760 | 01/25/38 | 3114 | (242,918 | ) | (72,394 | ) | (170,524 | ) | ||||||||||||||||
ABX-HE-AAA 07-2 Index | 250 | 0.760 | 01/25/38 | 3114 | (173,508 | ) | (73,148 | ) | (100,360 | ) | ||||||||||||||||
TOTAL | $ | (1,066,737 | ) | $ | (258,532 | ) | $ | (808,205 | ) | |||||||||||||||||
(a) | Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Foreign Sovereign Debt Obligations – 32.6% | ||||||||||||||||
Australian Dollar – 0.1% | ||||||||||||||||
Australia Government Bond | ||||||||||||||||
AUD 1,100,000 | 6.000 | % | 02/15/17 | $ | 1,010,770 | |||||||||||
British Pound – 4.3% | ||||||||||||||||
United Kingdom Treasury | ||||||||||||||||
GBP 7,000,000 | 4.500 | 03/07/13 | 12,029,668 | |||||||||||||
910,000 | 2.250 | 03/07/14 | 1,434,539 | |||||||||||||
870,000 | 4.500 | 03/07/19 | 1,490,917 | |||||||||||||
7,110,000 | 4.000 | 03/07/22 | 11,539,548 | |||||||||||||
1,150,000 | 4.750 | 12/07/30 | 2,025,429 | |||||||||||||
3,390,000 | 4.500 | 09/07/34 | 5,774,220 | |||||||||||||
3,300,000 | 4.500 | 12/07/42 | 5,660,792 | |||||||||||||
39,955,113 | ||||||||||||||||
Canadian Dollar – 1.9% | ||||||||||||||||
Government of Canada | ||||||||||||||||
CAD 2,340,000 | 3.500 | 06/01/13 | 2,286,453 | |||||||||||||
1,760,000 | 4.500 | 06/01/15 | 1,801,721 | |||||||||||||
4,950,000 | 5.750 | 06/01/29 | 5,753,078 | |||||||||||||
Ontario Province of Canada | ||||||||||||||||
$ | 4,125,000 | 4.100 | 06/16/14 | 4,361,218 | ||||||||||||
Quebec Province of Canada | ||||||||||||||||
3,350,000 | 5.125 | 11/14/16 | 3,670,185 | |||||||||||||
17,872,655 | ||||||||||||||||
Danish Krone – 1.1% | ||||||||||||||||
Kingdom of Denmark | ||||||||||||||||
7,175,000 | 1.875 | 03/16/12 | 7,196,166 | |||||||||||||
DKK 16,000,000 | 4.000 | 11/15/15 | 3,293,835 | |||||||||||||
10,490,001 | ||||||||||||||||
Euro – 11.7% | ||||||||||||||||
Federal Republic of Germany | ||||||||||||||||
EUR 110,000 | 3.500 | 07/04/19 | 164,659 | |||||||||||||
1,550,000 | 5.625 | 01/04/28 | 2,740,496 | |||||||||||||
600,000 | 5.500 | 01/04/31 | 1,055,947 | |||||||||||||
50,000 | 4.000 | 01/04/37 | 73,451 | |||||||||||||
4,690,000 | 4.750 | 07/04/40 | 7,822,638 | |||||||||||||
French Treasury Note | ||||||||||||||||
400,000 | 4.500 | 07/12/13 | 633,594 | |||||||||||||
650,000 | 2.500 | 01/12/14 | 955,600 | |||||||||||||
Government of Finland | ||||||||||||||||
7,990,000 | 3.125 | 09/15/14 | 11,982,708 | |||||||||||||
390,000 | 4.375 | 07/04/19 | 609,138 | |||||||||||||
Government of France | ||||||||||||||||
5,500,000 | 3.750 | 04/25/21 | 8,090,030 | |||||||||||||
3,800,000 | 5.500 | 04/25/29 | 6,604,975 | |||||||||||||
Government of Ireland | ||||||||||||||||
1,120,000 | 5.900 | 10/18/19 | 1,795,798 | |||||||||||||
Hellenic Republic Government Bond | ||||||||||||||||
5,950,000 | 5.500 | 08/20/14 | 9,516,932 | |||||||||||||
Kingdom of Belgium | ||||||||||||||||
3,900,000 | 5.000 | 09/28/12 | 6,212,478 | |||||||||||||
5,110,000 | 3.500 | 03/28/15 | 7,731,881 | |||||||||||||
Kingdom of The Netherlands | ||||||||||||||||
9,800,000 | 4.250 | 07/15/13 | 15,389,707 | |||||||||||||
Republic of Austria(a) | ||||||||||||||||
EUR 3,150,000 | 4.350 | 03/15/19 | 4,849,707 | |||||||||||||
Republic of Italy | ||||||||||||||||
3,480,000 | 4.500 | 02/01/18 | 5,399,784 | |||||||||||||
3,050,000 | 4.250 | 09/01/19 | 4,562,610 | |||||||||||||
7,120,000 | 6.000 | 05/01/31 | 12,126,934 | |||||||||||||
108,319,067 | ||||||||||||||||
Japanese Yen – 12.4% | ||||||||||||||||
Government of Japan | ||||||||||||||||
JPY 3,000,000,000 | 1.500 | 06/20/12 | 34,491,561 | |||||||||||||
500,000,000 | 0.800 | 03/20/13 | 5,646,917 | |||||||||||||
800,000,000 | 1.100 | 09/20/13 | 9,135,454 | |||||||||||||
1,216,000,000 | 1.500 | 09/20/18 | 13,959,000 | |||||||||||||
400,000,000 | 1.900 | 06/20/25 | 4,491,505 | |||||||||||||
875,000,000 | 2.000 | 12/20/25 | 9,880,750 | |||||||||||||
430,000,000 | 2.100 | 12/20/26 | 4,896,755 | |||||||||||||
350,000,000 | 2.100 | 12/20/27 | 3,971,967 | |||||||||||||
285,000,000 | 2.500 | 09/20/34 | 3,372,525 | |||||||||||||
250,000,000 | 2.500 | 03/20/38 | 2,958,416 | |||||||||||||
Government of Japan CPI Linked Bond | ||||||||||||||||
85,255,000 | 0.800 | 12/10/15 | 885,174 | |||||||||||||
442,200,000 | 1.000 | 06/10/16 | 4,582,348 | |||||||||||||
1,513,512,000 | 1.200 | 03/10/17 | 15,790,163 | |||||||||||||
114,062,535 | ||||||||||||||||
Polish Zloty – 0.3% | ||||||||||||||||
Government of Poland | ||||||||||||||||
PLN 8,000,000 | 4.750 | 04/25/12 | 2,758,725 | |||||||||||||
Swedish Krona – 0.6% | ||||||||||||||||
Kingdom of Sweden | ||||||||||||||||
SEK 11,000,000 | 6.750 | 05/05/14 | 1,853,717 | |||||||||||||
20,000,000 | 4.500 | 08/12/15 | 3,104,506 | |||||||||||||
4,958,223 | ||||||||||||||||
United States Dollar – 0.2% | ||||||||||||||||
State of Qatar | ||||||||||||||||
$ | 1,569,000 | 5.150 | 04/09/14 | 1,643,527 | ||||||||||||
TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $264,165,508) | $ | 301,070,616 | ||||||||||||||
Corporate Obligations – 27.6% | ||||||||||||||||
Banks – 9.2% | ||||||||||||||||
Alliance & Leicester PLC(b) | ||||||||||||||||
$ | 2,600,000 | 0.560 | % | 01/12/10 | $ | 2,584,756 | ||||||||||
American Express Credit Corp. | ||||||||||||||||
GBP 850,000 | 5.375 | 10/01/14 | 1,362,155 | |||||||||||||
Australia & New Zealand Banking Group Ltd. | ||||||||||||||||
EUR 350,000 | 5.250 | 05/20/13 | 551,198 | |||||||||||||
1,050,000 | 5.125 | 09/10/19 | 1,545,820 | |||||||||||||
Banco Popolare Scarl(b) | ||||||||||||||||
1,850,000 | 6.156 | 06/21/49 | 1,786,749 | |||||||||||||
Banco Santander SA | ||||||||||||||||
2,400,000 | 3.875 | 05/27/14 | 3,648,301 | |||||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
Banks – (continued) | ||||||||||||||||
Bank of America Corp. | ||||||||||||||||
$ | 950,000 | 7.375 | % | 05/15/14 | $ | 1,058,752 | ||||||||||
EUR 500,000 | 7.000 | 06/15/16 | 811,112 | |||||||||||||
$ | 1,000,000 | 6.500 | 08/01/16 | 1,051,151 | ||||||||||||
600,000 | 7.625 | 06/01/19 | 676,075 | |||||||||||||
Bank of Ireland Mortgage Bank | ||||||||||||||||
EUR 2,000,000 | 4.625 | 09/16/14 | 2,975,451 | |||||||||||||
Bank of Scotland PLC(a) | ||||||||||||||||
$ | 490,000 | 5.250 | 02/21/17 | 463,726 | ||||||||||||
Credit Suisse/London | ||||||||||||||||
EUR 2,200,000 | 6.125 | 05/16/14 | 3,566,808 | |||||||||||||
HSBC Holdings PLC | ||||||||||||||||
$ | 3,900,000 | 6.800 | 06/01/38 | 4,376,225 | ||||||||||||
ING Bank NV | ||||||||||||||||
400,000 | 0.582 | (b) | 05/23/16 | 348,334 | ||||||||||||
1,000,000 | 0.619 | (b) | 11/21/16 | 838,566 | ||||||||||||
EUR 2,050,000 | 4.750 | 05/27/19 | 3,204,546 | |||||||||||||
Intesa Sanpaolo SPA | ||||||||||||||||
2,000,000 | 5.000 | 04/28/11 | 3,055,198 | |||||||||||||
2,350,000 | 6.625 | 05/08/18 | 3,626,894 | |||||||||||||
JPMorgan Chase & Co.(b) | ||||||||||||||||
$ | 4,350,000 | 7.900 | 04/30/49 | 4,176,739 | ||||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||||
EUR 1,200,000 | 6.750 | 05/21/13 | 1,887,922 | |||||||||||||
Resona Bank Ltd.(b) | ||||||||||||||||
650,000 | 4.125 | 09/27/49 | 827,524 | |||||||||||||
Resona Bank Ltd. MTN(b) | ||||||||||||||||
1,180,000 | 3.750 | 04/15/15 | 1,700,850 | |||||||||||||
Resona Preferred Global Securities Ltd.(a)(b) | ||||||||||||||||
$ | 2,500,000 | 7.191 | 07/30/49 | 2,075,000 | ||||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||||
150,000 | 4.875 | (a) | 08/25/14 | 152,306 | ||||||||||||
900,000 | 0.572 | (b) | 08/29/17 | 670,371 | ||||||||||||
EUR 2,350,000 | 6.934 | 04/09/18 | 3,408,202 | |||||||||||||
Societe Generale(b) | ||||||||||||||||
1,400,000 | 7.756 | 05/22/49 | 1,905,280 | |||||||||||||
St. George Bank Ltd. | ||||||||||||||||
850,000 | 6.500 | 06/24/13 | 1,378,610 | |||||||||||||
Sumitomo Mitsui Banking Corp.(b) | ||||||||||||||||
1,750,000 | 4.375 | 10/15/49 | 2,176,732 | |||||||||||||
UBS AG London | ||||||||||||||||
GBP 3,450,000 | 6.625 | 04/11/18 | 6,036,672 | |||||||||||||
UniCredit SPA | ||||||||||||||||
EUR 3,600,000 | 5.750 | 09/26/17 | 5,446,817 | |||||||||||||
Unione di Banche Italiane SCPA | ||||||||||||||||
944,000 | 4.939 | 06/25/14 | 1,440,698 | |||||||||||||
710,000 | 3.625 | 09/23/16 | 1,044,127 | |||||||||||||
US Bank NA(b) | ||||||||||||||||
2,450,000 | 4.375 | 02/28/17 | 3,331,874 | |||||||||||||
UT2 Funding PLC | ||||||||||||||||
1,350,000 | 5.321 | 06/30/16 | 1,264,334 | |||||||||||||
Wachovia Bank NA | ||||||||||||||||
1,750,000 | 6.000 | 05/23/13 | 2,765,787 | |||||||||||||
Wells Fargo Capital XIII(b) | ||||||||||||||||
$ | 1,750,000 | 7.700 | 03/26/49 | 1,540,000 | ||||||||||||
WM Covered Bond Program | ||||||||||||||||
EUR 700,000 | 4.375 | 05/19/14 | 1,039,809 | |||||||||||||
2,050,000 | 4.000 | 09/27/16 | 2,889,521 | |||||||||||||
84,690,992 | ||||||||||||||||
Brokerage – 1.7% | ||||||||||||||||
Bear Stearns & Co., Inc. | ||||||||||||||||
$ | 2,410,000 | 5.850 | 07/19/10 | 2,507,651 | ||||||||||||
200,000 | 7.250 | 02/01/18 | 228,715 | |||||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||||
3,050,000 | 6.400 | 08/28/17 | 3,088,930 | |||||||||||||
Morgan Stanley | ||||||||||||||||
EUR 6,850,000 | 5.500 | 10/02/17 | 10,167,364 | |||||||||||||
15,992,660 | ||||||||||||||||
Communications – 3.5% | ||||||||||||||||
AT&T, Inc. | ||||||||||||||||
$ | 3,300,000 | 5.600 | 05/15/18 | 3,470,214 | ||||||||||||
2,050,000 | 6.300 | 01/15/38 | 2,147,668 | |||||||||||||
Bell Atlantic New Jersey, Inc. | ||||||||||||||||
65,000 | 8.000 | 06/01/22 | 74,475 | |||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
170,000 | 9.455 | 11/15/22 | 218,450 | |||||||||||||
Comcast Corp. | ||||||||||||||||
3,450,000 | 5.700 | 05/15/18 | 3,627,206 | |||||||||||||
Cox Communications, Inc. | ||||||||||||||||
1,850,000 | 4.625 | 01/15/10 | 1,866,870 | |||||||||||||
Reed Elsevier Capital, Inc. | ||||||||||||||||
2,250,000 | 7.750 | 01/15/14 | 2,557,681 | |||||||||||||
Telecom Italia Finance SA | ||||||||||||||||
EUR 949,000 | 7.750 | 01/24/33 | 1,558,281 | |||||||||||||
Telefonica Emisiones SAU | ||||||||||||||||
2,250,000 | 5.580 | 06/12/13 | 3,540,957 | |||||||||||||
$ | 1,950,000 | 7.045 | 06/20/36 | 2,308,181 | ||||||||||||
Time Warner Cable, Inc. | ||||||||||||||||
2,600,000 | 6.550 | 05/01/37 | 2,755,994 | |||||||||||||
Verizon Wireless Capital LLC | ||||||||||||||||
EUR 2,850,000 | 8.750 | 12/18/15 | 5,244,877 | |||||||||||||
WPP PLC | ||||||||||||||||
2,100,000 | 4.375 | 12/05/13 | 3,023,741 | |||||||||||||
32,394,595 | ||||||||||||||||
Consumer Noncyclical – 3.5% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
$ | 2,900,000 | 9.700 | 11/10/18 | 3,601,965 | ||||||||||||
Anheuser-Busch InBev NV | ||||||||||||||||
EUR 1,200,000 | 8.625 | 01/30/17 | 2,168,302 | |||||||||||||
BAT International Finance PLC | ||||||||||||||||
2,350,000 | 5.875 | 03/12/15 | 3,757,963 | |||||||||||||
$ | 550,000 | 9.500 | (a) | 11/15/18 | 713,365 | |||||||||||
Casino Guichard-Perrachon SA | ||||||||||||||||
EUR 2,200,000 | 6.375 | 04/04/13 | 3,463,589 | |||||||||||||
500,000 | 4.875 | 04/10/14 | 748,093 | |||||||||||||
Diageo Finance PLC | ||||||||||||||||
600,000 | 6.625 | 12/05/14 | 998,529 | |||||||||||||
Imperial Tobacco Finance PLC | ||||||||||||||||
1,650,000 | 7.250 | 09/15/14 | 2,690,665 | |||||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
Consumer Noncyclical – (continued) | ||||||||||||||||
Imperial Tobacco Finance PLC – (continued) | ||||||||||||||||
EUR 2,700,000 | 8.375 | % | 02/17/16 | $ | 4,636,074 | |||||||||||
Pfizer, Inc. | ||||||||||||||||
$ | 1,750,000 | 7.200 | 03/15/39 | 2,202,569 | ||||||||||||
Philip Morris International, Inc. | ||||||||||||||||
EUR 2,000,000 | 5.750 | 03/24/16 | 3,232,512 | |||||||||||||
Tesco PLC | ||||||||||||||||
2,650,000 | 5.875 | 09/12/16 | 4,297,977 | |||||||||||||
32,511,603 | ||||||||||||||||
Electric – 0.4% | ||||||||||||||||
Enel Finance International SA | ||||||||||||||||
1,000,000 | 4.000 | 09/14/16 | 1,469,305 | |||||||||||||
$ | 2,600,000 | 5.125 | (a) | 10/07/19 | 2,588,560 | |||||||||||
4,057,865 | ||||||||||||||||
Energy – 0.8% | ||||||||||||||||
Canadian Natural Resources Ltd. | ||||||||||||||||
1,100,000 | 6.750 | 02/01/39 | 1,238,073 | |||||||||||||
Dolphin Energy Ltd.(a) | ||||||||||||||||
1,410,000 | 5.888 | 06/15/19 | 1,424,988 | |||||||||||||
Transocean, Inc. | ||||||||||||||||
1,716,000 | 6.800 | 03/15/38 | 1,941,257 | |||||||||||||
XTO Energy, Inc. | ||||||||||||||||
3,050,000 | 5.500 | 06/15/18 | 3,147,542 | |||||||||||||
7,751,860 | ||||||||||||||||
Financial Companies – 2.6% | ||||||||||||||||
American Express Centurion | ||||||||||||||||
3,250,000 | 5.200 | 11/26/10 | 3,350,400 | |||||||||||||
Capital One Financial Corp. | ||||||||||||||||
4,540,000 | 5.700 | 09/15/11 | 4,774,375 | |||||||||||||
GE Capital Euro Funding | ||||||||||||||||
EUR 1,100,000 | 5.250 | 05/18/15 | 1,683,273 | |||||||||||||
International Lease Finance Corp. | ||||||||||||||||
$ | 1,000,000 | 4.950 | 02/01/11 | 915,668 | ||||||||||||
Nationwide Building Society | ||||||||||||||||
EUR 2,550,000 | 4.625 | 09/13/12 | 3,877,450 | |||||||||||||
4,700,000 | 3.875 | 12/05/13 | 6,958,079 | |||||||||||||
SLM Corp. | ||||||||||||||||
$ | 470,000 | 4.500 | 07/26/10 | 456,630 | ||||||||||||
50,000 | 5.450 | 04/25/11 | 47,264 | |||||||||||||
2,829,000 | 8.450 | 06/15/18 | 2,252,624 | |||||||||||||
24,315,763 | ||||||||||||||||
Insurance – 2.6% | ||||||||||||||||
American International Group, Inc.(b) | ||||||||||||||||
EUR 3,300,000 | 4.875 | 03/15/67 | 2,124,783 | |||||||||||||
AON Financial Services Luxembourg SA | ||||||||||||||||
1,650,000 | 6.250 | 07/01/14 | 2,575,311 | |||||||||||||
Aviva PLC(b) | ||||||||||||||||
2,250,000 | 6.875 | 05/22/38 | 3,127,908 | |||||||||||||
AXA SA(b) | ||||||||||||||||
880,000 | 5.777 | 07/06/49 | 1,090,722 | |||||||||||||
2,500,000 | 6.211 | 10/05/49 | 3,038,278 | |||||||||||||
Cloverie PLC for Zurich Insurance Co.(b) | ||||||||||||||||
850,000 | 7.500 | 07/24/39 | 1,359,649 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
$ | 20,000 | 7.000 | 07/15/34 | 17,878 | ||||||||||||
Old Mutual PLC(b) | ||||||||||||||||
EUR 250,000 | 4.500 | 01/18/17 | 299,987 | |||||||||||||
Resolution PLC(b) | ||||||||||||||||
GBP 1,950,000 | 6.586 | 04/25/49 | 997,246 | |||||||||||||
SL Finance PLC(b) | ||||||||||||||||
EUR 1,450,000 | 6.375 | 07/12/22 | 2,041,289 | |||||||||||||
GBP 2,850,000 | 6.546 | 01/06/49 | 3,411,494 | |||||||||||||
EUR 650,000 | 5.314 | 01/06/49 | 711,195 | |||||||||||||
Swiss Re Capital I LP(a)(b) | ||||||||||||||||
$ | 1,400,000 | 6.854 | 05/25/49 | 1,050,000 | ||||||||||||
ZFS Finance USA Trust I(a)(b) | ||||||||||||||||
950,000 | 6.150 | 12/15/65 | 855,000 | |||||||||||||
ZFS Finance USA Trust II(a)(b) | ||||||||||||||||
514,000 | 6.450 | 12/15/65 | 457,460 | |||||||||||||
ZFS Finance USA Trust IV(a)(b) | ||||||||||||||||
1,050,000 | 5.875 | 05/09/32 | 851,697 | |||||||||||||
24,009,897 | ||||||||||||||||
Metals & Mining – 1.2% | ||||||||||||||||
Anglo American Capital PLC(a) | ||||||||||||||||
3,400,000 | 9.375 | 04/08/14 | 3,961,000 | |||||||||||||
ArcelorMittal | ||||||||||||||||
2,050,000 | 9.850 | 06/01/19 | 2,413,875 | |||||||||||||
Glencore Finance Europe SA | ||||||||||||||||
EUR 3,250,000 | 7.125 | 04/23/15 | 4,862,844 | |||||||||||||
11,237,719 | ||||||||||||||||
Natural Gas – 1.5% | ||||||||||||||||
Centrica PLC | ||||||||||||||||
3,950,000 | 7.125 | 12/09/13 | 6,628,240 | |||||||||||||
Energy Transfer Partners LP | ||||||||||||||||
$ | 1,050,000 | 8.500 | 04/15/14 | 1,213,322 | ||||||||||||
1,150,000 | 9.000 | 04/15/19 | 1,382,815 | |||||||||||||
Enterprise Products Partners LP | ||||||||||||||||
2,300,000 | 6.500 | 01/31/19 | 2,511,312 | |||||||||||||
The Williams Cos., Inc. | ||||||||||||||||
1,500,000 | 8.750 | 03/15/32 | 1,720,145 | |||||||||||||
13,455,834 | ||||||||||||||||
Real Estate Investment Trust – 0.3% | ||||||||||||||||
Simon Property Group LP | ||||||||||||||||
2,700,000 | 5.600 | 09/01/11 | 2,810,549 | |||||||||||||
Transportation – 0.3% | ||||||||||||||||
Atlantia SpA | ||||||||||||||||
EUR 500,000 | 5.625 | 05/06/16 | 792,213 | |||||||||||||
Autoroutes du Sud de la France | ||||||||||||||||
900,000 | 7.375 | 03/20/19 | 1,538,254 | |||||||||||||
2,330,467 | ||||||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||||
(Cost $247,105,686) | $ | 255,559,804 | ||||||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Foreign Debt Obligations – 1.6% | ||||||||||||||||
Supranational – 1.6% | ||||||||||||||||
European Investment Bank | ||||||||||||||||
$ | 7,175,000 | 1.750 | % | 09/14/12 | $ | 7,168,337 | ||||||||||
7,000,000 | 3.125 | 06/04/14 | 7,163,373 | |||||||||||||
Inter-American Development Bank | ||||||||||||||||
300,000 | 3.000 | 04/22/14 | 305,663 | |||||||||||||
14,637,373 | ||||||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $14,581,406) | $ | 14,637,373 | ||||||||||||||
Asset-Backed Securities – 0.5% | ||||||||||||||||
Home Equity – 0.5% | ||||||||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A1(a)(b) | ||||||||||||||||
$ | 2,837,684 | 1.246 | % | 10/25/37 | $ | 2,527,901 | ||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A2(a)(b) | ||||||||||||||||
1,600,000 | 1.496 | 10/25/37 | 655,838 | |||||||||||||
CIT Mortgage Loan Trust Series 2007-1, Class 2A3(a)(b) | ||||||||||||||||
2,900,000 | 1.696 | 10/25/37 | 1,082,268 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||||
199,698 | 7.000 | 09/25/37 | 118,304 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||||
223,547 | 7.000 | 09/25/37 | 92,758 | |||||||||||||
4,477,069 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $7,761,723) | $ | 4,477,069 | ||||||||||||||
Mortgage-Backed Obligations – 22.5% | ||||||||||||||||
Collateralized Mortgage Obligations – 5.6% | ||||||||||||||||
Bear Stearns Alt-A Trust II Series 2007-1, Class 1A1(b) | ||||||||||||||||
$ | 6,292,265 | 6.029 | % | 09/25/47 | $ | 3,780,021 | ||||||||||
Countrywide Alternative Loan Trust Series 2005-46CB, Class A8 | ||||||||||||||||
3,908,930 | 5.500 | 10/25/35 | 3,348,931 | |||||||||||||
Countrywide Home Loan Trust Series 2004-HYB5, Class 2A1(b) | ||||||||||||||||
525,554 | 3.885 | 04/20/35 | 477,789 | |||||||||||||
Countrywide Home Loan Trust Series 2005-HYB4, Class 2A1(b) | ||||||||||||||||
1,632,240 | 4.864 | 08/20/35 | 1,212,165 | |||||||||||||
FHLMC REMIC Series 3307, Class FC(b) | ||||||||||||||||
1,059,230 | 0.643 | 07/15/34 | 1,019,421 | |||||||||||||
FNMA REMIC Series 2007-4, Class DF(b) | ||||||||||||||||
1,189,157 | 0.691 | 02/25/37 | 1,156,407 | |||||||||||||
FNMA REMIC Series 2008-56, Class FD(b) | ||||||||||||||||
9,541,634 | 1.186 | 07/25/48 | 9,507,863 | |||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2004-AR1, Class 12A(b) | ||||||||||||||||
891,224 | 4.720 | 06/25/34 | 776,804 | |||||||||||||
Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A(b) | ||||||||||||||||
2,066,314 | 5.914 | 08/19/36 | 1,244,400 | |||||||||||||
Harborview Mortgage Loan Trust Series 2007-4, Class 2A1(b) | ||||||||||||||||
9,485,141 | 0.466 | 07/19/47 | 4,589,962 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1(b) | ||||||||||||||||
427,415 | 5.186 | 08/25/35 | 290,422 | |||||||||||||
Luminent Mortgage Trust Series 2006-5, Class A1A(b) | ||||||||||||||||
1,791,432 | 0.436 | 07/25/36 | 934,037 | |||||||||||||
Merrill Lynch Alternative Note Asset Series 2007-AF1, Class AV1(b) | ||||||||||||||||
8,069,256 | 5.540 | 06/25/37 | 4,357,182 | |||||||||||||
Morgan Stanley Mortgage Loan Trust Series 2007-15AR, Class 2A1(b) | ||||||||||||||||
12,642,055 | 6.158 | 11/25/37 | 8,471,551 | |||||||||||||
Residential Accredit Loans, Inc. Series 2005-Q05, Class A1(b) | ||||||||||||||||
1,995,000 | 1.901 | 01/25/46 | 1,077,106 | |||||||||||||
Residential Accredit Loans, Inc. Series 2005-QS13, Class 2A3 | ||||||||||||||||
2,726,290 | 5.750 | 09/25/35 | 2,151,939 | |||||||||||||
Sequoia Mortgage Trust Series 2004-10, Class A3A(b) | ||||||||||||||||
391,932 | 1.971 | 11/20/34 | 307,449 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-05, Class 3A1(b) | ||||||||||||||||
940,364 | 3.734 | 05/25/34 | 796,404 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2(b) | ||||||||||||||||
188,956 | 3.396 | 09/25/34 | 158,837 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-16, Class 3A1(b) | ||||||||||||||||
964,585 | 5.089 | 11/25/34 | 810,962 | |||||||||||||
Structured Asset Mortgage Investments, Inc. Series 2007-AR6, Class A1(b) | ||||||||||||||||
7,127,202 | 2.401 | 08/25/47 | 3,713,429 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR11, Class 3A1A(b) | ||||||||||||||||
1,379,853 | 1.821 | 09/25/46 | 649,455 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2007-0A1, Class A1A(b) | ||||||||||||||||
2,092,647 | 1.601 | 02/25/47 | 1,009,150 | |||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 51,841,686 | ||||||||||||||
Commercial Mortgage-Backed Securities – 0.7% | ||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-CB17, Class A4 | ||||||||||||||||
6,000,000 | 5.429 | 12/12/43 | 5,548,272 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2007-C1, Class A4 | ||||||||||||||||
1,220,000 | 5.424 | 02/15/40 | 1,047,365 | |||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ | 6,595,637 | ||||||||||||||
Federal Agencies – 15.9% | ||||||||||||||||
Adjustable Rate FHLMC(b) – 1.7% | ||||||||||||||||
14,749,155 | 6.115 | 09/01/37 | 15,652,548 | |||||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate FNMA(b) – 2.9% | ||||||||||||||||
$ | 8,095,963 | 5.812 | % | 09/01/37 | $ | 8,591,844 | ||||||||||
10,131,955 | 6.415 | 09/01/37 | 10,752,543 | |||||||||||||
7,395,758 | 5.931 | 10/01/37 | 7,848,752 | |||||||||||||
27,193,139 | ||||||||||||||||
FHLMC – 2.8% | ||||||||||||||||
3,698 | 5.000 | 09/01/16 | 3,893 | |||||||||||||
43,201 | 5.000 | 11/01/16 | 45,948 | |||||||||||||
11,043 | 5.000 | 12/01/16 | 11,760 | |||||||||||||
156,516 | 5.000 | 01/01/17 | 166,679 | |||||||||||||
259,648 | 5.000 | 02/01/17 | 276,387 | |||||||||||||
206,219 | 5.000 | 03/01/17 | 219,389 | |||||||||||||
342,897 | 5.000 | 04/01/17 | 365,156 | |||||||||||||
14,367 | 5.000 | 05/01/17 | 15,229 | |||||||||||||
5,650 | 5.000 | 06/01/17 | 5,978 | |||||||||||||
17,097 | 5.000 | 08/01/17 | 18,208 | |||||||||||||
883,518 | 5.000 | 09/01/17 | 940,812 | |||||||||||||
970,093 | 5.000 | 10/01/17 | 1,033,074 | |||||||||||||
570,971 | 5.000 | 11/01/17 | 608,042 | |||||||||||||
669,125 | 5.000 | 12/01/17 | 712,563 | |||||||||||||
816,053 | 5.000 | 01/01/18 | 868,935 | |||||||||||||
1,753,224 | 5.000 | 02/01/18 | 1,866,461 | |||||||||||||
1,709,927 | 5.000 | 03/01/18 | 1,820,590 | |||||||||||||
1,481,896 | 5.000 | 04/01/18 | 1,577,822 | |||||||||||||
994,595 | 5.000 | 05/01/18 | 1,058,551 | |||||||||||||
225,347 | 5.000 | 06/01/18 | 239,912 | |||||||||||||
214,642 | 5.000 | 07/01/18 | 228,510 | |||||||||||||
130,043 | 5.000 | 08/01/18 | 138,451 | |||||||||||||
88,641 | 5.000 | 09/01/18 | 94,368 | |||||||||||||
21,228 | 4.500 | 10/01/18 | 22,424 | |||||||||||||
314,665 | 5.000 | 10/01/18 | 334,996 | |||||||||||||
610,792 | 4.500 | 11/01/18 | 645,215 | |||||||||||||
333,431 | 5.000 | 11/01/18 | 354,974 | |||||||||||||
231,414 | 5.000 | 12/01/18 | 246,367 | |||||||||||||
2,349,957 | 4.500 | 01/01/19 | 2,482,394 | |||||||||||||
178,206 | 5.000 | 01/01/19 | 189,724 | |||||||||||||
23,964 | 4.500 | 02/01/19 | 25,307 | |||||||||||||
31,618 | 5.000 | 02/01/19 | 33,610 | |||||||||||||
21,599 | 4.500 | 03/01/19 | 22,720 | |||||||||||||
41,135 | 5.000 | 03/01/19 | 43,664 | |||||||||||||
36,402 | 4.500 | 06/01/19 | 38,316 | |||||||||||||
133,408 | 5.500 | 04/01/37 | 140,276 | |||||||||||||
90,667 | 5.500 | 06/01/37 | 95,335 | |||||||||||||
25,106 | 5.500 | 08/01/37 | 26,398 | |||||||||||||
101,000 | 5.500 | 04/01/38 | 106,215 | |||||||||||||
1,474,406 | 5.500 | 05/01/38 | 1,550,545 | |||||||||||||
354,302 | 5.500 | 08/01/38 | 372,764 | |||||||||||||
1,071,073 | 5.000 | 04/01/39 | 1,112,912 | |||||||||||||
35,418 | 5.000 | 05/01/39 | 36,801 | |||||||||||||
1,981,030 | 5.000 | 06/01/39 | 2,048,480 | |||||||||||||
313,275 | 5.000 | 07/01/39 | 325,023 | |||||||||||||
149,149 | 5.000 | 08/01/39 | 154,841 | |||||||||||||
1,100,000 | 4.500 | 09/01/39 | 1,114,323 | |||||||||||||
1,000,000 | 5.000 | 09/01/39 | 1,034,729 | |||||||||||||
700,000 | 4.500 | TBA-30yr | (c) | 708,093 | ||||||||||||
25,583,164 | ||||||||||||||||
FNMA – 7.8% | ||||||||||||||||
7,524 | 5.000 | 01/01/17 | 7,952 | |||||||||||||
14,863 | 5.000 | 08/01/17 | 15,703 | |||||||||||||
357,057 | 5.000 | 09/01/17 | 377,241 | |||||||||||||
43,709 | 5.000 | 03/01/18 | 46,426 | |||||||||||||
8,426 | 4.500 | 04/01/18 | 8,898 | |||||||||||||
74,964 | 5.000 | 04/01/18 | 79,624 | |||||||||||||
10,337 | 4.500 | 05/01/18 | 10,916 | |||||||||||||
197,163 | 5.000 | 05/01/18 | 209,400 | |||||||||||||
97,979 | 5.000 | 06/01/18 | 104,068 | |||||||||||||
127,666 | 5.000 | 07/01/18 | 135,602 | |||||||||||||
192,721 | 5.000 | 10/01/18 | 204,700 | |||||||||||||
85,999 | 5.000 | 11/01/18 | 91,355 | |||||||||||||
343,199 | 5.000 | 12/01/18 | 364,605 | |||||||||||||
62,551 | 5.000 | 02/01/19 | 66,252 | |||||||||||||
11,554 | 5.000 | 03/01/19 | 12,237 | |||||||||||||
133,138 | 5.000 | 04/01/19 | 141,018 | |||||||||||||
309,279 | 5.000 | 07/01/19 | 327,583 | |||||||||||||
175,029 | 5.000 | 08/01/19 | 185,389 | |||||||||||||
126,464 | 5.000 | 09/01/19 | 133,948 | |||||||||||||
22,947 | 4.500 | 10/01/19 | 24,233 | |||||||||||||
1,029,034 | 5.000 | 10/01/19 | 1,092,997 | |||||||||||||
22,834 | 5.000 | 11/01/19 | 24,185 | |||||||||||||
121,424 | 5.000 | 12/01/19 | 128,657 | |||||||||||||
215,796 | 5.000 | 01/01/20 | 229,060 | |||||||||||||
87,476 | 5.000 | 03/01/20 | 92,433 | |||||||||||||
91,711 | 5.000 | 05/01/20 | 96,909 | |||||||||||||
2,602,291 | 5.000 | 05/01/21 | 2,756,307 | |||||||||||||
57,694 | 4.500 | 03/01/23 | 59,855 | |||||||||||||
175,629 | 5.500 | 03/01/33 | 184,776 | |||||||||||||
145,945 | 5.500 | 05/01/33 | 153,546 | |||||||||||||
25,219 | 5.500 | 06/01/33 | 26,532 | |||||||||||||
1,165,128 | 5.500 | 07/01/33 | 1,225,812 | |||||||||||||
33,378 | 5.000 | 08/01/33 | 34,618 | |||||||||||||
16,903 | 5.500 | 02/01/34 | 17,814 | |||||||||||||
17,506 | 5.500 | 05/01/34 | 18,446 | |||||||||||||
147,719 | 5.500 | 06/01/34 | 155,412 | |||||||||||||
12,473 | 5.500 | 10/01/34 | 13,139 | |||||||||||||
99,180 | 5.500 | 12/01/34 | 104,477 | |||||||||||||
31,509 | 5.500 | 04/01/35 | 33,177 | |||||||||||||
24,706 | 5.500 | 07/01/35 | 26,014 | |||||||||||||
75,831 | 5.500 | 01/01/37 | 79,714 | |||||||||||||
4,714 | 5.500 | 02/01/37 | 4,966 | |||||||||||||
44,970 | 5.500 | 03/01/37 | 47,272 | |||||||||||||
296,621 | 5.500 | 04/01/37 | 311,755 | |||||||||||||
1,115,155 | 5.500 | 05/01/37 | 1,172,068 | |||||||||||||
812,500 | 5.500 | 06/01/37 | 856,130 | |||||||||||||
27,093 | 5.500 | 07/01/37 | 28,484 | |||||||||||||
2,926 | 5.500 | 09/01/37 | 3,084 | |||||||||||||
30,698,910 | 6.000 | 10/01/37 | 32,440,004 | |||||||||||||
25,626 | 5.500 | 01/01/38 | 26,828 | |||||||||||||
229,487 | 5.500 | 02/01/38 | 242,100 | |||||||||||||
2,002,253 | 5.500 | 03/01/38 | 2,108,354 | |||||||||||||
757,094 | 5.500 | 04/01/38 | 796,997 | |||||||||||||
2,838,058 | 5.500 | 05/01/38 | 2,993,920 | |||||||||||||
3,109,575 | 5.500 | 06/01/38 | 3,278,178 | |||||||||||||
2,774,436 | 5.500 | 07/01/38 | 2,926,829 | |||||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA – (continued) | ||||||||||||||||
$ | 54,531 | 6.000 | % | 07/01/38 | $ | 57,569 | ||||||||||
1,263,501 | 5.500 | 08/01/38 | 1,329,662 | |||||||||||||
591,189 | 5.500 | 09/01/38 | 623,486 | |||||||||||||
466,380 | 5.500 | 10/01/38 | 491,052 | |||||||||||||
204,069 | 5.500 | 11/01/38 | 215,959 | |||||||||||||
364,927 | 5.500 | 12/01/38 | 384,393 | |||||||||||||
691,262 | 5.500 | 01/01/39 | 727,175 | |||||||||||||
30,333 | 5.000 | 02/01/39 | 31,513 | |||||||||||||
17,666 | 5.500 | 02/01/39 | 18,657 | |||||||||||||
991,522 | 4.500 | 03/01/39 | 991,728 | |||||||||||||
40,847 | 5.500 | 03/01/39 | 43,136 | |||||||||||||
30,463 | 5.000 | 04/01/39 | 31,600 | |||||||||||||
15,160 | 5.500 | 04/01/39 | 16,009 | |||||||||||||
34,074 | 4.500 | 05/01/39 | 34,561 | |||||||||||||
177,814 | 5.000 | 05/01/39 | 184,500 | |||||||||||||
35,011 | 5.500 | 05/01/39 | 36,831 | |||||||||||||
143,857 | 4.500 | 06/01/39 | 146,058 | |||||||||||||
63,441 | 5.000 | 06/01/39 | 65,856 | |||||||||||||
91,595 | 4.500 | 07/01/39 | 93,082 | |||||||||||||
209,858 | 5.000 | 07/01/39 | 217,865 | |||||||||||||
132,417 | 4.500 | 08/01/39 | 134,506 | |||||||||||||
86,033 | 5.000 | 08/01/39 | 89,246 | |||||||||||||
397,096 | 4.500 | 10/01/39 | 403,165 | |||||||||||||
3,000,000 | 4.500 | TBA-30yr | (c) | 3,037,263 | ||||||||||||
6,000,000 | 6.000 | TBA-30yr | (c) | 6,266,250 | ||||||||||||
72,009,121 | ||||||||||||||||
GNMA – 0.7% | ||||||||||||||||
83,788 | 5.000 | 05/15/39 | 87,192 | |||||||||||||
314,964 | 5.000 | 06/15/39 | 327,822 | |||||||||||||
4,600,000 | 5.000 | 09/15/39 | 4,770,631 | |||||||||||||
400,000 | 4.500 | 09/15/39 | 406,750 | |||||||||||||
1,000,000 | 5.000 | TBA-30yr | (c) | 1,034,688 | ||||||||||||
6,627,083 | ||||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 147,065,055 | ||||||||||||||
Home Equity(b) – 0.3% | ||||||||||||||||
American Home Mortgage Investment Trust Series 2004-3, Class 1A | ||||||||||||||||
26,873 | 0.616 | 10/25/34 | 22,310 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-38, Class A1 | ||||||||||||||||
316,690 | 2.401 | 09/25/35 | 178,724 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-82, Class A1 | ||||||||||||||||
3,990,545 | 0.516 | 02/25/36 | 2,120,905 | |||||||||||||
Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1 | ||||||||||||||||
1,394,524 | 0.456 | 03/20/46 | 705,489 | |||||||||||||
3,027,428 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $228,959,592) | $ | 208,529,806 | ||||||||||||||
Agency Debentures – 0.5% | ||||||||||||||||
FFCB | ||||||||||||||||
2,200,000 | 4.250 | 04/16/18 | 2,255,431 | |||||||||||||
FHLB | ||||||||||||||||
700,000 | 5.000 | 11/17/17 | 764,699 | |||||||||||||
1,200,000 | 4.500 | 09/13/19 | 1,238,224 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $4,110,998) | $ | 4,258,354 | ||||||||||||||
Government Guarantee Obligations(d) – 8.8% | ||||||||||||||||
Bank Nederlandse Gemeenten | ||||||||||||||||
$ | 2,850,000 | 2.375 | % | 06/04/12 | $ | 2,878,013 | ||||||||||
EUR 4,925,000 | 4.125 | 06/28/16 | 7,551,747 | |||||||||||||
Caisse d’Amortissement de la Dette Sociale | ||||||||||||||||
4,350,000 | 2.625 | 04/25/12 | 6,486,520 | |||||||||||||
Instituto de Credito Oficial | ||||||||||||||||
$ | 2,100,000 | 4.625 | 10/26/10 | 2,178,769 | ||||||||||||
Kommunalkredit Austria AG | ||||||||||||||||
EUR 1,550,000 | 3.125 | 07/08/13 | 2,307,471 | |||||||||||||
Kreditanstalt fuer Wiederaufbau MTN | ||||||||||||||||
6,250,000 | 4.375 | 07/04/18 | 9,764,543 | |||||||||||||
Landwirtschaftliche Rentenbank | ||||||||||||||||
$ | 8,940,000 | 5.000 | 11/08/16 | 9,764,358 | ||||||||||||
LeasePlan Corp. NV | ||||||||||||||||
EUR 2,750,000 | 3.250 | 05/22/14 | 4,096,597 | |||||||||||||
Network Rail Infrastructure Finance PLC | ||||||||||||||||
$ | 3,600,000 | 2.000 | 01/17/12 | 3,636,515 | ||||||||||||
OeBB Infrastruktur Bau AG | ||||||||||||||||
810,000 | 4.750 | 10/28/13 | 862,202 | |||||||||||||
Oesterreichische Kontrollbank AG | ||||||||||||||||
EUR 2,900,000 | 3.500 | 04/28/14 | 4,363,389 | |||||||||||||
Schieneninfrastructurfinanzierungs-Gesellschaft mBH MTN | ||||||||||||||||
$ | 760,000 | 4.625 | 11/21/13 | 803,180 | ||||||||||||
Societe Financement de l’Economie Francaise | ||||||||||||||||
EUR 1,650,000 | 2.125 | 05/20/12 | 2,434,168 | |||||||||||||
2,000,000 | 3.125 | 06/30/14 | 2,978,205 | |||||||||||||
$ | 4,070,000 | 2.875 | (a) | 09/22/14 | 4,078,344 | |||||||||||
Swedbank AB | ||||||||||||||||
EUR 5,100,000 | 3.375 | 05/27/14 | 7,610,737 | |||||||||||||
Swedish Export Credit | ||||||||||||||||
$ | 2,770,000 | 3.250 | 09/16/14 | 2,786,868 | ||||||||||||
Westpac Securities NZ Ltd.(a) | ||||||||||||||||
6,975,000 | 2.500 | 05/25/12 | 7,040,226 | |||||||||||||
81,621,852 | ||||||||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
(Cost $77,189,354) | $ | 81,621,852 | ||||||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligations – 2.2% | ||||||||||||||||
Sovereign – 2.2% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 1,500,000 | 7.500 | % | 11/15/24 | $ | 2,112,435 | ||||||||||
370,000 | 6.125 | 11/15/27 | 469,900 | |||||||||||||
3,790,000 | 5.500 | 08/15/28 | 4,521,353 | |||||||||||||
100,000 | 4.250 | 05/15/39 | 103,453 | |||||||||||||
United States Treasury Inflation Protected Security | ||||||||||||||||
3,970,138 | 1.625 | 01/15/15 | 4,044,578 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
5,592,000 | 1.375 | 09/15/12 | 5,582,387 | |||||||||||||
1,800,000 | 3.250 | 05/31/16 | 1,844,015 | |||||||||||||
United States Treasury Principal-Only STRIPS(e) | ||||||||||||||||
710,000 | 0.000 | 05/15/20 | 474,312 | |||||||||||||
2,500,000 | 0.000 | 11/15/26 | 1,211,097 | |||||||||||||
20,363,530 | ||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $19,705,507) | $ | 20,363,530 | ||||||||||||||
Exercise | Expiration | |||||||||||||
Contracts | Rate | Date | Value | |||||||||||
Options Purchased – 0.0% | ||||||||||||||
Cross Currency Option | ||||||||||||||
Call PLN 2,366,000 | ||||||||||||||
Put EUR 9,700,600 | 4.100 | % | 10/14/09 | $ | 5,886 | |||||||||
Cross Currency Option | ||||||||||||||
Call RUB 3,184,000 | ||||||||||||||
Put EUR 133,728,000 | 42.000 | 11/09/09 | 1,607 | |||||||||||
Cross Currency Option | ||||||||||||||
Call RUB 4,802,000 | ||||||||||||||
Put EUR 201,684,000 | 42.000 | 11/03/09 | 1,455 | |||||||||||
Cross Currency Option | ||||||||||||||
Call RUB 4,803,000 | ||||||||||||||
Put EUR 187,317,000 | 39.000 | 01/13/10 | 1,174 | |||||||||||
Cross Currency Option | ||||||||||||||
Put JPY 2,736,000 | ||||||||||||||
Call GBP 424,080,000 | 155.000 | 10/29/09 | 547 | |||||||||||
Cross Currency Option | ||||||||||||||
Put JPY 2,773,000 | ||||||||||||||
Call GBP 457,545,000 | 165.000 | 03/22/10 | 11,584 | |||||||||||
Currency Option | ||||||||||||||
Call JPY 4,874,000 | ||||||||||||||
Put USD 428,912,000 | 88.000 | 10/02/09 | 1,530 | |||||||||||
Currency Option | ||||||||||||||
Put USD 2,880,000 | ||||||||||||||
Call GBP 4,651,200 | 1.615 | 10/01/09 | 5,293 | |||||||||||
TOTAL OPTIONS PURCHASED | ||||||||||||||
(Cost $123,377) | $ | 29,076 | ||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligations – 0.8% | ||||||||||||||||
JPMorgan Corp. | ||||||||||||||||
$ | 247,392 | 0.110 | % | 10/01/09 | $ | 247,392 | ||||||||||
Rabobank | ||||||||||||||||
7,222,915 | 0.140 | 10/01/09 | 7,222,915 | |||||||||||||
TOTAL SHORT-TERM OBLIGATIONS | ||||||||||||||||
(Cost $7,470,307) | $ | 7,470,307 | ||||||||||||||
TOTAL INVESTMENTS – 97.1% | ||||||||||||||||
(Cost $871,173,458) | $ | 898,017,787 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.9% | 26,380,452 | |||||||||||||||
NET ASSETS – 100.0% | $ | 924,398,239 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(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 $34,827,386, which represents approximately 3.8% of net assets as of September 30, 2009. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2009. | |
(c) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $11,046,294 which represents approximately 1.2% of net assets as of September 30, 2009. | |
(d) | Represents securities which are guaranteed by a foreign government. | |
(e) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
Investment Abbreviations: | ||||||
BP | — | British Pound Offered Rate | ||||
CDOR | — | Canadian Dollar Offered Rate | ||||
CPI | — | Consumer Price Index | ||||
EURO | — | Euro Offered Rate | ||||
FFCB | — | Federal Farm Credit Bank | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
JYOR | — | Japanese Yen Offered Rate | ||||
KWCDC | — | South Korean Won Certificate of Deposit | ||||
LIBOR | — | London Interbank Offered Rate | ||||
MTN | — | Medium-Term Note | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
GOLDMAN SACHS GLOBAL INCOME FUND
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2009, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||
Exchange Contracts with Unrealized Gain | Type | Date | Settlement Date | Value | Gain | |||||||||||
Australian Dollar | Purchase | 12/16/09 | $ | 9,056,585 | $ | 9,262,012 | $ | 205,427 | ||||||||
Brazilian Real | Purchase | 10/02/09 | 4,433,669 | 4,599,458 | 165,789 | |||||||||||
Brazilian Real | Purchase | 10/13/09 | 2,874,000 | 2,970,060 | 96,060 | |||||||||||
Brazilian Real | Purchase | 10/14/09 | 564,000 | 580,376 | 16,376 | |||||||||||
Brazilian Real | Purchase | 10/19/09 | 4,909,500 | 4,993,255 | 83,755 | |||||||||||
Brazilian Real | Purchase | 10/21/09 | 2,048,024 | 2,082,925 | 34,901 | |||||||||||
Brazilian Real | Purchase | 12/11/09 | 3,365,937 | 3,418,270 | 52,333 | |||||||||||
British Pound | Sale | 10/16/09 | 52,192,320 | 50,620,809 | 1,571,511 | |||||||||||
British Pound | Purchase | 12/16/09 | 2,077,898 | 2,085,120 | 7,222 | |||||||||||
British Pound | Sale | 12/16/09 | 6,410,872 | 6,280,127 | 130,745 | |||||||||||
Canadian Dollar | Purchase | 12/16/09 | 6,628,000 | 6,720,967 | 92,967 | |||||||||||
Canadian Dollar | Sale | 12/16/09 | 1,378,000 | 1,376,968 | 1,032 | |||||||||||
Chilean Peso | Purchase | 11/17/09 | 543,612 | 545,606 | 1,994 | |||||||||||
Euro | Purchase | 10/13/09 | 2,678,461 | 2,710,399 | 31,938 | |||||||||||
Euro | Sale | 10/13/09 | 1,036,008 | 1,033,423 | 2,585 | |||||||||||
Euro | Purchase | 12/16/09 | 21,012,255 | 21,199,721 | 187,466 | |||||||||||
Euro | Sale | 12/16/09 | 7,887,813 | 7,838,471 | 49,342 | |||||||||||
Indian Rupee | Purchase | 10/07/09 | 3,253,268 | 3,307,993 | 54,725 | |||||||||||
Indian Rupee | Purchase | 10/09/09 | 2,909,704 | 2,952,950 | 43,246 | |||||||||||
Indian Rupee | Sale | 10/09/09 | 1,149,000 | 1,147,171 | 1,829 | |||||||||||
Indian Rupee | Purchase | 10/22/09 | 1,598,447 | 1,615,540 | 17,093 | |||||||||||
Indian Rupee | Purchase | 10/29/09 | 2,623,967 | 2,625,593 | 1,626 | |||||||||||
Indonesian Rupiah | Purchase | 10/14/09 | 903,766 | 908,768 | 5,002 | |||||||||||
Indonesian Rupiah | Purchase | 10/19/09 | 1,486,000 | 1,510,329 | 24,329 | |||||||||||
Israeli Shekel | Purchase | 12/16/09 | 5,445,658 | 5,481,350 | 35,692 | |||||||||||
Israeli Shekel | Sale | 12/16/09 | 2,406,000 | 2,382,131 | 23,869 | |||||||||||
Japanese Yen | Purchase | 12/16/09 | 14,606,098 | 14,999,981 | 393,883 | |||||||||||
Japanese Yen | Sale | 12/16/09 | 651,000 | 649,467 | 1,533 | |||||||||||
Malaysian Ringgit | Purchase | 11/04/09 | 2,280,000 | 2,316,171 | 36,171 | |||||||||||
Malaysian Ringgit | Purchase | 11/10/09 | 2,282,000 | 2,302,384 | 20,384 | |||||||||||
Mexican Peso | Purchase | 12/16/09 | 2,854,000 | 2,862,825 | 8,825 | |||||||||||
Mexican Peso | Sale | 12/16/09 | 6,526,000 | 6,429,425 | 96,575 | |||||||||||
New Russian Ruble | Purchase | 10/16/09 | 1,655,130 | 1,699,930 | 44,800 | |||||||||||
New Taiwan Dollar | Purchase | 10/01/09 | 2,021,112 | 2,058,930 | 37,818 | |||||||||||
New Taiwan Dollar | Purchase | 10/06/09 | 2,206,351 | 2,254,909 | 48,558 | |||||||||||
New Taiwan Dollar | Purchase | 10/09/09 | 2,761,433 | 2,825,650 | 64,217 | |||||||||||
New Taiwan Dollar | Purchase | 10/13/09 | 1,150,000 | 1,171,949 | 21,949 | |||||||||||
New Taiwan Dollar | Purchase | 10/19/09 | 2,840,851 | 2,873,263 | 32,412 | |||||||||||
New Turkish Lira | Purchase | 12/16/09 | 21,509,298 | 21,734,239 | 224,941 | |||||||||||
New Turkish Lira | Sale | 12/16/09 | 561,000 | 559,367 | 1,633 | |||||||||||
New Zealand Dollar | Purchase | 12/16/09 | 3,769,544 | 3,852,859 | 83,315 | |||||||||||
Norwegian Krona | Purchase | 12/16/09 | 6,707,584 | 6,989,664 | 282,080 | |||||||||||
Philippine Peso | Purchase | 10/19/09 | 1,127,500 | 1,136,950 | 9,450 | |||||||||||
Singapore Dollar | Purchase | 12/16/09 | 2,461,000 | 2,500,841 | 39,841 | |||||||||||
South African Rand | Purchase | 12/17/09 | 5,026,497 | 5,191,153 | 164,656 | |||||||||||
South African Rand | Sale | 12/17/09 | 454,000 | 452,509 | 1,491 | |||||||||||
South Korean Won | Purchase | 10/05/09 | 4,639,223 | 4,730,759 | 91,536 | |||||||||||
South Korean Won | Purchase | 10/07/09 | 3,463,590 | 3,659,042 | 195,452 | |||||||||||
South Korean Won | Purchase | 10/09/09 | 2,302,000 | 2,412,794 | 110,794 | |||||||||||
South Korean Won | Purchase | 10/14/09 | 2,221,666 | 2,318,493 | 96,827 | |||||||||||
South Korean Won | Purchase | 10/15/09 | 2,294,000 | 2,377,752 | 83,752 | |||||||||||
South Korean Won | Purchase | 10/19/09 | 1,978,665 | 2,031,012 | 52,347 |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (continued)
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||
Exchange Contracts with Unrealized Gain | Type | Date | Settlement Date | Value | Gain | |||||||||||
South Korean Won | Purchase | 10/29/09 | $ | 2,334,815 | $ | 2,364,657 | $ | 29,842 | ||||||||
Swedish Krona | Sale | 12/16/09 | 1,378,000 | 1,344,961 | 33,039 | |||||||||||
Yuan Renminbi | Sale | 10/23/09 | 2,304,217 | 2,302,613 | 1,604 | |||||||||||
Yuan Renminbi | Sale | 11/03/09 | 3,927,951 | 3,924,630 | 3,321 | |||||||||||
Yuan Renminbi | Sale | 11/04/09 | 2,942,539 | 2,939,150 | 3,389 | |||||||||||
Yuan Renminbi | Sale | 12/10/09 | 2,298,325 | 2,291,284 | 7,041 | |||||||||||
TOTAL | $ | 5,262,330 | ||||||||||||||
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||
Exchange Contracts with Unrealized Loss | Type | Date | Settlement Date | Value | Loss | |||||||||||
Australian Dollar | Sale | 12/16/09 | $ | 4,445,853 | $ | 4,660,613 | $ | (214,760 | ) | |||||||
Brazilian Real | Sale | 10/02/09 | 4,395,942 | 4,599,458 | (203,516 | ) | ||||||||||
Brazilian Real | Sale | 10/14/09 | 564,000 | 584,823 | (20,823 | ) | ||||||||||
British Pound | Purchase | 12/16/09 | 14,849,184 | 14,542,784 | (306,400 | ) | ||||||||||
British Pound | Sale | 12/16/09 | 688,522 | 690,247 | (1,725 | ) | ||||||||||
Canadian Dollar | Sale | 10/15/09 | 11,545,343 | 11,659,112 | (113,769 | ) | ||||||||||
Canadian Dollar | Purchase | 12/16/09 | 658,000 | 656,960 | (1,040 | ) | ||||||||||
Canadian Dollar | Sale | 12/16/09 | 6,587,663 | 6,659,570 | (71,907 | ) | ||||||||||
Chilean Peso | Purchase | 10/09/09 | 563,500 | 562,315 | (1,185 | ) | ||||||||||
Chilean Peso | Purchase | 11/17/09 | 1,378,000 | 1,351,035 | (26,965 | ) | ||||||||||
Chilean Peso | Sale | 11/17/09 | 2,516,799 | 2,526,263 | (9,464 | ) | ||||||||||
Czech Koruna | Sale | 12/16/09 | 4,351,625 | 4,468,063 | (116,438 | ) | ||||||||||
Danish Krone | Sale | 10/01/09 | 3,094,672 | 3,213,399 | (118,727 | ) | ||||||||||
Danish Krone | Sale | 11/18/09 | 3,195,892 | 3,211,231 | (15,339 | ) | ||||||||||
Euro | Purchase | 10/13/09 | 8,014,588 | 7,967,439 | (47,149 | ) | ||||||||||
Euro | Sale | 10/13/09 | 311,762,108 | 320,862,341 | (9,100,233 | ) | ||||||||||
Euro | Purchase | 12/16/09 | 7,916,389 | 7,867,736 | (48,653 | ) | ||||||||||
Euro | Sale | 12/16/09 | 14,624,042 | 14,787,193 | (163,151 | ) | ||||||||||
Indonesian Rupiah | Sale | 10/14/09 | 874,424 | 908,767 | (34,343 | ) | ||||||||||
Indonesian Rupiah | Sale | 10/19/09 | 1,501,627 | 1,510,329 | (8,702 | ) | ||||||||||
Israeli Shekel | Purchase | 12/16/09 | 113,000 | 112,897 | (103 | ) | ||||||||||
Japanese Yen | Sale | 10/05/09 | 106,121,376 | 112,136,709 | (6,015,333 | ) | ||||||||||
Japanese Yen | Sale | 12/16/09 | 20,375,174 | 21,218,911 | (843,737 | ) | ||||||||||
Mexican Peso | Purchase | 12/16/09 | 13,001,328 | 12,725,165 | (276,163 | ) | ||||||||||
Mexican Peso | Sale | 12/16/09 | 4,195,000 | 4,261,985 | (66,985 | ) | ||||||||||
New Taiwan Dollar | Sale | 10/01/09 | 2,042,429 | 2,058,930 | (16,501 | ) | ||||||||||
New Turkish Lira | Purchase | 12/16/09 | 1,130,001 | 1,123,070 | (6,931 | ) | ||||||||||
New Turkish Lira | Sale | 12/16/09 | 12,065,598 | 12,306,228 | (240,630 | ) | ||||||||||
New Zealand Dollar | Purchase | 12/16/09 | 3,157,284 | 3,140,643 | (16,641 | ) | ||||||||||
New Zealand Dollar | Sale | 12/16/09 | 5,232,545 | 5,463,658 | (231,113 | ) | ||||||||||
Norwegian Krona | Sale | 12/16/09 | 1,596,344 | 1,628,242 | (31,898 | ) | ||||||||||
Polish Zloty | Sale | 10/06/09 | 2,513,896 | 2,696,451 | (182,555 | ) | ||||||||||
Singapore Dollar | Sale | 12/16/09 | 3,446,015 | 3,515,801 | (69,786 | ) | ||||||||||
South African Rand | Purchase | 12/17/09 | 5,395,989 | 5,322,686 | (73,303 | ) | ||||||||||
South African Rand | Sale | 12/17/09 | 11,726,912 | 12,226,625 | (499,713 | ) | ||||||||||
South Korean Won | Sale | 10/05/09 | 4,694,527 | 4,730,759 | (36,232 | ) | ||||||||||
South Korean Won | Sale | 10/07/09 | 1,378,000 | 1,398,635 | (20,635 | ) | ||||||||||
South Korean Won | Sale | 10/29/09 | 1,149,000 | 1,153,694 | (4,694 | ) | ||||||||||
Swedish Krona | Sale | 10/09/09 | 5,302,161 | 5,403,399 | (101,238 | ) | ||||||||||
Swiss Franc | Purchase | 12/16/09 | 575,444 | 570,642 | (4,802 | ) | ||||||||||
Swiss Franc | Sale | 12/16/09 | 6,128,083 | 6,260,130 | (132,047 | ) |
GOLDMAN SACHS GLOBAL INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (continued)
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||
Exchange Contracts with Unrealized Loss | Type | Date | Settlement Date | Value | Loss | |||||||||||
Yuan Renminbi | Purchase | 10/23/09 | $ | 2,303,205 | $ | 2,302,614 | $ | (591 | ) | |||||||
Yuan Renminbi | Purchase | 11/03/09 | 3,928,021 | 3,924,630 | (3,391 | ) | ||||||||||
Yuan Renminbi | Purchase | 11/04/09 | 2,942,000 | 2,939,150 | (2,850 | ) | ||||||||||
Yuan Renminbi | Purchase | 12/10/09 | 2,299,000 | 2,291,284 | (7,716 | ) | ||||||||||
Yuan Renminbi | Purchase | 03/03/10 | 3,947,038 | 3,923,415 | (23,623 | ) | ||||||||||
Yuan Renminbi | Purchase | 03/04/10 | 2,957,496 | 2,938,297 | (19,199 | ) | ||||||||||
Yuan Renminbi | Purchase | 03/10/10 | 4,624,932 | 4,593,374 | (31,558 | ) | ||||||||||
TOTAL | $ | (19,584,257 | ) | |||||||||||||
Open Forward Foreign Currency | Expiration | Purchase | Sale | Unrealized | ||||||||
Exchange Cross Contracts with Unrealized Gain (Purchase/Sale) | Date | Current Value | Current Value | Gain | ||||||||
Australian Dollar/Canadian Dollar | 12/16/09 | $579,314 | $ | 578,945 | $ | 369 | ||||||
Australian Dollar/Euro | 12/16/09 | 1,164,460 | 1,150,091 | 14,369 | ||||||||
Canadian Dollar/Euro | 12/16/09 | 4,753,650 | 4,711,023 | 42,627 | ||||||||
Czech Koruna/Euro | 12/16/09 | 708,236 | 700,882 | 7,354 | ||||||||
Euro/British Pound | 12/16/09 | 6,277,215 | 6,112,392 | 164,823 | ||||||||
Euro/Polish Zloty | 12/16/09 | 3,315,657 | 3,298,693 | 16,964 | ||||||||
Euro/Swedish Krona | 12/16/09 | 1,136,922 | 1,122,831 | 14,091 | ||||||||
Euro/Swiss Franc | 12/16/09 | 1,113,511 | 1,111,838 | 1,673 | ||||||||
Hungarian Forint/Euro | 12/16/09 | 4,144,074 | 4,101,406 | 42,668 | ||||||||
Japanese Yen/British Pound | 12/16/09 | 2,140,736 | 2,019,611 | 121,125 | ||||||||
Japanese Yen/Euro | 12/16/09 | 6,500,517 | 6,414,026 | 86,491 | ||||||||
Japanese Yen/Swiss Franc | 12/16/09 | 1,168,271 | 1,135,482 | 32,789 | ||||||||
New Zealand Dollar/Australian Dollar | 12/16/09 | 1,674,353 | 1,668,705 | 5,648 | ||||||||
New Zealand Dollar/Euro | 12/16/09 | 593,616 | 576,509 | 17,107 | ||||||||
Norwegian Krone/Euro | 12/16/09 | 3,477,028 | 3,419,546 | 57,482 | ||||||||
Norwegian Krone/Swedish Krona | 12/16/09 | 694,709 | 692,580 | 2,129 | ||||||||
Swiss Franc/Euro | 12/16/09 | 2,271,080 | 2,267,074 | 4,006 | ||||||||
TOTAL | $ | 631,715 | ||||||||||
Open Forward Foreign Currency | Expiration | Purchase | Sale | Unrealized | ||||||||||
Exchange Cross Contracts with Unrealized Loss (Purchase/Sale) | Date | Current Value | Current Value | Loss | ||||||||||
Australian Dollar/New Zealand Dollar | 12/16/09 | $1,188,426 | $ | 1,195,172 | $ | (6,746 | ) | |||||||
British Pound/Euro | 12/16/09 | 1,810,254 | 1,827,562 | (17,308 | ) | |||||||||
Canadian Dollar/Euro | 12/16/09 | 2,211,584 | 2,227,021 | (15,437 | ) | |||||||||
Euro/Australian Dollar | 12/16/09 | 2,339,689 | 2,399,789 | (60,100 | ) | |||||||||
Euro/Canadian Dollar | 12/16/09 | 2,288,476 | 2,330,235 | (41,759 | ) | |||||||||
Euro/Hungarian Forint | 12/16/09 | 4,732,054 | 4,784,132 | (52,078 | ) | |||||||||
Euro/Japanese Yen | 12/16/09 | 4,084,893 | 4,129,661 | (44,768 | ) | |||||||||
Euro/New Zealand Dollar | 12/16/09 | 2,866,449 | 2,900,870 | (34,421 | ) | |||||||||
Euro/Norwegian Krone | 12/16/09 | 4,010,687 | 4,095,368 | (84,681 | ) | |||||||||
Euro/Swedish Krona | 12/16/09 | 692,103 | 694,661 | (2,558 | ) | |||||||||
Hungarian Forint/Euro | 12/16/09 | 4,999,793 | 5,015,893 | (16,100 | ) | |||||||||
New Zealand Dollar/Euro | 12/16/09 | 921,712 | 921,829 | (117 | ) | |||||||||
Polish Zloty/Euro | 12/16/09 | 5,709,910 | 5,819,547 | (109,637 | ) | |||||||||
Swedish Krona/Euro | 12/16/09 | 6,916,601 | 6,976,469 | (59,868 | ) | |||||||||
Swiss Franc/Japanese Yen | 12/16/09 | 1,139,345 | 1,151,695 | (12,350 | ) | |||||||||
TOTAL | $ | (557,928 | ) | |||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD SALES CONTRACT — At September 30, 2009, the Fund had the following forward sales contract:
Interest | Maturity | Settlement | Principal | |||||||||||||||
Description | Rate | Date | Date | Amount | Value | |||||||||||||
FHLMC (Proceeds Receivable $1,028,438) | 5.000% | TBA-15yr(c) | 10/14/09 | $ | 1,000,000 | $ | 1,033,125 | |||||||||||
FUTURES CONTRACTS — At September 30, 2009, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
Australia 10 Year Treasury Bond | 20 | December 2009 | $ | 1,841,222 | $ | (15,396 | ) | |||||||
Eurodollars | 13 | November 2009 | 3,239,113 | 1,436 | ||||||||||
Eurodollars | 39 | December 2009 | 9,713,925 | 54,988 | ||||||||||
Eurodollars | 3 | March 2010 | 745,313 | 3,246 | ||||||||||
Eurodollars | 3 | June 2010 | 742,725 | 4,145 | ||||||||||
Eurodollars | 3 | September 2010 | 739,763 | 4,578 | ||||||||||
Eurodollars | 3 | December 2010 | 736,838 | 2,055 | ||||||||||
Eurodollars | 3 | March 2011 | 734,250 | 5,059 | ||||||||||
Eurodollars | 3 | June 2011 | 731,850 | 5,096 | ||||||||||
Eurodollars | 3 | September 2011 | 729,713 | 5,089 | ||||||||||
Eurodollars | 3 | December 2011 | 727,650 | 5,073 | ||||||||||
2 Year German Euro-Schatz | 234 | December 2009 | 37,036,543 | 61,383 | ||||||||||
5 Year German Euro-Bobl | (223 | ) | December 2009 | (37,707,064 | ) | (105,341 | ) | |||||||
10 Year German Euro-Bund | 152 | December 2009 | 27,109,652 | 138,412 | ||||||||||
Japan 10 Year Government Bond | (42 | ) | December 2009 | (65,195,566 | ) | (269,604 | ) | |||||||
U.K. Life Long Gilt | (327 | ) | December 2009 | (61,958,918 | ) | (313,880 | ) | |||||||
2 Year U.S. Treasury Notes | 14 | December 2009 | 3,037,563 | 7,763 | ||||||||||
5 Year U.S. Treasury Notes | 140 | December 2009 | 16,253,125 | 56,847 | ||||||||||
10 Year U.S. Treasury Notes | 863 | December 2009 | 102,117,172 | 177,619 | ||||||||||
30 Year U.S. Treasury Bonds | (291 | ) | December 2009 | (35,320,125 | ) | (753,553 | ) | |||||||
TOTAL | $ | (924,985 | ) | |||||||||||
GOLDMAN SACHS GLOBAL INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS — At September 30, 2009, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rates Exchanged | Upfront | |||||||||||||||||||||||||
Notional | Payments | Payments | Payments made | |||||||||||||||||||||||
Amount | Termination | received by | made by | Market | (received) | Unrealized | ||||||||||||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Value | by the Fund | Gain (Loss) | |||||||||||||||||||
Banc of America Securities LLC | $ | 49,630 | (a) | 08/13/17 | 4.955% | 3 month LIBOR | $ | 1,681,058 | $ | — | $ | 1,681,058 | ||||||||||||||
27,990 | (a) | 08/13/22 | 3 month LIBOR | 5.075% | (1,578,089 | ) | — | (1,578,089 | ) | |||||||||||||||||
Citibank NA | KRW | 8,068,285 | 07/15/14 | 3.905 | 3 month KWCDC | (129,145 | ) | — | (129,145 | ) | ||||||||||||||||
Credit Suisse First Boston Corp. | $ | 79,680 | (a) | 12/16/16 | 3 month LIBOR | 3.250 | (125,521 | ) | (111,061 | ) | (14,460 | ) | ||||||||||||||
Deutsche Bank Securities, Inc. | EUR | 26,210 | (a) | 12/16/14 | 6 month EURO | 3.000 | (311,790 | ) | 578,044 | (889,834 | ) | |||||||||||||||
JPY | 1,289,000 | (a) | 12/16/14 | 1.000 | 6 month JYOR | 81,851 | 17,484 | 64,367 | ||||||||||||||||||
Royal Bank of Canada | CAD | 8,250 | (a) | 02/12/13 | 1.965 | 6 month CDOR | (91,756 | ) | — | (91,756 | ) | |||||||||||||||
8,250 | (a) | 02/16/13 | 2.030 | 6 month CDOR | (80,603 | ) | — | (80,603 | ) | |||||||||||||||||
8,250 | (a) | 02/19/13 | 2.023 | 6 month CDOR | (83,133 | ) | — | (83,133 | ) | |||||||||||||||||
8,250 | (a) | 02/22/13 | 1.942 | 6 month CDOR | (102,992 | ) | — | (102,992 | ) | |||||||||||||||||
8,160 | (a) | 02/25/13 | 2.067 | 6 month CDOR | (76,293 | ) | — | (76,293 | ) | |||||||||||||||||
13,500 | (a) | 08/06/13 | 3.110 | 6 month CDOR | 95,428 | — | 95,428 | |||||||||||||||||||
10,120 | (a) | 02/12/17 | 6 month CDOR | 2.625 | 335,947 | — | 335,947 | |||||||||||||||||||
10,120 | (a) | 02/16/17 | 6 month CDOR | 2.672 | 311,210 | — | 311,210 | |||||||||||||||||||
10,180 | (a) | 02/19/17 | 6 month CDOR | 2.658 | 324,896 | — | 324,896 | |||||||||||||||||||
10,180 | (a) | 02/22/17 | 6 month CDOR | 2.588 | 368,854 | — | 368,854 | |||||||||||||||||||
10,010 | (a) | 02/25/17 | 6 month CDOR | 2.765 | 261,304 | — | 261,304 | |||||||||||||||||||
17,000 | (a) | 08/06/17 | 6 month CDOR | 3.750 | (296,666 | ) | — | (296,666 | ) | |||||||||||||||||
3,870 | (a) | 02/12/25 | 3.850 | 6 month CDOR | (77,790 | ) | — | (77,790 | ) | |||||||||||||||||
3,870 | (a) | 02/16/25 | 3.882 | 6 month CDOR | (66,434 | ) | — | (66,434 | ) | |||||||||||||||||
3,730 | (a) | 02/19/25 | 3.846 | 6 month CDOR | (79,527 | ) | — | (79,527 | ) | |||||||||||||||||
3,730 | (a) | 02/22/25 | 3.786 | 6 month CDOR | (104,810 | ) | — | (104,810 | ) | |||||||||||||||||
3,690 | (a) | 02/25/25 | 3.970 | 6 month CDOR | (31,475 | ) | — | (31,475 | ) | |||||||||||||||||
6,500 | (a) | 08/06/25 | 4.686 | 6 month CDOR | 328,194 | — | 328,194 | |||||||||||||||||||
Royal Bank of Scotland | GBP | 13,400 | (a) | 12/16/14 | 3.500 | 6 month BP | 102,526 | (263,967 | ) | 366,493 | ||||||||||||||||
TOTAL | $ | 655,244 | $ | 220,500 | $ | 434,744 | ||||||||||||||||||||
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2009. |
CREDIT DEFAULT SWAP CONTRACTS
Upfront | ||||||||||||||||||||||||||
Notional | Rates | Payments made | ||||||||||||||||||||||||
Referenced | Amount | received (paid) | Termination | Market | (received) by | Unrealized | ||||||||||||||||||||
Swap Counterparty | Obligation | (000s) | by Fund | Date | Value | the Fund | Loss | |||||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||||||
Banc of America Securities LLC | iTraxx Europe Index | $ | 13,200 | (1.850 | )% | 06/20/14 | $ | (831,011 | ) | $ | (560,805 | ) | $ | (270,206 | ) | |||||||||||
Barclays Bank PLC | Peugeot SA 5.88%, 09/27/11 | 1,900 | (3.380 | ) | 06/20/14 | (41,743 | ) | — | (41,743 | ) | ||||||||||||||||
Renault 3.47%, 08/04/14 | 1,900 | (3.430 | ) | 06/20/14 | (35,912 | ) | — | (35,912 | ) | |||||||||||||||||
Deutsche Bank Securities, Inc. | iTraxx Europe Index | 12,700 | (1.850 | ) | 06/20/14 | (799,533 | ) | (335,140 | ) | (464,393 | ) | |||||||||||||||
Morgan Stanley Capital Services, Inc. | CDX North America Investment Grade Index | 19,200 | (1.500 | ) | 12/20/13 | (166,866 | ) | 940,364 | (1,107,230 | ) | ||||||||||||||||
iTraxx Europe Index | 22,000 | (1.850 | ) | 06/20/14 | (1,385,018 | ) | (573,023 | ) | (811,995 | ) | ||||||||||||||||
UBS AG (London) | iTraxx Europe Index | 10,400 | (1.850 | ) | 06/20/14 | (654,736 | ) | (279,650 | ) | (375,086 | ) | |||||||||||||||
TOTAL | $ | (3,914,819 | ) | $ | (808,254 | ) | $ | (3,106,565 | ) | |||||||||||||||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
September 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
JOINT REPURCHASE AGREEMENT ACCOUNT II — At September 30, 2009, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
Fund | Principal Amount | |||
Core Fixed Income | $ | 82,700,000 | ||
Core Plus Fixed Income | 21,600,000 | |||
REPURCHASE AGREEMENTS
Principal | Interest | Maturity | Maturity | |||||||||||||
Counterparty | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,033,500,000 | 0.08 | % | 10/01/09 | $ | 1,033,502,297 | |||||||||
Barclays Capital, Inc. | 800,000,000 | 0.03 | 10/01/09 | 800,000,667 | ||||||||||||
Barclays Capital, Inc. | 2,250,000,000 | 0.04 | 10/01/09 | 2,250,002,500 | ||||||||||||
Citigroup Global Markets, Inc. | 1,500,000,000 | 0.06 | 10/01/09 | 1,500,002,500 | ||||||||||||
Credit Suisse Securities (USA) LLC | 1,000,000,000 | 0.03 | 10/01/09 | 1,000,000,833 | ||||||||||||
Credit Suisse Securities (USA) LLC | 1,950,000,000 | 0.07 | 10/01/09 | 1,950,003,792 | ||||||||||||
Deutsche Bank Securities, Inc. | 300,000,000 | 0.04 | 10/01/09 | 300,000,333 | ||||||||||||
Deutsche Bank Securities, Inc. | 1,150,000,000 | 0.08 | 10/01/09 | 1,150,002,556 | ||||||||||||
JPMorgan Securities | 500,000,000 | 0.04 | 10/01/09 | 500,000,556 | ||||||||||||
JPMorgan Securities | 4,121,500,000 | 0.07 | 10/01/09 | 4,121,508,014 | ||||||||||||
Merrill Lynch & Co., Inc. | 950,000,000 | 0.07 | 10/01/09 | 950,001,847 | ||||||||||||
Morgan Stanley & Co. | 2,160,300,000 | 0.05 | 10/01/09 | 2,160,303,000 | ||||||||||||
RBS Securities, Inc. | 500,000,000 | 0.07 | 10/01/09 | 500,000,972 | ||||||||||||
UBS Securities LLC | 1,295,000,000 | 0.08 | 10/01/09 | 1,295,002,878 | ||||||||||||
Wachovia Capital Markets | 550,000,000 | 0.07 | 10/01/09 | 550,001,069 | ||||||||||||
TOTAL | $ | 20,060,333,814 | ||||||||||||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
ADDITIONAL INVESTMENT INFORMATION (continued)
JOINT REPURCHASE AGREEMENT ACCOUNT II (continued)
At September 30, 2009, the Joint Repurchase Agreement Account II was fully collateralized by:
Issuer | Interest Rates | Maturity Dates | ||||
Federal Farm Credit Bank | 3.800% to 6.900 | % | 11/04/09 to 08/03/37 | |||
Federal Home Loan Bank | 0.820 to 6.640 | 10/02/09 to 03/14/36 | ||||
Federal Home Loan Mortgage Corp. | 0.000 to 15.000 | 10/13/09 to 10/01/39 | ||||
Federal Home Loan Mortgage Corp. Interest-Only Stripped Securities | 0.000 | 01/15/18 | ||||
Federal National Mortgage Association | 0.000 to 16.000 | 10/01/09 to 07/01/49 | ||||
Federal National Mortgage Association Interest-Only Stripped Securities | 0.000 | 05/15/20 | ||||
Government National Mortgage Association | 4.500 to 6.000 | 07/15/35 to 09/15/39 | ||||
Tennessee Valley Authority Interest-Only Stripped Security | 0.000 | 11/01/10 | ||||
U.S. Treasury Inflation Protected Securities | 0.625 to 4.250 | 01/15/10 to 01/15/15 | ||||
U.S. Treasury Interest-Only Stripped Securities | 0.000 | 11/30/09 to 08/15/19 | ||||
U.S. Treasury Notes | 1.750 to 7.250 | 08/31/11 to 02/15/18 | ||||
U.S. Treasury Principal-Only Stripped Securities | 0.000 | 11/15/09 to 08/15/17 | ||||
The aggregate market value of the collateral, including accrued interest, was $20,558,837,843.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statements of Assets and Liabilities
September 30, 2009 (Unaudited)
Core Fixed | Core Plus Fixed | Global | ||||||||||||||
Income Fund | Income Fund | Income Fund | ||||||||||||||
Assets: | ||||||||||||||||
Investments in securities, at value (identified cost $1,574,521,317, $201,107,989 and $871,173,458, respectively) | $ | 1,472,059,343 | $ | 199,990,765 | $ | 898,017,787 | ||||||||||
Repurchase agreement, at value which equates cost | 82,700,000 | 21,600,000 | — | |||||||||||||
Cash | 4,101,488 | 96,491 | 851,591 | |||||||||||||
Foreign currencies, at value (identified cost $161,315, $38,351 and $4,359,679) | 161,630 | 38,276 | 4,349,826 | |||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold, at value | 450,649,602 | 26,813,835 | 32,229,883 | |||||||||||||
Swap contracts, at value (includes upfront payments received of $34,229, $72,310 and $246,483, respectively) | 12,761,804 | 395,948 | 3,891,268 | |||||||||||||
Interest, at value | 10,905,863 | 1,438,233 | 11,942,942 | |||||||||||||
Due from broker — swap collateral | 7,699,977 | 1,252,243 | 4,227,442 | |||||||||||||
Fund shares sold | 3,656,111 | 135,477 | 39,419,375 | |||||||||||||
Forward foreign currency exchange contracts, at value | 1,183,105 | 177,668 | 5,894,045 | |||||||||||||
Due from broker — upfront payment | 63,478 | — | — | |||||||||||||
Due from broker — variation margin(a) | — | 396,780 | 3,593,168 | |||||||||||||
Reimbursement from investment adviser | — | 107,000 | 35,396 | |||||||||||||
Other assets | 19,852 | 61,061 | 31,265 | |||||||||||||
Total assets | 2,045,962,253 | 252,503,777 | 1,004,483,988 | |||||||||||||
Liabilities: | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 521,917,570 | 38,410,436 | 47,859,279 | |||||||||||||
Fund shares redeemed | 23,321,877 | 107,535 | 1,559,585 | |||||||||||||
Swap contracts, at value (includes upfront payments (made) received of $(3,565,897), ($400,932) and $341,271, respectively) | 14,718,503 | 1,500,036 | 7,150,843 | |||||||||||||
Forward sale contracts, at value (proceeds receivable $13,705,352, $0 and $1,028,438, respectively) | 13,723,125 | — | 1,033,125 | |||||||||||||
Forward foreign currency exchange contracts, at value | 1,558,199 | 207,401 | 20,142,185 | |||||||||||||
Income distribution | 1,167,985 | 41,720 | — | |||||||||||||
Amounts owed to affiliates | 751,611 | 122,749 | 567,511 | |||||||||||||
Due to broker — variation margin | 226,054 | — | 362,556 | |||||||||||||
Due to broker — upfront payment | — | 51,097 | — | |||||||||||||
Due to broker — swap collateral | — | — | 1,045,757 | |||||||||||||
Accrued expenses and other liabilities | 209,665 | 121,673 | 364,908 | |||||||||||||
Total liabilities | 577,594,589 | 40,562,647 | 80,085,749 | |||||||||||||
Net Assets: | ||||||||||||||||
Paid-in capital | 1,672,593,426 | 214,249,208 | 943,291,393 | |||||||||||||
Accumulated undistributed net investment income | 2,799,915 | 362,552 | 12,650,137 | |||||||||||||
Accumulated net realized loss from investment, futures, swap and foreign currency related transactions | (103,558,836 | ) | (446,402 | ) | (40,876,830 | ) | ||||||||||
Net unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (103,466,841 | ) | (2,224,228 | ) | 9,333,539 | |||||||||||
NET ASSETS | $ | 1,468,367,664 | $ | 211,941,130 | $ | 924,398,239 | ||||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 740,573,092 | $ | 57,091,422 | $ | 202,531,940 | ||||||||||
Class B | 18,844,716 | 10,275,114 | 5,801,879 | |||||||||||||
Class C | 31,264,428 | 12,651,463 | 5,860,899 | |||||||||||||
Institutional | 670,478,088 | 131,866,583 | 709,992,094 | |||||||||||||
Service | 7,118,168 | 11,346 | 211,427 | |||||||||||||
Class IR | 79,023 | 10,817 | — | |||||||||||||
Class R | 10,149 | 34,385 | — | |||||||||||||
Total Net Assets | $ | 1,468,367,664 | $ | 211,941,130 | $ | 924,398,239 | ||||||||||
Shares Outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||
Class A | 79,635,655 | 5,694,590 | 16,268,632 | |||||||||||||
Class B | 2,017,885 | 1,025,971 | 467,872 | |||||||||||||
Class C | 3,345,679 | 1,263,061 | 473,727 | |||||||||||||
Institutional | 71,834,737 | 13,160,550 | 57,115,885 | |||||||||||||
Service | 762,090 | 1,132 | 17,029 | |||||||||||||
Class IR | 8,490 | 1,079 | — | |||||||||||||
Class R | 1,091 | 3,431 | — | |||||||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||||||||
Class A | $9.30 | $10.03 | $12.45 | |||||||||||||
Class B | 9.34 | 10.02 | 12.40 | |||||||||||||
Class C | 9.34 | 10.02 | 12.37 | |||||||||||||
Institutional | 9.33 | 10.02 | 12.43 | |||||||||||||
Service | 9.34 | 10.02 | 12.42 | |||||||||||||
Class IR | 9.31 | 10.03 | — | |||||||||||||
Class R | 9.31 | 10.02 | — | |||||||||||||
(a) | Includes cash on deposit with counterparty of $366,985 and $3,593,168 for Core Plus Fixed Income and Global Income Funds, respectively, relating to initial margin requirements on futures transactions. |
(b) | Maximum public offering price per share for Class A Shares of the Core Fixed Income, Core Plus Fixed Income and Global Income Funds (NAV per share multiplied by 1.0390) is $9.66, $10.42 and $12.94, 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. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statements of Operations
For the Six Months Ended September 30, 2009 (Unaudited)
Core Fixed | Core Plus Fixed | Global | ||||||||||||
Income Fund | Income Fund | Income Fund | ||||||||||||
Investment income: | ||||||||||||||
Interest(a) | $ | 34,703,824 | $ | 3,443,615 | $ | 19,547,319 | ||||||||
Expenses: | ||||||||||||||
Management fees | 2,827,556 | 321,913 | 2,851,446 | |||||||||||
Distribution and Service fees(b) | 1,057,420 | 173,542 | 306,534 | |||||||||||
Transfer Agent fees(b) | 610,258 | 60,945 | 270,172 | |||||||||||
Custody and accounting fees | 141,631 | 69,155 | 162,341 | |||||||||||
Professional fees | 74,534 | 71,665 | 62,381 | |||||||||||
Registration fees | 49,476 | 110,394 | 42,669 | |||||||||||
Printing fees | 47,324 | 19,818 | 25,463 | |||||||||||
Service share fees — Service Plan | 8,633 | 13 | 269 | |||||||||||
Service share fees — Shareholder Administration Plan | 8,633 | 13 | 269 | |||||||||||
Trustee fees | 8,400 | 8,400 | 8,400 | |||||||||||
Other | 62,494 | 25,644 | 38,764 | |||||||||||
Total expenses | 4,896,359 | 861,502 | 3,768,708 | |||||||||||
Less — expense reductions | (609 | ) | (301,561 | ) | (322,092 | ) | ||||||||
Net expenses | 4,895,750 | 559,941 | 3,446,616 | |||||||||||
NET INVESTMENT INCOME | 29,808,074 | 2,883,674 | 16,100,703 | |||||||||||
Realized and unrealized gain (loss) from investment, futures, swap and foreign currency related transactions: | ||||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investment transactions | (19,272,769 | ) | 803,445 | (3,415,431 | ) | |||||||||
Futures transactions | (437,134 | ) | 331,290 | 5,395,268 | ||||||||||
Swap contracts | 292,054 | 572,079 | 2,199,846 | |||||||||||
Foreign currency related transactions | 391,176 | 555 | (36,644,796 | ) | ||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments | 190,639,712 | 12,223,705 | 118,176,107 | |||||||||||
Futures | 1,318,380 | 40,390 | (840,702 | ) | ||||||||||
Swap contracts | (4,424,076 | ) | (1,158,272 | ) | (7,288,089 | ) | ||||||||
Translation of assets and liabilities denominated in foreign currencies | (171,938 | ) | (15,242 | ) | (4,085,649 | ) | ||||||||
Net realized and unrealized gain from investment, futures, swap and foreign currency related transactions | 168,335,405 | 12,797,950 | 73,496,554 | |||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 198,143,479 | $ | 15,681,624 | $ | 89,597,257 | ||||||||
(a) | Foreign taxes withheld on interest were $1,935 for the Global Income Fund. |
(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 R | Class A | Class B | Class C | Institutional | Service | Class IR | Class R | |||||||||||||||||||||||||||||||||
Core Fixed Income | $ | 826,621 | $ | 91,024 | $ | 139,751 | $ | 24 | $ | 429,843 | $ | 11,833 | $ | 18,167 | $ | 149,011 | $ | 1,381 | $ | 17 | $ | 6 | ||||||||||||||||||||||
Core Plus Fixed Income | 61,864 | 53,149 | 58,489 | 40 | 32,169 | 6,909 | 7,604 | 14,243 | 2 | 7 | 11 | |||||||||||||||||||||||||||||||||
Global Income | 248,556 | 31,513 | 26,465 | — | 129,249 | 4,097 | 3,440 | 133,343 | 43 | — | — |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statements of Changes in Net Assets
Core Fixed Income Fund | ||||||||||
For the | ||||||||||
Six Months Ended | For the Fiscal | |||||||||
September 30, 2009 | Year Ended | |||||||||
(Unaudited) | March 31, 2009 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 29,808,074 | $ | 93,301,495 | ||||||
Net realized gain (loss) from investment, futures, swap and foreign currency related transactions | (19,026,673 | ) | (80,556,260 | ) | ||||||
Net change in unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 187,362,078 | (191,731,530 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | 198,143,479 | (178,986,295 | ) | |||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (13,140,565 | ) | (34,752,817 | ) | ||||||
Class B Shares | (294,864 | ) | (778,981 | ) | ||||||
Class C Shares | (450,447 | ) | (1,059,866 | ) | ||||||
Institutional Shares | (16,201,085 | ) | (60,277,695 | ) | ||||||
Service Shares | (132,170 | ) | (790,612 | ) | ||||||
Class IR Shares | (532 | ) | (477 | ) | ||||||
Class R Shares | (178 | ) | (432 | ) | ||||||
From net realized gains | ||||||||||
Class A Shares | — | (3,634,537 | ) | |||||||
Class B Shares | — | (105,168 | ) | |||||||
Class C Shares | — | (143,857 | ) | |||||||
Institutional Shares | — | (4,738,028 | ) | |||||||
Service Shares | — | (64,465 | ) | |||||||
Class IR Shares | — | (54 | ) | |||||||
Class R Shares | — | (54 | ) | |||||||
Total distributions to shareholders | (30,219,841 | ) | (106,347,043 | ) | ||||||
From share transactions: | ||||||||||
Net proceeds from sales of shares | 348,032,914 | 877,777,690 | ||||||||
Reinvestment of distributions | 22,677,242 | 76,644,527 | ||||||||
Cost of shares redeemed(a) | (572,300,381 | ) | (1,622,625,171 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (201,590,225 | ) | (668,202,954 | ) | ||||||
TOTAL INCREASE (DECREASE) | (33,666,587 | ) | (953,536,292 | ) | ||||||
Net assets: | ||||||||||
Beginning of period | 1,502,034,251 | 2,455,570,543 | ||||||||
End of period | $ | 1,468,367,664 | $ | 1,502,034,251 | ||||||
Accumulated undistributed net investment income | $ | 2,799,915 | $ | 3,211,682 | ||||||
(a) | Net of $4,942, $7,409 and $10,044, $39,807 of redemption fees remitted to the Core Plus Fixed Income Fund and Global Income Fund, respectively, for the period ended September 30, 2009 and fiscal year ended March 31, 2009, respectively. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Core Plus Fixed Income Fund | Global Income Fund | |||||||||||||||
For the | For the | |||||||||||||||
Six Months Ended | For the Fiscal | Six Months Ended | For the Fiscal | |||||||||||||
September 30, 2009 | Year Ended | September 30, 2009 | Year Ended | |||||||||||||
(Unaudited) | March 31, 2009 | (Unaudited) | March 31, 2009 | |||||||||||||
$ | 2,883,674 | $ | 5,409,292 | $ | 16,100,703 | $ | 44,792,216 | |||||||||
1,707,369 | 725,332 | (32,465,113 | ) | 127,082,225 | ||||||||||||
11,090,581 | (10,634,748 | ) | 105,961,667 | (187,155,071 | ) | |||||||||||
15,681,624 | (4,500,124 | ) | 89,597,257 | (15,280,630 | ) | |||||||||||
(1,006,715 | ) | (2,174,067 | ) | (17,178,724 | ) | (9,173,231 | ) | |||||||||
(177,212 | ) | (445,794 | ) | (514,699 | ) | (243,252 | ) | |||||||||
(194,456 | ) | (400,284 | ) | (456,161 | ) | (166,354 | ) | |||||||||
(1,528,458 | ) | (2,343,878 | ) | (58,668,212 | ) | (35,883,234 | ) | |||||||||
(211 | ) | (442 | ) | (18,965 | ) | (10,030 | ) | |||||||||
(222 | ) | (461 | ) | — | — | |||||||||||
(301 | ) | (413 | ) | — | — | |||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
— | — | — | — | |||||||||||||
(2,907,575 | ) | (5,365,339 | ) | (76,836,761 | ) | (45,476,101 | ) | |||||||||
107,138,396 | 47,443,891 | 198,101,971 | 351,504,276 | |||||||||||||
2,629,082 | 4,612,943 | 75,464,841 | 44,395,451 | |||||||||||||
(21,663,310 | ) | (62,339,560 | ) | (241,357,434 | ) | (861,759,297 | ) | |||||||||
88,104,168 | (10,282,726 | ) | 32,209,378 | (465,859,570 | ) | |||||||||||
100,878,217 | (20,148,189 | ) | 44,969,874 | (526,616,301 | ) | |||||||||||
111,062,913 | 131,211,102 | 879,428,365 | 1,406,044,666 | |||||||||||||
$ | 211,941,130 | $ | 111,062,913 | $ | 924,398,239 | $ | 879,428,365 | |||||||||
$ | 362,552 | $ | 386,453 | $ | 12,650,137 | $ | 73,386,195 | |||||||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements
September 30, 2009 (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 following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/Non-diversified | ||
Core Fixed Income and Core Plus Fixed Income | A, B, C, Institutional, Service, IR and R | Diversified | ||
Global Income | A, B, C, Institutional and Service | Non-diversified | ||
Class A Shares of the Funds are sold with a front-end sales charge of up to 3.75%. Prior to July 29, 2009, the maximum Class A front-end sales charge for the Funds was 4.50%. Class B Shares of the Funds are sold with contingent deferred sales charges that decline from 5.00% to zero, depending upon the period of time the shares are held. Effective November 2, 2009, the Funds’ Class B Shares will no longer be available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds). Class C Shares of the Funds have a contingent deferred sales charge of 1.00% during the first 12 months. Institutional, Service, Class IR and Class R Shares of the Funds are not subject to a sales charge. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may retain a portion of such sales charges it receives as Distributor.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser to each of the Core Fixed Income and Core Plus Fixed Income Funds pursuant to a management agreement with the Trust on behalf of the Funds. Goldman Sachs Asset Management International (“GSAMI”), an affiliate of GSAM and Goldman Sachs, serves as investment adviser pursuant to a management agreement with the Trust on behalf of the Global Income Fund (the management agreements with GSAM and GSAMI are collectively referred to herein as the “Agreements”).
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 accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the accompanying Notes to Financial Statements.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
B. Investment Valuation — The investment valuation policy of the Funds is to value investments at market value. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider either (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers, to determine current value. If accurate quotations are not readily available, or if GSAM or GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date.
GSAM or GSAMI, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Certain mortgage security paydown gains and losses are included in interest income in the accompanying Statements of Operations. Market discounts, original issue discount (“OID”) and market premiums on debt securities are accreted/amortized to interest income over the life of the security with a corresponding adjustment in the cost basis of that security. In addition, it is the Funds’ policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Funds, which are subject to such taxes. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
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 Fund based upon the relative proportion of net assets of each class.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or “pro-rata” basis depending upon the nature of the expense and are accrued daily.
E. Redemption Fees — All classes of the Core Plus Fixed Income and Global Income Funds charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. For this purpose, the Funds use a first-in first out 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 a Fund and are reflected as a reduction in share redemptions. Redemption fees are credited to Paid-in capital and are allocated to each share class of a Fund on a pro-rata basis at the time of payment.
F. Federal Taxes and Distributions 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 (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Income Distributions | Capital Gains Distributions | |||
Fund | Declared/Paid | Declared/Paid | ||
Core Fixed Income and Core Plus Fixed Income | Daily/Monthly | Annually | ||
Global Income | Monthly | Annually | ||
Net capital losses are carried forward to future fiscal 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 gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. 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 capital. Financial statements are adjusted for permanent book/tax differences to reflect the appropriate tax character, and are not adjusted for temporary differences.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
G. Foreign Currency Translations — The books and records of the Funds are accounted for 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 into U.S. dollars based upon 4:00 p.m. Eastern Time 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 as of 4:00 p.m. Eastern Time.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Net realized and unrealized gain (loss) on foreign currency transactions represents: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment security transactions and forward exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on equity securities and derivative instruments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included with the net realized and unrealized gain (loss) on investments. The effect of changes in foreign currency exchange rates on fixed income securities sold during the period are segregated in the Statements of Operations from the effects of changes in market prices of those investments, and are included with the net realized gain (loss) on foreign currency related transactions. The effect of changes in foreign currency exchange rates on fixed income securities held at period end are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included with the net change in unrealized gain (loss) on investments. 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.
Non U.S. currency symbols utilized throughout the report are defined as follows:
AUD | = | Australian Dollar | ||
CAD | = | Canadian Dollar | ||
DKK | = | Danish Krone | ||
EUR | = | Euro | ||
GBP | = | British Pound | ||
JPY | = | Japanese Yen | ||
KRW | = | South Korean Won | ||
PLN | = | Polish Zloty | ||
RUB | = | Russian Ruble | ||
SEK | = | Swedish Krona |
H. Mortgage-Backed and Asset-Backed Securities — The Funds may invest in mortgage-backed and/or asset-backed securities. Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real property. These securities may include mortgage pass-through securities, collateralized mortgage obligations, real estate mortgage investment conduit pass-through or participation certificates and stripped mortgage-backed securities. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of assets such as auto loans, credit card receivables, leases, installment contracts and personal property. Asset-backed securities also include home equity line of credit loans and other second-lien mortgages.
The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers. Early repayment of principal on mortgage-backed or asset-backed securities may expose a Fund to the risk of earning a lower rate of return upon reinvestment of principal. Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral. In addition, while mortgage-backed and asset-backed securities may be supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers, if any, will meet their obligations.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all of the interest payments (the interest-only, or “IO” and/or the high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all of the principal payments (the principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, adjustments are made to the cost of the security on a daily basis until maturity. These adjustments are included in interest income. Payments received for PO’s, typically monthly, are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains. All gains and losses resulting from principal payments are classified as interest income in the accompanying Statements of Operations.
I. Mortgage Dollar Rolls — The Funds may enter into mortgage dollar rolls (“dollar rolls”) in which the Funds sell securities in the current month for delivery and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Funds treat dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale.
During the settlement period between sale and repurchase, the Funds will not be entitled to accrued interest and principal payments on the securities sold. Dollar roll transactions involve the risk that the market value of the securities sold by the Funds may decline below the repurchase price of those securities. In the event the buyer of the securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Funds’ use of proceeds from the transaction may be restricted pending a determination by, or with respect to, the other party.
J. Repurchase Agreements — The Funds may enter into 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 at the Funds’ custodian or designated subcustodians under tri-party repurchase agreements.
Pursuant to exemptive relief granted by the Securities and Exchange Commission and terms and conditions contained therein, the Funds, together with other registered investment companies having management agreements with 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. Under these joint accounts, the Funds’ credit exposure is allocated to the underlying repurchase agreements counterparties on a pro-rata basis. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
K. Treasury Inflation-Protected Securities — The Funds may invest in Treasury Inflation-Protected Securities (“TIPS”), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on the Funds’ distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
L. When-Issued Securities and Forward Commitments — The Funds may purchase when-issued securities, including TBA (“To Be Announced”) securities and enter into contracts to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. When-issued securities are securities that have been authorized, but not yet issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Funds will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement if GSAM deems it appropriate. When purchasing a security on a when-issued basis or entering into a forward commitment, the Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts. The Funds may dispose of or renegotiate these contracts after they have been entered into and may sell these securities before they are delivered, which may result in a capital gain or loss.
M. Derivatives — The Funds may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and 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.
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, portfolio positions or to seek to increase total return. All contracts are “marked-to-market” daily at the applicable forward rate and any resulting unrealized gains or losses are recorded by the Funds. The Funds record realized gains or losses on the settlement date of a contract.
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. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
Futures Contracts — The Funds may purchase or sell futures contracts 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 deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Funds recognize a realized gain or loss when a contract is closed or expires.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. 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. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
Options — The Funds may write and/or purchase call and put options on futures, currencies, securities or any securities index consisting of securities in which the Funds 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. Options on a futures contract may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. 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 future, security or currency transaction, 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 future, security or currency transaction, 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 future, security or currency transaction that 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. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under written option contracts.
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. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. 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 future, security or currency transaction, 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 future, security or currency transaction 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 the Funds.
Swap Contracts — The Funds may enter into swap transactions for hedging purposes or to seek to increase total return. The Funds may be required to post collateral under the terms of a swap contract. 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 risk, liquidity risk and elements of credit, legal and documentation risk in excess of amounts recognized in the Statements of Assets and Liabilities. The Funds may pay or receive cash to collateralize these contracts. This cash collateral is recorded as assets/liabilities on the Funds’ books.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 an unrealized gain or loss on the Statements of Operations. Upfront payments made and/or received by the Funds, are recorded as an asset and/or liability on the Statements 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 a realized gain or loss ratably beginning on the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses on the Statements of Operations. Gains or losses are also realized upon early termination of the swap agreements and recorded as realized gains or losses on the Statements of Operations. The Funds invest in the following types 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 credit default swap is an agreement that involves one party making a stream of payments to another party in exchange for the right to receive protection on a reference security or obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of the reference security or obligation or to take a short position with respect to the likelihood of default. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Funds sell protection through a credit default swap, the Funds could suffer a loss because the value of the referenced obligation may be less than the premium payments received. Upon the occurrence of a specified credit event, the Funds, as sellers of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. The Funds may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a trustworthy and transparent price has been set for the defaulted security or obligation. In addition, the Funds are entitled to a return of any assets, which have been pledged as collateral to the counterparty.
The Funds’ credit default swaps are disclosed in the Additional Investment Information section of the Schedules of Investments. The maximum potential amount of future payments (undiscounted) that the Funds as sellers of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Funds bought credit protection.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
In April 2009, the Funds adopted FASB Accounting Standards Codification (“ASC”) 815 “Disclosures about Derivative Instruments and Hedging Activities”, which requires enhanced disclosures about the Funds’ derivatives and hedging activities. The following tables set forth the gross value of the Funds’ derivative contracts for trading activities by certain risk types as of September 30, 2009. The values in the tables below exclude the effects of cash received or posted pursuant to derivative contracts, and therefore are not representative of the Funds’ net exposure.
Core Fixed Income
Statements of | Statements of | ||||||||||||||||||||
Assets and Liabilities | Derivative | Number of | Assets and Liabilities | Derivative | Number of | ||||||||||||||||
Risk | Location | Assets | Contracts | Location | Liabilities | Contracts | |||||||||||||||
Interest rate | Swap contracts, at value; Unrealized gain on futures(a) | $ | 18,020,070 | 2,861 | Swap contracts, at value; Unrealized loss on futures(a) | $ | (14,659,160 | )(b) | 680 | ||||||||||||
Credit | Swap contracts, at value | 4,084 | 1 | Swap contracts, at value | (446,738 | )(b) | 2 | ||||||||||||||
Currency | Forward foreign currency exchange contracts, at value | 1,183,105 | 25 | Forward foreign currency exchange contracts, at value | (1,558,199 | ) | 21 | ||||||||||||||
Derivative contracts, at value | $ | 19,207,259 | 2,887 | $ | (16,664,097 | ) | 703 | ||||||||||||||
Core Plus Fixed Income
Statements of | Statements of | ||||||||||||||||||||
Assets and Liabilities | Derivative | Number of | Assets and Liabilities | Derivative | Number of | ||||||||||||||||
Risk | Location | Assets | Contracts | Location | Liabilities | Contracts | |||||||||||||||
Interest rate | Swap contracts, at value; Unrealized gain on futures(a) | $ | 940,462 | 441 | Swap contracts, at value; Unrealized loss on futures(a) | $ | (622,988 | )(b) | 98 | ||||||||||||
Credit | Swap contracts, at value | 551 | 1 | Swap contracts, at value | (1,067,288 | )(b) | 6 | ||||||||||||||
Currency | Forward foreign currency exchange contracts, at value | 177,668 | 27 | Forward foreign currency exchange contracts, at value | (207,401 | ) | 20 | ||||||||||||||
Derivative contracts, at value | $ | 1,118,681 | 469 | $ | (1,897,677 | ) | 124 | ||||||||||||||
Global Income
Statements of | Statements of | ||||||||||||||||||||
Assets and Liabilities | Derivative | Number of | Assets and Liabilities | Derivative | Number of | ||||||||||||||||
Risk | Location | Assets | Contracts | Location | Liabilities | Contracts | |||||||||||||||
Interest rate | Swap contracts, at value; Unrealized gain on futures(a) | $ | 4,424,057 | 1,489 | Swap contracts, at value; Unrealized loss on futures(a) | $ | (4,693,798 | )(b) | 918 | ||||||||||||
Credit | Swap contracts, at value | — | — | Swap contracts, at value | (3,914,819 | )(b) | 7 | ||||||||||||||
Currency | Investments in Securities, at value; Forward foreign currency exchange contracts, at value | 5,923,121 | 236 | Forward foreign currency exchange contracts, at value | (20,142,185 | ) | 200 | ||||||||||||||
Derivative contracts, at value | $ | 10,347,178 | 1,725 | $ | (28,750,802 | ) | 1,125 | ||||||||||||||
(a) | Includes cumulative appreciation (depreciation) of futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(b) | Amounts include $14,718,503, $1,500,036 and $7,150,843 for Core Fixed Income, Core Plus Fixed Income and Global Income Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, its failure to pay on its obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The following tables set forth by certain risk types the Funds’ gains (losses) related to derivative activities for the six months ended September 30, 2009 in accordance with ASC 815. These gains (losses) should be considered in the context that derivative contracts may have been executed to economically hedge securities and accordingly, gains or losses on derivative contracts may offset losses or gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” in the Statements of Operations:
Core Fixed Income
Net | ||||||||||
Net | Change in | |||||||||
Location of Gain or (Loss) on Derivatives | Realized | Unrealized | ||||||||
Risk | Recognized on Statement of Operations | Gain (Loss) | Gain (Loss) | |||||||
Interest rate | Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts | $ | 9,577,203 | $ | (8,517,748 | ) | ||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (9,722,283 | ) | 5,412,052 | ||||||
Currency | Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | 394,597 | (172,708 | ) | ||||||
Total | $ | 249,517 | $ | (3,278,404 | ) | |||||
Core Plus Fixed Income
Net | ||||||||||
Net | Change in | |||||||||
Location of Gain or (Loss) on Derivatives | Realized | Unrealized | ||||||||
Risk | Recognized on Statement of Operations | Gain (Loss) | Gain (Loss) | |||||||
Interest rate | Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts | $ | 1,140,896 | $ | (1,057,435 | ) | ||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (237,527 | ) | (60,447 | ) | |||||
Currency | Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | (5,517 | ) | (15,194 | ) | |||||
Total | $ | 897,852 | $ | (1,133,076 | ) | |||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Global Income
Net | ||||||||||
Net | Change in | |||||||||
Location of Gain or (Loss) on Derivatives | Realized | Unrealized | ||||||||
Risk | Recognized on Statement of Operations | Gain (Loss) | Gain (Loss) | |||||||
Interest rate | Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts | $ | 8,410,705 | $ | (3,577,790 | ) | ||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (815,591 | ) | (4,551,001 | ) | |||||
Currency | Net realized gain (loss) from investment transactions and foreign currency related transactions/Net change in unrealized gain (loss) on options and translation of assets and liabilities denominated in foreign currencies | (52,561,847 | ) | (4,985,813 | ) | |||||
Total | $ | (44,966,733 | ) | $ | (13,114,604 | ) | ||||
3. AGREEMENTS
A. Management Agreement — Under the Agreements applicable to each Fund, GSAM and GSAMI manage the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM and GSAMI are entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended September 30, 2009, contractual and effective net management fees with GSAM and GSAMI were at the following rates:
Contractual Management Rate | ||||||||||||||||||||||||
First | Next | Next | Next | Over | Effective | |||||||||||||||||||
Fund | $1 Billion | $1 Billion | $3 Billion | $3 Billion | $8 Billion | Rate | ||||||||||||||||||
Core Fixed Income | 0.40 | % | 0.36 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.39 | % | ||||||||||||
Core Plus Fixed Income | 0.45 | 0.41 | 0.39 | 0.38 | 0.37 | 0.45 | ||||||||||||||||||
Global Income | 0.65 | 0.59 | 0.56 | 0.55 | 0.54 | 0.65 | ||||||||||||||||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
3. AGREEMENTS (continued) |
B. Distribution Agreement and Service Plans — 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 fee accrued daily and paid monthly for distribution services and account maintenance services at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
Distribution and Service Plan Rates | ||||||||||||||||
Class A* | Class B | Class C | Class R* | |||||||||||||
Distribution Plan | 0.25 | % | 0.75 | % | 0.75 | % | 0.50 | % | ||||||||
Service Plan | — | 0.25 | 0.25 | — | ||||||||||||
* | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Plans to compensate service organizations for personal and account maintenance services and expenses so long as such total compensation under the Plans does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
Goldman Sachs may retain a portion of the Class A front end sales charge and Class B and Class C contingent deferred sales charges. During the six months ended September 30, 2009, Goldman Sachs advised that it retained the following approximate amounts:
Front End | Contingent Deferred | |||||||||||
Sales Charge | Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
Core Fixed Income | $ | 43,900 | $ | — | $ | 1,000 | ||||||
Core Plus Fixed Income | 14,400 | — | — | |||||||||
Global Income | 5,500 | — | — | |||||||||
C. Transfer Agency Agreement — Goldman Sachs serves as the transfer agent for the Funds for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.13% of the average daily net assets for Class A, Class B, Class C, Class IR and Class R Shares and 0.04% of the average daily net assets for Institutional and Service Shares of the Funds.
D. Service Plan and Shareholder Administration Plans — The Trust, on behalf of each Fund, 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 each provide for compensation to the service organizations in an amount equal to, on an annual basis, 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
3. AGREEMENTS (continued) |
E. Other Agreements — GSAM and GSAMI have voluntarily agreed to limit certain “Other Expenses” of the Funds (excluding management fees, distribution and service fees, transfer agent fees and expenses, Service Share fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent 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 GSAM and GSAMI for prior fiscal year expense reimbursements, if any. These expense limitations may be modified or terminated at any time at the option of GSAM and GSAMI. The Other Expense limitations for Core Fixed Income, Core Plus Fixed Income and Global Income Funds as an annual percentage rate of average daily net assets are 0.104%, 0.004% and 0.004%, respectively. 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.
For the six months ended September 30, 2009, these expense reductions, including any waivers and Other Expense reimbursements, were as follows (in thousands):
Custody Fee | Other Expense | Total Expense | ||||||||||
Fund | Credits | Reimbursement | Reductions | |||||||||
Core Fixed Income | $ | 1 | $ | — | $ | 1 | ||||||
Core Plus Fixed Income | — | 302 | 302 | |||||||||
Global Income | — | 322 | 322 | |||||||||
As of September 30, 2009, the amounts owed to affiliates of the Funds were as follows (in thousands):
Management | Distribution | Transfer | ||||||||||||||
Fund | Fees | and Service Fees | Agent Fees | Total | ||||||||||||
Core Fixed Income | $ | 461 | $ | 187 | $ | 104 | $ | 752 | ||||||||
Core Plus Fixed Income | 80 | 30 | 13 | 123 | ||||||||||||
Global Income | 472 | 51 | 45 | 568 | ||||||||||||
F. Line of Credit Facility — The Funds participate in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM, GSAMI or its affiliates. Pursuant to the terms of the facility, the Funds and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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 September 30, 2009, the Funds did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1—Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2—Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3—Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
The following is a summary of the Funds’ investments categorized in the fair value hierarchy:
Core Fixed Income
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | $ | 67,127,324 | $ | 16,662,623 | $ | — | ||||||
Municipal Debt Obligations | — | 6,291,044 | — | |||||||||
Corporate Obligations | — | 321,785,847 | — | |||||||||
Foreign Debt Obligations | — | 73,871,979 | — | |||||||||
Government Guarantee Obligations | — | 180,156,010 | — | |||||||||
Mortgage-Backed Obligations | — | 778,010,105 | — | |||||||||
Asset-Backed Securities | — | 28,154,411 | — | |||||||||
Repurchase Agreements | — | 82,700,000 | — | |||||||||
Derivatives | 5,262,350 | 13,944,909 | — | |||||||||
Total | $ | 72,389,674 | $ | 1,501,576,928 | $ | — | ||||||
Liabilities | ||||||||||||
Fixed Income — Forward Sales Contracts | ||||||||||||
Mortgage-Backed Obligations | $ | — | $ | (13,723,125 | ) | $ | — | |||||
Derivatives | (387,395 | ) | (16,276,702 | ) | — | |||||||
Total | $ | (387,395 | ) | $ | (29,999,827 | ) | $ | — | ||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
4. FAIR VALUE OF INVESTMENTS (continued) |
Core Plus Fixed Income
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | $ | 21,560,593 | $ | 4,444,513 | $ | — | ||||||
Municipal Debt Obligations | — | 878,729 | — | |||||||||
Corporate Obligations | — | 37,303,219 | — | |||||||||
Foreign Debt Obligations | — | 6,541,788 | — | |||||||||
Government Guarantee Obligations | — | 25,348,163 | — | |||||||||
Mortgage-Backed Obligations | — | 103,006,586 | — | |||||||||
Asset-Backed Securities | — | 907,174 | — | |||||||||
Repurchase Agreements | — | 21,600,000 | — | |||||||||
Derivatives | 545,065 | 573,616 | — | |||||||||
Total | $ | 22,105,658 | $ | 200,603,788 | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | (190,240 | ) | $ | (1,707,437 | ) | $ | — | ||||
Global Income
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | $ | 20,363,530 | $ | 4,258,354 | $ | — | ||||||
Asset-Backed Securities | — | 4,477,069 | — | |||||||||
Corporate Obligations | — | 255,559,804 | — | |||||||||
Foreign Debt Obligations | 272,177,967 | 43,530,022 | — | |||||||||
Government Guarantee Obligations | — | 81,621,852 | — | |||||||||
Mortgage-Backed Obligations | — | 208,529,806 | — | |||||||||
Short-term Investments | — | 7,470,307 | — | |||||||||
Derivatives | 532,789 | 9,814,389 | — | |||||||||
Total | $ | 293,074,286 | $ | 615,261,603 | $ | — | ||||||
Liabilities | ||||||||||||
Fixed Income — Forward Sales Contracts | ||||||||||||
Mortgage-Backed Obligations | $ | — | $ | (1,033,125 | ) | $ | — | |||||
Derivatives | (1,457,774 | ) | (27,293,028 | ) | — | |||||||
Total | $ | (1,457,774 | ) | $ | (28,326,153 | ) | $ | — | ||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended September 30, 2009, were as follows:
Sales and maturities | Sales and maturities | |||||||||||||||
Purchases of U.S. | Purchases (excluding U.S. | of U.S. Government | (excluding U.S. | |||||||||||||
Government and Agency | Government and Agency | and Agency | Government and | |||||||||||||
Fund | Obligations | Obligations) | Obligations | Agency Obligations) | ||||||||||||
Core Fixed Income | $ | 3,894,407,836 | $ | 503,864,474 | $ | 3,819,595,887 | $ | 503,825,672 | ||||||||
Core Plus Fixed Income | 420,180,510 | 67,617,628 | 365,655,423 | 18,875,633 | ||||||||||||
Global Income | 1,089,985,417 | 259,925,410 | 1,080,167,213 | 320,901,812 | ||||||||||||
For the six months ended September 30, 2009, Goldman Sachs earned approximately $70,200 and $9,000 in brokerage commissions from portfolio transactions, including future transactions executed with Goldman Sachs as Futures Commission Merchant, executed on behalf of the Core Fixed Income and Core Plus Fixed Income Funds, respectively.
6. TAX INFORMATION
As of the most recent fiscal year end March 31, 2009, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
Core Plus | ||||||||||||
Core Fixed Income | Fixed Income | Global Income | ||||||||||
Capital loss carryforward:1 | ||||||||||||
Expiring 2014 | $ | — | $ | — | $ | (1,862,606 | ) | |||||
Expiring 2015 | — | (1,756,644 | ) | — | ||||||||
Expiring 2017 | (8,343,574 | ) | — | — | ||||||||
Total capital loss carryforward | $ | (8,343,574 | ) | $ | (1,756,644 | ) | $ | (1,862,606 | ) | |||
Timing differences (Post October loss deferrals, straddle loss deferrals and distributions payable) | $ | (73,713,124 | ) | $ | (135,631 | ) | $ | (22,743,439 | ) | |||
1 Expiration occurs on March 31 of the year indicated.
At September 30, 2009, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
Core Plus | ||||||||||||
Core Fixed Income | Fixed Income | Global Income | ||||||||||
Tax Cost | $ | 1,658,132,560 | $ | 222,746,606 | $ | 872,499,250 | ||||||
Gross unrealized gain | 44,054,087 | 6,192,662 | 69,253,404 | |||||||||
Gross unrealized loss | (147,427,304 | ) | (7,348,503 | ) | (43,734,867 | ) | ||||||
Net unrealized security gain (loss) | $ | (103,373,217 | ) | $ | (1,155,841 | ) | $ | 25,518,537 | ||||
The difference between book and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gain (loss) on regulated futures contracts and foreign currency contracts and differences in the tax treatment of swap transactions, market discount accretion and premium amortization as of the most recent fiscal year end.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
7. OTHER RISKS
Funds’ Shareholder Concentration Risk — Certain Goldman Sachs Fund of Funds Portfolios may invest a significant percentage of their assets in the Funds. In the event the Fund of Funds Portfolios experience significant redemptions and/or reallocations, the Funds may be exposed to liquidity risk. In particular, the Funds may encounter difficulty meeting redemptions if unusual market conditions create an unfavorable environment in which the Funds are forced to liquidate their securities. As of September 30, 2009, the following Fund of Funds Portfolios were the beneficial owners of 5% or more of total outstanding shares of the following Fund:
Goldman Sachs | ||||||||||||
Goldman Sachs | Goldman Sachs | Growth and Income | ||||||||||
Balanced Strategy | Growth Strategy | Strategy | ||||||||||
Fund | Portfolio | Portfolio | Portfolio | |||||||||
Global Income | 17 | % | 11 | % | 46 | % | ||||||
As of September 30, 2009, the Goldman Sachs Group, Inc. (“GSG”) was the beneficial owner of approximately 99% of the Class R Shares of the Core Fixed Income Fund and 99% of the Service and Class IR Shares of the Core Plus Fixed Income Fund.
Foreign Custody Risk — A Fund that invests in foreign securities, may hold such securities and foreign currency with foreign banks, agents, and securities depositories (each a “Foreign Custodian”) appointed by the Fund’s custodian. Investments in emerging markets may be subject to greater custody risks than investments in more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries. In some countries, Foreign Custodians may be subject to little or no regulatory oversight or independent evaluation of their operations. Furthermore, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters into bankruptcy.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transaction defaults.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. 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, be subject to government ownership controls, have delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
8. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
9. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB ASC 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through November 24, 2009, the date that the financial statements were issued.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2009 (Unaudited)
10. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
Core Fixed Income Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
September 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | March 31, 2009 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 24,246,019 | $ | 212,626,729 | 29,946,906 | $ | 264,019,566 | ||||||||||
Reinvestment of distributions | 1,204,755 | 10,626,931 | 3,709,258 | 32,487,037 | ||||||||||||
Shares converted from Class B(a) | 33,434 | 293,678 | 130,698 | 1,145,012 | ||||||||||||
Shares redeemed | (18,488,578 | ) | (161,570,828 | ) | (45,807,093 | ) | (400,392,590 | ) | ||||||||
6,995,630 | 61,976,510 | (12,020,231 | ) | (102,740,975 | ) | |||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 303,871 | 2,672,221 | 777,078 | 6,723,065 | ||||||||||||
Reinvestment of distributions | 28,120 | 249,047 | 83,736 | 732,867 | ||||||||||||
Shares converted to Class A(a) | (33,282 | ) | (293,678 | ) | (130,102 | ) | (1,145,012 | ) | ||||||||
Shares redeemed | (410,306 | ) | (3,595,333 | ) | (830,260 | ) | (7,345,882 | ) | ||||||||
(111,597 | ) | (967,743 | ) | (99,548 | ) | (1,034,962 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 839,334 | 7,349,814 | 1,347,563 | 11,823,361 | ||||||||||||
Reinvestment of distributions | 43,656 | 387,460 | 114,996 | 1,006,045 | ||||||||||||
Shares redeemed | (502,675 | ) | (4,408,090 | ) | (1,451,658 | ) | (12,902,171 | ) | ||||||||
380,315 | 3,329,184 | 10,901 | (72,765 | ) | ||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 14,122,890 | 124,741,268 | 67,209,491 | 591,990,347 | ||||||||||||
Reinvestment of distributions | 1,286,473 | 11,312,446 | 4,736,481 | 41,826,608 | ||||||||||||
Shares redeemed | (46,091,042 | ) | (401,033,161 | ) | (133,076,299 | ) | (1,184,116,634 | ) | ||||||||
(30,681,679 | ) | (264,979,447 | ) | (61,130,327 | ) | (550,299,679 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 64,193 | 576,066 | 347,779 | 3,221,342 | ||||||||||||
Reinvestment of distributions | 11,386 | 100,655 | 66,463 | 590,953 | ||||||||||||
Shares redeemed | (195,880 | ) | (1,692,897 | ) | (2,050,349 | ) | (17,867,894 | ) | ||||||||
(120,301 | ) | (1,016,176 | ) | (1,636,107 | ) | (14,055,599 | ) | |||||||||
Class IR Shares | ||||||||||||||||
Shares sold | 7,360 | 66,782 | — | — | ||||||||||||
Reinvestment of distributions | 58 | 525 | 61 | 531 | ||||||||||||
Shares redeemed | (4 | ) | (38 | ) | — | — | ||||||||||
7,414 | 67,269 | 61 | 531 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 4 | 34 | 1 | 9 | ||||||||||||
Reinvestment of distributions | 20 | 178 | 55 | 486 | ||||||||||||
Shares redeemed | (3 | ) | (34 | ) | — | — | ||||||||||
21 | 178 | 56 | 495 | |||||||||||||
NET INCREASE (DECREASE) | (23,530,197 | ) | $ | (201,590,225 | ) | (74,875,195 | ) | $ | (668,202,954 | ) | ||||||
(a) | Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
10. SUMMARY OF SHARE TRANSACTIONS (continued)
Core Plus Fixed Income Fund | Global Income Fund | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||
September 30, 2009 | For the Fiscal Year Ended | September 30, 2009 | For the Fiscal Year Ended | |||||||||||||||||||||||||||||
(Unaudited) | March 31, 2009 | (Unaudited) | March 31, 2009 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
1,399,527 | $ | 13,545,353 | 2,050,460 | $ | 19,190,393 | 4,067,187 | $ | 51,598,929 | 11,197,277 | $ | 139,245,158 | |||||||||||||||||||||
96,183 | 929,024 | 217,981 | 2,032,542 | 1,339,796 | 16,331,467 | 701,074 | 8,709,903 | |||||||||||||||||||||||||
25,172 | 243,476 | 39,398 | 367,120 | 27,951 | 354,037 | 84,894 | 1,050,817 | |||||||||||||||||||||||||
(813,486 | ) | (7,771,146 | ) | (2,805,820 | ) | (26,317,339 | ) | (5,669,108 | ) | (71,521,466 | ) | (19,637,024 | ) | (244,444,299 | ) | |||||||||||||||||
707,396 | 6,946,707 | (497,981 | ) | (4,727,284 | ) | (234,174 | ) | (3,237,033 | ) | (7,653,779 | ) | (95,438,421 | ) | |||||||||||||||||||
87,227 | 834,797 | 264,197 | 2,441,715 | 53,996 | 670,652 | 99,520 | 1,231,375 | |||||||||||||||||||||||||
16,696 | 160,718 | 43,561 | 406,059 | 34,619 | 420,234 | 15,885 | 196,721 | |||||||||||||||||||||||||
(25,198 | ) | (243,476 | ) | (39,441 | ) | (367,120 | ) | (28,062 | ) | (354,037 | ) | (85,216 | ) | (1,050,817 | ) | |||||||||||||||||
(213,959 | ) | (2,055,549 | ) | (505,883 | ) | (4,719,198 | ) | (129,048 | ) | (1,602,381 | ) | (308,240 | ) | (3,820,497 | ) | |||||||||||||||||
(135,234 | ) | (1,303,510 | ) | (237,566 | ) | (2,238,544 | ) | (68,495 | ) | (865,532 | ) | (278,051 | ) | (3,443,218 | ) | |||||||||||||||||
190,537 | 1,845,548 | 508,268 | 4,737,627 | 102,894 | 1,278,809 | 104,022 | 1,298,120 | |||||||||||||||||||||||||
15,240 | 146,956 | 33,676 | 313,910 | 26,544 | 321,436 | 9,958 | 122,967 | |||||||||||||||||||||||||
(148,916 | ) | (1,435,231 | ) | (520,651 | ) | (4,894,598 | ) | (53,439 | ) | (665,629 | ) | (192,065 | ) | (2,372,086 | ) | |||||||||||||||||
56,861 | 557,273 | 21,293 | 156,939 | 75,999 | 934,616 | (78,085 | ) | (950,999 | ) | |||||||||||||||||||||||
9,351,656 | 90,874,119 | 2,238,358 | 21,074,156 | 11,450,034 | 144,551,669 | 17,016,900 | 209,631,222 | |||||||||||||||||||||||||
142,501 | 1,391,650 | 199,835 | 1,859,114 | 4,792,437 | 58,382,717 | 2,851,418 | 35,361,667 | |||||||||||||||||||||||||
(1,103,801 | ) | (10,385,799 | ) | (2,847,237 | ) | (26,408,425 | ) | (13,271,695 | ) | (167,551,358 | ) | (49,263,198 | ) | (610,870,162 | ) | |||||||||||||||||
8,390,356 | 81,879,970 | (409,044 | ) | (3,475,155 | ) | 2,970,776 | 35,383,028 | (29,394,880 | ) | (365,877,273 | ) | |||||||||||||||||||||
— | — | — | — | 153 | 1,912 | 7,908 | 98,401 | |||||||||||||||||||||||||
22 | 211 | 47 | 443 | 739 | 8,987 | 339 | 4,193 | |||||||||||||||||||||||||
— | — | — | — | (1,348 | ) | (16,600 | ) | (20,232 | ) | (252,253 | ) | |||||||||||||||||||||
22 | 211 | 47 | 443 | (456 | ) | (5,701 | ) | (11,985 | ) | (149,659 | ) | |||||||||||||||||||||
3 | 30 | — | — | — | — | — | — | |||||||||||||||||||||||||
23 | 222 | 50 | 462 | — | — | — | — | |||||||||||||||||||||||||
(3 | ) | (30 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
23 | 222 | 50 | 462 | — | — | — | — | |||||||||||||||||||||||||
3,913 | 38,549 | — | — | — | — | — | — | |||||||||||||||||||||||||
31 | 301 | 45 | 413 | — | — | — | — | |||||||||||||||||||||||||
(1,562 | ) | (15,555 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
2,382 | 23,295 | 45 | 413 | — | — | — | — | |||||||||||||||||||||||||
9,021,806 | $ | 88,104,168 | (1,123,156 | ) | $ | (10,282,726 | ) | 2,743,650 | $ | 32,209,378 | (37,416,780 | ) | $ | (465,859,570 | ) | |||||||||||||||||
GOLDMAN SACHS CORE FIXED INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||||||
Net asset | investment operations | to shareholders | ||||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | From | Total | |||||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | capital | distributions | ||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||
2009 - A | $ | 8.27 | $ | 0.17 | $ | 1.03 | $ | 1.20 | $ | (0.17 | ) | $ | — | $ | — | $ | (0.17 | ) | ||||||||||||||||||
2009 - B | 8.31 | 0.14 | 1.03 | 1.17 | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||||
2009 - C | 8.31 | 0.14 | 1.03 | 1.17 | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||||
2009 - Institutional | 8.30 | 0.19 | 1.03 | 1.22 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||||||
2009 - Service | 8.31 | 0.17 | 1.03 | 1.20 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||||
2009 - IR | 8.28 | 0.18 | 1.04 | 1.22 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||||||
2009 - R | 8.28 | 0.16 | 1.03 | 1.19 | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||||||||
FOR THE FISCAL YEAR ENDED MARCH 31, | ||||||||||||||||||||||||||||||||||||
2009 - A | 9.57 | 0.42 | (1.23 | ) | (0.81 | ) | (0.44 | ) | (0.05 | ) | — | (0.49 | ) | |||||||||||||||||||||||
2009 - B | 9.61 | 0.35 | (1.23 | ) | (0.88 | ) | (0.37 | ) | (0.05 | ) | — | (0.42 | ) | |||||||||||||||||||||||
2009 - C | 9.61 | 0.35 | (1.23 | ) | (0.88 | ) | (0.37 | ) | (0.05 | ) | — | (0.42 | ) | |||||||||||||||||||||||
2009 - Institutional | 9.60 | 0.45 | (1.23 | ) | (0.78 | ) | (0.47 | ) | (0.05 | ) | — | (0.52 | ) | |||||||||||||||||||||||
2009 - Service | 9.61 | 0.41 | (1.24 | ) | (0.83 | ) | (0.42 | ) | (0.05 | ) | — | (0.47 | ) | |||||||||||||||||||||||
2009 - IR | 9.58 | 0.44 | (1.23 | ) | (0.79 | ) | (0.46 | ) | (0.05 | ) | — | (0.51 | ) | |||||||||||||||||||||||
2009 - R | 9.57 | 0.40 | (1.22 | ) | (0.82 | ) | (0.42 | ) | (0.05 | ) | — | (0.47 | ) | |||||||||||||||||||||||
FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008* | ||||||||||||||||||||||||||||||||||||
2008 - A | 9.86 | 0.19 | (0.28 | ) | (0.09 | ) | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||||
2008 - B | 9.90 | 0.16 | (0.28 | ) | (0.12 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||
2008 - C | 9.91 | 0.16 | (0.29 | ) | (0.13 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||
2008 - Institutional | 9.90 | 0.21 | (0.30 | ) | (0.09 | ) | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||
2008 - Service | 9.91 | 0.19 | (0.30 | ) | (0.11 | ) | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||||
2008 - IR (Commenced November 30, 2007) | 10.01 | 0.16 | (0.43 | ) | (0.27 | ) | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||||||
2008 - R (Commenced November 30, 2007) | 10.01 | 0.14 | (0.44 | ) | (0.30 | ) | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||||||
2007 - A | 9.82 | 0.44 | 0.02 | 0.46 | (0.42 | ) | — | — | (0.42 | ) | ||||||||||||||||||||||||||
2007 - B | 9.86 | 0.37 | 0.02 | 0.39 | (0.35 | ) | — | — | (0.35 | ) | ||||||||||||||||||||||||||
2007 - C | 9.87 | 0.37 | 0.02 | 0.39 | (0.35 | ) | — | — | (0.35 | ) | ||||||||||||||||||||||||||
2007 - Institutional | 9.86 | 0.48 | 0.02 | 0.50 | (0.46 | ) | — | — | (0.46 | ) | ||||||||||||||||||||||||||
2007 - Service | 9.86 | 0.43 | 0.03 | 0.46 | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||||||||
2006 - A | 9.87 | �� | 0.41 | (0.01 | ) | 0.40 | (0.38 | ) | (0.06 | ) | (0.01 | ) | (0.45 | ) | ||||||||||||||||||||||
2006 - B | 9.91 | 0.34 | (0.01 | ) | 0.33 | (0.31 | ) | (0.06 | ) | (0.01 | ) | (0.38 | ) | |||||||||||||||||||||||
2006 - C | 9.91 | 0.34 | — | 0.34 | (0.31 | ) | (0.06 | ) | (0.01 | ) | (0.38 | ) | ||||||||||||||||||||||||
2006 - Institutional | 9.90 | 0.45 | — | 0.45 | (0.42 | ) | (0.06 | ) | (0.01 | ) | (0.49 | ) | ||||||||||||||||||||||||
2006 - Service | 9.91 | 0.40 | (0.01 | ) | 0.39 | (0.37 | ) | (0.06 | ) | (0.01 | ) | (0.44 | ) | |||||||||||||||||||||||
2005 - A | 10.25 | 0.32 | (0.20 | ) | 0.12 | (0.37 | ) | (0.13 | ) | — | (0.50 | ) | ||||||||||||||||||||||||
2005 - B | 10.29 | 0.24 | (0.20 | ) | 0.04 | (0.29 | ) | (0.13 | ) | — | (0.42 | ) | ||||||||||||||||||||||||
2005 - C | 10.29 | 0.24 | (0.20 | ) | 0.04 | (0.29 | ) | (0.13 | ) | — | (0.42 | ) | ||||||||||||||||||||||||
2005 - Institutional | 10.28 | 0.36 | (0.21 | ) | 0.15 | (0.40 | ) | (0.13 | ) | — | (0.53 | ) | ||||||||||||||||||||||||
2005 - Service | 10.29 | 0.31 | (0.21 | ) | 0.10 | (0.35 | ) | (0.13 | ) | — | (0.48 | ) | ||||||||||||||||||||||||
2004 - A | 10.31 | 0.30 | 0.32 | 0.62 | (0.33 | ) | (0.35 | ) | — | (0.68 | ) | |||||||||||||||||||||||||
2004 - B | 10.35 | 0.23 | 0.31 | 0.54 | (0.25 | ) | (0.35 | ) | — | (0.60 | ) | |||||||||||||||||||||||||
2004 - C | 10.35 | 0.23 | 0.31 | 0.54 | (0.25 | ) | (0.35 | ) | — | (0.60 | ) | |||||||||||||||||||||||||
2004 - Institutional | 10.35 | 0.34 | 0.31 | 0.65 | (0.37 | ) | (0.35 | ) | — | (0.72 | ) | |||||||||||||||||||||||||
2004 - Service | 10.35 | 0.29 | 0.32 | 0.61 | (0.32 | ) | (0.35 | ) | — | (0.67 | ) | |||||||||||||||||||||||||
* | The Fund changed its fiscal year end from October 31 to March 31. |
(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 would be reduced if a sales or redemption charge was 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. Total returns for periods less than one full year are not annualized. |
GOLDMAN SACHS CORE FIXED INCOME 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(c) | |||||||||||||||||||||||||||
$ | 9.30 | 14.70 | % | $ | 740,573 | 0.82 | %(d) | 3.91 | %(d) | 0.82 | %(d) | 3.91 | %(d) | 296 | % | |||||||||||||||||||
9.34 | 14.21 | 18,845 | 1.57 | (d) | 3.18 | (d) | 1.57 | (d) | 3.18 | (d) | 296 | |||||||||||||||||||||||
9.34 | 14.21 | 31,264 | 1.57 | (d) | 3.16 | (d) | 1.57 | (d) | 3.16 | (d) | 296 | |||||||||||||||||||||||
9.33 | 14.84 | 670,478 | 0.48 | (d) | 4.30 | (d) | 0.48 | (d) | 4.30 | (d) | 296 | |||||||||||||||||||||||
9.34 | 14.55 | 7,118 | 0.98 | (d) | 3.77 | (d) | 0.98 | (d) | 3.77 | (d) | 296 | |||||||||||||||||||||||
9.31 | 14.82 | 79 | 0.57 | (d) | 3.96 | (d) | 0.57 | (d) | 3.96 | (d) | 296 | |||||||||||||||||||||||
9.31 | 14.56 | 10 | 1.07 | (d) | 3.70 | (d) | 1.07 | (d) | 3.70 | (d) | 296 | |||||||||||||||||||||||
8.27 | (8.63 | ) | 600,963 | 0.80 | 4.70 | 0.81 | 4.69 | 413 | ||||||||||||||||||||||||||
8.31 | (9.26 | ) | 17,694 | 1.55 | 3.95 | 1.56 | 3.94 | 413 | ||||||||||||||||||||||||||
8.31 | (9.26 | ) | 24,655 | 1.55 | 3.95 | 1.56 | 3.94 | 413 | ||||||||||||||||||||||||||
8.30 | (8.27 | ) | 851,372 | 0.46 | 5.04 | 0.47 | 5.03 | 413 | ||||||||||||||||||||||||||
8.31 | (8.72 | ) | 7,333 | 0.96 | 4.55 | 0.97 | 4.54 | 413 | ||||||||||||||||||||||||||
8.28 | (8.39 | ) | 9 | 0.55 | 4.97 | 0.56 | 4.96 | 413 | ||||||||||||||||||||||||||
8.28 | (8.81 | ) | 9 | 1.05 | 4.51 | 1.06 | 4.50 | 413 | ||||||||||||||||||||||||||
9.57 | (0.99 | ) | 809,957 | 0.78 | (d) | 4.63 | (d) | 0.78 | (d) | 4.63 | (d) | 239 | ||||||||||||||||||||||
9.61 | (1.28 | ) | 21,415 | 1.53 | (d) | 3.89 | (d) | 1.53 | (d) | 3.89 | (d) | 239 | ||||||||||||||||||||||
9.61 | (1.38 | ) | 28,402 | 1.53 | (d) | 3.89 | (d) | 1.53 | (d) | 3.89 | (d) | 239 | ||||||||||||||||||||||
9.60 | (0.94 | ) | 1,571,578 | 0.44 | (d) | 4.97 | (d) | 0.44 | (d) | 4.97 | (d) | 239 | ||||||||||||||||||||||
9.61 | (1.04 | ) | 24,199 | 0.94 | (d) | 4.47 | (d) | 0.94 | (d) | 4.47 | (d) | 239 | ||||||||||||||||||||||
9.58 | (2.75 | ) | 10 | 0.53 | (d) | 4.66 | (d) | 0.53 | (d) | 4.66 | (d) | 239 | ||||||||||||||||||||||
9.57 | (2.90 | ) | 10 | 1.03 | (d) | 4.22 | (d) | 1.03 | (d) | 4.22 | (d) | 239 | ||||||||||||||||||||||
9.86 | 4.84 | 798,223 | 0.80 | 4.51 | 0.81 | 4.50 | 166 | |||||||||||||||||||||||||||
9.90 | 4.05 | 20,736 | 1.55 | 3.74 | 1.56 | 3.73 | 166 | |||||||||||||||||||||||||||
9.91 | 4.05 | 23,008 | 1.55 | 3.76 | 1.56 | 3.75 | 166 | |||||||||||||||||||||||||||
9.90 | 5.21 | 1,684,860 | 0.44 | 4.87 | 0.45 | 4.86 | 166 | |||||||||||||||||||||||||||
9.91 | 4.68 | 29,899 | 0.94 | 4.32 | 0.95 | 4.31 | 166 | |||||||||||||||||||||||||||
9.82 | 4.21 | 714,877 | 0.83 | 4.25 | 0.84 | 4.24 | 562 | |||||||||||||||||||||||||||
9.86 | 3.42 | 22,971 | 1.58 | 3.49 | 1.59 | 3.48 | 562 | |||||||||||||||||||||||||||
9.87 | 3.52 | 20,937 | 1.58 | 3.49 | 1.59 | 3.48 | 562 | |||||||||||||||||||||||||||
9.86 | 4.69 | 1,558,971 | 0.46 | 4.65 | 0.47 | 4.64 | 562 | |||||||||||||||||||||||||||
9.86 | 4.06 | 46,600 | 0.96 | 4.13 | 0.97 | 4.12 | 562 | |||||||||||||||||||||||||||
9.87 | 1.14 | 658,114 | 0.86 | 3.14 | 0.87 | 3.13 | 283 | |||||||||||||||||||||||||||
9.91 | 0.38 | 29,096 | 1.61 | 2.40 | 1.62 | 2.39 | 283 | |||||||||||||||||||||||||||
9.91 | 0.38 | 23,432 | 1.61 | 2.40 | 1.62 | 2.39 | 283 | |||||||||||||||||||||||||||
9.90 | 1.53 | 1,098,280 | 0.47 | 3.54 | 0.48 | 3.53 | 283 | |||||||||||||||||||||||||||
9.91 | 1.02 | 31,682 | 0.97 | 3.03 | 0.98 | 3.02 | 283 | |||||||||||||||||||||||||||
10.25 | 6.24 | 523,045 | 0.90 | 2.96 | 0.90 | 2.96 | 549 | |||||||||||||||||||||||||||
10.29 | 5.43 | 32,040 | 1.65 | 2.21 | 1.65 | 2.21 | 549 | |||||||||||||||||||||||||||
10.29 | 5.42 | 24,323 | 1.65 | 2.21 | 1.65 | 2.21 | 549 | |||||||||||||||||||||||||||
10.28 | 6.55 | 860,021 | 0.50 | 3.36 | 0.50 | 3.36 | 549 | |||||||||||||||||||||||||||
10.29 | 6.22 | 20,221 | 1.00 | 2.86 | 1.00 | 2.86 | 549 | |||||||||||||||||||||||||||
(c) | The portfolio turnover rates excluding the effect of mortgage dollar rolls were as follows: |
For the Six Months | ||||||||
Ended September 30, | For the Fiscal Periods Ended | |||||||
2009 | 2009 | 2008 | 2007 | 2006 | ||||
253% | 371% | 193% | 141% | 516% |
Prior years include the effect of mortgage dollar roll transactions, if any.
(d) | Annualized. |
GOLDMAN SACHS CORE PLUS FIXED INCOME 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 SEPTEMBER 30, (UNAUDITED) | ||||||||||||||||||||||||
2009 - A | $ | 9.16 | $ | 0.19 | $ | 0.88 | $ | 1.07 | $ | (0.20 | ) | |||||||||||||
2009 - B | 9.15 | 0.16 | 0.87 | 1.03 | (0.16 | ) | ||||||||||||||||||
2009 - C | 9.15 | 0.16 | 0.87 | 1.03 | (0.16 | ) | ||||||||||||||||||
2009 - Institutional | 9.16 | 0.20 | 0.87 | 1.07 | (0.21 | ) | ||||||||||||||||||
2009 - Service | 9.16 | 0.19 | 0.86 | 1.05 | (0.19 | ) | ||||||||||||||||||
2009 - IR | 9.16 | 0.21 | 0.87 | 1.08 | (0.21 | ) | ||||||||||||||||||
2009 - R | 9.16 | 0.18 | 0.86 | 1.04 | (0.18 | ) | ||||||||||||||||||
FOR THE FISCAL YEAR ENDED MARCH 31, | ||||||||||||||||||||||||
2009 - A | 9.90 | 0.43 | (0.75 | ) | (0.32 | ) | (0.42 | ) | ||||||||||||||||
2009 - B | 9.90 | 0.36 | (0.76 | ) | (0.40 | ) | (0.35 | ) | ||||||||||||||||
2009 - C | 9.90 | 0.36 | (0.76 | ) | (0.40 | ) | (0.35 | ) | ||||||||||||||||
2009 - Institutional | 9.90 | 0.46 | (0.74 | ) | (0.28 | ) | (0.46 | ) | ||||||||||||||||
2009 - Service | 9.90 | 0.41 | (0.74 | ) | (0.33 | ) | (0.41 | ) | ||||||||||||||||
2009 - IR | 9.91 | 0.45 | (0.75 | ) | (0.30 | ) | (0.45 | ) | ||||||||||||||||
2009 - R | 9.91 | 0.40 | (0.75 | ) | (0.35 | ) | (0.40 | ) | ||||||||||||||||
FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008* | ||||||||||||||||||||||||
2008 - A | 9.99 | 0.18 | (0.05 | ) | 0.13 | (0.22 | ) | |||||||||||||||||
2008 - B | 9.99 | 0.15 | (0.05 | ) | 0.10 | (0.19 | ) | |||||||||||||||||
2008 - C | 9.99 | 0.15 | (0.05 | ) | 0.10 | (0.19 | ) | |||||||||||||||||
2008 - Institutional | 9.99 | 0.20 | (0.05 | ) | 0.15 | (0.24 | ) | |||||||||||||||||
2008 - Service | 9.99 | 0.18 | (0.05 | ) | 0.13 | (0.22 | ) | |||||||||||||||||
2008 - IR (Commenced November 30, 2007) | 10.12 | 0.15 | (0.17 | ) | (0.02 | ) | (0.19 | ) | ||||||||||||||||
2008 - R (Commenced November 30, 2007) | 10.12 | 0.14 | (0.18 | ) | (0.04 | ) | (0.17 | ) | ||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||
2007 - A (Commenced November 30, 2006) | 10.00 | 0.39 | (0.02 | ) | 0.37 | (0.38 | ) | |||||||||||||||||
2007 - B (Commenced June 20, 2007) | 9.77 | 0.14 | 0.21 | 0.35 | (0.13 | ) | ||||||||||||||||||
2007 - C (Commenced November 30, 2006) | 10.00 | 0.33 | (0.02 | ) | 0.31 | (0.32 | ) | |||||||||||||||||
2007 - Institutional (Commenced November 30, 2006) | 10.00 | 0.42 | (0.01 | ) | 0.41 | (0.42 | ) | |||||||||||||||||
2007 - Service (Commenced June 20, 2007) | 9.77 | 0.16 | 0.21 | 0.37 | (0.15 | ) | ||||||||||||||||||
* | The Fund changed its fiscal year end from October 31 to March 31. |
(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 would be reduced if a sales or redemption charge was 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. Total returns for periods less than one full year are not annualized. |
GOLDMAN SACHS CORE PLUS FIXED INCOME 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(c) | |||||||||||||||||||||||||||
$ | 10.03 | 11.74 | % | $ | 57,091 | 0.83 | %(d) | 4.04 | %(d) | 1.25 | %(d) | 3.62 | %(d) | 269 | % | |||||||||||||||||||
10.02 | 11.22 | 10,275 | 1.58 | (d) | 3.31 | (d) | 2.00 | (d) | 2.89 | (d) | 269 | |||||||||||||||||||||||
10.02 | 11.33 | 12,651 | 1.58 | (d) | 3.31 | (d) | 2.00 | (d) | 2.89 | (d) | 269 | |||||||||||||||||||||||
10.02 | 11.81 | 131,867 | 0.49 | (d) | 4.25 | (d) | 0.91 | (d) | 3.83 | (d) | 269 | |||||||||||||||||||||||
10.02 | 11.54 | 11 | 0.99 | (d) | 3.92 | (d) | 1.41 | (d) | 3.50 | (d) | 269 | |||||||||||||||||||||||
10.03 | 11.88 | 11 | 0.58 | (d) | 4.30 | (d) | 1.00 | (d) | 3.88 | (d) | 269 | |||||||||||||||||||||||
10.02 | 11.48 | 34 | 1.08 | (d) | 3.67 | (d) | 1.50 | (d) | 3.25 | (d) | 269 | |||||||||||||||||||||||
9.16 | (3.17 | ) | 45,686 | 0.75 | (e) | 4.57 | (e) | 1.33 | (e) | 3.99 | (e) | 365 | ||||||||||||||||||||||
9.15 | (4.00 | ) | 10,626 | 1.50 | (e) | 3.82 | (e) | 2.08 | (e) | 3.24 | (e) | 365 | ||||||||||||||||||||||
9.15 | (4.00 | ) | 11,040 | 1.50 | (e) | 3.82 | (e) | 2.08 | (e) | 3.24 | (e) | 365 | ||||||||||||||||||||||
9.16 | (2.84 | ) | 43,681 | 0.41 | (e) | 4.91 | (e) | 0.99 | (e) | 4.33 | (e) | 365 | ||||||||||||||||||||||
9.16 | (3.34 | ) | 10 | 0.91 | (e) | 4.38 | (e) | 1.49 | (e) | 3.80 | (e) | 365 | ||||||||||||||||||||||
9.16 | (3.02 | ) | 10 | 0.50 | (e) | 4.82 | (e) | 1.08 | (e) | 4.24 | (e) | 365 | ||||||||||||||||||||||
9.16 | (3.49 | ) | 10 | 1.00 | (e) | 4.32 | (e) | 1.58 | (e) | 3.74 | (e) | 365 | ||||||||||||||||||||||
9.90 | 1.21 | 54,330 | 0.79 | (d) | 4.37 | (d) | 1.21 | (d) | 3.95 | (d) | 96 | |||||||||||||||||||||||
9.90 | 0.99 | 13,843 | 1.54 | (d) | 3.63 | (d) | 1.96 | (d) | 3.21 | (d) | 96 | |||||||||||||||||||||||
9.90 | 0.99 | 11,727 | 1.54 | (d) | 3.63 | (d) | 1.96 | (d) | 3.21 | (d) | 96 | |||||||||||||||||||||||
9.90 | 1.45 | 51,281 | 0.45 | (d) | 4.73 | (d) | 0.87 | (d) | 4.31 | (d) | 96 | |||||||||||||||||||||||
9.90 | 1.26 | 11 | 0.95 | (d) | 4.26 | (d) | 1.37 | (d) | 3.84 | (d) | 96 | |||||||||||||||||||||||
9.91 | (0.26 | ) | 10 | 0.54 | (d) | 4.49 | (d) | 0.96 | (d) | 4.07 | (d) | 96 | ||||||||||||||||||||||
9.91 | (0.41 | ) | 10 | 1.04 | (d) | 4.00 | (d) | 1.46 | (d) | 3.58 | (d) | 96 | ||||||||||||||||||||||
9.99 | 3.93 | 53,541 | 0.83 | (d) | 4.45 | (d) | 1.51 | (d) | 3.77 | (d) | 350 | |||||||||||||||||||||||
9.99 | 3.60 | 15,077 | 1.58 | (d) | 3.86 | (d) | 2.26 | (d) | 3.18 | (d) | 350 | |||||||||||||||||||||||
9.99 | 3.13 | 11,798 | 1.58 | (d) | 3.78 | (d) | 2.26 | (d) | 3.10 | (d) | 350 | |||||||||||||||||||||||
9.99 | 4.21 | 31,155 | 0.47 | (d) | 4.62 | (d) | 1.15 | (d) | 3.94 | (d) | 350 | |||||||||||||||||||||||
9.99 | 3.83 | 10 | 0.97 | (d) | 4.42 | (d) | 1.65 | (d) | 3.74 | (d) | 350 | |||||||||||||||||||||||
(c) | The portfolio turnover rates excluding the effect of mortgage dollar rolls were as follows: |
For the Six Months | ||||||
Ended September 30, | For the Fiscal Periods Ended | |||||
2009 | 2009 | 2008 | 2007 | |||
222% | 330% | 63% | 312% |
(d) | Annualized. |
(e) | Includes a non-recurring reduction of expenses of a merged fund which amounted to 0.06% of average net assets. |
GOLDMAN SACHS GLOBAL INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
Net asset | investment operations | to shareholders | ||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||
2009 - A | $ | 12.30 | $ | 0.21 | $ | 1.06 | $ | 1.27 | $ | (1.12 | ) | $ | — | $ | (1.12 | ) | ||||||||||||||||
2009 - B | 12.25 | 0.17 | 1.05 | 1.22 | (1.07 | ) | — | (1.07 | ) | |||||||||||||||||||||||
2009 - C | 12.23 | 0.17 | 1.04 | 1.21 | (1.07 | ) | — | (1.07 | ) | |||||||||||||||||||||||
2009 - Institutional | 12.28 | 0.24 | 1.05 | 1.29 | (1.14 | ) | — | (1.14 | ) | |||||||||||||||||||||||
2009 - Service | 12.27 | 0.20 | 1.06 | 1.26 | (1.11 | ) | — | (1.11 | ) | |||||||||||||||||||||||
FOR THE FISCAL YEAR ENDED MARCH 31, | ||||||||||||||||||||||||||||||||
2009 - A | 12.91 | 0.45 | (0.60 | ) | (0.15 | ) | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||||
2009 - B | 12.87 | 0.35 | (0.60 | ) | (0.25 | ) | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||||
2009 - C | 12.84 | 0.35 | (0.59 | ) | (0.24 | ) | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||||
2009 - Institutional | 12.89 | 0.49 | (0.59 | ) | (0.10 | ) | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
2009 - Service | 12.88 | 0.43 | (0.60 | ) | (0.17 | ) | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||||
FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008* | ||||||||||||||||||||||||||||||||
2008 - A | 12.93 | 0.17 | — | 0.17 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||||||
2008 - B | 12.88 | 0.13 | 0.01 | 0.14 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
2008 - C | 12.86 | 0.13 | — | 0.13 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
2008 - Institutional | 12.91 | 0.19 | — | 0.19 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||||
2008 - Service | 12.90 | 0.16 | — | 0.16 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2007 - A | 12.74 | 0.37 | 0.20 | 0.57 | (0.34 | ) | (0.04 | ) | (0.38 | ) | ||||||||||||||||||||||
2007 - B | 12.70 | 0.27 | 0.19 | 0.46 | (0.25 | ) | (0.03 | ) | (0.28 | ) | ||||||||||||||||||||||
2007 - C | 12.67 | 0.27 | 0.20 | 0.47 | (0.25 | ) | (0.03 | ) | (0.28 | ) | ||||||||||||||||||||||
2007 - Institutional | 12.73 | 0.42 | 0.18 | 0.60 | (0.38 | ) | (0.04 | ) | (0.42 | ) | ||||||||||||||||||||||
2007 - Service | 12.71 | 0.35 | 0.20 | 0.55 | (0.32 | ) | (0.04 | ) | (0.36 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||
* | The Fund changed its fiscal year end from October 31 to March 31. |
(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 would be reduced if a sales or redemption charge was 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. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
GOLDMAN SACHS GLOBAL INCOME 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 | |||||||||||||||||||||||||||
$ | 12.45 | 10.64 | % | $ | 202,532 | 1.03 | %(c) | 3.42 | %(c) | 1.10 | %(c) | 3.35 | %(c) | 156 | % | |||||||||||||||||||
12.40 | 10.26 | 5,802 | 1.78 | (c) | 2.68 | (c) | 1.85 | (c) | 2.61 | (c) | 156 | |||||||||||||||||||||||
12.37 | 10.21 | 5,861 | 1.78 | (c) | 2.67 | (c) | 1.85 | (c) | 2.60 | (c) | 156 | |||||||||||||||||||||||
12.43 | 10.84 | 709,992 | 0.69 | (c) | 3.76 | (c) | 0.76 | (c) | 3.69 | (c) | 156 | |||||||||||||||||||||||
12.42 | 10.58 | 211 | 1.19 | (c) | 3.26 | (c) | 1.26 | (c) | 3.19 | (c) | 156 | |||||||||||||||||||||||
12.30 | (1.10 | ) | 202,926 | 1.02 | 3.61 | 1.11 | 3.52 | 168 | ||||||||||||||||||||||||||
12.25 | (1.93 | ) | 6,572 | 1.77 | 2.85 | 1.86 | 2.76 | 168 | ||||||||||||||||||||||||||
12.23 | (1.85 | ) | 4,863 | 1.77 | 2.85 | 1.86 | 2.76 | 168 | ||||||||||||||||||||||||||
12.28 | (0.76 | ) | 664,853 | 0.68 | 3.94 | 0.77 | 3.85 | 168 | ||||||||||||||||||||||||||
12.27 | (1.26 | ) | 214 | 1.18 | 3.44 | 1.27 | 3.35 | 168 | ||||||||||||||||||||||||||
12.91 | 1.33 | 311,900 | 1.01 | (c) | 3.17 | (c) | 1.07 | (c) | 3.11 | (c) | 141 | |||||||||||||||||||||||
12.87 | 1.10 | 10,479 | 1.76 | (c) | 2.42 | (c) | 1.82 | (c) | 2.36 | (c) | 141 | |||||||||||||||||||||||
12.84 | 1.02 | 6,110 | 1.76 | (c) | 2.44 | (c) | 1.82 | (c) | 2.38 | (c) | 141 | |||||||||||||||||||||||
12.89 | 1.48 | 1,077,177 | 0.67 | (c) | 3.54 | (c) | 0.73 | (c) | 3.48 | (c) | 141 | |||||||||||||||||||||||
12.88 | 1.27 | 380 | 1.17 | (c) | 3.03 | (c) | 1.23 | (c) | 2.97 | (c) | 141 | |||||||||||||||||||||||
12.93 | 4.46 | 324,537 | 1.04 | 2.92 | 1.10 | 2.86 | 116 | |||||||||||||||||||||||||||
12.88 | 3.59 | 11,127 | 1.79 | 2.13 | 1.85 | 2.07 | 116 | |||||||||||||||||||||||||||
12.86 | 3.69 | 5,282 | 1.79 | 2.13 | 1.85 | 2.07 | 116 | |||||||||||||||||||||||||||
12.91 | 4.76 | 1,089,450 | 0.68 | 3.30 | 0.74 | 3.24 | 116 | |||||||||||||||||||||||||||
12.90 | 4.31 | 376 | 1.18 | 2.75 | 1.24 | 2.69 | 116 | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Fund Expenses — Six Month Period Ended September 30, 2009 (Unaudited)
As a shareholder of Class A, Class B, Class C, Institutional, Service, Class IR or Class R Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges 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, Class C and Class R 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, Service, Class IR and Class R 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 April 1, 2009 through September 30, 2009.
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 during 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 net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, 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.
Core Fixed Income | Core Plus Fixed Income | Global Income | |||||||||||||||||||||||||||||||||||||||||||
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 | 4/01/09 | 9/30/09 | 9/30/09* | 4/01/09 | 9/30/09 | 9/30/09* | 4/01/09 | 9/30/09 | 9/30/09* | ||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,147.00 | $ | 4.41 | $ | 1,000.00 | $ | 1,117.40 | $ | 4.41 | $ | 1,000.00 | $ | 1,106.40 | $ | 5.44 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.96 | + | 4.15 | 1,000.00 | 1,020.91 | + | 4.20 | 1,000.00 | 1,019.90 | + | 5.22 | |||||||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,142.10 | 8.43 | 1,000.00 | 1,112.20 | 8.37 | 1,000.00 | 1,102.60 | 9.38 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,017.20 | + | 7.94 | 1,000.00 | 1,017.15 | + | 7.99 | 1,000.00 | 1,016.14 | + | 9.00 | |||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,142.10 | 8.43 | 1,000.00 | 1,113.30 | 8.37 | 1,000.00 | 1,102.10 | 9.38 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,017.20 | + | 7.94 | 1,000.00 | 1,017.15 | + | 7.99 | 1,000.00 | 1,016.14 | 9.00 | ||||||||||||||||||||||||||||||||||
Institutional | |||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,148.40 | 2.59 | 1,000.00 | 1,118.10 | 2.60 | 1,000.00 | 1,108.40 | 3.65 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.66 | + | 2.43 | 1,000.00 | 1,022.61 | + | 2.48 | 1,000.00 | 1,021.61 | + | 3.50 | |||||||||||||||||||||||||||||||||
Service | |||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,145.50 | 5.27 | 1,000.00 | 1,115.40 | 5.25 | 1,000.00 | 1,105.80 | 6.28 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.16 | + | 4.96 | 1,000.00 | 1,020.10 | + | 5.01 | 1,000.00 | 1,019.10 | + | 6.02 | |||||||||||||||||||||||||||||||||
Class IR | |||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,148.20 | 3.07 | 1,000.00 | 1,118.80 | 3.08 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.21 | + | 2.89 | 1,000.00 | 1,021.96 | + | 2.94 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||
Class R | |||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,145.62 | 5.75 | 1,000.00 | 1,114.80 | 5.73 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.85 | + | 5.42 | 1,000.00 | 1,019.65 | + | 5.47 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||
* | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2009. 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 | Class IR | Class R | |||||||||||||||||||||
Core Fixed Income | 0.82 | % | 1.57 | % | 1.57 | % | 0.48 | % | 0.98 | % | 0.57 | % | 1.07 | % | ||||||||||||||
Core Plus Fixed Income | 0.83 | 1.58 | 1.58 | 0.49 | 0.99 | 0.58 | 1.08 | |||||||||||||||||||||
Global Income | 1.03 | 1.78 | 1.78 | 0.69 | 1.19 | N/A | N/A | |||||||||||||||||||||
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
90
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited)
Background
The Goldman Sachs Core Fixed Income, Goldman Sachs Core Plus Fixed Income and Goldman Sachs Global Income Funds (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held during the year. In addition, the Board of Trustees determines annually whether to approve and continue the Trust’s investment management agreements (the “Management Agreements”) on behalf of Core Fixed Income and Core Plus Fixed Income Funds with Goldman Sachs Asset Management, L.P. and on behalf of Global Income Fund with Goldman Sachs Asset Management International (together with Goldman Sachs Asset Management, L.P., the “Investment Advisers”).
The Management Agreements were most recently approved for continuation until June 30, 2010 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 17, 2009 (the “Annual Contract Meeting”).
To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to reports on the Funds’ investment performance, expenses and other matters discussed at regularly scheduled Board meetings during the year, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held meetings on December 17, 2008, February 11, 2009 and May 20, 2009. At those Committee meetings, the Independent Trustees considered matters relating to the Management Agreements including:
(a) | the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Advisers and their affiliates; | |
(b) | the Funds’ investment performance; | |
(c) | the Funds’ management fee arrangements; | |
(d) | the voluntary undertakings of the Investment Advisers to reimburse certain expenses of the Funds that exceed specified levels and the estimated annualized savings realized by the Funds from those undertakings; | |
(e) | potential economies of scale and the levels of breakpoints in the fees payable by the Funds under the Management Agreements; | |
(f) | the relative expense levels of the Funds as compared to those of comparable funds managed by the Investment Advisers, as well as those managed by other advisers; | |
(g) | information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of each of the Funds and the Trust as a whole to the Investment Advisers and their affiliates; | |
(h) | the statutory and regulatory requirements applicable to the approval and continuation of mutual fund investment management agreements; | |
(i) | a summary of fee concessions made by the Investment Advisers and their affiliates over the past several years with respect to the Funds; | |
(j) | capacity issues relating to the securities in which the Funds invest; | |
(k) | to the extent the Investment Advisers manage institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative information on the advisory fees charged and services provided to those accounts by the Investment Advisers; |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
(l) | information on the processes followed by a third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Funds; | |
(m) | the current pricing of services provided by, and the profitability of, the Funds’ transfer agent, Goldman, Sachs & Co. (“Goldman Sachs”); and | |
(n) | the nature and quality of the services provided to the Funds by their unaffiliated service providers and reports on due diligence conducted by the Investment Advisers with respect to those service providers. |
At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters, including: (a) the quality of the Investment Advisers’ services; (b) the structure, staff and capabilities of the Investment Advisers and their portfolio management teams; (c) the groups or teams within the Investment Advisers that support the portfolio management teams, including legal, compliance, internal audit, the credit department, fund controllers, tax, product services, valuation oversight, market risk analysis, finance and strategy, operations, shareholder services, risk management and advisory, training and technology; (d) whether certain reductions in headcount due to the economic environment were likely to affect the quality of the services provided to the Funds; (e) the Investment Advisers’ business continuity and disaster recovery planning; (f) the Investment Advisers’ financial resources and their ability to hire and retain talented personnel; (g) the fees received by the Investment Advisers’ affiliates from the Funds for transfer agency, distribution and other services; (h) the terms of the Management Agreements and agreements with other service providers entered into by the Trust on behalf of the Funds; (i) the administrative services provided under the Management Agreements, including the nature and extent of the Investment Advisers’ oversight of the Funds’ other service providers, including the custodian and fund accounting agent; (j) portfolio trading related issues; (k) the Investment Advisers’ processes and policies addressing various types of potential conflicts of interest; (l) the Investment Advisers’ approach to risk management; (m) an overview of the Funds’ distribution plan; and (n) an annual review of the effectiveness of the Funds’ compliance program. At the Annual Contract Meeting, the Trustees also considered further the Investment Advisers’ profitability with respect to each Fund, and each Fund’s investment performance, fees and expenses, including each Fund’s expense trends over time and any breakpoints in the fee rates payable by each Fund under the Management Agreements.
In connection with the Committee meetings and the Annual Contract Meeting, the Trustees attended sessions at which they reviewed information regarding the Funds’ assets, share purchase and redemption activity, and the payment of Rule 12b-1 distribution and service fees by the Funds and the payment of non-Rule 12b-1 shareholder service and/or administration fees by the Funds’ Service Shares. Also, in conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law.
Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Advisers and their affiliates to intermediaries that promote the sale, distribution and/or servicing of Fund shares; portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined, the alignment of the interests of the Funds and of the portfolio managers and related potential conflicts of interest; the number and types of accounts managed by the portfolio managers; and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Advisers or their affiliates present.
The presentations made at the Committee meetings and at the Annual Contract Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for all of the Funds and the other mutual fund portfolios for which the Trustees have responsibility were considered at the same Annual Contract Meeting, the Trustees separately considered the Management Agreements as they applied to each Fund.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
In evaluating the Management Agreements at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Advisers, their affiliates, their services and the Funds. At those meetings the Trustees regularly received materials relating to the Investment Advisers’ investment management and other services provided under the Management Agreements, including: (a) information on the investment performance of the Funds in comparison to the performance of similar mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the Funds invest; (c) compliance reports; and (d) expenses borne by the Funds. In addition, the Trustees were provided with copies of disclosure materials regarding the Funds and their expenses, as well as information on the Funds’ competitive universe. The Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
Nature, Extent and Quality of the Services Provided Under the Management Agreements
As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Advisers. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Funds by the Investment Advisers and their affiliates. The Trustees concluded that, during the recent financial crisis, the Investment Advisers had demonstrated a willingness and an ability to commit substantial financial and other resources to the operations of the Funds and had represented that they will continue to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, valuation oversight, vendor oversight and risk management. The Independent Trustees also observed that the Investment Advisers had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Advisers, including the implementation and enhancement of compliance systems and education and training initiatives.
Investment Performance
The Independent Trustees also considered the investment performance of the Funds and the Investment Advisers. In this regard, they compared the investment performance of each Fund to the performance of other similar SEC-registered funds and to rankings and ratings compiled by the Outside Data Provider. The Independent Trustees also reviewed each Fund’s investment performance over time on a year-by-year basis relative to its performance benchmark. This information on each Fund’s investment performance was provided for the one-, three-, five- and ten-year periods ended December 31, 2008, to the extent that each Fund had been in existence for those periods. The Independent Trustees also compared the performance of the Core Fixed Income and Core Plus Fixed Income Funds to that of the Investment Adviser’s institutional composites of the performance of other accounts having similar investment objectives and policies (the investment objective and policies of Global Income Fund were not sufficiently similar to those of any of the Investment Adviser’s institutional composites). In addition, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies, market conditions, credit and duration parameters, and illiquidity in certain market sectors, as well as in light of periodic analyses of its quality and risk profile. The Independent Trustees considered whether each Fund had operated within its investment policies, and had complied with its investment limitations. The Trustees noted that the Funds’ recent performance challenges were attributable in large part to investments in certain asset classes, such as non-agency mortgage-backed securities or corporate debt issued by financial services companies, that performed poorly in 2008 due to investor aversion to risk and resulting market illiquidity, which depressed the prices of these securities. The Trustees recognized that the market events of 2008 were in many respects unprecedented, and that there was potential for the Funds to recover some of the unrealized losses on certain portfolio holdings in the future. The Trustees concluded that the Investment Advisers’ continued management likely would benefit each Fund and its shareholders.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Costs of Services Provided and Competitive Information
The Independent Trustees considered the contractual fee rates payable by each Fund under the Management Agreements. In this regard, the Trustees considered information on the services rendered by the Investment Advisers to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of the Funds’ management fees and breakpoints to those of relevant peer groups and category universes; an expense analysis which compared each Fund’s expenses to a peer group and a category universe; and a five-year history (two years in the case of Core Plus Fixed Income Fund), comparing each Fund’s expenses to the peer and category averages. The analyses also compared each Fund’s transfer agency fees, custody and accounting fees, distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and peer group median. The Independent Trustees believed that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Independent Trustees considered the Investment Advisers’ voluntary undertakings to limit the Funds’ “other expenses” ratios (excluding certain expenses) to certain specified levels. They also considered, to the extent that the Investment Advisers manage institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Advisers to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to institutional accounts, which operated under less stringent legal and regulatory structures, were in some instances subject to different investment guidelines, required fewer services from the Investment Advisers to a smaller number of client contact points, were less time-intensive and paid lower fees.
The Independent Trustees noted the competitive nature of the mutual fund marketplace, and that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Advisers and have a general expectation that the relationship will continue. They also noted that shareholders are able to redeem their Fund shares if they believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Independent Trustees reviewed the Investment Advisers’ revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Independent Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service) and the Investment Advisers’ expense allocation methodology. The Trustees also reviewed the report of the internal audit group within the Goldman Sachs organization, which included an assessment of the reasonableness and consistency of the Investment Advisers’ expense allocation methodology and an evaluation of the accuracy of the Investment Advisers’ profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2008 and 2007, and the Independent Trustees considered this information in relation to the Investment Advisers’ overall profitability. The Independent Trustees considered the Investment Advisers’ revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Economies of Scale
The Independent Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Average Daily | Core Fixed | Core Plus Fixed | Global | |||||||||
Net Assets | Income Fund | Income Fund | Income Fund | |||||||||
First $1 billion | 0.40 | % | 0.45 | % | 0.65 | % | ||||||
Next $1 billion | 0.36 | 0.41 | 0.59 | |||||||||
Next $3 billion | 0.34 | 0.39 | 0.56 | |||||||||
Next $3 billion | 0.33 | 0.38 | 0.55 | |||||||||
Over $8 billion | 0.32 | 0.37 | 0.54 | |||||||||
The Trustees noted that the breakpoints at the $5 and $8 billion asset levels had been proposed by the Investment Advisers and approved by the Trustees in 2008 to further share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. In approving these fee breakpoints, the Independent Trustees considered the Investment Advisers’ potential economies of scale in managing each Fund, and whether the Funds and their shareholders would participate in the benefits of those economies. In this regard, the Independent Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Advisers relating to the costs of the services provided by the Investment Advisers and their affiliates and their realized profits; information comparing fee rates charged by the Investment Advisers with fee rates charged to other funds in the peer group; and the Investment Advisers’ voluntary undertakings to limit other expenses to certain amounts. Upon reviewing these matters at the Annual Contract Meeting, the Independent Trustees concluded that the fee breakpoints represented a means of ensuring that benefits of scalability would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Advisers and Their Affiliates
The Independent Trustees also considered the other benefits derived by the Investment Advisers and their affiliates from their relationship with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Advisers; (d) the Investment Advisers’ ability to leverage the infrastructure designed to service the Funds on behalf of their other clients; (e) the Investment Advisers’ ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Advisers’ ability to negotiate better pricing with custodians on behalf of their other clients, as a result of the relationship with the Funds; and (h) the Investment Advisers’ ability to leverage relationships with the Funds’ third party service providers to attract more firmwide business.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Other Benefits to the Funds and Their Shareholders
The Independent Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Advisers, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Advisers; (b) improved servicing and pricing from vendors because of the volume of business generated by the Investment Advisers and their affiliates; (c) improved servicing from broker-dealers because of the volume of business generated by the Investment Advisers and their affiliates; (d) the Investment Advisers’ ability to negotiate favorably with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Advisers’ knowledge and experience gained from managing other accounts and products; (f) the Investment Advisers’ ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Advisers, to certain firmwide resources (e.g., proprietary databases); and (h) the Funds’ access to certain affiliated distribution channels.
Conclusion
In connection with their consideration of the Management Agreements, the Independent Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Independent Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Advisers, the Investment Advisers’ costs and each Fund’s current and reasonably foreseeable asset levels, and that the Management Agreements should be approved and continued with respect to each Fund until June 30, 2010.
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 $761 billion in assets under management as of June 30, 2009 — our investment professionals bring firsthand knowledge of local markets to every investment decision, Goldman Sachs Asset Management ranks in the top 10 asset management firms worldwide, based on assets under management.
GOLDMAN SACHS FUNDS
In building a globally diversified portfolio, you can select from more than 80 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations.
Money Market1 Fixed Income n Enhanced Income Fund n Ultra-Short Duration Government Fund n Short Duration Government Fund n Short Duration Tax-Free Fund n Municipal Income Fund n Government Income Fund n Inflation Protected Securities Fund n U.S. Mortgages Fund n Core Fixed Income Fund n Core Plus Fixed Income Fund n Investment Grade Credit Fund n Global Income Fund n High Yield Municipal Fund n High Yield Fund n Emerging Markets Debt Fund n Local Emerging Markets Debt Fund n Credit Strategies Fund | Fundamental Equity n Growth and Income Fund n Large Cap Value Fund n Capital Growth Fund n Strategic Growth Fund n All Cap Growth Fund n Concentrated Growth Fund n Tollkeeper FundSM n Mid Cap Value Fund n Growth Opportunities Fund n Small Cap Value Fund n Small/Mid Cap Growth Fund Structured Equity n Balanced Fund n Structured Tax-Managed Equity Fund n Structured International Tax-Managed Equity Fund n U.S. Equity Dividend and Premium Fund n International Equity Dividend and Premium Fund n Structured Small Cap Equity Fund n Structured Small Cap Value Fund n Structured Small Cap Growth Fund n Structured U.S. Equity Fund n Structured Large Cap Growth Fund n Structured Large Cap Value Fund | Fund of Funds2 n Asset Allocation Portfolios n Income Strategies Portfolio n Satellite Strategies Portfolio n Enhanced Dividend Global Equity Portfolio n Tax-Advantaged Global Equity Portfolio Retirement Strategies2 Fundamental Equity International n Structured International Equity Fund n Structured International Equity Flex Fund n Strategic International Equity Fund n Concentrated International Equity Fund n Structured International Small Cap Fund n International Small Cap Fund n Asia Equity Fund n Structured Emerging Markets Equity Fund n Emerging Markets Equity Fund n BRIC Fund (Brazil, Russia, India, China) Select Satellite2 n Real Estate Securities Fund n International Real Estate Securities Fund n Commodity Strategy Fund n Absolute Return Tracker 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 | Individual Funds within the Fund of Funds, Retirement Strategies and Select Satellite 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 Fund of Funds, Retirement Strategies or Select Satellite category. |
The Goldman Sachs Tollkeeper FundSM is a registered service mark of Goldman, Sachs & Co.
TRUSTEES Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Diana M. Daniels Patrick T. Harker James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | OFFICERS James A. McNamara, President Peter V. Bonanno, Secretary George F. Travers, Principal Financial Officer* Scott M. McHugh, Treasurer* * Effective October 16, 2009 | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser Christchurch Court, 10-15 Newgate Street London, England EC1 A7HD |
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.
A Prospectus for the Funds containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Copyright 2009 Goldman, Sachs & Co. All rights reserved. 09-28686.MF.TMPL MSFISAR09 / 38.6K / 10-09
ITEM 2. | CODE OF ETHICS. |
(a) | The information required by this Item is only required in an annual report on this Form N-CSR. | ||
(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 information required by this Item is only required in an annual report on this Form N-CSR.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
The information required by this Item is only required in an annual report on this Form N-CSR.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
The information required by this Item is only required in an annual report on this Form N-CSR. |
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
The Schedule of Investments is included as part of the Semi-Annual Report to Stockholders filed under Item 1 of this Form N-CSR. |
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 | ||||||
/s/ James A. McNamara | ||||||
By: James A. McNamara | ||||||
Chief Executive Officer of | ||||||
Goldman Sachs Trust | ||||||
Date: December 2, 2009 |
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. |
/s/ James A. McNamara | ||||||
By: James A. McNamara | ||||||
Chief Executive Officer of | ||||||
Goldman Sachs Trust | ||||||
Date: December 2, 2009 | ||||||
/s/ George F. Travers | ||||||
By: George F. Travers | ||||||
Chief Financial Officer of | ||||||
Goldman Sachs Trust | ||||||
Date: December 2, 2009 |