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. | | Geoffrey R.T. Kenyon, Esq. |
200 West Street | | Dechert LLP |
New York, New York 10282 | | 200 Clarendon Street |
| | 27th Floor Boston, MA 02116-5021 |
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(Name and address of agents for service)
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Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: August 31
Date of reporting period: February 28, 2011
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ITEM 1. | | REPORTS TO STOCKHOLDERS. |
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| | The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Funds
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Semi-Annual Report | | | February 28, 2011 |
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| | | Financial Square Funds |
| | | Federal |
| | | Government |
| | | Money Market |
| | | Prime Obligations |
| | | Tax-Exempt California |
| | | Tax-Exempt New York |
| | | Tax-Free Money Market |
| | | Treasury Instruments |
| | | Treasury Obligations |
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Goldman Sachs Financial Square Funds
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n | FEDERAL FUND |
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n | GOVERNMENT FUND |
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n | MONEY MARKET FUND |
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n | PRIME OBLIGATIONS FUND |
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n | TAX-EXEMPT CALIFORNIA FUND |
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n | TAX-EXEMPT NEW YORK FUND |
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n | TAX-FREE MONEY MARKET FUND |
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n | TREASURY INSTRUMENTS FUND |
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n | TREASURY OBLIGATIONS FUND |
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TABLE OF CONTENTS | | |
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Principal Investment Strategies and Risks | | 1 |
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Market Review | | 2 |
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Portfolio Results | | 4 |
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Yield Summary | | 7 |
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Sector Allocations | | 8 |
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Schedules of Investments | | 11 |
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Financial Statements | | 58 |
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Notes to Financial Statements | | 67 |
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Financial Highlights | | 84 |
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Other Information | | 102 |
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NOT FDIC-INSURED | | | May Lose Value | | | No Bank Guarantee |
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GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Principal Investment Strategies and Risks
Taxable Funds The Prime Obligations, Money Market, Treasury Obligations, Treasury Instruments, Federal and Government Funds seek to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments. The Prime Obligations and Money Market Funds pursue their investment objectives by investing in U.S. Government Securities (as defined in the Funds’ Prospectuses), obligations of U.S. banks, commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities and repurchase agreements. The Money Market Fund may also invest in U.S. dollar-denominated obligations of foreign banks, foreign companies and foreign governments. The Treasury Obligations Fund pursues its investment objective by investing only in securities issued or guaranteed by the U.S. Treasury and repurchase agreements relating to such securities. The Government Fund pursues its investment objective by investing, directly or indirectly, only in U.S. Government Securities and repurchase agreements relating to such securities. The Treasury Instruments and Federal Funds pursue their investment objectives by limiting their investments only to U.S. Treasury Obligations (as defined in the Funds’ Prospectuses) and U.S. Government Securities, respectively, the interest from which is generally exempt from state income taxation. You should consult your tax adviser to determine whether distributions from the Treasury Instruments and Federal Funds (and any other Fund that may hold such obligations) derived from interest on such obligations are exempt from state income taxation in your own state. In order to obtain a rating from a rating organization, the Prime Obligations, Money Market, Treasury Instruments, Treasury Obligations, Government and Federal Funds may be subject to additional investment restrictions.
Tax-Exempt Funds The Tax-Free Money Market Fund seeks to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments. The Tax-Exempt California and Tax-Exempt New York Funds seek to provide shareholders, to the extent consistent with preservation of capital and prescribed portfolio standards, with a high level of income exempt from federal income tax by investing primarily in municipal obligations. In addition, the Tax-Exempt California and Tax-Exempt New York Funds seek to provide shareholders with income exempt from California personal income tax and New York State and New York City personal income taxes, respectively, by investing in obligations the interest on which is exempt from those taxes. The Tax-Free Money Market, Tax-Exempt California and Tax-Exempt New York Funds pursue their investment objectives by investing in securities issued by or on behalf of states, territories, and possessions of the United States and their political subdivisions, agencies, authorities and instrumentalities, and the District of Columbia, the interest from which, if any, is in the opinion of bond counsel excluded from gross income for federal income tax purposes, and generally not an item of tax preference under the federal alternative minimum tax.
In order to obtain a rating from a rating organization, the Tax-Free Money Market Fund may be subject to additional investment restrictions.
An investment in a 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.
MARKET REVIEW
Goldman Sachs Financial Square Funds
Economic and Market Review
After a slowdown that raised fears of a double dip recession, the U.S. economic recovery regained momentum during the six months ended February 28, 2011 (the “Reporting Period”). Yields in the money markets remained at low levels throughout the Reporting Period.
When the Reporting Period began in September 2010, U.S. economic data was mixed. Earlier gains in U.S. industrial production and business investment had leveled out, and though activity slowed across manufacturing and services, these sectors still continued to expand. The exception to this pattern in the U.S. economy was consumer demand, which remained constrained by ongoing job losses and a persistently weak housing market. Indeed, although the economy expanded at an annualized rate of 2.6% in the third calendar quarter, neither labor market nor housing market data showed a consistently positive trend.
The Federal Reserve (the “Fed”) noted that inflation was likely to remain below levels “consistent with its mandate” for some time, thus opening the door for further quantitative easing, or asset purchases. Economic and policy conditions kept downward pressure on benchmark government yields, such that the two-year U.S. Treasury yield fell to a historic low around 0.50%. In our view, although economic growth had slowed from earlier in 2010, it continued to follow a historical pattern, whereby activity grows rapidly as the economy exits recession and then experiences a mid-cycle pause before settling into a more sustainable rate.
In the fourth calendar quarter, U.S. economic data offered little to contradict the widespread belief that the recovery was making progress. U.S. Gross Domestic Product (“GDP”) increased at an annualized rate of 2.8%. Domestic demand was generally positive, with durable goods orders springing back from a sharp dip in October and consumer spending on track for an annual growth rate of approximately 4%. Despite estimates by the Conference Board of a slight decline in consumer confidence, retail traffic was robust during the December holiday season. For the full year 2010, the U.S. Department of Commerce reported consumer spending growth of 3.5%, and the Institute for Supply Management (ISM) services and manufacturing indexes posted multi-year record gains. Although employment data did not indicate a definitive turnaround, the job market began showing signs of life, with December non-farm payrolls modestly increasing by 103,000. The unemployment rate dropped to 9.4%. According to the U.S. Department of Labor’s final report of 2010, jobless claims fell to a two-year low of 388,000 in December.
Toward the end of the fourth calendar quarter, U.S. Treasury yields reversed their declining trend, although yields at the short-term end of the curve remained low, anchored by the Fed keeping the targeted federal funds rate near zero. Further stimulus — including more quantitative easing by the Fed, formally announced in November, and extensions of tax cuts and jobless benefits in December — boosted confidence in the recovery and prompted upward revisions to economic growth forecasts by many.
The economy continued to improve in early 2011. February’s non-farm payrolls were in line with forecasts, with an increase of 192,000. The Fed’s first meeting of 2011 brought no surprises. While the Fed noted an increase in commodities prices, it reiterated that underlying inflation measures “have been trending downward.”
MARKET REVIEW
The economic recovery continued overseas as well. The Eurozone continued to beat expectations despite the economic contractions in peripheral European Union member states. Growth in many emerging market countries tended to be far more robust than that of their developed markets counterparts.
The combination of all these factors, plus the Fed’s decision to continue holding the targeted federal funds rate in a range between zero and 0.25%, kept taxable and tax-exempt money market yields low throughout the Reporting Period.
Additionally, a theme that impacted the money markets during the Reporting Period was the changing regulatory environment. Perhaps most prominent was the ongoing effort by money market funds to comply with amendments to SEC Rule 2a-7, which were designed to improve the transparency of money market funds and their stability during periods of market turmoil. These new regulations sought to increase credit quality, improve liquidity, shorten maturity limits and modify the reporting requirements of money market funds. One particularly notable change was a requirement that money market funds report their shadow net asset value (“NAV”) to the SEC on a monthly basis so such information can be released to the public after 60 days. The shadow NAV is a money market fund’s floating value based on the market value of its underlying securities. This disclosure requirement does not affect a money market fund’s ability to maintain a stable NAV of $1.00.
Looking Ahead
In our view, the global recovery is gaining pace, bouncing back from the mid-year slowdown that raised concerns about a potential double dip. While the growth economies of the developing world continue to lead the way, economic data from the U.S. and the largest Eurozone countries consistently beat expectations in the final months of the Reporting Period.
We are cautiously optimistic in our outlook for U.S. GDP growth, which we expect to accelerate to around 3.5% in 2011 overall. We anticipate stronger contributions from consumer demand and business investment, while our main areas of concern continue to be the labor market and housing sector. Although we expect housing prices to bottom in 2011, higher mortgage rates could potentially stifle demand. Thus, we believe the housing market’s contribution to 2011 U.S. economic growth should be limited. On the other hand, we believe employment is likely to be a key driver of growth in 2011, and we will be watching the labor force participation rate in particular.
We expect the Fed to maintain its near-zero targeted federal funds rate. Despite improvements in key economic indicators, we believe the Fed will likely continue its accommodative monetary policy as long as unemployment stays around 9% and inflation risks remain skewed to the downside.
PORTFOLIO RESULTS
Goldman Sachs Financial Square Funds
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Money Market Portfolio Management Team discusses the Financial Square Funds’ performance and positioning for the six-month period ended February 28, 2011 (the “Reporting Period”).
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Q | How did you manage the Financial Square Funds (the “Funds”) during the Reporting Period? |
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A | Because the targeted federal funds rate was near zero throughout the Reporting Period, money market yields were anchored near the same level with little difference between maturities. In our opinion, the reward of another basis point of yield frequently did not warrant the risk of purchasing longer-dated maturities. Instead, we focused on preservation of capital and daily liquidity. (A basis point is 1/100th of a percentage point.) |
That said, we seek to manage the Funds consistently regardless of the interest rate environment. Our investment approach has always been tri-fold: seek preservation of capital, daily liquidity and maximization of yield potential. We manage interest and credit risk daily. Whether interest rates are historically low, high or in-between, we intend to continue to use our actively managed approach to provide the best possible return within the framework of our Funds’ guidelines and objectives.
It is important to note that while one of the goals of the SEC’s money market fund rule changes is to reinforce conservative investment practices across the money market fund industry, our security selection process has long emphasized conservative investment choices. The Funds maintain an approach to investing that prioritizes the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments. As such, the spirit of the SEC’s changes aligns well with our conservative approach to money market investing.
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Q | How were the taxable Funds invested? |
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A | The taxable Funds had investments in commercial paper, asset-backed commercial paper, Treasury securities, government agency securities, repurchase agreements, government guaranteed paper and certificates of deposit during the Reporting Period. We focused on securities with one- to three-month maturities, although we did make purchases in longer-dated maturities when prices declined and we had the opportunity to lock in higher yields. |
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Q | How were the tax-exempt Funds invested? |
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A | The tax-exempt Funds had investments in variable rate demand notes (“VRDNs”), tax-exempt commercial paper, tax anticipation notes, general obligation bonds, revenue bonds and municipal put bonds during the Reporting Period. |
During the Reporting Period, the tax-exempt yield curve, or spectrum of maturities, steepened as an abundance of new issue supply and investment outflows put upward pressure on one-year interest rates. Because we expected the Fed to continue holding the target federal funds rate in a range between zero and 0.25%, we used select opportunities to invest in longer-dated maturities. We focused our investments on essential service bonds, such as water and sewer service providers, and high-quality general obligation bonds with large, diverse revenue sources.
As the tax-exempt yield curve steepened, the difference in yields between taxable and tax-exempt yields narrowed. At the end of January 2011, a one-year AAA-rated state general obligation bond traded at approximately 37 basis points (0.37%), while a one-year taxable agency bond traded at approximately 32 basis points (0.32%). This compression in yields increased the attractiveness of tax-exempt bonds to non-traditional buyers. Historically, tax-exempt bonds trade at lower absolute yields than taxable bonds.
In addition, the tax-exempt market as a whole contracted, losing 14% of its assets to investment outflows between February 2010 and February 2011. As a result of these asset losses, as well as new liquidity requirements under SEC Rule 2a-7, non-traditional investors became increasingly important buyers of tax-exempt paper during the Reporting Period.
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Q | How did you manage the taxable Funds’ weighted average maturity during the Reporting Period? |
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A | At the start of the Reporting Period, we lengthened the taxable Funds’ weighted average maturity to between 30 days and 60 days because of the increased risk of another round of quantitative easing, or asset purchases by the Fed. The weighted average maturity of a money market fund is a measure of its price sensitivity to changes in interest rates. According to the SEC’s money market fund rule changes, 60 days is the maximum limit for the weighted average maturity of a money market fund. |
PORTFOLIO RESULTS
We also shifted to a barbelled strategy in managing the Funds’ duration, wherein we began to purchase longer-dated government agency securities while at the same time maintaining a healthy portion of the Funds’ holdings in maturities of less than a week. This was advantageous as longer-term interest rates declined and short-term rates remained low following the Fed’s formal announcement in November of a second round of quantitative easing.
As economic data grew more positive near the end of 2010, we began to shorten the taxable Funds’ weighted average maturity to between 40 days and 50 days. We then maintained that targeted range through the remainder of the Reporting Period.
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Q | How did you manage the tax-exempt Funds’ weighted average maturity during the Reporting Period? |
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A | For a large part of the Reporting Period, we sought to maintain the tax-exempt Funds’ weighted average maturity near 45 days to take advantage of the upward sloping yield curve, wherein yields on longer-term maturities were higher than those on shorter-term maturities. Because we expected the Fed to continue holding the target federal funds rate in a range between zero and 0.25%, we used select opportunities to invest in longer-dated maturities. Closer to the end of the Reporting Period, the supply of high-quality, longer-dated paper was less attractively priced, and we found fewer investment options that had the potential to add value. As a result, we allowed the weighted average maturity of the tax-exempt Funds to decrease to approximately 30 days. |
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Q | How did you manage the taxable and tax-exempt Funds’ weighted average life during the Reporting Period? |
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A | During the Reporting Period, we managed the weighted average life of all the taxable and tax-exempt funds between 22 days and 91 days. The weighted average life of a money market fund is a measure of a money market fund’s price sensitivity to changes in liquidity and/or credit risk. |
Under amendments to SEC Rule 2a-7, the maximum allowable weighted average life of a money market fund is 120 days. Again, as indicated earlier, while one of the goals of the SEC’s money market fund rule changes is to reinforce conservative investment practices across the money market fund industry, our security selection process has long emphasized conservative investment choices.
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Q | Did you make any changes to the Funds’ portfolios during the Reporting Period? |
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A | As mentioned earlier, we made adjustments to the Funds’ weighted average maturity based on then-current market conditions, our near-term view, and anticipated and actual Fed monetary policy statements. |
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Q | What is the Funds’ tactical view and strategy for the months ahead? |
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A | We expect interest rates to remain low throughout 2011 with the Fed holding the targeted federal funds rate near zero and continuing its asset purchase program. Yet, a more optimistic macroeconomic picture in the U.S., positive asset trends and decreasing volatility could combine to pressure interest rates to rise absent a move by the Fed. As such, we believe duration management may become a more predominant theme in 2011. Indeed, near the end of the Reporting Period, we began shortening the Funds’ targeted weighted average maturity range by adding shorter-dated, higher yielding one-month and three-month paper. |
As always, we will continue to seek preservation of capital and daily liquidity. On an opportunistic basis, we will also seek to maximize yield potential. Flexibility is, in our opinion, more important than ever. We believe it is critical to stay nimble during periods of heightened uncertainty when it can be necessary to make timely and meaningful adjustments to the Funds’ positioning. We will continue to use our actively managed approach to seek the best possible return within the framework of our Funds’ investment guidelines and objectives. In addition, we will continue to manage interest and credit risk daily. Of course, we will continue to fully comply with the rule changes by dates required by the SEC. We will also continue to closely monitor economic data, Fed policy, and any shifts in the money market yield curve, as we strive to navigate the interest rate environment.
FUND BASICS
Financial Square Funds
as of February 28, 2011
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| | Fund Total Return (based on NAV)1
| | iMoneynet First Tier
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September 1, 2010–February 28, 2011 | | FST Shares | | Institutional Average2 | | |
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Federal | | | 0.01 | % | | | 0.02 | % | | |
Government | | | 0.04 | | | | 0.02 | | | |
Money Market | | | 0.08 | | | | 0.08 | | | |
Prime Obligations | | | 0.07 | | | | 0.08 | | | |
Tax-Exempt California | | | 0.01 | | | | 0.04 | | | |
Tax-Exempt New York | | | 0.03 | | | | 0.05 | | | |
Tax-Free Money Market | | | 0.07 | | | | 0.06 | | | |
Treasury Instruments | | | 0.01 | | | | 0.01 | | | |
Treasury Obligations | | | 0.01 | | | | 0.02 | | | |
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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. A Fund’s performance reflects the reinvestment of dividends and other distributions. A Fund’s performance does not reflect the deduction of any applicable sales charges. |
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2 | | Source: iMoneyNet, Inc. February 2011 |
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| | 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. |
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STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 | |
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| | SEC 7-Day
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| | Current
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For the period ended 12/31/10 | | Yield4 | | One Year | | Five Years | | Ten Years | | Since Inception | | Inception Date |
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Federal | | | 0.00 | % | | | 0.03 | % | | | 2.52 | % | | | 2.35 | % | | | 3.23 | % | | 2/28/97 |
Government | | | 0.05 | | | | 0.07 | | | | 2.58 | | | | 2.40 | | | | 3.61 | | | 4/6/93 |
Money Market | | | 0.15 | | | | 0.15 | | | | 2.68 | | | | 2.47 | | | | 3.73 | | | 5/18/94 |
Prime Obligations | | | 0.12 | | | | 0.12 | | | | 2.66 | | | | 2.46 | | | | 3.98 | | | 3/8/90 |
Tax-Exempt California | | | 0.01 | | | | 0.01 | | | | 1.57 | | | | 1.43 | | | | 2.53 | | | 10/4/88 |
Tax-Exempt New York | | | 0.01 | | | | 0.03 | | | | 1.61 | | | | 1.46 | | | | 2.25 | | | 2/15/91 |
Tax-Free Money Market | | | 0.11 | | | | 0.14 | | | | 1.86 | | | | 1.74 | | | | 2.44 | | | 7/19/94 |
Treasury Instruments | | | -0.01 | | | | 0.01 | | | | 2.14 | | | | 2.08 | | | | 2.94 | | | 3/3/97 |
Treasury Obligations | | | 0.01 | | | | 0.03 | | | | 2.28 | | | | 2.20 | | | | 3.76 | | | 4/25/90 |
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3 | | Standardized Total Returns are average annual total returns of FST Shares as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. |
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| | Because FST Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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| | 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. |
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4 | | The SEC 7-Day Current Yield figures are as of 2/28/11 and are calculated in accordance with securities industry regulations and do not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects a Fund’s current earnings than do the Standardized Total Return figures. |
YIELD SUMMARY
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SUMMARY OF THE FST SHARES AS OF 2/28/115 | |
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| | | | SEC 7-Day
| | SEC 7-Day
| | 30-Day
| | Weighted
| | Weighted
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| | 7-Day
| | Current
| | Effective
| | Average
| | Avg. Maturity
| | Avg. Life
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Funds | | Dist. Yield6 | | Yield7 | | Yield7 | | Yield8 | | (days)9 | | (days)10 |
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Federal | | | 0.03 | % | | | 0.00 | % | | | 0.00 | % | | | 0.02 | % | | | 46 | | | | 91 | |
Government | | | 0.05 | | | | 0.05 | | | | 0.05 | | | | 0.05 | | | | 40 | | | | 98 | |
Money Market | | | 0.16 | | | | 0.15 | | | | 0.15 | | | | 0.15 | | | | 43 | | | | 70 | |
Prime Obligations | | | 0.12 | | | | 0.12 | | | | 0.12 | | | | 0.12 | | | | 44 | | | | 79 | |
Tax-Exempt California | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 22 | | | | 22 | |
Tax-Exempt New York | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 27 | | | | 27 | |
Tax-Free Money Market | | | 0.11 | | | | 0.11 | | | | 0.11 | | | | 0.12 | | | | 29 | | | | 30 | |
Treasury Instruments | | | 0.01 | | | | -0.01 | | | | -0.01 | | | | 0.01 | | | | 43 | | | | 43 | |
Treasury Obligations | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 39 | | | | 39 | |
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5 | | Each of the Government, Treasury Obligations, Money Market, Treasury Instruments, Federal and Tax-Free Money Market Funds offers nine separate classes of shares (FST, Select, Preferred, Capital, Administration, Service, Cash Management, Premier and Resource), each of the Tax-Exempt California and Tax-Exempt New York Funds offers four separate classes of shares (FST, Administration, Service and Cash Management), and the Prime Obligations Fund offers eleven separate classes of shares (FST, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Class B and Class C), each of which is subject to different fees and expenses that affect performance and entitles shareholders to different services. The FST Shares do not have distribution (12b-1), administration or shareholder service fees. The Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Class B and Class C Shares offer financial institutions the opportunity to receive fees for providing certain distribution (12b-1), administrative support and/or shareholder services (as applicable). As an annualized percentage of average daily net assets, these share classes pay combined distribution (12b-1), administration and/or shareholder service fees (as applicable) at the following contractual rates: the Select Shares pay 0.03%, Preferred Shares pay 0.10%, Capital Shares pay 0.15%, Administration Shares (for Tax-Exempt California and Tax Exempt New York Funds) pay 0.15%, Administration Shares (for all other Funds) pay 0.25%, Service Shares (for Tax-Exempt California and Tax-Exempt New York Funds) pay 0.40%, Service Shares (for all other Funds) pay 0.50%, Cash Management Shares (for Tax-Exempt California and Tax-Exempt New York Funds) pay 1.00%, Cash Management Shares (for all other Funds) pay 0.80%, Premier Shares pay 0.35%, Resource Shares pay 0.65%, and Class B and Class C Shares each pay 1.00%. |
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| | If the above mentioned fees were reflected in the above performance, performance would have been reduced. Past performance is no guarantee of future results. Yields will vary. An investment in any of the Financial Square Funds is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. |
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| | The Yields represent past performance. Past performance does not guarantee future results Current performance may be lower or higher than the performance quoted above. |
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| | Yields will fluctuate as market conditions change. The yield quotations more closely reflect the current earnings of the Fund. Please visit www.goldmansachs.com to obtain the most recent month-end performance. |
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6 | | The 7-Day Distribution yield is the average total return over the previous seven days. It is the Fund’s total income net of expenses, divided by the total number of outstanding shares. This yield includes capital gain / loss distribution. This is not a SEC Yield. |
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7 | | The SEC 7-Day Current Yield and SEC 7-Day Effective Yield of a Fund are calculated in accordance with securities industry regulations and do not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. |
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8 | | The 30-Day Average Yield is a net, annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. |
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9 | | The money market fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7. |
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10 | | The money market fund’s weighted average life (WAL) is an average of the final maturities (or where applicable the date of demand) of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. |
SECTOR ALLOCATIONS
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As of February 28, 2011 |
Security Type
| | Prime
| | | | Treasury
| | Money
| | Treasury
| | | | |
(Percentage of Net Assets) | | Obligations | | Government | | Obligations | | Market | | Instruments | | Federal | | |
|
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Certificates of Deposit | | | 1.8 | % | | | — | | | | — | | | | 1.1 | % | | | — | | | | — | | | |
Certificates of Deposit - Eurodollar | | | — | | | | — | | | | — | | | | 6.2 | | | | — | | | | — | | | |
Certificates of Deposit - Yankeedollar | | | — | | | | — | | | | — | | | | 12.4 | | | | — | | | | — | | | |
Commercial Paper & Corporate Obligations | | | 34.7 | | | | — | | | | — | | | | 23.8 | | | | — | | | | — | | | |
Master Demand Notes | | | 3.4 | | | | — | | | | — | | | | 1.5 | | | | — | | | | — | | | |
Municipal Debt Obligations | | | 1.3 | | | | — | | | | — | | | | 1.1 | | | | — | | | | — | | | |
Repurchase Agreements | | | 21.1 | | | | 58.2 | % | | | 80.2 | % | | | 27.1 | | | | — | | | | — | | | |
Time Deposits | | | 1.4 | | | | — | | | | — | | | | 1.7 | | | | — | | | | — | | | |
U.S. Government Agency Obligations | | | 21.7 | | | | 34.0 | | | | — | | | | 11.4 | | | | — | | | | 75.4 | % | | |
U.S. Government Guarantee Note | | | — | | | | 0.1 | | | | — | | | | — | | | | — | | | | — | | | |
U.S. Government Guarantee Variable Rate Obligations | | | 0.4 | | | | 6.8 | | | | — | | | | — | | | | — | | | | — | | | |
U.S. Treasury Obligations | | | 0.4 | | | | 0.9 | | | | 19.7 | | | | 0.3 | | | | 99.9 | % | | | 24.6 | | | |
Variable Rate Municipal Debt Obligations | | | 10.7 | | | | — | | | | — | | | | 5.3 | | | | — | | | | — | | | |
Variable Rate Obligations | | | 3.1 | | | | — | | | | — | | | | 8.1 | | | | — | | | | — | | | |
|
SECTOR ALLOCATIONS
| |
TAXABLE FUNDS continued 11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
As of August 31, 2010 |
Security Type
| | Prime
| | | | Treasury
| | Money
| | Treasury
| | | | |
(Percentage of Net Assets) | | Obligations | | Government | | Obligations | | Market | | Instruments | | Federal | | |
|
|
Certificates of Deposit | | | 1.4 | % | | | — | | | | — | | | | 1.2 | % | | | — | | | | — | | | |
Certificates of Deposit - Eurodollar | | | — | | | | — | | | | — | | | | 5.4 | | | | — | | | | — | | | |
Certificates of Deposit - Yankeedollar | | | — | | | | — | | | | — | | | | 7.7 | | | | — | | | | — | | | |
Commercial Paper & Corporate Obligations | | | 35.5 | | | | — | | | | — | | | | 24.0 | | | | — | | | | — | | | |
Master Demand Notes | | | 2.5 | | | | — | | | | — | | | | 0.6 | | | | — | | | | — | | | |
Municipal Debt Obligations | | | 0.7 | | | | — | | | | — | | | | 0.7 | | | | — | | | | — | | | |
Repurchase Agreements | | | 31.8 | | | | 63.7 | % | | | 74.2 | % | | | 32.7 | | | | — | | | | — | | | |
Time Deposits | | | — | | | | — | | | | — | | | | 0.8 | | | | — | | | | — | | | |
U.S. Government Agency Obligations | | | 20.0 | | | | 32.6 | | | | — | | | | 14.9 | | | | — | | | | 53.0 | % | | |
U.S. Government Guarantee Variable Rate Obligations | | | 0.4 | | | | 3.2 | | | | — | | | | — | | | | — | | | | — | | | |
U.S. Treasury Obligations | | | 1.1 | | | | 0.5 | | | | 25.7 | | | | 1.1 | | | | 100.0 | % | | | 48.2 | | | |
Variable Rate Municipal Debt Obligations | | | 5.2 | | | | — | | | | — | | | | 1.9 | | | | — | | | | — | | | |
Variable Rate Obligations | | | 1.4 | | | | — | | | | — | | | | 9.0 | | | | — | | | | — | | | |
|
| | |
11 | | The Funds are actively managed and, as such, their composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
SECTOR ALLOCATIONS
| | | | | | | | | | | | | | |
As of February 28, 2011 |
Security Type
| | Tax-Exempt
| | Tax-Exempt
| | Tax-Free
| | |
(Percentage of Net Assets) | | California | | New York | | Money Market | | |
|
|
Commercial Paper | | | 7.6 | % | | | 5.6 | % | | | 7.7 | % | | |
General Obligation Bonds | | | 0.4 | | | | 2.1 | | | | 0.8 | | | |
Pre-Refunded Bonds | | | — | | | | — | | | | 0.3 | | | |
Put Bonds | | | 0.8 | | | | 0.4 | | | | 0.5 | | | |
Revenue Anticipation Notes | | | 1.2 | | | | 1.2 | | | | 1.1 | | | |
Revenue Bonds | | | — | | | | 9.7 | | | | 1.3 | | | |
Tax and Revenue Anticipation Notes | | | 8.2 | | | | — | | | | 7.7 | | | |
Tax Anticipation Notes | | | — | | | | — | | | | 1.0 | | | |
Variable Rate Obligations | | | 80.6 | | | | 80.8 | | | | 77.9 | | | |
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
As of August 31, 2010 |
Security Type
| | Tax-Exempt
| | Tax-Exempt
| | Tax-Free
| | |
(Percentage of Net Assets) | | California | | New York | | Money Market | | |
|
|
Commercial Paper | | | 11.7 | % | | | 2.3 | % | | | 8.8 | % | | |
General Obligation Bonds | | | — | | | | — | | | | 0.9 | | | |
Put Bonds | | | 1.1 | | | | 5.8 | | | | 0.6 | | | |
Revenue Anticipation Notes | | | 1.2 | | | | 1.1 | | | | 1.2 | | | |
Revenue Bonds | | | — | | | | 5.4 | | | | 0.3 | | | |
Tax and Revenue Anticipation Notes | | | 10.6 | | | | — | | | | 6.0 | | | |
Tax Anticipation Notes | | | — | | | | 2.8 | | | | 2.0 | | | |
Variable Rate Obligations | | | 75.3 | | | | 82.4 | | | | 80.1 | | | |
|
| | |
12 | | The Funds are actively managed and, as such, their composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
FINANCIAL SQUARE FEDERAL FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
U.S. Government Agency Obligations – 75.4% |
Federal Farm Credit Bank |
$ | 100,000,000 | | | | 3.000 | % | | | 03/03/11 | | | $ | 100,015,533 | |
| 55,000,000 | | | | 0.480 | | | | 04/01/11 | | | | 55,013,940 | |
| 198,700,000 | | | | 0.362 | (a) | | | 06/03/11 | | | | 198,686,670 | |
| 150,000,000 | | | | 0.357 | (a) | | | 09/15/11 | | | | 149,958,283 | |
| 50,500,000 | | | | 0.280 | | | | 10/03/11 | | | | 50,492,867 | |
| 91,000,000 | | | | 0.233 | (a) | | | 10/26/11 | | | | 91,000,000 | |
| 52,000,000 | | | | 0.240 | (a) | | | 11/02/11 | | | | 51,999,463 | |
| 65,000,000 | | | | 0.204 | (a) | | | 11/17/11 | | | | 64,985,991 | |
| 91,385,000 | | | | 0.189 | (a) | | | 12/14/11 | | | | 91,344,846 | |
| 79,000,000 | | | | 0.257 | (a) | | | 01/13/12 | | | | 78,980,861 | |
| 200,000,000 | | | | 0.253 | (a) | | | 02/03/12 | | | | 200,000,000 | |
| 50,000,000 | | | | 0.182 | (a) | | | 02/07/12 | | | | 49,986,251 | |
| 50,000,000 | | | | 0.243 | (a) | | | 03/21/12 | | | | 49,994,646 | |
| 300,000,000 | | | | 0.238 | (a) | | | 04/04/12 | | | | 299,916,657 | |
| 125,000,000 | | | | 0.252 | (a) | | | 05/22/12 | | | | 124,984,414 | |
| 24,000,000 | | | | 0.330 | (a) | | | 11/01/12 | | | | 24,000,000 | |
| 38,200,000 | | | | 0.332 | (a) | | | 12/14/12 | | | | 38,200,000 | |
| 100,000,000 | | | | 0.332 | (a) | | | 01/03/13 | | | | 100,000,000 | |
| 75,000,000 | | | | 0.260 | (a) | | | 02/07/13 | | | | 74,926,828 | |
Federal Home Loan Bank |
| 787,181,000 | | | | 0.070 | | | | 03/01/11 | | | | 787,181,000 | |
| 499,570,000 | | | | 0.160 | | | | 03/01/11 | | | | 499,570,000 | |
| 166,700,000 | | | | 0.100 | | | | 03/03/11 | | | | 166,699,074 | |
| 1,777,397,000 | | | | 0.160 | | | | 03/04/11 | | | | 1,777,373,301 | |
| 217,002,000 | | | | 0.120 | | | | 03/08/11 | | | | 216,996,937 | |
| 34,500,000 | | | | 0.115 | | | | 03/11/11 | | | | 34,498,898 | |
| 799,000,000 | | | | 0.110 | | | | 03/16/11 | | | | 798,963,379 | |
| 16,500,000 | | | | 0.170 | | | | 03/18/11 | | | | 16,498,675 | |
| 66,750,000 | | | | 0.180 | | | | 03/25/11 | | | | 66,741,990 | |
| 187,000,000 | | | | 0.180 | | | | 04/01/11 | | | | 186,971,015 | |
| 467,000,000 | | | | 0.165 | | | | 04/06/11 | | | | 466,922,945 | |
| 609,000,000 | | | | 0.140 | | | | 04/13/11 | | | | 608,898,162 | |
| 131,575,000 | | | | 0.175 | | | | 04/15/11 | | | | 131,546,218 | |
| 120,000,000 | | | | 0.180 | | | | 04/15/11 | | | | 119,973,000 | |
| 61,772,000 | | | | 0.175 | | | | 04/20/11 | | | | 61,756,986 | |
| 37,000,000 | | | | 0.180 | | | | 04/20/11 | | | | 36,990,750 | |
| 25,000,000 | | | | 0.202 | | | | 04/20/11 | | | | 24,999,932 | |
| 486,800,000 | | | | 0.175 | | | | 04/25/11 | | | | 486,669,848 | |
| 88,000,000 | | | | 0.178 | | | | 04/25/11 | | | | 87,976,069 | |
| 133,500,000 | | | | 0.192 | (a) | | | 05/13/11 | | | | 133,486,431 | |
| 123,300,000 | | | | 0.212 | (a) | | | 05/25/11 | | | | 123,291,378 | |
| 150,000,000 | | | | 0.580 | | | | 06/03/11 | | | | 150,000,000 | |
| 180,805,000 | | | | 0.580 | | | | 06/10/11 | | | | 180,816,519 | |
| 191,000,000 | | | | 0.164 | (a) | | | 07/11/11 | | | | 190,957,429 | |
| 200,000,000 | | | | 0.163 | (a) | | | 07/15/11 | | | | 199,962,239 | |
| 125,000,000 | | | | 0.440 | | | | 07/19/11 | | | | 124,987,649 | |
| 143,000,000 | | | | 0.760 | | | | 07/19/11 | | | | 143,127,906 | |
| 450,000,000 | | | | 0.192 | (a) | | | 08/10/11 | | | | 449,919,356 | |
| 50,000,000 | | | | 0.190 | | | | 08/18/11 | | | | 49,992,674 | |
| 41,000,000 | | | | 0.330 | | | | 09/15/11 | | | | 40,994,662 | |
| 97,000,000 | | | | 0.320 | | | | 12/06/11 | | | | 96,974,362 | |
| 194,000,000 | | | | 0.320 | | | | 12/09/11 | | | | 193,948,175 | |
| 97,000,000 | | | | 0.350 | | | | 12/13/11 | | | | 96,973,453 | |
| 48,200,000 | | | | 0.350 | | | | 12/19/11 | | | | 48,178,739 | |
| 41,000,000 | | | | 0.350 | | | | 12/23/11 | | | | 40,983,341 | |
| 50,000,000 | | | | 0.470 | | | | 12/28/11 | | | | 50,000,000 | |
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 10,786,309,742 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Treasury Obligations – 24.6% |
United States Treasury Bills |
$ | 64,400,000 | | | | 0.060 | % | | | 03/03/11 | | | $ | 64,399,785 | |
| 467,000,000 | | | | 0.065 | | | | 03/03/11 | | | | 466,998,314 | |
| 300,000,000 | | | | 0.100 | | | | 03/10/11 | | | | 299,992,500 | |
| 690,000,000 | | | | 0.105 | | | | 03/10/11 | | | | 689,981,887 | |
| 187,100,000 | | | | 0.105 | | | | 03/17/11 | | | | 187,091,269 | |
| 1,014,000,000 | | | | 0.125 | | | | 04/15/11 | | | | 1,013,841,563 | |
| 31,000,000 | | | | 0.130 | | | | 04/15/11 | | | | 30,994,963 | |
United States Treasury Notes |
| 277,300,000 | | | | 0.875 | | | | 04/30/11 | | | | 277,635,283 | |
| 34,000,000 | | | | 4.875 | | | | 04/30/11 | | | | 34,266,391 | |
| 13,000,000 | | | | 1.000 | | | | 07/31/11 | | | | 13,032,201 | |
| 30,000,000 | | | | 4.875 | | | | 07/31/11 | | | | 30,558,937 | |
| 89,000,000 | | | | 1.000 | | | | 08/31/11 | | | | 89,304,920 | |
| 150,000,000 | | | | 1.000 | | | | 09/30/11 | | | | 150,620,668 | |
| 150,000,000 | | | | 1.000 | | | | 10/31/11 | | | | 150,711,233 | |
| 13,800,000 | | | | 0.750 | | | | 11/30/11 | | | | 13,845,987 | |
|
|
TOTAL U.S. TREASURY OBLIGATIONS | | $ | 3,513,275,901 | |
|
|
TOTAL INVESTMENTS – 100.0% | | $ | 14,299,585,643 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | | | 4,927,564 | |
|
|
NET ASSETS – 100.0% | | $ | 14,304,513,207 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
(a) | | Variable or floating rate security. Interest rate disclosed is that which is in effect at February 28, 2011. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
The accompanying notes are an integral part of these financial statements. 11
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
U.S. Government Guarantee Note* – 0.1% |
JPMorgan Chase & Co. |
$ | 50,000,000 | | | | 3.125 | % | | | 12/01/11 | | | $ | 51,032,795 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Government Guarantee Variable Rate Obligations*(a) – 6.8% |
Bank of America Corp. |
$ | 5,000,000 | | | | 1.120 | % | | | 12/02/11 | | | $ | 5,033,284 | |
| 201,250,000 | | | | 0.604 | | | | 04/30/12 | | | | 202,073,828 | |
| 26,700,000 | | | | 0.503 | | | | 06/22/12 | | | | 26,789,209 | |
| 51,500,000 | | | | 0.683 | | | | 06/22/12 | | | | 51,794,814 | |
Citibank N.A. |
| 6,950,000 | | | | 0.453 | | | | 03/30/11 | | | | 6,951,207 | |
| 19,380,000 | | | | 0.289 | | | | 07/12/11 | | | | 19,384,095 | |
Citigroup Funding, Inc. |
| 196,295,000 | | | | 0.231 | | | | 05/05/11 | | | | 196,285,704 | |
| 376,865,000 | | | | 0.253 | | | | 06/03/11 | | | | 376,876,401 | |
General Electric Capital Corp. |
| 12,500,000 | | | | 0.382 | | | | 03/11/11 | | | | 12,500,458 | |
| 104,250,000 | | | | 1.232 | | | | 12/09/11 | | | | 105,051,700 | |
JPMorgan Chase & Co. |
| 507,275,000 | | | | 0.433 | | | | 04/01/11 | | | | 507,366,936 | |
| 74,000,000 | | | | 0.532 | | | | 06/15/12 | | | | 74,272,059 | |
| 100,000,000 | | | | 0.683 | | | | 06/22/12 | | | | 100,572,454 | |
Morgan Stanley & Co. |
| 16,650,000 | | | | 0.878 | | | | 03/04/11 | | | | 16,650,894 | |
| 422,900,000 | | | | 0.653 | | | | 09/22/11 | | | | 423,869,896 | |
| 4,900,000 | | | | 1.146 | | | | 12/01/11 | | | | 4,933,618 | |
Wells Fargo & Co. |
| 282,480,000 | | | | 1.152 | | | | 12/09/11 | | | | 284,488,314 | |
| 6,000,000 | | | | 0.522 | | | | 06/15/12 | | | | 6,021,279 | |
|
|
TOTAL U.S. GOVERNMENT GUARANTEE VARIABLE RATE OBLIGATIONS | | $ | 2,420,916,150 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Government Agency Obligations – 34.0% |
Federal Farm Credit Bank(a) |
$ | 148,000,000 | | | | 0.186 | % | | | 07/15/11 | | | $ | 147,972,389 | |
| 142,000,000 | | | | 0.357 | | | | 09/15/11 | | | | 142,025,258 | |
| 135,650,000 | | | | 0.240 | | | | 11/02/11 | | | | 135,648,600 | |
| 155,000,000 | | | | 0.204 | | | | 11/17/11 | | | | 154,966,593 | |
| 141,000,000 | | | | 0.213 | | | | 12/08/11 | | | | 140,983,631 | |
| 150,000,000 | | | | 0.211 | | | | 12/09/11 | | | | 149,982,549 | |
| 247,000,000 | | | | 0.189 | | | | 12/14/11 | | | | 246,932,341 | |
| 247,000,000 | | | | 0.214 | | | | 01/12/12 | | | | 246,957,096 | |
| 166,100,000 | | | | 0.257 | | | | 01/13/12 | | | | 166,059,761 | |
| 49,800,000 | | | | 0.330 | | | | 11/01/12 | | | | 49,800,000 | |
| 97,500,000 | | | | 0.332 | | | | 12/14/12 | | | | 97,500,000 | |
| 175,000,000 | | | | 0.260 | | | | 02/07/13 | | | | 174,829,265 | |
Federal Home Loan Bank |
| 337,000,000 | | | | 0.192 | (a) | | | 05/13/11 | | | | 336,965,748 | |
| 224,700,000 | | | | 0.540 | | | | 05/24/11 | | | | 224,700,000 | |
| 303,000,000 | | | | 0.760 | | | | 07/19/11 | | | | 303,271,017 | |
| 288,500,000 | | | | 0.173 | (a) | | | 07/26/11 | | | | 288,441,252 | |
| 154,200,000 | | | | 0.200 | | | | 08/03/11 | | | | 154,186,003 | |
| 73,000,000 | | | | 0.190 | | | | 08/18/11 | | | | 72,989,304 | |
| 380,000,000 | | | | 0.700 | | | | 09/02/11 | | | | 380,670,029 | |
| 84,000,000 | | | | 0.330 | | | | 09/15/11 | | | | 83,989,064 | |
| 65,000,000 | | | | 0.300 | | | | 09/30/11 | | | | 64,998,542 | |
| 190,000,000 | | | | 0.260 | | | | 11/17/11 | | | | 189,912,931 | |
| 419,100,000 | | | | 0.260 | | | | 11/22/11 | | | | 418,966,116 | |
| 162,500,000 | | | | 0.320 | | | | 12/06/11 | | | | 162,457,050 | |
| 325,500,000 | | | | 0.320 | | | | 12/09/11 | | | | 325,413,047 | |
| 163,000,000 | | | | 0.350 | | | | 12/13/11 | | | | 162,955,390 | |
| 80,500,000 | | | | 0.350 | | | | 12/19/11 | | | | 80,464,492 | |
| 207,000,000 | | | | 0.350 | | | | 12/23/11 | | | | 206,915,892 | |
| 150,000,000 | | | | 0.470 | | | | 12/28/11 | | | | 150,000,000 | |
| 144,000,000 | | | | 0.202 | (a) | | | 02/13/12 | | | | 143,971,067 | |
Federal Home Loan Mortgage Corp. |
| 30,336,000 | | | | 0.372 | (a) | | | 03/09/11 | | | | 30,336,943 | |
| 208,543,000 | | | | 0.363 | (a) | | | 04/01/11 | | | | 208,566,411 | |
| 18,500,000 | | | | 0.353 | (a) | | | 04/07/11 | | | | 18,502,108 | |
| 40,600,000 | | | | 0.221 | (a) | | | 05/04/11 | | | | 40,598,423 | |
| 552,139,000 | | | | 0.241 | (a) | | | 08/05/11 | | | | 552,119,707 | |
| 131,000,000 | | | | 0.290 | | | | 09/13/11 | | | | 130,793,166 | |
| 700,000,000 | | | | 0.184 | (a) | | | 01/11/12 | | | | 699,697,592 | |
| 490,000,000 | | | | 0.183 | (a) | | | 01/20/12 | | | | 489,823,617 | |
Federal National Mortgage Association |
| 1,000,000,000 | | | | 0.520 | | | | 05/02/11 | | | | 999,104,444 | |
| 4,050,000 | | | | 0.192 | (a) | | | 05/13/11 | | | | 4,049,596 | |
| 828,000,000 | | | | 0.500 | | | | 06/01/11 | | | | 826,942,000 | |
| 505,000,000 | | | | 0.430 | | | | 07/05/11 | | | | 504,239,975 | |
| 400,000,000 | | | | 0.430 | | | | 07/07/11 | | | | 399,388,444 | |
| 690,000,000 | | | | 0.320 | | | | 08/01/11 | | | | 689,061,600 | |
| 86,085,000 | | | | 3.625 | | | | 08/15/11 | | | | 87,420,513 | |
| 598,000,000 | | | | 0.264 | (a) | | | 12/20/12 | | | | 597,781,981 | |
| 330,000,000 | | | | 0.291 | (a) | | | 12/28/12 | | | | 329,877,748 | |
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 12,213,228,695 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Treasury Obligations – 0.9% |
United States Treasury Notes |
$ | 176,000,000 | | | | 1.000 | % | | | 08/31/11 | | | $ | 176,602,987 | |
| 125,000,000 | | | | 1.000 | | | | 10/31/11 | | | | 125,600,132 | |
| 23,200,000 | | | | 0.750 | | | | 11/30/11 | | | | 23,276,148 | |
|
|
TOTAL U.S. TREASURY OBLIGATIONS | | $ | 325,479,267 | |
|
|
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 15,010,656,907 | |
|
|
12 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE GOVERNMENT FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
| | | | | | | | | | | | | | |
Repurchase Agreements-Unaffiliated Issuers(b) – 54.6% |
Barclays Capital, Inc. |
$ | 75,000,000 | | | | 0.170 | % | | | 03/01/11 | | | $ | 75,000,000 | |
Maturity Value: $75,000,354 |
Collateralized by Government National Mortgage Association, 3.500% to 7.000%, due 11/20/25 to 07/20/40. The aggregate market value of the collateral, including accrued interest, was $76,500,000. |
| 250,000,000 | | | | 0.180 | | | | 03/01/11 | | | | 250,000,000 | |
Maturity Value: $250,001,250 |
Collateralized by U.S. Treasury Notes, 2.000% to 4.875%, due 06/30/12 to 11/30/13. The aggregate market value of the collateral, including accrued interest, was $255,000,054. |
BNP Paribas Securities Co. |
| 430,000,000 | | | | 0.220 | | | | 06/07/11 | | | | 430,000,000 | |
Maturity Value: $430,473,000 |
Settlement Date: 12/09/10 |
Collateralized by Federal Home Loan Mortgage Corp., 3.500% to 6.500%, due 11/01/14 to 02/01/41 and Federal National Mortgage Association, 3.500% to 6.500%, due 06/01/13 to 01/01/41. The aggregate market value of the collateral, including accrued interest, was $438,599,998. |
Deutsche Bank Securities, Inc. |
| 150,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 150,000,000 | |
Maturity Value: $150,000,833 |
Collateralized by Federal National Mortgage Association, 4.000% to 5.000%, due 06/01/38 to 01/01/41. The aggregate market value of the collateral, including accrued interest, was $154,500,000. |
ING Financial Markets LLC |
| 1,500,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 1,500,000,000 | |
Maturity Value: $1,500,008,333 |
Collateralized by Federal Home Loan Mortgage Corp., 3.500% to 7.000%, due 01/01/14 to 01/01/41 and Federal National Mortgage Association, 4.500% to 6.500%, due 01/01/20 to 05/01/40. The aggregate market value of the collateral, including accrued interest, was $1,530,000,065. |
Joint Repurchase Agreement Account I |
| 208,700,000 | | | | 0.176 | | | | 03/01/11 | | | | 208,700,000 | |
Maturity Value: $208,701,020 |
Joint Repurchase Agreement Account II |
| 14,770,000,000 | | | | 0.195 | | | | 03/01/11 | | | | 14,770,000,000 | |
Maturity Value: $14,770,080,004 |
Merrill Lynch & Co., Inc. |
| 400,000,000 | | | | 0.150 | | | | 03/01/11 | | | | 400,000,000 | |
Maturity Value: $400,001,667 |
Collateralized by U.S. Treasury Notes, 0.625% to 2.125%, due 02/28/13 to 02/29/16. The aggregate market value of the collateral, including accrued interest, was $408,000,018. |
| 250,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 250,000,000 | |
Maturity Value: $250,001,389 |
Collateralized by Federal National Mortgage Association, 4.000% to 6.500%, due 07/01/38 to 12/01/40. The aggregate market value of the collateral, including accrued interest, was $257,500,001. |
Societe Generale |
| 1,500,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 1,500,000,000 | |
Maturity Value: $1,500,008,333 |
Collateralized by Federal Home Loan Mortgage Corp., 4.500% to 5.000%, due 04/01/40 to 02/01/41 and Federal National Mortgage Association, 4.000% to 5.000%, due 05/01/30 to 01/01/41. The aggregate market value of the collateral, including accrued interest, was $1,544,999,999. |
UBS Securities LLC |
| 47,800,000 | | | | 0.160 | | | | 03/01/11 | | | | 47,800,000 | |
Maturity Value: $47,800,212 |
Collateralized by U.S. Treasury Bill, 0.000%, due 03/24/11. The market value of the collateral, including accrued interest, was $48,756,012. |
|
TOTAL REPURCHASE AGREEMENTS-UNAFFILIATED ISSUERS | | $ | 19,581,500,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Repurchase Agreements-Affiliated Issuers(b) – 3.6% |
Goldman, Sachs & Co. |
$ | 50,000,000 | | | | 0.190 | % | | | 03/01/11 | | | $ | 50,000,000 | |
Maturity Value: $50,000,264 |
Collateralized by Federal National Mortgage Association, 5.000% to 5.500%, due 01/01/21 to 02/01/41. The aggregate market value of the collateral, including accrued interest, was $51,000,000. |
| 150,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 150,000,000 | |
Maturity Value: $150,000,833 |
Collateralized by Government National Mortgage Association, 3.500% to 6.500%, due 12/15/36 to 02/20/41. The aggregate market value of the collateral, including accrued interest, was $153,000,000. |
| 1,100,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 1,100,000,000 | |
Maturity Value: $1,100,179,667 |
Settlement Date: 02/01/11 |
Collateralized by Federal Home Loan Mortgage Corp., 3.500% to 6.500%, due 03/01/19 to 02/01/41 and Federal National Mortgage Association, 3.000% to 6.500%, due 11/01/20 to 02/01/41. The aggregate market value of the collateral, including accrued interest, was $1,121,999,998. |
|
TOTAL REPURCHASE AGREEMENTS-AFFILIATED ISSUERS | | $ | 1,300,000,000 | |
|
|
TOTAL INVESTMENTS – 100.0% | | $ | 35,892,156,907 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | | | 3,301,643 | |
|
|
NET ASSETS – 100.0% | | $ | 35,895,458,550 | |
|
|
The accompanying notes are an integral part of these financial statements. 13
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
* | | 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. |
|
(a) | | Variable or floating rate security. Interest rate disclosed is that which is in effect at February 28, 2011. |
|
(b) | | Unless noted, all repurchase agreements were entered into on February 28, 2011. Additional information on Joint Repurchase Agreement Accounts I & II appears on pages 55-57. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based on current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
14 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Commercial Paper and Corporate Obligations – 23.8% |
Amsterdam Funding Corp. |
$ | 50,000,000 | | | | 0.400 | % | | | 04/26/11 | | | $ | 49,968,889 | |
| 42,374,000 | | | | 0.300 | | | | 06/02/11 | | | | 42,341,160 | |
Argento Variable Funding Co. LLC |
| 50,000,000 | | | | 0.480 | | | | 04/04/11 | | | | 49,977,333 | |
| 50,000,000 | | | | 0.480 | | | | 04/05/11 | | | | 49,976,667 | |
Aspen Funding Corp. |
| 75,000,000 | | | | 0.310 | | | | 04/11/11 | | | | 74,973,521 | |
Atlantic Asset Securitization LLC |
| 60,826,000 | | | | 0.300 | | | | 04/11/11 | | | | 60,805,218 | |
Atlantis One Funding Corp. |
| 150,000,000 | | | | 0.270 | | | | 03/07/11 | | | | 149,993,250 | |
| 99,000,000 | | | | 0.300 | | | | 04/25/11 | | | | 98,954,625 | |
Barclays Bank PLC |
| 123,000,000 | | | | 0.320 | | | | 05/23/11 | | | | 122,909,253 | |
BPCE SA |
| 173,000,000 | | | | 0.400 | | | | 04/26/11 | | | | 172,892,355 | |
| 205,000,000 | | | | 0.400 | | | | 05/12/11 | | | | 204,836,000 | |
Chariot Funding LLC |
| 23,000,000 | | | | 0.300 | | | | 03/21/11 | | | | 22,996,167 | |
Govco LLC |
| 75,000,000 | | | | 0.320 | | | | 03/29/11 | | | | 74,981,333 | |
| 75,000,000 | | | | 0.300 | | | | 04/25/11 | | | | 74,965,625 | |
| 100,000,000 | | | | 0.300 | | | | 04/27/11 | | | | 99,952,500 | |
| 100,000,000 | | | | 0.290 | | | | 05/23/11 | | | | 99,933,139 | |
Grampian Funding LLC |
| 50,000,000 | | | | 0.480 | | | | 04/05/11 | | | | 49,976,667 | |
| 100,000,000 | | | | 0.365 | | | | 05/24/11 | | | | 99,914,833 | |
Hannover Funding Co. LLC |
| 50,000,000 | | | | 0.700 | | | | 04/21/11 | | | | 49,950,417 | |
| 150,000,000 | | | | 0.700 | | | | 05/02/11 | | | | 149,819,167 | |
| 50,000,000 | | | | 0.700 | | | | 05/02/11 | | | | 49,939,722 | |
| 100,000,000 | | | | 0.480 | | | | 05/16/11 | | | | 99,898,667 | |
Jupiter Securitization Co. LLC |
| 20,000,000 | | | | 0.270 | | | | 03/21/11 | | | | 19,997,000 | |
| 23,000,000 | | | | 0.300 | | | | 03/21/11 | | | | 22,996,167 | |
Kells Funding LLC |
| 250,000,000 | | | | 0.370 | | | | 06/02/11 | | | | 249,761,042 | |
| 148,000,000 | | | | 0.350 | | | | 06/08/11 | | | | 147,857,550 | |
LMA Americas LLC |
| 118,700,000 | | | | 0.260 | | | | 03/16/11 | | | | 118,687,141 | |
| 40,000,000 | | | | 0.260 | | | | 03/18/11 | | | | 39,995,089 | |
Matchpoint Master Trust |
| 77,720,000 | | | | 0.260 | | | | 03/16/11 | | | | 77,711,580 | |
| 60,000,000 | | | | 0.350 | | | | 05/10/11 | | | | 59,959,167 | |
Mizuho Funding LLC |
| 200,000,000 | | | | 0.305 | | | | 04/04/11 | | | | 199,942,389 | |
NRW.Bank |
| 149,000,000 | | | | 0.300 | | | | 04/07/11 | | | | 148,954,058 | |
| 398,000,000 | | | | 0.350 | | | | 05/09/11 | | | | 397,733,008 | |
Royal Park Investments SA |
| 70,000,000 | | | | 0.520 | | | | 03/02/11 | | | | 69,998,989 | |
| 26,000,000 | | | | 0.500 | | | | 03/10/11 | | | | 25,996,750 | |
| 50,000,000 | | | | 0.500 | | | | 03/11/11 | | | | 49,993,056 | |
| 65,000,000 | | | | 0.500 | | | | 03/16/11 | | | | 64,986,458 | |
| 100,000,000 | | | | 0.500 | | | | 03/24/11 | | | | 99,968,055 | |
Standard Chartered PLC |
| 150,000,000 | | | | 0.300 | | | | 04/06/11 | | | | 149,955,000 | |
| 250,000,000 | | | | 0.300 | | | | 04/12/11 | | | | 249,912,500 | |
Straight-A Funding LLC |
| 100,000,000 | | | | 0.250 | | | | 03/03/11 | | | | 99,998,611 | |
Tasman Funding, Inc. |
| 55,000,000 | | | | 0.330 | | | | 04/18/11 | | | | 54,975,800 | |
| 70,066,000 | | | | 0.330 | | | | 05/09/11 | | | | 70,021,683 | |
| 40,000,000 | | | | 0.340 | | | | 05/23/11 | | | | 39,968,644 | |
Ticonderoga Funding LLC |
| 72,155,000 | | | | 0.280 | | | | 04/19/11 | | | | 72,127,501 | |
Westpac Banking Corp. |
| 80,000,000 | | | | 0.300 | | | | 04/05/11 | | | | 79,976,667 | |
Windmill Funding Corp. |
| 50,000,000 | | | | 0.400 | | | | 04/25/11 | | | | 49,969,444 | |
|
|
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | | $ | 4,611,399,857 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Certificate of Deposit – 1.1% |
State Street Bank and Trust |
$ | 209,000,000 | | | | 1.000 | % | | | 03/01/11 | | | $ | 209,000,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Certificates of Deposit-Eurodollar – 6.2% |
Credit Agricole SA |
$ | 200,000,000 | | | | 0.410 | % | | | 04/18/11 | | | $ | 200,001,331 | |
Credit Industriel et Commercial SA |
| 350,000,000 | | | | 0.405 | | | | 05/16/11 | | | | 350,003,691 | |
ING Bank NV |
| 348,000,000 | | | | 0.350 | | | | 05/02/11 | | | | 348,000,000 | |
Societe Generale |
| 300,000,000 | | | | 0.510 | | | | 07/12/11 | | | | 300,011,055 | |
|
|
TOTAL CERTIFICATES OF DEPOSIT-EURODOLLAR | | $ | 1,198,016,077 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Certificates of Deposit-Yankeedollar – 12.4% |
BNP Paribas |
$ | 100,000,000 | | | | 0.530 | % | | | 06/10/11 | | | $ | 100,000,000 | |
Cooperatieve Centrale Raiffeisen – Boerenleenbank BA |
| 190,000,000 | | | | 0.400 | | | | 10/18/11 | | | | 190,000,000 | |
Credit Agricole SA |
| 235,000,000 | | | | 0.405 | | | | 05/04/11 | | | | 235,022,798 | |
Deutsche Bank AG |
| 398,000,000 | | | | 0.310 | | | | 03/14/11 | | | | 398,001,437 | |
| 200,000,000 | | | | 0.300 | | | | 04/04/11 | | | | 200,000,000 | |
Lloyds TSB Bank PLC |
| 199,000,000 | | | | 0.445 | | | | 07/05/11 | | | | 199,000,000 | |
Mitsubishi UFJ Financial Group, Inc. |
| 100,000,000 | | | | 0.350 | | | | 04/08/11 | | | | 100,000,000 | |
| 100,000,000 | | | | 0.345 | | | | 04/29/11 | | | | 100,000,000 | |
| 100,000,000 | | | | 0.340 | | | | 05/11/11 | | | | 100,000,000 | |
The accompanying notes are an integral part of these financial statements. 15
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Certificates of Deposit-Yankeedollar – (continued) |
| | | | | | | | | | | | | | |
Norinchukin Bank |
$ | 350,000,000 | | | | 0.350 | % | | | 05/11/11 | | | $ | 350,000,000 | |
| 100,000,000 | | | | 0.350 | | | | 05/13/11 | | | | 100,000,000 | |
Royal Bank of Scotland Group PLC |
| 148,000,000 | | | | 0.480 | | | | 04/11/11 | | | | 148,000,000 | |
Societe Generale |
| 183,500,000 | | | | 0.410 | | | | 04/08/11 | | | | 183,501,933 | |
|
|
TOTAL CERTIFICATES OF DEPOSIT-YANKEEDOLLAR | | $ | 2,403,526,168 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Master Demand Note – 1.5% |
Bank of America Securities LLC |
$ | 300,000,000 | | | | 0.300 | % | | | 04/11/11 | | | $ | 300,000,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Municipal Debt Obligations – 1.1% |
Texas State TRANS Series 2010 |
$ | 216,250,000 | | | | 2.000 | % | | | 08/31/11 | | | $ | 218,009,260 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Time Deposits – 1.7% |
Citibank N.A. |
$ | 133,400,000 | | | | 0.170 | % | | | 03/01/11 | | | $ | 133,400,000 | |
Natixis SA |
| 191,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 191,000,000 | |
|
|
TOTAL TIME DEPOSITS | | $ | 324,400,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Government Agency Obligations – 11.4% |
Federal Farm Credit Bank(a) |
$ | 33,000,000 | | | | 0.223 | % | | | 01/27/12 | | | $ | 32,988,583 | |
| 29,500,000 | | | | 0.330 | | | | 11/01/12 | | | | 29,500,000 | |
| 56,000,000 | | | | 0.332 | | | | 12/14/12 | | | | 56,000,000 | |
Federal Home Loan Bank |
| 130,000,000 | | | | 0.192 | (a) | | | 05/13/11 | | | | 129,986,787 | |
| 122,300,000 | | | | 0.212 | (a) | | | 05/25/11 | | | | 122,291,448 | |
| 96,500,000 | | | | 0.164 | (a) | | | 07/11/11 | | | | 96,478,492 | |
| 85,000,000 | | | | 0.300 | | | | 10/21/11 | | | | 85,000,000 | |
| 13,590,000 | | | | 0.300 | | | | 11/08/11 | | | | 13,589,531 | |
| 100,000,000 | | | | 0.470 | | | | 12/28/11 | | | | 100,000,000 | |
| 54,000,000 | | | | 0.227 | (a) | | | 01/26/12 | | | | 53,985,082 | |
| 109,000,000 | | | | 0.174 | (a) | | | 01/30/12 | | | | 108,963,877 | |
| 150,000,000 | | | | 0.181 | (a) | | | 02/03/12 | | | | 149,956,467 | |
| 159,000,000 | | | | 0.202 | (a) | | | 02/13/12 | | | | 158,968,053 | |
Federal Home Loan Mortgage Corp.(a) |
| 2,728,000 | | | | 0.372 | | | | 03/09/11 | | | | 2,728,083 | |
| 11,333,000 | | | | 0.363 | | | | 04/01/11 | | | | 11,334,196 | |
| 261,800,000 | | | | 0.353 | | | | 04/07/11 | | | | 261,805,255 | |
| 10,200,000 | | | | 0.221 | | | | 05/04/11 | | | | 10,199,615 | |
| 69,700,000 | | | | 0.241 | | | | 08/05/11 | | | | 69,694,006 | |
| 200,000,000 | | | | 0.184 | | | | 01/11/12 | | | | 199,913,598 | |
Federal National Mortgage Association |
| 1,500,000 | | | | 0.192 | (a) | | | 05/13/11 | | | | 1,499,850 | |
| 150,000,000 | | | | 0.430 | | | | 07/05/11 | | | | 149,774,250 | |
| 155,000,000 | | | | 0.430 | | | | 07/07/11 | | | | 154,763,022 | |
| 200,000,000 | | | | 0.320 | | | | 08/01/11 | | | | 199,728,000 | |
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 2,199,148,195 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Treasury Obligations – 0.3% |
United States Treasury Notes |
$ | 10,000,000 | | | | 1.000 | % | | | 07/31/11 | | | $ | 10,024,770 | |
| 29,000,000 | | | | 4.875 | | | | 07/31/11 | | | | 29,540,306 | |
| 8,750,000 | | | | 0.750 | | | | 11/30/11 | | | | 8,779,092 | |
|
|
TOTAL U.S. TREASURY OBLIGATIONS | | $ | 48,344,168 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Variable Rate Municipal Debt Obligations(a) – 5.3% |
Alaska State Housing Finance Corp. VRDN RB Governmental Purpose Series 2001 A RMKT |
$ | 23,000,000 | | | | 0.210 | % | | | 12/01/30 | | | $ | 23,000,000 | |
Alaska State Housing Finance Corp. VRDN RB Governmental Purpose Series 2001 B RMKT |
| 20,000,000 | | | | 0.210 | | | | 12/01/30 | | | | 20,000,000 | |
California State Department of Water Resources Power Supply VRDN RB Series 2002 C-11 (Bank of America N.A. and California State Teachers Retirement System) |
| 25,000,000 | | | | 0.220 | | | | 05/01/22 | | | | 25,000,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2003 A |
| 25,000,000 | | | | 0.240 | | | | 10/01/13 | | | | 25,000,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2003 B |
| 14,000,000 | | | | 0.240 | | | | 08/15/25 | | | | 14,000,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2009 C-3 |
| 23,200,000 | | | | 0.240 | | | | 04/01/45 | | | | 23,200,000 | |
Charlotte-Mecklenburg Hospital Authority Health Care Systems VRDN RB Refunding for Carolinas Healthcare Series 2007 C RMKT (JPMorgan Chase & Co. SPA) |
| 25,000,000 | | | | 0.280 | | | | 01/15/37 | | | | 25,000,000 | |
Colorado Educational & Cultural Facilities Authority VRDN RB Taxable-Nature Conservancy Series 2008 A (Bank of America N.A. SPA) |
| 15,252,000 | | | | 0.350 | | | | 07/01/33 | | | | 15,252,000 | |
Connecticut State Housing Finance Authority Mortgage Finance Program VRDN RB Taxable Series 2010 Subseries A-6 (Bank of America N.A. SPA) |
| 24,860,000 | | | | 0.370 | | | | 11/15/39 | | | | 24,860,000 | |
Eastern Municipal Water District California Water & Sewer VRDN COPS Series 2008 B (Wells Fargo Bank N.A. SPA) |
| 10,000,000 | | | | 0.200 | | | | 07/01/35 | | | | 10,000,000 | |
Harris County Health Facilities Development Corp. VRDN RB Refunding for St. Luke’s Episcopal Hospital Series 2008 B (Bank of America N.A. and Wachovia Bank N.A. SPA) |
| 40,000,000 | | | | 0.260 | | | | 02/15/47 | | | | 40,000,000 | |
16 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Variable Rate Municipal Debt Obligations(a) – (continued) |
| | | | | | | | | | | | | | |
Illinois Finance Authority VRDN RB for Northwestern Memorial Hospital Series 2007 A-1 (UBS AG SPA) |
$ | 25,000,000 | | | | 0.230 | % | | | 08/15/42 | | | $ | 25,000,000 | |
Kansas State DOT Highway VRDN RB Series 2004 C-4 (JPMorgan Chase & Co. SPA) |
| 26,550,000 | | | | 0.180 | | | | 09/01/24 | | | | 26,550,000 | |
Los Angeles Department of Water & Power VRDN RB Series 2002 A1 (National Australia Bank, Lloyds TSB Bank PLC and Fortis Bank SPA) |
| 20,000,000 | | | | 0.210 | | | | 07/01/35 | | | | 20,000,000 | |
Maryland State Economic Development Corp. VRDN RB Refunding for Howard Hughes Medical Center Series 2008 B |
| 32,000,000 | | | | 0.240 | | | | 05/15/43 | | | | 32,000,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Amherst College Series 2005 J-1 |
| 21,745,000 | | | | 0.220 | | | | 11/01/35 | | | | 21,745,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare Series 1997 P-1 RMKT (JPMorgan Chase & Co. SPA) |
| 32,000,000 | | | | 0.230 | | | | 07/01/27 | | | | 32,000,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare System Series 2003 D-3 (JPMorgan Chase & Co. SPA) |
| 13,420,000 | | | | 0.230 | | | | 07/01/38 | | | | 13,420,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare System Series 2009 I-2 (U.S. Bank N.A. SPA) |
| 19,000,000 | | | | 0.240 | | | | 07/01/44 | | | | 19,000,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare System, Inc. Series 1997-P2-RMKT (JPMorgan Chase & Co. SPA) |
| 52,500,000 | | | | 0.210 | | | | 07/01/27 | | | | 52,500,000 | |
Metropolitan Government Nashville & Davidson County Health & Education Facilities Board VRDN RB for Vanderbilt University Series 2005 A-2 |
| 28,400,000 | | | | 0.190 | | | | 10/01/44 | | | | 28,400,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2010 E |
| 13,000,000 | | | | 0.210 | | | | 12/01/30 | | | | 13,000,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Series 2010 A |
| 18,000,000 | | | | 0.200 | | | | 12/01/30 | | | | 18,000,000 | |
Mississippi State GO VRDN for Nissan Project Series 2003 C RMKT (Bank of America N.A. SPA) |
| 16,150,000 | | | | 0.230 | | | | 11/01/23 | | | | 16,150,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for SSM Health Care System Series 2005 D-4 RMKT (JPMorgan Chase & Co. SPA) |
| 30,000,000 | | | | 0.270 | | | | 06/01/33 | | | | 30,000,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB Refunding for Sisters of Mercy Health System Series 2008 C (Bank of America N.A. SPA) |
| 15,080,000 | | | | 0.280 | | | | 06/01/19 | | | | 15,080,000 | |
New York City GO VRDN Fiscal Series 2008 Subseries J-9 (Bank of Nova Scotia SPA) |
| 38,000,000 | | | | 0.220 | | | | 08/01/27 | | | | 38,000,000 | |
New York City GO VRDN Series 2004 Subseries H-8 (Westdeutsche Landesbank AG LOC) |
| 29,980,000 | | | | 0.250 | | | | 03/01/34 | | | | 29,980,000 | |
New York City GO VRDN Series 2007 Subseries D-3 (Calyon Bank NA SPA) |
| 14,000,000 | | | | 0.220 | | | | 12/01/32 | | | | 14,000,000 | |
New York City GO VRDN Taxable Fiscal Series 2008 Subseries J-13 (Lloyds TSB Bank PLC SPA) |
| 18,300,000 | | | | 0.370 | | | | 08/01/19 | | | | 18,300,000 | |
New York City Municipal Finance Authority Water & Sewer Systems VRDN RB Second General Fiscal Series 2007 BB-4 (Fortis Bank SA SPA) |
| 19,000,000 | | | | 0.220 | | | | 06/15/33 | | | | 19,000,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 2010 Subseries F-5 (Sumitomo Mitsui Banking Corp. LOC) |
| 7,000,000 | | | | 0.220 | | | | 02/01/35 | | | | 7,000,000 | |
New York City Transitional Finance Authority VRDN RB Taxable Future Tax Secured Series 2001 B (Westdeutsche Landesbank AG) |
| 41,470,000 | | | | 0.420 | | | | 05/01/30 | | | | 41,470,000 | |
North Carolina State GO VRDN for Public Improvement Series 2002 G (Landesbank Hessen-Thueringen SPA) |
| 37,130,000 | | | | 0.210 | | | | 05/01/21 | | | | 37,130,000 | |
North Carolina State University Raleigh VRDN RB General Series 2008 A (Bank of America N.A. SPA) |
| 20,000,000 | | | | 0.250 | | | | 10/01/28 | | | | 20,000,000 | |
Pennsylvania State Turnpike Commission VRDN RB Multi-Modal Series 2008 C (Bank of America N.A. LOC) |
| 15,000,000 | | | | 0.260 | | | | 06/01/38 | | | | 15,000,000 | |
Pennsylvania State University VRDN RB Series 2002 A (Westdeutsche Landesbank AG SPA) |
| 14,000,000 | | | | 0.240 | | | | 03/01/32 | | | | 14,000,000 | |
Raleigh Comb Enterprise System VRDN RB Series 2008 A (Wachovia Bank N.A. SPA) |
| 77,295,000 | | | | 0.220 | | | | 03/01/35 | | | | 77,295,000 | |
Raleigh Comb Enterprise System VRDN RB Series 2008 B (Wachovia Bank N.A. SPA) |
| 13,000,000 | | | | 0.220 | | | | 03/01/35 | | | | 13,000,000 | |
Rochester Health Care Facilities VRDN RB Mayo Foundation Series 2002 B RMKT (Bank of America N.A. SPA) |
| 20,000,000 | | | | 0.250 | | | | 08/15/32 | | | | 20,000,000 | |
San Diego County Regional Transportation Commission Sales Tax VRDN RB Limited Tax Series 2008 A (JPMorgan Chase & Co. SPA) |
| 20,000,000 | | | | 0.240 | | | | 04/01/38 | | | | 20,000,000 | |
Texas State GO VRDN Refunding Taxable Veterans Series 2002 (Landesbank Hessen-Thueringen SPA) |
| 27,085,000 | | | | 0.300 | | | | 12/01/21 | | | | 27,085,000 | |
Texas State GO VRDN Refunding Taxable Veterans Series 2010 B (Sumitomo Mitsui Banking Corp. SPA) |
| 13,220,000 | | | | 0.270 | | | | 12/01/31 | | | | 13,220,000 | |
|
|
TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS | | $ | 1,032,637,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Variable Rate Obligations(a) – 8.1% |
JPMorgan Chase & Co. |
$ | 280,000,000 | | | | 0.302 | % | | | 03/21/12 | | | $ | 280,000,000 | |
Lloyds TSB Bank PLC |
| 198,000,000 | | | | 0.411 | | | | 11/07/11 | | | | 198,000,000 | |
National Australia Bank Ltd. |
| 100,000,000 | | | | 0.293 | | | | 04/06/11 | | | | 100,001,022 | |
Rabobank Nederland |
| 198,000,000 | | | | 2.053 | | | | 04/07/11 | | | | 198,006,393 | |
| 98,000,000 | | | | 0.454 | | | | 12/16/11 | | | | 98,000,000 | |
Royal Bank of Scotland Group PLC |
| 200,000,000 | | | | 0.465 | | | | 08/16/11 | | | | 200,000,000 | |
| 150,000,000 | | | | 0.513 | | | | 08/23/11 | | | | 150,000,000 | |
The accompanying notes are an integral part of these financial statements. 17
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Variable Rate Obligations(a) – (continued) |
| | | | | | | | | | | | | | |
Westpac Banking Corp. |
$ | 49,000,000 | | | | 0.373 | % | | | 10/18/11 | | | $ | 49,000,000 | |
Westpac Securities New Zealand Ltd. |
| 300,000,000 | | | | 0.390 | | | | 11/04/11 | | | | 300,000,000 | |
|
|
TOTAL VARIABLE RATE OBLIGATIONS | | $ | 1,573,007,415 | |
|
|
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 14,117,488,140 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Repurchase Agreements-Unaffiliated Issuers(b) – 25.5% |
Bank of America Securities LLC |
$ | 100,000,000 | | | | 0.200 | % | | | 03/01/11 | | | $ | 100,000,000 | |
Maturity Value: $100,000,556 |
Collateralized by Federal National Mortgage Association, 3.500% to 5.000%, due 03/01/26 to 12/01/39. The aggregate market value of the collateral, including accrued interest, was $103,000,001. |
Barclays Capital, Inc. |
| 100,000,000 | | | | 0.170 | | | | 03/01/11 | | | | 100,000,000 | |
Maturity Value: $100,000,472 |
Collateralized by Government National Mortgage Association, 3.500% to 6.500%, due 04/20/25 to 09/20/40. The aggregate market value of the collateral, including accrued interest, was $102,000,001. |
| 200,000,000 | | | | 0.530 | | | | 03/01/11 | | | | 200,000,000 | |
Maturity Value: $200,002,944 |
Collateralized by various corporate security issuers, 0.750% to 8.500%, due 02/28/11 to 09/15/41. The aggregate market value of the collateral, including accrued interest, was $220,000,001. |
BNP Paribas Securities Co. |
| 396,000,000 | | | | 0.300 | | | | 03/01/11 | | | | 396,000,000 | |
Maturity Value: $396,003,300 |
Collateralized by various corporate security issuers, 0.913% to 8.375%, due 07/15/11 to 08/15/40 and various government security issuers, 5.875% to 7.350%, due 02/17/14 to 07/21/25. The aggregate market value of the collateral, including accrued interest, was $415,799,998. |
| 100,000,000 | | | | 0.450 | | | | 03/01/11 | | | | 100,000,000 | |
Maturity Value: $100,001,250 |
Collateralized by various corporate issuers, 0.502% to 9.500%, due 03/15/11 to 01/15/24 and various mortgage-backed obligations, 0.482% to 5.997%, due 10/01/21 to 06/25/47. The aggregate market value of the collateral, including accrued interest, was $109,582,617. |
BNP Paribas Securities LLC |
| 250,000,000 | | | | 0.220 | | | | 06/07/11 | | | | 250,000,000 | |
Maturity Value: $250,275,000 |
Settlement Date: 12/09/10 |
Collateralized by Federal Home Loan Mortgage Corp., 3.000% to 7.500%, due 12/01/13 to 08/01/47 and Federal National Mortgage Association, 3.500% to 7.480%, due 11/01/13 to 09/01/47. The aggregate market value of the collateral, including accrued interest, was $254,999,996. |
Deutsche Bank Securities, Inc. |
| 100,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 100,000,000 | |
Maturity Value: $100,000,556 |
Collateralized by Federal Home Loan Mortgage Corp., 4.500%, due 01/01/19 and U.S. Treasury Note, 2.125%, due 05/31/15. The aggregate market value of the collateral, including accrued interest, was $102,763,916. |
| 196,000,000 | | | | 0.530 | | | | 03/01/11 | | | | 196,000,000 | |
Maturity Value: $196,002,886 |
Collateralized by various corporate security issuers, 2.250% to 8.500%, due 02/28/11 to 12/01/27. The aggregate market value of the collateral, including accrued interest, was $215,599,999. |
Joint Repurchase Agreement Account I |
| 199,600,000 | | | | 0.176 | | | | 03/01/11 | | | | 199,600,000 | |
Maturity Value: $199,600,976 |
Joint Repurchase Agreement Account II |
| 2,040,000,000 | | | | 0.195 | | | | 03/01/11 | | | | 2,040,000,000 | |
Maturity Value: $2,040,011,050 |
Societe Generale |
| 500,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 500,000,000 | |
Maturity Value: $500,002,778 |
Collateralized by Federal Home Loan Mortgage Corp., 4.000% to 6.000%, due 08/15/25 to 07/15/35, Federal National Mortgage Association, 0.681% to 14.096%, due 01/25/24 to 11/25/39 and Government National Mortgage Association, 0.563% to 5.675%, due 07/20/21 to 03/16/43. The aggregate market value of the collateral, including accrued interest, was $525,000,002. |
UBS Securities LLC |
| 75,000,000 | | | | 0.160 | | | | 03/01/11 | | | | 75,000,000 | |
Maturity Value: $75,000,333 |
Collateralized by U.S. Treasury Note, 0.000% to 0.625%, due 03/24/11 to 06/30/12. The aggregate market value of the collateral, including accrued interest, was $76,500,058. |
Wells Fargo Securities LLC |
| 350,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 350,000,000 | |
Maturity Value: $350,002,042 |
Collateralized by Federal Home Loan Mortgage Corp., 0.000% to 6.334%, due 09/15/18 to 07/15/39, Federal National Mortgage Association, 0.000% to 13.020%, due 06/25/20 to 03/25/41 and Government National Mortgage Association, 0.000% to 6.337%, due 09/16/24 to 02/20/61. The aggregate market value of the collateral, including accrued interest, was $360,182,194. |
| 325,000,000 | | | | 0.380 | | | | 03/01/11 | | | | 325,000,000 | |
Maturity Value: $325,003,431 |
Collateralized by various corporate security issuers, 0.000% to 11.375%, due 03/28/11 to 03/19/38, a government security issuer, 5.500%, due 09/18/33 and various mortgage-backed obligations, 0.000% to 5.623, due 07/06/11 to 07/12/46. The aggregate market value of the collateral, including accrued interest was $339,856,321. |
|
TOTAL REPURCHASE AGREEMENTS-UNAFFILIATED ISSUERS | | $ | 4,931,600,000 | |
|
|
18 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
| | | | | | | | | | | | | | |
Repurchase Agreements-Affiliated Issuers(b) – 1.6% |
Goldman, Sachs & Co. |
$ | 75,000,000 | | | | 0.190 | % | | | 03/01/11 | | | $ | 75,000,000 | |
Maturity Value: $75,000,396 |
Collateralized by Federal Home Loan Mortgage Corp., 4.000% to 4.500%, due 07/01/22 to 11/01/40 and Federal National Mortgage Association, 4.000%, due 09/01/19. The aggregate market value of the collateral, including accrued interest, was $76,500,000. |
| 50,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 50,000,000 | |
Maturity Value: $50,000,278 |
Collateralized by Federal Home Loan Mortgage Corp., 4.500%, due 06/01/21 to 04/01/24 and Federal National Mortgage Association, 5.000%, due 02/01/41. The aggregate market value of the collateral, including accrued interest, was $51,000,000. |
| 190,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 190,000,000 | |
Maturity Value: $190,031,033 |
Collateralized by Government National Mortgage Association, 4.000% to 6.000%, due 10/15/38 to 12/20/40. The aggregate market value of the collateral, including accrued interest, was $193,799,999. |
|
TOTAL REPURCHASE AGREEMENTS-AFFILIATED ISSUERS | | $ | 315,000,000 | |
|
|
TOTAL INVESTMENTS – 100.0% | | $ | 19,364,088,140 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | | | 5,394,619 | |
|
|
NET ASSETS – 100.0% | | $ | 19,369,482,759 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
(a) | | Variable or floating rate security. Interest rate disclosed is that which is in effect at February 28, 2011. |
|
(b) | | Unless noted, all repurchase agreements were entered into on February 28, 2011. Additional information on Joint Repurchase Agreement Account I & II appears on pages 55-57. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
| | | | |
|
|
Investment Abbreviations: |
COPS | | — | | Certificates of Participation |
GO | | — | | General Obligation |
LOC | | — | | Letter of Credit |
RB | | — | | Revenue Bond |
RMKT | | — | | Remarketed |
SPA | | — | | Stand-by Purchase Agreement |
TRANS | | — | | Tax Revenue Anticipation Notes |
VRDN | | — | | Variable Rate Demand Notes |
|
|
The accompanying notes are an integral part of these financial statements. 19
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Certificate of Deposit – 1.8% |
State Street Bank and Trust |
$ | 385,000,000 | | | | 1.000 | % | | | 03/01/11 | | | $ | 385,000,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Commercial Paper and Corporate Obligations – 34.7% |
Amsterdam Funding Corp. |
$ | 50,000,000 | | | | 0.400 | % | | | 04/25/11 | | | $ | 49,969,444 | |
Argento Variable Funding Co. LLC |
| 40,000,000 | | | | 0.480 | | | | 04/04/11 | | | | 39,981,867 | |
| 75,000,000 | | | | 0.480 | | | | 04/05/11 | | | | 74,965,000 | |
| 300,000,000 | | | | 0.370 | | | | 06/06/11 | | | | 299,700,917 | |
Aspen Funding Corp. |
| 48,000,000 | | | | 0.330 | | | | 04/08/11 | | | | 47,983,280 | |
Atlantic Asset Securitization LLC |
| 85,000,000 | | | | 0.250 | | | | 03/15/11 | | | | 84,991,736 | |
| 70,000,000 | | | | 0.300 | | | | 04/06/11 | | | | 69,979,000 | |
Atlantis One Funding Corp. |
| 50,000,000 | | | | 0.300 | | | | 04/25/11 | | | | 49,977,083 | |
Barton Capital LLC |
| 48,000,000 | | | | 0.250 | | | | 04/07/11 | | | | 47,987,667 | |
Cafco LLC |
| 55,000,000 | | | | 0.290 | | | | 04/06/11 | | | | 54,984,050 | |
| 50,000,000 | | | | 0.290 | | | | 04/07/11 | | | | 49,985,097 | |
Chariot Funding LLC |
| 500,000,000 | | | | 0.250 | | | | 03/14/11 | | | | 499,954,861 | |
Charta LLC |
| 98,000,000 | | | | 0.300 | | | | 04/20/11 | | | | 97,959,167 | |
| 100,000,000 | | | | 0.300 | | | | 04/25/11 | | | | 99,954,167 | |
Ciesco LLC |
| 50,000,000 | | | | 0.290 | | | | 04/06/11 | | | | 49,985,500 | |
| 100,000,000 | | | | 0.300 | | | | 04/11/11 | | | | 99,965,833 | |
CRC Funding LLC |
| 98,000,000 | | | | 0.290 | | | | 04/06/11 | | | | 97,971,580 | |
| 50,000,000 | | | | 0.290 | | | | 04/07/11 | | | | 49,985,097 | |
| 97,000,000 | | | | 0.300 | | | | 04/18/11 | | | | 96,961,200 | |
| 100,000,000 | | | | 0.300 | | | | 04/25/11 | | | | 99,954,167 | |
Falcon Asset Securitization Corp. |
| 150,000,000 | | | | 0.270 | | | | 03/21/11 | | | | 149,977,500 | |
| 50,000,000 | | | | 0.300 | | | | 03/21/11 | | | | 49,991,667 | |
Gemini Securitization Corp. |
| 75,000,000 | | | | 0.250 | | | | 03/18/11 | | | | 74,991,146 | |
| 75,000,000 | | | | 0.300 | | | | 05/10/11 | | | | 74,956,250 | |
| 50,000,000 | | | | 0.300 | | | | 05/17/11 | | | | 49,967,917 | |
Govco LLC |
| 75,000,000 | | | | 0.320 | | | | 03/29/11 | | | | 74,981,333 | |
| 100,000,000 | | | | 0.290 | | | | 04/06/11 | | | | 99,971,000 | |
| 100,000,000 | | | | 0.300 | | | | 04/11/11 | | | | 99,965,833 | |
| 100,000,000 | | | | 0.300 | | | | 04/20/11 | | | | 99,958,333 | |
| 100,000,000 | | | | 0.300 | | | | 04/25/11 | | | | 99,954,167 | |
| 75,000,000 | | | | 0.300 | | | | 04/25/11 | | | | 74,965,625 | |
| 100,000,000 | | | | 0.290 | | | | 04/26/11 | | | | 99,954,889 | |
Grampian Funding LLC |
| 195,000,000 | | | | 0.480 | | | | 04/04/11 | | | | 194,911,600 | |
| 100,000,000 | | | | 0.480 | | | | 04/05/11 | | | | 99,953,333 | |
| 250,000,000 | | | | 0.330 | | | | 04/11/11 | | | | 249,906,042 | |
Hannover Funding Co. LLC |
| 223,000,000 | | | | 0.470 | | | | 04/06/11 | | | | 222,895,190 | |
| 100,000,000 | | | | 0.470 | | | | 04/06/11 | | | | 99,953,000 | |
| 74,000,000 | | | | 0.700 | | | | 04/21/11 | | | | 73,926,617 | |
Jupiter Securitization Co. LLC |
| 500,000,000 | | | | 0.250 | | | | 03/14/11 | | | | 499,954,861 | |
| 35,000,000 | | | | 0.270 | | | | 03/21/11 | | | | 34,994,750 | |
| 50,000,000 | | | | 0.300 | | | | 03/21/11 | | | | 49,991,667 | |
Kells Funding LLC |
| 300,000,000 | | | | 0.370 | | | | 06/01/11 | | | | 299,716,333 | |
LMA Americas LLC |
| 54,400,000 | | | | 0.250 | | | | 03/04/11 | | | | 54,398,867 | |
| 251,800,000 | | | | 0.260 | | | | 03/11/11 | | | | 251,781,814 | |
Matchpoint Master Trust |
| 198,000,000 | | | | 0.260 | | | | 03/17/11 | | | | 197,977,120 | |
| 75,000,000 | | | | 0.350 | | | | 05/10/11 | | | | 74,948,958 | |
| 150,000,000 | | | | 0.300 | | | | 05/16/11 | | | | 149,905,000 | |
Newport Funding Corp. |
| 100,092,000 | | | | 0.310 | | | | 04/11/11 | | | | 100,056,662 | |
| 50,044,000 | | | | 0.330 | | | | 04/14/11 | | | | 50,023,816 | |
Royal Park Investments SA |
| 148,000,000 | | | | 0.520 | | | | 03/02/11 | | | | 147,997,862 | |
| 100,000,000 | | | | 0.500 | | | | 03/11/11 | | | | 99,986,111 | |
Straight-A Funding LLC |
| 165,635,000 | | | | 0.250 | | | | 03/02/11 | | | | 165,633,850 | |
Tasman Funding, Inc. |
| 85,320,000 | | | | 0.320 | | | | 04/07/11 | | | | 85,291,939 | |
| 80,000,000 | | | | 0.330 | | | | 04/18/11 | | | | 79,964,800 | |
| 100,000,000 | | | | 0.330 | | | | 04/27/11 | | | | 99,947,750 | |
Thames Asset Global Securitization, Inc. |
| 301,212,000 | | | | 0.300 | | | | 04/07/11 | | | | 301,119,126 | |
| 96,799,000 | | | | 0.400 | | | | 04/18/11 | | | | 96,747,374 | |
Ticonderoga Funding LLC |
| 90,077,000 | | | | 0.300 | | | | 04/05/11 | | | | 90,050,727 | |
| 130,112,000 | | | | 0.300 | | | | 04/14/11 | | | | 130,064,292 | |
| 88,000,000 | | | | 0.300 | | | | 04/19/11 | | | | 87,964,067 | |
| 200,196,000 | | | | 0.300 | | | | 04/26/11 | | | | 200,102,575 | |
Variable Funding Capital Corp. |
| 200,000,000 | | | | 0.270 | | | | 04/20/11 | | | | 199,925,000 | |
Windmill Funding Corp. |
| 50,000,000 | | | | 0.400 | | | | 04/26/11 | | | | 49,968,889 | |
|
|
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | | $ | 7,652,892,365 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Master Demand Note – 3.4% |
Bank of America Securities LLC |
$ | 750,000,000 | | | | 0.300 | % | | | 04/11/11 | | | $ | 750,000,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Municipal Debt Obligations – 1.3% |
Texas State TRANS Series 2010 |
$ | 283,100,000 | | | | 2.000 | % | | | 08/31/11 | | | | 285,394,333 | |
|
|
20 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
| | | | | | | | | | | | | | |
Time Deposit – 1.4% |
Citibank N.A. |
$ | 300,700,000 | | | | 0.170 | % | | | 03/01/11 | | | $ | 300,700,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Government Agency Obligations – 21.7% |
Federal Farm Credit Bank(a) |
$ | 100,000,000 | | | | 0.213 | % | | | 12/08/11 | | | $ | 99,988,391 | |
| 100,000,000 | | | | 0.211 | | | | 12/09/11 | | | | 99,989,457 | |
| 66,000,000 | | | | 0.223 | | | | 01/27/12 | | | | 65,977,166 | |
| 43,240,000 | | | | 0.330 | | | | 11/01/12 | | | | 43,240,000 | |
| 72,300,000 | | | | 0.332 | | | | 12/14/12 | | | | 72,300,000 | |
Federal Home Loan Bank |
| 202,000,000 | | | | 0.192 | (a) | | | 05/13/11 | | | | 201,979,469 | |
| 182,500,000 | | | | 0.212 | (a) | | | 05/25/11 | | | | 182,487,238 | |
| 175,000,000 | | | | 0.164 | (a) | | | 07/11/11 | | | | 174,960,995 | |
| 45,300,000 | | | | 0.300 | | | | 10/21/11 | | | | 45,300,000 | |
| 260,000,000 | | | | 0.260 | | | | 11/17/11 | | | | 259,880,853 | |
| 74,650,000 | | | | 0.320 | | | | 12/06/11 | | | | 74,630,270 | |
| 149,250,000 | | | | 0.320 | | | | 12/09/11 | | | | 149,210,130 | |
| 74,600,000 | | | | 0.350 | | | | 12/13/11 | | | | 74,579,583 | |
| 39,000,000 | | | | 0.350 | | | | 12/19/11 | | | | 38,982,797 | |
| 153,000,000 | | | | 0.350 | | | | 12/23/11 | | | | 152,937,833 | |
| 110,000,000 | | | | 0.470 | | | | 12/28/11 | | | | 110,000,000 | |
| 95,000,000 | | | | 0.227 | (a) | | | 01/26/12 | | | | 94,973,756 | |
| 190,000,000 | | | | 0.174 | (a) | | | 01/30/12 | | | | 189,937,034 | |
| 349,000,000 | | | | 0.181 | (a) | | | 02/03/12 | | | | 348,898,714 | |
| 277,000,000 | | | | 0.202 | (a) | | | 02/13/12 | | | | 276,944,343 | |
Federal Home Loan Mortgage Corp.(a) |
| 4,300,000 | | | | 0.372 | | | | 03/09/11 | | | | 4,300,130 | |
| 17,800,000 | | | | 0.363 | | | | 04/01/11 | | | | 17,801,879 | |
| 10,750,000 | | | | 0.353 | | | | 04/07/11 | | | | 10,751,225 | |
| 21,547,000 | | | | 0.221 | | | | 05/04/11 | | | | 21,546,139 | |
| 133,700,000 | | | | 0.241 | | | | 08/05/11 | | | | 133,689,770 | |
| 400,000,000 | | | | 0.184 | | | | 01/11/12 | | | | 399,827,196 | |
Federal National Mortgage Association |
| 350,000,000 | | | | 0.520 | | | | 05/02/11 | | | | 349,686,555 | |
| 2,350,000 | | | | 0.192 | (a) | | | 05/13/11 | | | | 2,349,766 | |
| 295,000,000 | | | | 0.430 | | | | 07/05/11 | | | | 294,556,025 | |
| 290,000,000 | | | | 0.430 | | | | 07/07/11 | | | | 289,556,622 | |
| 500,000,000 | | | | 0.320 | | | | 08/01/11 | | | | 499,320,000 | |
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 4,780,583,336 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Government Guarantee Variable Rate Obligation*(a) – 0.4% |
Wells Fargo & Co. |
$ | 97,500,000 | | | | 1.152 | % | | | 12/09/11 | | | $ | 98,195,187 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
U.S. Treasury Obligations – 0.4% |
United States Treasury Notes |
$ | 22,000,000 | | | | 1.000 | % | | | 07/31/11 | | | $ | 22,054,493 | |
| 56,000,000 | | | | 4.875 | | | | 07/31/11 | | | | 57,043,350 | |
| 8,799,000 | | | | 0.750 | | | | 11/30/11 | | | | 8,828,256 | |
|
|
TOTAL U.S. TREASURY OBLIGATIONS | | $ | 87,926,099 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Variable Rate Municipal Debt Obligations(a) – 10.7% |
Alaska State Housing Finance Corp. VRDN RB Governmental Purpose Series 2001 A RMKT |
$ | 25,780,000 | | | | 0.210 | % | | | 12/01/30 | | | $ | 25,780,000 | |
Alaska State Housing Finance Corp. VRDN RB Governmental Purpose Series 2001 B RMKT |
| 25,000,000 | | | | 0.210 | | | | 12/01/30 | | | | 25,000,000 | |
Alaska State Housing Finance Corp. VRDN RB State Capital Project Series 2002 C RMKT |
| 39,295,000 | | | | 0.200 | | | | 07/01/22 | | | | 39,295,000 | |
California Health Facilities Financing Authority VRDN RB for Kaiser Permanente Series 2006 C |
| 89,915,000 | | | | 0.240 | | | | 06/01/41 | | | | 89,915,000 | |
California State Department of Water Resources Power Supply VRDN RB Series 2002 C-11 (Bank of America N.A. and California State Teachers Retirement System) |
| 34,600,000 | | | | 0.220 | | | | 05/01/22 | | | | 34,600,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2002 B |
| 29,265,000 | | | | 0.240 | | | | 11/01/30 | | | | 29,265,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2003 A |
| 30,200,000 | | | | 0.240 | | | | 10/01/13 | | | | 30,200,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2003 B |
| 18,650,000 | | | | 0.240 | | | | 08/15/25 | | | | 18,650,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2004 M |
| 104,650,000 | | | | 0.240 | | | | 04/01/38 | | | | 104,650,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2008 A |
| 46,100,000 | | | | 0.240 | | | | 04/01/32 | | | | 46,100,000 | |
Charlotte-Mecklenburg Hospital Authority Health Care Systems VRDN RB Refunding for Carolinas Healthcare Series 2007 C RMKT (JPMorgan Chase & Co. SPA) |
| 20,000,000 | | | | 0.280 | | | | 01/15/37 | | | | 20,000,000 | |
Cleveland Waterworks VRDN RB Series 2008 Q (Bank of America N.A. LOC) |
| 48,700,000 | | | | 0.260 | | | | 01/01/33 | | | | 48,700,000 | |
Colorado Educational & Cultural Facilities Authority VRDN RB Taxable-Nature Conservancy Series 2008 A (Bank of America N.A. SPA) |
| 21,699,000 | | | | 0.350 | | | | 07/01/33 | | | | 21,699,000 | |
District of Columbia GO VRDN Refunding Series 2008 D RMKT (Wells Fargo Bank N.A. LOC) |
| 89,320,000 | | | | 0.240 | | | | 06/01/34 | | | | 89,320,000 | |
Eastern Municipal Water District California Water & Sewer VRDN COPS Series 2008 B (Wells Fargo Bank N.A. SPA) |
| 13,975,000 | | | | 0.200 | | | | 07/01/35 | | | | 13,975,000 | |
The accompanying notes are an integral part of these financial statements. 21
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Variable Rate Municipal Debt Obligations(a) – (continued) |
| | | | | | | | | | | | | | |
Illinois Finance Authority VRDN RB for Northwestern Memorial Hospital Series 2007 A-1 (UBS AG SPA) |
$ | 28,150,000 | | | | 0.230 | % | | | 08/15/42 | | | $ | 28,150,000 | |
Indiana State Finance Authority Hospital VRDN RB for Parkview Health System Obligation Series 2009 C (Wells Fargo Bank N.A. LOC) |
| 53,275,000 | | | | 0.220 | | | | 11/01/39 | | | | 53,275,000 | |
Jacksonville Electric Authority Water & Sewer Systems VRDN RB Series 2008 B (JPMorgan Chase & Co. SPA) |
| 35,090,000 | | | | 0.260 | | | | 10/01/41 | | | | 35,090,000 | |
Kansas State DOT Highway VRDN RB Refunding Series 2002 C-2 (JPMorgan Chase & Co. SPA) |
| 28,200,000 | | | | 0.210 | | | | 09/01/19 | | | | 28,200,000 | |
Los Angeles Department of Water & Power VRDN RB Series 2002 A1 (National Australia Bank, Lloyds TSB Bank PLC and Fortis Bank SPA) |
| 26,000,000 | | | | 0.210 | | | | 07/01/35 | | | | 26,000,000 | |
Maryland State Economic Development Corp. VRDN RB Refunding for Howard Hughes Medical Center Series 2008 B |
| 36,700,000 | | | | 0.240 | | | | 05/15/43 | | | | 36,700,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Amherst College Series 1996 F |
| 30,500,000 | | | | 0.220 | | | | 11/01/26 | | | | 30,500,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare Series 1997 P-1 RMKT (JPMorgan Chase & Co. SPA) |
| 38,500,000 | | | | 0.230 | | | | 07/01/27 | | | | 38,500,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare System Series 2003 D-3 (JPMorgan Chase & Co. SPA) |
| 17,000,000 | | | | 0.230 | | | | 07/01/38 | | | | 17,000,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare System Series 2009 I-2 (U.S. Bank N.A. SPA) |
| 21,000,000 | | | | 0.240 | | | | 07/01/44 | | | | 21,000,000 | |
Mecklenburg County GO VRDN Series 2004 B (Landesbank Hessen-Thueringen SPA) |
| 46,470,000 | | | | 0.250 | | | | 02/01/24 | | | | 46,470,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2010 E |
| 15,000,000 | | | | 0.210 | | | | 12/01/30 | | | | 15,000,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Series 2010 A |
| 20,400,000 | | | | 0.200 | | | | 12/01/30 | | | | 20,400,000 | |
Mississippi State GO VRDN for Nissan Project Series 2003 C RMKT (Bank of America N.A. SPA) |
| 20,000,000 | | | | 0.230 | | | | 11/01/23 | | | | 20,000,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for SSM Health Care System Series 2005 D-4 RMKT (JPMorgan Chase & Co. SPA) |
| 35,825,000 | | | | 0.270 | | | | 06/01/33 | | | | 35,825,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB Refunding for Sisters of Mercy Health System Series 2008 C (Bank of America N.A. SPA) |
| 22,000,000 | | | | 0.280 | | | | 06/01/19 | | | | 22,000,000 | |
New York City GO VRDN Fiscal Series 2008 Subseries J-9 (Bank of Nova Scotia SPA) |
| 45,000,000 | | | | 0.220 | | | | 08/01/27 | | | | 45,000,000 | |
New York City GO VRDN Series 2002 Subseries C-2 (Bayerische Landesbank LOC) |
| 62,705,000 | | | | 0.280 | | | | 08/01/20 | | | | 62,705,000 | |
New York City GO VRDN Series 2004 Subseries H-8 (Westdeutsche Landesbank AG LOC) |
| 50,000,000 | | | | 0.250 | | | | 03/01/34 | | | | 50,000,000 | |
New York City GO VRDN Series 2007 Subseries D-3 (Calyon Bank NA SPA) |
| 20,750,000 | | | | 0.220 | | | | 12/01/32 | | | | 20,750,000 | |
New York City GO VRDN Taxable Fiscal Series 2008 Subseries J-13 (Lloyds TSB Bank PLC SPA) |
| 33,650,000 | | | | 0.370 | | | | 08/01/19 | | | | 33,650,000 | |
New York City GO VRDN Taxable Fiscal Series 2008 Subseries J-14 (Lloyds TSB Bank PLC SPA) |
| 79,770,000 | | | | 0.370 | | | | 08/01/19 | | | | 79,770,000 | |
New York City Municipal Finance Authority Water & Sewer Systems VRDN RB Second General Fiscal Series 2007 BB-4 (Fortis Bank SA SPA) |
| 80,000,000 | | | | 0.300 | | | | 05/02/11 | | | | 80,000,000 | |
| 20,500,000 | | | | 0.220 | | | | 06/15/33 | | | | 20,500,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 2010 Subseries F-5 (Sumitomo Mitsui Banking Corp. LOC) |
| 90,000,000 | | | | 0.220 | | | | 02/01/35 | | | | 90,000,000 | |
New York City Transitional Finance Authority VRDN RB Taxable Future Tax Secured Series 2001 B (Westdeutsche Landesbank AG) |
| 75,640,000 | | | | 0.420 | | | | 05/01/30 | | | | 75,640,000 | |
North Carolina Medical Care Commission Health Care Facilities VRDN RB Refunding for Duke University Health System Series 2005 B (Wells Fargo Bank N.A. SPA) |
| 90,200,000 | | | | 0.210 | | | | 06/01/28 | | | | 90,200,000 | |
North Carolina State GO VRDN for Public Improvement Series 2002 G (Landesbank Hessen-Thueringen SPA) |
| 23,195,000 | | | | 0.210 | | | | 05/01/21 | | | | 23,195,000 | |
North Carolina State University Raleigh VRDN RB General Series 2008 A (Bank of America N.A. SPA) |
| 28,405,000 | | | | 0.250 | | | | 10/01/28 | | | | 28,405,000 | |
North Carolina State University Raleigh VRDN RB Series 2003 B (Bayerische Landesbank SPA) |
| 38,635,000 | | | | 0.200 | | | | 10/01/27 | | | | 38,635,000 | |
Pennsylvania State Turnpike Commission VRDN RB Multi-Modal Series 2008 C (Bank of America N.A. LOC) |
| 25,300,000 | | | | 0.260 | | | | 06/01/38 | | | | 25,300,000 | |
Pennsylvania State Turnpike Commission VRDN RB Series 2008 B-3 (Bank of America N.A. LOC) |
| 42,900,000 | | | | 0.260 | | | | 12/01/38 | | | | 42,900,000 | |
Pennsylvania State University VRDN RB Series 2002 A (Westdeutsche Landesbank AG SPA) |
| 16,200,000 | | | | 0.240 | | | | 03/01/32 | | | | 16,200,000 | |
Purdue University VRDN RB Student Facilities System Series 2007 C |
| 58,695,000 | | | | 0.190 | | | | 07/01/32 | | | | 58,695,000 | |
Raleigh Comb Enterprise System VRDN RB Series 2008 B (Wachovia Bank N.A. SPA) |
| 13,905,000 | | | | 0.220 | | | | 03/01/35 | | | | 13,905,000 | |
Raleigh VRDN COPS for Downtown Improvement Project Series 2005 B-1 RMKT (Wachovia Bank N.A. SPA) |
| 115,000,000 | | | | 0.220 | | | | 02/01/34 | | | | 115,000,000 | |
Riverside Electric Revenue VRDN RB Refunding Series 2008 B (Bank of America N.A. LOC) |
| 56,450,000 | | | | 0.230 | | | | 10/01/35 | | | | 56,450,000 | |
Rochester Health Care Facilities VRDN RB Mayo Clinic Series 2008 A (Wells Fargo Bank N.A. SPA) |
| 95,000,000 | | | | 0.220 | | | | 11/15/38 | | | | 95,000,000 | |
Rochester Health Care Facilities VRDN RB Mayo Foundation Series 2002 B RMKT (Bank of America N.A. SPA) |
| 31,500,000 | | | | 0.250 | | | | 08/15/32 | | | | 31,500,000 | |
22 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Variable Rate Municipal Debt Obligations(a) – (continued) |
| | | | | | | | | | | | | | |
San Diego County Regional Transportation Commission Sales Tax VRDN RB Limited Tax Series 2008 A (JPMorgan Chase & Co. SPA) |
$ | 23,880,000 | | | | 0.240 | % | | | 04/01/38 | | | $ | 23,880,000 | |
South Carolina Transportation Infrastructure Bank VRDN RB Refunding Series 2003 B1 RMKT (Bank of America N.A. LOC) |
| 29,400,000 | | | | 0.230 | | | | 10/01/31 | | | | 29,400,000 | |
|
|
TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS | | $ | 2,357,939,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Variable Rate Obligations(a) – 3.1% |
JPMorgan Chase & Co. |
$ | 400,000,000 | | | | 0.302 | % | | | 03/21/12 | | | $ | 400,000,000 | |
Wells Fargo & Co. |
| 273,862,000 | | | | 0.433 | | | | 10/15/11 | | | | 273,946,315 | |
|
|
TOTAL VARIABLE RATE OBLIGATIONS | | $ | 673,946,315 | |
|
|
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 17,372,576,635 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Repurchase Agreements-Unaffiliated Issuers(b) – 19.4% |
Bank of America Securities LLC |
$ | 150,000,000 | | | | 0.200 | % | | | 03/01/11 | | | $ | 150,000,000 | |
Maturity Value: $150,000,833 |
Collateralized by Federal Home Loan Mortgage Corp., 3.500%, due 11/01/25 and Federal National Mortgage Association, 4.500%, due 02/01/41. The aggregate market value of the collateral, including accrued interest, was $153,000,001. |
Barclays Capital, Inc. |
| 125,000,000 | | | | 0.170 | | | | 03/01/11 | | | | 125,000,000 | |
Maturity Value: $125,000,590 |
Collateralized by Government National Mortgage Association, 4.000% to 6.500%, due 09/15/25 to 02/20/41. The aggregate market value of the collateral, including accrued interest, was $127,500,000. |
BNP Paribas Securities Co. |
| 320,000,000 | | | | 0.220 | | | | 06/07/11 | | | | 320,000,000 | |
Maturity Value: $320,352,000 |
Settlement Date: 12/09/10 |
Collateralized by Federal Home Loan Mortgage Corp., 3.500% to 6.500%, due 06/01/14 to 02/01/41 and Federal National Mortgage Association, 3.000% to 6.500%, due 10/01/12 to 07/01/47. The aggregate market value of the collateral, including accrued interest, was $326,400,003. |
Deutsche Bank Securities, Inc. |
| 250,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 250,000,000 | |
Maturity Value: $250,001,389 |
Collateralized by Federal National Mortgage Association, 3.500% to 7.000%, due 02/01/21 to 06/01/37. The aggregate market value of the collateral, including accrued interest, was $257,499,999. |
Joint Repurchase Agreement Account I |
| 348,700,000 | | | | 0.176 | | | | 03/01/11 | | | | 348,700,000 | |
Maturity Value: $348,701,705 |
Joint Repurchase Agreement Account II |
| 2,526,900,000 | | | | 0.195 | | | | 03/01/11 | | | | 2,526,900,000 | |
Maturity Value: $2,526,913,687 |
UBS Securities LLC |
| 75,000,000 | | | | 0.160 | | | | 03/01/11 | | | | 75,000,000 | |
Maturity Value: $75,000,333 |
Collateralized by U.S. Treasury Note, 0.625%, due 06/30/12. The market value of the collateral, including accrued interest, was $76,500,011. |
Wells Fargo Securities LLC |
| 475,000,000 | | | | 0.380 | | | | 03/01/11 | | | | 475,000,000 | |
Maturity Value: $475,005,014 |
Collateralized by various commercial paper issuers, 0.000%, due 03/09/11 to 04/11/11, various corporate issuers, 2.813% to 12.250%, due 03/15/11 to 09/01/21, various mortgage-backed obligations, 0.302% to 6.410%, due 08/01/21 to 12/10/49, various government issuers, 0.000%, due 11/15/11 to 08/15/21 and a municipal bond, 0.123%, due 11/01/24. The aggregate market value of the collateral, including accrued interest, was $497,773,591. |
|
TOTAL REPURCHASE AGREEMENTS-UNAFFILIATED ISSUERS | | $ | 4,270,600,000 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Repurchase Agreements-Affiliated Issuers(b) – 1.7% |
Goldman, Sachs & Co. |
$ | 100,000,000 | | | | 0.190 | % | | | 03/01/11 | | | $ | 100,000,000 | |
Maturity Value: $100,000,528 |
Collateralized by Federal National Mortgage Association, 4.000% to 5.500%, due 03/01/40 to 10/01/40. The aggregate market value of the collateral, including accrued interest, was $102,000,000. |
| 75,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 75,000,000 | |
Maturity Value: $75,000,417 |
Collateralized by Federal Home Loan Mortgage Corp., 4.500%, due 07/01/22 and Federal National Mortgage Association, 6.000%, due 06/01/38 to 09/01/38. The aggregate market value of the collateral, including accrued interest, was $76,500,000. |
The accompanying notes are an integral part of these financial statements. 23
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Repurchase Agreements-Affiliated Issuers(b) – (continued) |
Goldman, Sachs & Co. – (continued) |
| | | | | | | | | | | | | | |
$ | 210,000,000 | | | | 0.210 | % | | | 03/01/11 | | | $ | 210,000,000 | |
Maturity Value: $210,034,300 |
Settlement Date: 02/01/11 |
Collateralized by Government National Mortgage Association, 3.500% to 6.000%, due 12/15/33 to 02/15/41. The aggregate market value of the collateral, including accrued interest, was $214,200,001. |
|
TOTAL REPURCHASE AGREEMENTS-AFFILIATED ISSUERS | | $ | 385,000,000 | |
|
|
TOTAL INVESTMENTS – 100.0% | | $ | 22,028,176,635 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | | | 8,127,533 | |
|
|
NET ASSETS – 100.0% | | $ | 22,036,304,168 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
* | | 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. |
|
(a) | | Variable or floating rate security. Interest rate disclosed is that which is in effect at February 28, 2011. |
|
(b) | | Unless noted, all repurchase agreements were entered into on February 28, 2011. Additional information on Joint Repurchase Agreement Accounts I & II appears on pages 55-57. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
| | | | |
|
|
Investment Abbreviations: |
COPS | | — | | Certificates of Participation |
DOT | | — | | Department of Transportation |
GO | | — | | General Obligation |
LOC | | — | | Letter of Credit |
RB | | — | | Revenue Bond |
RMKT | | — | | Remarketed |
SPA | | — | | Stand-by Purchase Agreement |
TRANS | | — | | Tax Revenue Anticipation Notes |
VRDN | | — | | Variable Rate Demand Notes |
|
|
24 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-EXEMPT CALIFORNIA FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – 98.8% |
California – 95.2% |
Abag Finance Authority for Non-Profit Corps. VRDN RB for Sharp Healthcare Series 2009 C (Citibank N.A. LOC) |
$ | 3,100,000 | | | | 0.240 | % | | | 08/01/35 | | | $ | 3,100,000 | |
Bay Area Toll Authority California Toll Bridge VRDN RB Eagle Series 2008-0056 (Citibank N.A. SPA)(a) |
| 2,815,000 | | | | 0.260 | | | | 04/01/47 | | | | 2,815,000 | |
Bay Area Toll Authority California Toll Bridge VRDN RB Floaters Series 2009-2985 (Morgan Stanley & Co.)(a) |
| 2,000,000 | | | | 0.260 | | | | 04/01/39 | | | | 2,000,000 | |
Bay Area Toll Authority California Toll Bridge VRDN RB ROCS RR-II R-11453 Series 2008 (Citigroup N.A. SPA)(a) |
| 900,000 | | | | 0.260 | | | | 04/01/14 | | | | 900,000 | |
Bay Area Toll Authority California Toll Bridge VRDN RB San Francisco Bay Area Series 2006 C-2 RMKT (Morgan Stanley Bank, LOC) |
| 2,000,000 | | | | 0.190 | | | | 04/01/45 | | | | 2,000,000 | |
California Educational Facilities Authority for Stanford University CP Series 2010 |
| 5,400,000 | | | | 0.380 | | | | 08/03/11 | | | | 5,400,000 | |
California Educational Facilities Authority VRDN RB Putters for Claremont McKenna College Series 2009-3580 (JPMorgan Chase & Co.)(a) |
| 2,600,000 | | | | 0.260 | | | | 01/01/16 | | | | 2,600,000 | |
California Health Facilities Financing Authority RB Refunding for Stanford Hospital Putters Series 2008 A-3 |
| 2,000,000 | | | | 3.450 | | | | 11/15/40 | | | | 2,017,400 | |
California Health Facilities Financing Authority VRDN RB for Providence Health Putters Series 2010-3630 (JPMorgan Chase & Co.)(a) |
| 3,660,000 | | | | 0.260 | | | | 10/01/17 | | | | 3,660,000 | |
California Health Facilities Financing Authority VRDN RB for Scripps Health Series 2008 B (Wachovia Bank N.A. LOC) |
| 3,975,000 | | | | 0.230 | | | | 10/01/31 | | | | 3,975,000 | |
California Health Facilities Financing Authority VRDN RB for Scripps Health Series 2008 D (Bank of America N.A. LOC) |
| 1,275,000 | | | | 0.250 | | | | 10/01/31 | | | | 1,275,000 | |
California Health Facilities Financing Authority VRDN RB for Stanford Hospital Floaters Series 2010-3193 (Morgan Stanley & Co.)(a) |
| 1,400,000 | | | | 0.270 | | | | 11/15/36 | | | | 1,400,000 | |
California Health Facilities Financing Authority VRDN RB Refunding for Lucile Salter Packard Children’s Hospital Series 2008 B |
| 2,000,000 | | | | 0.210 | | | | 08/15/33 | | | | 2,000,000 | |
California Health Facilities Financing Authority VRDN RB Refunding for Stanford Hospital Series 2008 B-1 |
| 400,000 | | | | 0.210 | | | | 11/15/45 | | | | 400,000 | |
California Health Facilities Financing Authority VRDN RB Sutter Health Putters Series 2010-3765 (JPMorgan Chase & Co.)(a) |
| 1,500,000 | | | | 0.260 | | | | 05/15/39 | | | | 1,500,000 | |
California Health Facilities Financing Authority VRDN RB Sutter Health Series 2007-1858 (Wells Fargo Bank N.A. SPA)(a) |
| 4,998,000 | | | | 0.260 | | | | 11/15/42 | | | | 4,998,000 | |
California Infrastructure & Economic Development Bank VRDN RB California Academy of Sciences Series 2008 A (U.S. Bank N.A. LOC) |
| 3,700,000 | | | | 0.170 | | | | 09/01/38 | | | | 3,700,000 | |
California Institute of Technology VRDN RB Floaters Certificates Series 2009-42C (Wells Fargo Bank N.A.)(a) |
| 1,000,000 | | | | 0.250 | | | | 11/01/39 | | | | 1,000,000 | |
California Municipal Finance Authority VRDN RB for Chevron USA, Inc. Recovery Zone Bonds Series 2010 A |
| 1,000,000 | | | | 0.160 | | | | 11/01/35 | | | | 1,000,000 | |
California Municipal Finance Authority VRDN RB for Chevron USA, Inc. Recovery Zone Bonds Series 2010 C |
| 3,000,000 | | | | 0.180 | | | | 11/01/35 | | | | 3,000,000 | |
California State Department of Water Resources Power Supply VRDN RB Series 2002 C-01 (Bank of America N.A. and California State Teachers Retirement System) |
| 1,000,000 | | | | 0.230 | | | | 05/01/22 | | | | 1,000,000 | |
California State Department of Water Resources VRDN RB Putters Series 2009-3361 (NATL-RE) (JPMorgan Chase & Co. SPA)(a) |
| 3,125,000 | | | | 0.260 | | | | 06/01/13 | | | | 3,125,000 | |
California State Department of Water Resources VRDN RB ROCS-R-II R-11552 Central Valley Project Series 2008 (BHAC) (Citibank N.A. SPA)(a) |
| 700,000 | | | | 0.260 | | | | 12/01/11 | | | | 700,000 | |
California State University VRDN RB ROCS RR-II R-11568 Series 2008 (BHAC) (Citibank N.A.)(a) |
| 3,000,000 | | | | 0.270 | | | | 05/01/16 | | | | 3,000,000 | |
California Statewide Communities Development Authority CP Series 2010 |
| 1,500,000 | | | | 0.370 | | | | 03/01/11 | | | | 1,500,000 | |
California Statewide Communities Development Authority for Kaiser Permanente CP Series 2010 |
| 2,500,000 | | | | 0.370 | | | | 06/08/11 | | | | 2,500,000 | |
California Statewide Communities Development Authority for Kaiser Permanente CP Series 2010 S-K |
| 5,500,000 | | | | 0.380 | | | | 04/05/11 | | | | 5,500,000 | |
California Statewide Communities Development Authority TRANS Series 2010 A-10 |
| 5,000,000 | | | | 1.500 | | | | 04/29/11 | | | | 5,009,445 | |
California Statewide Communities Development Authority VRDN RB for John Muir Health Series 2008 B (UBS AG LOC) |
| 2,000,000 | | | | 0.270 | | | | 08/15/36 | | | | 2,000,000 | |
Chino Basin California Regional Financing Authority VRDN RB Refunding for Inland Empire Utilities Series 2008 B (Lloyds TSB Bank PLC, LOC) |
| 2,500,000 | | | | 0.210 | | | | 06/01/32 | | | | 2,500,000 | |
Desert Community College District GO VRDN Floaters Series 2009-3016 (AGM) (Morgan Stanley & Co. SPA)(a) |
| 4,035,000 | | | | 0.270 | | | | 08/01/32 | | | | 4,035,000 | |
Fresno California VRDN RB for Trinity Health Credit Series 2000 C (Landesbank Hessen-Thueringen and Chase Bank USA N.A. SPA) |
| 2,625,000 | | | | 0.250 | | | | 12/01/30 | | | | 2,625,000 | |
Glendale California VRDN COPS for Police Building Project Series 2000 (JPMorgan Chase & Co. SPA) |
| 3,000,000 | | | | 0.280 | | | | 06/01/30 | | | | 3,000,000 | |
Irvine Ranch California Water District GO VRDN Consolidated Improvement Districts Series 1989 (Landesbank Baden-Wurttemberg LOC) |
| 2,200,000 | | | | 0.240 | | | | 06/01/15 | | | | 2,200,000 | |
Long Beach Unified School District GO VRDN Floaters Series 2009-3022 (Morgan Stanley & Co.)(a) |
| 3,065,000 | | | | 0.270 | | | | 08/01/33 | | | | 3,065,000 | |
Los Angeles Community Redevelopment Agency MF Hsg. VRDN RB for Metropolitan Apartments Series 1985 RMKT (FNMA) |
| 7,945,000 | | | | 0.250 | | | | 12/15/24 | | | | 7,945,000 | |
Los Angeles County GO TRANS Series 2010 |
| 7,115,000 | | | | 2.000 | | | | 06/30/11 | | | | 7,143,840 | |
Los Angeles County Housing Authority MF Hsg. VRDN RB Refunding for Malibu Meadows II Series 1998 C (FNMA) |
| 6,400,000 | | | | 0.230 | | | | 04/15/28 | | | | 6,400,000 | |
The accompanying notes are an integral part of these financial statements. 25
FINANCIAL SQUARE TAX-EXEMPT CALIFORNIA FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
California – (continued) |
| | | | | | | | | | | | | | |
Los Angeles County Housing Authority MF Hsg. VRDN RB Refunding for Malibu Meadows Project Series 1998 B (FNMA) |
$ | 2,236,000 | | | | 0.230 | % | | | 04/15/28 | | | $ | 2,236,000 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax VRDN RB Refunding Proposition C-2nd Series 2009 A-1 (Bank of Nova Scotia SPA) |
| 6,600,000 | | | | 0.220 | | | | 07/01/23 | | | | 6,600,000 | |
| 2,700,000 | | | | 0.220 | | | | 07/01/23 | | | | 2,700,000 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax VRDN RB Refunding Proposition C-2nd Series 2009 C-1 (Sumitomo Mitsui Banking Corp. LOC) |
| 1,400,000 | | | | 0.180 | | | | 07/01/25 | | | | 1,400,000 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax VRDN RB Refunding Proposition C-2nd Series 2009 C-3 (Sumitomo Mitsui Banking Corp. LOC) |
| 1,000,000 | | | | 0.200 | | | | 07/01/25 | | | | 1,000,000 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax VRDN RB Refunding Proposition C-2nd Series 2009 C-4 (U.S. Bank N.A. LOC) |
| 600,000 | | | | 0.200 | | | | 07/01/25 | | | | 600,000 | |
Los Angeles Department of Airports Municipal Trust Receipts VRDN RB Floater Series 2010-27B (Barclays Bank PLC)(a) |
| 1,600,000 | | | | 0.240 | | | | 05/15/40 | | | | 1,600,000 | |
Los Angeles Department of Airports Municipal Trust Receipts VRDN RB for Los Angeles International Airport Floater Series 2010 80W-144 (Barclays Bank PLC LOC)(a) |
| 2,645,000 | | | | 0.240 | | | | 05/15/31 | | | | 2,645,000 | |
Los Angeles Department of Airports VRDN RB for Los Angeles International Airport Putters Series D 2010-3839 (JP Morgan Chase & Co. SPA)(a) |
| 2,000,000 | | | | 0.260 | | | | 05/15/33 | | | | 2,000,000 | |
Los Angeles Department of Airports VRDN RB ROCS RR-II R-11881 Series 2010 (Citibank N.A.)(a) |
| 2,500,000 | | | | 0.260 | | | | 05/15/18 | | | | 2,500,000 | |
Los Angeles Unified School District GO TRANS Series 2010 A |
| 1,500,000 | | | | 2.000 | | | | 06/30/11 | | | | 1,506,567 | |
Los Angeles Unified School District VRDN COPS Administration Building Project Series 2008 A (Bank of America N.A. LOC) |
| 1,500,000 | | | | 0.230 | | | | 10/01/24 | | | | 1,500,000 | |
Metropolitan Water District Southern California Waterworks Municipal Trust Receipts VRDN RB Floaters Series 2009-8B Reg. D (Barclays Bank PLC SPA)(a) |
| 2,800,000 | | | | 0.240 | | | | 07/01/35 | | | | 2,800,000 | |
Newport Beach California VRDN RB for Hoag Memorial Hospital ROCS RR-II R-11753 Series 2009 (Citibank N.A. SPA)(a) |
| 100,000 | | | | 0.260 | | | | 06/01/13 | | | | 100,000 | |
Newport Beach VRDN RB Refunding for Hoag Memorial Hospital Series 2008 C |
| 1,000,000 | | | | 0.200 | | | | 12/01/40 | | | | 1,000,000 | |
Orange County Apartment Development VRDN RB for Park Ridge Villas Series 1998 (FNMA) |
| 1,100,000 | | | | 0.240 | | | | 11/15/28 | | | | 1,100,000 | |
Orange County Apartment Development VRDN RB Refunding for Riverbend Apartments Series 1999 B (FHLMC) (Bank of America N.A. LOC) |
| 800,000 | | | | 0.230 | | | | 12/01/29 | | | | 800,000 | |
Orange County Sanitation District VRDN COPS Putters Series 2010-3773Z (AGM) (JPMorgan Chase & Co.)(a) |
| 3,000,000 | | | | 0.260 | | | | 08/01/15 | | | | 3,000,000 | |
Orange County Sanitation District VRDN COPS Series 2000 A (Dexia Credit Local SPA) |
| 2,400,000 | | | | 0.260 | | | | 08/01/29 | | | | 2,400,000 | |
Orange County Sanitation District VRDN COPS Series 2000 B (Dexia Credit Local SPA) |
| 4,000,000 | | | | 0.260 | | | | 08/01/30 | | | | 4,000,000 | |
Orange County Water District VRDN COPS Putters Series 2010-3686Z (JPMorgan Chase & Co.)(a) |
| 2,000,000 | | | | 0.260 | | | | 02/15/18 | | | | 2,000,000 | |
Pasadena California Certificates Partner VRDN COPS Series 2008 A (Bank of America N.A. LOC) |
| 3,700,000 | | | | 0.250 | | | | 02/01/35 | | | | 3,700,000 | |
Riverside County Transportation Commission Sales Tax VRDN RB Limited Tax Series 2009 B (JPMorgan Chase & Co. SPA) |
| 3,875,000 | | | | 0.270 | | | | 06/01/29 | | | | 3,875,000 | |
Riverside Electric Revenue VRDN RB Putters Series 2009-3515 (JPMorgan Chase & Co. SPA)(a) |
| 5,000,000 | | | | 0.310 | | | | 10/01/32 | | | | 5,000,000 | |
Sacramento California Suburban Water District VRDN COPS Refunding Series 2009 A (Sumitomo Mitsui Banking Corp. LOC) |
| 6,000,000 | | | | 0.230 | | | | 11/01/34 | | | | 6,000,000 | |
Sacramento County Housing Authority VRDN RB Refunding for River Terrace Apartments Series 1996 (FNMA LOC) |
| 2,600,000 | | | | 0.240 | | | | 07/15/29 | | | | 2,600,000 | |
Sacramento Transportation Authority Sales Tax VRDN RB LTD Tax Measure Series 2009 A (Barclays Bank PLC) |
| 5,600,000 | | | | 0.200 | | | | 10/01/38 | | | | 5,600,000 | |
San Bernardino County Flood Control District VRDN RB Series 2008 (UBS AG LOC) |
| 5,500,000 | | | | 0.220 | | | | 08/01/37 | | | | 5,500,000 | |
San Bernardino County GO TRANS Series 2010 A |
| 5,125,000 | | | | 2.000 | | | | 06/30/11 | | | | 5,152,236 | |
San Diego Community College District GO VRDN Putters Series 2009-3415 (JPMorgan Chase & Co. SPA)(a) |
| 700,000 | | | | 0.260 | | | | 02/01/17 | | | | 700,000 | |
San Diego Community College District GO VRDN Putters Series 2010-3676Z (AGM) (JPMorgan Chase & Co.)(a) |
| 3,335,000 | | | | 0.260 | | | | 11/01/13 | | | | 3,335,000 | |
San Diego County & School District TRANS Series 2010 A |
| 2,000,000 | | | | 2.000 | | | | 06/30/11 | | | | 2,010,697 | |
San Diego County Water Authority Austin Trust Certificates VRDN COPS Series 2008-3001X (Bank of America N.A. SPA)(a) |
| 1,790,000 | | | | 0.350 | | | | 05/01/32 | | | | 1,790,000 | |
San Diego Water Authority CP Series 2011 (Bayerische Landesbank SPA) |
| 4,500,000 | | | | 0.300 | | | | 03/01/11 | | | | 4,500,000 | |
San Francisco Bay Area Rapid Transit District GO VRDN ROCS RR-II R-11251 Series 2007 (Citibank N.A. SPA)(a) |
| 1,475,000 | | | | 0.260 | | | | 08/01/15 | | | | 1,475,000 | |
San Francisco Bay Area Rapid Transit District GO VRDN ROCS RR-II R-12318 Series 2011 (Citibank N.A. LOC)(a) |
| 700,000 | | | | 0.250 | | | | 08/01/30 | | | | 700,000 | |
San Francisco Bay Area Rapid Transportation District GO VRDN Eagle Series 2007-0100 A (Landesbank Hessen-Wurttemberg SPA)(a) |
| 1,000,000 | | | | 0.260 | | | | 08/01/35 | | | | 1,000,000 | |
San Francisco City & County Unified School District GO TRANS Series 2010 |
| 3,000,000 | | | | 2.000 | | | | 06/30/11 | | | | 3,015,537 | |
26 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-EXEMPT CALIFORNIA FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
California – (continued) |
| | | | | | | | | | | | | | |
San Mateo County Community College District GO Bonds for Election of 2005 Series 2006 A |
$ | 1,000,000 | | | | 4.500 | % | | | 09/01/11 | | | $ | 1,020,510 | |
San Mateo County Community College District GO VRDN Floaters Series 2010-3166 (Morgan Stanley & Co.)(a) |
| 431,818 | | | | 0.260 | | | | 09/01/38 | | | | 431,818 | |
Santa Clara County Financing Authority VRDN RB Camino Hospital Series 2009 A (Wells Fargo & Co. LOC) |
| 1,900,000 | | | | 0.230 | | | | 02/01/44 | | | | 1,900,000 | |
Santa Clara Valley Transportation Authority Sales Tax VRDN RB Refunding for Measure A Series 2008 D RMKT (Sumitomo Mitsui Banking Corp. SPA) |
| 5,000,000 | | | | 0.210 | | | | 04/01/36 | | | | 5,000,000 | |
Santa Rosa California Waste Water VRDN RB Series 2004 A (Landesbank Baden-Wurttemberg LOC) |
| 200,000 | | | | 0.450 | | | | 09/01/33 | | | | 200,000 | |
University of California Regents Medical Center VRDN RB Series 2007 B-2 (Bank of New York, California State Teachers Retirement and California Public Employees Retirement System SPA) |
| 1,500,000 | | | | 0.160 | | | | 05/15/32 | | | | 1,500,000 | |
University of California VRDN RB Floaters Certificates Series 2009-7C (Wells Fargo & Co. SPA)(a) |
| 1,600,000 | | | | 0.250 | | | | 05/15/39 | | | | 1,600,000 | |
University of California VRDN RB Putters Series 2008-2649Z (JPMorgan Chase & Co. SPA)(a) |
| 3,800,000 | | | | 0.260 | | | | 05/15/14 | | | | 3,800,000 | |
University of California VRDN RB Putters Series 2009-3368 (JPMorgan Chase & Co. SPA)(a) |
| 1,500,000 | | | | 0.260 | | | | 11/15/16 | | | | 1,500,000 | |
University of California VRDN RB ROCS RR-II R-11661 Series 2008 (AGM) (Citibank N.A.)(a) |
| 2,000,000 | | | | 0.260 | | | | 05/15/32 | | | | 2,000,000 | |
University of Southern California Educational Facilities Authority VRDN RB Floaters Series 2009-3067X (Morgan Stanley & Co.) |
| 2,500,000 | | | | 0.260 | | | | 10/01/39 | | | | 2,500,000 | |
University of Southern California Educational Facilities Authority VRDN RB Floaters Trust Series 2009-11B Reg. D (Barclays Bank PLC SPA)(a) |
| 2,300,000 | | | | 0.230 | | | | 10/01/38 | | | | 2,300,000 | |
University of Southern California Educational Facilities Authority VRDN RB Putters Series 2009-3424 (JPMorgan Chase & Co. SPA)(a) |
| 1,000,000 | | | | 0.260 | | | | 10/01/16 | | | | 1,000,000 | |
University of Southern California Educational Facilities Authority VRDN RB ROCS-RR-II R-11064 Series 2007 (Citibank N.A.)(a) |
| 1,500,000 | | | | 0.260 | | | | 04/01/28 | | | | 1,500,000 | |
Victor Valley Community College GO VRDN Floater Certificates Series 2009-34C (Wells Fargo & Co.)(a) |
| 3,700,000 | | | | 0.250 | | | | 08/01/44 | | | | 3,700,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 241,382,050 | |
|
|
Puerto Rico(a) – 3.6% |
Puerto Rico Sales Tax Financing Corp. Municipal Trust Receipts VRDN RB Floater Series 2009 10B (Barclays Bank PLC LOC) |
| 2,500,000 | | | | 0.360 | | | | 08/01/57 | | | | 2,500,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB Floaters Series 2009-3034 (Morgan Stanley Municipal Products) |
| 450,000 | | | | 0.310 | | | | 08/01/57 | | | | 450,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB Floaters Series 2009-3036 (Morgan Stanley Municipal Products SPA) |
| 4,840,000 | | | | 0.310 | | | | 08/01/57 | | | | 4,840,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB ROCS-RR-II R-11890 Series 2010 (Citibank N.A. LOC) |
| 1,500,000 | | | | 0.270 | | | | 02/01/48 | | | | 1,500,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 9,290,000 | |
|
|
TOTAL INVESTMENTS – 98.8% | | $ | 250,672,050 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2% | | | 2,930,382 | |
|
|
NET ASSETS – 100.0% | | $ | 253,602,432 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
(a) | | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At February 28, 2011, these securities amounted to $92,564,818 or approximately 36.5% of net assets. |
Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
| | | | |
|
|
Investment Abbreviations: |
AGM | | — | | Insured by Assured Guaranty Municipal Corp. |
BHAC | | — | | Berkshire Hathaway Assurance Corp. |
COPS | | — | | Certificates of Participation |
CP | | — | | Commercial Paper |
FHLMC | | — | | Insured by Federal Home Loan Mortgage Corp. |
FNMA | | — | | Insured by Federal National Mortgage Association |
GO | | — | | General Obligation |
LOC | | — | | Letter of Credit |
LTD | | — | | Limited |
MF Hsg. | | — | | Multi-Family Housing |
NATL-RE | | — | | National Reinsurance Corp. |
RB | | — | | Revenue Bond |
RMKT | | — | | Remarketed |
ROCS | | — | | Reset Option Certificates |
RR | | — | | Revenue Refunding |
SPA | | — | | Stand-by Purchase Agreement |
TRANS | | — | | Tax Revenue Anticipation Notes |
VRDN | | — | | Variable Rate Demand Notes |
|
|
The accompanying notes are an integral part of these financial statements. 27
FINANCIAL SQUARE TAX-EXEMPT NEW YORK FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – 99.8% |
New York – 96.4% |
Buffalo Municipal Water Finance Authority Water System VRDN RB Refunding Series 2008 (JPMorgan Chase & Co. LOC) |
$ | 5,200,000 | | | | 0.230 | % | | | 07/01/35 | | | $ | 5,200,000 | |
Long Island Power Authority Electric System VRDN RB Series 1998 Subseries 1A RMKT (Bayerische Landesbank and Landesbank Baden-Wurttemberg LOC) |
| 2,500,000 | | | | 0.310 | | | | 05/01/33 | | | | 2,500,000 | |
Long Island Power Authority Electric System VRDN RB Series 1998 Subseries 2A (Westdeutsche Landesbank AG LOC) |
| 1,200,000 | | | | 0.280 | | | | 05/01/33 | | | | 1,200,000 | |
Long Island Power Authority Electric System VRDN RB Series 1998 Subseries 2B (Bayerische Landesbank LOC) |
| 1,000,000 | | | | 0.210 | | | | 05/01/33 | | | | 1,000,000 | |
Metropolitan Transportation Authority VRDN RB Dedicated Tax Fund Eagle Series 2006-0133 Class A (BHAC) (Citibank N.A.)(a) |
| 1,900,000 | | | | 0.260 | | | | 11/15/36 | | | | 1,900,000 | |
Metropolitan Transportation Authority VRDN RB Dedicated Tax Fund Refunding Series 2008 Subseries B-1 (Bank of Nova Scotia LOC) |
| 995,000 | | | | 0.240 | | | | 11/01/34 | | | | 995,000 | |
Metropolitan Transportation Authority VRDN RB Dedicated Tax Fund Refunding Series 2008 Subseries B-2 (BNP Paribas LOC) |
| 1,865,000 | | | | 0.240 | | | | 11/01/34 | | | | 1,865,000 | |
Metropolitan Transportation Authority VRDN RB Dedicated Tax Fund Refunding Series 2008 Subseries B-3 (Lloyds TSB Bank PLC LOC) |
| 2,600,000 | | | | 0.240 | | | | 11/01/34 | | | | 2,600,000 | |
Nassau County GO RANS Series 2010 A |
| 2,000,000 | | | | 1.250 | | | | 03/15/11 | | | | 2,000,636 | |
Nassau County IDA Civic Facility VRDN RB Refunding & Improvement for Cold Spring Harbor Laboratory Series 1999 RMKT (TD Bank N.A. SPA) |
| 7,205,000 | | | | 0.170 | | | | 01/01/34 | | | | 7,205,000 | |
Nassau County Interim Finance Authority RB Sales Tax Secured Series 2001 A-1 (AMBAC) |
| 900,000 | | | | 4.375 | | | | 11/15/11 | | | | 924,730 | |
New York City GO Bonds Series 2002 A |
| 2,200,000 | | | | 5.500 | | | | 08/01/11 | | | | 2,246,921 | |
New York City GO Bonds Series 2004 I |
| 1,230,000 | | | | 5.000 | | | | 08/01/11 | | | | 1,254,079 | |
New York City GO VRDN ROCS-RR-II R-11747 Series 2009 (Citibank N.A. SPA)(a) |
| 400,000 | | | | 0.260 | | | | 05/15/17 | | | | 400,000 | |
New York City GO VRDN Series 1993 Subseries A-4 (Bayerische Landesbank LOC) |
| 1,200,000 | | | | 0.250 | | | | 08/01/22 | | | | 1,200,000 | |
New York City GO VRDN Series 1993 Subseries A-4 (Westdeutsche Landesbank AG LOC) |
| 1,200,000 | | | | 0.250 | | | | 08/01/23 | | | | 1,200,000 | |
New York City GO VRDN Series 2002 Subseries C-2 (Bayerische Landesbank LOC) |
| 300,000 | | | | 0.280 | | | | 08/01/20 | | | | 300,000 | |
New York City GO VRDN Series 2002 Subseries C-3B RMKT (Lloyds TSB Bank PLC) |
| 400,000 | | | | 0.220 | | | | 08/01/20 | | | | 400,000 | |
New York City GO VRDN Series 2010 Subseries G-4 (Barclays Bank PLC) |
| 1,300,000 | | | | 0.200 | | | | 03/01/39 | | | | 1,300,000 | |
New York City Health & Hospital Corp. VRDN RB Health Systems Series 2008 B (GO of Corp.) (TD Bank N.A. LOC) |
| 2,000,000 | | | | 0.220 | | | | 02/15/31 | | | | 2,000,000 | |
New York City Health & Hospital Corp. VRDN RB Health Systems Series 2008 C (TD Bank N.A. LOC) |
| 3,500,000 | | | | 0.220 | | | | 02/15/31 | | | | 3,500,000 | |
New York City Health & Hospital Corp. VRDN RB Health Systems Series 2008 E (JPMorgan Chase & Co. LOC) |
| 1,400,000 | | | | 0.230 | | | | 02/15/26 | | | | 1,400,000 | |
New York City Housing Development Corp. MF Hsg. VRDN RB for 2 Gold Street Series 2006 A (FNMA) |
| 1,800,000 | | | | 0.250 | | | | 04/15/36 | | | | 1,800,000 | |
New York City Housing Development Corp. MF Hsg. VRDN RB for 201 Pearl Street Development Series 2006 A (FNMA) |
| 1,000,000 | | | | 0.250 | | | | 10/15/41 | | | | 1,000,000 | |
New York City Housing Development Corp. MF Hsg. VRDN RB for 90 West Street Series 2006 A (FNMA) |
| 1,000,000 | | | | 0.250 | | | | 03/15/36 | | | | 1,000,000 | |
New York City IDA Civic Facility VRDN RB ROCS-RR-II R-11558 Series 2008 (BHAC) (Citibank N.A.)(a) |
| 2,700,000 | | | | 0.270 | | | | 04/01/11 | | | | 2,700,000 | |
New York City Municipal Finance Authority Water & Sewer Systems VRDN RB ROCS-RR-II R-11894X Series 2010 (Citibank N.A. LOC)(a) |
| 465,000 | | | | 0.260 | | | | 06/15/29 | | | | 465,000 | |
New York City Municipal Water Finance Authority CP Series 2011-6 (Landesbank Baden-Wurttemberg and Landesbank Hessen-Thueringen SPA) |
| 1,200,000 | | | | 0.320 | | | | 04/05/11 | | | | 1,200,000 | |
New York City Municipal Water Finance Authority Water & Sewer Systems VRDN RB Series 2008 Subseries B-4 (BNP Paribas SPA) |
| 5,350,000 | | | | 0.230 | | | | 06/15/23 | | | | 5,350,000 | |
New York City Transitional Finance Authority RB Future Tax Secured Series 2009 A |
| 1,300,000 | | | | 2.000 | | | | 05/01/11 | | | | 1,303,693 | |
New York City Transitional Finance Authority RB Refunding for Future Tax Secured Series 2004 D2 |
| 1,795,000 | | | | 5.000 | | | | 11/01/11 | | | | 1,850,071 | |
New York City Transitional Finance Authority VRDN RB Eagle Series 2007-0019 Class A (Citibank N.A. SPA)(a) |
| 300,000 | | | | 0.260 | | | | 11/01/30 | | | | 300,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 1998 C (Bayerische Landesbank SPA) |
| 700,000 | | | | 0.230 | | | | 05/01/28 | | | | 700,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 2002 Subseries C4 (Landesbank Hessen-Thueringen SPA) |
| 1,025,000 | | | | 0.250 | | | | 08/01/31 | | | | 1,025,000 | |
New York City Transitional Finance Authority VRDN RB Recovery Series 2002-3 Subseries 3G (Bank of New York SPA) |
| 200,000 | | | | 0.200 | | | | 11/01/22 | | | | 200,000 | |
New York City Transitional Finance Authority VRDN RB Series 2002 Subseries 2F (Bayerische Landesbank SPA) |
| 2,600,000 | | | | 0.250 | | | | 11/01/22 | | | | 2,600,000 | |
New York City Trust Cultural Resources VRDN RB for Metropolitan Museum of Art Series 2006 A1 RMKT |
| 2,000,000 | | | | 0.220 | | | | 10/01/36 | | | | 2,000,000 | |
New York City Trust Cultural Resources VRDN RB for Metropolitan Museum of Art Series 2006 A2 RMKT |
| 1,300,000 | | | | 0.220 | | | | 10/01/36 | | | | 1,300,000 | |
28 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-EXEMPT NEW YORK FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
New York – (continued) |
| | | | | | | | | | | | | | |
New York City Trust Cultural Resources VRDN RB for Pierpont Morgan Library Series 2004 (JPMorgan Chase & Co. SPA) |
$ | 4,375,000 | | | | 0.230 | % | | | 02/01/34 | | | $ | 4,375,000 | |
New York City Trust Cultural Resources VRDN RB Refunding for American Museum of Natural History Series 2008 A2 (Bank of America N.A. SPA) |
| 4,000,000 | | | | 0.210 | | | | 04/01/27 | | | | 4,000,000 | |
New York City Trust Cultural Resources VRDN RB Refunding for American Museum of Natural History Series 2008 B1 (Wachovia Bank N.A. SPA) |
| 750,000 | | | | 0.200 | | | | 04/01/44 | | | | 750,000 | |
New York City Trust Cultural Resources VRDN RB Refunding for American Museum of Natural History Series 2008 B2 (Wachovia Bank N.A. SPA) |
| 1,500,000 | | | | 0.200 | | | | 04/01/44 | | | | 1,500,000 | |
New York City Trust Cultural Resources VRDN RB Refunding for American Museum of Natural History Series 2008 B3 (Wells Fargo Bank N.A. SPA) |
| 1,450,000 | | | | 0.200 | | | | 04/01/29 | | | | 1,450,000 | |
New York City Trust Cultural Resources VRDN RB Refunding for American Museum of Natural History Series 2009-3502 (JPMorgan Chase Bank & Co.)(a) |
| 500,000 | | | | 0.290 | | | | 01/01/37 | | | | 500,000 | |
New York City Trust Cultural Resources VRDN RB Refunding for Botanical Garden Series 2009 A (JPMorgan Chase & Co. LOC) |
| 2,000,000 | | | | 0.230 | | | | 07/01/32 | | | | 2,000,000 | |
New York State Dormitory Authority Austin Trust Certificates VRDN RB Series 2008-1195 (Bank of America N.A. SPA)(a) |
| 1,000,000 | | | | 0.320 | | | | 07/01/48 | | | | 1,000,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for Columbia University Series 2009 A |
| 1,280,000 | | | | 0.200 | | | | 09/01/39 | | | | 1,280,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for Rockefeller University Series 2005 A Convertible |
| 1,600,000 | | | | 0.230 | | | | 07/01/35 | | | | 1,600,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for Rockefeller University Series 2008 A |
| 500,000 | | | | 0.220 | | | | 07/01/39 | | | | 500,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for Rockefeller University Series 2009 B (U.S. Bank N.A. SPA) |
| 5,185,000 | | | | 0.230 | | | | 07/01/40 | | | | 5,185,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for University of Rochester Series 2003 C RMKT (JPMorgan Chase & Co. LOC) |
| 1,900,000 | | | | 0.240 | | | | 07/01/33 | | | | 1,900,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB for Columbia University Trust Receipts Series 2006-K1 Reg. D (Citibank N.A. SPA)(a) |
| 2,000,000 | | | | 0.260 | | | | 05/29/14 | | | | 2,000,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB ROCS-RR-II R-11560 for Memorial Sloan-Kettering Hospital Series 2008 (Citibank N.A. SPA)(a) |
| 2,100,000 | | | | 0.260 | | | | 07/01/16 | | | | 2,100,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB ROCS-RR-II R-11722 Series 2009 (Citibank N.A. SPA)(a) |
| 1,100,000 | | | | 0.260 | | | | 07/01/16 | | | | 1,100,000 | |
New York State Dormitory Authority State Supported Debt VRDN RB for Cornell University Series 2004 B RMKT (HSBC Bank USA N.A. SPA) |
| 2,535,000 | | | | 0.220 | | | | 07/01/33 | | | | 2,535,000 | |
New York State Dormitory Authority State Supported Debt VRDN RB for New York Public Library Series 1999 A RMKT (TD Bank N.A. LOC) |
| 390,000 | | | | 0.220 | | | | 07/01/28 | | | | 390,000 | |
New York State Dormitory Authority State Supported Debt VRDN RB for New York Public Library Series 1999 B RMKT (TD Bank N.A. LOC) |
| 965,000 | | | | 0.220 | | | | 07/01/28 | | | | 965,000 | |
New York State Dormitory Authority State Supported Debt VRDN RB for University of Rochester Series 2003 B Convertible (HSBC Bank USA N.A. LOC) |
| 3,600,000 | | | | 0.170 | | | | 07/01/33 | | | | 3,600,000 | |
New York State Dormitory Authority VRDN RB Floater Certificates for New York University Series 2009-91C (Wells Fargo Bank N.A.)(b) |
| 590,000 | | | | 0.400 | | | | 07/01/39 | | | | 590,000 | |
New York State Dormitory Authority VRDN RB for Cornell University Series 2000 B (JPMorgan Chase & Co. SPA) |
| 1,900,000 | | | | 0.230 | | | | 07/01/30 | | | | 1,900,000 | |
New York State Dormitory Authority VRDN RB for Metropolitan Museum of Art Series 1993 A |
| 3,317,000 | | | | 0.220 | | | | 07/01/15 | | | | 3,317,000 | |
New York State Dormitory Authority VRDN RB for Metropolitan Museum of Art Series 1993 B |
| 700,000 | | | | 0.220 | | | | 07/01/23 | | | | 700,000 | |
New York State Dormitory Authority VRDN RB Putters for Cornell University Series 2009-3383 (JPMorgan Chase & Co. SPA)(a) |
| 385,000 | | | | 0.260 | | | | 01/01/17 | | | | 385,000 | |
New York State Dormitory Authority VRDN RB Putters for New York University Series 2008-3233Z (JPMorgan Chase & Co.)(a) |
| 1,100,000 | | | | 0.260 | | | | 07/01/32 | | | | 1,100,000 | |
New York State Dormitory Authority VRDN RB Putters for Vassar College Series 2008-3204 (JPMorgan Chase & Co. SPA)(a) |
| 600,000 | | | | 0.260 | | | | 07/01/37 | | | | 600,000 | |
New York State Dormitory Authority VRDN RB Putters Series 2008-3209 (JPMorgan Chase & Co. SPA) |
| 3,055,000 | | | | 0.260 | | | | 01/01/30 | | | | 3,055,000 | |
New York State Dormitory Authority VRDN RB Putters Series 2010-3698Z (JPMorgan Chase & Co.)(a) |
| 100,000 | | | | 0.260 | | | | 03/15/14 | | | | 100,000 | |
New York State Dormitory Authority VRDN RB Secondary Issues Series 2007-1861 (Wells Fargo Bank)(a) |
| 3,545,000 | | | | 0.250 | | | | 07/01/39 | | | | 3,545,000 | |
New York State Environmental Facilities Corp. State Clean Water & Drinking RB Revolving Funds for New York City Municipal Water Project Series 2002-K |
| 1,000,000 | | | | 5.000 | | | | 06/15/11 | | | | 1,013,549 | |
New York State Housing Finance Agency Service Contract VRDN RB Refunding Series 2003 I (Landesbank Hessen-Thueringen LOC) |
| 700,000 | | | | 0.290 | | | | 03/15/31 | | | | 700,000 | |
New York State Housing Finance Agency VRDN RB 100 Maiden Lane Series 2004 A RMKT (FNMA) |
| 1,000,000 | | | | 0.230 | | | | 05/15/37 | | | | 1,000,000 | |
New York State Housing Finance Agency VRDN RB for 20 River Terrace Housing Series 2002 A RMKT (FNMA) |
| 1,000,000 | | | | 0.250 | | | | 05/15/34 | | | | 1,000,000 | |
New York State Housing Finance Agency VRDN RB for North End Series 2004 A RMKT (FNMA) |
| 3,500,000 | | | | 0.250 | | | | 11/15/36 | | | | 3,500,000 | |
New York State Housing Finance Agency VRDN RB for Taconic Housing West 17th Street Series 2009 A (FNMA) |
| 1,400,000 | | | | 0.220 | | | | 05/15/39 | | | | 1,400,000 | |
The accompanying notes are an integral part of these financial statements. 29
FINANCIAL SQUARE TAX-EXEMPT NEW YORK FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
New York – (continued) |
| | | | | | | | | | | | | | |
New York State Local Government Assistance Corp. Austin Trust Certificates VRDN RB Series 2008-3506 (AGM) (Bank of America N.A.)(a) |
$ | 200,000 | | | | 0.320 | % | | | 04/01/16 | | | $ | 200,000 | |
New York State Local Government Assistance Corp. RB Refunding Senior Lien Series 2007 A |
| 1,500,000 | | | | 5.000 | | | | 04/01/11 | | | | 1,505,896 | |
New York State Local Government Assistance Corp. VRDN RB Series 1995 C (Landesbank Hessen-Thueringen SPA) |
| 2,100,000 | | | | 0.230 | | | | 04/01/25 | | | | 2,100,000 | |
New York State Power Authority CP Series 2011 (Bank of Nova Scotia, Bank of New York, JPMorgan Chase & Co., State Street Bank and Trust, Wells Fargo Bank N.A. SPA) |
| 3,500,000 | | | | 0.300 | | | | 03/01/11 | | | | 3,500,000 | |
| 2,500,000 | | | | 0.290 | | | | 03/02/11 | | | | 2,500,000 | |
New York State Thruway Authority Highway and Bridge Trust Fund RB Refunding Series 2002 C (NATL-RE) |
| 2,250,000 | | | | 5.250 | | | | 04/01/11 | | | | 2,258,977 | |
Port Authority of New York & New Jersey CP Series 2011 |
| 2,000,000 | | | | 0.300 | | | | 03/01/11 | | | | 2,000,000 | |
Port Authority of New York & New Jersey VRDN RB ROCS-RR-II R 11793 Series 2009(a) |
| 500,000 | | | | 0.270 | | | | 03/15/27 | | | | 500,000 | |
Port Authority of New York & New Jersey VRDN RB ROCS-RR-II R-664 Series 2006 (Citibank N.A.)(a) |
| 2,460,000 | | | | 0.260 | | | | 10/01/14 | | | | 2,460,000 | |
Suffolk County Water Authority VRDN RB Putters Series 2009-3357 (MBIA) (JPMorgan Chase & Co. SPA)(a) |
| 3,260,000 | | | | 0.290 | | | | 06/01/24 | | | | 3,260,000 | |
Tompkins County IDA VRDN RB for Cornell University Civic Facility Series 2002 A (JPMorgan Chase & Co. SPA) |
| 1,000,000 | | | | 0.230 | | | | 07/01/30 | | | | 1,000,000 | |
Triborough Bridge & Tunnel Authority RB General Series 2010 A-1 (GO of Authority) |
| 5,035,000 | | | | 2.000 | | | | 11/15/11 | | | | 5,090,057 | |
Triborough Bridge & Tunnel Authority RB Refunding General Series 2002 B (GO of Authority) |
| 2,000,000 | | | | 5.000 | | | | 11/15/11 | | | | 2,065,265 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 158,460,874 | |
|
|
Puerto Rico(a) – 3.4% |
Puerto Rico Sales Tax Financing Corp. Municipal Trust Receipts VRDN RB Floater Series 2009 10B (Barclays Bank PLC LOC) |
| 1,500,000 | | | | 0.360 | | | | 08/01/57 | | | | 1,500,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB Floaters Series 2009-3034 (Morgan Stanley Municipal Products) |
| 300,000 | | | | 0.310 | | | | 08/01/57 | | | | 300,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB Floaters Series 2009-3036 (Morgan Stanley Municipal Products SPA) |
| 2,465,000 | | | | 0.310 | | | | 08/01/57 | | | | 2,465,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB ROCS-RR-II R-11890 Series 2010 (Citibank N.A. LOC) |
| 1,300,000 | | | | 0.270 | | | | 02/01/48 | | | | 1,300,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 5,565,000 | |
|
|
TOTAL INVESTMENTS – 99.8% | | $ | 164,025,874 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2% | | | 266,688 | |
|
|
NET ASSETS – 100.0% | | $ | 164,292,562 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
(a) | | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At February 28, 2011, these securities amounted to $30,180,000 or approximately 18.4% of net assets. |
|
(b) | | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At February 28, 2011, these securities amounted to $590,000 or approximately 0.4% of net assets. |
Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
| | | | |
|
|
Investment Abbreviations: |
AGM | | — | | Insured by Assured Guaranty Municipal Corp. |
AMBAC | | — | | Insured by American Municipal Bond Assurance Corp. |
BHAC | | — | | Berkshire Hathaway Assurance Corp. |
CP | | — | | Commercial Paper |
FNMA | | — | | Insured by Federal National Mortgage Association |
GO | | — | | General Obligation |
IDA | | — | | Industrial Development Authority |
LOC | | — | | Letter of Credit |
MBIA | | — | | Insured by Municipal Bond Investors Assurance |
MF Hsg. | | — | | Multi-Family Housing |
NATL-RE | | — | | National Reinsurance Corp. |
RANS | | — | | Revenue Anticipation Notes |
RB | | — | | Revenue Bond |
RMKT | | — | | Remarketed |
ROCS | | — | | Reset Option Certificates |
RR | | — | | Revenue Refunding |
SPA | | — | | Stand-by Purchase Agreement |
VRDN | | — | | Variable Rate Demand Notes |
|
|
30 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – 98.3% |
Alabama – 1.7% |
Alabama Special Care Facility Financing Authority VRDN RB Birmingham Putters Series 2008-2959 (JPMorgan Chase & Co. SPA)(a) |
$ | 6,370,000 | | | | 0.260 | % | | | 11/15/14 | | | $ | 6,370,000 | |
Alabama Special Care Facility Financing Authority VRDN RB Mobile Floaters Series 2008-2605 (Morgan Stanley Municipal Products)(a) |
| 27,000,000 | | | | 0.260 | | | | 11/15/39 | | | | 27,000,000 | |
Auburn University VRDN RB Putters Series 2009-3516 (AGM) (JPMorgan Chase & Co.)(a) |
| 4,845,000 | | | | 0.310 | | | | 12/01/29 | | | | 4,845,000 | |
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1995 A |
| 21,900,000 | | | | 0.210 | | | | 05/01/22 | | | | 21,900,000 | |
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1995 C |
| 4,500,000 | | | | 0.270 | | | | 10/01/22 | | | | 4,500,000 | |
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1996 A |
| 21,000,000 | | | | 0.210 | | | | 11/01/21 | | | | 21,000,000 | |
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1999 B |
| 25,000,000 | | | | 0.210 | | | | 06/01/22 | | | | 25,000,000 | |
Gadsden IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1994 |
| 6,150,000 | | | | 0.210 | | | | 06/01/15 | | | | 6,150,000 | |
Mobile City IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1994 |
| 18,200,000 | | | | 0.210 | | | | 06/01/15 | | | | 18,200,000 | |
Parrish IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1994 A |
| 28,850,000 | | | | 0.210 | | | | 06/01/15 | | | | 28,850,000 | |
University of Alabama VRDN RB Series 1993 B |
| 900,000 | | | | 0.270 | | | | 10/01/13 | | | | 900,000 | |
Wilsonville IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 2005 D |
| 18,250,000 | | | | 0.210 | | | | 01/01/24 | | | | 18,250,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 182,965,000 | |
|
|
Alaska – 0.2% |
Alaska State Housing Finance Corp. Home Mortgage VRDN RB Series 2009 D (Bank of America SPA) |
| 10,000,000 | | | | 0.270 | | | | 12/01/40 | | | | 10,000,000 | |
Alaska State Housing Finance Corp. VRDN RB Floaters Series 2009-3001 (Morgan Stanley & Co.)(a) |
| 10,365,000 | | | | 0.260 | | | | 12/01/41 | | | | 10,365,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 20,365,000 | |
|
|
Arizona – 1.6% |
Arizona Health Facilities Authority VRDN RB Floater for Banner Health Series 2008-51C (Wells Fargo Bank N.A.)(a) |
| 9,750,000 | | | | 0.260 | | | | 01/01/38 | | | | 9,750,000 | |
Arizona Health Facilities Authority VRDN RB Floaters Series 2007-1782 (Morgan Stanley Municipal Products)(a) |
| 14,096,500 | | | | 0.260 | | | | 01/01/37 | | | | 14,096,500 | |
Arizona Health Facilities Authority VRDN RB for Banner Health Series 2008 C (Bank of Nova Scotia LOC) |
| 8,825,000 | | | | 0.230 | | | | 01/01/35 | | | | 8,825,000 | |
Arizona Health Facilities Authority VRDN RB for Banner Health Series 2008 F (JPMorgan Chase & Co. LOC) |
| 2,170,000 | | | | 0.280 | | | | 01/01/29 | | | | 2,170,000 | |
Arizona State Transportation Board Highway VRDN RB Putters Series 2008-3151 (JPMorgan Chase & Co. SPA)(a) |
| 6,605,000 | | | | 0.260 | | | | 07/01/16 | | | | 6,605,000 | |
Arizona State Transportation Board Highway VRDN RB Putters Series 2009-3466 (JPMorgan Chase & Co.)(a) |
| 4,425,000 | | | | 0.260 | | | | 07/01/16 | | | | 4,425,000 | |
Banner Health Puttable Floating Option Tax-Exempt Receipts VRDN RB P-Floats-PT-4511 Series 2008 (Wells Fargo Bank N.A. SPA)(a) |
| 14,620,000 | | | | 0.260 | | | | 01/01/35 | | | | 14,620,000 | |
Phoenix Civic Improvement Corp. Wastewater System VRDN RB Putters Series 2009-3458 (JPMorgan Chase & Co.)(a) |
| 7,140,000 | | | | 0.260 | | | | 01/01/17 | | | | 7,140,000 | |
Pima County Arizona GO Bonds Series 2009 A |
| 10,525,000 | | | | 3.000 | | | | 07/01/11 | | | | 10,618,084 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Eagle Series 2006-0014 A (Citibank N.A. SPA)(a) |
| 13,275,000 | | | | 0.260 | | | | 01/01/35 | | | | 13,275,000 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Eagle Series 2006-0141 A (Citibank N.A. SPA)(a) |
| 16,500,000 | | | | 0.260 | | | | 01/01/37 | | | | 16,500,000 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Eagle Series 2007-0012 A (Landesbank Hessen-Thueringen SPA)(a) |
| 15,850,000 | | | | 0.260 | | | | 01/01/37 | | | | 15,850,000 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Floater Trust Series 2010-21W (Barclays Bank PLC)(a) |
| 5,000,000 | | | | 0.270 | | | | 01/01/38 | | | | 5,000,000 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Floaters Series 2009-3078 (Morgan Stanley & Co.)(a) |
| 6,000,000 | | | | 0.270 | | | | 01/01/38 | | | | 6,000,000 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Floaters Series 2009-40C (Wells Fargo & Co.)(a) |
| 13,100,000 | | | | 0.260 | | | | 01/01/39 | | | | 13,100,000 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB Floaters Trust Series 2009-9W (Barclays Bank PLC)(a) |
| 4,050,000 | | | | 0.270 | | | | 01/01/38 | | | | 4,050,000 | |
Salt River Project Agricultural Improvement & Power District Electric Systems VRDN RB ROCS-RR-II R-11712 Series 2009 (Citibank N.A. SPA)(a) |
| 4,635,000 | | | | 0.260 | | | | 01/01/17 | | | | 4,635,000 | |
Salt River Project VRDN RB Putters Series 2008-3226 (JPMorgan Chase & Co. SPA)(a) |
| 9,620,000 | | | | 0.260 | | | | 01/01/32 | | | | 9,620,000 | |
Salt River Project VRDN RB Putters Series 2009-3307 (JPMorgan Chase & Co. SPA)(a) |
| 3,395,000 | | | | 0.260 | | | | 01/01/33 | | | | 3,395,000 | |
Tempe Transportation Excise Tax VRDN RB Series 2006 (Royal Bank of Canada SPA) |
| 5,460,000 | | | | 0.250 | | | | 07/01/36 | | | | 5,460,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 175,134,584 | |
|
|
California – 14.3% |
Bay Area Toll Authority California Toll Bridge VRDN RB Eagle Series 2008-0056 Class A (Citibank N.A. SPA)(a) |
| 6,455,000 | | | | 0.260 | | | | 04/01/47 | | | | 6,455,000 | |
The accompanying notes are an integral part of these financial statements. 31
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
California – (continued) |
| | | | | | | | | | | | | | |
Bay Area Toll Authority California Toll Bridge VRDN RB Floaters Series 2009-2978 (Morgan Stanley & Co.)(a) |
$ | 10,835,000 | | | | 0.260 | % | | | 04/01/47 | | | $ | 10,835,000 | |
Bay Area Toll Authority California Toll Bridge VRDN RB Floaters Series 2009-2985 (Morgan Stanley & Co.)(a) |
| 26,290,000 | | | | 0.260 | | | | 04/01/39 | | | | 26,290,000 | |
Bay Area Toll Authority California Toll Bridge VRDN RB ROCS RR-II R-11453 Series 2008 (Citibank N.A.)(a) |
| 5,900,000 | | | | 0.260 | | | | 04/01/14 | | | | 5,900,000 | |
Bay Area Toll Authority VRDN RB Putters Series 2008-3130 (JPMorgan Chase & Co. SPA)(a) |
| 6,145,000 | | | | 0.260 | | | | 10/01/13 | | | | 6,145,000 | |
California Educational Facilities Authority Austin Trust Certificates VRDN RB for Claremont McKenna College Series 2009-1208 (Bank of America SPA)(a) |
| 10,000,000 | | | | 0.320 | | | | 01/01/39 | | | | 10,000,000 | |
California Educational Facilities Authority Austin Trust Certificates VRDN RB for Southern California University Series 2009-1207 (Bank of America N.A. SPA)(a) |
| 4,440,000 | | | | 0.320 | | | | 10/01/39 | | | | 4,440,000 | |
California Educational Facilities Authority VRDN RB for Stanford University Floater Certificates Series 2001-487 (Morgan Stanley & Co. SPA)(a) |
| 9,000,000 | | | | 0.260 | | | | 12/01/32 | | | | 9,000,000 | |
California Educational Facilities Authority VRDN RB Putters for Claremont McKenna College Series 2009-3580 (JPMorgan Chase & Co.)(a) |
| 5,780,000 | | | | 0.260 | | | | 01/01/16 | | | | 5,780,000 | |
California Educational Facilities Authority VRDN RB Putters Series 2008-2953 (JPMorgan Chase & Co. SPA)(a) |
| 1,455,000 | | | | 0.260 | | | | 10/01/15 | | | | 1,455,000 | |
California Health Facilities Financing Authority VRDN RB for Kaiser Permanente Series 2006 C |
| 4,200,000 | | | | 0.240 | | | | 06/01/41 | | | | 4,200,000 | |
California Health Facilities Financing Authority VRDN RB for Scripps Health Series 2008 B (Wachovia Bank N.A. LOC) |
| 2,490,000 | | | | 0.230 | | | | 10/01/31 | | | | 2,490,000 | |
California Health Facilities Financing Authority VRDN RB for Stanford Hospital Floaters Series 2010-3193 (Morgan Stanley & Co.)(a) |
| 4,600,000 | | | | 0.270 | | | | 11/15/36 | | | | 4,600,000 | |
California Health Facilities Financing Authority VRDN RB Refunding for Lucile Salter Packard Children’s Hospital Series 2008 B |
| 5,000,000 | | | | 0.210 | | | | 08/15/33 | | | | 5,000,000 | |
California Health Facilities Financing Authority VRDN RB Refunding for Lucille Salter Packard Children’s Hospital Series 2008 C |
| 12,520,000 | | | | 0.210 | | | | 08/15/23 | | | | 12,520,000 | |
California Health Facilities Financing Authority VRDN RB Refunding for Stanford Hospital Series 2008 B-1 |
| 12,900,000 | | | | 0.210 | | | | 11/15/45 | | | | 12,900,000 | |
California Health Facilities Financing Authority VRDN RB Sutter Health Putters Series 2010-3765 (JPMorgan Chase & Co.)(a) |
| 9,695,000 | | | | 0.260 | | | | 05/15/39 | | | | 9,695,000 | |
California Health Facilities Financing Authority VRDN RB Sutter Health Series 2007-1858 (Wells Fargo Bank N.A.)(a) |
| 8,197,000 | | | | 0.260 | | | | 11/15/42 | | | | 8,197,000 | |
California Health Facilities VRDN RB Sutter Health Putters Series 2008-3175 (JPMorgan Chase & Co. SPA)(a) |
| 24,170,000 | | | | 0.260 | | | | 05/15/14 | | | | 24,170,000 | |
California State Department of Water Resources CP Series 2010 (Landesbank Hessen-Thueringen SPA) |
| 6,081,000 | | | | 0.350 | | | | 03/03/11 | | | | 6,081,000 | |
California State Department of Water Resources Power Supply VRDN RB Series 2002 B-6 (California State Teachers Retirement System and JPMorgan Chase & Co.) |
| 25,000,000 | | | | 0.260 | | | | 05/01/22 | | | | 25,000,000 | |
California State Department of Water Resources Power Supply VRDN RB Series 2002 C-01 (Bank of America N.A. and California State Teachers Retirement System) |
| 60,000,000 | | | | 0.230 | | | | 05/01/22 | | | | 60,000,000 | |
California State Department of Water Resources Power Supply VRDN RB Series 2002 C-10 (Landesbank Hessen-Thueringen LOC) |
| 14,400,000 | | | | 0.220 | | | | 05/01/22 | | | | 14,400,000 | |
California State Department of Water Resources Power Supply VRDN RB Series 2002 C-17 (California State Teachers Retirement System and Wells Fargo Bank N.A.) |
| 10,800,000 | | | | 0.230 | | | | 05/01/22 | | | | 10,800,000 | |
California State Department of Water Resources VRDN RB Putters Series 2009-3361 (NATL-RE) (JPMorgan Chase & Co. SPA)(a) |
| 2,000,000 | | | | 0.260 | | | | 06/01/13 | | | | 2,000,000 | |
California State Department of Water Resources VRDN RB ROCS-R-II R-11552 Central Valley Project Series 2008 (BHAC) (Citibank N.A. SPA)(a) |
| 7,140,000 | | | | 0.260 | | | | 12/01/11 | | | | 7,140,000 | |
California State University VRDN RB ROCS RR-II R-11568 Series 2008 (BHAC) (Citibank N.A.)(a) |
| 7,045,000 | | | | 0.270 | | | | 05/01/16 | | | | 7,045,000 | |
California Statewide Communities Development Authority CP Series 2010 |
| 23,500,000 | | | | 0.370 | | | | 03/01/11 | | | | 23,500,000 | |
California Statewide Communities Development Authority for Kaiser Permanente CP Series 2010 |
| 13,000,000 | | | | 0.360 | | | | 04/07/11 | | | | 13,000,000 | |
| 20,000,000 | | | | 0.370 | | | | 06/08/11 | | | | 20,000,000 | |
| 5,000,000 | | | | 0.380 | | | | 06/08/11 | | | | 5,000,000 | |
| 23,000,000 | | | | 0.380 | | | | 08/01/11 | | | | 23,000,000 | |
| 20,000,000 | | | | 0.380 | | | | 08/15/11 | | | | 20,000,000 | |
| 30,000,000 | | | | 0.390 | | | | 09/01/11 | | | | 30,000,000 | |
California Statewide Communities Development Authority for Kaiser Permanente CP Series 2010 E |
| 24,000,000 | | | | 0.390 | | | | 06/20/11 | | | | 24,000,000 | |
California Statewide Communities Development Authority for Kaiser Permanente CP Series 2010 S-K |
| 23,600,000 | | | | 0.380 | | | | 08/01/11 | | | | 23,600,000 | |
California Statewide Communities Development Authority for Kaiser Permanente CP Series 2011 |
| 15,000,000 | | | | 0.390 | | | | 09/01/11 | | | | 15,000,000 | |
California Statewide Communities Development Authority VRDN RB Floaters for Kaiser Permanente Series 2008-2635 (BHAC) (Morgan Stanley & Co.)(a) |
| 5,405,000 | | | | 0.260 | | | | 04/01/33 | | | | 5,405,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2002 B |
| 46,100,000 | | | | 0.240 | | | | 11/01/30 | | | | 46,100,000 | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2004 L |
| 57,400,000 | | | | 0.240 | | | | 04/01/38 | | | | 57,400,000 | |
32 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
California – (continued) |
| | | | | | | | | | | | | | |
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2004 M |
$ | 32,900,000 | | | | 0.240 | % | | | 04/01/38 | | | $ | 32,900,000 | |
California Statewide Communities Development Authority VRDN RB for Sutter Health Floaters Series 2009-3102 (Morgan Stanley & Co.)(a) |
| 2,485,000 | | | | 0.260 | | | | 11/15/48 | | | | 2,485,000 | |
California Statewide Communities Development Authority VRDN RB ROCS-RR-II R-11672 for Kaiser Foundation Series 2008 (BHAC) (Citibank N.A.)(a) |
| 10,035,000 | | | | 0.260 | | | | 09/01/34 | | | | 10,035,000 | |
California Statewide Communities Development Authority VRDN RB ROCS-RR-II R-1563 Series 2008 (BHAC) (Citibank N.A.)(a) |
| 9,800,000 | | | | 0.260 | | | | 04/01/26 | | | | 9,800,000 | |
City of Berkeley GO TRANS Series 2010 |
| 24,900,000 | | | | 2.000 | | | | 06/30/11 | | | | 25,030,697 | |
Desert Community College District GO VRDN Floaters Series 2009-3016 (AGM) (Morgan Stanley & Co. SPA)(a) |
| 2,000,000 | | | | 0.270 | | | | 08/01/32 | | | | 2,000,000 | |
East Bay Municipal Utility District Water System VRDN RB Refunding Series 2008 Subseries A-1 (RMKT) (Royal Bank of Canada SPA) |
| 9,000,000 | | | | 0.210 | | | | 06/01/38 | | | | 9,000,000 | |
Glendale California VRDN COPS for Police Building Project Series 2000 (JPMorgan Chase & Co. SPA) |
| 3,000,000 | | | | 0.280 | | | | 06/01/30 | | | | 3,000,000 | |
Long Beach Unified School District GO VRDN Floaters Series 2009-3022 (Morgan Stanley & Co.)(a) |
| 3,600,000 | | | | 0.270 | | | | 08/01/33 | | | | 3,600,000 | |
Los Angeles Community College GO VRDN Putters Series 2008-3287 (JPMorgan Chase & Co. SPA)(a) |
| 8,995,000 | | | | 0.260 | | | | 08/01/16 | | | | 8,995,000 | |
Los Angeles Community College GO VRDN Putters Series 2010-3776Z (JPMorgan Chase & Co.)(a) |
| 7,425,000 | | | | 0.260 | | | | 08/01/16 | | | | 7,425,000 | |
Los Angeles Community Redevelopment Agency MF Hsg. VRDN RB for Metropolitan Apartments Series 1985 RMKT (FNMA) |
| 8,755,000 | | | | 0.250 | | | | 12/15/24 | | | | 8,755,000 | |
Los Angeles County GO TRANS Series 2010 |
| 243,000,000 | | | | 2.000 | | | | 06/30/11 | | | | 243,966,574 | |
Los Angeles County Housing Authority MF Hsg. VRDN RB Refunding for Malibu Meadows II Series 1998 C (FNMA) |
| 4,599,000 | | | | 0.230 | | | | 04/15/28 | | | | 4,599,000 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax VRDN RB Refunding Proposition C-2nd Series 2009 A-1 (Bank of Nova Scotia SPA) |
| 32,175,000 | | | | 0.220 | | | | 07/01/23 | | | | 32,175,000 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax VRDN RB Refunding Series 2008 A-1 (Bank of America N.A. SPA) |
| 3,060,000 | | | | 0.270 | | | | 07/01/31 | | | | 3,060,000 | |
Los Angeles County VRDN RB ROCS-RR-II R-13101 CE Series 2010 (Citibank N.A.)(a) |
| 51,500,000 | | | | 0.280 | | | | 06/30/11 | | | | 51,500,000 | |
Los Angeles Department of Airports Municipal Trust Receipts VRDN RB for Los Angeles International Airport Floater Series 2010 80W-144 (Barclays Bank PLC)(a) |
| 2,600,000 | | | | 0.240 | | | | 05/15/31 | | | | 2,600,000 | |
Los Angeles Department of Airports VRDN RB for Los Angeles International Airport Putters Series 2010-3838 (JPMorgan Chase & Co.)(a) |
| 2,800,000 | | | | 0.260 | | | | 05/15/40 | | | | 2,800,000 | |
Los Angeles Department of Airports VRDN RB ROCS RR-II R-11881 Series 2010 (Citibank N.A.)(a) |
| 5,000,000 | | | | 0.260 | | | | 05/15/18 | | | | 5,000,000 | |
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2002 A-2 (JPMorgan Chase & Co.) |
| 27,800,000 | | | | 0.240 | | | | 07/01/35 | | | | 27,800,000 | |
Los Angeles Department of Water & Power VRDN RB Putters Series 2009-3422 (JPMorgan Chase & Co. SPA)(a) |
| 6,660,000 | | | | 0.260 | | | | 07/01/16 | | | | 6,660,000 | |
Los Angeles Department of Water & Power VRDN RB ROCS-RR-II R-11555 Series 2008 (BHAC) (Citibank N.A. SPA)(a) |
| 8,085,000 | | | | 0.260 | | | | 07/01/15 | | | | 8,085,000 | |
Los Angeles Department of Water & Power VRDN RB Series 2002 Subseries A-3 (Lloyds TSB Bank PLC SPA) |
| 20,525,000 | | | | 0.220 | | | | 07/01/35 | | | | 20,525,000 | |
Los Angeles Department of Water & Power Waterworks VRDN RB Series 2001 Subseries B-4(b) |
| 10,800,000 | | | | 0.250 | | | | 07/01/35 | | | | 10,800,000 | |
Los Angeles Unified School District GO TRANS Series 2010 A |
| 43,650,000 | | | | 2.000 | | | | 06/30/11 | | | | 43,841,097 | |
Los Angeles Unified School District GO VRDN Putters Series 2009-3494Z (JPMorgan Chase & Co.)(a) |
| 3,420,000 | | | | 0.260 | | | | 01/01/29 | | | | 3,420,000 | |
Metropolitan Water District Southern California Waterworks VRDN RB Putters Series 2009-3289 (JPMorgan Chase & Co.)(a) |
| 2,225,000 | | | | 0.260 | | | | 07/01/31 | | | | 2,225,000 | |
Metropolitan Water District Southern California Waterworks VRDN RB ROCS-RR-II R-11301 Series 2007 (Citibank N.A. SPA)(a) |
| 6,115,000 | | | | 0.260 | | | | 07/01/15 | | | | 6,115,000 | |
Newport Beach VRDN RB ROCS RR-II R-11753 for Hoag Memorial Hospital Series 2009 (Citibank N.A.)(a) |
| 8,550,000 | | | | 0.260 | | | | 06/01/13 | | | | 8,550,000 | |
Orange County Apartment Development VRDN RB for Park Ridge Villas Series 1998 (FNMA) |
| 2,900,000 | | | | 0.240 | | | | 11/15/28 | | | | 2,900,000 | |
Orange County Apartment Development VRDN RB Refunding for Larkspur Canyon Apartments Series 1997 A (FNMA LOC) |
| 200,000 | | | | 0.240 | | | | 06/15/37 | | | | 200,000 | |
Orange County Apartment Development VRDN RB Refunding for Riverbend Apartments Series 1999 B (FHLMC) (Bank of America N.A. LOC) |
| 27,700,000 | | | | 0.230 | | | | 12/01/29 | | | | 27,700,000 | |
Orange County Sanitation District VRDN COPS Putters Series 2010-3773Z (AGM) (JPMorgan Chase & Co.)(a) |
| 4,350,000 | | | | 0.260 | | | | 08/01/15 | | | | 4,350,000 | |
Orange County Sanitation District VRDN COPS Series 2000 A (Dexia Credit Local SPA) |
| 9,200,000 | | | | 0.260 | | | | 08/01/29 | | | | 9,200,000 | |
Orange County Sanitation District VRDN COPS Series 2000 B (Dexia Credit Local SPA) |
| 14,300,000 | | | | 0.260 | | | | 08/01/30 | | | | 14,300,000 | |
Orange County Water District VRDN COPS Floater Series 2010-3192 (Morgan Stanley & Co.)(a) |
| 5,240,000 | | | | 0.270 | | | | 08/15/39 | | | | 5,240,000 | |
Orange County Water District VRDN COPS ROCS RR II R-11782-1 Series 2009 (Citibank N.A.)(a) |
| 9,000,000 | | | | 0.260 | | | | 02/15/35 | | | | 9,000,000 | |
The accompanying notes are an integral part of these financial statements. 33
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
California – (continued) |
| | | | | | | | | | | | | | |
Riverside County Transportation Commission Sales Tax VRDN RB Limited Tax Series 2009 B (JPMorgan Chase & Co. SPA) |
$ | 6,500,000 | | | | 0.270 | % | | | 06/01/29 | | | $ | 6,500,000 | |
Sacramento County Housing Authority VRDN RB Refunding for River Terrace Apartments Series 1996 (FNMA LOC) |
| 4,900,000 | | | | 0.240 | | | | 07/15/29 | | | | 4,900,000 | |
Sacramento County Sanitation District Financing Authority VRDN RB Series 2005-1034 (NATL-RE) (JPMorgan Chase & Co. SPA)(a) |
| 3,325,000 | | | | 0.260 | | | | 08/01/13 | | | | 3,325,000 | |
San Diego Community College Austin Trust Certificates GO VRDN Series 2008-3020X (AGM) (Bank of America N.A.)(a) |
| 6,000,000 | | | | 0.320 | | | | 08/01/32 | | | | 6,000,000 | |
San Diego Community College District GO VRDN Putters Series 2009-3415 (JPMorgan Chase & Co.)(a) |
| 6,635,000 | | | | 0.260 | | | | 02/01/17 | | | | 6,635,000 | |
San Diego County Water Authority CP Series 2011 (BNP Paribas SPA) |
| 10,000,000 | | | | 0.300 | | | | 03/01/11 | | | | 10,000,000 | |
San Diego County Water Authority VRDN COPS Putters Series 2008-2873 (AGM) (JPMorgan Chase & Co.)(a) |
| 4,465,000 | | | | 0.260 | | | | 05/01/13 | | | | 4,465,000 | |
San Diego Water Authority CP Series 2011 (Bayerische Landesbank SPA) |
| 24,100,000 | | | | 0.300 | | | | 03/01/11 | | | | 24,100,000 | |
San Francisco Bay Area Rapid Transit District GO VRDN ROCS RR-II R-11251 Series 2007 (Citibank N.A.)(a) |
| 10,340,000 | | | | 0.260 | | | | 08/01/15 | | | | 10,340,000 | |
San Francisco Bay Area Rapid Transit District GO VRDN ROCS-RR-II R-11285 Series 2007 (Citibank N.A. SPA)(a) |
| 4,725,000 | | | | 0.260 | | | | 08/01/15 | | | | 4,725,000 | |
San Francisco Bay Area Rapid Transportation District GO VRDN Eagle Series 2007-0100 A (Landesbank Hessen-Wurttemberg SPA)(a) |
| 8,900,000 | | | | 0.260 | | | | 08/01/35 | | | | 8,900,000 | |
San Francisco City & County GO VRDN Series 2010 48C(a) |
| 10,120,000 | | | | 0.250 | | | | 06/15/35 | | | | 10,120,000 | |
San Francisco City & County Public Utilities Commission Water VRDN RB Floaters Series 2007-2190 (AGM) (Wells Fargo Bank N.A.)(a) |
| 5,000,000 | | | | 0.290 | | | | 11/01/31 | | | | 5,000,000 | |
San Francisco City & County Public Utilities Commission Water VRDN RB Floaters Series 2010-3153 (Morgan Stanley & Co.)(a) |
| 6,500,000 | | | | 0.270 | | | | 11/01/39 | | | | 6,500,000 | |
San Mateo County Community College District GO VRDN Floaters Series 2010-3166X (Morgan Stanley & Co.)(a) |
| 9,068,182 | | | | 0.260 | | | | 09/01/38 | | | | 9,068,182 | |
Santa Clara County Financing Authority VRDN RB Camino Hospital Series 2009 A (Wells Fargo & Co. LOC) |
| 10,300,000 | | | | 0.230 | | | | 02/01/44 | | | | 10,300,000 | |
Santa Clara Valley Transportation Authority Sales Tax VRDN RB Refunding for Measure A Series 2008 D RMKT (Sumitomo Mitsui Banking Corp. SPA) |
| 26,675,000 | | | | 0.210 | | | | 04/01/36 | | | | 26,675,000 | |
Southern California Public Power Authority Project VRDN RB Series 2009 (Bank of America N.A. LOC) |
| 4,445,000 | | | | 0.250 | | | | 07/01/36 | | | | 4,445,000 | |
University of California VRDN RB Floaters Certificates Series 2009-7C (Wells Fargo & Co. SPA)(a) |
| 17,460,000 | | | | 0.250 | | | | 05/15/39 | | | | 17,460,000 | |
University of California VRDN RB Floaters Series 2009-3066X (Morgan Stanley & Co.)(a) |
| 10,829,450 | | | | 0.260 | | | | 05/15/34 | | | | 10,829,450 | |
University of California VRDN RB Putters Series 2008-2649Z (JPMorgan Chase & Co. SPA)(a) |
| 3,800,000 | | | | 0.260 | | | | 05/15/14 | | | | 3,800,000 | |
University of California VRDN RB ROCS RR II R-11886X Series 2010 (Citibank N.A.)(a) |
| 2,700,000 | | | | 0.260 | | | | 05/15/17 | | | | 2,700,000 | |
University of California VRDN RB ROCS RR-II R-11661 Series 2008 (AGM) (Citibank N.A.)(a) |
| 13,900,000 | | | | 0.260 | | | | 05/15/32 | | | | 13,900,000 | |
University of California VRDN RB ROCS-R-II R-11567 Series 2008 (BHAC) (Citibank N.A. SPA)(a) |
| 3,440,000 | | | | 0.260 | | | | 05/15/31 | | | | 3,440,000 | |
University of Southern California Educational Facilities Authority VRDN RB Eagle Series 2007-0064 Class A (Citibank N.A.)(a) |
| 13,700,000 | | | | 0.260 | | | | 10/01/37 | | | | 13,700,000 | |
University of Southern California Educational Facilities Authority VRDN RB Floaters Series 2009-3067X (Morgan Stanley & Co.) |
| 9,590,000 | | | | 0.260 | | | | 10/01/39 | | | | 9,590,000 | |
University of Southern California Educational Facilities Authority VRDN RB Floaters Trust Series 2009-11B Reg. D (Barclays Bank PLC)(a) |
| 2,940,000 | | | | 0.230 | | | | 10/01/38 | | | | 2,940,000 | |
University of Southern California Educational Facilities Authority VRDN RB Putters Series 2009-3424 (JPMorgan Chase & Co. SPA)(a) |
| 11,325,000 | | | | 0.260 | | | | 10/01/16 | | | | 11,325,000 | |
University of Southern California Educational Facilities Authority VRDN RB ROCS-RR-II R-11064 Series 2007 (Citibank N.A.)(a) |
| 17,970,000 | | | | 0.260 | | | | 04/01/28 | | | | 17,970,000 | |
Victor Valley Community College GO VRDN Floater Certificates Series 2009-34C (Wells Fargo & Co.)(a) |
| 12,185,000 | | | | 0.250 | | | | 08/01/44 | | | | 12,185,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 1,570,018,000 | |
|
|
Colorado – 2.0% |
Colorado Educational & Cultural Facilities Authority VRDN RB Nature Conservancy Series 2003 A-TE Convertible (Bank of America N.A. SPA) |
| 74,900,000 | | | | 0.300 | | | | 07/01/33 | | | | 74,900,000 | |
Colorado Health Facilities Authority VRDN RB for Adventist Health System-Sunbelt, Inc. Series 2004 B (JPMorgan Chase & Co. LOC) |
| 8,500,000 | | | | 0.250 | | | | 11/15/34 | | | | 8,500,000 | |
Colorado Health Facilities Authority VRDN RB for Catholic Health Care Series 2002 B (JPMorgan Chase & Co. SPA) |
| 1,300,000 | | | | 0.270 | | | | 03/01/32 | | | | 1,300,000 | |
Colorado Health Facilities Authority VRDN RB for Catholic Health Care Series 2004 B-1 (Bayerische Landesbank SPA) |
| 31,655,000 | | | | 0.260 | | | | 03/01/23 | | | | 31,655,000 | |
Colorado Health Facilities Authority VRDN RB for Catholic Health Care Series 2004 B-2 (Bayerische Landesbank SPA) |
| 2,575,000 | | | | 0.300 | | | | 03/01/23 | | | | 2,575,000 | |
Colorado Health Facilities Authority VRDN RB for Catholic Health Care Series 2004 B-3 (Landesbank Hessen-Thueringen SPA) |
| 17,940,000 | | | | 0.280 | | | | 03/01/23 | | | | 17,940,000 | |
34 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Colorado – (continued) |
| | | | | | | | | | | | | | |
Colorado Health Facilities Authority VRDN RB for Catholic Health Care Series 2004 B-6 (Landesbank Hessen-Thueringen SPA) |
$ | 40,100,000 | | | | 0.260 | % | | | 03/01/44 | | | $ | 40,100,000 | |
Colorado Health Facilities Authority VRDN RB for Catholic Health ROCS-RR-II R-11622 Series 2008 (AGM) (Citibank N.A.) |
| 9,300,000 | | | | 0.260 | | | | 10/01/34 | | | | 9,300,000 | |
Colorado Health Facilities Authority VRDN RB for Sisters of Charity of Leavenworth Health System Putters Series 2010-3702 (JPMorgan Chase & Co.)(a) |
| 9,700,000 | | | | 0.260 | | | | 01/01/18 | | | | 9,700,000 | |
Colorado Regional Transportation District Sales Tax VRDN RB ROCS-RR-II R-12312 Series 2010 (AGM) (AMBAC) (Citibank N.A.)(a) |
| 3,700,000 | | | | 0.260 | | | | 05/01/15 | | | | 3,700,000 | |
Colorado Springs Utilities Systems VRDN RB Subordinated Lien Improvement Series 2005 A (State Street Bank & Trust Co. SPA) |
| 14,790,000 | | | | 0.270 | | | | 11/01/35 | | | | 14,790,000 | |
Colorado Springs Utilities VRDN RB Series 2010 C (JPMorgan Chase & Co. SPA) |
| 1,750,000 | | | | 0.260 | | | | 11/01/40 | | | | 1,750,000 | |
Denver GO VRDN Austin Trust Certificates Series 2008-1050 (Bank of America N.A. SPA)(a) |
| 7,500,000 | | | | 0.330 | | | | 08/01/25 | | | | 7,500,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 223,710,000 | |
|
|
Connecticut – 0.6% |
Connecticut State GO Bonds Series 2001 D |
| 5,000,000 | | | | 5.125 | | | | 11/15/11 | | | | 5,164,356 | |
Connecticut State Health & Educational Facilities Authority Austin Trust Certificates VRDN RB Series 2008-1086 (Bank of America N.A. SPA)(a) |
| 2,000,000 | | | | 0.330 | | | | 07/01/37 | | | | 2,000,000 | |
Connecticut State Health & Educational Facilities Authority for Yale University CP Series 2010 |
| 15,100,000 | | | | 0.320 | | | | 03/01/11 | | | | 15,100,000 | |
Connecticut State Health & Educational Facilities Authority VRDN RB Eagle-7 Series 2005-3031 Class A (Citibank N.A.)(a) |
| 15,000,000 | | | | 0.260 | | | | 07/01/35 | | | | 15,000,000 | |
Connecticut State Health & Educational Facilities Authority VRDN RB for Yale University Putters Series 2008-2861 (JPMorgan Chase & Co. SPA)(a) |
| 5,980,000 | | | | 0.220 | | | | 07/01/15 | | | | 5,980,000 | |
Connecticut State Health & Educational Facilities Authority VRDN RB for Yale University Putters Series 2008-3185Z (JPMorgan Chase & Co.)(a) |
| 11,995,000 | | | | 0.260 | | | | 07/01/15 | | | | 11,995,000 | |
Connecticut State Lehman Municipal Trust Receipts VRDN RB Floater TRS for Yale University Series 2008 K34W-Reg D (Citibank N.A. SPA)(a) |
| 10,335,000 | | | | 0.260 | | | | 08/21/35 | | | | 10,335,000 | |
University of Connecticut VRDN RB ROCS-RR-II R-11921 Series 2011 (GO of University) (Citibank N.A.)(a) |
| 3,500,000 | | | | 0.260 | | | | 02/15/18 | | | | 3,500,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 69,074,356 | |
|
|
Delaware – 0.4% |
Delaware State Health & Educational Facilities Authority VRDN RB for the Nemours Foundation Project Series 2005 (Bank of America N.A.) |
| 25,720,000 | | | | 0.240 | | | | 01/01/35 | | | | 25,720,000 | |
Delaware State Health Facilities Authority VRDN RB for Christiana Care Health Services, Inc. Series 2008 B |
| 16,475,000 | | | | 0.220 | | | | 10/01/38 | | | | 16,475,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 42,195,000 | |
|
|
District of Columbia – 2.2% |
District of Columbia George Washington University VRDN RB Series 2000 B RMKT (Bank of America N.A LOC) |
| 21,400,000 | | | | 0.290 | | | | 09/15/29 | | | | 21,400,000 | |
District of Columbia GO TRANS Series 2010 |
| 125,000,000 | | | | 2.000 | | | | 09/30/11 | | | | 126,176,293 | |
District of Columbia GO VRDN Refunding Series 2008 A RMKT (Bank of America N.A. LOC) |
| 19,970,000 | | | | 0.290 | | | | 06/01/34 | | | | 19,970,000 | |
District of Columbia GO VRDN Refunding Series 2008 C1 RMKT (TD Bank N.A. LOC) |
| 10,100,000 | | | | 0.250 | | | | 06/01/27 | | | | 10,100,000 | |
District of Columbia Income Tax Secured VRDN RB Floaters Series 2009-3057X (Morgan Stanley & Co.)(a) |
| 7,990,000 | | | | 0.270 | | | | 12/01/30 | | | | 7,990,000 | |
District of Columbia VRDN RB Putters Series 2009-3354 (JPMorgan Chase & Co. SPA)(a) |
| 7,625,000 | | | | 0.260 | | | | 06/01/17 | | | | 7,625,000 | |
District of Columbia VRDN RB Putters Series 2009-3369 (JPMorgan Chase & Co. SPA)(a) |
| 4,500,000 | | | | 0.260 | | | | 06/01/17 | | | | 4,500,000 | |
District of Columbia Water & Sewer Systems VRDN RB Putters Series 2009-3317 (JPMorgan Chase & Co. SPA)(a) |
| 8,330,000 | | | | 0.260 | | | | 04/01/33 | | | | 8,330,000 | |
Metropolitan Washington D.C. Airport Authority CP Series 2011 (Landesbank Baden-Wurttemberg LOC) |
| 10,500,000 | | | | 0.500 | | | | 05/05/11 | | | | 10,500,000 | |
Metropolitan Washington D.C. Airport Authority System VRDN RB Refunding Series 2010 Subseries C-2 (Barclays Bank PLC LOC) |
| 23,770,000 | | | | 0.240 | | | | 10/01/39 | | | | 23,770,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 240,361,293 | |
|
|
Florida – 6.6% |
Cleveland Clinic CP Series 2010 |
| 41,905,000 | | | | 0.390 | | | | 03/22/11 | | | | 41,905,000 | |
Florida State Board of Education GO Bonds Capital Outlay Series 2011 B (Wells Fargo Bank N.A.)(a) |
| 8,800,000 | | | | 0.260 | | | | 06/01/40 | | | | 8,800,000 | |
Florida State Board of Education GO VRDN Putters Series 2008-2850 (JPMorgan Chase & Co. SPA)(a) |
| 7,425,000 | | | | 0.260 | | | | 12/01/13 | | | | 7,425,000 | |
Florida State Board of Education GO VRDN Putters Series 2010-3834Z (JPMorgan Chase & Co.)(a) |
| 9,000,000 | | | | 0.260 | | | | 12/01/15 | | | | 9,000,000 | |
Florida State Board of Education GO VRDN ROCS-RR-II R-11302 Series 2007 (Citibank N.A. SPA)(a) |
| 7,545,000 | | | | 0.260 | | | | 12/01/15 | | | | 7,545,000 | |
Florida State Board of Education GO VRDN ROCS-RR-II R-11303 Series 2007 (Citibank N.A. SPA)(a) |
| 5,350,000 | | | | 0.250 | | | | 12/01/15 | | | | 5,350,000 | |
The accompanying notes are an integral part of these financial statements. 35
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Florida – (continued) |
| | | | | | | | | | | | | | |
Florida State Board of Education GO VRDN ROCS-RR-II R-11884X Series 2010 (Citibank N.A.)(a) |
$ | 4,800,000 | | | | 0.260 | % | | | 06/01/18 | | | $ | 4,800,000 | |
Florida State Board of Education GO VRDN ROCS-RR-II R-12017 Series 2007 (Citibank N.A)(a) |
| 9,600,000 | | | | 0.250 | | | | 10/15/16 | | | | 9,600,000 | |
Florida State Board of Education Lottery RB Refunding Series 2010 D |
| 10,240,000 | | | | 2.000 | | | | 07/01/11 | | | | 10,296,549 | |
Florida State Board of Education Lottery RB Series 2001 B (NATL-RE) (FGIC) |
| 7,060,000 | | | | 5.250 | | | | 07/01/11 | | | | 7,239,904 | |
Florida State Turnpike Authority VRDN RB Putters Series 2008-2514 (JPMorgan Chase & Co. SPA)(a) |
| 18,070,000 | | | | 0.260 | | | | 07/01/15 | | | | 18,070,000 | |
Florida State Turnpike Authority VRDN RB Putters Series 2008-2539 (JPMorgan Chase & Co. SPA)(a) |
| 21,330,000 | | | | 0.260 | | | | 07/01/15 | | | | 21,330,000 | |
Florida State Turnpike Authority VRDN RB Putters Series 2008-2996 (JPMorgan Chase & Co. SPA)(a) |
| 4,100,000 | | | | 0.260 | | | | 01/01/13 | | | | 4,100,000 | |
Highlands County Health Facilities Authority VRDN RB for Adventist Health System ROCS-RR-II R-11830 Series 2010 (Citibank N.A.)(a) |
| 5,875,000 | | | | 0.280 | | | | 05/15/31 | | | | 5,875,000 | |
Highlands County Health Facilities Authority VRDN RB for Adventist Health System Series 2007 A-2 |
| 30,000,000 | | | | 0.220 | | | | 11/15/37 | | | | 30,000,000 | |
Highlands County Health Facilities Authority VRDN RB for Hospital Adventist Health System Series 2005 I |
| 17,500,000 | | | | 0.220 | | | | 11/15/27 | | | | 17,500,000 | |
Jacksonville Austin Trust Certificates VRDN RB Mayo Foundation Series 2008-3015X (Bank of America N.A. SPA)(a) |
| 5,500,000 | | | | 0.330 | | | | 11/15/36 | | | | 5,500,000 | |
Jacksonville CP Series 2004 A (Landesbank Baden-Wurttemberg LOC) |
| 20,580,000 | | | | 0.370 | | | | 03/01/11 | | | | 20,580,000 | |
| 22,860,000 | | | | 0.330 | | | | 05/02/11 | | | | 22,860,000 | |
Jacksonville Electric Authority CP Notes Series 2011 C-1 (JPMorgan Chase & Co. SPA) |
| 35,000,000 | | | | 0.300 | | | | 03/07/11 | | | | 35,000,000 | |
| 21,800,000 | | | | 0.330 | | | | 04/04/11 | | | | 21,800,000 | |
Jacksonville Electric Authority VRDN RB Series 2008 D (Lloyds TSB Bank PLC SPA) |
| 6,210,000 | | | | 0.230 | | | | 10/01/38 | | | | 6,210,000 | |
Jacksonville Electric Authority Water & Sewer Systems VRDN RB Series 2008 Subseries A-1 (Bank of New York SPA) |
| 56,000,000 | | | | 0.230 | | | | 10/01/38 | | | | 56,000,000 | |
Jacksonville Electric Authority Water & Sewer Systems VRDN RB Series 2008 Subseries B-1 (State Street Bank & Trust SPA) |
| 17,950,000 | | | | 0.240 | | | | 10/01/36 | | | | 17,950,000 | |
Jacksonville Transportation VRDN RB Series 2008 A (JPMorgan Chase & Co. SPA) |
| 70,735,000 | | | | 0.280 | | | | 10/01/32 | | | | 70,735,000 | |
Jacksonville Transportation VRDN RB Series 2008 B (Dexia Credit Local SPA) |
| 18,900,000 | | | | 0.250 | | | | 10/01/27 | | | | 18,900,000 | |
Jacksonville Water & Sewer Systems VRDN RB Series 2008 A-2 (Banco Bilbao Vizcaya SPA) |
| 49,300,000 | | | | 0.230 | | | | 10/01/42 | | | | 49,300,000 | |
Orange County Health Facilities Authority VRDN RB for the Nemours Foundation Series 2009 C-2 |
| 11,810,000 | | | | 0.230 | | | | 01/01/37 | | | | 11,810,000 | |
Orange County School District VRDN COPS Putters Series 2010-3785Z (NATL-RE) (FGIC) (JPMorgan Chase & Co.)(a) |
| 5,000,000 | | | | 0.310 | | | | 02/01/15 | | | | 5,000,000 | |
Palm Beach County Solid Waste Authority RB for Improvement Series 2010 |
| 75,000,000 | | | | 1.000 | | | | 01/12/12 | | | | 75,375,395 | |
Pinellas County Health Facilities Authority VRDN RB for Baycare Health System, Inc. Series 2009 A3 (Wells Fargo Bank N.A. LOC) |
| 8,875,000 | | | | 0.250 | | | | 11/01/38 | | | | 8,875,000 | |
South Broward Hospital District Austin Trust Certificates VRDN RB Series 2008-1122 (Bank of America N.A. SPA)(a) |
| 9,000,000 | | | | 0.330 | | | | 05/01/36 | | | | 9,000,000 | |
South Miami Health Facilities Authority VRDN RB for Baptist Health Putters Series 2007-2318 (JPMorgan Chase & Co. SPA)(a) |
| 50,595,000 | | | | 0.260 | | | | 08/15/35 | | | | 50,595,000 | |
South Miami Health Facilities Authority VRDN RB for Baptist Health Putters Series 2008-2473 (JPMorgan Chase & Co. SPA)(a) |
| 3,115,000 | | | | 0.260 | | | | 08/15/15 | | | | 3,115,000 | |
Tallahassee Construction Utility System VRDN RB Putters Series 2008-2617 (JPMorgan Chase & Co. SPA)(a) |
| 6,660,000 | | | | 0.260 | | | | 10/01/15 | | | | 6,660,000 | |
Tallahassee Construction Utility System VRDN RB ROCS-RR-II R-11306 Series 2007 (Citibank N.A. SPA)(a) |
| 6,750,000 | | | | 0.260 | | | | 10/01/15 | | | | 6,750,000 | |
Volusia County Health Facilities Authority VRDN RB for Adventist Health System Series 1994 A (JPMorgan Chase & Co. LOC) |
| 10,370,000 | | | | 0.270 | | | | 11/15/23 | | | | 10,370,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 721,221,848 | |
|
|
Georgia – 1.1% |
Georgia State GO Bonds Series 2010 B |
| 25,780,000 | | | | 5.000 | | | | 10/01/11 | | | | 26,488,879 | |
Georgia State GO Bonds Series 2010 C-1 |
| 16,590,000 | | | | 3.000 | | | | 10/01/11 | | | | 16,851,665 | |
Gwinnett County Public School District GO VRDN Putters Series 2008-2868 (JPMorgan Chase & Co. SPA)(a) |
| 8,870,000 | | | | 0.260 | | | | 02/01/16 | | | | 8,870,000 | |
Gwinnett County School District Austin Trust Certificates GO VRDN Series 2008-1112 (Bank of America N.A.)(a) |
| 4,500,000 | | | | 0.330 | | | | 02/01/36 | | | | 4,500,000 | |
Gwinnett County Water & Sewer Authority VRDN RB ROCS-RR-II R-11910 Series 2011 (Citibank N.A.)(a) |
| 4,200,000 | | | | 0.260 | | | | 02/01/17 | | | | 4,200,000 | |
Metropolitan Atlanta Rapid Transit Authority Austin Trust Certificates VRDN RB Series 2008-3046X (AGM) (Bank of America N.A.)(a) |
| 6,665,000 | | | | 0.330 | | | | 07/01/37 | | | | 6,665,000 | |
Metropolitan Atlanta Rapid Transit Authority Sales Tax VRDN RB Series 2000 B (Bayerische Landesbank and Westdeutsche Landesbank AG LOC) |
| 16,000,000 | | | | 0.230 | | | | 07/01/25 | | | | 16,000,000 | |
Municipal Electric Authority of Georgia VRDN RB Series 1985 B RMKT (Landesbank Hessen-Thueringen LOC) |
| 17,800,000 | | | | 0.450 | | | | 06/01/20 | | | | 17,800,000 | |
36 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Georgia – (continued) |
| | | | | | | | | | | | | | |
Municipal Electric Authority of Georgia VRDN RB Series 1985 C RMKT (Bayerische Landesbank LOC) |
$ | 9,000,000 | | | | 0.300 | % | | | 03/01/20 | | | $ | 9,000,000 | |
Private Colleges & Universities Authority VRDN RB for Emory University Putters Series 2008-2989 (JPMorgan Chase & Co.)(a) |
| 3,545,000 | | | | 0.260 | | | | 03/01/16 | | | | 3,545,000 | |
Private Colleges & Universities Authority VRDN RB for Emory University Putters Series 2009-3243 (JPMorgan Chase & Co. SPA)(a) |
| 4,795,000 | | | | 0.260 | | | | 03/01/17 | | | | 4,795,000 | |
Private Colleges & Universities Facilities Authority Puttable Floating Option Tax-Exempt Receipts VRDN RB for Emory University P-Floats-PT-4664 Series 2010 (Bank of America N.A.) |
| 7,685,000 | | | | 0.330 | | | | 09/01/39 | | | | 7,685,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 126,400,544 | |
|
|
Hawaii(a) – 0.0% |
Hawaii State GO VRDN ROCS-RR-II R-11911 Series 2011 (Citibank N.A.) |
| 3,900,000 | | | | 0.260 | | | | 11/01/16 | | | | 3,900,000 | |
|
|
Illinois – 1.4% |
Chicago Board of Education GO VRDN Putters Series 2008-2997 (AGM) (JPMorgan Chase & Co. SPA)(a) |
| 3,115,000 | | | | 0.310 | | | | 06/01/16 | | | | 3,115,000 | |
Chicago Board of Education GO VRDN Refunding for Dedicated Revenues Series 2009 A-2 (Northern Trust Co. LOC) |
| 5,900,000 | | | | 0.260 | | | | 03/01/26 | | | | 5,900,000 | |
Chicago GO VRDN Putters Series 2009-3420 (JPMorgan Chase & Co. SPA)(a) |
| 6,610,000 | | | | 0.260 | | | | 01/01/16 | | | | 6,610,000 | |
Chicago Metropolitan Water Reclamation District of Greater Chicago VRDN RB ROCS-RR-II R-11189 Series 2007 (Citigroup Global Markets SPA)(a) |
| 4,995,000 | | | | 0.250 | | | | 06/01/14 | | | | 4,995,000 | |
Chicago Water Authority VRDN RB Floaters Certificates Series 2008-60C (AGM) (Wells Fargo & Co. SPA)(a) |
| 17,870,000 | | | | 0.260 | | | | 11/01/33 | | | | 17,870,000 | |
Chicago Waterworks VRDN RB Second Lien Series 1999 Subseries 2000-1 RMKT (JPMorgan Chase & Co. SPA) |
| 14,100,000 | | | | 0.200 | | | | 11/01/30 | | | | 14,100,000 | |
Illinois Development Finance Authority VRDN RB for Evanston Northwestern Series 2001 C Convertible (JPMorgan Chase & Co. SPA) |
| 7,500,000 | | | | 0.190 | | | | 05/01/31 | | | | 7,500,000 | |
Illinois Finance Authority VRDN RB Advocate Health Care Series 2008 Subseries C3A (Bank of America N.A. SPA) |
| 16,125,000 | | | | 0.260 | | | | 11/01/38 | | | | 16,125,000 | |
Illinois Finance Authority VRDN RB for Northwestern Memorial Hospital Series 2009 A-1 (JPMorgan Chase & Co. SPA) |
| 3,000,000 | | | | 0.190 | | | | 08/15/38 | | | | 3,000,000 | |
Illinois Finance Authority VRDN RB for Northwestern Memorial Hospital Series 2009 A-2 (Northern Trust Co. SPA) |
| 9,790,000 | | | | 0.190 | | | | 08/15/38 | | | | 9,790,000 | |
Illinois Finance Authority VRDN RB for Northwestern University Putters Series 2009-3302 (JPMorgan Chase & Co.)(a) |
| 12,100,000 | | | | 0.220 | | | | 06/01/14 | | | | 12,100,000 | |
Illinois Finance Authority VRDN RB for Southern Healthcare Series 2008 (Bank of Nova Scotia LOC) |
| 4,545,000 | | | | 0.250 | | | | 03/01/38 | | | | 4,545,000 | |
Illinois Health System Sisters Hospital CP Series 2008 A |
| 27,970,000 | | | | 0.320 | | | | 05/05/11 | | | | 27,970,000 | |
Illinois State Toll Highway Authority VRDN RB Putters Series 2009-3336 (JPMorgan Chase & Co. SPA)(a) |
| 5,330,000 | | | | 0.260 | | | | 01/01/16 | | | | 5,330,000 | |
University of Chicago VRDN RB Austin Trust Certificates Series 2009-1205 (Bank of America N.A. SPA)(a) |
| 4,165,000 | | | | 0.330 | | | | 07/01/37 | | | | 4,165,000 | |
University of Chicago VRDN RB Putters Series 2009-3288Z (JPMorgan Chase & Co. SPA)(a) |
| 3,000,000 | | | | 0.260 | | | | 07/01/16 | | | | 3,000,000 | |
University of Illinois VRDN RB Auxiliary Facilities System Putters Series 2009-3348 (JPMorgan Chase & Co. SPA)(a) |
| 8,995,000 | | | | 0.260 | | | | 10/01/16 | | | | 8,995,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 155,110,000 | |
|
|
Indiana – 2.8% |
Indiana Health & Educational Facilities Financing Authority VRDN RB Ascension Health ROCS-RR-II R-11160 Series 2007 (Citibank N.A.)(a) |
| 13,785,000 | | | | 0.260 | | | | 11/15/14 | | | | 13,785,000 | |
Indiana Health Facilities Financing Authority VRDN RB for Ascension Health Series 2005 A-2 |
| 24,615,000 | | | | 0.230 | | | | 11/01/27 | | | | 24,615,000 | |
Indiana State Finance Authority Hospital VRDN RB for Parkview Health System Series 2009 55C (Wells Fargo Bank N.A.)(a) |
| 4,855,000 | | | | 0.260 | | | | 11/01/22 | | | | 4,855,000 | |
Indiana State Finance Authority Puttable Floating Option Tax-Exempt Receipts VRDN RB P-Floats-PT-4659 for Sisters of St. Francis Health Series 2009 (Bank of America N.A)(a) |
| 5,000,000 | | | | 0.330 | | | | 11/01/33 | | | | 5,000,000 | |
Indiana State Finance Authority VRDN RB Floaters Series 2007-1885 (Wells Fargo Bank N.A. SPA)(a) |
| 12,945,000 | | | | 0.250 | | | | 02/01/27 | | | | 12,945,000 | |
Indiana State Finance Authority VRDN RB for Trinity Health Putters Series 2009-3611 (JPMorgan Chase & Co.)(a) |
| 20,360,000 | | | | 0.260 | | | | 12/01/32 | | | | 20,360,000 | |
Indiana State Finance Authority VRDN RB Lease Appropriation Series 2005 A-2 RMKT (Barclays Bank PLC SPA) |
| 70,000,000 | | | | 0.240 | | | | 02/01/35 | | | | 70,000,000 | |
Indiana State Finance Authority VRDN RB Lease Appropriation Series 2005 A-3 RMKT (Barclays Bank PLC SPA) |
| 31,500,000 | | | | 0.240 | | | | 02/01/35 | | | | 31,500,000 | |
Indiana State Finance Authority VRDN RB Lease Appropriation Series 2005 A-5 RMKT (Bank of New York SPA) |
| 12,500,000 | | | | 0.200 | | | | 02/01/35 | | | | 12,500,000 | |
Indiana State Finance Authority VRDN RB Lease Appropriation Series 2007 A-1 RMKT (JPMorgan Chase & Co. SPA) |
| 33,900,000 | | | | 0.190 | | | | 02/01/37 | | | | 33,900,000 | |
Indiana State Finance Authority VRDN RB Lease Appropriation Series 2008 A-1 RMKT (JPMorgan Chase & Co. SPA) |
| 15,800,000 | | | | 0.190 | | | | 02/01/39 | | | | 15,800,000 | |
Indiana State Finance Authority VRDN RB Lease Appropriation Series 2008 A-2 RMKT |
| 40,000,000 | | | | 0.210 | | | | 02/01/39 | | | | 40,000,000 | |
Indiana State Finance Authority VRDN RB ROCS RR-II R-11912 Series 2011 (Citibank N.A.)(a) |
| 3,900,000 | | | | 0.260 | | | | 02/01/17 | | | | 3,900,000 | |
The accompanying notes are an integral part of these financial statements. 37
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Indiana – (continued) |
| | | | | | | | | | | | | | |
University of Indiana VRDN RB Floater Certificates Series 2009-45C (Wells Fargo & Co. SPA)(a) |
$ | 22,600,000 | | | | 0.260 | % | | | 06/01/38 | | | $ | 22,600,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 311,760,000 | |
|
|
Iowa – 0.1% |
Iowa Finance Authority Health Facilities VRDN RB Iowa Health System Series 2009 D (Bank of America N.A. LOC) |
| 3,685,000 | | | | 0.270 | | | | 02/15/35 | | | | 3,685,000 | |
Iowa Finance Authority Health Facilities VRDN RB Iowa Health System Series 2009 E (Bank of America N.A. LOC) |
| 3,900,000 | | | | 0.270 | | | | 07/01/39 | | | | 3,900,000 | |
Iowa Financing Authority VRDN RB Refunding for Trinity Health Series 2000 D (JPMorgan Chase & Co. and Northern Trust Co. SPA) |
| 6,915,000 | | | | 0.250 | | | | 12/01/30 | | | | 6,915,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 14,500,000 | |
|
|
Kansas – 1.2% |
City of Topeka GO Temporary Notes Series 2010 B |
| 24,615,000 | | | | 2.000 | | | | 10/01/11 | | | | 24,834,747 | |
Kansas State DOT Highway VRDN RB Putters Series 2008-2969 (JPMorgan Chase & Co. SPA)(a) |
| 3,840,000 | | | | 0.260 | | | | 09/01/12 | | | | 3,840,000 | |
Kansas State DOT Highway VRDN RB Series 2008 A-1 (Wachovia Bank N.A. SPA) |
| 22,200,000 | | | | 0.220 | | | | 09/01/13 | | | | 22,200,000 | |
Kansas State DOT Highway VRDN RB Series 2008 A-2 (Wachovia Bank N.A. SPA) |
| 10,000,000 | | | | 0.220 | | | | 09/01/14 | | | | 10,000,000 | |
Kansas State DOT Highway VRDN RB Series 2008 A-4 (Wachovia Bank N.A. SPA) |
| 28,000,000 | | | | 0.210 | | | | 09/01/14 | | | | 28,000,000 | |
Kansas State DOT Highway VRDN RB Series 2008 A-5 (Wachovia Bank N.A. SPA) |
| 7,500,000 | | | | 0.220 | | | | 09/01/15 | | | | 7,500,000 | |
Olathe GO Temporary Notes Series 2010 A |
| 31,455,000 | | | | 1.500 | | | | 06/01/11 | | | | 31,541,659 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 127,916,406 | |
|
|
Kentucky – 0.1% |
Kentucky Economic Development Finance Authority VRDN RB for Catholic Health Series 2004 C |
| 13,100,000 | | | | 0.230 | | | | 05/01/34 | | | | 13,100,000 | |
|
|
Louisiana – 1.1% |
Lake Charles Harbor & Terminal District VRDN RB for Lake Charles Cogeneration Series 2010 A |
| 30,000,000 | | | | 0.370 | | | | 05/31/11 | | | | 30,000,000 | |
St. James Parish VRDN RB for Nucor Steel LLC Project Series 2010 A-1 |
| 57,500,000 | | | | 0.260 | | | | 11/01/40 | | | | 57,500,000 | |
St. James Parish VRDN RB for Nucor Steel LLC Project Series 2010 B-1 |
| 38,000,000 | | | | 0.290 | | | | 11/01/40 | | | | 38,000,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 125,500,000 | |
|
|
Maine(a) – 0.1% |
Maine Health & Higher Educational Facilities Authority VRDN RB for Bowdoin College Putters Series 2009-3461 (JPMorgan Chase & Co.) |
| 6,955,000 | | | | 0.260 | | | | 01/01/17 | | | | 6,955,000 | |
|
|
Maryland – 0.9% |
Maryland Health & Higher Education for John Hopkins University CP Series 2011 B (Wells Fargo Bank N.A. SPA) |
| 4,440,000 | | | | 0.310 | | | | 04/06/11 | | | | 4,440,000 | |
Maryland Industrial Development Financing Authority Port Facilities VRDN RB Refunding for Occidental Petroleum Corp. Series 2010 |
| 68,200,000 | | | | 0.250 | | | | 03/01/30 | | | | 68,200,000 | |
Maryland State Austin Trust Certificates GO VRDN Series 2008-1194 (Bank of America N.A.)(a) |
| 5,375,000 | | | | 0.330 | | | | 07/15/22 | | | | 5,375,000 | |
Maryland State Economic Development Corp. VRDN RB for Howard Hughes Medical Center Series 2008 A |
| 3,800,000 | | | | 0.220 | | | | 02/15/43 | | | | 3,800,000 | |
Maryland State Health & Higher Educational Facilities Authority VRDN RB for John Hopkins University Series 2008 B |
| 17,600,000 | | | | 0.200 | | | | 07/01/27 | | | | 17,600,000 | |
Montgomery County CP Series 2011 (State Street Bank and Trust Co. SPA) |
| 4,800,000 | | | | 0.330 | | | | 05/02/11 | | | | 4,800,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 104,215,000 | |
|
|
Massachusetts – 3.3% |
Commonwealth of Massachusetts GO RANS Series 2010 C |
| 35,330,000 | | | | 2.000 | | | | 06/23/11 | | | | 35,515,332 | |
Massachusetts Bay Transportation Authority Sales Tax Austin Trust Certificates VRDN RB Series 2008-1111 (Bank of America N.A. SPA)(a) |
| 5,000,000 | | | | 0.330 | | | | 07/01/28 | | | | 5,000,000 | |
Massachusetts Bay Transportation Authority Sales Tax VRDN RB Putters Series 2006-1387 (JPMorgan Chase & Co. SPA)(a) |
| 13,315,000 | | | | 0.260 | | | | 01/01/27 | | | | 13,315,000 | |
Massachusetts Health Harvard University CP Series 2011 S-EE |
| 20,000,000 | | | | 0.290 | | | | 05/02/11 | | | | 20,000,000 | |
Massachusetts State Austin Trust Certificates GO VRDN Series 2008-1203 (Bank of America N.A. SPA)(a) |
| 9,500,000 | | | | 0.330 | | | | 08/01/38 | | | | 9,500,000 | |
Massachusetts State Austin Trust Certificates VRDN RB for Harvard University Series 2008-3320 (Bank of America N.A. SPA)(a) |
| 1,000,000 | | | | 0.330 | | | | 10/01/38 | | | | 1,000,000 | |
Massachusetts State Austin Trust Certificates VRDN RB for Partners Healthcare Series 2008-1056 (Bank of America N.A. SPA)(a) |
| 3,310,000 | | | | 0.330 | | | | 07/01/32 | | | | 3,310,000 | |
Massachusetts State Development Finance Agency VRDN RB Floaters for Holy Cross Series 2006-1336 (AMBAC) (Morgan Stanley & Co.)(a) |
| 5,050,000 | | | | 0.270 | | | | 09/01/32 | | | | 5,050,000 | |
Massachusetts State Development Finance Agency VRDN RB for Harvard University Putters Series 2010-3840 (JPMorgan Chase & Co. LOC)(a) |
| 4,000,000 | | | | 0.260 | | | | 02/01/34 | | | | 4,000,000 | |
Massachusetts State Development Finance Agency VRDN RB for Harvard University Series 2010 56C (Wells Fargo Bank N.A.)(a) |
| 9,460,000 | | | | 0.260 | | | | 10/15/40 | | | | 9,460,000 | |
Massachusetts State Development Finance Agency VRDN RB for Partners Healthcare Putters Series 2011-3867 (JPMorgan Chase & Co.)(a) |
| 24,900,000 | | | | 0.220 | | | | 02/01/13 | | | | 24,900,000 | |
38 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Massachusetts – (continued) |
| | | | | | | | | | | | | | |
Massachusetts State GO VRDN Series 2010 A |
$ | 33,000,000 | | | | 0.500 | % | | | 02/01/12 | | | $ | 33,039,780 | |
Massachusetts State Health & Education Facilities Authority for Partners Healthcare System CP Series 2011 H-1 |
| 5,000,000 | | | | 0.320 | | | | 04/04/11 | | | | 5,000,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Amherst College Series 2003 H |
| 14,779,000 | | | | 0.430 | | | | 11/01/33 | | | | 14,779,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Amherst College Series 2005 I |
| 3,900,000 | | | | 0.220 | | | | 11/01/28 | | | | 3,900,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Harvard University Putters Series 2008-3104 (JPMorgan Chase & Co. SPA)(a) |
| 3,040,000 | | | | 0.260 | | | | 10/01/15 | | | | 3,040,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Harvard University ROCS-RR-II R-11514 Series 2008 (Citibank N.A. SPA)(a) |
| 5,390,000 | | | | 0.260 | | | | 10/01/15 | | | | 5,390,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Harvard University ROCS-RR-II R-11913 Series 2011 (Go of Institution) (Citibank N.A.)(a) |
| 3,000,000 | | | | 0.260 | | | | 12/15/17 | | | | 3,000,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Massachusetts Institute of Technology ROCS-RR-II-11824 Series 2010 (Citibank N.A.)(a) |
| 2,665,000 | | | | 0.260 | | | | 01/01/16 | | | | 2,665,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Museum of Fine Art Series 2007 A2 RMKT (Bank of America N.A. SPA) |
| 19,350,000 | | | | 0.210 | | | | 12/01/37 | | | | 19,350,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Museum of Fine Arts Series 2007 A1-RMKT 04/03/08 (Bank of America N.A. SPA) |
| 20,000,000 | | | | 0.230 | | | | 12/01/37 | | | | 20,000,000 | |
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare System Series 2005 F-3 (Citibank N.A. SPA) |
| 60,020,000 | | | | 0.250 | | | | 07/01/40 | | | | 60,020,000 | |
Massachusetts State Housing Finance Agency VRDN RB Series 2003 F RMKT |
| 1,000,000 | | | | 0.530 | | | | 12/01/37 | | | | 1,000,000 | |
Massachusetts State Puttable Floating Option Tax-Exempt Receipts VRDN RB for Harvard University P-Floats-PT-4691 Series 2010 (Bank of America N.A.)(a) |
| 6,250,000 | | | | 0.330 | | | | 01/17/19 | | | | 6,250,000 | |
Massachusetts State School Building Authority Dedicated Sales Tax VRDN RB Floaters Series 2009-3091 (AGM) (AMBAC) (Morgan Stanley Municipal Products)(a) |
| 6,665,000 | | | | 0.270 | | | | 08/15/37 | | | | 6,665,000 | |
Massachusetts State Water Resources Authority VRDN RB Putters Series 2008-2848 (AGM) (JPMorgan Chase & Co. SPA)(a) |
| 5,345,000 | | | | 0.260 | | | | 02/01/15 | | | | 5,345,000 | |
Massachusetts Water Resources Authority CP Series 2011 S-94 (Bayerische Landesbank LOC) |
| 41,400,000 | | | | 0.340 | | | | 04/01/11 | | | | 41,400,000 | |
University of Massachusetts Building Authority Facilities VRDN RB Senior Community GTD Series 2008 A (Bank of America N.A. SPA) |
| 4,685,000 | | | | 0.270 | | | | 05/01/38 | | | | 4,685,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 366,579,112 | |
|
|
Michigan – 0.6% |
Kent Hospital Finance Authority VRDN RB Refunding Spectrum Health Series 2008 B-3 (Wells Fargo Bank N.A. SPA) |
| 4,000,000 | | | | 0.240 | | | | 01/15/47 | | | | 4,000,000 | |
Michigan Municipal Bond Authority VRDN RB ROCS-RR-II R-11254 Series 2007 (Citibank N.A. SPA)(a) |
| 3,800,000 | | | | 0.250 | | | | 04/01/25 | | | | 3,800,000 | |
Michigan State Hospital Finance Authority VRDN RB for Ascension Health Credit Series 2010 Subseries F-2 |
| 1,300,000 | | | | 0.230 | | | | 11/15/47 | | | | 1,300,000 | |
Michigan State Hospital Finance Authority VRDN RB for Ascension Health Credit Series 2010 Subseries F-4 |
| 15,550,000 | | | | 0.230 | | | | 11/15/47 | | | | 15,550,000 | |
Michigan State Hospital Finance Authority VRDN RB for McLaren Health Care Putters Series 2010-3818 (JPMorgan Chase & Co.)(a) |
| 6,660,000 | | | | 0.340 | | | | 08/01/30 | | | | 6,660,000 | |
Michigan State Hospital Finance Authority VRDN RB for Trinity Health Putters Series 2008-2976 (JPMorgan Chase & Co. SPA)(a) |
| 4,800,000 | | | | 0.260 | | | | 12/01/14 | | | | 4,800,000 | |
Michigan State Hospital Finance Authority VRDN RB Refunding for McLaren Health Care Series 2008 B (JPMorgan Chase & Co. LOC) |
| 12,500,000 | | | | 0.250 | | | | 10/15/30 | | | | 12,500,000 | |
University of Michigan RB Refunding Hospital Series 2002 |
| 4,230,000 | | | | 5.250 | | | | 12/01/11 | | | | 4,372,563 | |
University of Michigan VRDN RB Hospital Series 2007 B |
| 11,000,000 | | | | 0.230 | | | | 12/01/37 | | | | 11,000,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 63,982,563 | |
|
|
Minnesota – 2.0% |
Hennepin County GO VRDN Series 2005 A (State Street Bank and Trust Co. SPA) |
| 1,820,000 | | | | 0.230 | | | | 12/01/25 | | | | 1,820,000 | |
Minneapolis Health Care System VRDN RB for Fairview Health Series 2010 E-19 (Royal Bank of Canada LOC)(a) |
| 10,000,000 | | | | 0.260 | | | | 11/15/47 | | | | 10,000,000 | |
Minneapolis VRDN RB University Gateway Project Series 2009 (Wells Fargo Bank N.A. SPA) |
| 10,500,000 | | | | 0.240 | | | | 12/01/40 | | | | 10,500,000 | |
Minnesota State GO VRDN Putters Series 2010-3844 (JPMorgan Chase & Co.)(a) |
| 3,400,000 | | | | 0.260 | | | | 08/01/18 | | | | 3,400,000 | |
Minnesota State Higher Education Facilities Authority VRDN RB for Carleton College Series 2000 5-G (Wells Fargo Bank N.A. SPA) |
| 12,810,000 | | | | 0.230 | | | | 11/01/29 | | | | 12,810,000 | |
Minnesota State Higher Education Facilities Authority VRDN RB for Carleton College Series 2005 6-D (Wells Fargo Bank N.A. SPA) |
| 14,865,000 | | | | 0.230 | | | | 04/01/35 | | | | 14,865,000 | |
Rochester GO VRDN Wastewater Series 2007 B (Wells Fargo Bank N.A. SPA) |
| 10,900,000 | | | | 0.250 | | | | 12/01/26 | | | | 10,900,000 | |
Rochester Health Care Facilities Mayo Foundation CP Series 1992 C |
| 11,000,000 | | | | 0.300 | | | | 04/01/11 | | | | 11,000,000 | |
Rochester Health Care Facilities Mayo Foundation CP Series 2011 B (Northern Trust SPA) |
| 20,000,000 | | | | 0.300 | | | | 04/01/11 | | | | 20,000,000 | |
Rochester Health Care Facilities Mayo Foundation CP Series 2001 A (Wells Fargo Bank N.A. SPA) |
| 12,500,000 | | | | 0.310 | | | | 04/01/11 | | | | 12,500,000 | |
The accompanying notes are an integral part of these financial statements. 39
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Minnesota – (continued) |
| | | | | | | | | | | | | | |
St. Cloud Health Care VRDN RB Refunding for Centracare Health System Series 2009 A (U.S. Bank N.A. LOC) |
$ | 4,800,000 | | | | 0.230 | % | | | 05/01/42 | | | $ | 4,800,000 | |
University of Minnesota VRDN RB Refunding Series 2008 A RMKT (University of Minnesota SPA) |
| 25,475,000 | | | | 0.260 | | | | 08/15/31 | | | | 25,475,000 | |
University of Minnesota VRDN RB Series 1999 A RMKT (U.S. Bank N.A. SPA) |
| 59,605,000 | | | | 0.280 | | | | 01/01/34 | | | | 59,605,000 | |
University of Minnesota VRDN RB Series 2001 C (JPMorgan Chase & Co. SPA) |
| 22,650,000 | | | | 0.280 | | | | 12/01/36 | | | | 22,650,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 220,325,000 | |
|
|
Mississippi – 2.2% |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2007 C |
| 3,700,000 | | | | 0.170 | | | | 12/01/30 | | | | 3,700,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2009 A |
| 17,100,000 | | | | 0.170 | | | | 12/01/30 | | | | 17,100,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2009 C |
| 9,475,000 | | | | 0.170 | | | | 12/01/30 | | | | 9,475,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2009 G |
| 10,000,000 | | | | 0.170 | | | | 12/01/30 | | | | 10,000,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2010 D |
| 7,000,000 | | | | 0.230 | | | | 12/01/30 | | | | 7,000,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2010 G |
| 11,300,000 | | | | 0.170 | | | | 11/01/35 | | | | 11,300,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2010 I |
| 52,500,000 | | | | 0.170 | | | | 11/01/35 | | | | 52,500,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2010 J |
| 41,000,000 | | | | 0.200 | | | | 11/01/35 | | | | 41,000,000 | |
Mississippi Business Finance Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2010 K |
| 25,000,000 | | | | 0.170 | | | | 11/01/35 | | | | 25,000,000 | |
Mississippi Business Financial Corp. Gulf Opportunity Zone VRDN RB for Chevron USA, Inc. Project Series 2007 B |
| 64,000,000 | | | | 0.170 | | | | 12/01/30 | | | | 64,000,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 241,075,000 | |
|
|
Missouri – 1.3% |
Missouri State Health & Educational Facilities Authority VRDN RB for BJC Health Systems Series 2005 B (U.S. Bank N.A. SPA) |
| 13,000,000 | | | | 0.190 | | | | 05/15/34 | | | | 13,000,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for BJC Health Systems Series 2008 A (U.S. Bank N.A. SPA) |
| 19,800,000 | | | | 0.230 | | | | 05/15/38 | | | | 19,800,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for Saint Luke’s Health Systems Series 2008 B (Bank of America N.A. LOC) |
| 4,500,000 | | | | 0.260 | | | | 11/15/40 | | | | 4,500,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for Sisters of Mercy Health System Series 2008 F (U.S. Bank N.A. SPA) |
| 50,000,000 | | | | 0.220 | | | | 06/01/39 | | | | 50,000,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for SSM Health Care System Series 2005 C-2 RMKT (Bank of America N.A. LOC) |
| 2,125,000 | | | | 0.250 | | | | 06/01/33 | | | | 2,125,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for SSM Health Care System Series 2005 C-5 RMKT (U.S. Bank N.A. SPA) |
| 12,550,000 | | | | 0.220 | | | | 06/01/33 | | | | 12,550,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for Washington University Putters Series 2009-3546 (JPMorgan Chase & Co.)(a) |
| 11,395,000 | | | | 0.260 | | | | 03/15/16 | | | | 11,395,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB for Washington University Putters Series 2009-3604 (JPMorgan Chase & Co.)(a) |
| 4,300,000 | | | | 0.220 | | | | 05/15/17 | | | | 4,300,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB Putters Series 2008-2587 (JPMorgan Chase & Co. SPA)(a) |
| 7,955,000 | | | | 0.260 | | | | 11/15/11 | | | | 7,955,000 | |
Missouri State Health & Educational Facilities Authority VRDN RB Refunding for Saint Luke’s Systems Series 2008 C (Bank of America N.A. LOC) |
| 5,200,000 | | | | 0.260 | | | | 11/15/40 | | | | 5,200,000 | |
University of Missouri VRDN RB for Systems Facilities Series 2000 B |
| 10,900,000 | | | | 0.190 | | | | 11/01/30 | | | | 10,900,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 141,725,000 | |
|
|
Montana – 0.3% |
Montana Facilities Finance Authority VRDN RB for Sisters of Charity Health Systems Series 2003 (Bank of Montreal SPA) |
| 31,110,000 | | | | 0.280 | | | | 12/01/35 | | | | 31,110,000 | |
|
|
Nebraska(a) – 0.1% |
Omaha Public Power District Electric VRDN RB ROCS-RR-II R-11291 Series 2007 (Citibank N.A. SPA) |
| 10,990,000 | | | | 0.260 | | | | 08/01/12 | | | | 10,990,000 | |
|
|
Nevada(a) – 0.7% |
Clark County GO VRDN Austin Trust Certificates Series 2008-1171 (Bank of America N.A. SPA) |
| 9,770,000 | | | | 0.330 | | | | 06/01/38 | | | | 9,770,000 | |
Clark County GO VRDN Putters Series 2009-3366 Z (JPMorgan Chase & Co. SPA) |
| 6,080,000 | | | | 0.260 | | | | 07/01/16 | | | | 6,080,000 | |
Clark County GO VRDN ROCS-RR-II R-11507 Series 2008 (Citibank N.A. SPA) |
| 6,100,000 | | | | 0.260 | | | | 06/01/16 | | | | 6,100,000 | |
Clark County GO VRDN ROCS-RR-II R-11836 Series 2010 (Citibank N.A.) |
| 3,000,000 | | | | 0.260 | | | | 06/01/16 | | | | 3,000,000 | |
Clark County School District GO VRDN ROCS-RR-II R-11297 Series 2007 (Citibank N.A. SPA) |
| 19,910,000 | | | | 0.260 | | | | 12/15/15 | | | | 19,910,000 | |
Clark County Water Reclamation District GO VRDN Putters Series 2009-3488Z (JPMorgan Chase & Co.) |
| 6,305,000 | | | | 0.260 | | | | 01/01/17 | | | | 6,305,000 | |
Clark County Water Reclamation District GO VRDN Putters Series 2009-3489Z (JPMorgan Chase & Co.) |
| 7,000,000 | | | | 0.260 | | | | 01/01/17 | | | | 7,000,000 | |
40 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Nevada(a) – (continued) |
| | | | | | | | | | | | | | |
Las Vegas Valley Water District GO VRDN Putters Series 2010-3725 (JPMorgan Chase & Co.) |
$ | 4,690,000 | | | | 0.260 | % | | | 02/01/16 | | | $ | 4,690,000 | |
Nevada State GO VRDN Series 2009-3421 (JPMorgan Chase & Co. SPA) |
| 9,115,000 | | | | 0.260 | | | | 06/01/16 | | | | 9,115,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 71,970,000 | |
|
|
New Hampshire – 0.5% |
New Hampshire Health & Education Facilities Authority VRDN RB for Dartmouth College Floaters Series 2009-3051 (Morgan Stanley & Co.)(a) |
| 8,000,000 | | | | 0.260 | | | | 06/01/39 | | | | 8,000,000 | |
New Hampshire Health & Education Facilities Authority VRDN RB for Dartmouth College Floaters Series 2009-3069X (Morgan Stanley & Co.)(a) |
| 7,000,000 | | | | 0.260 | | | | 06/01/39 | | | | 7,000,000 | |
New Hampshire Health & Education Facilities Authority VRDN RB for Dartmouth College Series 2007 A (JPMorgan Chase & Co. SPA) |
| 21,840,000 | | | | 0.260 | | | | 06/01/31 | | | | 21,840,000 | |
New Hampshire Health & Education Facilities Authority VRDN RB for Dartmouth College Series 2007 B (JPMorgan Chase & Co. SPA) |
| 15,750,000 | | | | 0.260 | | | | 06/01/41 | | | | 15,750,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 52,590,000 | |
|
|
New Jersey – 0.9% |
New Jersey State RANS Putters Series 2010-3808 (JPMorgan Chase & Co.)(a) |
| 76,900,000 | | | | 0.220 | | | | 06/23/11 | | | | 76,900,000 | |
New Jersey State TRANS Putters Series 2010-3811 (JPMorgan Chase & Co.)(a) |
| 20,000,000 | | | | 0.220 | | | | 06/23/11 | | | | 20,000,000 | |
New Jersey State Turnpike Authority VRDN RB Series 2009 C (Bank of Nova Scotia LOC) |
| 3,900,000 | | | | 0.210 | | | | 01/01/24 | | | | 3,900,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 100,800,000 | |
|
|
New Mexico – 0.6% |
University of New Mexico VRDN RB Refunding Subordinated Lien Systems Series 2002 C (JPMorgan Chase & Co. SPA) |
| 36,540,000 | | | | 0.280 | | | | 06/01/30 | | | | 36,540,000 | |
University of New Mexico VRDN RB Refunding Subordinated Lien Systems Series 2003 B (JPMorgan Chase & Co. SPA) |
| 25,090,000 | | | | 0.280 | | | | 06/01/26 | | | | 25,090,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 61,630,000 | |
|
|
New York – 13.0% |
Long Island Power Authority Electric System VRDN RB Series 1998 Subseries 1A RMKT (Bayerische Landesbank and Landesbank Baden-Wurttemberg LOC) |
| 45,500,000 | | | | 0.310 | | | | 05/01/33 | | | | 45,500,000 | |
Long Island Power Authority Electric System VRDN RB Series 1998 Subseries 2A (Westdeutsche Landesbank AG LOC) |
| 48,100,000 | | | | 0.280 | | | | 05/01/33 | | | | 48,100,000 | |
Metropolitan Transportation Authority VRDN RB Dedicated Tax Fund Eagle Series 2006-0133 Class A (BHAC) (Citibank N.A.)(a) |
| 11,100,000 | | | | 0.260 | | | | 11/15/36 | | | | 11,100,000 | |
Nassau County GO RANS Series 2010 |
| 16,500,000 | | | | 2.000 | | | | 03/15/11 | | | | 16,510,034 | |
Nassau County GO RANS Series 2010 A |
| 43,000,000 | | | | 1.250 | | | | 03/15/11 | | | | 43,013,672 | |
New York City Austin Trust Certificates GO VRDN Series 2008-1064 (Bank of America N.A. SPA)(a) |
| 3,660,000 | | | | 0.320 | | | | 06/01/32 | | | | 3,660,000 | |
New York City Austin Trust Certificates VRDN RB for Museum of Modern Art VRDN RB Series 2008-3316 (Bank of America N.A. SPA)(a) |
| 7,815,000 | | | | 0.320 | | | | 04/01/28 | | | | 7,815,000 | |
New York City GO Bonds Prerefunded Series 2001 B |
| 6,500,000 | | | | 5.500 | | | | 12/01/11 | | | | 6,749,328 | |
New York City GO VRDN Fiscal Series 2008 Subseries D-4 (Calyon Bank SPA) |
| 13,900,000 | | | | 0.220 | | | | 12/01/32 | | | | 13,900,000 | |
New York City GO VRDN Floaters Series 2009-3000 (Morgan Stanley Municipal Products)(a) |
| 15,000,000 | | | | 0.260 | | | | 03/01/21 | | | | 15,000,000 | |
New York City GO VRDN Putters Series 2008-2948 (JPMorgan Chase & Co.)(a) |
| 12,565,000 | | | | 0.260 | | | | 04/15/12 | | | | 12,565,000 | |
New York City GO VRDN Putters Series 2008-2950 (JPMorgan Chase & Co.)(a) |
| 6,115,000 | | | | 0.260 | | | | 06/01/14 | | | | 6,115,000 | |
New York City GO VRDN Putters Series 2008-2951 (JPMorgan Chase & Co. SPA)(a) |
| 4,465,000 | | | | 0.260 | | | | 10/01/13 | | | | 4,465,000 | |
New York City GO VRDN Putters Series 2008-3006 (JPMorgan Chase & Co. SPA)(a) |
| 6,660,000 | | | | 0.260 | | | | 04/01/16 | | | | 6,660,000 | |
New York City GO VRDN Putters Series 2008-3181 (JPMorgan Chase & Co. SPA)(a) |
| 6,660,000 | | | | 0.260 | | | | 02/15/13 | | | | 6,660,000 | |
New York City GO VRDN Putters Series 2008-3282 (JPMorgan Chase & Co. SPA)(a) |
| 3,350,000 | | | | 0.260 | | | | 11/15/26 | | | | 3,350,000 | |
New York City GO VRDN Putters Series 2009-3457 (JPMorgan Chase & Co.)(a) |
| 4,245,000 | | | | 0.260 | | | | 05/15/17 | | | | 4,245,000 | |
New York City GO VRDN ROCS-RR-II R-11464 Series 2008 (Citibank N.A. SPA)(a) |
| 3,920,000 | | | | 0.260 | | | | 01/15/12 | | | | 3,920,000 | |
New York City GO VRDN ROCS-RR-II R-11515 Series 2008 (Citibank N.A. SPA)(a) |
| 5,940,000 | | | | 0.260 | | | | 03/15/12 | | | | 5,940,000 | |
New York City GO VRDN ROCS-RR-II R-11747 Series 2009 (Citibank N.A.)(a) |
| 22,825,000 | | | | 0.260 | | | | 05/15/17 | | | | 22,825,000 | |
New York City GO VRDN Series 1993 Subseries A-4 (Bayerische Landesbank LOC) |
| 3,900,000 | | | | 0.250 | | | | 08/01/22 | | | | 3,900,000 | |
New York City GO VRDN Series 1993 Subseries A-4 (Westdeutsche Landesbank AG LOC) |
| 17,900,000 | | | | 0.250 | | | | 08/01/23 | | | | 17,900,000 | |
New York City GO VRDN Series 1993 Subseries E-3 (Westdeutsche Landesbank AG LOC) |
| 27,800,000 | | | | 0.250 | | | | 08/01/23 | | | | 27,800,000 | |
New York City GO VRDN Series 1996 Subseries J-2 RMKT (Westdeutsche Landesbank AG LOC) |
| 46,400,000 | | | | 0.280 | | | | 02/15/16 | | | | 46,400,000 | |
New York City GO VRDN Series 2002 Subseries C-2 (Bayerische Landesbank LOC) |
| 4,810,000 | | | | 0.280 | | | | 08/01/20 | | | | 4,810,000 | |
New York City GO VRDN Series 2002 Subseries C-3B RMKT (Lloyds TSB Bank PLC) |
| 2,600,000 | | | | 0.220 | | | | 08/01/20 | | | | 2,600,000 | |
The accompanying notes are an integral part of these financial statements. 41
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
New York – (continued) |
| | | | | | | | | | | | | | |
New York City GO VRDN Series 2003 Subseries A-3 (BNP Paribas LOC) |
$ | 26,200,000 | | | | 0.250 | % | | | 08/01/31 | | | $ | 26,200,000 | |
New York City GO VRDN Series 2003 Subseries G-3 (Bank of Nova Scotia LOC) |
| 4,115,000 | | | | 0.240 | | | | 08/01/14 | | | | 4,115,000 | |
New York City GO VRDN Series 2006 Subseries I-8 (Bank of America N.A. LOC) |
| 2,100,000 | | | | 0.220 | | | | 04/01/36 | | | | 2,100,000 | |
New York City GO VRDN Series 2008 Subseries B-3 (TD Bank N.A. LOC) |
| 5,000,000 | | | | 0.220 | | | | 09/01/27 | | | | 5,000,000 | |
New York City Housing Development Corp. MF Hsg. VRDN RB for 2 Gold Street Series 2006 A (FNMA) |
| 35,000,000 | | | | 0.250 | | | | 04/15/36 | | | | 35,000,000 | |
New York City Housing Development Corp. MF Hsg. VRDN RB for 201 Pearl Street Development Series 2006 A (FNMA) |
| 1,300,000 | | | | 0.250 | | | | 10/15/41 | | | | 1,300,000 | |
New York City Housing Development Corp. MF Hsg. VRDN RB for 90 Washington Street Series 2005 A (FNMA) |
| 30,000,000 | | | | 0.220 | | | | 02/15/35 | | | | 30,000,000 | |
New York City Housing Development Corp. MF Hsg. VRDN RB for 90 West Street Series 2006 A (FNMA) |
| 27,500,000 | | | | 0.250 | | | | 03/15/36 | | | | 27,500,000 | |
New York City Municipal Finance Authority Water & Sewer Systems VRDN RB ROCS-RR-II R-11894X Series 2010 (Citibank N.A.)(a) |
| 4,000,000 | | | | 0.260 | | | | 06/15/29 | | | | 4,000,000 | |
New York City Municipal Water Finance Authority Austin Trust Certificates VRDN RB Series 2007-1038 (Bank of America N.A. SPA)(a) |
| 12,432,000 | | | | 0.320 | | | | 06/15/38 | | | | 12,432,000 | |
New York City Municipal Water Finance Authority Austin Trust Certificates VRDN RB Series 2008-1192 (Bank of America N.A. SPA)(a) |
| 1,938,000 | | | | 0.320 | | | | 06/15/30 | | | | 1,938,000 | |
New York City Municipal Water Finance Authority Austin Trust Certificates VRDN RB Series 2008-3306 (Bank of America N.A. SPA)(a) |
| 5,000,000 | | | | 0.320 | | | | 06/15/31 | | | | 5,000,000 | |
New York City Municipal Water Finance Authority CP Series 2011-6 (Landesbank Baden-Wurttemberg and Landesbank Hessen-Thueringen SPA) |
| 38,800,000 | | | | 0.320 | | | | 04/05/11 | | | | 38,800,000 | |
New York City Municipal Water Finance Authority Municipal Trust Receipts VRDN RB Floater Series 2010-29W (Barclays Bank PLC)(a) |
| 10,000,000 | | | | 0.240 | | | | 06/15/39 | | | | 10,000,000 | |
New York City Municipal Water Finance Authority VRDN RB Putters Series 2008-3231Z (JPMorgan Chase & Co.)(a) |
| 1,000,000 | | | | 0.220 | | | | 06/15/31 | | | | 1,000,000 | |
New York City Municipal Water Finance Authority VRDN RB Putters Series 2009-3384 (JPMorgan Chase & Co. SPA)(a) |
| 3,750,000 | | | | 0.260 | | | | 12/15/16 | | | | 3,750,000 | |
New York City Municipal Water Finance Authority VRDN RB Putters Series 2009-3477 (JPMorgan Chase & Co.)(a) |
| 3,795,000 | | | | 0.260 | | | | 06/15/17 | | | | 3,795,000 | |
New York City Municipal Water Finance Authority VRDN RB Putters Series 2009-3561 (JPMorgan Chase & Co.)(a) |
| 6,000,000 | | | | 0.260 | | | | 06/15/17 | | | | 6,000,000 | |
New York City Municipal Water Finance Authority VRDN RB ROCS-RR-II R-11556 Series 2008 (BHAC) (Citibank N.A. SPA)(a) |
| 9,065,000 | | | | 0.260 | | | | 06/15/12 | | | | 9,065,000 | |
New York City Municipal Water Finance Authority Water & Sewer Systems VRDN RB Eagle Series 2006-0074 Class A (Citibank N.A.)(a) |
| 7,045,000 | | | | 0.260 | | | | 06/15/36 | | | | 7,045,000 | |
New York City Municipal Water Finance Authority Water & Sewer Systems VRDN RB Floaters Certificates Series 2011 – 13C (Wells Fargo Bank N.A.)(a) |
| 4,845,000 | | | | 0.260 | | | | 12/15/36 | | | | 4,845,000 | |
New York City Municipal Water Finance Authority Water & Sewer Systems VRDN RB Putters Series 2008-2559 (JPMorgan Chase & Co. SPA)(a) |
| 1,780,000 | | | | 0.260 | | | | 12/15/13 | | | | 1,780,000 | |
New York City Municipal Water Finance Authority Water & Sewer Systems VRDN RB Putters Series 2008-3038Z (JPMorgan Chase & Co. SPA)(a) |
| 7,845,000 | | | | 0.260 | | | | 06/15/16 | | | | 7,845,000 | |
New York City Municipal Water Finance Authority Water & Sewer Systems VRDN RB Series 2003 F Subseries F-2 (Bayerische Landesbank SPA) |
| 34,700,000 | | | | 0.250 | | | | 06/15/35 | | | | 34,700,000 | |
New York City Municipal Water Finance Authority Water & Sewer VRDN RB ROCS-RR-II R-10381 Series 2009 (Citibank N.A. SPA)(a) |
| 11,000,000 | | | | 0.260 | | | | 12/15/12 | | | | 11,000,000 | |
New York City Municipal Water Finance Authority Water & Sewer VRDN RB ROCS-RR-II R-9301 Series 2008 (Citigroup Financial Products SPA)(a) |
| 5,440,000 | | | | 0.260 | | | | 12/15/13 | | | | 5,440,000 | |
New York City Transitional Finance Authority Austin Trust Certificates VRDN RB Series 2008-1190 (Bank of America N.A. SPA)(a) |
| 3,170,000 | | | | 0.320 | | | | 11/01/27 | | | | 3,170,000 | |
New York City Transitional Finance Authority VRDN RB Eagle Series 2007-0019 Class A (Citibank N.A. SPA)(a) |
| 8,565,000 | | | | 0.260 | | | | 11/01/30 | | | | 8,565,000 | |
New York City Transitional Finance Authority VRDN RB Floater Certificates Series 2011 – 21C (Wells Fargo Bank N.A.)(a) |
| 2,800,000 | | | | 0.260 | | | | 02/01/35 | | | | 2,800,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 1998 A-1 (Westdeutsche Landesbank AG SPA) |
| 73,200,000 | | | | 0.260 | | | | 11/15/28 | | | | 73,200,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 1998 A-2 (Bank of Nova Scotia SPA) |
| 9,845,000 | | | | 0.230 | | | | 11/15/27 | | | | 9,845,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 1998 C (Bayerische Landesbank SPA) |
| 43,900,000 | | | | 0.230 | | | | 05/01/28 | | | | 43,900,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 1999 Subseries B-3 (JP Morgan Chase & Co. SPA) |
| 21,700,000 | | | | 0.260 | | | | 11/01/28 | | | | 21,700,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 2001 B (Landesbank Baden-Wurttemberg SPA) |
| 52,900,000 | | | | 0.250 | | | | 02/01/31 | | | | 52,900,000 | |
New York City Transitional Finance Authority VRDN RB Future Tax Secured Series 2002 Subseries C4 (Landesbank Hessen-Thueringen SPA) |
| 10,815,000 | | | | 0.250 | | | | 08/01/31 | | | | 10,815,000 | |
New York City Transitional Finance Authority VRDN RB Putters Series 2008-3283 (JPMorgan Chase & Co. SPA)(a) |
| 3,495,000 | | | | 0.260 | | | | 05/01/15 | | | | 3,495,000 | |
New York City Transitional Finance Authority VRDN RB Putters Series 2011-3857 (JPMorgan Chase & Co.)(a) |
| 2,500,000 | | | | 0.260 | | | | 11/01/18 | | | | 2,500,000 | |
New York City Transitional Finance Authority VRDN RB Recovery Series 2002-1 Subseries 1B (Societe Generale) |
| 13,060,000 | | | | 0.230 | | | | 11/01/22 | | | | 13,060,000 | |
42 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
New York – (continued) |
| | | | | | | | | | | | | | |
New York City Transitional Finance Authority VRDN RB Recovery Series 2002-3 Subseries 3E (Landesbank Baden-Wurttemberg SPA) |
$ | 8,780,000 | | | | 0.250 | % | | | 11/01/22 | | | $ | 8,780,000 | |
New York City Transitional Finance Authority VRDN RB ROCS-RR-II R-10344 Series 2009 (Citibank N.A.)(a) |
| 12,475,000 | | | | 0.250 | | | | 08/01/12 | | | | 12,475,000 | |
New York City Transitional Finance Authority VRDN RB Series 2002 Subseries 2F (Bayerische Landesbank SPA) |
| 6,250,000 | | | | 0.250 | | | | 11/01/22 | | | | 6,250,000 | |
New York City Trust Cultural Resources VRDN RB for Metropolitan Museum of Art Series 2006 A1 RMKT |
| 6,600,000 | | | | 0.220 | | | | 10/01/36 | | | | 6,600,000 | |
New York City Trust Cultural Resources VRDN RB for Metropolitan Museum of Art Series 2006 A2 RMKT |
| 4,940,000 | | | | 0.220 | | | | 10/01/36 | | | | 4,940,000 | |
New York City Trust Cultural Resources VRDN RB Refunding for American Museum of Natural History Series 2009-3502 (JPMorgan Chase Bank & Co.)(a) |
| 3,200,000 | | | | 0.290 | | | | 01/01/37 | | | | 3,200,000 | |
New York State Dormitory Authority Austin Trust Certificates VRDN RB Series 2008-1195 (Bank of America N.A. SPA)(a) |
| 22,600,000 | | | | 0.320 | | | | 07/01/48 | | | | 22,600,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for Cornell University Series 2011-3C (Wells Fargo Bank N.A.)(a) |
| 12,340,000 | | | | 0.270 | | | | 07/01/40 | | | | 12,340,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for Rockefeller University Series 2008 A |
| 11,000,000 | | | | 0.220 | | | | 07/01/39 | | | | 11,000,000 | |
New York State Dormitory Authority Non-State Supported Debt VRDN RB for Rockefeller University Series 2009 B (U.S. Bank N.A. SPA) |
| 12,150,000 | | | | 0.230 | | | | 07/01/40 | | | | 12,150,000 | |
New York State Dormitory Authority Personal Income Tax Secondary Issues VRDN RB Eagle Series 2006-0047 Class A (Citibank N.A.)(a) |
| 23,400,000 | | | | 0.260 | | | | 03/15/35 | | | | 23,400,000 | |
New York State Dormitory Authority Personal Income Tax Secondary Issues VRDN RB Eagle Series 2006-0164 Class A (Citibank N.A.)(a) |
| 10,060,000 | | | | 0.260 | | | | 03/15/36 | | | | 10,060,000 | |
New York State Dormitory Authority Personal Income Tax VRDN RB Putters Series 2008-3160 (JPMorgan Chase & Co. SPA)(a) |
| 6,660,000 | | | | 0.260 | | | | 03/15/15 | | | | 6,660,000 | |
New York State Dormitory Authority Personal Income Tax VRDN RB Putters Series 2008-3280 (JPMorgan Chase & Co.)(a) |
| 5,000,000 | | | | 0.260 | | | | 09/15/16 | | | | 5,000,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB Eagle Series 2006-0138 (Citibank N.A. SPA)(a) |
| 18,000,000 | | | | 0.260 | | | | 12/15/35 | | | | 18,000,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB Eagle Series 2007-0096 Class A (Citibank N.A.)(a) |
| 20,485,000 | | | | 0.260 | | | | 03/15/37 | | | | 20,485,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB for Columbia University Trust Receipts Series 2006-K1 Reg. D (Citibank N.A.)(a) |
| 6,535,000 | | | | 0.260 | | | | 05/29/14 | | | | 6,535,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB ROCS-RR-II R-11535 Series 2008 (Citibank N.A.)(a) |
| 2,770,000 | | | | 0.260 | | | | 07/01/16 | | | | 2,770,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB ROCS-RR-II R-11722 Series 2009 (Citibank N.A. SPA)(a) |
| 4,635,000 | | | | 0.260 | | | | 07/01/16 | | | | 4,635,000 | |
New York State Dormitory Authority Secondary Issues VRDN RB ROCS-RR-II R-12121 Series 2007 (Citibank N.A. SPA)(a) |
| 8,920,000 | | | | 0.260 | | | | 04/01/15 | | | | 8,920,000 | |
New York State Dormitory Authority VRDN RB Floater Certificates for New York University Series 2009-91C (Wells Fargo Bank N.A.)(a)(c) |
| 11,990,000 | | | | 0.400 | | | | 07/01/39 | | | | 11,990,000 | |
New York State Dormitory Authority VRDN RB for Mental Health Services Series 2003 Subseries D 2E (BNP Paribas SPA) |
| 4,855,000 | | | | 0.230 | | | | 02/15/31 | | | | 4,855,000 | |
New York State Dormitory Authority VRDN RB Putters for Cornell University Series 2009-3383 (JPMorgan Chase & Co. SPA)(a) |
| 2,705,000 | | | | 0.260 | | | | 01/01/17 | | | | 2,705,000 | |
New York State Dormitory Authority VRDN RB Putters for Memorial Sloan-Kettering Hospital Series 2008-3171 (JPMorgan Chase & Co. SPA)(a) |
| 24,260,000 | | | | 0.260 | | | | 07/01/16 | | | | 24,260,000 | |
New York State Dormitory Authority VRDN RB Putters for Memorial Sloan-Kettering Hospital Series 2008-3201 (JPMorgan Chase & Co. SPA)(a) |
| 10,020,000 | | | | 0.260 | | | | 01/01/30 | | | | 10,020,000 | |
New York State Dormitory Authority VRDN RB Putters for New York University Series 2008-3233Z (JPMorgan Chase & Co.)(a) |
| 7,670,000 | | | | 0.260 | | | | 07/01/32 | | | | 7,670,000 | |
New York State Dormitory Authority VRDN RB Putters for New York University Series 2009-3607 (JPMorgan Chase & Co.)(a) |
| 6,800,000 | | | | 0.260 | | | | 07/01/17 | | | | 6,800,000 | |
New York State Dormitory Authority VRDN RB Putters for Vassar College Series 2008-3204 (JPMorgan Chase & Co. SPA)(a) |
| 5,825,000 | | | | 0.260 | | | | 07/01/37 | | | | 5,825,000 | |
New York State Dormitory Authority VRDN RB Putters Series 2008-3209 (JPMorgan Chase & Co. SPA) |
| 4,100,000 | | | | 0.260 | | | | 01/01/30 | | | | 4,100,000 | |
New York State Dormitory Authority VRDN RB Putters Series 2009-3518 (JPMorgan Chase & Co.)(a) |
| 3,840,000 | | | | 0.260 | | | | 02/15/33 | | | | 3,840,000 | |
New York State Dormitory Authority VRDN RB Putters Series 2010-3698Z (JPMorgan Chase & Co.)(a) |
| 7,600,000 | | | | 0.260 | | | | 03/15/14 | | | | 7,600,000 | |
New York State Dormitory Authority VRDN RB Putters Series 2010-3792Z (JPMorgan Chase & Co.)(a) |
| 6,435,000 | | | | 0.260 | | | | 03/15/17 | | | | 6,435,000 | |
New York State Dormitory Authority VRDN RB Secondary Issues Series 2007-1861 (Wells Fargo Bank)(a) |
| 5,315,000 | | | | 0.250 | | | | 07/01/39 | | | | 5,315,000 | |
New York State Environmental Facilities Corp. VRDN RB for Clean Water & Drinking Putters Series 2008-2870 (JPMorgan Chase & Co. SPA)(a) |
| 3,620,000 | | | | 0.260 | | | | 12/15/15 | | | | 3,620,000 | |
New York State Environmental Facilities Corp. VRDN RB for Clean Water & Drinking Putters Series 2008-2871 (JPMorgan Chase & Co. SPA)(a) |
| 3,640,000 | | | | 0.260 | | | | 06/15/37 | | | | 3,640,000 | |
New York State Environmental Facilities Corp. VRDN RB for Clean Water & Drinking Putters Series 2008-3195Z (JPMorgan Chase & Co. SPA)(a) |
| 19,995,000 | | | | 0.220 | | | | 06/15/11 | | | | 19,995,000 | |
The accompanying notes are an integral part of these financial statements. 43
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
New York – (continued) |
| | | | | | | | | | | | | | |
New York State Housing Finance Agency Service Contract VRDN RB Refunding Series 2003 I (Landesbank Hessen-Thueringen LOC) |
$ | 31,200,000 | | | | 0.290 | % | | | 03/15/31 | | | $ | 31,200,000 | |
New York State Housing Finance Agency VRDN RB 100 Maiden Lane Series 2004 A RMKT (FNMA) |
| 29,390,000 | | | | 0.230 | | | | 05/15/37 | | | | 29,390,000 | |
New York State Housing Finance Agency VRDN RB for 20 River Terrace Housing Series 2002 A RMKT (FNMA) |
| 19,100,000 | | | | 0.250 | | | | 05/15/34 | | | | 19,100,000 | |
New York State Housing Finance Agency VRDN RB for North End Series 2004 A RMKT (FNMA) |
| 28,200,000 | | | | 0.250 | | | | 11/15/36 | | | | 28,200,000 | |
New York State Local Government Assistance Corp. Austin Trust Certificates VRDN RB Series 2008-3506 (AGM) (Bank of America N.A.)(a) |
| 3,510,000 | | | | 0.320 | | | | 04/01/16 | | | | 3,510,000 | |
New York State Thruway Authority VRDN RB Floaters Series 2006-1427 (AGM) (Morgan Stanley & Co.)(a) |
| 6,780,000 | | | | 0.270 | | | | 01/01/26 | | | | 6,780,000 | |
New York State Urban Development Corp. Personal Income Tax VRDN RB Floater Trust Series 2009 6W-Reg. D (Barclays Bank PLC)(a) |
| 3,900,000 | | | | 0.240 | | | | 03/15/37 | | | | 3,900,000 | |
New York State Urban Development Corp. VRDN RB Refunding for Services Contract Series 2008 A-1 (Wachovia Bank N.A. LOC) |
| 3,450,000 | | | | 0.230 | | | | 01/01/30 | | | | 3,450,000 | |
Port Authority of New York & New Jersey VRDN RB ROCS-RR-II R-11793 Series 2009 (GO of Authority)(a) |
| 1,500,000 | | | | 0.270 | | | | 03/15/27 | | | | 1,500,000 | |
Port Authority of New York & New Jersey VRDN RB ROCS-RR-II R-664 Series 2006 (Citibank N.A.)(a) |
| 1,200,000 | | | | 0.260 | | | | 10/01/14 | | | | 1,200,000 | |
Triborough Bridge & Tunnel Authority Austin Trust Certificates VRDN RB Series 2008-1184 (Bank of America N.A. SPA)(a) |
| 4,600,000 | | | | 0.320 | | | | 11/15/33 | | | | 4,600,000 | |
Triborough Bridge & Tunnel Authority Austin Trust Certificates VRDN RB Series 2008-1188 (Bank of America N.A. SPA)(a) |
| 4,900,000 | | | | 0.320 | | | | 11/15/33 | | | | 4,900,000 | |
Triborough Bridge & Tunnel Authority VRDN RB Floaters Series 2009-3083 (Morgan Stanley Municipal Products)(a) |
| 6,975,000 | | | | 0.270 | | | | 11/15/37 | | | | 6,975,000 | |
Triborough Bridge & Tunnel Authority VRDN RB Putters Series 2010-3685 (GO of Authority) (JPMorgan Chase & Co.)(a) |
| 3,200,000 | | | | 0.260 | | | | 11/15/16 | | | | 3,200,000 | |
Triborough Bridge & Tunnel Authority VRDN RB Refunding Series 2005 Subseries B-4 (Landesbank Baden-Wurttemberg SPA) |
| 2,975,000 | | | | 0.280 | | | | 01/01/32 | | | | 2,975,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 1,423,453,034 | |
|
|
North Carolina – 5.0% |
Cary GO VRDN Public Improvement Series 2006 (Bank of New York SPA) |
| 8,715,000 | | | | 0.220 | | | | 06/01/27 | | | | 8,715,000 | |
Charlotte GO VRDN ROCS-RR-II R-11905 Series 2011 (Citibank N.A.)(a) |
| 3,600,000 | | | | 0.260 | | | | 06/01/17 | | | | 3,600,000 | |
Charlotte VRDN COPS Transit Projects Series 2004 B (Bank of America N.A. SPA) |
| 1,095,000 | | | | 0.230 | | | | 06/01/14 | | | | 1,095,000 | |
Charlotte Water & Sewer Systems VRDN RB Putters Series 2009-3443 (JPMorgan Chase & Co. SPA)(a) |
| 5,970,000 | | | | 0.260 | | | | 07/01/16 | | | | 5,970,000 | |
Charlotte Water & Sewer Systems VRDN RB Refunding Series 2002 C (Bank of America N.A. SPA) |
| 41,430,000 | | | | 0.280 | | | | 06/01/25 | | | | 41,430,000 | |
Charlotte-Mecklenburg Hospital Authority Health Care Systems VRDN RB Refunding for Carolinas Healthcare Series 2007 C RMKT (JPMorgan Chase & Co. SPA) |
| 10,100,000 | | | | 0.280 | | | | 01/15/37 | | | | 10,100,000 | |
Durham GO VRDN Public Improvement Series 1993 (Wachovia Bank N.A. SPA) |
| 2,570,000 | | | | 0.280 | | | | 02/01/12 | | | | 2,570,000 | |
| 3,375,000 | | | | 0.280 | | | | 02/01/13 | | | | 3,375,000 | |
East Carolina University VRDN RB Series 2004 (Wachovia Bank N.A. SPA) |
| 8,945,000 | | | | 0.250 | | | | 05/01/24 | | | | 8,945,000 | |
Forsyth County GO VRDN Series 2004 A (Wachovia Bank N.A. SPA) |
| 8,450,000 | | | | 0.250 | | | | 03/01/25 | | | | 8,450,000 | |
Forsyth County GO VRDN Series 2004 B (Wachovia Bank N.A. SPA) |
| 10,450,000 | | | | 0.250 | | | | 03/01/25 | | | | 10,450,000 | |
Greensboro Enterprise System VRDN RB Series 1998 B (Bank of America N.A. SPA) |
| 2,110,000 | | | | 0.240 | | | | 06/01/24 | | | | 2,110,000 | |
Greensboro Enterprise System VRDN RB Series 2005 B (Bank of America N.A. SPA) |
| 11,250,000 | | | | 0.280 | | | | 06/01/30 | | | | 11,250,000 | |
Greensboro GO VRDN Public Improvement Series 1994 B (Wachovia Bank N.A. SPA) |
| 1,450,000 | | | | 0.300 | | | | 04/01/12 | | | | 1,450,000 | |
Greensboro GO VRDN Public Improvement Series 2003 B (Bank of America N.A. SPA) |
| 2,635,000 | | | | 0.300 | | | | 02/01/22 | | | | 2,635,000 | |
Greensboro GO VRDN Public Improvement Series 2008 B (Bank of America N.A. SPA) |
| 3,750,000 | | | | 0.290 | | | | 02/01/28 | | | | 3,750,000 | |
Guilford County GO VRDN Series 2004 C (Bank of America N.A. SPA) |
| 29,650,000 | | | | 0.240 | | | | 10/01/20 | | | | 29,650,000 | |
Mecklenburg County GO VRDN Series 2003 B (Landesbank Hessen-Thueringen SPA) |
| 11,930,000 | | | | 0.240 | | | | 02/01/23 | | | | 11,930,000 | |
Mecklenburg County GO VRDN Series 2006 A |
| 20,285,000 | | | | 0.250 | | | | 02/01/26 | | | | 20,285,000 | |
North Carolina Capital Facilities Finance Agency VRDN RB for Duke University Eagle Series 2005-0060 Class A (Citibank N.A. SPA)(a) |
| 15,600,000 | | | | 0.260 | | | | 10/01/41 | | | | 15,600,000 | |
North Carolina Capital Facilities Finance Agency VRDN RB for Duke University Eagle Series 2006-0012 A (Citibank N.A SPA)(a) |
| 26,365,000 | | | | 0.260 | | | | 10/01/41 | | | | 26,365,000 | |
North Carolina Capital Facilities Finance Agency VRDN RB for Duke University Eagle Series 2007-0015 A (Landesbank Hessen-Thueringen SPA)(a) |
| 10,890,000 | | | | 0.260 | | | | 07/01/42 | | | | 10,890,000 | |
North Carolina Capital Facilities Finance Agency VRDN RB for Duke University Eagle Series 2007-0016 Class A (Citibank N.A.) |
| 2,300,000 | | | | 0.260 | | | | 10/01/44 | | | | 2,300,000 | |
North Carolina Capital Facilities Finance Agency VRDN RB for Duke University Eagle Series 2007-0016 Class A (Landesbank Hessen-Thueringen SPA)(a) |
| 13,760,000 | | | | 0.260 | | | | 10/01/44 | | | | 13,760,000 | |
44 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
North Carolina – (continued) |
| | | | | | | | | | | | | | |
North Carolina Capital Facilities Finance Agency VRDN RB for Duke University Putters Series 2008-3186Z (JPMorgan Chase & Co.)(a) |
$ | 6,900,000 | | | | 0.220 | % | | | 10/01/14 | | | $ | 6,900,000 | |
North Carolina Capital Facilities Finance Agency VRDN RB for Duke University Putters Series 2009-3333 (JPMorgan Chase & Co. SPA)(a) |
| 11,000,000 | | | | 0.260 | | | | 10/01/16 | | | | 11,000,000 | |
North Carolina Capital Facilities Finance Agency VRDN RB for Wake Forest University Series 2004 A |
| 12,990,000 | | | | 0.230 | | | | 01/01/20 | | | | 12,990,000 | |
North Carolina Educational Facilities Finance Agency VRDN RB for Duke University Project Series 1991 B |
| 2,000,000 | | | | 0.270 | | | | 12/01/21 | | | | 2,000,000 | |
North Carolina Medical Care Commission Health Care Facilities Municipal Trust Receipts VRDN RB for Duke University Health System Floater Series 2010-31W (Barclays Bank PLC)(a) |
| 2,000,000 | | | | 0.270 | | | | 06/01/42 | | | | 2,000,000 | |
North Carolina Medical Care Commission Health Care Facilities VRDN RB for Duke University Health Systems Series 2006 B |
| 15,000,000 | | | | 0.560 | | | | 06/01/39 | | | | 15,006,424 | |
North Carolina Medical Care Commission Health Care Facilities VRDN RB for Novant Health Group Series 2004 A (JPMorgan Chase & Co. SPA) |
| 2,100,000 | | | | 0.280 | | | | 11/01/34 | | | | 2,100,000 | |
North Carolina Medical Care Commission Health Care Facilities VRDN RB for Wakemed, Inc. Series 2009 C (Wachovia Bank N.A. LOC) |
| 15,625,000 | | | | 0.250 | | | | 10/01/26 | | | | 15,625,000 | |
North Carolina Medical Care Commission Hospital VRDN RB for Moses Cone Health Systems Series 2004 A |
| 3,000,000 | | | | 0.230 | | | | 10/01/35 | | | | 3,000,000 | |
North Carolina State GO Bonds for Public Improvement Series 2001 A |
| 2,000,000 | | | | 4.750 | | | | 03/01/11 | | | | 2,030,000 | |
North Carolina State GO VRDN for Public Improvement Series 2002 D (Landesbank Hessen-Thueringen SPA) |
| 43,510,000 | | | | 0.230 | | | | 05/01/21 | | | | 43,510,000 | |
North Carolina State GO VRDN for Public Improvement Series 2002 E (Landesbank Hessen-Thueringen SPA) |
| 16,500,000 | | | | 0.280 | | | | 05/01/21 | | | | 16,500,000 | |
Raleigh Comb Enterprise System VRDN RB Eagle Series 2007-0010 A (Landesbank Hessen-Thueringen SPA)(a) |
| 4,950,000 | | | | 0.260 | | | | 03/01/36 | | | | 4,950,000 | |
Raleigh Comb Enterprise System VRDN RB Series 2008 A (Wachovia Bank N.A. SPA) |
| 10,000,000 | | | | 0.220 | | | | 03/01/35 | | | | 10,000,000 | |
Raleigh Comb Enterprise System VRDN RB Series 2008 B (Wachovia Bank N.A. SPA) |
| 455,000 | | | | 0.220 | | | | 03/01/35 | | | | 455,000 | |
Raleigh Durham Airport Authority VRDN RB Refunding Series 2008 C RMKT (U.S. Bank N.A. LOC) |
| 10,800,000 | | | | 0.250 | | | | 05/01/36 | | | | 10,800,000 | |
Raleigh VRDN RB ROCS-RR-II R-645 Series 2006 (Citibank N.A. SPA)(a) |
| 19,325,000 | | | | 0.260 | | | | 03/01/14 | | | | 19,325,000 | |
Union County GO VRDN Series 2007 A (Wachovia Bank N.A. SPA) |
| 5,600,000 | | | | 0.230 | | | | 03/01/33 | | | | 5,600,000 | |
University of North Carolina Hospital Chapel Hill VRDN RB Refunding Series 2003 B (Wachovia Bank N.A. SPA) |
| 4,635,000 | | | | 0.250 | | | | 02/01/29 | | | | 4,635,000 | |
University of North Carolina Hospital Chapel Hill VRDN RB Series 2001 A (Landesbank Hessen-Thueringen SPA) |
| 9,625,000 | | | | 0.190 | | | | 02/15/31 | | | | 9,625,000 | |
University of North Carolina Hospital Chapel Hill VRDN RB Series 2001 B (Landesbank Hessen-Thueringen SPA) |
| 8,520,000 | | | | 0.190 | | | | 02/15/31 | | | | 8,520,000 | |
University of North Carolina VRDN RB Eagle Tax-Exempt Trust Series 2005-3014 Class A (Citibank N.A. SPA)(a) |
| 15,345,000 | | | | 0.260 | | | | 12/01/34 | | | | 15,345,000 | |
University of North Carolina VRDN RB ROCS-RR-II R-11292 for Chapel Hill Hospital Series 2007 (Citibank N.A. SPA)(a) |
| 3,065,000 | | | | 0.260 | | | | 12/01/15 | | | | 3,065,000 | |
Wake County GO VRDN for Public Improvement Series 2003 B (Lloyds TSB Bank PLC SPA) |
| 11,750,000 | | | | 0.250 | | | | 04/01/17 | | | | 11,750,000 | |
| 2,700,000 | | | | 0.250 | | | | 04/01/18 | | | | 2,700,000 | |
Wake County GO VRDN for Public Improvement Series 2003 C (Lloyds TSB Bank PLC SPA) |
| 8,150,000 | | | | 0.280 | | | | 04/01/19 | | | | 8,150,000 | |
| 3,800,000 | | | | 0.280 | | | | 04/01/20 | | | | 3,800,000 | |
Wake County GO VRDN Public Improvements Series 2003 B (Lloyds TSB Bank PLC SPA) |
| 2,600,000 | | | | 0.250 | | | | 04/01/16 | | | | 2,600,000 | |
Wake County GO VRDN School Series 2007 A (Bank of America N.A. SPA) |
| 5,300,000 | | | | 0.280 | | | | 03/01/26 | | | | 5,300,000 | |
Wake County GO VRDN School Series 2007 B (Bank of America N.A. SPA) |
| 5,100,000 | | | | 0.280 | | | | 03/01/24 | | | | 5,100,000 | |
Wake County GO VRDN Series 2004 B (Landesbank Hessen-Thueringen SPA) |
| 10,605,000 | | | | 0.280 | | | | 04/01/21 | | | | 10,605,000 | |
Wake County VRDN RB Putters Series 2009-3553 (JPMorgan Chase & Co.)(a) |
| 3,375,000 | | | | 0.260 | | | | 06/01/17 | | | | 3,375,000 | |
Wilmington VRDN RB Refunding Series 2002 (Wachovia Bank N.A. SPA) |
| 12,660,000 | | | | 0.250 | | | | 06/01/15 | | | | 12,660,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 547,696,424 | |
|
|
North Dakota – 0.6% |
Mercer County for Basin Electric and Power Cooperative CP Series 2010 |
| 64,925,000 | | | | 0.340 | | | | 03/01/11 | | | | 64,925,000 | |
|
|
Ohio – 3.0% |
Allen County Hospital Facilities VRDN RB Putters for Catholic Healthcare Series 2010-3692Z (JPMorgan Chase & Co.) |
| 6,335,000 | | | | 0.260 | | | | 12/01/17 | | | | 6,335,000 | |
Cleveland Clinic VRDN RB Floater Certificates Series 2008-59C (Wells Fargo & Co. SPA)(a) |
| 2,800,000 | | | | 0.260 | | | | 01/01/33 | | | | 2,800,000 | |
Columbus GO Notes for Transportation Projects LTD Tax Series 2010-1 |
| 24,645,000 | | | | 2.000 | | | | 12/07/11 | | | | 24,955,213 | |
Columbus GO VRDN Putters Series 2007-2365 (JPMorgan Chase & Co. SPA)(a) |
| 4,360,000 | | | | 0.260 | | | | 09/01/15 | | | | 4,360,000 | |
Columbus GO VRDN Sanitation Sewer System Series 2006-1 |
| 1,445,000 | | | | 0.230 | | | | 12/01/26 | | | | 1,445,000 | |
Columbus Sewer System VRDN RB Refunding Series 2008 B |
| 3,530,000 | | | | 0.230 | | | | 06/01/32 | | | | 3,530,000 | |
Columbus Sewer VRDN RB Putters Series 2008-2456 (JPMorgan Chase & Co. SPA)(a) |
| 4,405,000 | | | | 0.260 | | | | 12/01/15 | | | | 4,405,000 | |
The accompanying notes are an integral part of these financial statements. 45
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Ohio – (continued) |
| | | | | | | | | | | | | | |
Franklin County Hospital VRDN RB Improvement for Nationwide Children’s Hospital Project Series 2008 B |
$ | 16,100,000 | | | | 0.260 | % | | | 11/01/40 | | | $ | 16,100,000 | |
Franklin County Hospital VRDN RB Refunding for Nationwide Children’s Hospital Project Series 2008 F (JPMorgan Chase & Co. SPA)(b) |
| 15,670,000 | | | | 0.240 | | | | 05/01/31 | | | | 15,670,000 | |
Franklin County Hospital VRDN RB Refunding for Nationwide Children’s Hospital Series 2008 D (PNC Bank N.A. SPA) |
| 40,520,000 | | | | 0.240 | | | | 11/01/33 | | | | 40,520,000 | |
Franklin County Hospital VRDN RB Refunding for Ohio Health Corp. Series 2008 A (JPMorgan Chase & Co. SPA) |
| 18,650,000 | | | | 0.250 | | | | 11/15/33 | | | | 18,650,000 | |
Franklin County Hospital VRDN RB Refunding for Ohio Health Corp. Series 2009 A RMKT (Barclays Bank PLC SPA) |
| 14,000,000 | | | | 0.250 | | | | 11/15/41 | | | | 14,000,000 | |
Franklin County Hospital VRDN RB Refunding for Ohio Health Corp. Series 2009 B RMKT (Barclays Bank PLC SPA) |
| 15,000,000 | | | | 0.250 | | | | 11/15/41 | | | | 15,000,000 | |
Montgomery County VRDN RB for Catholic Health Series 2004 B-1 (Bank of New York SPA) |
| 13,500,000 | | | | 0.230 | | | | 03/01/27 | | | | 13,500,000 | |
Ohio State GO VRDN Common Schools Series 2006 C |
| 22,980,000 | | | | 0.220 | | | | 06/15/26 | | | | 22,980,000 | |
Ohio State GO VRDN for Infrastructure Improvement Series 2001 B |
| 1,500,000 | | | | 0.220 | | | | 08/01/21 | | | | 1,500,000 | |
Ohio State GO VRDN Refunding for Infrastructure Improvement Series 2003 B |
| 34,225,000 | | | | 0.200 | | | | 08/01/17 | | | | 34,225,000 | |
Ohio State GO VRDN Refunding for Infrastructure Improvement Series 2003 D |
| 16,990,000 | | | | 0.200 | | | | 02/01/19 | | | | 16,990,000 | |
Ohio State GO VRDN Refunding for Infrastructure Improvement Series 2004 A |
| 8,700,000 | | | | 0.200 | | | | 02/01/23 | | | | 8,700,000 | |
Ohio State Higher Educational Facility Commission VRDN RB for Cleveland Health Clinic Series 2008 59C (Wells Fargo Bank N.A.) |
| 17,000,000 | | | | 0.260 | | | | 01/03/33 | | | | 17,000,000 | |
Ohio State Higher Educational Facility VRDN RB for Oberlin College Project Series 2008 (U.S. Bank N.A. SPA) |
| 4,800,000 | | | | 0.250 | | | | 10/01/48 | | | | 4,800,000 | |
Ohio State Hospital Facility Commission VRDN RB for Cleveland Health Clinic Putters Series 2009-3551 (JPMorgan Chase & Co.)(a) |
| 10,410,000 | | | | 0.220 | | | | 01/01/17 | | | | 10,410,000 | |
Ohio State Hospital Facility Commission VRDN RB for Cleveland Health Clinic Putters Series 2009-3555Z (JPMorgan Chase & Co.)(a) |
| 7,995,000 | | | | 0.260 | | | | 01/01/17 | | | | 7,995,000 | |
Ohio State Hospital Facility Commission VRDN RB for Cleveland Health Clinic Putters Series 2009-3558Z (JPMorgan Chase & Co.)(a) |
| 5,000,000 | | | | 0.260 | | | | 01/01/17 | | | | 5,000,000 | |
Ohio State University for Cleveland Clinic CP Series 2010 |
| 19,500,000 | | | | 0.380 | | | | 03/15/11 | | | | 19,500,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 330,370,213 | |
|
|
Oklahoma – 0.4% |
Oklahoma State Turnpike Authority VRDN RB Refunding Second Series 2006 D Convertible (Royal Bank of Canada SPA) |
| 31,650,000 | | | | 0.250 | | | | 01/01/28 | | | | 31,650,000 | |
Oklahoma State Turnpike Authority VRDN RB Refunding Second Series 2008 6 Convertible (Royal Bank of Canada SPA) |
| 10,000,000 | | | | 0.250 | | | | 01/01/28 | | | | 10,000,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 41,650,000 | |
|
|
Oregon – 2.0% |
Clackamas County Hospital Facility Authority VRDN RB for Legacy Health System Series 2008 B (U.S. Bank N.A. LOC) |
| 2,400,000 | | | | 0.230 | | | | 06/01/37 | | | | 2,400,000 | |
Clackamas County Providence Health Services CP Series 2010 |
| 10,000,000 | | | | 0.280 | | | | 03/01/11 | | | | 10,000,000 | |
Oregon Health Sciences University VRDN RB Series 2009 B-2 (U.S. Bank N.A. LOC) |
| 4,770,000 | | | | 0.250 | | | | 07/01/27 | | | | 4,770,000 | |
Oregon State GO TANS Series 2010 A |
| 80,000,000 | | | | 2.000 | | | | 06/30/11 | | | | 80,425,229 | |
Oregon State GO VRDN Welfare Series 1985 73-H (Bayerische Landesbank SPA) |
| 88,200,000 | | | | 0.280 | | | | 12/01/19 | | | | 88,200,000 | |
Portland Sewer System RB for Second Lien Series 2010 A |
| 17,130,000 | | | | 2.000 | | | | 03/01/11 | | | | 17,130,000 | |
Salem Hospital Facility Authority VRDN RB for Salem Hospital Project Series 2008 C (Bank of America N.A. LOC) |
| 12,500,000 | | | | 0.300 | | | | 08/15/36 | | | | 12,500,000 | |
Umatilla County Hospital Facility Authority VRDN RB Catholic Health Series 1997 B (Bayerische Landesbank N.A. SPA) |
| 4,800,000 | | | | 0.300 | | | | 12/01/24 | | | | 4,800,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 220,225,229 | |
|
|
Pennsylvania – 1.5% |
Downingtown Area School District Municipal Products, Inc. Trust GO VRDN Floater Certificates Series 2010 E-13 (Royal Bank of Canada)(a) |
| 7,470,000 | | | | 0.260 | | | | 05/01/30 | | | | 7,470,000 | |
Geisinger Authority Health System VRDN RB Series 2005 A (Bank of America SPA) |
| 15,250,000 | | | | 0.200 | | | | 05/15/35 | | | | 15,250,000 | |
Geisinger Health System Authority VRDN RB Series 2005 C (Wachovia Bank N.A. SPA) |
| 15,515,000 | | | | 0.190 | | | | 08/01/28 | | | | 15,515,000 | |
Northampton County General Purpose Authority VRDN RB for Higher Education Lehigh University Series 2004 (JPMorgan Chase & Co. SPA) |
| 20,000,000 | | | | 0.250 | | | | 05/15/34 | | | | 20,000,000 | |
Northampton County General Purpose Authority VRDN RB Refunding for Lafayette College Project Series 2003 (JPMorgan Chase & Co. SPA) |
| 4,880,000 | | | | 0.260 | | | | 11/01/23 | | | | 4,880,000 | |
Northampton County Higher Education Authority VRDN RB for Lafayette College Series 1998 A (JPMorgan Chase & Co. SPA) |
| 8,700,000 | | | | 0.260 | | | | 11/01/28 | | | | 8,700,000 | |
Northampton County Higher Education Authority VRDN RB for Lafayette College Series 1998 B (JPMorgan Chase & Co. SPA) |
| 1,800,000 | | | | 0.260 | | | | 11/01/28 | | | | 1,800,000 | |
Pennsylvania Economic Development Financing Authority VRDN RB for Jefferson Health System Series 2005 A (Bank of America N.A. SPA) |
| 5,440,000 | | | | 0.300 | | | | 05/15/38 | | | | 5,440,000 | |
Pennsylvania State GO VRDN ROCS-RR-II R-11056 (Citibank N.A. SPA)(a) |
| 3,700,000 | | | | 0.260 | | | | 05/01/15 | | | | 3,700,000 | |
46 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Pennsylvania – (continued) |
| | | | | | | | | | | | | | |
Pennsylvania State GO VRDN ROCS-RR-II R-11505 Series 2008 (Citibank N.A. SPA)(a) |
$ | 3,400,000 | | | | 0.260 | % | | | 08/01/15 | | | $ | 3,400,000 | |
Pennsylvania State Turnpike Commission VRDN RB Series 2008 B-4 (Bank of America N.A. LOC) |
| 28,660,000 | | | | 0.260 | | | | 12/01/38 | | | | 28,660,000 | |
Pennsylvania State Turnpike Commission VRDN RB Series 2009 C |
| 4,300,000 | | | | 0.780 | | | | 12/01/11 | | | | 4,308,221 | |
Pennsylvania State University VRDN RB ROCS-RR-II R-11917 Series 2011 (Citibank N.A.)(a) |
| 3,840,000 | | | | 0.260 | | | | 03/01/18 | | | | 3,840,000 | |
St. Mary’s Hospital Authority Bucks County VRDN RB for Catholic Healthcare Series 2004 B (Landesbank Hessen-Thueringen SPA) |
| 7,900,000 | | | | 0.260 | | | | 03/01/32 | | | | 7,900,000 | |
University of Pittsburgh of the Commonwealth System of Higher Education RANS Series 2010 |
| 25,000,000 | | | | 2.000 | | | | 05/31/11 | | | | 25,094,967 | |
University of Pittsburgh VRDN RB Floaters Series 2009-38C (Wells Fargo & Co.)(a) |
| 4,000,000 | | | | 0.260 | | | | 09/15/35 | | | | 4,000,000 | |
Washington County Authority VRDN RB Refunding for University of Pennsylvania Series 2004 |
| 5,155,000 | | | | 0.230 | | | | 07/01/34 | | | | 5,155,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 165,113,188 | |
|
|
Puerto Rico(a) – 1.0% |
Puerto Rico Sales Tax Financing Corp. Municipal Trust Receipts VRDN RB Floater Series 2009 10B (Barclays Bank PLC) |
| 7,250,000 | | | | 0.360 | | | | 08/01/57 | | | | 7,250,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB Floaters Series 2009-3036 (Morgan Stanley Municipal Products SPA) |
| 65,395,000 | | | | 0.310 | | | | 08/01/57 | | | | 65,395,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB Floaters Series 2009-3101 (Morgan Stanley Municipal Products) |
| 11,250,000 | | | | 0.310 | | | | 08/01/57 | | | | 11,250,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB ROCS-RR-II R-11890 Series 2010 (Citibank N.A.) |
| 3,860,000 | | | | 0.270 | | | | 02/01/48 | | | | 3,860,000 | |
Puerto Rico Sales Tax Financing Corp. VRDN RB ROCS-RR-II R-11892 Series 2010 (Citibank N.A.) |
| 17,735,000 | | | | 0.270 | | | | 02/01/48 | | | | 17,735,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 105,490,000 | |
|
|
Rhode Island – 0.2% |
Rhode Island Health & Education Building Corp. Higher Educational Facilities VRDN RB for Brown University Series 2001 B |
| 7,180,000 | | | | 0.220 | | | | 09/01/32 | | | | 7,180,000 | |
Rhode Island Health & Educational Building Corp. Higher Educational Facilities VRDN RB for Brown University Putters Series 2009-3517 (JPMorgan Chase & Co.)(a) |
| 16,600,000 | | | | 0.260 | | | | 09/01/15 | | | | 16,600,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 23,780,000 | |
|
|
South Carolina – 1.1% |
Charleston Waterworks & Sewer System VRDN RB Capital Improvements Series 2006 B (Wachovia Bank N.A. SPA) |
| 37,050,000 | | | | 0.250 | | | | 01/01/35 | | | | 37,050,000 | |
Charleston Waterworks & Sewer System VRDN RB Refunding System Series 2007 (Bank of America N.A. SPA) |
| 8,400,000 | | | | 0.300 | | | | 01/01/28 | | | | 8,400,000 | |
Charleston Waterworks & Sewer VRDN RB Refunding & Capital Improvement Series 2003 A (Bank of America N.A. SPA) |
| 34,050,000 | | | | 0.270 | | | | 01/01/33 | | | | 34,050,000 | |
Columbia Waterworks & Sewer System Municipal Trust Receipts VRDN RB Floater Series 2010-42W (Barclays Bank PLC)(a) |
| 3,000,000 | | | | 0.270 | | | | 02/01/40 | | | | 3,000,000 | |
Columbia Waterworks & Sewer System Municipal Trust Receipts VRDN RB Floater Series 2010-43W (Barclays Bank PLC)(a) |
| 3,750,000 | | | | 0.270 | | | | 02/01/40 | | | | 3,750,000 | |
South Carolina State GO VRDN ROCS-RR-II R-692WF Series 2006 (Wells Fargo Bank SPA)(a) |
| 1,860,000 | | | | 0.250 | | | | 10/01/18 | | | | 1,860,000 | |
South Carolina State Public Service Authority VRDN RB Floaters Series 2009-3065X (Morgan Stanley Municipal Products)(a) |
| 12,800,000 | | | | 0.260 | | | | 01/01/38 | | | | 12,800,000 | |
South Carolina State Public Services Authority VRDN RB for Santee Cooper Putters Series 2010-3828 (JPMorgan Chase & Co.)(a) |
| 7,725,000 | | | | 0.260 | | | | 07/01/18 | | | | 7,725,000 | |
South Carolina Transportation Infrastructure Bank VRDN RB Refunding Series 2003 B3 RMKT (Wachovia Bank N.A. LOC) |
| 10,000,000 | | | | 0.220 | | | | 10/01/31 | | | | 10,000,000 | |
University of South Carolina Municipal Trust Receipts VRDN RB Floater Series 2010-57W (Barclays Bank PLC)(a) |
| 5,850,000 | | | | 0.270 | | | | 06/01/40 | | | | 5,850,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 124,485,000 | |
|
|
Tennessee – 0.5% |
Chattanooga Health, Educational & Housing Facilities Board VRDN RB for Catholic Healthcare Series 2004 C |
| 18,450,000 | | | | 0.230 | | | | 05/01/39 | | | | 18,450,000 | |
Metropolitan Government Nashville & Davidson County Health & Education Facilities Board VRDN RB Refunding for Vanderbilt University Series 2003 A |
| 4,100,000 | | | | 0.220 | | | | 07/01/18 | | | | 4,100,000 | |
Rutherford County Ascension Health Municipal Trust Receipts VRDN RB Floater Series 2010-25W (Barclays Bank PLC)(a) |
| 2,000,000 | | | | 0.270 | | | | 11/15/40 | | | | 2,000,000 | |
Shelby County Health Educational & Housing Facilities Board VRDN RB for St. Jude Children’s Hospital Putters Series 2008-2915Z (JPMorgan Chase & Co. SPA)(a) |
| 3,630,000 | | | | 0.260 | | | | 07/01/14 | | | | 3,630,000 | |
Tennessee State GO CP Series 2010 C (Tennessee Consolidated Retirement System SPA) |
| 25,000,000 | | | | 0.300 | | | | 03/01/11 | | | | 25,000,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 53,180,000 | |
|
|
Texas – 12.7% |
Aledo ISD GO VRDN for School Building Series 2006 (PSF-GTD) (Bank of America N.A. SPA) |
| 7,860,000 | | | | 0.260 | | | | 08/01/35 | | | | 7,860,000 | |
Austin ISD GO VRDN Putters Series 2009-3554 (JPMorgan Chase & Co.)(a) |
| 3,525,000 | | | | 0.260 | | | | 08/01/17 | | | | 3,525,000 | |
City of Austin GO Bonds for Public Improvement Series 2010 A |
| 5,288,000 | | | | 3.000 | | | | 09/01/11 | | | | 5,357,814 | |
The accompanying notes are an integral part of these financial statements. 47
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Texas – (continued) |
| | | | | | | | | | | | | | |
Cypress-Fairbanks ISD GO VRDN Putters Series 2006-1308 (PSF-GTD) (JPMorgan Chase & Co. SPA)(a) |
$ | 6,495,000 | | | | 0.260 | % | | | 02/15/14 | | | $ | 6,495,000 | |
Cypress-Fairbanks ISD GO VRDN Putters Series 2008-3084Z (PSF-GTD) (JPMorgan Chase & Co. SPA)(a) |
| 4,995,000 | | | | 0.260 | | | | 02/15/15 | | | | 4,995,000 | |
Dallas Area Rapid Transit Sales Tax VRDN RB ROCS-RR-II R-12317 Series 2010 (AGM) (AMBAC) (Citibank N.A.)(a) |
| 4,000,000 | | | | 0.260 | | | | 06/01/15 | | | | 4,000,000 | |
Dallas Area Rapid Transit VRDN RB Putters Series 2010-3687Z (AMBAC) (JPMorgan Chase & Co.)(a) |
| 5,360,000 | | | | 0.310 | | | | 06/01/15 | | | | 5,360,000 | |
Dallas Waterworks & Sewer System VRDN RB ROCS-RR-II R-12279 (AGM) (Citibank N.A.)(a) |
| 7,805,000 | | | | 0.260 | | | | 06/01/14 | | | | 7,805,000 | |
Denton ISD GO VRDN for School Building Series 2006 B (PSF-GTD) (Bank of America N.A. SPA) |
| 5,995,000 | | | | 0.300 | | | | 08/01/35 | | | | 5,995,000 | |
Denton ISD GO VRDN Putters Series 2008-2603 (PSF-GTD) (JPMorgan Chase & Co. SPA)(a) |
| 3,690,000 | | | | 0.260 | | | | 08/15/15 | | | | 3,690,000 | |
Eagle Mountain and Saginaw ISD GO VRDN Floater Certificates Series 2008 53C (PSF-GTD) (Wells Fargo & Co. SPA)(a) |
| 26,770,000 | | | | 0.260 | | | | 08/15/48 | | | | 26,770,000 | |
El Paso County Hospital District GO VRDN Putters Series 2008-2747 (AGM) (JPMorgan Chase & Co.)(a) |
| 2,000,000 | | | | 0.310 | | | | 02/15/16 | | | | 2,000,000 | |
El Paso Water & Sewer Systems CP Series 2011 (JPMorgan Chase & Co. SPA) |
| 11,000,000 | | | | 0.330 | | | | 04/04/11 | | | | 11,000,000 | |
Fort Bend ISD GO VRDN Floaters Series 2008 25C-1 3C7 (PSF-GTD) (Wells Fargo & Co.)(a) |
| 9,905,000 | | | | 0.260 | | | | 08/15/34 | | | | 9,905,000 | |
Frisco ISD GO VRDN Floater Series 2008-19C (PSF-GTD) (Wells Fargo & Co. SPA)(a) |
| 14,555,000 | | | | 0.260 | | | | 08/15/40 | | | | 14,555,000 | |
Grand Prairie ISD Eclipse Funding Trust GO VRDN Series 2007-0067 (PSF-GTD) (U.S. Bank N.A. SPA)(a) |
| 10,160,000 | | | | 0.250 | | | | 02/15/37 | | | | 10,160,000 | |
Harris County Cultural Education Facilities Finance Corp. VRDN RB for Texas Children’s Hospital Putters Series 2009-3463 (JPMorgan Chase & Co.)(a) |
| 4,995,000 | | | | 0.260 | | | | 04/01/21 | | | | 4,995,000 | |
Harris County Flood Control District Puttable Floating Option Tax-Exempt Receipts VRDN RB Rites-PT-4692 (Bank of America N.A.)(a) |
| 2,750,000 | | | | 0.330 | | | | 10/11/18 | | | | 2,750,000 | |
Harris County GO VRDN ROCS-RR-II R-10360 Series 2009 (Citibank N.A. SPA)(a) |
| 7,175,000 | | | | 0.260 | | | | 10/01/14 | | | | 7,175,000 | |
Harris County Health Facilities Development Corp. VRDN RB for St. Luke’s Episcopal Hospital Series 2001 B (Bank of America N.A., Bayerische Landesbank, JPMorgan Chase & Co. and Northern Trust SPA) |
| 9,050,000 | | | | 0.220 | | | | 02/15/31 | | | | 9,050,000 | |
Harris County Health Facilities Development Corp. VRDN RB for Texas Children’s Hospital Putters Series 2009-3491Z (JPMorgan Chase & Co.)(a) |
| 4,995,000 | | | | 0.260 | | | | 04/01/33 | | | | 4,995,000 | |
Harris County Health Facilities Development Corp. VRDN RB for Texas Children’s Hospital Series 2008-2 (Bank of America and JPMorgan Chase & Co. SPA) |
| 2,000,000 | | | | 0.190 | | | | 10/01/41 | | | | 2,000,000 | |
Harris County Toll Road Authority RB Refunding Senior Lien Series 2010 A-2 |
| 30,000,000 | | | | 2.000 | | | | 08/15/11 | | | | 30,225,790 | |
Harris County Toll Road Authority VRDN RB Floaters Series 2009-3060X (Morgan Stanley Municipal Products)(a) |
| 6,125,000 | | | | 0.270 | | | | 08/15/38 | | | | 6,125,000 | |
Harris County Toll Road Authority VRDN RB Putters Series 2009-3425 (JPMorgan Chase & Co. SPA)(a) |
| 7,845,000 | | | | 0.260 | | | | 02/15/17 | | | | 7,845,000 | |
Harris County VRDN RB Putters Series 2009-3418 (AGM) (JPMorgan Chase & Co. SPA)(a) |
| 2,080,000 | | | | 0.260 | | | | 08/15/27 | | | | 2,080,000 | |
Houston Airport System VRDN RB Refunding Subordinated Lien Series 2010 (Barclays Bank PLC LOC) |
| 15,230,000 | | | | 0.220 | | | | 07/01/30 | | | | 15,230,000 | |
Houston Community College GO VRDN Putters Series 2009-3356 (AMBAC) (JPMorgan Chase & Co. SPA)(a) |
| 3,510,000 | | | | 0.310 | | | | 02/15/12 | | | | 3,510,000 | |
Houston Higher Education Finance Corp. VRDN RB for Rice University Eagle Series 2007-0077 A (Citibank N.A. SPA)(a) |
| 13,860,000 | | | | 0.260 | | | | 05/15/47 | | | | 13,860,000 | |
Houston Higher Education Finance Corp. VRDN RB for Rice University Floaters Series 2007-2042 (Wells Fargo Bank N.A. SPA)(a) |
| 18,860,000 | | | | 0.250 | | | | 11/15/33 | | | | 18,860,000 | |
Houston Higher Education Finance Corp. VRDN RB for Rice University ROCS-RR-II R-11066 (Citibank N.A. SPA)(a) |
| 4,565,000 | | | | 0.260 | | | | 05/15/15 | | | | 4,565,000 | |
Houston Utilities System Municipal Products, Inc. Trust VRDN RB Floater Certificates Series 2010 E-14 (Royal Bank of Canada LOC)(a) |
| 25,000,000 | | | | 0.260 | | | | 05/15/34 | | | | 25,000,000 | |
Houston Utilities System Spears/Lifers Trust VRDN RB Series 2007-268 (AGM) (Deutsche Bank A.G.)(a) |
| 2,580,000 | | | | 0.290 | | | | 11/15/26 | | | | 2,580,000 | |
Houston Utilities System Spears/Lifers Trust VRDN RB Series 2007-374 (AGM) (Deutsche Bank A.G.)(a) |
| 2,760,000 | | | | 0.290 | | | | 12/01/28 | | | | 2,760,000 | |
Houston Utilities System VRDN RB ROCS-RR-II R-11885X Series 2010 (AGM) (Citibank N.A.)(a) |
| 3,400,000 | | | | 0.260 | | | | 05/15/17 | | | | 3,400,000 | |
Irving ISD Puttable Floating Options Tax-Exempts Receipts GO VRDN P-Floats-PT-3954 Series 2007 (PSF-GTD) (Wells Fargo Bank SPA)(a) |
| 8,900,000 | | | | 0.260 | | | | 02/15/29 | | | | 8,900,000 | |
Judson ISD GO VRDN Floaters Series 2007-1859 (PSF-GTD) (Wells Fargo Bank N.A. SPA)(a) |
| 3,950,000 | | | | 0.250 | | | | 02/01/35 | | | | 3,950,000 | |
Lower Colorado River Authority VRDN RB Putters Series 2008-2994 (BHAC) (JPMorgan Chase & Co. SPA)(a) |
| 5,815,000 | | | | 0.260 | | | | 05/15/13 | | | | 5,815,000 | |
Mesquite ISD GO VRDN for School Building Series 2003 A (PSF-GTD) (JPMorgan Chase & Co. SPA) |
| 8,265,000 | | | | 0.240 | | | | 08/01/29 | | | | 8,265,000 | |
North Central Texas Health Facilities Development Corp. VRDN RB for Children’s Medical Center Putters Series 2009-3513 (JPMorgan Chase & Co.)(a) |
| 20,000,000 | | | | 0.260 | | | | 02/15/33 | | | | 20,000,000 | |
North East ISD Eclipse Funding Trust GO VRDN Solar Eclipse Series 2007-0101 (PSF-GTD) (U.S. Bank N.A. SPA)(a) |
| 5,145,000 | | | | 0.250 | | | | 08/01/37 | | | | 5,145,000 | |
48 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Texas – (continued) |
| | | | | | | | | | | | | | |
North East ISD GO VRDN Eagle Series 2007-0123 A (PSF-GTD) (Banco Bilbao Vizcaya Argentaria SPA) |
$ | 8,935,000 | | | | 0.270 | % | | | 08/01/37 | | | $ | 8,935,000 | |
North East ISD GO VRDN Putters Series 2007-2058 (PSF-GTD) (JPMorgan Chase & Co.)(a) |
| 9,000,000 | | | | 0.260 | | | | 08/01/15 | | | | 9,000,000 | |
North Texas Municipal Water District Austin Trust Certificates VRDN RB Series 2008-1174 (Bank of America N.A. SPA)(a) |
| 9,105,000 | | | | 0.330 | | | | 09/01/33 | | | | 9,105,000 | |
Plano GO VRDN Floater Series 2007-1862 (Wells Fargo & Co. SPA)(a) |
| 2,915,000 | | | | 0.250 | | | | 09/01/27 | | | | 2,915,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB for Motiva Enterprises LLC Series 2009 A |
| 45,800,000 | | | | 0.200 | | | | 12/01/39 | | | | 45,800,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB for Motiva Enterprises LLC Series 2009 B |
| 25,000,000 | | | | 0.200 | | | | 12/01/39 | | | | 25,000,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB for Motiva Enterprises LLC Series 2009 C |
| 33,200,000 | | | | 0.200 | | | | 12/01/39 | | | | 33,200,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB for Motiva Enterprises LLC Series 2010 A |
| 53,400,000 | | | | 0.200 | | | | 04/01/40 | | | | 53,400,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB for Motiva Enterprises LLC Series 2010 Subseries D |
| 46,000,000 | | | | 0.200 | | | | 11/01/40 | | | | 46,000,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB for Motiva Enterprises LLC Series 2010 Subseries E |
| 88,800,000 | | | | 0.200 | | | | 11/01/40 | | | | 88,800,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB Refunding for Motiva Enterprises LLC Series 2010 B |
| 82,200,000 | | | | 0.200 | | | | 04/01/40 | | | | 82,200,000 | |
Port Arthur Navigation District Environmental Facilities VRDN RB Refunding for Motiva Enterprises LLC Series 2010 C |
| 50,500,000 | | | | 0.200 | | | | 04/01/40 | | | | 50,500,000 | |
Rice University CP Series 2011 |
| 6,400,000 | | | | 0.350 | | | | 07/11/11 | | | | 6,400,000 | |
Round Rock ISD GO VRDN Putters Series 2009-3341 (JPMorgan Chase & Co. SPA)(a) |
| 4,995,000 | | | | 0.260 | | | | 08/01/16 | | | | 4,995,000 | |
San Antonio Electric & Gas Systems VRDN RB Putters Series 2008-2957 (JPMorgan Chase & Co. SPA)(a) |
| 9,995,000 | | | | 0.260 | | | | 02/01/16 | | | | 9,995,000 | |
San Antonio Electric & Gas Systems VRDN RB Putters Series 2008-3247 (JPMorgan Chase & Co.)(a) |
| 4,090,000 | | | | 0.260 | | | | 02/01/27 | | | | 4,090,000 | |
San Antonio Electric & Gas Systems VRDN RB Putters Series 2009-3344 (JPMorgan Chase & Co. SPA)(a) |
| 3,200,000 | | | | 0.260 | | | | 02/01/17 | | | | 3,200,000 | |
San Antonio Electric & Gas Systems VRDN RB Putters Series 2009-3560 (JPMorgan Chase & Co.)(a) |
| 9,015,000 | | | | 0.260 | | | | 02/01/17 | | | | 9,015,000 | |
San Antonio Electric & Gas Systems VRDN RB ROCS-RR-II R-11277 Series 2007 (Citibank N.A. SPA)(a) |
| 5,060,000 | | | | 0.260 | | | | 02/01/15 | | | | 5,060,000 | |
San Antonio Water System VRDN RB Putters Series 2009-3340 (JPMorgan Chase & Co. SPA)(a) |
| 6,890,000 | | | | 0.260 | | | | 11/15/16 | | | | 6,890,000 | |
Spring Branch GO VRDN Putters Series 2009-3377 (PSF-GTD) (JPMorgan Chase & Co. SPA)(a) |
| 3,000,000 | | | | 0.260 | | | | 02/01/15 | | | | 3,000,000 | |
Tarrant County Cultural Education Facilities Finance Corp. VRDN RB Floaters Series 2007-1761 (Morgan Stanley & Co.)(a) |
| 9,875,000 | | | | 0.270 | | | | 02/15/36 | | | | 9,875,000 | |
Tarrant County Cultural Education Facilities Finance Corp. VRDN RB Floaters Series 2007-1762 (Morgan Stanley Municipal Products)(a) |
| 4,675,000 | | | | 0.270 | | | | 02/15/36 | | | | 4,675,000 | |
Tarrant County Cultural Education Facilities Finance Corp. VRDN RB Floaters Series 2008-2834 (Morgan Stanley & Co.)(a) |
| 11,970,000 | | | | 0.260 | | | | 02/15/36 | | | | 11,970,000 | |
Tarrant County Cultural Education Facilities Finance Corp. VRDN RB Texas Health Resources Series 2008 B |
| 11,960,000 | | | | 0.230 | | | | 11/15/33 | | | | 11,960,000 | |
Tarrant County Cultural Educational Facilities Finance Corp. VRDN RB ROCS-RR-II R-11857 Series 2010 D (Citibank N.A.)(a) |
| 4,200,000 | | | | 0.270 | | | | 05/15/36 | | | | 4,200,000 | |
Tarrant County Health Facilities Development Corp. Hospital VRDN RB Cook Children’s Medical Center Series 2010 B |
| 14,615,000 | | | | 0.250 | | | | 12/01/39 | | | | 14,615,000 | |
Tarrant County Health Resources VRDN RB Series 2008-1197 (Bank of America N.A. SPA)(a) |
| 4,375,000 | | | | 0.330 | | | | 11/15/47 | | | | 4,375,000 | |
Tarrant County Health Resources VRDN RB Series 2008-1201 (Bank of America N.A. SPA)(a) |
| 5,790,000 | | | | 0.330 | | | | 02/15/36 | | | | 5,790,000 | |
Texas A&M University Municipal Trust Receipts VRDN RB Floaters Series 2010-39W (Barclays Bank PLC)(a) |
| 2,500,000 | | | | 0.270 | | | | 05/15/39 | | | | 2,500,000 | |
Texas A&M University VRDN RB Floater Certificates Series 2010 53C (Wells Fargo Bank N.A.)(a) |
| 5,555,000 | | | | 0.260 | | | | 07/01/34 | | | | 5,555,000 | |
Texas State GO VRDN Floaters Series 2010-3197 (Morgan Stanley & Co.)(a) |
| 5,360,000 | | | | 0.270 | | | | 04/01/37 | | | | 5,360,000 | |
Texas State GO VRDN Putters Series 2008-3238 (JPMorgan Chase & Co.)(a) |
| 2,165,000 | | | | 0.260 | | | | 10/01/29 | | | | 2,165,000 | |
Texas State TRANS Series 2010 |
| 379,450,000 | | | | 2.000 | | | | 08/31/11 | | | | 382,535,646 | |
Texas State TRANS VRDN RB Putters Series 2010-3812 (JPMorgan Chase & Co.)(a) |
| 15,000,000 | | | | 0.220 | | | | 08/31/11 | | | | 15,000,000 | |
Texas State Transportation Commission VRDN RB Putters Series 2008-2563 (JPMorgan Chase & Co. SPA)(a) |
| 6,635,000 | | | | 0.260 | | | | 04/01/15 | | | | 6,635,000 | |
Texas State Transportation Commission VRDN RB Putters Series 2008-2902 (JPMorgan Chase & Co. SPA)(a) |
| 14,395,000 | | | | 0.260 | | | | 04/01/15 | | | | 14,395,000 | |
Texas Technical University CP Series 2010 A-1 |
| 11,367,000 | | | | 0.300 | | | | 03/08/11 | | | | 11,367,000 | |
University of Houston VRDN RB Floater Certificates Series 2009-30C (Wells Fargo Bank N.A.)(a) |
| 7,710,000 | | | | 0.260 | | | | 02/15/34 | | | | 7,710,000 | |
The accompanying notes are an integral part of these financial statements. 49
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Texas – (continued) |
| | | | | | | | | | | | | | |
University of Texas Permanent University Fund VRDN RB ROCS-RR-II R-11290 Series 2007 (Citibank N.A. SPA)(a) |
$ | 4,955,000 | | | | 0.250 | % | | | 07/01/13 | | | $ | 4,955,000 | |
University of Texas RB Financing System Series 2001 B |
| 4,500,000 | | | | 5.375 | | | | 08/15/11 | | | | 4,602,399 | |
University of Texas VRDN RB ROCS-RR-II R-11077 Series 2007 (Citibank N.A. SPA)(a) |
| 4,085,000 | | | | 0.250 | | | | 02/15/15 | | | | 4,085,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 1,390,378,649 | |
|
|
Utah – 1.8% |
Murray City Hospital VRDN RB for IHC Health Services, Inc. Series 2003 D |
| 7,150,000 | | | | 0.190 | | | | 05/15/36 | | | | 7,150,000 | |
Murray City Hospital VRDN RB for IHC Health Services, Inc. Series 2005 D (Wells Fargo & Co. SPA) |
| 9,300,000 | | | | 0.190 | | | | 05/15/37 | | | | 9,300,000 | |
Riverton Hospital Revenue VRDN RB for IHC Health Services, Inc. Putters Series 2007-1762 (JPMorgan Chase & Co. SPA)(a) |
| 54,500,000 | | | | 0.260 | | | | 05/15/12 | | | | 54,500,000 | |
State of Utah GO VRDN Floaters Series 2009-2987 (Morgan Stanley & Co.)(a) |
| 2,200,000 | | | | 0.260 | | | | 07/01/22 | | | | 2,200,000 | |
University of Utah VRDN RB Auxiliary & Campus Facilities Series 1997 A (JPMorgan Chase & Co. SPA) |
| 6,000,000 | | | | 0.270 | | | | 04/01/27 | | | | 6,000,000 | |
Utah County Hospital VRDN RB for IHC Health Services, Inc. Series 2002 B (U.S. Bank N.A. SPA) |
| 40,000,000 | | | | 0.250 | | | | 05/15/35 | | | | 40,000,000 | |
Utah County Hospital VRDN RB for IHC Health Services, Inc. Series 2002 C (U.S. Bank N.A. SPA) |
| 47,500,000 | | | | 0.250 | | | | 05/15/35 | | | | 47,500,000 | |
Utah Transit Authority Sales Tax VRDN RB ROCS-RR-II R-11922 Series 2011 (AGM) (Citibank N.A.)(a) |
| 2,000,000 | | | | 0.260 | | | | 12/15/27 | | | | 2,000,000 | |
Utah Transportation Authority Austin Trust Certificates VRDN RB Series 2008-3045X (AGM) (Bank of America N.A.)(a) |
| 2,500,000 | | | | 0.330 | | | | 06/15/36 | | | | 2,500,000 | |
Weber County Hospital VRDN RB for IHC Health Services, Inc. Series 2000 A (Landesbank Hessen-Thueringen SPA) |
| 3,520,000 | | | | 0.210 | | | | 02/15/31 | | | | 3,520,000 | |
Weber County Hospital VRDN RB for IHC Health Services, Inc. Series 2000 B (U.S. Bank N.A. SPA) |
| 5,000,000 | | | | 0.220 | | | | 02/15/32 | | | | 5,000,000 | |
Weber County Hospital VRDN RB for IHC Health Services, Inc. Series 2000 C (Landesbank Hessen-Thueringen SPA) |
| 15,000,000 | | | | 0.210 | | | | 02/15/35 | | | | 15,000,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 194,670,000 | |
|
|
Virginia – 1.2% |
City of Richmond CP Series 2010 (Bank of America N.A. LOC) |
| 12,000,000 | | | | 0.300 | | | | 03/07/11 | | | | 12,000,000 | |
Fairfax County Economic Development Authority VRDN RB Smithsonian Institute Series 2003 A (Bank of America N.A. SPA) |
| 28,115,000 | | | | 0.250 | | | | 12/01/33 | | | | 28,115,000 | |
Fairfax County IDA VRDN RB for Inova Health System Floaters Series 2005-1168 (Morgan Stanley Municipal Products)(a) |
| 3,330,000 | | | | 0.270 | | | | 08/15/23 | | | | 3,330,000 | |
Fairfax County IDA VRDN RB for Inova Health System Project ROCS-RR-II R-11733 Series 2009 (Citibank N.A. SPA)(a) |
| 6,660,000 | | | | 0.260 | | | | 11/15/29 | | | | 6,660,000 | |
Fairfax County VRDN RB for Inova Health System Project Putters Series 2009-3394 (JPMorgan Chase & Co. SPA)(a) |
| 5,495,000 | | | | 0.260 | | | | 11/15/29 | | | | 5,495,000 | |
Loudoun County IDA VRDN RB for Howard Hughes Medical Center Series 2003 E |
| 5,350,000 | | | | 0.220 | | | | 02/15/38 | | | | 5,350,000 | |
Loudoun County IDA VRDN RB for Howard Hughes Medical Center Series 2003 F |
| 15,815,000 | | | | 0.220 | | | | 02/15/38 | | | | 15,815,000 | |
Montgomery County IDA VRDN RB for Virginia Technical Foundation Series 2005 (Bank of America N.A. LOC) |
| 11,800,000 | | | | 0.240 | | | | 06/01/35 | | | | 11,800,000 | |
University of Virginia VRDN RB Eagle Series 2006-0017 Class A (Citibank N.A. SPA)(a) |
| 14,775,000 | | | | 0.260 | | | | 06/01/37 | | | | 14,775,000 | |
Virginia Commonwealth University Health System Authority VRDN RB General Series 2005 C (AMBAC) (Wachovia Bank N.A. LOC) |
| 1,725,000 | | | | 0.290 | | | | 07/01/30 | | | | 1,725,000 | |
Virginia Commonwealth University VRDN RB General Series 2006-B (AMBAC) (Wachovia Bank N.A LOC) |
| 1,900,000 | | | | 0.220 | | | | 11/01/30 | | | | 1,900,000 | |
Virginia State Public School Authority RB for School Educational Technology Notes Series 2010 X |
| 10,790,000 | | | | 2.000 | | | | 04/15/11 | | | | 10,811,850 | |
Virginia State Resources Authority Clean Water VRDN RB Floaters Series 2008-2917 (Morgan Stanley Municipal Products SPA)(a) |
| 4,490,000 | | | | 0.270 | | | | 10/01/28 | | | | 4,490,000 | |
Virginia State Resources Authority Clean Water VRDN RB ROCS-RR-II R-11923 Series 2011 (Citibank N.A.)(a) |
| 6,000,000 | | | | 0.260 | | | | 10/01/16 | | | | 6,000,000 | |
Virginia State Resources Authority VRDN RB Clean Water Putters Series 2008-3036 (JPMorgan Chase & Co. SPA)(a) |
| 3,370,000 | | | | 0.260 | | | | 10/01/15 | | | | 3,370,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 131,636,850 | |
|
|
Washington – 1.9% |
Central Puget Sound Regional Transportation Authority Sales & Use Tax VRDN RB Series 2007-1C (AGM) (Wells Fargo Bank N.A.)(a) |
| 5,625,000 | | | | 0.260 | | | | 11/01/32 | | | | 5,625,000 | |
Energy Northwest Electric VRDN RB Putters Series 2007-2301 (JPMorgan Chase & Co. SPA)(a) |
| 7,995,000 | | | | 0.260 | | | | 07/01/14 | | | | 7,995,000 | |
Energy Northwest Electric VRDN RB Putters Series 2008-2965 (JPMorgan Chase & Co. SPA)(a) |
| 4,800,000 | | | | 0.260 | | | | 01/01/12 | | | | 4,800,000 | |
King County CP Series 2011 A (Bayerische Landesbank SPA) |
| 38,700,000 | | | | 0.310 | | | | 04/01/11 | | | | 38,700,000 | |
King County GO VRDN Series 2009 A (Bank of America N.A. SPA) |
| 15,870,000 | | | | 0.270 | | | | 06/01/29 | | | | 15,870,000 | |
King County Municipal Trust Receipts VRDN RB Floater Series 2010-66W (Barclays Bank PLC)(a) |
| 2,500,000 | | | | 0.270 | | | | 01/01/33 | | | | 2,500,000 | |
50 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
Municipal Debt Obligations – (continued) |
Washington – (continued) |
| | | | | | | | | | | | | | |
King County Sewer District Municipal Trust Receipts GO VRDN Floater Series 2009-1W Reg. D (AGC-ICC) (Barclays Bank PLC)(a) |
$ | 7,000,000 | | | | 0.270 | % | | | 01/01/39 | | | $ | 7,000,000 | |
King County Sewer System VRDN RB Junior Lien Series 2001 A (Landesbank Hessen-Thueringen LOC) |
| 5,625,000 | | | | 0.260 | | | | 01/01/32 | | | | 5,625,000 | |
King County Sewer System VRDN RB Junior Lien Series 2001 B (Landesbank Hessen-Thueringen LOC) |
| 17,800,000 | | | | 0.270 | | | | 01/01/32 | | | | 17,800,000 | |
King County VRDN RB Floater Certificates Series 2008 46C (Wells Fargo Bank N.A. SPA) |
| 9,940,000 | | | | 0.260 | | | | 01/01/40 | | | | 9,940,000 | |
Seattle Municipal Light & Power VRDN RB Refunding ROC-II-R-48 Series 2001 (FSA) (Citibank N.A. SPA)(a) |
| 5,995,000 | | | | 0.260 | | | | 09/02/20 | | | | 5,995,000 | |
Washington State GO Bonds Prerefunded Series 2002 R-03A (NATL-RE) |
| 3,515,000 | | | | 5.000 | | | | 01/01/12 | | | | 3,648,316 | |
Washington State GO VRDN Putters Series 2008-2599 (JPMorgan Chase & Co. SPA)(a) |
| 4,500,000 | | | | 0.260 | | | | 01/01/16 | | | | 4,500,000 | |
Washington State GO VRDN Putters Series 2008-3054 (JPMorgan Chase & Co. SPA)(a) |
| 3,035,000 | | | | 0.260 | | | | 07/01/13 | | | | 3,035,000 | |
Washington State GO VRDN Putters Series 2008-3087 (JPMorgan Chase & Co. SPA)(a) |
| 2,080,000 | | | | 0.260 | | | | 07/01/16 | | | | 2,080,000 | |
Washington State GO VRDN Putters Series 2009-3538 (JPMorgan Chase Bank & Co.)(a) |
| 10,000,000 | | | | 0.260 | | | | 02/01/17 | | | | 10,000,000 | |
Washington State GO VRDN ROCS-RR-II R-11889 Series 2010 (Citibank N.A.)(a) |
| 2,250,000 | | | | 0.260 | | | | 07/01/16 | | | | 2,250,000 | |
Washington State Health Austin Trust Certificates VRDN RB Series 2008-1180 (Bank of America N.A. SPA)(a) |
| 10,635,000 | | | | 0.330 | | | | 10/01/35 | | | | 10,635,000 | |
Washington State Health Care Facilities Authority VRDN RB Seattle Children’s Hospital Floater Certificates Series 2009 51C (Wells Fargo & Co.)(a) |
| 10,990,000 | | | | 0.260 | | | | 10/01/38 | | | | 10,990,000 | |
Washington State Health Care Facilities Authority VRDN RB Swedish Health Services, Inc. Series 2006 (Citibank N.A. LOC) |
| 12,000,000 | | | | 0.240 | | | | 11/15/26 | | | | 12,000,000 | |
Washington State Health Care Facilities Authority VRDN RB Swedish Health Services, Inc. Series 2009 B (U.S. Bank N.A. LOC) |
| 2,000,000 | | | | 0.230 | | | | 11/15/39 | | | | 2,000,000 | |
Washington State Health Care Facilities Authority VRDN RB Swedish Health Services, Inc. Series 2009 C (Bank of America N.A. LOC) |
| 15,000,000 | | | | 0.260 | | | | 11/15/39 | | | | 15,000,000 | |
Washington State Higher Education Facilities Authority VRDN RB Refunding for Seattle Pacific University Series 2008 (U.S. Bank N.A. LOC) |
| 11,330,000 | | | | 0.250 | | | | 10/01/30 | | | | 11,330,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 209,318,316 | |
|
|
Wisconsin – 1.2% |
University of Wisconsin Hospitals & Clinics Authority VRDN RB Refunding Series 2008 B (GO of Authority) (U.S. Bank N.A. LOC) |
| 4,100,000 | | | | 0.190 | | | | 04/01/34 | | | | 4,100,000 | |
Wisconsin State GO VRDN Floater Certificates Series 2011 14C (Wells Fargo Bank N.A.)(a) |
| 10,675,000 | | | | 0.260 | | | | 11/01/26 | | | | 10,675,000 | |
Wisconsin State Health & Educational Facilities Authority Sisters Hospital CP Series 2003 B (AGM) |
| 22,375,000 | | | | 0.600 | | | | 03/23/11 | | | | 22,375,000 | |
| 20,000,000 | | | | 0.650 | | | | 04/01/11 | | | | 20,000,000 | |
Wisconsin State Health & Educational Facilities Authority Sisters Hospital CP Series 2011 |
| 11,475,000 | | | | 0.600 | | | | 05/23/11 | | | | 11,475,000 | |
Wisconsin State Health & Educational Facilities Authority VRDN RB Children’s Hospital Floater Certificates Series 2009-58C (Wells Fargo & Co.)(a) |
| 9,815,000 | | | | 0.260 | | | | 08/15/37 | | | | 9,815,000 | |
Wisconsin State Health & Educational Facilities Authority VRDN RB Floater Trust for Children’s Hospital Series 2009-15W (Barclays Bank PLC)(a) |
| 5,250,000 | | | | 0.270 | | | | 08/15/37 | | | | 5,250,000 | |
Wisconsin State Health & Educational Facilities Authority VRDN RB for Froedtert & Community Health System Floater Series 2009-3122X (Morgan Stanley Municipal Products)(a) |
| 23,135,000 | | | | 0.260 | | | | 04/01/39 | | | | 23,135,000 | |
Wisconsin State Health & Educational Facilities Authority VRDN RB for Ministry Health Care, Inc. Series 2010 C |
| 20,000,000 | | | | 0.270 | | | | 08/01/36 | | | | 20,000,000 | |
Wisconsin State Health & Educational Facilities Authority VRDN RB ROCS-RR-II R-11837 Series 2010 (Citibank N.A.)(a) |
| 5,255,000 | | | | 0.260 | | | | 11/15/17 | | | | 5,255,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 132,080,000 | |
|
|
Wyoming – 0.3% |
Uinta County VRDN PCRB Refunding for Chevron USA, Inc. Project Series 1993 |
| 30,000,000 | | | | 0.170 | | | | 08/15/20 | | | | 30,000,000 | |
|
|
TOTAL INVESTMENTS – 98.3% | | $ | 10,785,630,609 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.7% | | | 181,602,947 | |
|
|
NET ASSETS – 100.0% | | $ | 10,967,233,556 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
(a) | | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At February 28, 2011, these securities amounted to $3,112,716,132 or approximately 28.4% of net assets. |
|
(b) | | All or a portion represents a forward commitment. |
|
(c) | | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At February 28, 2011, these securities amounted to $11,990,000 or approximately 0.1% of net assets. |
The accompanying notes are an integral part of these financial statements. 51
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset date, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
| | | | |
|
|
Investment Abbreviations: |
AGC-ICC | | — | | Associated General Contractors-Interstate Commerce Commission |
AGM | | — | | Insured by Assured Guaranty Municipal Corp. |
AMBAC | | — | | Insured by American Municipal Bond Assurance Corp. |
BHAC | | — | | Berkshire Hathaway Assurance Corp. |
COPS | | — | | Certificates of Participation |
CP | | — | | Commercial Paper |
DOT | | — | | Department of Transportation |
FGIC | | — | | Insured by Financial Guaranty Insurance Co. |
FHLMC | | — | | Federal Home Loan Mortgage Corp. |
FNMA | | — | | Insured by Federal National Mortgage Association |
FSA | | — | | Insured by Financial Security Assurance Co. |
GO | | — | | General Obligation |
GTD | | — | | Guaranteed |
IDA | | — | | Industrial Development Authority |
IDB | | — | | Industrial Development Bond |
IHC | | — | | International Health Care |
ISD | | — | | Independent School District |
LOC | | — | | Letter of Credit |
LTD | | — | | Limited |
MF Hsg. | | — | | Multi-Family Housing |
NATL-RE | | — | | National Reinsurance Corp. |
PCRB | | — | | Pollution Control Revenue Bond |
PSF-GTD | | — | | Guaranteed by Permanent School Fund |
RANS | | — | | Revenue Anticipation Notes |
RB | | — | | Revenue Bond |
RMKT | | — | | Remarketed |
ROCS | | — | | Reset Option Certificates |
RR | | — | | Revenue Refunding |
SPA | | — | | Stand-by Purchase Agreement |
TANS | | — | | Tax Anticipation Notes |
TRANS | | — | | Tax Revenue Anticipation Notes |
VRDN | | — | | Variable Rate Demand Notes |
|
|
52 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TREASURY INSTRUMENTS FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
U.S. Treasury Obligations – 99.9% |
United States Treasury Bills |
$ | 59,600,000 | | | | 0.060 | % | | | 03/03/11 | | | $ | 59,599,801 | |
| 14,200,000 | | | | 0.070 | | | | 03/03/11 | | | | 14,199,945 | |
| 1,100,000 | | | | 0.072 | | | | 03/03/11 | | | | 1,099,996 | |
| 100,000,000 | | | | 0.080 | | | | 03/03/11 | | | | 99,999,556 | |
| 84,000,000 | | | | 0.130 | | | | 03/03/11 | | | | 83,999,393 | |
| 30,000,000 | | | | 0.135 | | | | 03/03/11 | | | | 29,999,775 | |
| 266,000,000 | | | | 0.150 | | | | 03/03/11 | | | | 265,997,783 | |
| 1,765,000,000 | | | | 0.155 | | | | 03/03/11 | | | | 1,764,984,801 | |
| 1,846,500,000 | | | | 0.160 | | | | 03/03/11 | | | | 1,846,483,587 | |
| 36,200,000 | | | | 0.085 | | | | 03/10/11 | | | | 36,199,231 | |
| 318,400,000 | | | | 0.145 | | | | 03/10/11 | | | | 318,388,458 | |
| 771,800,000 | | | | 0.150 | | | | 03/10/11 | | | | 771,771,057 | |
| 207,800,000 | | | | 0.100 | | | | 03/17/11 | | | | 207,790,764 | |
| 2,392,000,000 | | | | 0.160 | | | | 03/17/11 | | | | 2,391,829,902 | |
| 621,400,000 | | | | 0.115 | | | | 03/24/11 | | | | 621,354,344 | |
| 1,942,000,000 | | | | 0.120 | | | | 03/24/11 | | | | 1,941,851,113 | |
| 1,000,000,000 | | | | 0.121 | | | | 03/24/11 | | | | 999,922,694 | |
| 634,700,000 | | | | 0.150 | | | | 03/24/11 | | | | 634,639,175 | |
| 1,100,000,000 | | | | 0.160 | | | | 03/24/11 | | | | 1,099,887,556 | |
| 1,453,000,000 | | | | 0.125 | | | | 04/15/11 | | | | 1,452,772,969 | |
| 230,000,000 | | | | 0.130 | | | | 04/15/11 | | | | 229,962,625 | |
United States Treasury Notes |
| 1,045,000,000 | | | | 0.875 | | | | 04/30/11 | | | | 1,046,248,152 | |
| 492,000,000 | | | | 4.875 | | | | 04/30/11 | | | | 495,842,820 | |
| 200,000,000 | | | | 5.125 | | | | 06/30/11 | | | | 203,103,253 | |
| 201,000,000 | | | | 1.000 | | | | 07/31/11 | | | | 201,521,554 | |
| 36,000,000 | | | | 4.875 | | | | 07/31/11 | | | | 36,670,725 | |
| 100,000,000 | | | | 1.000 | | | | 08/31/11 | | | | 100,342,606 | |
| 400,000,000 | | | | 1.000 | | | | 09/30/11 | | | | 401,596,527 | |
| 725,000,000 | | | | 1.000 | | | | 10/31/11 | | | | 728,507,218 | |
| 100,000,000 | | | | 0.750 | | | | 11/30/11 | | | | 100,318,859 | |
| 150,000,000 | | | | 1.000 | | | | 12/31/11 | | | | 150,821,563 | |
|
|
TOTAL INVESTMENTS – 99.9% | | $ | 18,337,707,802 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | | | 15,303,840 | |
|
|
NET ASSETS – 100.0% | | $ | 18,353,011,642 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
Interest rates represent either the stated coupon rate or annualized yield on date of purchase for discounted securities.
The accompanying notes are an integral part of these financial statements. 53
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Schedule of Investments
February 28, 2011 (Unaudited)
| | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | Amortized
|
Amount | | Rate | | Date | | Cost |
|
U.S. Treasury Obligations – 19.7% |
United States Treasury Notes |
$ | 74,000,000 | | | | 0.875 | % | | | 04/30/11 | | | $ | 74,076,208 | |
| 184,000,000 | | | | 4.875 | | | | 04/30/11 | | | | 185,431,580 | |
| 350,000,000 | | | | 5.125 | | | | 06/30/11 | | | | 355,430,658 | |
| 249,000,000 | | | | 1.000 | | | | 07/31/11 | | | | 249,646,528 | |
| 31,000,000 | | | | 4.875 | | | | 07/31/11 | | | | 31,577,569 | |
| 229,000,000 | | | | 1.000 | | | | 08/31/11 | | | | 229,794,606 | |
| 175,000,000 | | | | 1.000 | | | | 09/30/11 | | | | 175,688,524 | |
| 675,000,000 | | | | 1.000 | | | | 10/31/11 | | | | 678,261,884 | |
| 100,000,000 | | | | 0.750 | | | | 11/30/11 | | | | 100,318,859 | |
| 275,000,000 | | | | 1.000 | | | | 12/31/11 | | | | 276,517,971 | |
|
|
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 2,356,744,387 | |
|
|
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Repurchase Agreements(a) – 80.2% |
Barclays Capital, Inc. |
$ | 250,000,000 | | | | 0.180 | % | | | 03/01/11 | | | $ | 250,000,000 | |
Maturity Value: $250,001,250 |
Collateralized by U.S. Treasury Note, 2.000%, due 11/30/13. The market value of the collateral, including accrued interest, was $255,000,035. |
HSBC Securities (USA), Inc. |
| 500,000,000 | | | | 0.170 | % | | | 03/01/11 | | | | 500,000,000 | |
Maturity Value: $500,002,361 |
Collateralized by U.S. Treasury Bonds, 4.750% to 9.125%, due 05/15/18 to 02/15/41 and U.S. Treasury Notes, 1.375% to 4.250%, due 05/15/13 to 08/15/15. The aggregate market value of the collateral, including accrued interest, was $510,003,881. |
Joint Repurchase Agreement Account I |
| 7,327,800,000 | | | | 0.176 | % | | | 03/01/11 | | | | 7,327,800,000 | |
Maturity Value: $7,327,835,825 |
Societe Generale |
| 1,500,000,000 | | | | 0.170 | % | | | 03/01/11 | | | | 1,500,000,000 | |
Maturity Value: $1,500,007,083 |
Collateralized by U.S. Treasury Bill, 0.000%, due 05/26/11, U.S. Treasury Notes, 0.375% to 3.000%, due 05/31/11 to 02/28/17, U.S. Treasury Inflation Indexed Bonds, 2.000% to 2.375%, due 01/15/16 to 01/15/26, U.S. Treasury Interest-Only Stripped Securities, 0.000%, due 05/15/14 to 08/15/36 and U.S. Treasury Principal-Only Stripped Securities, 0.000%, due 11/15/21 to 08/15/25. The aggregate market value of the collateral, including accrued interest, was $1,530,000,051. |
UBS Securities LLC |
| 15,700,000 | | | | 0.160 | % | | | 03/01/11 | | | | 15,700,000 | |
Maturity Value: $15,700,070 |
Collateralized by U.S. Treasury Bill, 0.000%, due 08/25/11. The market value of the collateral, including accrued interest, was $16,014,014. |
|
TOTAL REPURCHASE AGREEMENTS | | $ | 9,593,500,000 | |
|
|
TOTAL INVESTMENTS – 99.9% | | $ | 11,950,244,387 | |
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | | | 8,548,689 | |
|
|
NET ASSETS – 100.0% | | $ | 11,958,793,076 | |
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
(a) | | Unless noted, all repurchase agreements were entered into on February 28, 2011. Additional information on Joint Repurchase Agreement Account I appears on page 55. |
Interest rates represent either the stated coupon rate or annualized yield on date of purchase for discounted securities.
54 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| |
ADDITIONAL INVESTMENT INFORMATION | |
JOINT REPURCHASE AGREEMENT ACCOUNT I — At February 28, 2011, certain Funds had undivided interests in the Joint Repurchase Agreement Account I, as follows:
| | | | |
Fund | | Principal Amount |
|
Government | | $ | 208,700,000 | |
|
|
Money Market | | | 199,600,000 | |
|
|
Prime Obligations | | | 348,700,000 | |
|
|
Treasury Obligations | | | 7,327,800,000 | |
|
|
REPURCHASE AGREEMENTS
| | | | | | | | | | | | | | | | |
| | Principal
| | Interest
| | Maturity
| | Maturity
|
Counterparty | | Amount | | Rate | | Date | | Value |
|
Barclays Capital, Inc. | | $ | 1,540,000,000 | | | | 0.180 | % | | | 03/01/11 | | | $ | 1,540,007,700 | |
|
|
BNP Paribas Securities Co. | | | 1,250,000,000 | | | | 0.170 | | | | 03/01/11 | | | | 1,250,005,903 | |
|
|
Credit Agricole Securities | | | 1,250,000,000 | | | | 0.180 | | | | 03/01/11 | | | | 1,250,006,250 | |
|
|
JPMorgan Securities | | | 1,250,000,000 | | | | 0.170 | | | | 03/01/11 | | | | 1,250,005,903 | |
|
|
Merrill Lynch & Co., Inc. | | | 419,800,000 | | | | 0.170 | | | | 03/01/11 | | | | 419,801,982 | |
|
|
RBS Securities, Inc. | | | 1,250,000,000 | | | | 0.180 | | | | 03/01/11 | | | | 1,250,006,250 | |
|
|
UBS Securities LLC | | | 625,000,000 | | | | 0.180 | | | | 03/01/11 | | | | 625,003,125 | |
|
|
Wells Fargo Securities LLC | | | 500,000,000 | | | | 0.180 | | | | 03/01/11 | | | | 500,002,500 | |
|
|
TOTAL | | | | | | | | | | | | | | $ | 8,084,839,613 | |
|
|
At February 28, 2011, the Joint Repurchase Agreement Account I was fully collateralized by:
| | | | | | | | |
Issuer | | Interest Rates | | Maturity Dates |
|
U.S. Treasury Bills | | | 0.000 | % | | | 03/03/11 to 02/09/12 | |
|
|
U.S. Treasury Bonds | | | 3.500 to 8.125 | | | | 05/15/21 to 02/15/41 | |
|
|
U.S. Treasury Inflation Protected Securities | | | 1.125 to 3.375 | | | | 01/15/12 to 02/15/41 | |
|
|
U.S. Treasury Interest-Only Stripped Securities | | | 0.000 | | | | 03/15/11 to 02/15/40 | |
|
|
U.S. Treasury Notes | | | 0.375 to 9.125 | | | | 03/31/11 to 02/15/21 | |
|
|
U.S. Treasury Principal-Only Stripped Securities | | | 0.000 | | | | 04/30/11 to 08/15/40 | |
|
|
The aggregate market value of the collateral, including accrued interest, was $8,246,501,339.
The accompanying notes are an integral part of these financial statements. 55
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Schedule of Investments (continued)
February 28, 2011 (Unaudited)
| |
ADDITIONAL INVESTMENT INFORMATION (continued) | |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At February 28, 2011, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
| | | | |
Fund | | Principal Amount |
|
Government | | $ | 14,770,000,000 | |
|
|
Money Market | | | 2,040,000,000 | |
|
|
Prime Obligations | | | 2,526,900,000 | |
|
|
REPURCHASE AGREEMENTS
| | | | | | | | | | | | | | | | |
| | Principal
| | Interest
| | Maturity
| | Maturity
|
Counterparty | | Amount | | Rate | | Date | | Value |
|
Barclays Capital, Inc. | | $ | 80,000,000 | | | | 0.180 | % | | | 03/01/11 | | | $ | 80,000,400 | |
|
|
BNP Paribas Securities Co. | | | 4,000,000,000 | | | | 0.170 | | | | 03/01/11 | | | | 4,000,018,889 | |
|
|
BNP Paribas Securities Co. | | | 3,500,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 3,500,019,445 | |
|
|
Citibank N.A. | | | 250,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 250,001,458 | |
|
|
Citigroup Global Markets, Inc. | | | 1,250,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 1,250,007,292 | |
|
|
Credit Agricole Securities | | | 1,250,000,000 | | | | 0.180 | | | | 03/01/11 | | | | 1,250,006,250 | |
|
|
Deutsche Bank Securities, Inc. | | | 1,475,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 1,475,008,194 | |
|
|
JPMorgan Securities | | | 1,000,000,000 | | | | 0.170 | | | | 03/01/11 | | | | 1,000,004,722 | |
|
|
JPMorgan Securities | | | 235,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 235,001,306 | |
|
|
Merrill Lynch & Co., Inc. | | | 1,700,000,000 | | | | 0.200 | | | | 03/01/11 | | | | 1,700,009,445 | |
|
|
RBS Securities, Inc. | | | 1,000,000,000 | | | | 0.180 | | | | 03/01/11 | | | | 1,000,005,000 | |
|
|
RBS Securities, Inc. | | | 1,000,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 1,000,005,833 | |
|
|
UBS Securities LLC | | | 1,135,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 1,135,006,621 | |
|
|
Wells Fargo Securities LLC | | | 300,000,000 | | | | 0.190 | | | | 03/01/11 | | | | 300,001,583 | |
|
|
Wells Fargo Securities LLC | | | 4,500,000,000 | | | | 0.210 | | | | 03/01/11 | | | | 4,500,026,250 | |
|
|
TOTAL | | | | | | | | | | | | | | $ | 22,675,122,688 | |
|
|
56 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| |
ADDITIONAL INVESTMENT INFORMATION (continued) | |
At February 28, 2011, the Joint Repurchase Agreement Account II was fully collateralized by:
| | | | | | | | |
Issuer | | Interest Rates | | Maturity Dates |
|
Federal Farm Credit Bank | | | 3.910 to 7.350 | % | | | 03/28/13 to 09/22/38 | |
|
|
Federal Farm Credit Bank Principal-Only Stripped Security | | | 0.000 | | | | 12/16/15 | |
|
|
Federal Home Loan Bank | | | 0.000 to 8.290 | | | | 03/15/11 to 07/15/36 | |
|
|
Federal Home Loan Mortgage Corp. | | | 0.000 to 7.690 | | | | 03/21/11 to 03/01/41 | |
|
|
Federal Home Loan Mortgage Corp. Interest-Only Stripped Securities | | | 0.000 | | | | 01/15/13 to 01/15/28 | |
|
|
Federal Home Loan Mortgage Corp. Principal-Only Stripped Security | | | 0.000 | | | | 11/15/13 | |
|
|
Federal National Mortgage Association | | | 0.000 to 10.350 | | | | 03/14/11 to 01/01/50 | |
|
|
Federal National Mortgage Association Interest-Only Stripped Securities | | | 0.000 | | | | 11/15/12 to 05/15/29 | |
|
|
Federal National Mortgage Association Principal-Only Stripped Security | | | 0.000 | | | | 03/23/28 | |
|
|
Government National Mortgage Association | | | 3.500 to 5.500 | | | | 07/15/24 to 02/20/41 | |
|
|
Tennessee Valley Authority | | | 3.875 | | | | 02/15/21 | |
|
|
U.S. Treasury Bills | | | 0.000 | | | | 03/03/11 to 12/15/11 | |
|
|
U.S. Treasury Bonds | | | 3.875 to 4.750 | | | | 05/15/40 to 02/15/41 | |
|
|
U.S. Treasury Interest-Only Stripped Securities | | | 0.000 | | | | 05/15/11 to 11/15/26 | |
|
|
U.S. Treasury Notes | | | 0.375 to 11.250 | | | | 03/31/11 to 02/15/21 | |
|
|
U.S. Treasury Principal-Only Stripped Securities | | | 0.000 | | | | 08/15/11 to 09/30/13 | |
|
|
The aggregate market value of the collateral, including accrued interest, was $23,154,712,775.
The accompanying notes are an integral part of these financial statements. 57
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Assets and Liabilities
February 28, 2011 (Unaudited)
| | | | | | | | | | |
| | Federal
| | Government
| | |
| | Fund | | Fund | | |
Assets: |
| | | | | | | | | | |
Investments in securities, at value based on amortized cost — unaffiliated issuers | | $ | 14,299,585,643 | | | $ | 15,010,656,907 | | | |
Repurchase agreements, at value based on amortized cost — unaffiliated issuers | | | — | | | | 19,581,500,000 | | | |
Repurchase agreements, at value based on amortized cost — affiliated issuers | | | — | | | | 1,300,000,000 | | | |
Cash | | | 80,195 | | | | 81,485 | | | |
Receivables: | | | | | | | | | | |
Investment securities sold | | | — | | | | — | | | |
Interest | | | 6,684,150 | | | | 8,848,611 | | | |
Fund shares sold | | | 330,371 | | | | 233,349 | | | |
Reimbursement from investment adviser | | | — | | | | — | | | |
Other assets | | | 140,982 | | | | 318,971 | | | |
|
|
Total assets | | | 14,306,821,341 | | | | 35,901,639,323 | | | |
|
|
| | | | | | | | | | |
| | | | | | | | | | |
Liabilities: |
| | | | | | | | | | |
Payables: | | | | | | | | | | |
Investment securities purchased | | | — | | | | — | | | |
Amounts owed to affiliates | | | 2,072,417 | | | | 4,688,218 | | | |
Fund shares redeemed | | | — | | | | 125,767 | | | |
Dividend distribution | | | 69,357 | | | | 833,761 | | | |
Accrued expenses and other liabilities | | | 166,360 | | | | 533,027 | | | |
|
|
Total liabilities | | | 2,308,134 | | | | 6,180,773 | | | |
|
|
| | | | | | | | | | |
| | | | | | | | | | |
Net Assets: |
| | | | | | | | | | |
Paid-in capital | | | 14,304,326,100 | | | | 35,895,348,764 | | | |
Undistributed (distributions in excess of) net investment income | | | 14,168 | | | | 275,368 | | | |
Accumulated net realized gain (loss) from investments | | | 172,939 | | | | (165,582 | ) | | |
|
|
NET ASSETS | | $ | 14,304,513,207 | | | $ | 35,895,458,550 | | | |
|
|
| | | | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 1.00 | | | $ | 1.00 | | | |
| | | | | | | | | | |
Net Assets: | | | | | | | | | | |
FST Shares | | $ | 11,072,854,397 | | | $ | 30,472,115,477 | | | |
FST Select Shares | | | 112,546,593 | | | | 1,006,923,334 | | | |
FST Preferred Shares | | | 221,372,013 | | | | 1,157,437,136 | | | |
FST Capital Shares | | | 76,410,141 | | | | 557,788,158 | | | |
FST Administration Shares | | | 514,066,028 | | | | 2,156,940,620 | | | |
FST Premier Shares | | | 1,441,990,579 | | | | 1,000 | | | |
FST Service Shares | | | 667,449,770 | | | | 544,250,823 | | | |
FST Class B Shares | | | — | | | | — | | | |
FST Class C Shares | | | — | | | | — | | | |
FST Resource Shares | | | 1,000 | | | | 1,002 | | | |
FST Cash Management Shares | | | 197,822,686 | | | | 1,000 | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Net Assets | | $ | 14,304,513,207 | | | $ | 35,895,458,550 | | | |
| | | | | | | | | | |
Shares outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | |
FST Shares | | | 11,072,709,567 | | | | 30,472,016,019 | | | |
FST Select Shares | | | 112,545,123 | | | | 1,006,920,412 | | | |
FST Preferred Shares | | | 221,369,117 | | | | 1,157,433,575 | | | |
FST Capital Shares | | | 76,409,140 | | | | 557,786,172 | | | |
FST Administration Shares | | | 514,059,303 | | | | 2,156,934,656 | | | |
FST Premier Shares | | | 1,441,971,714 | | | | 1,000 | | | |
FST Service Shares | | | 667,441,038 | | | | 544,249,464 | | | |
FST Class B Shares | | | — | | | | — | | | |
FST Class C Shares | | | — | | | | — | | | |
FST Resource Shares | | | 1,000 | | | | 1,002 | | | |
FST Cash Management Shares | | | 197,820,098 | | | | 1,000 | | | |
| | | | | | | | | | |
58 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money
| | Prime
| | Tax-Exempt
| | Tax-Exempt
| | Tax-Free
| | Treasury
| | Treasury
| | |
Market
| | Obligations
| | California
| | New York
| | Money Market
| | Instruments
| | Obligations
| | |
Fund | | Fund | | Fund | | Fund | | Fund | | Fund | | Fund | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
$ | 14,117,488,140 | | | $ | 17,372,576,635 | | | $ | 250,672,050 | | | $ | 164,025,874 | | | $ | 10,785,630,609 | | | $ | 18,337,707,802 | | | $ | 2,356,744,387 | | | |
| 4,931,600,000 | | | | 4,270,600,000 | | | | — | | | | — | | | | — | | | | — | | | | 9,593,500,000 | | | |
| 315,000,000 | | | | 385,000,000 | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
| 18,262 | | | | 34,880 | | | | 47,244 | | | | 16,068 | | | | 34,768 | | | | 56,949 | | | | 57,978 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 3,230,315 | | | | — | | | | 2,500,000 | | | | — | | | | 186,012,000 | | | | — | | | | — | | | |
| 8,217,906 | | | | 8,538,054 | | | | 436,443 | | | | 276,710 | | | | 17,117,979 | | | | 17,574,011 | | | | 10,183,280 | | | |
| 3,166,565 | | | | 3,780,455 | | | | — | | | | — | | | | 1,264,925 | | | | 34,208 | | | | — | | | |
| — | | | | — | | | | 71,783 | | | | 79,137 | | | | — | | | | — | | | | — | | | |
| 191,963 | | | | 229,383 | | | | 2,328 | | | | 1,319 | | | | 130,799 | | | | 159,173 | | | | 94,202 | | | |
|
|
| 19,378,913,151 | | | | 22,040,759,407 | | | | 253,729,848 | | | | 164,399,108 | | | | 10,990,191,080 | | | | 18,355,532,143 | | | | 11,960,579,847 | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | | | | 21,170,000 | | | | — | | | | — | | | |
| 2,564,559 | | | | 2,841,678 | | | | 40,108 | | | | 23,680 | | | | 1,431,944 | | | | 2,283,688 | | | | 1,310,527 | | | |
| 5,483,386 | | | | 184,708 | | | | — | | | | — | | | | 154,039 | | | | 60,185 | | | | 211,263 | | | |
| 813,897 | | | | 872,615 | | | | — | | | | — | | | | 142,578 | | | | 35,583 | | | | 39,296 | | | |
| 568,550 | | | | 556,238 | | | | 87,308 | | | | 82,866 | | | | 58,963 | | | | 141,045 | | | | 225,685 | | | |
|
|
| 9,430,392 | | | | 4,455,239 | | | | 127,416 | | | | 106,546 | | | | 22,957,524 | | | | 2,520,501 | | | | 1,786,771 | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 19,369,344,004 | | | | 22,036,552,027 | | | | 253,603,780 | | | | 164,294,457 | | | | 10,967,175,851 | | | | 18,352,930,964 | | | | 11,958,770,909 | | | |
| (5,250 | ) | | | 768,692 | | | | — | | | | 642 | | | | — | | | | 1,148 | | | | (962 | ) | | |
| 144,005 | | | | (1,016,551 | ) | | | (1,348 | ) | | | (2,537 | ) | | | 57,705 | | | | 79,530 | | | | 23,129 | | | |
|
|
$ | 19,369,482,759 | | | $ | 22,036,304,168 | | | $ | 253,602,432 | | | $ | 164,292,562 | | | $ | 10,967,233,556 | | | $ | 18,353,011,642 | | | $ | 11,958,793,076 | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
$ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
$ | 18,215,165,632 | | | $ | 17,272,860,769 | | | $ | 90,557,114 | | | $ | 36,488,111 | | | $ | 9,949,317,969 | | | $ | 15,757,933,317 | | | $ | 8,418,529,178 | | | |
| 114,361,869 | | | | 143,250,417 | | | | — | | | | — | | | | 65,318,515 | | | | 314,507,641 | | | | 182,123,443 | | | |
| 110,187,975 | | | | 473,546,651 | | | | — | | | | — | | | | 26,669,231 | | | | 266,365,580 | | | | 179,684,413 | | | |
| 86,255,700 | | | | 331,563,671 | | | | — | | | | — | | | | 10,051,058 | | | | 169,973,814 | | | | 162,735,381 | | | |
| 666,696,827 | | | | 2,865,819,823 | | | | 163,042,525 | | | | 127,802,617 | | | | 277,681,897 | | | | 1,169,302,146 | | | | 1,612,185,652 | | | |
| 1,000 | | | | 1,000 | | | | — | | | | — | | | | 592,802,605 | | | | 407,107,031 | | | | 141,534,581 | | | |
| 176,811,754 | | | | 771,745,651 | | | | 1,756 | | | | 800 | | | | 30,025,731 | | | | 267,820,113 | | | | 1,261,998,427 | | | |
| — | | | | 6,930,519 | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
| — | | | | 27,293,751 | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
| 1,002 | | | | 143,290,916 | | | | — | | | | — | | | | 15,365,549 | | | | 1,000 | | | | 1,001 | | | |
| 1,000 | | | | 1,000 | | | | 1,037 | | | | 1,034 | | | | 1,001 | | | | 1,000 | | | | 1,000 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
$ | 19,369,482,759 | | | $ | 22,036,304,168 | | | $ | 253,602,432 | | | $ | 164,292,562 | | | $ | 10,967,233,556 | | | $ | 18,353,011,642 | | | $ | 11,958,793,076 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 18,215,027,957 | | | | 17,273,050,059 | | | | 90,541,317 | | | | 36,487,304 | | | | 9,949,219,382 | | | | 15,757,864,046 | | | | 8,418,523,470 | | | |
| 114,360,998 | | | | 143,251,991 | | | | — | | | | — | | | | 65,317,865 | | | | 314,506,261 | | | | 182,121,945 | | | |
| 110,187,136 | | | | 473,551,854 | | | | — | | | | — | | | | 26,668,966 | | | | 266,364,408 | | | | 179,683,504 | | | |
| 86,255,044 | | | | 331,567,314 | | | | — | | | | — | | | | 10,050,958 | | | | 169,973,067 | | | | 162,734,563 | | | |
| 666,690,754 | | | | 2,865,851,307 | | | | 163,014,083 | | | | 127,799,787 | | | | 277,679,190 | | | | 1,169,297,004 | | | | 1,612,179,368 | | | |
| 1,000 | | | | 1,000 | | | | — | | | | — | | | | 592,796,706 | | | | 407,105,242 | | | | 141,534,022 | | | |
| 176,810,408 | | | | 771,754,130 | | | | 1,756 | | | | 799 | | | | 30,025,432 | | | | 267,818,936 | | | | 1,261,992,036 | | | |
| — | | | | 6,930,595 | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
| — | | | | 27,294,051 | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
| 1,001 | | | | 143,292,490 | | | | — | | | | — | | | | 15,365,397 | | | | 1,000 | | | | 1,001 | | | |
| 1,001 | | | | 1,000 | | | | 1,036 | | | | 1,035 | | | | 1,001 | | | | 1,000 | | | | 1,000 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements. 59
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Operations
For the Six Months Ended February 28, 2011 (Unaudited)
| | | | | | | | |
| | Federal
| | Government
|
| | Fund | | Fund |
|
Investment income: |
| | | | | | | | |
Interest income — from unaffiliated issuers | | $ | 15,499,844 | | | $ | 41,725,055 | |
Interest income — from affiliated issuers | | | — | | | | 1,288,682 | |
|
|
Total investment income | | | 15,499,844 | | | | 43,013,737 | |
|
|
| | | | | | | | |
| | | | | | | | |
Expenses: |
| | | | | | | | |
Fund-Level Expenses: | | | | | | | | |
Management fees | | | 15,225,396 | | | | 35,154,227 | |
Transfer Agent fees | | | 742,702 | | | | 1,714,840 | |
Custody and accounting fees | | | 389,836 | | | | 796,071 | |
Printing and mailing costs | | | 104,528 | | | | 69,701 | |
Registration fees | | | 93,770 | | | | 207,122 | |
Professional fees | | | 56,266 | | | | 57,618 | |
Trustee fees | | | 18,490 | | | | 47,782 | |
Other | | | 174,543 | | | | 412,584 | |
|
|
Subtotal | | | 16,805,531 | | | | 38,459,945 | |
Class Specific Expenses: | | | | | | | | |
FST Premier Share fees | | | 2,619,368 | | | | 2 | |
FST Service Share fees | | | 1,806,759 | | | | 1,128,064 | |
FST Administration Share fees | | | 629,034 | | | | 2,864,919 | |
FST Cash Management Share fees | | | 535,883 | | | | 2 | |
Distribution fees — FST Cash Management Shares | | | 321,530 | | | | 1 | |
FST Preferred Share fees | | | 118,172 | | | | 422,880 | |
FST Capital Share fees | | | 87,890 | | | | 542,669 | |
FST Select Share fees | | | 16,922 | | | | 170,276 | |
FST Resource Share fees | | | 2 | | | | 2 | |
Distribution fees — FST Resource Share fees | | | 1 | | | | 1 | |
Distribution and Service fees — FST Class B Shares | | | — | | | | — | |
Distribution and Service fees — FST Class C Shares | | | — | | | | — | |
|
|
Total expenses | | | 22,941,092 | | | | 43,588,761 | |
|
|
| | | | | | | | |
Less — expense reductions | | | (8,093,750 | ) | | | (11,327,433 | ) |
|
|
Net expenses | | | 14,847,342 | | | | 32,261,328 | |
|
|
NET INVESTMENT INCOME | | $ | 652,502 | | | $ | 10,752,409 | |
|
|
Net realized gain (loss) from investment transactions | | | 918,898 | | | | (165,582 | ) |
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 1,571,400 | | | $ | 10,586,827 | |
|
|
60 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money
| | Prime
| | Tax-Exempt
| | Tax-Exempt
| | Tax-Free
| | Treasury
| | Treasury
| | |
Market
| | Obligations
| | California
| | New York
| | Money Market
| | Instruments
| | Obligations
| | |
Fund | | Fund | | Fund | | Fund | | Fund | | Fund | | Fund | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
$ | 32,551,897 | | | $ | 38,353,047 | | | $ | 373,955 | | | $ | 224,397 | | | $ | 15,680,617 | | | $ | 14,336,149 | | | $ | 12,439,773 | | | |
| 279,617 | | | | 455,120 | | | | — | | | | — | | | | — | | | | — | | | | 1,167 | | | |
|
|
| 32,831,514 | | | | 38,808,167 | | | | 373,955 | | | | 224,397 | | | | 15,680,617 | | | | 14,336,149 | | | | 12,440,940 | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 19,530,917 | | | | 25,414,127 | | | | 438,572 | | | | 276,395 | | | | 10,559,031 | | | | 18,184,620 | | | | 11,738,210 | | | |
| 952,728 | | | | 1,239,714 | | | | 12,531 | | | | 7,897 | | | | 515,075 | | | | 887,055 | | | | 572,596 | | | |
| 294,975 | | | | 618,388 | | | | 40,034 | | | | 35,818 | | | | 44,587 | | | | 485,412 | | | | 367,710 | | | |
| 238,989 | | | | 90,038 | | | | 44,022 | | | | 42,388 | | | | 72,020 | | | | 49,569 | | | | 44,041 | | | |
| 137,044 | | | | 217,130 | | | | 7,683 | | | | 5,149 | | | | 79,429 | | | | 112,463 | | | | 188,534 | | | |
| 58,413 | | | | 64,342 | | | | 79,971 | | | | 78,979 | | | | 62,289 | | | | 57,708 | | | | 64,018 | | | |
| 27,922 | | | | 40,266 | | | | 6,358 | | | | 6,306 | | | | 20,786 | | | | 27,782 | | | | 22,514 | | | |
| 216,220 | | | | 226,458 | | | | 6,435 | | | | 6,490 | | | | 44,109 | | | | 203,331 | | | | 212,161 | | | |
|
|
| 21,457,208 | | | | 27,910,463 | | | | 635,606 | | | | 459,422 | | | | 11,397,326 | | | | 20,007,940 | | | | 13,209,784 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2 | | | | 2 | | | | — | | | | — | | | | 1,006,759 | | | | 680,005 | | | | 235,671 | | | |
| 447,423 | | | | 1,927,477 | | | | 3 | | | | 2 | | | | 101,627 | | | | 671,928 | | | | 2,924,225 | | | |
| 868,072 | | | | 3,782,477 | | | | 122,985 | | | | 88,803 | | | | 375,460 | | | | 1,765,607 | | | | 2,006,923 | | | |
| 2 | | | | 2 | | | | 3 | | | | 3 | | | | 2 | | | | 2 | | | | 2 | | | |
| 1 | | | | 1 | | | | 3 | | | | 3 | | | | 1 | | | | 1 | | | | 1 | | | |
| 53,504 | | | | 238,382 | | | | — | | | | — | | | | 16,484 | | | | 134,369 | | | | 87,546 | | | |
| 47,600 | | | | 218,533 | | | | — | | | | — | | | | 6,772 | | | | 111,350 | | | | 132,905 | | | |
| 14,602 | | | | 18,956 | | | | — | | | | — | | | | 8,607 | | | | 36,639 | | | | 32,387 | | | |
| 2 | | | | 349,169 | | | | — | | | | — | | | | 37,384 | | | | 2 | | | | 2 | | | |
| 1 | | | | 104,751 | | | | — | | | | — | | | | 11,215 | | | | 1 | | | | 1 | | | |
| — | | | | 36,612 | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
| — | | | | 141,240 | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
|
|
| 22,888,417 | | | | 34,728,065 | | | | 758,600 | | | | 548,233 | | | | 12,961,637 | | | | 23,407,844 | | | | 18,629,447 | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (4,909,127 | ) | | | (9,486,426 | ) | | | (394,874 | ) | | | (330,411 | ) | | | (3,292,641 | ) | | | (9,396,803 | ) | | | (7,241,529 | ) | | |
|
|
| 17,979,290 | | | | 25,241,639 | | | | 363,726 | | | | 217,822 | | | | 9,668,996 | | | | 14,011,041 | | | | 11,387,918 | | | |
|
|
$ | 14,852,224 | | | $ | 13,566,528 | | | $ | 10,229 | | | $ | 6,575 | | | $ | 6,011,621 | | | $ | 325,108 | | | $ | 1,053,022 | | | |
|
|
| 229,006 | | | | 145,164 | | | | 7,557 | | | | (2,227 | ) | | | 112,364 | | | | 405,204 | | | | 24,084 | | | |
|
|
$ | 15,081,230 | | | $ | 13,711,692 | | | $ | 17,786 | | | $ | 4,348 | | | $ | 6,123,985 | | | $ | 730,312 | | | $ | 1,077,106 | | | |
|
|
The accompanying notes are an integral part of these financial statements. 61
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets
| | | | | | | | |
| | Federal Fund |
| | For the
| | |
| | Six Months Ended
| | For the Fiscal
|
| | February 28, 2011 | | Year Ended |
| | (Unaudited) | | August 31, 2010 |
|
From operations: |
| | | | | | | | |
Net investment income | | $ | 652,502 | | | $ | 4,607,160 | |
Net realized gain (loss) from investment transactions | | | 918,898 | | | | 2,109,903 | |
|
|
Net increase in net assets resulting from operations | | | 1,571,400 | | | | 6,717,063 | |
|
|
| | | | | | | | |
| | | | | | | | |
Distributions to shareholders: |
| | | | | | | | |
From net investment income: | | | | | | | | |
FST Shares | | | (651,480 | ) | | | (4,584,300 | ) |
FST Select Shares | | | — | | | | (15,758 | ) |
FST Preferred Shares | | | — | | | | — | |
FST Capital Shares | | | — | | | | — | |
FST Administration Shares | | | — | | | | — | |
FST Premier Shares(a) | | | — | | | | (5,960 | ) |
FST Service Shares | | | — | | | | — | |
FST Class B Shares(a) | | | — | | | | — | |
FST Class C Shares(a) | | | — | | | | — | |
FST Resource Shares(a) | | | (1 | ) | | | (1 | ) |
FST Cash Management Shares(a) | | | — | | | | (1,141 | ) |
From net realized gains: | | | | | | | | |
FST Shares | | | (574,461 | ) | | | (3,025,966 | ) |
FST Select Shares | | | (5,987 | ) | | | (30,932 | ) |
FST Preferred Shares | | | (11,803 | ) | | | (66,582 | ) |
FST Capital Shares | | | (5,518 | ) | | | (23,829 | ) |
FST Administration Shares | | | (25,579 | ) | | | (126,381 | ) |
FST Premier Shares(a) | | | (75,223 | ) | | | (2,320 | ) |
FST Service Shares | | | (36,579 | ) | | | (144,417 | ) |
FST Class B Shares(a) | | | — | | | | — | |
FST Class C Shares(a) | | | — | | | | — | |
FST Resource Shares(a) | | | — | | | | — | |
FST Cash Management Shares(a) | | | (10,809 | ) | | | (354 | ) |
|
|
Total distributions to shareholders | | | (1,397,440 | ) | | | (8,027,941 | ) |
|
|
| | | | | | | | |
| | | | | | | | |
From share transactions (at $1.00 per share): |
| | | | | | | | |
Proceeds from sales of shares | | | 30,856,853,792 | | | | 71,872,286,984 | |
Reinvestment of distributions | | | 937,435 | | | | 6,035,743 | |
Cost of shares redeemed | | | (33,017,804,048 | ) | | | (78,193,543,616 | ) |
|
|
Net increase (decrease) in net assets resulting from share transactions | | | (2,160,012,821 | ) | | | (6,315,220,889 | ) |
|
|
NET INCREASE (DECREASE) | | | (2,159,838,861 | ) | | | (6,316,531,767 | ) |
|
|
| | | | | | | | |
| | | | | | | | |
Net assets: |
| | | | | | | | |
Beginning of period | | | 16,464,352,068 | | | | 22,780,883,835 | |
|
|
End of period | | $ | 14,304,513,207 | | | $ | 16,464,352,068 | |
|
|
Undistributed (distributions in excess of) net investment income | | $ | 14,168 | | | $ | 13,147 | |
|
|
| | |
(a) | | FST Premier, FST Resource, FST Cash Management, FST Class B and FST Class C Shares (for Prime Obligations Fund only) commenced operations on May 14, 2010. |
62 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | |
Government Fund | | Money Market Fund | | Prime Obligations Fund | | |
For the
| | | | For the
| | | | For the
| | | | |
Six Months Ended
| | For the Fiscal
| | Six Months Ended
| | For the Fiscal
| | Six Months Ended
| | For the Fiscal
| | |
February 28, 2011 | | Year Ended | | February 28, 2011 | | Year Ended | | February 28, 2011 | | Year Ended | | |
(Unaudited) | | August 31, 2010 | | (Unaudited) | | August 31, 2010 | | (Unaudited) | | August 31, 2010 | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
$ | 10,752,409 | | | $ | 20,655,488 | | | $ | 14,852,224 | | | $ | 17,690,248 | | | $ | 13,566,528 | | | $ | 22,282,646 | | | |
| (165,582 | ) | | | 6,096,635 | | | | 229,006 | | | | 2,868,981 | | | | 145,164 | | | | 5,645,872 | | | |
|
|
| 10,586,827 | | | | 26,752,123 | | | | 15,081,230 | | | | 20,559,229 | | | | 13,711,692 | | | | 27,928,518 | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (10,197,734 | ) | | | (20,201,627 | ) | | | (14,708,748 | ) | | | (17,629,257 | ) | | | (13,252,399 | ) | | | (22,148,262 | ) | | |
| (240,993 | ) | | | (453,858 | ) | | | (70,153 | ) | | | (45,391 | ) | | | (63,568 | ) | | | (66,595 | ) | | |
| (34,580 | ) | | | — | | | | (34,134 | ) | | | (15,094 | ) | | | (83,686 | ) | | | (67,361 | ) | | |
| (28,504 | ) | | | — | | | | (7,429 | ) | | | (503 | ) | | | (13,390 | ) | | | — | | | |
| (90,763 | ) | | | — | | | | (25,182 | ) | | | — | | | | (116,853 | ) | | | — | | | |
| (1 | ) | | | (1 | ) | | | (1 | ) | | | (1 | ) | | | (1 | ) | | | (1 | ) | | |
| (17,989 | ) | | | — | | | | (6,575 | ) | | | — | | | | (29,780 | ) | | | — | | | |
| — | | | | — | | | | — | | | | — | | | | (357 | ) | | | (105 | ) | | |
| — | | | | — | | | | — | | | | — | | | | (1,092 | ) | | | (249 | ) | | |
| (1 | ) | | | (1 | ) | | | (1 | ) | | | (1 | ) | | | (5,401 | ) | | | (72 | ) | | |
| (1 | ) | | | (1 | ) | | | (1 | ) | | | (1 | ) | | | (1 | ) | | | (1 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| — | | | | (10,902,114 | ) | | | (79,977 | ) | | | (4,073,647 | ) | | | (292,179 | ) | | | (5,181,921 | ) | | |
| — | | | | (506,039 | ) | | | (485 | ) | | | (7,621 | ) | | | (1,885 | ) | | | (31,649 | ) | | |
| — | | | | (199,829 | ) | | | (451 | ) | | | (13,819 | ) | | | (6,168 | ) | | | (216,812 | ) | | |
| — | | | | (216,704 | ) | | | (294 | ) | | | (15,549 | ) | | | (3,921 | ) | | | (109,266 | ) | | |
| — | | | | (648,824 | ) | | | (3,039 | ) | | | (287,665 | ) | | | (42,876 | ) | | | (834,324 | ) | | |
| — | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
| — | | | | (130,109 | ) | | | (755 | ) | | | (81,296 | ) | | | (10,990 | ) | | | (192,648 | ) | | |
| — | | | | — | | | | — | | | | — | | | | (104 | ) | | | — | | | |
| — | | | | — | | | | — | | | | — | | | | (400 | ) | | | — | | | |
| — | | | | — | | | | — | | | | — | | | | (1,957 | ) | | | — | | | |
| — | | | | — | | | | — | | | | — | | | | — | | | | — | | | |
|
|
| (10,610,566 | ) | | | (33,259,107 | ) | | | (14,937,225 | ) | | | (22,169,845 | ) | | | (13,927,008 | ) | | | (28,849,266 | ) | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| 114,308,500,328 | | | | 269,983,240,049 | | | | 64,352,356,022 | | | | 114,401,381,002 | | | | 62,499,236,660 | | | | 151,234,241,213 | | | |
| 3,292,286 | | | | 12,829,202 | | | | 9,440,169 | | | | 15,815,837 | | | | 7,040,257 | | | | 12,224,157 | | | |
| (110,195,506,349 | ) | | | (297,944,028,994 | ) | | | (62,003,419,988 | ) | | | (121,377,719,878 | ) | | | (68,355,219,513 | ) | | | (160,870,186,524 | ) | | |
|
|
| 4,116,286,265 | | | | (27,947,959,743 | ) | | | 2,358,376,203 | | | | (6,960,523,039 | ) | | | (5,848,942,596 | ) | | | (9,623,721,154 | ) | | |
|
|
| 4,116,262,526 | | | | (27,954,466,727 | ) | | | 2,358,520,208 | | | | (6,962,133,655 | ) | | | (5,849,157,912 | ) | | | (9,624,641,902 | ) | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| 31,779,196,024 | | | | 59,733,662,751 | | | | 17,010,962,551 | | | | 23,973,096,206 | | | | 27,885,462,080 | | | | 37,510,103,982 | | | |
|
|
$ | 35,895,458,550 | | | $ | 31,779,196,024 | | | $ | 19,369,482,759 | | | $ | 17,010,962,551 | | | $ | 22,036,304,168 | | | $ | 27,885,462,080 | | | |
|
|
$ | 275,368 | | | $ | 133,525 | | | $ | (5,250 | ) | | $ | (5,250 | ) | | $ | 768,692 | | | $ | 768,692 | | | |
|
|
The accompanying notes are an integral part of these financial statements. 63
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | Tax-Exempt California Fund |
| | For the
| | |
| | Six Months Ended
| | For the Fiscal
|
| | February 28, 2011 | | Year Ended |
| | (Unaudited) | | August 31, 2010 |
|
From operations: |
| | | | | | | | |
Net investment income (loss) | | $ | 10,229 | | | $ | 25,072 | |
Net realized gain (loss) from investment transactions | | | 7,557 | | | | 22,611 | |
|
|
Net increase in net assets resulting from operations | | | 17,786 | | | | 47,683 | |
|
|
| | | | | | | | |
| | | | | | | | |
Distributions to shareholders: |
| | | | | | | | |
From net investment income: | | | | | | | | |
FST Shares | | | (3,544 | ) | | | (6,347 | ) |
FST Select Shares | | | — | | | | — | |
FST Preferred Shares | | | — | | | | — | |
FST Capital Shares | | | — | | | | — | |
FST Administration Shares | | | (6,683 | ) | | | (18,723 | ) |
FST Premier Shares(a) | | | — | | | | — | |
FST Service Shares | | | (1 | ) | | | (1 | ) |
FST Resource Shares(a) | | | — | | | | — | |
FST Cash Management Shares(a) | | | (1 | ) | | | (1 | ) |
From net realized gains: | | | | | | | | |
FST Shares | | | (5,259 | ) | | | — | |
FST Select Shares | | | — | | | | — | |
FST Preferred Shares | | | — | | | | — | |
FST Capital Shares | | | — | | | | — | |
FST Administration Shares | | | (8,265 | ) | | | — | |
FST Premier Shares(a) | | | — | | | | — | |
FST Service Shares | | | — | | | | — | |
FST Resource Shares(a) | | | — | | | | — | |
FST Cash Management Shares(a) | | | — | | | | — | |
|
|
Total distributions to shareholders | | | (23,753 | ) | | | (25,072 | ) |
|
|
| | | | | | | | |
| | | | | | | | |
From share transactions (at $1.00 per share): |
| | | | | | | | |
Proceeds from sales of shares | | | 463,843,188 | | | | 943,545,212 | |
Reinvestment of distributions | | | 23,659 | | | | 24,870 | |
Cost of shares redeemed | | | (453,973,535 | ) | | | (1,012,492,710 | ) |
|
|
Net increase (decrease) in net assets resulting from share transactions | | | 9,893,312 | | | | (68,922,628 | ) |
|
|
NET INCREASE (DECREASE) | | | 9,887,345 | | | | (68,900,017 | ) |
|
|
| | | | | | | | |
| | | | | | | | |
Net assets: |
| | | | | | | | |
Beginning of period | | | 243,715,087 | | | | 312,615,104 | |
|
|
End of period | | $ | 253,602,432 | | | $ | 243,715,087 | |
|
|
Undistributed (distributions in excess of) net investment income | | $ | — | | | $ | — | |
|
|
| | |
(a) | | FST Premier, FST Resource and FST Cash Management Shares (for the Tax-Free Money Market and Treasury Instruments Funds only) commenced operations on May 14, 2010. |
64 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | |
Tax-Exempt New York Fund | | Tax-Free Money Market Fund | | Treasury Instruments Fund | | |
For the
| | | | For the
| | | | For the
| | | | |
Six Months Ended
| | For the Fiscal
| | Six Months Ended
| | For the Fiscal
| | Six Months Ended
| | For the Fiscal
| | |
February 28, 2011 | | Year Ended | | February 28, 2011 | | Year Ended | | February 28, 2011 | | Year Ended | | |
(Unaudited) | | August 31, 2010 | | (Unaudited) | | August 31, 2010 | | (Unaudited) | | August 31, 2010 | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
$ | 6,575 | | | $ | 21,347 | | | $ | 6,011,621 | | | $ | 12,969,524 | | | $ | 325,108 | | | $ | (2,506,288 | ) | | |
| (2,227 | ) | | | 34,741 | | | | 112,364 | | | | 1,185,376 | | | | 405,204 | | | | 2,816,824 | | | |
|
|
| 4,348 | | | | 56,088 | | | | 6,123,985 | | | | 14,154,900 | | | | 730,312 | | | | 310,536 | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (1,644 | ) | | | (4,353 | ) | | | (5,940,215 | ) | | | (12,796,147 | ) | | | (272,822 | ) | | | — | | | |
| — | | | | — | | | | (28,294 | ) | | | (94,696 | ) | | | (3,945 | ) | | | — | | | |
| — | | | | — | | | | (5,093 | ) | | | (20,559 | ) | | | (5,003 | ) | | | — | | | |
| — | | | | — | | | | (388 | ) | | | (17,081 | ) | | | (2,782 | ) | | | — | | | |
| (4,930 | ) | | | (16,989 | ) | | | (12,029 | ) | | | (31,502 | ) | | | (27,163 | ) | | | — | | | |
| — | | | | — | | | | (23,054 | ) | | | (3,889 | ) | | | (7,267 | ) | | | — | | | |
| (1 | ) | | | (5 | ) | | | (1,635 | ) | | | (5,997 | ) | | | (4,976 | ) | | | — | | | |
| — | | | | — | | | | (556 | ) | | | (8 | ) | | | (1 | ) | | | — | | | |
| — | | | | — | | | | (1 | ) | | | (1 | ) | | | (1 | ) | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (8,047 | ) | | | (8,573 | ) | | | (874,804 | ) | | | (1,113,411 | ) | | | (302,010 | ) | | | (2,052,770 | ) | | |
| — | | | | — | | | | (6,409 | ) | | | (9,348 | ) | | | (5,515 | ) | | | (17,618 | ) | | |
| — | | | | — | | | | (3,041 | ) | | | (5,789 | ) | | | (5,272 | ) | | | (27,620 | ) | | |
| — | | | | — | | | | (634 | ) | | | (16,014 | ) | | | (2,926 | ) | | | (12,289 | ) | | |
| (26,294 | ) | | | (37,760 | ) | | | (24,586 | ) | | | (40,609 | ) | | | (26,840 | ) | | | (121,551 | ) | | |
| — | | | | — | | | | (51,618 | ) | | | — | | | | (7,601 | ) | | | (1,874 | ) | | |
| — | | | | (13 | ) | | | (3,037 | ) | | | (10,181 | ) | | | (5,320 | ) | | | (21,266 | ) | | |
| — | | | | — | | | | (1,418 | ) | | | — | | | | — | | | | (1 | ) | | |
| (1 | ) | | | (1 | ) | | | — | | | | — | | | | — | | | | (1 | ) | | |
|
|
| (40,917 | ) | | | (67,694 | ) | | | (6,976,812 | ) | | | (14,165,232 | ) | | | (679,444 | ) | | | (2,254,990 | ) | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| 243,364,140 | | | | 574,845,657 | | | | 17,553,708,687 | | | | 32,397,881,092 | | | | 34,622,080,223 | | | | 66,294,789,848 | | | |
| 40,527 | | | | 67,226 | | | | 5,768,204 | | | | 10,746,469 | | | | 487,016 | | | | 1,675,411 | | | |
| (256,332,062 | ) | | | (691,147,875 | ) | | | (16,515,289,495 | ) | | | (32,574,489,792 | ) | | | (35,093,038,728 | ) | | | (68,136,154,904 | ) | | |
|
|
| (12,927,395 | ) | | | (116,234,992 | ) | | | 1,044,187,396 | | | | (165,862,231 | ) | | | (470,471,489 | ) | | | (1,839,689,645 | ) | | |
|
|
| (12,963,964 | ) | | | (116,246,598 | ) | | | 1,043,334,569 | | | | (165,872,563 | ) | | | (470,420,621 | ) | | | (1,841,634,099 | ) | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| 177,256,526 | | | | 293,503,124 | | | | 9,923,898,987 | | | | 10,089,771,550 | | | | 18,823,432,263 | | | | 20,665,066,362 | | | |
|
|
$ | 164,292,562 | | | $ | 177,256,526 | | | $ | 10,967,233,556 | | | $ | 9,923,898,987 | | | $ | 18,353,011,642 | | | $ | 18,823,432,263 | | | |
|
|
$ | 642 | | | $ | 642 | | | $ | — | | | $ | (356 | ) | | $ | 1,148 | | | $ | — | | | |
|
|
The accompanying notes are an integral part of these financial statements. 65
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | Treasury Obligations Fund |
| | For the
| | |
| | Six Months Ended
| | For the Fiscal
|
| | February 28, 2011 | | Year Ended |
| | (Unaudited) | | August 31, 2010 |
|
From operations: |
| | | | | | | | |
Net investment income (loss) | | $ | 1,053,022 | | | $ | (677,802 | ) |
Net realized gain from investment transactions | | | 24,084 | | | | 1,588,112 | |
|
|
Net increase in net assets resulting from operations | | | 1,077,106 | | | | 910,310 | |
|
|
| | | | | | | | |
| | | | | | | | |
Distributions to shareholders: |
| | | | | | | | |
From net investment income: | | | | | | | | |
FST Shares | | | (914,142 | ) | | | — | |
FST Select Shares | | | (11,019 | ) | | | — | |
FST Preferred Shares | | | (6,898 | ) | | | — | |
FST Capital Shares | | | (7,018 | ) | | | — | |
FST Administration Shares | | | (63,290 | ) | | | — | |
FST Premier Shares(a) | | | (5,325 | ) | | | — | |
FST Service Shares | | | (46,290 | ) | | | — | |
FST Resource Shares(a) | | | (1 | ) | | | — | |
FST Cash Management Shares(a) | | | (1 | ) | | | — | |
From net realized gains: | | | | | | | | |
FST Shares | | | — | | | | (5,616,055 | ) |
FST Select Shares | | | — | | | | (92,152 | ) |
FST Preferred Shares | | | — | | | | (41,520 | ) |
FST Capital Shares | | | — | | | | (42,047 | ) |
FST Administration Shares | | | — | | | | (295,598 | ) |
FST Premier Shares(a) | | | — | | | | (715 | ) |
FST Service Shares | | | — | | | | (135,049 | ) |
FST Resource Shares(a) | | | — | | | | (1 | ) |
FST Cash Management Shares(a) | | | — | | | | (1 | ) |
|
|
Total distributions to shareholders | | | (1,053,984 | ) | | | (6,223,138 | ) |
|
|
| | | | | | | | |
| | | | | | | | |
From share transactions (at $1.00 per share): |
| | | | | | | | |
Proceeds from sales of shares | | | 38,711,861,732 | | | | 119,273,233,562 | |
Reinvestment of distributions | | | 574,051 | | | | 2,742,669 | |
Cost of shares redeemed | | | (39,271,011,362 | ) | | | (128,256,361,211 | ) |
|
|
Net decrease in net assets resulting from share transactions | | | (558,575,579 | ) | | | (8,980,384,980 | ) |
|
|
NET DECREASE | | | (558,552,457 | ) | | | (8,985,697,808 | ) |
|
|
| | | | | | | | |
| | | | | | | | |
Net assets: |
| | | | | | | | |
Beginning of period | | | 12,517,345,533 | | | | 21,503,043,341 | |
|
|
End of period | | $ | 11,958,793,076 | | | $ | 12,517,345,533 | |
|
|
Undistributed (distributions in excess of) net investment income | | $ | (962 | ) | | $ | — | |
|
|
| | |
(a) | | FST Premier, FST Resource and FST Cash Management Shares commenced operations on May 14, 2010. |
66 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements
February 28, 2011 (Unaudited)
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 |
|
Federal, Government, Money Market, Tax-Free Money Market, Treasury Instruments and Treasury Obligations | | FST, FST Select, FST Preferred, FST Capital, FST Administration, FST Premier, FST Service, FST Resource and FST Cash Management | | Diversified |
|
|
Prime Obligations | | FST, FST Select, FST Preferred, FST Capital, FST Administration, FST Premier, FST Service, FST Class B, FST Class C, FST Resource and FST Cash Management | | Diversified |
|
|
Tax-Exempt California and Tax-Exempt New York | | FST, FST Administration, FST Service and FST Cash Management | | Non-Diversified |
|
|
FST Class B and FST Class C Shares are generally not available for purchase, although shareholders invested in Class B and Class C Shares of other Goldman Sachs Funds may exchange their shares for FST Class B and FST Class C Shares, respectively (and shareholders of FST Class B and FST Class C Shares may continue to reinvest dividends and capital gains into FST Class B and FST Class C Shares, respectively). FST Class B Shares may be subject to a contingent deferred sales charge (“CDSC”) that may start at a rate as high as 5% in the first year and decline to 1% in the sixth year, depending upon the date the original shares subject to the CDSC were acquired. FST Class C Shares are subject to a CDSC of 1.00% during the first 12 months, measured from the time the original shares subject to the CDSC were acquired.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to each Fund pursuant to management agreements (the “Agreements”) with the Trust.
| |
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. Investment Valuation — It is the Funds’ policy to use the amortized-cost method permitted by Rule 2a-7 under the Act, which approximates market value, for valuing portfolio securities. Under this method, all investments purchased at a discount or premium are valued by accreting or amortizing the difference between the original purchase price and maturity value of the issue, as an adjustment to interest income. Under procedures and tolerances established by the trustees, GSAM evaluates the difference between the Funds’ net asset value per share (“NAV”) based upon the amortized cost of the Funds’ securities and the NAV based upon available market quotations (or permitted substitutes) at least once a week.
B. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
Investment income and accumulated unrealized and realized gains or losses are allocated daily to each class of shares of the respective Fund based upon the relative proportion of settled shares of each class.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily. Non-class specific expenses are allocated daily to each share class of the respective Fund based upon the relative proportion of settled shares of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agent, and Service fees.
D. 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 and tax-exempt income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Funds. Long-term capital gain distributions, if any, are declared and paid annually.
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 the Funds’ distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
As of the Fund’s most recent fiscal year end, August 31, 2010, the Prime Obligations Fund had a capital loss carryforward for U.S. federal income tax purposes of $801,235 expiring August 31, 2016. This amount is available to be carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains.
The amortized cost for each Fund stated in the accompanying Statements of Assets and Liabilities also represents aggregate costs for U.S. federal income tax purposes.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three tax 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.
Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
E. Forward Commitment Transactions — The Funds may enter into forward commitment transactions which involve a commitment by the Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement. The purchased securities in the forward commitment transactions do not begin to accrue interest income until the settlement date of these securities. Losses may arise due to changes in the market value of the security or from the inability of counterparties to meet the terms of the transaction. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations when entering into a forward commitment.
F. Repurchase Agreements — Certain Funds may enter into repurchase agreements which 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 sub-custodians under tri-party repurchase agreements. Under these agreements, the Fund is permitted to deliver or re-pledge these securities.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other registered investment companies having management 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
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
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.
| |
3. 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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The following is a summary of the Funds’ investments categorized in the fair value hierarchy as of February 28, 2011. While assets are reported at amortized cost, the Levels below are based on valuation characteristics of the investments’ market value.
| | | | | | | | | | | | |
Federal | | Level 1 | | Level 2 | | Level 3 |
|
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | | $ | 3,513,275,901 | | | $ | 10,786,309,742 | | | $ | — | |
|
|
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Government | | Level 1 | | Level 2 | | Level 3 |
|
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | | $ | 325,479,267 | | | $ | 14,685,177,640 | | | $ | — | |
Corporate Obligations (including repurchase agreements) | | | — | | | | 20,881,500,000 | | | | — | |
|
|
Total | | $ | 325,479,267 | | | $ | 35,566,677,640 | | | $ | — | |
|
|
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Money Market | | Level 1 | | Level 2 | | Level 3 |
|
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | | $ | 48,344,168 | | | $ | 2,199,148,195 | | | $ | — | |
Corporate Obligations (including repurchase agreements) | | | — | | | | 15,865,949,517 | | | | — | |
Municipal Debt Obligations | | | — | | | | 1,250,646,260 | | | | — | |
|
|
Total | | $ | 48,344,168 | | | $ | 19,315,743,972 | | | $ | — | |
|
|
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Prime Obligations | | Level 1 | | Level 2 | | Level 3 |
|
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | | $ | 87,926,099 | | | $ | 4,878,778,523 | | | $ | — | |
Corporate Obligations (including repurchase agreements) | | | — | | | | 14,418,138,680 | | | | — | |
Municipal Debt Obligations | | | — | | | | 2,643,333,333 | | | | — | |
|
|
Total | | $ | 87,926,099 | | | $ | 21,940,250,536 | | | $ | — | |
|
|
| | | | | | | | | | | | |
| | | | | | | | | | | | |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
3. FAIR VALUE OF INVESTMENTS (continued) | |
| | | | | | | | | | | | |
Tax-Exempt California | | Level 1 | | Level 2 | | Level 3 |
|
Municipal Debt Obligations | | $ | — | | | $ | 250,672,050 | | | $ | — | |
|
|
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Tax-Exempt New York | | Level 1 | | Level 2 | | Level 3 |
|
Municipal Debt Obligations | | $ | — | | | $ | 164,025,874 | | | $ | — | |
|
|
| | | | | | | | | | | | |
Tax-Free Money Market | | Level 1 | | Level 2 | | Level 3 |
|
Municipal Debt Obligations | | $ | — | | | $ | 10,785,630,609 | | | $ | — | |
|
|
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Treasury Instruments | | Level 1 | | Level 2 | | Level 3 |
|
U.S. Treasury Obligations | | $ | 18,337,707,802 | | | $ | — | | | $ | — | |
|
|
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Treasury Obligations | | Level 1 | | Level 2 | | Level 3 |
|
U.S. Treasury Obligations | | $ | 2,356,744,387 | | | $ | — | | | $ | — | |
Corporate Obligations (including repurchase agreements) | | | — | | | | 9,593,500,000 | | | | — | |
|
|
| |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS | |
The Fund Contractual Fee Table on the following pages summarizes the relevant contractual fee arrangements.
A. Management Agreements — Under the Agreements, GSAM manages 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 is entitled to a management fee computed daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
B. Administration, Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Administration, Service and Shareholder Administration Plans (the “Plans”) to allow FST Select, FST Preferred, FST Capital, FST Administration, FST Premier, FST Service Shares, FST Resource Shares and FST Cash Management Shares (“CMS”) to compensate service organizations for providing varying levels of account administration and/or personal and account maintenance services to their customers who are beneficial owners of such shares. The Plans provide for compensation to the service organizations equal to an annual percentage rate of the average daily net assets of such shares.
C. Distribution and Service Plans — The Trust, on behalf of the Prime Obligations Fund’s FST Class B and FST Class C Shares, has adopted Distribution and Service Plans. Under the respective Distribution and Service Plans, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly from the Prime Obligations Fund’s FST Class B and FST Class C Shares for distribution services and personal and account maintenance services. These fees are equal to an annual percentage rate of the average daily net assets attributable to both FST Class B and FST Class C Shares, which may then be paid by Goldman Sachs to authorized dealers.
The Trust, on behalf of the FST Resource Shares and FST CMS of each applicable Fund, has adopted Distribution Plans. Under the Distribution Plans, Goldman Sachs is entitled to a monthly fee from the applicable Fund’s FST Resource and FST CMS Shares for distribution services equal to an annual percentage rate of the average daily net assets attributable to FST Resource and FST CMS Shares, which may then be paid by Goldman Sachs to authorized dealers.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
D. Distribution Agreement — Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Pursuant to the Distribution Agreement, the Distributor receives no additional compensation other than retained amounts related to the Distribution and Service Plans and the portion of the Prime Obligations Fund’s FST Class B and FST Class C Shares’ CDSCs that it retains. During the six months ended February 28, 2011, Goldman Sachs has advised that it retained approximately $1,700 in CDSCs from FST Class C Shares only (there were no CDSCs retained in FST Class B Shares).
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is calculated daily and paid monthly equal to an annual percentage rate of each Fund’s average daily net assets.
F. Other Agreements — GSAM has agreed to limit certain “Other Expense” of the Funds (except for Tax-Exempt California and Tax-Exempt New York Funds) (excluding management fees, transfer agent fees and expenses, FST Class B and FST Class C distribution and service fees, FST Select fees, FST Preferred fees, FST Capital fees, FST Administration fees, FST Premier fees, FST Service fees, FST Resource fees, FST CMS 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, 0.014% of each Fund’s average daily net assets. Such Other Expense reimbursements, if any, are computed daily and paid monthly. These Other Expense reimbursements will remain in place through at least December 29, 2011, and prior to such date GSAM may not terminate the arrangements without the approval of the trustees. In addition, the Funds have entered into certain offset arrangements with the custodian, which may result in a reduction in the Funds’ expenses.
GSAM has agreed to reduce or limit the total operating expenses of the Tax-Exempt California and Tax-Exempt New York Funds (excluding Distribution, Administration, Service and Shareholder Administration plan fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meeting costs and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) such that total operating expenses will not exceed 0.434% of each Fund’s average daily net assets. Such expense reimbursements, if any, are computed daily and paid monthly. These expense reimbursements will remain in place through at least December 29, 2011, and prior to such date GSAM may not terminate the arrangements without the approval of the trustees. In addition, the Tax-Exempt California and Tax-Exempt New York Funds have entered into certain offset agreements with the custodian and transfer agent, which may result in a further reduction of the Funds’ net expenses.
G. Total Fund Expenses
Fund Contractual Fees
The contractual annualized rates for each of the Funds (except Tax-Exempt California and Tax-Exempt New York Funds) are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | All Funds except Tax-Exempt California and Tax-Exempt New York Funds |
| | | | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | | | FST
| | FST
|
| | FST
| | Select
| | Preferred
| | Capital
| | Administration
| | Premier
| | Service
| | Resource
| | FST
| | Class B
| | Class C
|
| | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | CMS | | Shares(c) | | Shares(c) |
|
Management Fee | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % | | | 0.205 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.03 | | | | 0.10 | | | | 0.15 | | | | 0.25 | | | | 0.35 | | | | 0.50 | | | | 0.50 | | | | 0.50 | | | | N/A | | | | N/A | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.15 | (a) | | | 0.30 | (a) | | | 1.00 | (b) | | | 1.00 | (b) |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
N/A — Fees not applicable to respective share class.
| | |
(a) | | Distribution (12b-1) fee only. |
(b) | | Consists of fees paid for distribution services and personal and account maintenance services equal to 0.75% and 0.25%, respectively. |
(c) | | Prime Obligations Fund only. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
The contractual annualized rates for the Tax-Exempt California and Tax-Exempt New York Funds are as follows:
| | | | | | | | | | | | | | | | |
| | | | FST
| | FST
| | |
| | FST
| | Administration
| | Service
| | FST
|
| | Shares | | Shares | | Shares | | CMS |
|
Management Fee | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.15 | | | | 0.40 | | | | 0.50 | |
Distribution Fees | | | N/A | | | | N/A | | | | N/A | | | | 0.50 | (a) |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
N/A — Fees not applicable to respective share class.
| | |
(a) | | Distribution (12b-1) fee only. |
Fund Effective Net Expenses (After waivers and reimbursements)
During the six months ended February 28, 2011, GSAM and Goldman Sachs (as applicable) voluntarily agreed to waive all or a portion of the management fees, respective class-specific fees (consisting of Distribution and Service, Administration, Service and/or Shareholder Administration Plan fees) and transfer agency fees attributable to the Funds. With the exception of (i) GSAM’s agreement not to impose a portion of the management fee equal annually to 0.025% of the Treasury Obligations, Treasury Instruments and Federal Funds’ average daily net assets and equal annually to 0.045% of the Prime Obligations, Money Market, Government and Tax-Free Money Market Funds’ average daily net assets, and (ii) Goldman Sachs’ agreement to limit the amount of annual distribution fees payable by the Tax-Exempt California and Tax-Exempt New York Funds to 0.07% of each Fund’s average daily net assets attributable to FST CMS, these waivers may be modified or terminated at any time at the option of GSAM or Goldman Sachs (as applicable). The following tables outline such fees (net of any waivers) and Other Expenses (net of reimbursements and custodian fee credit reductions) in order to determine each Fund’s ratio of net expenses for the six months ended February 28, 2011. The Funds are not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Ratio of net expenses to average net assets
|
| | for the six months ended February 28, 2011* |
| | | | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | |
| | FST
| | Select
| | Preferred
| | Capital
| | Administration
| | Premier
| | Service
| | Class B
| | Class C
| | Resource
| | FST
|
| | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | CMS |
|
Prime Obligations | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.03 | | | | 0.10 | | | | 0.12 | | | | 0.12 | | | | 0.01 | | | | 0.12 | | | | N/A | | | | N/A | | | | 0.00 | | | | 0.00 | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.12 | | | | 0.12 | | | | 0.12 | | | | 0.19 | |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
Other Expenses | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
Net Expenses | | | 0.18 | | | | 0.21 | | | | 0.28 | | | | 0.30 | | | | 0.30 | | | | 0.19 | | | | 0.30 | | | | 0.30 | | | | 0.30 | | | | 0.30 | | | | 0.37 | |
|
|
N/A — Fees not applicable to, or the Fund does not offer, that respective share class.
| | |
(a) | | GSAM waived a portion of its management fee in order to achieve the effective net management rates above. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Ratio of net expenses to average net assets
|
| | for the six months ended February 28, 2011* |
| | | | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | |
| | FST
| | Select
| | Preferred
| | Capital
| | Administration
| | Premier
| | Service
| | Resource
| | FST
|
| | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | CMS |
|
Federal | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.18 | % | | | 0.18 | % | | | 0.18 | % | | | 0.18 | % | | | 0.18 | % | | | 0.18 | % | | | 0.18 | % | | | 0.18 | % | | | 0.18 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.00 | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | 0.01 | |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
Other Expenses | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
Net Expenses | | | 0.20 | | | | 0.21 | | | | 0.21 | | | | 0.21 | | | | 0.21 | | | | 0.21 | | | | 0.21 | | | | 0.21 | | | | 0.21 | |
|
|
Government | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.03 | | | | 0.06 | | | | 0.06 | | | | 0.06 | | | | 0.00 | | | | 0.06 | | | | 0.00 | | | | 0.00 | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | 0.00 | |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
Other Expenses | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
Net Expenses | | | 0.18 | | | | 0.21 | | | | 0.24 | | | | 0.24 | | | | 0.24 | | | | 0.18 | | | | 0.24 | | | | 0.18 | | | | 0.18 | |
|
|
Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.03 | | | | 0.10 | | | | 0.14 | | | | 0.16 | | | | 0.12 | | | | 0.16 | | | | 0.00 | | | | 0.13 | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.20 | | | | 0.30 | |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
Other Expenses | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
Net Expenses | | | 0.18 | | | | 0.21 | | | | 0.28 | | | | 0.32 | | | | 0.34 | | | | 0.30 | | | | 0.34 | | | | 0.38 | | | | 0.61 | |
|
|
Tax-Exempt California | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.22 | % | | | N/A | | | | N/A | | | | N/A | | | | 0.22 | % | | | N/A | | | | 0.22 | % | | | N/A | | | | 0.22 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | |
Distribution Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | |
Transfer Agency Fee | | | 0.00 | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | |
Other Expenses | | | 0.07 | | | | N/A | | | | N/A | | | | N/A | | | | 0.07 | | | | N/A | | | | 0.07 | | | | N/A | | | | 0.07 | |
|
|
Net Expenses | | | 0.29 | | | | N/A | | | | N/A | | | | N/A | | | | 0.29 | | | | N/A | | | | 0.29 | | | | N/A | | | | 0.29 | |
|
|
N/A — Fees not applicable to, or the Fund does not offer, that respective share class.
| | |
(a) | | GSAM waived a portion of its management fee in order to achieve the effective net management rates above. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Ratio of net expenses to average net assets
|
| | for the six months ended February 28, 2011* |
| | | | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | FST
| | |
| | FST
| | Select
| | Preferred
| | Capital
| | Administration
| | Premier
| | Service
| | Resource
| | FST
|
| | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | CMS |
|
Tax-Exempt New York | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.20 | % | | | N/A | | | | N/A | | | | N/A | | | | 0.20 | % | | | N/A | | | | 0.20 | % | | | N/A | | | | 0.20 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | |
Distribution Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | |
Transfer Agency Fee | | | 0.00 | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | | | | N/A | | | | 0.00 | |
Other Expenses | | | 0.07 | | | | N/A | | | | N/A | | | | N/A | | | | 0.07 | | | | N/A | | | | 0.07 | | | | N/A | | | | 0.07 | |
|
|
Net Expenses | | | 0.27 | | | | N/A | | | | N/A | | | | N/A | | | | 0.27 | | | | N/A | | | | 0.27 | | | | N/A | | | | 0.27 | |
|
|
Tax-Free Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % | | | 0.16 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.03 | | | | 0.10 | | | | 0.12 | | | | 0.12 | | | | 0.12 | | | | 0.12 | | | | 0.12 | | | | 0.21 | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | 0.00 | |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
Other Expenses | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
Net Expenses | | | 0.18 | | | | 0.21 | | | | 0.28 | | | | 0.30 | | | | 0.30 | | | | 0.30 | | | | 0.30 | | | | 0.30 | | | | 0.39 | |
|
|
Treasury Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | 0.00 | |
Transfer Agency Fee | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | |
Other Expenses | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
Net Expenses | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | |
|
|
Treasury Obligations | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management Fee(a) | | | 0.17 | % | | | 0.17 | % | | | 0.17 | % | | | 0.17 | % | | | 0.17 | % | | | 0.17 | % | | | 0.17 | % | | | 0.17 | % | | | 0.17 | % |
Administration, Service and/or Shareholder Administration Fees | | | N/A | | | | 0.01 | | | | 0.02 | | | | 0.02 | | | | 0.02 | | | | 0.01 | | | | 0.02 | | | | 0.00 | | | | 0.00 | |
Distribution and/or Service Fees | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 0.00 | | | | 0.00 | |
Transfer Agency Fee | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
Other Expenses | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.01 | |
|
|
Net Expenses | | | 0.19 | | | | 0.20 | | | | 0.21 | | | | 0.21 | | | | 0.21 | | | | 0.20 | | | | 0.21 | | | | 0.19 | | | | 0.19 | |
|
|
N/A — Fees not applicable to, or the Fund does not offer, that respective share class.
| | |
(a) | | GSAM waived a portion of its management fee in order to achieve the effective net management rates above. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
For the six months ended February 28, 2011, expense reductions including any fee waivers and Other Expense reimbursements were as follows (in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Distribution,
| | | | | | |
| | | | | | Administration,
| | | | | | |
| | | | | | Service and/or
| | | | | | |
| | | | | | Shareholder
| | | | | | |
| | | | | | Administration
| | | | Other
| | Total
|
| | Management
| | Transfer Agent
| | Plans
| | Custody Fee
| | Expense
| | Expense
|
Fund | | Fee Waivers | | Fee Waivers | | Fee Waivers | | Reduction | | Reimbursements | | Reductions |
|
Federal | | $ | 1,937 | | | $ | 244 | | | $ | 5,908 | | | $ | 5 | | | $ | — | | | $ | 8,094 | |
|
|
Government | | | 7,717 | | | | — | | | | 3,592 | | | | 18 | | | | — | | | | 11,327 | |
|
|
Money Market | | | 4,287 | | | | — | | | | 621 | | | | 1 | | | | — | | | | 4,909 | |
|
|
Prime Obligations | | | 5,579 | | | | — | | | | 3,906 | | | | 1 | | | | — | | | | 9,486 | |
|
|
Tax-Exempt California | | | 167 | | | | 13 | | | | 123 | | | | — | * | | | 92 | | | | 395 | |
|
|
Tax-Exempt New York | | | 117 | | | | 8 | | | | 88 | | | | — | * | | | 117 | | | | 330 | |
|
|
Tax-Free Money Market | | | 2,318 | | | | — | | | | 973 | | | | 2 | | | | — | | | | 3,293 | |
|
|
Treasury Instruments | | | 5,051 | | | | 887 | | | | 3,401 | | | | 58 | | | | — | | | | 9,397 | |
|
|
Treasury Obligations | | | 1,770 | | | | 212 | | | | 5,156 | | | | 7 | | | | 97 | | | | 7,242 | |
|
|
| | |
* | | Amount is less than $500. |
As of February 28, 2011, the amounts owed to affiliates of the Funds were as follows (in thousands):
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Over
| | |
| | | | | | Distribution
| | Reimbursement
| | |
| | Management
| | Transfer Agent
| | and Service
| | of Other
| | |
Fund | | Fees | | Fees | | Fees | | Expenses | | Total |
|
Federal | | $ | 1,961 | | | $ | 109 | | | $ | 2 | | | $ | — | | | $ | 2,072 | |
|
|
Government | | | 4,412 | | | | 276 | | | | — | | | | — | | | | 4,688 | |
|
|
Money Market | | | 2,414 | | | | 151 | | | | — | | | | — | | | | 2,565 | |
|
|
Prime Obligations | | | 2,660 | | | | 166 | | | | 16 | | | | — | | | | 2,842 | |
|
|
Tax-Exempt California | | | 40 | | | | — | | | | — | | | | — | | | | 40 | |
|
|
Tax-Exempt New York | | | 24 | | | | — | | | | — | | | | — | | | | 24 | |
|
|
Tax-Free Money Market | | | 1,347 | | | | 84 | | | | 1 | | | | — | | | | 1,432 | |
|
|
Treasury Instruments | | | 2,284 | | | | — | | | | — | | | | — | | | | 2,284 | |
|
|
Treasury Obligations | | | 1,278 | | | | 11 | | | | — | | | | 22 | | | | 1,311 | |
|
|
H. Line of Credit Facility — As of February 28, 2011, the Funds participated in a $580,000,000 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 or its affiliates. Pursuant to the terms of the facility, the Funds and other borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
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 February 28, 2011, the Funds did not have any borrowings under the facility.
Interest Rate Risk — In a declining interest rate environment, low yields on the Funds’ securities may have an adverse impact on the Funds’ ability to provide a positive yield to its shareholders. As a result, GSAM and/or Goldman Sachs may voluntarily agree to waive certain fees (such as FST Class B and FST Class C Distribution and Service fees, FST Select fees, FST Preferred fees, FST Capital fees, FST Administration fees, FST Premier fees, FST Service fees, FST Resource fees, FST CMS fees, transfer agency and management fees) which can fluctuate daily.
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.
Portfolio Concentration Risk — The Tax-Exempt California, Tax-Exempt New York and Tax-Free Money Market Funds have the ability to invest a large percentage of their assets in obligations of issuers within certain states, which makes them subject to possible concentration risks associated with economic, political or legal developments or industrial or regional matters specifically affecting such states.
In particular, the Tax-Exempt California and Tax-Exempt New York Funds may be affected by the adverse events currently affecting these states’ economies. If California, New York or any of their local governmental entities are unable to meet their financial obligations, the Funds’ income, NAV and ability to preserve capital or liquidity could be adversely affected.
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.
Exemptive Orders — Pursuant to SEC exemptive orders, the Funds may enter into certain principal transactions, including repurchase agreements, with Goldman Sachs.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
9. SUMMARY OF SHARE TRANSACTIONS (AT $1.00 PER SHARE) | |
Share activity is as follows:
| | | | | | | | |
| | Federal Fund |
| | |
| | For the
| | |
| | Six Months Ended
| | For the
|
| | February 28, 2011
| | Fiscal Year Ended
|
| | (Unaudited) | | August 31, 2010 |
|
FST Shares | | | | | | | | |
Shares sold | | | 26,366,485,991 | | | | 61,580,663,393 | |
Reinvestment of distributions | | | 836,479 | | | | 5,877,637 | |
Shares redeemed | | | (28,252,974,854 | ) | | | (68,696,813,544 | ) |
|
|
| | | (1,885,652,384 | ) | | | (7,110,272,514 | ) |
|
|
FST Select Shares | | | | | | | | |
Shares sold | | | 121,233,258 | | | | 155,979,906 | |
Reinvestment of distributions | | | 5,564 | | | | 44,331 | |
Shares redeemed | | | (113,938,725 | ) | | | (307,227,290 | ) |
|
|
| | | 7,300,097 | | | | (151,203,053 | ) |
|
|
FST Preferred Shares | | | | | | | | |
Shares sold | | | 179,783,436 | | | | 1,032,198,588 | |
Reinvestment of distributions | | | 8,652 | | | | 30,392 | |
Shares redeemed | | | (243,713,539 | ) | | | (1,258,819,909 | ) |
|
|
| | | (63,921,451 | ) | | | (226,590,929 | ) |
|
|
FST Capital Shares | | | | | | | | |
Shares sold | | | 332,289,985 | | | | 550,538,130 | |
Reinvestment of distributions | | | 1,208 | | | | 4,453 | |
Shares redeemed | | | (328,289,400 | ) | | | (635,846,866 | ) |
|
|
| | | 4,001,793 | | | | (85,304,283 | ) |
|
|
FST Administration Shares | | | | | | | | |
Shares sold | | | 806,361,620 | | | | 2,522,755,215 | |
Reinvestment of distributions | | | 11,349 | | | | 32,726 | |
Shares redeemed | | | (871,530,638 | ) | | | (2,841,138,645 | ) |
|
|
| | | (65,157,669 | ) | | | (318,350,704 | ) |
|
|
FST Premier Shares(a) | | | | | | | | |
Shares sold | | | 803,023,897 | | | | 1,531,348,319 | |
Reinvestment of distributions | | | 60,014 | | | | 8,265 | |
Shares redeemed | | | (840,413,425 | ) | | | (52,055,356 | ) |
|
|
| | | (37,329,514 | ) | | | 1,479,301,228 | |
|
|
FST Service Shares | | | | | | | | |
Shares sold | | | 1,966,392,244 | | | | 4,228,912,216 | |
Reinvestment of distributions | | | 14,169 | | | | 37,939 | |
Shares redeemed | | | (2,073,313,064 | ) | | | (4,341,918,929 | ) |
|
|
| | | (106,906,651 | ) | | | (112,968,774 | ) |
|
|
FST Resource Shares(a) | | | | | | | | |
Shares sold | | | — | | | | 1,000 | |
Reinvestment of distributions | | | — | | | | — | |
Shares redeemed | | | — | | | | — | |
|
|
| | | — | | | | 1,000 | |
|
|
FST Cash Management Shares(a) | | | | | | | | |
Shares sold | | | 281,283,361 | | | | 269,890,217 | |
Reinvestment of distributions | | | — | | | | — | |
Shares redeemed | | | (293,630,403 | ) | | | (59,723,077 | ) |
|
|
| | | (12,347,042 | ) | | | 210,167,140 | |
|
|
NET INCREASE (DECREASE) IN SHARES | | | (2,160,012,821 | ) | | | (6,315,220,889 | ) |
|
|
| | |
(a) | | FST Premier, FST Resource and FST Cash Management Shares commenced operations on May 14, 2010. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| | | | | | | | | | | | | | |
Government Fund | | Money Market Fund |
|
For the
| | | | For the
| | |
Six Months Ended
| | For the
| | Six Months Ended
| | For the
|
February 28, 2011
| | Fiscal Year Ended
| | February 28, 2011
| | Fiscal Year Ended
|
(Unaudited) | | August 31, 2010 | | (Unaudited) | | August 31, 2010 |
|
| | | | | | | | | | | | | | |
| 95,564,080,385 | | | | 234,435,096,510 | | | | 62,025,927,806 | | | | 108,081,839,741 | |
| 3,009,015 | | | | 11,723,500 | | | | 9,349,157 | | | | 15,626,524 | |
| (91,231,061,049 | ) | | | (260,201,777,183 | ) | | | (59,330,612,959 | ) | | | (114,464,612,774 | ) |
|
|
| 4,336,028,351 | | | | (25,754,957,173 | ) | | | 2,704,664,004 | | | | (6,367,146,509 | ) |
|
|
| | | | | | | | | | | | | | |
| 687,815,668 | | | | 1,861,462,623 | | | | 481,979,760 | | | | 1,364,508,787 | |
| 234,089 | | | | 928,980 | | | | 31,503 | | | | 50,891 | |
| (906,483,563 | ) | | | (2,855,102,505 | ) | | | (735,846,197 | ) | | | (1,039,138,594 | ) |
|
|
| (218,433,806 | ) | | | (992,710,902 | ) | | | (253,834,934 | ) | | | 325,421,084 | |
|
|
| | | | | | | | | | | | | | |
| 4,245,126,068 | | | | 6,701,619,562 | | | | 359,156,110 | | | | 462,674,841 | |
| 19,663 | | | | 66,635 | | | | 22,654 | | | | 28,886 | |
| (3,871,174,637 | ) | | | (6,791,368,012 | ) | | | (346,063,649 | ) | | | (453,298,839 | ) |
|
|
| 373,971,094 | | | | (89,681,815 | ) | | | 13,115,115 | | | | 9,404,888 | |
|
|
| | | | | | | | | | | | | | |
| 7,447,250,341 | | | | 14,682,546,426 | | | | 208,956,887 | | | | 516,976,285 | |
| 13,867 | | | | 58,676 | | | | 7,704 | | | | 16,016 | |
| (7,749,067,785 | ) | | | (14,845,375,161 | ) | | | (204,349,332 | ) | | | (511,355,894 | ) |
|
|
| (301,803,577 | ) | | | (162,770,059 | ) | | | 4,615,259 | | | | 5,636,407 | |
|
|
| | | | | | | | | | | | | | |
| 5,431,069,355 | | | | 9,762,142,919 | | | | 750,168,519 | | | | 3,188,439,969 | |
| 10,783 | | | | 30,716 | | | | 23,603 | | | | 68,016 | |
| (5,671,668,866 | ) | | | (10,581,645,343 | ) | | | (863,825,876 | ) | | | (3,823,262,000 | ) |
|
|
| (240,588,728 | ) | | | (819,471,708 | ) | | | (113,633,754 | ) | | | (634,754,015 | ) |
|
|
| | | | | | | | | | | | | | |
| — | | | | 1,000 | | | | — | | | | 1,000 | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | 1,000 | | | | — | | | | 1,000 | |
|
|
| | | | | | | | | | | | | | |
| 933,158,508 | | | | 2,540,369,009 | | | | 526,166,938 | | | | 786,938,378 | |
| 4,869 | | | | 20,695 | | | | 5,548 | | | | 25,504 | |
| (766,050,448 | ) | | | (2,668,760,790 | ) | | | (522,721,974 | ) | | | (1,086,051,777 | ) |
|
|
| 167,112,929 | | | | (128,371,086 | ) | | | 3,450,512 | | | | (299,087,895 | ) |
|
|
| | | | | | | | | | | | | | |
| 3 | | | | 1,000 | | | | 2 | | | | 1,000 | |
| — | | | | — | | | | — | | | | — | |
| (1 | ) | | | — | | | | (1 | ) | | | — | |
|
|
| 2 | | | | 1,000 | | | | 1 | | | | 1,000 | |
|
|
| | | | | | | | | | | | | | |
| — | | | | 1,000 | | | | — | | | | 1,001 | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | 1,000 | | | | — | | | | 1,001 | |
|
|
| 4,116,286,265 | | | | (27,947,959,743 | ) | | | 2,358,376,203 | | | | (6,960,523,039 | ) |
|
|
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
9. SUMMARY OF SHARE TRANSACTIONS (AT $1.00 PER SHARE) (continued) | |
Share activity is as follows:
| | | | | | | | |
| | Prime Obligations Fund |
| | |
| | For the
| | |
| | Six Months Ended
| | For the
|
| | February 28, 2011
| | Fiscal Year Ended
|
| | (Unaudited) | | August 31, 2010 |
|
FST Shares | | | | | | | | |
Shares sold | | | 49,180,925,563 | | | | 117,425,615,749 | |
Reinvestment of distributions | | | 6,875,532 | | | | 11,796,301 | |
Shares redeemed | | | (54,892,167,055 | ) | | | (125,216,039,121 | ) |
|
|
| | | (5,704,365,960 | ) | | | (7,778,627,071 | ) |
|
FST Select Shares | | | | | | | | |
Shares sold | | | 198,014,790 | | | | 545,405,225 | |
Reinvestment of distributions | | | 65,029 | | | | 92,808 | |
Shares redeemed | | | (161,677,333 | ) | | | (537,895,208 | ) |
|
|
| | | 36,402,486 | | | | 7,602,825 | |
|
FST Preferred Shares | | | | | | | | |
Shares sold | | | 2,703,589,912 | | | | 6,838,807,255 | |
Reinvestment of distributions | | | 40,623 | | | | 174,748 | |
Shares redeemed | | | (2,580,562,874 | ) | | | (7,714,669,619 | ) |
|
|
| | | 123,067,661 | | | | (875,687,616 | ) |
|
FST Capital Shares | | | | | | | | |
Shares sold | | | 1,405,433,282 | | | | 4,880,554,976 | |
Reinvestment of distributions | | | 6,010 | | | | 31,937 | |
Shares redeemed | | | (1,399,521,744 | ) | | | (5,122,989,608 | ) |
|
|
| | | 5,917,548 | | | | (242,402,695 | ) |
|
FST Administration Shares | | | | | | | | |
Shares sold | | | 6,330,402,221 | | | | 15,685,038,552 | |
Reinvestment of distributions | | | 17,898 | | | | 66,842 | |
Shares redeemed | | | (6,659,265,753 | ) | | | (16,476,837,481 | ) |
|
|
| | | (328,845,634 | ) | | | (791,732,087 | ) |
|
FST Premier Shares(a) | | | | | | | | |
Shares sold | | | — | | | | 1,000 | |
Reinvestment of distributions | | | — | | | | — | |
Shares redeemed | | | — | | | | — | |
|
|
| | | — | | | | 1,000 | |
|
FST Service Shares | | | | | | | | |
Shares sold | | | 2,617,373,748 | | | | 5,684,260,968 | |
Shares converted from Class B Shares(b) | | | 508,651 | | | | — | |
Reinvestment of distributions | | | 26,160 | | | | 61,176 | |
Shares redeemed | | | (2,603,981,112 | ) | | | (5,799,761,934 | ) |
|
|
| | | 13,927,447 | | | | (115,439,790 | ) |
|
FST Class B Shares(a) | | | | | | | | |
Shares sold | | | 2,415,040 | | | | 8,616,917 | |
Shares converted to Service Shares(b) | | | (508,651 | ) | | | — | |
Reinvestment of distributions | | | 279 | | | | 33 | |
Shares redeemed | | | (2,803,342 | ) | | | (789,681 | ) |
|
|
| | | (896,674 | ) | | | 7,827,269 | |
|
FST Class C Shares(a) | | | | | | | | |
Shares sold | | | 6,513,326 | | | | 31,168,349 | |
Reinvestment of distributions | | | 1,397 | | | | 242 | |
Shares redeemed | | | (9,193,208 | ) | | | (1,196,055 | ) |
|
|
| | | (2,678,485 | ) | | | 29,972,536 | |
|
FST Resource Shares(a) | | | | | | | | |
Shares sold | | | 54,568,778 | | | | 134,771,222 | |
Reinvestment of distributions | | | 7,329 | | | | 70 | |
Shares redeemed | | | (46,047,092 | ) | | | (7,817 | ) |
|
|
| | | 8,529,015 | | | | 134,763,475 | |
|
FST Cash Management Shares(a) | | | | | | | | |
Shares sold | | | — | | | | 1,000 | |
Reinvestment of distributions | | | — | | | | — | |
Shares redeemed | | | — | | | | — | |
|
|
| | | — | | | | 1,000 | |
|
NET INCREASE (DECREASE) IN SHARES | | | (5,848,942,596 | ) | | | (9,623,721,154 | ) |
|
| | |
(a) | | FST Premier, FST Resource, FST Cash Management (except for Tax-Exempt California and Tax-Exempt New York Funds), FST Class B and FST Class C Shares commenced operations on May 14, 2010. |
(b) | | Class B Shares will automatically convert into Service Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| | | | | | | | | | | | | | |
Tax-Exempt California Fund | | Tax-Exempt New York Fund |
|
For the
| | | | For the
| | |
Six Months Ended
| | For the
| | Six Months Ended
| | For the
|
February 28, 2011
| | Fiscal Year Ended
| | February 28, 2011
| | Fiscal Year Ended
|
(Unaudited) | | August 31, 2010 | | (Unaudited) | | August 31, 2010 |
|
| | | | | | | | | | | | | | |
| 62,292,121 | | | | 89,222,963 | | | | 39,168,554 | | | | 98,741,861 | |
| 8,721 | | | | 6,186 | | | | 9,321 | | | | 12,653 | |
| (55,058,667 | ) | | | (73,834,866 | ) | | | (52,538,607 | ) | | | (99,108,774 | ) |
|
|
| 7,242,175 | | | | 15,394,283 | | | | (13,360,732 | ) | | | (354,260 | ) |
|
| | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | — | | | | — | | | | — | |
|
| | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | — | | | | — | | | | — | |
|
| | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | — | | | | — | | | | — | |
|
| | | | | | | | | | | | | | |
| 401,550,977 | | | | 854,322,097 | | | | 204,195,581 | | | | 476,103,195 | |
| 14,938 | | | | 18,684 | | | | 31,206 | | | | 54,554 | |
| (398,914,778 | ) | | | (938,657,692 | ) | | | (203,793,450 | ) | | | (591,963,512 | ) |
|
|
| 2,651,137 | | | | (84,316,911 | ) | | | 433,337 | | | | (115,805,763 | ) |
|
| | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | — | | | | — | | | | — | |
|
| | | | | | | | | | | | | | |
| 90 | | | | 151 | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | 18 | |
| (90 | ) | | | (151 | ) | | | — | | | | (74,988 | ) |
|
|
| — | | | | — | | | | — | | | | (74,970 | ) |
|
| | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | — | | | | — | | | | — | |
|
| | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | — | | | | — | | | | — | |
|
| | | | | | | | | | | | | | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | — | | | | — | | | | — | |
|
| | | | | | | | | | | | | | |
| — | | | | 1 | | | | 5 | | | | 601 | |
| — | | | | — | | | | — | | | | 1 | |
| — | | | | (1 | ) | | | (5 | ) | | | (601 | ) |
|
|
| — | | | | — | | | | — | | | | 1 | |
|
| 9,893,312 | | | | (68,922,628 | ) | | | (12,927,395 | ) | | | (116,234,992 | ) |
|
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2011 (Unaudited)
| |
9. SUMMARY OF SHARE TRANSACTIONS (AT $1.00 PER SHARE) (continued) | |
Share activity is as follows:
| | | | | | | | |
| | Tax-Free Money Market Fund |
| | |
| | For the
| | |
| | Six Months Ended
| | For the
|
| | February 28, 2011
| | Fiscal Year Ended
|
| | (Unaudited) | | August 31, 2010 |
|
FST Shares | | | | | | | | |
Shares sold | | | 15,265,542,329 | | | | 29,228,214,988 | |
Reinvestment of distributions | | | 5,641,110 | | | | 10,603,503 | |
Shares redeemed | | | (14,221,362,217 | ) | | | (29,754,884,160 | ) |
|
|
| | | 1,049,821,222 | | | | (516,065,669 | ) |
|
|
FST Select Shares | | | | | | | | |
Shares sold | | | 54,795,579 | | | | 116,544,303 | |
Reinvestment of distributions | | | 34,557 | | | | 102,985 | |
Shares redeemed | | | (41,363,126 | ) | | | (150,457,574 | ) |
|
|
| | | 13,467,010 | | | | (33,810,286 | ) |
|
|
FST Preferred Shares | | | | | | | | |
Shares sold | | | 32,790,632 | | | | 76,905,101 | |
Reinvestment of distributions | | | 5,692 | | | | 14,557 | |
Shares redeemed | | | (48,363,617 | ) | | | (79,902,161 | ) |
|
|
| | | (15,567,293 | ) | | | (2,982,503 | ) |
|
|
FST Capital Shares | | | | | | | | |
Shares sold | | | 32,745,508 | | | | 170,196,387 | |
Reinvestment of distributions | | | 482 | | | | 1,374 | |
Shares redeemed | | | (33,100,395 | ) | | | (322,529,006 | ) |
|
|
| | | (354,405 | ) | | | (152,331,245 | ) |
|
|
FST Administration Shares | | | | | | | | |
Shares sold | | | 613,886,014 | | | | 1,702,709,551 | |
Reinvestment of distributions | | | 7,190 | | | | 14,709 | |
Shares redeemed | | | (652,018,507 | ) | | | (1,695,194,674 | ) |
|
|
| | | (38,125,303 | ) | | | 7,529,586 | |
|
|
FST Premier Shares(a) | | | | | | | | |
Shares sold | | | 1,372,749,251 | | | | 695,943,166 | |
Reinvestment of distributions | | | 75,025 | | | | 3,880 | |
Shares redeemed | | | (1,324,302,428 | ) | | | (151,672,188 | ) |
|
|
| | | 48,521,848 | | | | 544,274,858 | |
|
|
FST Service Shares | | | | | | | | |
Shares sold | | | 158,352,648 | | | | 393,045,139 | |
Reinvestment of distributions | | | 2,296 | | | | 5,455 | |
Shares redeemed | | | (173,015,390 | ) | | | (419,809,201 | ) |
|
|
| | | (14,660,446 | ) | | | (26,758,607 | ) |
|
|
FST Resource Shares(a) | | | | | | | | |
Shares sold | | | 22,846,725 | | | | 14,321,457 | |
Reinvestment of distributions | | | 1,852 | | | | 6 | |
Shares redeemed | | | (21,763,815 | ) | | | (40,828 | ) |
|
|
| | | 1,084,762 | | | | 14,280,635 | |
|
|
FST Cash Management Shares(a) | | | | | | | | |
Shares sold | | | 1 | | | | 1,000 | |
Reinvestment of distributions | | | — | | | | — | |
Shares redeemed | | | — | | | | — | |
|
|
| | | 1 | | | | 1,000 | |
|
|
NET INCREASE (DECREASE) IN SHARES | | | 1,044,187,396 | | | | (165,862,231 | ) |
|
|
| | |
(a) | | FST Premier, FST Resource and FST Cash Management Shares commenced operations on May 14, 2010. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| | | | | | | | | | | | | | |
Treasury Instruments Fund | | Treasury Obligations Fund |
|
For the
| | | | For the
| | |
Six Months Ended
| | For the
| | Six Months Ended
| | For the
|
February 28, 2011
| | Fiscal Year Ended
| | February 28, 2011
| | Fiscal Year Ended
|
(Unaudited) | | August 31, 2010 | | (Unaudited) | | August 31, 2010 |
|
| | | | | | | | | | | | | | |
| 30,071,054,981 | | | | 56,550,722,443 | | | | 28,852,940,790 | | | | 85,394,066,932 | |
| 417,157 | | | | 1,561,575 | | | | 513,739 | | | | 2,422,093 | |
| (30,437,282,941 | ) | | | (58,820,732,626 | ) | | | (29,089,345,245 | ) | | | (93,680,057,915 | ) |
|
|
| (365,810,803 | ) | | | (2,268,448,608 | ) | | | (235,890,716 | ) | | | (8,283,568,890 | ) |
|
|
| | | | | | | | | | | | | | |
| 907,250,951 | | | | 1,356,841,897 | | | | 239,001,589 | | | | 468,254,291 | |
| 9,430 | | | | 17,601 | | | | 10,900 | | | | 92,493 | |
| (776,904,873 | ) | | | (1,346,282,637 | ) | | | (256,485,307 | ) | | | (938,614,414 | ) |
|
|
| 130,355,508 | | | | 10,576,861 | | | | (17,472,818 | ) | | | (470,267,630 | ) |
|
|
| | | | | | | | | | | | | | |
| 654,418,093 | | | | 2,058,407,188 | | | | 677,118,597 | | | | 1,663,686,430 | |
| 8,824 | | | | 23,812 | | | | 6,603 | | | | 40,721 | |
| (697,282,253 | ) | | | (2,070,348,128 | ) | | | (704,051,665 | ) | | | (1,761,939,238 | ) |
|
|
| (42,855,336 | ) | | | (11,917,128 | ) | | | (26,926,465 | ) | | | (98,212,087 | ) |
|
|
| | | | | | | | | | | | | | |
| 225,573,744 | | | | 734,041,666 | | | | 221,971,563 | | | | 669,975,983 | |
| 3,028 | | | | 6,530 | | | | 4,366 | | | | 18,467 | |
| (166,586,199 | ) | | | (688,876,831 | ) | | | (282,716,989 | ) | | | (776,804,635 | ) |
|
|
| 58,990,573 | | | | 45,171,365 | | | | (60,741,060 | ) | | | (106,810,185 | ) |
|
|
| | | | | | | | | | | | | | |
| 1,933,051,246 | | | | 3,536,045,761 | | | | 6,057,875,704 | | | | 25,889,173,736 | |
| 27,954 | | | | 49,160 | | | | 17,180 | | | | 74,465 | |
| (2,191,036,229 | ) | | | (3,584,715,048 | ) | | | (6,321,641,838 | ) | | | (26,209,539,444 | ) |
|
|
| (257,957,029 | ) | | | (48,620,127 | ) | | | (263,748,954 | ) | | | (320,291,243 | ) |
|
|
| | | | | | | | | | | | | | |
| 216,321,895 | | | | 466,058,547 | | | | 88,063,094 | | | | 135,950,195 | |
| 14,835 | | | | 1,881 | | | | 5,279 | | | | 719 | |
| (180,031,647 | ) | | | (95,260,269 | ) | | | (71,670,103 | ) | | | (10,815,162 | ) |
|
|
| 36,305,083 | | | | 370,800,159 | | | | 16,398,270 | | | | 125,135,752 | |
|
|
| | | | | | | | | | | | | | |
| 614,409,313 | | | | 1,592,670,346 | | | | 2,574,890,393 | | | | 5,052,123,995 | |
| 5,788 | | | | 14,852 | | | | 15,984 | | | | 93,711 | |
| (643,914,586 | ) | | | (1,529,939,365 | ) | | | (2,545,100,214 | ) | | | (4,878,590,403 | ) |
|
|
| (29,499,485 | ) | | | 62,745,833 | | | | 29,806,163 | | | | 173,627,303 | |
|
|
| | | | | | | | | | | | | | |
| — | | | | 1,000 | | | | 2 | | | | 1,000 | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | (1 | ) | | | — | |
|
|
| — | | | | 1,000 | | | | 1 | | | | 1,000 | |
|
|
| | | | | | | | | | | | | | |
| — | | | | 1,000 | | | | — | | | | 1,000 | |
| — | | | | — | | | | — | | | | — | |
| — | | | | — | | | | — | | | | — | |
|
|
| — | | | | 1,000 | | | | — | | | | 1,000 | |
|
|
| (470,471,489 | ) | | | (1,839,689,645 | ) | | | (558,575,579 | ) | | | (8,980,384,980 | ) |
|
|
FINANCIAL SQUARE FEDERAL FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | — | (c) | | $ | — | (c) | | |
2011-FST Select Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Premier Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Resource Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Select Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Premier Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Resource Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | 0.002 | (f) | | | (0.002 | )(f) | | |
2009-FST Select Shares | | | 1.00 | | | | 0.002 | (f) | | | (0.002 | )(f) | | |
2009-FST Preferred Shares | | | 1.00 | | | | 0.002 | (f) | | | (0.002 | )(f) | | |
2009-FST Capital Shares | | | 1.00 | | | | 0.001 | (f) | | | (0.001 | )(f) | | |
2009-FST Administration Shares | | | 1.00 | | | | 0.001 | (f) | | | (0.001 | )(f) | | |
2009-FST Service Shares | | | 1.00 | | | | — | (c)(f) | | | — | (c)(f) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.025 | (f) | | | (0.025 | )(f) | | |
2008-FST Select Shares | | | 1.00 | | | | 0.024 | (f) | | | (0.024 | )(f) | | |
2008-FST Preferred Shares | | | 1.00 | | | | 0.024 | (f) | | | (0.024 | )(f) | | |
2008-FST Capital Shares | | | 1.00 | | | | 0.023 | (f) | | | (0.023 | )(f) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.022 | (f) | | | (0.022 | )(f) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.020 | (f) | | | (0.020 | )(f) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.050 | | | | (0.050 | ) | | |
2007-FST Select Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2007-FST Preferred Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2007-FST Capital Shares | | | 1.00 | | | | 0.048 | | | | (0.048 | ) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.045 | | | | (0.045 | ) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.048 | | | | (0.048 | ) | | |
2006-FST Select Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Preferred Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Capital Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.045 | | | | (0.045 | ) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.043 | | | | (0.043 | ) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Amount is less than 0.005% of average net assets. |
(f) | | Net investment income and distributions from net investment income contain $0.0002 and $(0.0002), and $0.0003 and $(0.0003), of net realized gains and distributions from net realized gains for the period ended August 31, 2009 and the fiscal year ended December 31, 2008, respectively. |
84 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE FEDERAL FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.01 | % | | $ | 11,072,854 | | | | 0.20 | %(d) | | | 0.23 | %(d) | | | 0.01 | %(d) | | |
| 1.00 | | | | 0.01 | | | | 112,547 | | | | 0.21 | (d) | | | 0.26 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 221,372 | | | | 0.21 | (d) | | | 0.33 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 76,410 | | | | 0.21 | (d) | | | 0.38 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 514,066 | | | | 0.21 | (d) | | | 0.48 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 1,441,991 | | | | 0.21 | (d) | | | 0.58 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 667,450 | | | | 0.21 | (d) | | | 0.73 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.21 | (d) | | | 0.88 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 197,823 | | | | 0.21 | (d) | | | 1.03 | (d) | | | — | (d)(e) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.05 | | | | 12,958,372 | | | | 0.20 | | | | 0.23 | | | | 0.03 | | | |
| 1.00 | | | | 0.02 | | | | 105,245 | | | | 0.22 | | | | 0.25 | | | | 0.01 | | | |
| 1.00 | | | | 0.01 | | | | 285,291 | | | | 0.24 | | | | 0.33 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 72,407 | | | | 0.24 | | | | 0.37 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 579,217 | | | | 0.25 | | | | 0.48 | | | | (0.01 | ) | | |
| 1.00 | | | �� | 0.01 | | | | 1,479,302 | | | | 0.24 | (d) | | | 0.58 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 774,348 | | | | 0.24 | | | | 0.73 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.20 | (d) | | | 0.73 | (d) | | | 0.06 | (d) | | |
| 1.00 | | | | 0.01 | | | | 210,167 | | | | 0.24 | (d) | | | 1.03 | (d) | | | 0.01 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.22 | | | | 20,069,801 | | | | 0.21 | (d) | | | 0.24 | (d) | | | 0.32 | (d) | | |
| 1.00 | | | | 0.20 | | | | 256,463 | | | | 0.24 | (d) | | | 0.27 | (d) | | | 0.24 | (d) | | |
| 1.00 | | | | 0.15 | | | | 511,911 | | | | 0.31 | (d) | | | 0.34 | (d) | | | 0.19 | (d) | | |
| 1.00 | | | | 0.12 | | | | 157,721 | | | | 0.36 | (d) | | | 0.39 | (d) | | | 0.09 | (d) | | |
| 1.00 | | | | 0.07 | | | | 897,620 | | | | 0.44 | (d) | | | 0.49 | (d) | | | 0.10 | (d) | | |
| 1.00 | | | | 0.02 | | | | 887,368 | | | | 0.53 | (d) | | | 0.74 | (d) | | | — | (d)(e) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 2.48 | | | | 31,185,150 | | | | 0.21 | | | | 0.24 | | | | 2.34 | | | |
| 1.00 | | | | 2.45 | | | | 89,863 | | | | 0.24 | | | | 0.27 | | | | 2.29 | | | |
| 1.00 | | | | 2.38 | | | | 491,371 | | | | 0.31 | | | | 0.34 | | | | 2.32 | | | |
| 1.00 | | | | 2.33 | | | | 36,379 | | | | 0.36 | | | | 0.39 | | | | 1.99 | | | |
| 1.00 | | | | 2.22 | | | | 1,470,423 | | | | 0.46 | | | | 0.49 | | | | 2.01 | | | |
| 1.00 | | | | 1.97 | | | | 1,331,954 | | | | 0.71 | | | | 0.74 | | | | 1.88 | | | |
|
| 1.00 | | | | 5.07 | | | | 15,074,711 | | | | 0.20 | | | | 0.23 | | | | 4.92 | | | |
| 1.00 | | | | 5.04 | | | | 1 | | | | 0.23 | | | | 0.26 | | | | 4.91 | | | |
| 1.00 | | | | 4.97 | | | | 315,256 | | | | 0.30 | | | | 0.33 | | | | 4.80 | | | |
| 1.00 | | | | 4.91 | | | | 7,941 | | | | 0.35 | | | | 0.38 | | | | 4.77 | | | |
| 1.00 | | | | 4.81 | | | | 586,405 | | | | 0.45 | | | | 0.48 | | | | 4.71 | | | |
| 1.00 | | | | 4.55 | | | | 946,214 | | | | 0.70 | | | | 0.73 | | | | 4.42 | | | |
|
| 1.00 | | | | 4.87 | | | | 8,565,756 | | | | 0.20 | | | | 0.23 | | | | 4.77 | | | |
| 1.00 | | | | 4.84 | | | | 1 | | | | 0.23 | | | | 0.26 | | | | 4.60 | | | |
| 1.00 | | | | 4.77 | | | | 132,530 | | | | 0.30 | | | | 0.33 | | | | 4.66 | | | |
| 1.00 | | | | 4.72 | | | | 3,613 | | | | 0.35 | | | | 0.38 | | | | 4.62 | | | |
| 1.00 | | | | 4.61 | | | | 754,867 | | | | 0.45 | | | | 0.48 | | | | 4.54 | | | |
| 1.00 | | | | 4.35 | | | | 778,820 | | | | 0.70 | | | | 0.73 | | | | 4.27 | | | |
|
The accompanying notes are an integral part of these financial statements. 85
FINANCIAL SQUARE GOVERNMENT FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | — | (c) | | $ | — | (c) | | |
2011-FST Select Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Premier Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Resource Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Premier Shares (Commenced on May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Resource Shares (Commenced on May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares (Commenced on May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | 0.003 | (e) | | | (0.003 | )(e) | | |
2009-FST Select Shares | | | 1.00 | | | | 0.003 | (e) | | | (0.003 | )(e) | | |
2009-FST Preferred Shares | | | 1.00 | | | | 0.002 | (e) | | | (0.002 | )(e) | | |
2009-FST Capital Shares | | | 1.00 | | | | 0.002 | (e) | | | (0.002 | )(e) | | |
2009-FST Administration Shares | | | 1.00 | | | | 0.001 | (e) | | | (0.001 | )(e) | | |
2009-FST Service Shares | | | 1.00 | | | | 0.001 | (e) | | | (0.001 | )(e) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.025 | (e) | | | (0.025 | )(e) | | |
2008-FST Select Shares | | | 1.00 | | | | 0.025 | (e) | | | (0.025 | )(e) | | |
2008-FST Preferred Shares | | | 1.00 | | | | 0.024 | (e) | | | (0.024 | )(e) | | |
2008-FST Capital Shares | | | 1.00 | | | | 0.023 | (e) | | | (0.023 | )(e) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.022 | (e) | | | (0.022 | )(e) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.020 | (e) | | | (0.020 | )(e) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.050 | | | | (0.050 | ) | | |
2007-FST Select Shares | | | 1.00 | | | | 0.050 | | | | (0.050 | ) | | |
2007-FST Preferred Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2007-FST Capital Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.045 | | | | (0.045 | ) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2006-FST Select Shares | | | 1.00 | | | | 0.048 | | | | (0.048 | ) | | |
2006-FST Preferred Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Capital Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.043 | | | | (0.043 | ) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Net investment income and distributions from net investment income contain $0.0005, $(0.0005), $0.001 and $(0.001) of net realized capital gains and distributions from net realized gains for the period ended August 31, 2009 and the fiscal year ended December 31, 2008, respectively. |
86 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE GOVERNMENT FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.04 | % | | $ | 30,472,115 | | | | 0.18 | %(d) | | | 0.23 | %(d) | | | 0.07 | %(d) | | |
| 1.00 | | | | 0.02 | | | | 1,006,923 | | | | 0.21 | (d) | | | 0.26 | (d) | | | 0.04 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1,157,437 | | | | 0.24 | (d) | | | 0.33 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 557,788 | | | | 0.24 | (d) | | | 0.38 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 2,156,941 | | | | 0.24 | (d) | | | 0.48 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.18 | (d) | | | 0.58 | (d) | | | 0.23 | (d) | | |
| 1.00 | | | | 0.01 | | | | 544,251 | | | | 0.24 | (d) | | | 0.73 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.18 | (d) | | | 0.88 | (d) | | | 0.23 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.18 | (d) | | | 1.03 | (d) | | | (0.23 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.08 | | | | 26,136,102 | | | | 0.18 | | | | 0.23 | | | | 0.06 | | | |
| 1.00 | | | | 0.05 | | | | 1,225,360 | | | | 0.21 | | | | 0.26 | | | | 0.03 | | | |
| 1.00 | | | | 0.02 | | | | 783,466 | | | | 0.25 | | | | 0.33 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 859,594 | | | | 0.25 | | | | 0.38 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 2,397,534 | | | | 0.25 | | | | 0.48 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.18 | (d) | | | 0.58 | (d) | | | 0.25 | (d) | | |
| 1.00 | | | | 0.01 | | | | 377,138 | | | | 0.25 | | | | 0.73 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.18 | (d) | | | 0.73 | (d) | | | 0.25 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.30 | (d) | | | 1.03 | (d) | | | 0.18 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.29 | | | | 51,896,720 | | | | 0.19 | (d) | | | 0.24 | (d) | | | 0.35 | (d) | | |
| 1.00 | | | | 0.27 | | | | 2,218,312 | | | | 0.22 | (d) | | | 0.27 | (d) | | | 0.30 | (d) | | |
| 1.00 | | | | 0.22 | | | | 873,242 | | | | 0.29 | (d) | | | 0.34 | (d) | | | 0.26 | (d) | | |
| 1.00 | | | | 0.19 | | | | 1,022,472 | | | | 0.34 | (d) | | | 0.39 | (d) | | | 0.23 | (d) | | |
| 1.00 | | | | 0.13 | | | | 3,217,353 | | | | 0.43 | (d) | | | 0.49 | (d) | | | 0.13 | (d) | | |
| 1.00 | | | | 0.05 | | | | 505,564 | | | | 0.58 | (d) | | | 0.74 | (d) | | | (0.01 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 2.51 | | | | 48,835,964 | | | | 0.19 | | | | 0.24 | | | | 2.17 | | | |
| 1.00 | | | | 2.48 | | | | 1,222,242 | | | | 0.22 | | | | 0.27 | | | | 2.24 | | | |
| 1.00 | | | | 2.41 | | | | 1,022,324 | | | | 0.29 | | | | 0.34 | | | | 2.28 | | | |
| 1.00 | | | | 2.36 | | | | 1,256,106 | | | | 0.34 | | | | 0.39 | | | | 2.15 | | | |
| 1.00 | | | | 2.25 | | | | 3,995,979 | | | | 0.44 | | | | 0.49 | | | | 2.06 | | | |
| 1.00 | | | | 2.00 | | | | 676,581 | | | | 0.69 | | | | 0.74 | | | | 1.85 | | | |
|
| 1.00 | | | | 5.13 | | | | 9,944,020 | | | | 0.18 | | | | 0.24 | | | | 4.88 | | | |
| 1.00 | | | | 5.10 | | | | 438,264 | | | | 0.21 | | | | 0.27 | | | | 4.79 | | | |
| 1.00 | | | | 5.03 | | | | 666,779 | | | | 0.28 | | | | 0.34 | | | | 4.87 | | | |
| 1.00 | | | | 4.97 | | | | 354,687 | | | | 0.33 | | | | 0.39 | | | | 4.69 | | | |
| 1.00 | | | | 4.87 | | | | 1,886,834 | | | | 0.43 | | | | 0.49 | | | | 4.72 | | | |
| 1.00 | | | | 4.61 | | | | 407,134 | | | | 0.68 | | | | 0.74 | | | | 4.52 | | | |
|
| 1.00 | | | | 4.95 | | | | 3,117,679 | | | | 0.18 | | | | 0.24 | | | | 4.89 | | | |
| 1.00 | | | | 4.92 | | | | 82,500 | | | | 0.21 | | | | 0.27 | | | | 4.83 | | | |
| 1.00 | | | | 4.85 | | | | 384,397 | | | | 0.28 | | | | 0.34 | | | | 4.74 | | | |
| 1.00 | | | | 4.80 | | | | 153,254 | | | | 0.33 | | | | 0.39 | | | | 4.71 | | | |
| 1.00 | | | | 4.69 | | | | 1,150,955 | | | | 0.43 | | | | 0.49 | | | | 4.60 | | | |
| 1.00 | | | | 4.43 | | | | 374,543 | | | | 0.68 | | | | 0.74 | | | | 4.38 | | | |
|
The accompanying notes are an integral part of these financial statements. 87
FINANCIAL SQUARE MONEY MARKET FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | 0.001 | | | $ | (0.001 | ) | | |
2011-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2011-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Premier Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Resource Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Premier Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Resource Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | 0.004 | (f) | | | (0.004 | )(f) | | |
2009-FST Select Shares | | | 1.00 | | | | 0.004 | (f) | | | (0.004 | )(f) | | |
2009-FST Preferred Shares | | | 1.00 | | | | 0.003 | (f) | | | (0.003 | )(f) | | |
2009-FST Capital Shares | | | 1.00 | | | | 0.003 | (f) | | | (0.003 | )(f) | | |
2009-FST Administration Shares | | | 1.00 | | | | 0.002 | (f) | | | (0.002 | )(f) | | |
2009-FST Service Shares | | | 1.00 | | | | 0.001 | (f) | | | (0.001 | )(f) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.027 | | | | (0.027 | ) | | |
2008-FST Select Shares | | | 1.00 | | | | 0.026 | | | | (0.026 | ) | | |
2008-FST Preferred Shares | | | 1.00 | | | | 0.026 | | | | (0.026 | ) | | |
2008-FST Capital Shares | | | 1.00 | | | | 0.025 | | | | (0.025 | ) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.024 | | | | (0.024 | ) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.022 | | | | (0.022 | ) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.051 | | | | (0.051 | ) | | |
2007-FST Select Shares | | | 1.00 | | | | 0.051 | | | | (0.051 | ) | | |
2007-FST Preferred Shares | | | 1.00 | | | | 0.050 | | | | (0.050 | ) | | |
2007-FST Capital Shares | | | 1.00 | | | | 0.050 | | | | (0.050 | ) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2006-FST Select Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2006-FST Preferred Shares | | | 1.00 | | | | 0.048 | | | | (0.048 | ) | | |
2006-FST Capital Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.044 | | | | (0.044 | ) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Amount is less than 0.005% of average net assets. |
(f) | | Net investment income and distributions from net investment income contain $0.0001 and $(0.0001) of net realized gains and distributions from net realized gains for the period ended August 31, 2009. |
88 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE MONEY MARKET FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.08 | % | | $ | 18,215,166 | | | | 0.18 | %(d) | | | 0.23 | %(d) | | | 0.16 | %(d) | | |
| 1.00 | | | | 0.07 | | | | 114,362 | | | | 0.21 | (d) | | | 0.26 | (d) | | | 0.14 | (d) | | |
| 1.00 | | | | 0.03 | | | | 110,188 | | | | 0.28 | (d) | | | 0.33 | (d) | | | 0.06 | (d) | | |
| 1.00 | | | | 0.01 | | | | 86,256 | | | | 0.32 | (d) | | | 0.38 | (d) | | | 0.02 | (d) | | |
| 1.00 | | | | 0.01 | | | | 666,697 | | | | 0.34 | (d) | | | 0.48 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.30 | (d) | | | 0.58 | (d) | | | 0.18 | (d) | | |
| 1.00 | | | | 0.01 | | | | 176,812 | | | | 0.34 | (d) | | | 0.73 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.38 | (d) | | | 0.88 | (d) | | | 0.30 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.61 | (d) | | | 1.03 | (d) | | | (0.36 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.13 | | | | 15,510,366 | | | | 0.18 | | | | 0.23 | | | | 0.10 | | | |
| 1.00 | | | | 0.10 | | | | 368,196 | | | | 0.21 | | | | 0.26 | | | | 0.11 | | | |
| 1.00 | | | | 0.04 | | | | 97,072 | | | | 0.27 | | | | 0.33 | | | | 0.03 | | | |
| 1.00 | | | | 0.02 | | | | 81,640 | | | | 0.29 | | | | 0.38 | | | | — | (e) | | |
| 1.00 | | | | 0.01 | | | | 780,326 | | | | 0.30 | | | | 0.48 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.40 | (d) | | | 0.58 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 173,360 | | | | 0.29 | | | | 0.73 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.18 | (d) | | | 0.73 | (d) | | | 0.31 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.48 | (d) | | | 0.97 | (d) | | | (0.22 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.38 | | | | 21,878,982 | | | | 0.21 | (d) | | | 0.26 | (d) | | | 0.55 | (d) | | |
| 1.00 | | | | 0.36 | | | | 42,778 | | | | 0.24 | (d) | | | 0.29 | (d) | | | 0.60 | (d) | | |
| 1.00 | | | | 0.32 | | | | 87,673 | | | | 0.31 | (d) | | | 0.36 | (d) | | | 0.46 | (d) | | |
| 1.00 | | | | 0.28 | | | | 76,008 | | | | 0.36 | (d) | | | 0.41 | (d) | | | 0.38 | (d) | | |
| 1.00 | | | | 0.22 | | | | 1,415,175 | | | | 0.45 | (d) | | | 0.51 | (d) | | | 0.23 | (d) | | |
| 1.00 | | | | 0.11 | | | | 472,480 | | | | 0.62 | (d) | | | 0.76 | (d) | | | 0.15 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 2.70 | | | | 18,340,321 | | | | 0.19 | | | | 0.24 | | | | 2.74 | | | |
| 1.00 | | | | 2.67 | | | | 54,085 | | | | 0.22 | | | | 0.27 | | | | 2.80 | | | |
| 1.00 | | | | 2.60 | | | | 87,841 | | | | 0.29 | | | | 0.34 | | | | 2.75 | | | |
| 1.00 | | | | 2.54 | | | | 50,112 | | | | 0.34 | | | | 0.39 | | | | 2.59 | | | |
| 1.00 | | | | 2.44 | | | | 684,773 | | | | 0.44 | | | | 0.49 | | | | 2.51 | | | |
| 1.00 | | | | 2.19 | | | | 559,707 | | | | 0.69 | | | | 0.74 | | | | 2.24 | | | |
|
| 1.00 | | | | 5.26 | | | | 22,000,123 | | | | 0.18 | | | | 0.23 | | | | 5.12 | | | |
| 1.00 | | | | 5.23 | | | | 82,832 | | | | 0.21 | | | | 0.26 | | | | 5.14 | | | |
| 1.00 | | | | 5.15 | | | | 161,635 | | | | 0.28 | | | | 0.33 | | | | 5.02 | | | |
| 1.00 | | | | 5.10 | | | | 54,022 | | | | 0.33 | | | | 0.38 | | | | 4.92 | | | |
| 1.00 | | | | 5.00 | | | | 1,175,106 | | | | 0.43 | | | | 0.48 | | | | 4.87 | | | |
| 1.00 | | | | 4.74 | | | | 648,195 | | | | 0.68 | | | | 0.73 | | | | 4.63 | | | |
|
| 1.00 | | | | 4.99 | | | | 13,911,751 | | | | 0.18 | | | | 0.23 | | | | 4.92 | | | |
| 1.00 | | | | 4.96 | | | | 28,066 | | | | 0.21 | | | | 0.26 | | | | 4.87 | | | |
| 1.00 | | | | 4.89 | | | | 97,638 | | | | 0.28 | | | | 0.33 | | | | 4.80 | | | |
| 1.00 | | | | 4.84 | | | | 13,006 | | | | 0.33 | | | | 0.38 | | | | 4.69 | | | |
| 1.00 | | | | 4.73 | | | | 616,511 | | | | 0.43 | | | | 0.48 | | | | 4.65 | | | |
| 1.00 | | | | 4.47 | | | | 486,455 | | | | 0.68 | | | | 0.73 | | | | 4.42 | | | |
|
The accompanying notes are an integral part of these financial statements. 89
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | 0.001 | | | $ | (0.001 | ) | | |
2011-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2011-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Premier Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Class B Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Class C Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Resource Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Premier Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Class B Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Class C Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Resource Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | 0.003 | | | | (0.003 | ) | | |
2009-FST Select Shares | | | 1.00 | | | | 0.003 | | | | (0.003 | ) | | |
2009-FST Preferred Shares | | | 1.00 | | | | 0.003 | | | | (0.003 | ) | | |
2009-FST Capital Shares | | | 1.00 | | | | 0.002 | | | | (0.002 | ) | | |
2009-FST Administration Shares | | | 1.00 | | | | 0.002 | | | | (0.002 | ) | | |
2009-FST Service Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.026 | (e) | | | (0.026 | ) | | |
2008-FST Select Shares | | | 1.00 | | | | 0.026 | (e) | | | (0.026 | ) | | |
2008-FST Preferred Shares | | | 1.00 | | | | 0.025 | (e) | | | (0.025 | ) | | |
2008-FST Capital Shares | | | 1.00 | | | | 0.025 | (e) | | | (0.025 | ) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.024 | (e) | | | (0.024 | ) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.021 | (e) | | | (0.021 | ) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.052 | | | | (0.052 | ) | | |
2007-FST Select Shares | | | 1.00 | | | | 0.051 | | | | (0.051 | ) | | |
2007-FST Preferred Shares | �� | | 1.00 | | | | 0.051 | | | | (0.051 | ) | | |
2007-FST Capital Shares | | | 1.00 | | | | 0.050 | | | | (0.050 | ) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2006-FST Select Shares | | | 1.00 | | | | 0.049 | | | | (0.049 | ) | | |
2006-FST Preferred Shares | | | 1.00 | | | | 0.048 | | | | (0.048 | ) | | |
2006-FST Capital Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.044 | | | | (0.044 | ) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Reflects an increase of $0.002 per share and 0.22%, as a result of a voluntary and irrevocable capital infusion by Goldman Sachs. |
90 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.07 | % | | $ | 17,272,861 | | | | 0.18 | %(d) | | | 0.23 | %(d) | | | 0.13 | %(d) | | |
| 1.00 | | | | 0.05 | | | | 143,250 | | | | 0.21 | (d) | | | 0.26 | (d) | | | 0.10 | (d) | | |
| 1.00 | | | | 0.02 | | | | 473,547 | | | | 0.28 | (d) | | | 0.33 | (d) | | | 0.04 | (d) | | |
| 1.00 | | | | 0.01 | | | | 331,564 | | | | 0.30 | (d) | | | 0.38 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 2,865,820 | | | | 0.30 | (d) | | | 0.48 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.19 | (d) | | | 0.58 | (d) | | | 0.28 | (d) | | |
| 1.00 | | | | 0.01 | | | | 771,746 | | | | 0.30 | (d) | | | 0.73 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 6,931 | | | | 0.30 | (d) | | | 1.23 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 27,294 | | | | 0.30 | (d) | | | 1.23 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 143,291 | | | | 0.30 | (d) | | | 0.88 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.37 | (d) | | | 1.03 | (d) | | | (0.25 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.12 | | | | 22,977,394 | | | | 0.18 | | | | 0.23 | | | | 0.10 | | | |
| 1.00 | | | | 0.09 | | | | 106,849 | | | | 0.21 | | | | 0.26 | | | | 0.06 | | | |
| 1.00 | | | | 0.04 | | | | 350,484 | | | | 0.26 | | | | 0.33 | | | | 0.01 | | | |
| 1.00 | | | | 0.02 | | | | 325,649 | | | | 0.28 | | | | 0.38 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 3,194,694 | | | | 0.29 | | | | 0.48 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.34 | (d) | | | 0.58 | (d) | | | 0.11 | (d) | | |
| 1.00 | | | | 0.01 | | | | 757,826 | | | | 0.29 | | | | 0.73 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 7,827 | | | | 0.36 | (d) | | | 1.23 | (d) | | | 0.02 | (d) | | |
| 1.00 | | | | 0.01 | | | | 29,973 | | | | 0.36 | (d) | | | 1.23 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 134,763 | | | | 0.35 | (d) | | | 0.73 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.36 | (d) | | | 1.03 | (d) | | | (0.37 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.32 | | | | 30,756,777 | | | | 0.23 | (d) | | | 0.28 | (d) | | | 0.47 | (d) | | |
| 1.00 | | | | 0.30 | | | | 99,249 | | | | 0.26 | (d) | | | 0.31 | (d) | | | 0.48 | (d) | | |
| 1.00 | | | | 0.25 | | | | 1,226,201 | | | | 0.33 | (d) | | | 0.38 | (d) | | | 0.40 | (d) | | |
| 1.00 | | | | 0.22 | | | | 568,066 | | | | 0.38 | (d) | | | 0.43 | (d) | | | 0.37 | (d) | | |
| 1.00 | | | | 0.16 | | | | 3,986,524 | | | | 0.47 | (d) | | | 0.53 | (d) | | | 0.24 | (d) | | |
| 1.00 | | | | 0.06 | | | | 873,287 | | | | 0.63 | (d) | | | 0.78 | (d) | | | 0.12 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 2.64 | (d) | | | 25,218,329 | | | | 0.19 | | | | 0.24 | | | | 2.72 | | | |
| 1.00 | | | | 2.61 | (d) | | | 95,807 | | | | 0.22 | | | | 0.27 | | | | 2.77 | | | |
| 1.00 | | | | 2.54 | (d) | | | 1,385,336 | | | | 0.29 | | | | 0.34 | | | | 2.55 | | | |
| 1.00 | | | | 2.49 | (d) | | | 777,173 | | | | 0.34 | | | | 0.39 | | | | 2.48 | | | |
| 1.00 | | | | 2.39 | (d) | | | 4,060,108 | | | | 0.44 | | | | 0.49 | | | | 2.45 | | | |
| 1.00 | | | | 2.13 | (d) | | | 1,398,311 | | | | 0.69 | | | | 0.74 | | | | 2.19 | | | |
|
| 1.00 | | | | 5.28 | | | | 36,224,153 | | | | 0.18 | | | | 0.23 | | | | 5.13 | | | |
| 1.00 | | | | 5.24 | | | | 267,150 | | | | 0.21 | | | | 0.26 | | | | 5.13 | | | |
| 1.00 | | | | 5.17 | | | | 1,154,660 | | | | 0.28 | | | | 0.33 | | | | 5.05 | | | |
| 1.00 | | | | 5.12 | | | | 787,305 | | | | 0.33 | | | | 0.38 | | | | 5.00 | | | |
| 1.00 | | | | 5.01 | | | | 5,865,430 | | | | 0.43 | | | | 0.48 | | | | 4.90 | | | |
| 1.00 | | | | 4.75 | | | | 2,097,006 | | | | 0.68 | | | | 0.73 | | | | 4.65 | | | |
|
| 1.00 | | | | 4.99 | | | | 18,138,487 | | | | 0.18 | | | | 0.23 | | | | 4.88 | | | |
| 1.00 | | | | 4.96 | | | | 290,680 | | | | 0.21 | | | | 0.26 | | | | 4.94 | | | |
| 1.00 | | | | 4.89 | | | | 1,772,244 | | | | 0.28 | | | | 0.33 | | | | 4.79 | | | |
| 1.00 | | | | 4.83 | | | | 588,310 | | | | 0.33 | | | | 0.38 | | | | 4.78 | | | |
| 1.00 | | | | 4.73 | | | | 4,610,331 | | | | 0.43 | | | | 0.48 | | | | 4.64 | | | |
| 1.00 | | | | 4.47 | | | | 1,679,837 | | | | 0.68 | | | | 0.73 | | | | 4.41 | | | |
|
The accompanying notes are an integral part of these financial statements. 91
FINANCIAL SQUARE TAX-EXEMPT CALIFORNIA FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | — | (c) | | $ | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1, TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2009-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2009-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2009-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.016 | | | | (0.016 | )(e) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.014 | | | | (0.014 | )(e) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.012 | | | | (0.012 | )(e) | | |
2008-FST Cash Management Shares | | | 1.00 | | | | 0.011 | | | | (0.011 | )(e) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.031 | | | | (0.031 | )(e) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.030 | | | | (0.030 | )(e) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.027 | | | | (0.027 | )(e) | | |
2007-FST Cash Management Shares | | | 1.00 | | | | 0.026 | | | | (0.026 | )(e) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.029 | | | | (0.029 | )(e) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.028 | | | | (0.028 | )(e) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.026 | | | | (0.026 | )(e) | | |
2006-FST Cash Management Shares | | | 1.00 | | | | 0.023 | | | | (0.023 | )(e) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Amount includes $0.00021, $0.00007 and $0.00028 of distributions from net realized gains for the fiscal years ended December 31, 2008, December 31, 2007 and December 31, 2006, respectively. |
92 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-EXEMPT CALIFORNIA FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.01 | % | | $ | 90,557 | | | | 0.29 | %(d) | | | 0.50 | %(d) | | | 0.01 | %(d) | | |
| 1.00 | | | | 0.01 | | | | 163,043 | | | | 0.29 | (d) | | | 0.65 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 2 | | | | 0.29 | (d) | | | 0.90 | (d) | | | 0.05 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.29 | (d) | | | 1.50 | (d) | | | (0.07 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.01 | | | | 83,316 | | | | 0.30 | | | | 0.46 | | | | 0.01 | | | |
| 1.00 | | | | 0.01 | | | | 160,396 | | | | 0.30 | | | | 0.61 | | | | 0.01 | | | |
| 1.00 | | | | 0.01 | | | | 2 | | | | 0.30 | | | | 0.86 | | | | 0.04 | | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.30 | | | | 0.96 | | | | (0.08 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.04 | | | | 67,911 | | | | 0.44 | (d) | | | 0.49 | (d) | | | 0.06 | (d) | | |
| 1.00 | | | | 0.01 | | | | 244,701 | | | | 0.49 | (d) | | | 0.64 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 2 | | | | 0.52 | (d) | | | 0.89 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.52 | (d) | | | 1.49 | (d) | | | (0.09 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 1.60 | | | | 147,340 | | | | 0.44 | | | | 0.46 | | | | 1.56 | | | |
| 1.00 | | | | 1.45 | | | | 499,754 | | | | 0.59 | | | | 0.61 | | | | 1.42 | | | |
| 1.00 | | | | 1.21 | | | | 445 | | | | 0.82 | | | | 0.86 | | | | 0.72 | | | |
| 1.00 | | | | 1.05 | | | | 1 | | | | 0.84 | | | | 1.46 | | | | 1.18 | | | |
|
| 1.00 | | | | 3.20 | | | | 176,449 | | | | 0.43 | | | | 0.44 | | | | 3.14 | | | |
| 1.00 | | | | 3.05 | | | | 494,463 | | | | 0.58 | | | | 0.59 | | | | 2.99 | | | |
| 1.00 | | | | 2.79 | | | | 2 | | | | 0.83 | | | | 0.84 | | | | 2.73 | | | |
| 1.00 | | | | 2.62 | | | | 1 | | | | 1.00 | | | | 1.44 | | | | 2.64 | | | |
|
| 1.00 | | | | 3.03 | | | | 130,302 | | | | 0.43 | | | | 0.44 | | | | 2.90 | | | |
| 1.00 | | | | 2.87 | | | | 420,875 | | | | 0.58 | | | | 0.59 | | | | 2.82 | | | |
| 1.00 | | | | 2.62 | | | | 2 | | | | 0.83 | | | | 0.84 | | | | 2.56 | | | |
| 1.00 | | | | 2.44 | | | | 10 | | | | 1.00 | | | | 1.44 | | | | 2.35 | | | |
|
The accompanying notes are an integral part of these financial statements. 93
FINANCIAL SQUARE TAX-EXEMPT NEW YORK FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | — | (c) | | $ | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2009-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2009-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2009-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.017 | | | | (0.017 | )(e) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.015 | | | | (0.015 | )(e) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.013 | | | | (0.013 | )(e) | | |
2008-FST Cash Management Shares | | | 1.00 | | | | 0.011 | | | | (0.011 | )(e) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.032 | | | | (0.032 | )(e) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.030 | | | | (0.030 | )(e) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.028 | | | | (0.028 | )(e) | | |
2007-FST Cash Management Shares | | | 1.00 | | | | 0.026 | | | | (0.026 | )(e) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.030 | | | | (0.030 | )(e) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.029 | | | | (0.029 | )(e) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.027 | | | | (0.027 | )(e) | | |
2006-FST Cash Management Shares | | | 1.00 | | | | 0.023 | | | | (0.023 | )(e) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Amount includes $0.0003, $0.00005 and $0.00008 of distributions from net realized gains for the fiscal years ended December 31, 2008, December 31, 2007 and December 31, 2006, respectively. |
94 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-EXEMPT NEW YORK FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.03 | % | | $ | 36,488 | | | | 0.27 | %(d) | | | 0.58 | %(d) | | | 0.01 | %(d) | | |
| 1.00 | | | | 0.03 | | | | 127,803 | | | | 0.27 | (d) | | | 0.73 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.03 | | | | 1 | | | | 0.27 | (d) | | | 0.98 | (d) | | | 0.20 | (d) | | |
| 1.00 | | | | 0.03 | | | | 1 | | | | 0.27 | (d) | | | 1.58 | (d) | | | (0.14 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.03 | | | | 49,859 | | | | 0.30 | | | | 0.46 | | | | 0.01 | | | |
| 1.00 | | | | 0.03 | | | | 127,395 | | | | 0.30 | | | | 0.61 | | | | 0.01 | | | |
| 1.00 | | | | 0.03 | | | | 1 | | | | 0.30 | | | | 0.86 | | | | 0.01 | | | |
| 1.00 | | | | 0.03 | | | | 1 | | | | 0.30 | | | | 0.96 | | | | (0.03 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.04 | | | | 50,211 | | | | 0.42 | (d) | | | 0.49 | (d) | | | 0.07 | (d) | | |
| 1.00 | | | | 0.01 | | | | 243,215 | | | | 0.47 | (d) | | | 0.64 | (d) | | | 0.02 | (d) | | |
| 1.00 | | | | 0.01 | | | | 76 | | | | 0.47 | (d) | | | 0.89 | (d) | | | 0.02 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.48 | (d) | | | 1.49 | (d) | | | 0.02 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 1.70 | | | | 76,958 | | | | 0.44 | | | | 0.47 | | | | 1.67 | | | |
| 1.00 | | | | 1.55 | | | | 418,830 | | | | 0.59 | | | | 0.62 | | | | 1.48 | | | |
| 1.00 | | | | 1.30 | | | | 76 | | | | 0.84 | | | | 0.87 | | | | 1.41 | | | |
| 1.00 | | | | 1.14 | | | | 1 | | | | 0.90 | | | | 1.47 | | | | 1.11 | | | |
|
| 1.00 | | | | 3.24 | | | | 56,353 | | | | 0.43 | | | | 0.46 | | | | 3.20 | | | |
| 1.00 | | | | 3.09 | | | | 253,295 | | | | 0.58 | | | | 0.61 | | | | 3.04 | | | |
| 1.00 | | | | 2.83 | | | | 468 | | | | 0.83 | | | | 0.86 | | | | 2.79 | | | |
| 1.00 | | | | 2.66 | | | | 1 | | | | 1.00 | | | | 1.46 | | | | 2.65 | | | |
|
| 1.00 | | | | 3.04 | | | | 36,521 | | | | 0.43 | | | | 0.45 | | | | 2.92 | | | |
| 1.00 | | | | 2.89 | | | | 331,793 | | | | 0.58 | | | | 0.60 | | | | 2.86 | | | |
| 1.00 | | | | 2.63 | | | | 456 | | | | 0.83 | | | | 0.85 | | | | 2.67 | | | |
| 1.00 | | | | 2.46 | | | | 1,507 | | | | 1.00 | | | | 1.45 | | | | 2.33 | | | |
|
The accompanying notes are an integral part of these financial statements. 95
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | 0.001 | | | $ | (0.001 | ) | | |
2011-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2011-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Premier Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Resource Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | 0.002 | | | | (0.002 | ) | | |
2010-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Preferred Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2010-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Premier Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Resource Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | 0.003 | | | | (0.003 | ) | | |
2009-FST Select Shares | | | 1.00 | | | | 0.002 | | | | (0.002 | ) | | |
2009-FST Preferred Shares | | | 1.00 | | | | 0.002 | | | | (0.002 | ) | | |
2009-FST Capital Shares | | | 1.00 | | | | 0.002 | | | | (0.002 | ) | | |
2009-FST Administration Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2009-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.020 | | | | (0.020 | )(e) | | |
2008-FST Select Shares | | | 1.00 | | | | 0.020 | | | | (0.020 | )(e) | | |
2008-FST Preferred Shares | | | 1.00 | | | | 0.019 | | | | (0.019 | )(e) | | |
2008-FST Capital Shares | | | 1.00 | | | | 0.018 | | | | (0.018 | )(e) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.017 | | | | (0.017 | )(e) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.015 | | | | (0.015 | )(e) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.035 | | | | (0.035 | )(e) | | |
2007-FST Select Shares | | | 1.00 | | | | 0.035 | | | | (0.035 | )(e) | | |
2007-FST Preferred Shares | | | 1.00 | | | | 0.034 | | | | (0.034 | )(e) | | |
2007-FST Capital Shares | | | 1.00 | | | | 0.033 | | | | (0.033 | )(e) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.032 | | | | (0.032 | )(e) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.030 | | | | (0.030 | )(e) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.033 | | | | (0.033 | )(e) | | |
2006-FST Select Shares | | | 1.00 | | | | 0.032 | | | | (0.032 | )(e) | | |
2006-FST Preferred Shares | | | 1.00 | | | | 0.032 | | | | (0.032 | )(e) | | |
2006-FST Capital Shares | | | 1.00 | | | | 0.031 | | | | (0.031 | )(e) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.030 | | | | (0.030 | )(e) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.028 | | | | (0.028 | )(e) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Amount includes $0.0001, $0.0008 and $0.00004 of distributions from net realized gains for the fiscal years ended December 31, 2008, December 31, 2007 and December 31, 2006, respectively. |
96 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TAX-FREE MONEY MARKET FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.07 | % | | $ | 9,949,318 | | | | 0.18 | %(d) | | | 0.23 | %(d) | | | 0.13 | %(d) | | |
| 1.00 | | | | 0.06 | | | | 65,319 | | | | 0.21 | (d) | | | 0.26 | (d) | | | 0.10 | (d) | | |
| 1.00 | | | | 0.02 | | | | 26,669 | | | | 0.28 | (d) | | | 0.33 | (d) | | | 0.03 | (d) | | |
| 1.00 | | | | 0.01 | | | | 10,051 | | | | 0.30 | (d) | | | 0.38 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 277,682 | | | | 0.30 | (d) | | | 0.48 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 592,803 | | | | 0.30 | (d) | | | 0.58 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 30,026 | | | | 0.30 | (d) | | | 0.73 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 15,366 | | | | 0.30 | (d) | | | 0.88 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.39 | (d) | | | 1.03 | (d) | | | (0.10 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.15 | | | | 8,900,260 | | | | 0.18 | | | | 0.23 | | | | 0.14 | | | |
| 1.00 | | | | 0.12 | | | | 51,856 | | | | 0.21 | | | | 0.26 | | | | 0.11 | | | |
| 1.00 | | | | 0.06 | | | | 42,240 | | | | 0.28 | | | | 0.33 | | | | 0.04 | | | |
| 1.00 | | | | 0.03 | | | | 10,406 | | | | 0.30 | | | | 0.37 | | | | 0.02 | | | |
| 1.00 | | | | 0.02 | | | | 315,835 | | | | 0.33 | | | | 0.48 | | | | 0.01 | | | |
| 1.00 | | | | 0.01 | | | | 544,328 | | | | 0.30 | (d) | | | 0.57 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.02 | | | | 44,690 | | | | 0.31 | | | | 0.73 | | | | 0.01 | | | |
| 1.00 | | | | 0.01 | | | | 14,282 | | | | 0.32 | (d) | | | 0.73 | (d) | | | 0.01 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.40 | (d) | | | 1.02 | (d) | | | 0.04 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.25 | | | | 9,416,370 | | | | 0.21 | (d) | | | 0.26 | (d) | | | 0.37 | (d) | | |
| 1.00 | | | | 0.23 | | | | 85,670 | | | | 0.24 | (d) | | | 0.29 | (d) | | | 0.33 | (d) | | |
| 1.00 | | | | 0.18 | | | | 45,223 | | | | 0.31 | (d) | | | 0.36 | (d) | | | 0.30 | (d) | | |
| 1.00 | | | | 0.15 | | | | 162,752 | | | | 0.36 | (d) | | | 0.41 | (d) | | | 0.24 | (d) | | |
| 1.00 | | | | 0.09 | | | | 308,305 | | | | 0.45 | (d) | | | 0.51 | (d) | | | 0.14 | (d) | | |
| 1.00 | | | | 0.01 | | | | 71,451 | | | | 0.61 | (d) | | | 0.76 | (d) | | | 0.03 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 2.00 | | | | 9,657,508 | | | | 0.18 | | | | 0.24 | | | | 1.95 | | | |
| 1.00 | | | | 1.97 | | | | 40,707 | | | | 0.21 | | | | 0.27 | | | | 1.98 | | | |
| 1.00 | | | | 1.89 | | | | 82,211 | | | | 0.28 | | | | 0.34 | | | | 1.87 | | | |
| 1.00 | | | | 1.84 | | | | 294,058 | | | | 0.33 | | | | 0.39 | | | | 1.84 | | | |
| 1.00 | | | | 1.74 | | | | 362,529 | | | | 0.43 | | | | 0.49 | | | | 1.73 | | | |
| 1.00 | | | | 1.49 | | | | 280,303 | | | | 0.68 | | | | 0.74 | | | | 1.52 | | | |
|
| 1.00 | | | | 3.56 | | | | 9,069,558 | | | | 0.18 | | | | 0.23 | | | | 3.49 | | | |
| 1.00 | | | | 3.53 | | | | 71,395 | | | | 0.21 | | | | 0.26 | | | | 3.47 | | | |
| 1.00 | | | | 3.46 | | | | 220,538 | | | | 0.28 | | | | 0.33 | | | | 3.37 | | | |
| 1.00 | | | | 3.41 | | | | 317,742 | | | | 0.33 | | | | 0.38 | | | | 3.30 | | | |
| 1.00 | | | | 3.30 | | | | 757,798 | | | | 0.43 | | | | 0.48 | | | | 3.23 | | | |
| 1.00 | | | | 3.05 | | | | 332,251 | | | | 0.68 | | | | 0.73 | | | | 2.98 | | | |
|
| 1.00 | | | | 3.32 | | | | 6,243,612 | | | | 0.18 | | | | 0.23 | | | | 3.25 | | | |
| 1.00 | | | | 3.29 | | | | 101,244 | | | | 0.21 | | | | 0.26 | | | | 3.21 | | | |
| 1.00 | | | | 3.22 | | | | 326,624 | | | | 0.28 | | | | 0.33 | | | | 3.19 | | | |
| 1.00 | | | | 3.17 | | | | 423,215 | | | | 0.33 | | | | 0.38 | | | | 3.12 | | | |
| 1.00 | | | | 3.07 | | | | 323,201 | | | | 0.43 | | | | 0.48 | | | | 3.01 | | | |
| 1.00 | | | | 2.81 | | | | 172,468 | | | | 0.68 | | | | 0.73 | | | | 2.77 | | | |
|
The accompanying notes are an integral part of these financial statements. 97
FINANCIAL SQUARE TREASURY INSTRUMENTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | — | (c) | | $ | — | (c) | | |
2011-FST Select Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Premier Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Resource Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Select Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Premier Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Resource Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | 0.001 | (f) | | | (0.001 | )(f) | | |
2009-FST Select Shares | | | 1.00 | | | | 0.001 | (f) | | | (0.001 | )(f) | | |
2009-FST Preferred Shares | | | 1.00 | | | | 0.001 | (f) | | | (0.001 | )(f) | | |
2009-FST Capital Shares | | | 1.00 | | | | — | (c)(f) | | | — | (c)(f) | | |
2009-FST Administration Shares | | | 1.00 | | | | — | (c)(f) | | | — | (c)(f) | | |
2009-FST Service Shares | | | 1.00 | | | | — | (c)(f) | | | — | (c)(f) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.016 | (f) | | | (0.016 | )(f) | | |
2008-FST Select Shares | | | 1.00 | | | | 0.015 | (f) | | | (0.015 | )(f) | | |
2008-FST Preferred Shares | | | 1.00 | | | | 0.015 | (f) | | | (0.015 | )(f) | | |
2008-FST Capital Shares | | | 1.00 | | | | 0.014 | (f) | | | (0.014 | )(f) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.013 | (f) | | | (0.013 | )(f) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.011 | (f) | | | (0.011 | )(f) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.044 | (f) | | | (0.044 | )(f) | | |
2007-FST Select Shares | | | 1.00 | | | | 0.043 | (f) | | | (0.043 | )(f) | | |
2007-FST Preferred Shares | | | 1.00 | | | | 0.043 | (f) | | | (0.043 | )(f) | | |
2007-FST Capital Shares | | | 1.00 | | | | 0.042 | (f) | | | (0.042 | )(f) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.041 | (f) | | | (0.041 | )(f) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.039 | (f) | | | (0.039 | )(f) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
2006-FST Select Shares | | | 1.00 | | | | 0.045 | | | | (0.045 | ) | | |
2006-FST Preferred Shares | | | 1.00 | | | | 0.045 | | | | (0.045 | ) | | |
2006-FST Capital Shares | | | 1.00 | | | | 0.044 | | | | (0.044 | ) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.043 | | | | (0.043 | ) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.041 | | | | (0.041 | ) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Annualized. |
(e) | | Amount is less than 0.005% of average net assets. |
(f) | | Net investment income and distributions from net investment income contain $0.0008 and $(0.0008), $0.002 and $(0.002), and $0.001 and $(0.001) of net realized capital gains and distributions from net realized gains for the period ended August 31, 2009 and the fiscal years ended December 31, 2008 and December 31, 2007, respectively. |
98 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TREASURY INSTRUMENTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.01 | % | | $ | 15,757,933 | | | | 0.16 | %(d) | | | 0.23 | %(d) | | | — | %(d)(e) | | |
| 1.00 | | | | 0.01 | | | | 314,508 | | | | 0.16 | (d) | | | 0.26 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 266,366 | | | | 0.16 | (d) | | | 0.33 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 169,974 | | | | 0.16 | (d) | | | 0.38 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 1,169,302 | | | | 0.16 | (d) | | | 0.48 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 407,107 | | | | 0.16 | (d) | | | 0.58 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 267,820 | | | | 0.16 | (d) | | | 0.73 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.16 | (d) | | | 0.88 | (d) | | | 0.08 | (d) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.16 | (d) | | | 1.03 | (d) | | | 0.15 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.01 | | | | 16,123,700 | | | | 0.14 | | | | 0.23 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 184,151 | | | | 0.14 | | | | 0.26 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 309,220 | | | | 0.14 | | | | 0.33 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 110,983 | | | | 0.14 | | | | 0.38 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 1,427,256 | | | | 0.14 | | | | 0.48 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 370,801 | | | | 0.14 | (d) | | | 0.58 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 297,319 | | | | 0.14 | | | | 0.73 | | | | (0.01 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.14 | (d) | | | 0.58 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.14 | (d) | | | 0.73 | (d) | | | 0.09 | (d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.10 | | | | 18,393,881 | | | | 0.20 | (d) | | | 0.23 | (d) | | | 0.04 | (d) | | |
| 1.00 | | | | 0.08 | | | | 173,590 | | | | 0.23 | (d) | | | 0.26 | (d) | | | — | (d)(e) | | |
| 1.00 | | | | 0.05 | | | | 321,168 | | | | 0.27 | (d) | | | 0.33 | (d) | | | (0.04 | )(d) | | |
| 1.00 | | | | 0.03 | | | | 65,817 | | | | 0.30 | (d) | | | 0.38 | (d) | | | (0.06 | )(d) | | |
| 1.00 | | | | 0.02 | | | | 1,476,015 | | | | 0.34 | (d) | | | 0.48 | (d) | | | (0.09 | )(d) | | |
| 1.00 | | | | 0.01 | | | | 234,595 | | | | 0.35 | (d) | | | 0.73 | (d) | | | (0.11 | )(d) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 1.57 | | | | 32,591,735 | | | | 0.21 | | | | 0.24 | | | | 1.05 | | | |
| 1.00 | | | | 1.54 | | | | 135,437 | | | | 0.24 | | | | 0.27 | | | | 1.01 | | | |
| 1.00 | | | | 1.47 | | | | 356,612 | | | | 0.31 | | | | 0.34 | | | | 1.15 | | | |
| 1.00 | | | | 1.42 | | | | 173,751 | | | | 0.36 | | | | 0.39 | | | | 0.64 | | | |
| 1.00 | | | | 1.32 | | | | 3,083,313 | | | | 0.46 | | | | 0.49 | | | | 0.97 | | | |
| 1.00 | | | | 1.09 | | | | 612,105 | | | | 0.69 | | | | 0.74 | | | | 0.84 | | | |
|
| 1.00 | | | | 4.46 | | | | 9,282,486 | | | | 0.20 | | | | 0.24 | | | | 3.91 | | | |
| 1.00 | | | | 4.43 | | | | 29,548 | | | | 0.23 | | | | 0.27 | | | | 4.24 | | | |
| 1.00 | | | | 4.36 | | | | 219,365 | | | | 0.30 | | | | 0.34 | | | | 4.07 | | | |
| 1.00 | | | | 4.31 | | | | 20,939 | | | | 0.35 | | | | 0.39 | | | | 4.16 | | | |
| 1.00 | | | | 4.20 | | | | 1,552,156 | | | | 0.45 | | | | 0.49 | | | | 3.89 | | | |
| 1.00 | | | | 3.94 | | | | 658,252 | | | | 0.70 | | | | 0.74 | | | | 3.51 | | | |
|
| 1.00 | | | | 4.66 | | | | 1,907,998 | | | | 0.20 | | | | 0.24 | | | | 4.60 | | | |
| 1.00 | | | | 4.63 | | | | 33,599 | | | | 0.23 | | | | 0.27 | | | | 4.82 | | | |
| 1.00 | | | | 4.55 | | | | 161,504 | | | | 0.30 | | | | 0.34 | | | | 4.48 | | | |
| 1.00 | | | | 4.50 | | | | 17,946 | | | | 0.35 | | | | 0.39 | | | | 4.45 | | | |
| 1.00 | | | | 4.40 | | | | 869,388 | | | | 0.45 | | | | 0.49 | | | | 4.37 | | | |
| 1.00 | | | | 4.14 | | | | 218,354 | | | | 0.70 | | | | 0.74 | | | | 4.05 | | | |
|
The accompanying notes are an integral part of these financial statements. 99
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | |
| | | | | |
| | |
| | Net asset
| | | | Distributions
| | |
| | value,
| | Net
| | from net
| | |
| | beginning
| | investment
| | investment
| | |
Year—Share Class | | of period | | income | | income(a) | | |
|
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) |
2011-FST Shares | | $ | 1.00 | | | $ | — | (c) | | $ | — | (c) | | |
2011-FST Select Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Premier Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Resource Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2011-FST Cash Management Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEAR ENDED AUGUST 31, |
2010-FST Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Select Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Preferred Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Capital Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Premier Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Resource Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2010-FST Cash Management Shares (Commenced May 14, 2010) | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE PERIOD JANUARY 1 TO AUGUST 31*, |
2009-FST Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2009-FST Select Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2009-FST Preferred Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2009-FST Capital Shares | | | 1.00 | | | | 0.001 | | | | (0.001 | ) | | |
2009-FST Administration Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
2009-FST Service Shares | | | 1.00 | | | | — | (c) | | | — | (c) | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
2008-FST Shares | | | 1.00 | | | | 0.016 | | | | (0.016 | ) | | |
2008-FST Select Shares | | | 1.00 | | | | 0.016 | | | | (0.016 | ) | | |
2008-FST Preferred Shares | | | 1.00 | | | | 0.015 | | | | (0.015 | ) | | |
2008-FST Capital Shares | | | 1.00 | | | | 0.015 | | | | (0.015 | ) | | |
2008-FST Administration Shares | | | 1.00 | | | | 0.014 | | | | (0.014 | ) | | |
2008-FST Service Shares | | | 1.00 | | | | 0.012 | | | | (0.012 | ) | | |
|
2007-FST Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2007-FST Select Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2007-FST Preferred Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
2007-FST Capital Shares | | | 1.00 | | | | 0.045 | | | | (0.045 | ) | | |
2007-FST Administration Shares | | | 1.00 | | | | 0.044 | | | | (0.044 | ) | | |
2007-FST Service Shares | | | 1.00 | | | | 0.042 | | | | (0.042 | ) | | |
|
2006-FST Shares | | | 1.00 | | | | 0.048 | | | | (0.048 | ) | | |
2006-FST Select Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Preferred Shares | | | 1.00 | | | | 0.047 | | | | (0.047 | ) | | |
2006-FST Capital Shares | | | 1.00 | | | | 0.046 | | | | (0.046 | ) | | |
2006-FST Administration Shares | | | 1.00 | | | | 0.045 | | | | (0.045 | ) | | |
2006-FST Service Shares | | | 1.00 | | | | 0.043 | | | | (0.043 | ) | | |
|
| | |
* | | The Fund changed its fiscal year end from December 31 to August 31. |
(a) | | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(b) | | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(c) | | Amount is less than $0.0005 per share. |
(d) | | Amount is less than 0.005% of average net assets. |
(e) | | Annualized. |
100 The accompanying notes are an integral part of these financial statements.
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Ratio of net
| | |
Net asset
| | | | Net assets
| | Ratio of net
| | Ratio of total
| | investment
| | |
value,
| | | | end
| | expenses to
| | expenses to
| | income (loss) to
| | |
end
| | Total
| | of period
| | average net
| | average net
| | average net
| | |
of period | | return(b) | | (in 000’s) | | assets | | assets | | assets | | |
|
|
$ | 1.00 | | | | 0.01 | % | | $ | 8,418,529 | | | | 0.19 | %(e) | | | 0.23 | %(e) | | | 0.02 | %(e) | | |
| 1.00 | | | | 0.01 | | | | 182,123 | | | | 0.20 | (e) | | | 0.26 | (e) | | | 0.01 | (e) | | |
| 1.00 | | | | 0.01 | | | | 179,684 | | | | 0.21 | (e) | | | 0.33 | (e) | | | 0.01 | (e) | | |
| 1.00 | | | | 0.01 | | | | 162,735 | | | | 0.21 | (e) | | | 0.38 | (e) | | | 0.01 | (e) | | |
| 1.00 | | | | 0.01 | | | | 1,612,186 | | | | 0.21 | (e) | | | 0.48 | (e) | | | 0.01 | (e) | | |
| 1.00 | | | | 0.01 | | | | 141,535 | | | | 0.20 | (e) | | | 0.58 | (e) | | | 0.01 | (e) | | |
| 1.00 | | | | 0.01 | | | | 1,261,998 | | | | 0.21 | (e) | | | 0.73 | (e) | | | 0.01 | (e) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.19 | (e) | | | 0.88 | (e) | | | 0.11 | (e) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.19 | (e) | | | 1.03 | (e) | | | (0.09 | )(e) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.04 | | | | 8,654,414 | | | | 0.19 | | | | 0.22 | | | | — | (d) | | |
| 1.00 | | | | 0.02 | | | | 199,595 | | | | 0.21 | | | | 0.25 | | | | (0.03 | ) | | |
| 1.00 | | | | 0.01 | | | | 206,610 | | | | 0.21 | | | | 0.32 | | | | (0.03 | ) | | |
| 1.00 | | | | 0.01 | | | | 223,476 | | | | 0.21 | | | | 0.37 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 1,875,928 | | | | 0.21 | | | | 0.47 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 125,136 | | | | 0.21 | (e) | | | 0.57 | (e) | | | 0.13 | (e) | | |
| 1.00 | | | | 0.01 | | | | 1,232,186 | | | | 0.21 | | | | 0.72 | | | | (0.02 | ) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.19 | (e) | | | 0.72 | (e) | | | 0.10 | (e) | | |
| 1.00 | | | | 0.01 | | | | 1 | | | | 0.20 | (e) | | | 1.02 | (e) | | | (0.04 | )(e) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 0.14 | | | | 16,942,168 | | | | 0.20 | (e) | | | 0.23 | (e) | | | 0.07 | (e) | | |
| 1.00 | | | | 0.12 | | | | 670,028 | | | | 0.23 | (e) | | | 0.26 | (e) | | | (0.01 | )(e) | | |
| 1.00 | | | | 0.08 | | | | 304,897 | | | | 0.29 | (e) | | | 0.33 | (e) | | | (0.02 | )(e) | | |
| 1.00 | | | | 0.06 | | | | 330,368 | | | | 0.33 | (e) | | | 0.38 | (e) | | | (0.05 | )(e) | | |
| 1.00 | | | | 0.02 | | | | 2,196,762 | | | | 0.37 | (e) | | | 0.48 | (e) | | | (0.10 | )(e) | | |
| 1.00 | | | | 0.01 | | | | 1,058,820 | | | | 0.41 | (e) | | | 0.73 | (e) | | | (0.12 | )(e) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| 1.00 | | | | 1.64 | | | | 12,010,372 | | | | 0.21 | | | | 0.24 | | | | 1.51 | | | |
| 1.00 | | | | 1.61 | | | | 32,927 | | | | 0.24 | | | | 0.27 | | | | 0.42 | | | |
| 1.00 | | | | 1.54 | | | | 246,788 | | | | 0.31 | | | | 0.34 | | | | 1.46 | | | |
| 1.00 | | | | 1.49 | | | | 360,461 | | | | 0.36 | | | | 0.39 | | | | 1.30 | | | |
| 1.00 | | | | 1.39 | | | | 1,995,689 | | | | 0.46 | | | | 0.49 | | | | 1.40 | | | |
| 1.00 | | | | 1.17 | | | | 1,357,797 | | | | 0.67 | | | | 0.74 | | | | 1.17 | | | |
|
| 1.00 | | | | 4.80 | | | | 11,652,689 | | | | 0.20 | | | | 0.24 | | | | 4.32 | | | |
| 1.00 | | | | 4.77 | | | | 26 | | | | 0.23 | | | | 0.27 | | | | 4.62 | | | |
| 1.00 | | | | 4.70 | | | | 646,792 | | | | 0.30 | | | | 0.34 | | | | 4.52 | | | |
| 1.00 | | | | 4.65 | | | | 318,665 | | | | 0.35 | | | | 0.39 | | | | 4.39 | | | |
| 1.00 | | | | 4.54 | | | | 2,787,538 | | | | 0.45 | | | | 0.49 | | | | 4.44 | | | |
| 1.00 | | | | 4.28 | | | | 1,837,123 | | | | 0.70 | | | | 0.74 | | | | 4.19 | | | |
|
| 1.00 | | | | 4.86 | | | | 1,855,829 | | | | 0.20 | | | | 0.24 | | | | 4.79 | | | |
| 1.00 | | | | 4.83 | | | | 4 | | | | 0.23 | | | | 0.27 | | | | 4.75 | | | |
| 1.00 | | | | 4.76 | | | | 776,080 | | | | 0.30 | | | | 0.34 | | | | 4.69 | | | |
| 1.00 | | | | 4.71 | | | | 90,897 | | | | 0.35 | | | | 0.39 | | | | 4.79 | | | |
| 1.00 | | | | 4.60 | | | | 2,353,384 | | | | 0.45 | | | | 0.49 | | | | 4.55 | | | |
| 1.00 | | | | 4.34 | | | | 1,821,459 | | | | 0.70 | | | | 0.74 | | | | 4.31 | | | |
|
The accompanying notes are an integral part of these financial statements. 101
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended February 28, 2011 (Unaudited)
As a shareholder of FST Shares, FST Select Shares, FST Preferred Shares, FST Capital Shares, FST Administration Shares, FST Premier, FST Service, FST Class B, FST Class C, FST Resource or FST Cash Management Shares of a Fund you incur two types of cost: (1) transaction costs, including contingent deferred sales charges (with respect to FST Class B and FST Class C Shares); and (2) ongoing costs, including management fees and distribution, service and/or shareholder administration fees (with respect to all share classes except FST Shares) and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in FST Shares, FST Select Shares, FST Preferred Shares, FST Capital Shares, FST Administration Shares, FST Premier, FST Service, FST Class B, FST Class C, FST Resource or FST Cash Management 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 September 1, 2010 through February 28, 2011.
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 column heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Federal Fund | | | Government Fund | | | Money Market Fund |
| | | | | | | | | Expenses
| | | | | | | | | Expenses
| | | | | | | | | Expenses
|
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
|
| | | Account
| | | Account
| | | 6 months
| | | Account
| | | Account
| | | 6 months
| | | Account
| | | Account
| | | 6 months
|
| | | Value
| | | Value
| | | ended
| | | Value
| | | Value
| | | ended
| | | Value
| | | Value
| | | ended
|
Share Class | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* |
FST Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,000.10 | | | | $ | 0.99 | | | | $ | 1,000.00 | | | | $ | 1,000.40 | | | | $ | 0.89 | | | | $ | 1,000.00 | | | | $ | 1,000.80 | | | | $ | 0.89 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.80 | + | | | | 1.00 | | | | | 1,000.00 | | | | | 1,023.90 | + | | | | 0.90 | | | | | 1,000.00 | | | | | 1,023.90 | + | | | | 0.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Select Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.20 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.70 | | | | | 1.04 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Preferred Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.19 | | | | | 1,000.00 | | | | | 1,000.30 | | | | | 1.39 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,023.60 | + | | | | 1.20 | | | | | 1,000.00 | | | | | 1,023.41 | + | | | | 1.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Capital Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.19 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.59 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,023.60 | + | | | | 1.20 | | | | | 1,000.00 | | | | | 1,023.21 | + | | | | 1.61 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Administration Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.24 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.19 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.69 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.25 | | | | | 1,000.00 | | | | | 1,023.60 | + | | | | 1.20 | | | | | 1,000.00 | | | | | 1,023.11 | + | | | | 1.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Premier Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.89 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,023.90 | + | | | | 0.90 | | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Service Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.19 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.69 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,023.60 | + | | | | 1.20 | | | | | 1,000.00 | | | | | 1,023.11 | + | | | | 1.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Resource Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.99 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.89 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.88 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.00 | | | | | 1,000.00 | | | | | 1,023.90 | + | | | | 0.90 | | | | | 1,000.00 | | | | | 1,022.91 | + | | | | 1.91 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Cash Management Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.89 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 3.03 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,023.90 | + | | | | 0.90 | | | | | 1,000.00 | | | | | 1,021.77 | + | | | | 3.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
102
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended February 28, 2011 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Prime Obligations | | | Tax-Exempt California | | | Tax-Exempt New York |
| | | | | | | | | Expenses
| | | | | | | | | Expenses
| | | | | | | | | Expenses
|
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
|
| | | Account
| | | Account
| | | 6 months
| | | Account
| | | Account
| | | 6 months
| | | Account
| | | Account
| | | 6 months
|
| | | Value
| | | Value
| | | ended
| | | Value
| | | Value
| | | ended
| | | Value
| | | Value
| | | ended
|
Share Class | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* |
FST Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,000.70 | | | | $ | 0.89 | | | | $ | 1,000.00 | | | | $ | 1,000.11 | | | | $ | 1.44 | | | | $ | 1,000.00 | | | | $ | 1,000.30 | | | | $ | 1.34 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.90 | + | | | | 0.90 | | | | | 1,000.00 | | | | | 1,023.36 | + | | | | 1.45 | | | | | 1,000.00 | | | | | 1,023.46 | + | | | | 1.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Select Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.50 | | | | | 1.04 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | �� | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Preferred Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.20 | | | | | 1.39 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.41 | + | | | | 1.40 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Capital Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Administration Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | 1,000.00 | | | | | 1,000.11 | | | | | 1.44 | | | | | 1,000.00 | | | | | 1,000.30 | | | | | 1.34 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | 1,000.00 | | | | | 1,023.36 | + | | | | 1.45 | | | | | 1,000.00 | | | | | 1,023.46 | + | | | | 1.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Premier Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.94 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
Hypothetical 5% return | | | | 1,000.00 | | �� | | | 1,023.85 | + | | | | 0.95 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Service Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | 1,000.00 | | | | | 1,000.11 | | | | | 1.44 | | | | | 1,000.00 | | | | | 1,000.30 | | | | | 1.34 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | 1,000.00 | | | | | 1,023.36 | + | | | | 1.45 | | | | | 1,000.00 | | | | | 1,023.46 | + | | | | 1.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Class B Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Class C Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Resource Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Cash Management Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.83 | | | | | 1,000.00 | | | | | 1,000.11 | | | | | 1.44 | | | | | 1,000.00 | | | | | 1,000.30 | | | | | 1.34 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,022.96 | + | | | | 1.86 | | | | | 1,000.00 | | | | | 1,023.36 | + | | | | 1.45 | | | | | 1,000.00 | | | | | 1,023.46 | + | | | | 1.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
103
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended February 28, 2011 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Tax-Free Money Market Fund | | | Treasury Instruments Fund | | | Treasury Obligations Fund |
| | | | | | | | | Expenses
| | | | | | | | | Expenses
| | | | | | | | | Expenses
|
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
|
| | | Account
| | | Account
| | | 6 months
| | | Account
| | | Account
| | | 6 months
| | | Account
| | | Account
| | | 6 months
|
| | | Value
| | | Value
| | | ended
| | | Value
| | | Value
| | | ended
| | | Value
| | | Value
| | | ended
|
Share Class | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* | | | 9/1/10 | | | 2/28/11 | | | 2/28/11* |
FST Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,000.70 | | | | $ | 0.89 | | | | $ | 1,000.00 | | | | $ | 1,000.10 | | | | $ | 0.79 | | | | $ | 1,000.00 | | | | $ | 1,000.10 | | | | $ | 0.99 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.90 | + | | | | 0.90 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.65 | + | | | | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Select Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.60 | | | | | 1.04 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.05 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.80 | + | | | | 1.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Preferred Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.20 | | | | | 1.39 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.09 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.41 | + | | | | 1.40 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Capital Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.09 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Administration Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.09 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Premier Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.04 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.80 | + | | | | 1.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Service Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.09 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.75 | + | | | | 1.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Resource Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.49 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.99 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,023.31 | + | | | | 1.51 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.65 | + | | | | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FST Cash Management Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 1,000.10 | | | | | 1.93 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.79 | | | | | 1,000.00 | | | | | 1,000.10 | | | | | 0.99 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,022.86 | + | | | | 1.96 | | | | | 1,000.00 | | | | | 1,024.00 | + | | | | 0.80 | | | | | 1,000.00 | | | | | 1,023.65 | + | | | | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
* | | 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 February 28, 2011. 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: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FST
| | FST Select
| | FST Preferred
| | FST Capital
| | FST Administration
| | FST Premier
| | FST Service
| | FST Class B
| | FST Class C
| | FST Resource
| | FST Cash Management
|
Fund | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares | | Shares |
|
Federal | | | 0.20 | % | | | 0.21 | % | | | 0.21 | % | | | 0.21 | % | | | 0.21 | % | | | 0.21 | % | | | 0.21 | % | | | N/A | | | | N/A | | | | 0.21 | % | | | 0.21 | % |
Government | | | 0.18 | | | | 0.21 | | | | 0.24 | | | | 0.24 | | | | 0.24 | | | | 0.18 | | | | 0.24 | | | | N/A | | | | N/A | | | | 0.18 | | | | 0.18 | |
Money Market | | | 0.18 | | | | 0.21 | | | | 0.28 | | | | 0.32 | | | | 0.34 | | | | 0.30 | | | | 0.34 | | | | N/A | | | | N/A | | | | 0.38 | | | | 0.61 | |
Prime Obligations | | | 0.18 | | | | 0.21 | | | | 0.28 | | | | 0.30 | | | | 0.30 | | | | 0.19 | | | | 0.30 | | | | 0.30 | % | | | 0.30 | % | | | 0.30 | | | | 0.37 | |
Tax-Exempt California | | | 0.29 | | | | N/A | | | | N/A | | | | N/A | | | | 0.29 | | | | N/A | | | | 0.29 | | | | N/A | | | | N/A | | | | N/A | | | | 0.29 | |
Tax-Exempt New York | | | 0.27 | | | | N/A | | | | N/A | | | | N/A | | | | 0.27 | | | | N/A | | | | 0.27 | | | | N/A | | | | N/A | | | | N/A | | | | 0.27 | |
Tax-Free Money Market | | | 0.18 | | | | 0.21 | | | | 0.28 | | | | 0.30 | | | | 0.30 | | | | 0.30 | | | | 0.30 | | | | N/A | | | | N/A | | | | 0.30 | | | | 0.39 | |
Treasury Instruments | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | 0.16 | | | | N/A | | | | N/A | | | | 0.16 | | | | 0.16 | |
Treasury Obligations | | | 0.19 | | | | 0.20 | | | | 0.21 | | | | 0.21 | | | | 0.21 | | | | 0.20 | | | | 0.21 | | | | N/A | | | | N/A | | | | 0.19 | | | | 0.19 | |
|
|
| | |
+ | | 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. |
104
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 $717.1 billion in assets under management as of December 31, 2010 — 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.1
| |
OVERVIEW OF GOLDMAN SACHS FUNDS | |

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Money Market2 Financial Square Fundssm n Financial Square Tax-Exempt Funds n Financial Square Federal Fund n Financial Square Government Fund n Financial Square Money Market Fund n Financial Square Prime Obligations Fund n Financial Square Treasury Instruments Fund n Financial Square Treasury Obligations Fund
Fixed Income Short Duration and Government n Enhanced Income Fund n Ultra-Short Duration Govt. Fund n Short Duration Government Fund n Government Income Fund n Inflation Protected Securities Fund Multi-Sector n Core Fixed Income Fund n Core Plus Fixed Income Fund n Global Income Fund n Strategic Income Fund Municipal and Tax-Free n High Yield Municipal Fund n Municipal Income Fund n Short Duration Tax-Free Fund Single Sector n Investment Grade Credit Fund n U.S. Mortgages Fund n High Yield Fund n High Yield Floating Rate Fund | | n Emerging Markets Debt Fund
n Local Emerging Markets Debt Fund
Corporate Credit n Credit Strategies Fund
Fundamental Equity n Growth and Income Fund
n Small Cap Value Fund
n Mid Cap Value Fund
n Large Cap Value Fund
n Capital Growth Fund
n Strategic Growth Fund
n Small/Mid Cap Growth Fund
n Flexible Cap Growth Fund3
n Concentrated Growth Fund
n Technology Tollkeeper FundSM 5
n Growth Opportunities Fund
n U.S. Equity Fund
Structured Equity n Balanced Fund
n Structured Small Cap Equity Fund
n Structured U.S. Equity Fund
n Structured Small Cap Growth Fund
n Structured Large Cap Growth Fund
n Structured Large Cap Value Fund
n Structured Small Cap Value 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 International Small Cap Fund
n Structured International Equity Fund
n Structured Emerging Markets Equity Fund
Fundamental Equity International n Strategic International Equity Fund
n Concentrated International Equity Fund
n International Small Cap Fund
n Asia Equity Fund
n Emerging Markets Equity Fund
n BRIC Fund (Brazil, Russia, India, China)
n N-11 Equity Fund
Select Satellite4 n Real Estate Securities Fund
n International Real Estate Securities Fund
n Commodity Strategy Fund
n Dynamic Allocation Fund
n Absolute Return Tracker Fund
Total Portfolio Solutions4 n Balanced Strategy Portfolio
n Growth and Income Strategy Portfolio
n Growth Strategy Portfolio
n Equity Growth Strategy Portfolio
n Income Strategies Portfolio
n Satellite Strategies Portfolio
n Retirement Strategies Portfolios
n Enhanced Dividend Global Equity Portfolio
n Tax Advantaged Global Equity Portfolio |
Firmwide assets under management includes assets managed by GSAM and its Investment Advisory Affiliates.
| |
1 | Ranking for Goldman Sachs Group, Inc., includes Goldman Sachs Asset Management, Private Wealth Management and Merchant Banking 2009 year-end assets. Ranked 9th in total assets worldwide. Pensions&Investments, June 2010. |
2 | An investment in the Financial Square Funds is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) 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. |
3 | Effective March 31, 2011, the Goldman Sachs All Cap Growth Fund changed its name to the Goldman Sachs Flexible Cap Growth Fund. |
4 | Individual Funds within the Total Portfolio Solutions 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 Total Portfolio Solutions or Select Satellite category. |
5 | Effective July 31, 2010, the Goldman Sachs Tollkeeper Fund was renamed the Goldman Sachs Technology Tollkeeper Fund. |
The Goldman Sachs Technology Tollkeeper Fundsm and Financial Square Fundssm are registered service marks of Goldman, Sachs & Co.
| | |
TRUSTEES Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | | OFFICERS James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer
|
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GOLDMAN, SACHS & CO. Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser
|
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
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.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-621-2550; and (II) on the Securities and Exchange Commission (“SEC”) Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ 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 Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
Financial Square Fundssm is a registered service mark of Goldman, Sachs & Co.
Goldman, Sachs & Co. is the distributor of the Goldman Sachs Funds.
© 2011 Goldman Sachs. All rights reserved. 51503.MF.MED.TMPL/4/2011 FSQSAR11 / 259K
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| | The information required by this Item is only required in an annual report on this Form N-CSR. |
| | |
ITEM 3. | | AUDIT COMMITTEE FINANCIAL EXPERT. |
| | |
| | The information required by this Item is only required in an annual report on this Form N-CSR. |
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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. |
| | |
| | Not applicable. |
| | |
ITEM 6. | | SCHEDULE OF INVESTMENTS. |
| | |
| | Schedule of Investments is included as part of the Report to Stockholders filed under Item 1. |
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ITEM 7. | | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| | |
| | Not applicable. |
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ITEM 8. | | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| | |
| | Not applicable. |
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ITEM 9. | | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
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| | Not applicable. |
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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. |
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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. |
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| (a)(1) | | The information required by this Item is only required in connection with an annual report on this Form N-CSR. |
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| (a)(2) | | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. |
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| (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. |
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| | | | Goldman Sachs Trust | | |
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By: | | | | /s/ James A. McNamara | | |
| | | |
| | |
| | | | James A. McNamara | | |
| | | | President/Principal Executive Officer | | |
| | | | Goldman Sachs Trust | | |
| | | | | | |
Date: | | | | May 2, 2011 | | |
| | | 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. |
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By: | | | | /s/ James A. McNamara | | |
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| | | | James A. McNamara | | |
| | | | President/Principal Executive Officer | | |
| | | | Goldman Sachs Trust | | |
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Date: | | | | May 2, 2011 | | |
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By: | | | | /s/ George F. Travers | | |
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| | | | George F. Travers | | |
| | | | Principal Financial Officer | | |
| | | | Goldman Sachs Trust | | |
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Date: | | | | May 2, 2011 | | |